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Ithaca Docs
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          • Example 1
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  1. Architecture

Pre-Match Processing

PreviousOfficial LinksNextFrequent Batch Auctions (FBA)

Last updated 10 months ago

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Ithaca Matching Engine (IME)

IME is a multi-product cross-orderbook matching engine that implements:

  • - Ithaca markets operate at discrete frequent intervals via auctions rather than through continuous order books.

  • - Statically replicable derivatives are decomposed into / recomposed from RSBBs using put-call parity and funding-option equivalence relationships directly incorporated into the matching engine. Matching is done at the "atomic" level.

  • – MILP allows searching for clearing prices and associated sets of consistent orders satisfying these prices that maximize executed volume and satisfy best execution requirements.

  • - Orders are consolidated and matched to ensure protocol assets exceed liabilities so that matching is done under riskless conditions. The engine takes no market or credit risk, ensuring payoffs are covered under all states of the world.

Frequent Batch Auctions (FBA)
Risk Sharing Building Blocks (RSBBs)
Mixed Integer Linear Programming (MILP) Optimization
Portfolio Dominance