Kicking-the-Bucket: Fast Privacy-Preserving Trading Using Buckets

Mariana Botelho da Gama, John Cartlidge, Antigoni Polychroniadou, Nigel P. Smart, Younes Talibi Alaoui

Abstract: We examine bucket-based and volume-based algorithms for privacy-preserving asset trading in a financial dark pool. Our bucket-based algorithm places orders in quantised buckets, whereas the volume-based algorithm allows any volume size but requires more complex validation mechanisms. In all cases, we conclude that these algorithms are highly efficient and offer a practical solution to the commercial problem of preserving privacy of order information in a dark pool trading venue.