Block Auction: A General Blockchain Protocol for Privacy-Preserving and Verifiable Periodic Double Auctions

Abstract

We use blockchain technology to tackle the problem of securing periodic double auctions for financial ‘dark pool’ trading, such that the privacy of pre-trade order information is preserved and the behaviour of the auction operator can be verified. A smart contract is used as a public audit trail without revealing the order intention of traders. Auction matching is performed off-chain, allowing alternative auction mechanisms to be used without altering the smart contract code. A full system implementation is deployed on the Harmony blockchain, and comparative evaluation of the protocol demonstrates some clear advantages over the closest published alternative.