  I construct a novel random double auction as a robust bilateral trading
mechanism for a profit-maximizing intermediary who facilitates trade between a
buyer and a seller. It works as follows. The intermediary publicly commits to
charging a fixed commission fee and randomly drawing a spread from a uniform
distribution. Then the buyer submits a bid price and the seller submits an ask
price simultaneously. If the difference between the bid price and the ask price
is greater than the realized spread, then the asset is transacted at the
midpoint price, and each pays the intermediary half of the fixed commission
fee. Otherwise, no trade takes place, and no one pays or receives anything. I
show that the random double auction maximizes the worst-case expected profit
across all dominant-strategy incentive compatible and ex-post individually
rational mechanisms for the symmetric case. I also construct a robust trading
mechanism with similar properties for the asymmetric case.
