Flow Trading Service (FTS)

This crate is part of a collection of crates that together implement flow trading as proposed by Budish, Cramton, et al, in which trade occurs continuously over time via regularly-scheduled batch auctions.

The different crates in this workspace are as follows:

• fts_core: Defines a set of data primitives and operations but defers the implementations of these operations, consistent with a so-called "hexagonal architecture" approach to separating responsibilities.
• fts_solver: Provides a reference solver for the flow trading quadratic program.
• fts_server: A REST API HTTP server for interacting with the solver and persisting state across auctions.
• fts_sqlite: An implementation of the core data operations using SQLite, suitable for exploration of flow trading-based marketplaces such as a forward market.

FTS Server

This crate provides a REST API for the core flow trading operations. Building the sibling crate fts-sqlite will generate an OpenAPI schema. A running server will host this schema at http://localhost:8080/rapidoc.

On the use of JSON and HTTP

It is true that JSON is a significantly flawed choice for (de)serialization of bid data. It is also true that a RESTful API over HTTP is questionable, at best, with respect to building a trading platform. On the other hand, these choices allow for virtually any programming environment to easily interface with the server, as well as open the door to rich, web-based clients.

Given that this project is primarily intended to motivate the use of flow trading, especially in the context of forward markets, these trade-offs are more than reasonable. With that said, the design of flow trading specifically discourages high-frequency execution, so the performance overhead of these trade-offs are also largely irrelevant.

Authorization

In the interest of simplicity, endpoints that process bid data (or execute administrative actions) expect HTTP requests to contain the Authorization header with a JWT bearer token. The sub: claim of this token must be the bidder's UUID. To authorize an administrative action, this token must contain the custom claim admin: true. It is left to the operator to securely authenticate and generate these tokens.

API Endpoints and Data Types

Please refer to the automatically generated OpenAPI schema for up-to-date documentation of the endpoints. Note that any endpoint expecting a datetime type expects an RFC3339-compliant string.