Improvement Research Of Dalian Commodity Exchange Delivery Matching Algorithm

Physical delivery of the futures market is the last section of futures trading. It is not only a very important aspect of both the futures and spot markets linked bonds, but also the System protection for the price discovery and hedging the futures market's two basic functions to work properly. A reasonable matching algorithm can guarantee delivery of the futures market price discovery, hedging normal functioning, in order to attract investors to participate in futures trading parties, and promote the development of futures markets.Currently, Dalian Commodity Exchange in accordance with the delivery match "at least match number" matching principle, that the use of computers to match buyers and sellers of positions to be at least matched the number of positions for the target. This principle ensures a minimum number of matching buyers and sellers the most positions, the least number of VAT invoices issued by the seller, but this way there is delivery of warehouse receipts matching the dispersion and the match can not meet the buyer's intention to issue delivery. When more than one corresponding to the same buyer the seller, because the seller can not guarantee that all delivery of warehouse receipts in the same warehouse, resulting in the buyer receiving the different vendors in different warehouses, there is the problem of fragmentation delivery of warehouse receipts; and matched by computer according to the smallest pair number of principles, does not consider the buyer's settlement intention, there is buyer's intent is difficult to meet delivery problems.Matching Algorithm for optimization of delivery, including three parts:(1) delivery of domestic and international commodity exchanges paired comparison of algorithms; (2) Dalian Commodity Exchange (DCE) existing Matching Algorithm problems; (3) optimized matching algorithm design delivery, including delivery matching process design, program design and delivery of the new matching Algorithm pairing the effect of the delivery assessment.This delivery system based on the matching Algorithm, mainly used in research methods in operations research linear programming theory.Through the delivery of the DCE to optimize the matching Algorithm to solve the decentralized delivery of warehouse receipts and delivery can not meet the intention of the buyers which are the two troubled businesses of DCE futures delivery. In addition, the laws of the numbers generated by the "at least match number algorithm" were summarized and a comparative analysis with the actual data of the DCE delivery is made. It also provide a reference for other similar futures business.