FuturesMEX: Secure Distributed Futures Market Exchange

Futures exchanges, such as the Chicago Mercantile Exchange, are the embodiment of centralized financial intermediation. Complex interactions between economic and security properties and the exchange's essentially non-monotonic security behavior affecting the eligibility of a party's asset in a protocol are a challenge for security research. We present the key security properties of an Exchange, needed to guarantee its economic viability (availability of trading information, confidentiality of positions, absence of price discrimination, global integrity management), and show how to implement all key market business functionalities in a secure, fully distributed setting. Our distributed protocol simulates the centralized functionality in the general case of asynchronous communication, under the usual assumptions of anonymity of the physical transmission layer and availability of a distributed ledger. The results of our proof of concept implementation (based on zk-SNARKs and SPDZ) shows that the computations corresponding to actual trading days (according to the Thomson-Reuters Tick History Database) are within engineering reach.