FuturesMEX: Secure, Distributed Futures Market Exchange

FuturesMEX: Secure, Distributed Futures Market Exchange
Chan Nam Ngo (University of Trento, IT)
Presented at the
2018 IEEE Symposium on Security & Privacy
May 21–23, 2018
San Francisco, CA
http://www.ieee-security.org/TC/SP2018/

ABSTRACT
In a Futures-Exchange, such as the Chicago Mercantile Exchange, traders buy and sell contractual promises (futures) to acquire or deliver, at some future pre-specified date, assets ranging from wheat to crude oil and from bacon to cash in a desired currency. The interactions between economic and security properties and the exchange's essentially non-monotonic security behavior; a valid trader's valid action can invalidate other traders' previously valid positions, are a challenge for security research.

We show the security properties that guarantee an Exchange's economic viability (availability of trading information, liquidity, confidentiality of positions, absence of price discrimination, risk-management) and an attack when traders' anonymity is broken.

We describe all key operations for a secure, fully distributed Futures-Exchange, hereafter referred to as simply the "Exchange". Our distributed, asynchronous protocol simulates the centralized functionality under the assumptions of anonymity of the physical layer and availability of a distributed ledger. We consider security with abort (in absence of honest majority) and extend it to penalties. Our proof of concept implementation and its optimization (based on zk-SNARKs and SPDZ) demonstrate that the computation of actual trading days (along Thomson-Reuters Tick History DB) is feasible for low-frequency markets; however, more research is needed for high-frequency ones.