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Orderbook Mechanics

  • Audience: Trading API integrators.
  • What this page covers: Matching priority, price-level behavior, order-type constraints, and state gating.

Price-Time Priority​

The orderbook uses price-time priority:

  • Better price executes first.
  • At the same price, earlier order timestamp executes first (FIFO).

For each pair, bids and asks are maintained as price levels. Matching occurs when incoming liquidity crosses the opposite side.

Price Levels and FIFO Queues​

  • Each price level contains a queue of resting orders.
  • New resting orders join the back of the queue at that level.
  • Fills consume from the front of the queue.

This provides deterministic matching behavior for equivalent price levels.

Supported Order Types​

  • Limit: Can execute immediately if crossing; remaining quantity can rest.
  • Market: Executes against available opposite liquidity; does not rest.
  • Ioc: Immediate-or-cancel; can partially execute, remainder is cancelled.
  • PostOnly: Must not cross on entry; if it would cross, the request is rejected.

Market-Wide State vs Pair Status​

Both checks affect order acceptance.

Market-Wide State (active, cancel_only, halted, auction)​

  • active: Normal trading.
  • cancel_only: New orders rejected; cancels allowed.
  • halted: New orders rejected; cancels allowed.
  • auction: Auction flow rules apply; order behavior differs from continuous mode.

Pair Status (active, cancel_only, halted)​

  • active: Pair accepts normal order flow.
  • cancel_only: Pair rejects new orders and allows cancels.
  • halted: Pair rejects new orders and allows cancels.

In practice, both market-wide and pair-level rules are evaluated; either can block new order entry.

Base Units Example​

If a pair uses scaled integer units:

  • Client submits integer price and size values.
  • Matching and balances use these integer units directly.
  • Human-readable decimal conversion is an integration-layer responsibility.

This design avoids floating-point precision errors in matching and settlement math.