Portfolio Dominance

Order Consolidation

The Matching Engine optimization algorithm employs a mechanism to consolidate orders on options on the same underlying asset across types and strikes, without assumptions about an option pricing model or underlying stochastic process.

Protocol Asset Side ≥ Protocol Liability Side

The protocol optimizes over how much to sell to Buy Orders and how much to buy from Sell Orders at auction subject to the liability of the protocol not exceeding its positive payoff at all states of the world at expiry. The portfolio of bought options must 'dominate' the portfolio of sold options.