The auction

Every market clears in batches. A batch collects orders for 1 second, then clears as a dual flow batch auction: two auctions, each at one uniform price. Arrival order inside the window counts for nothing.

Key figuresCopy Anchor Link

Makers, takers and the two flowsCopy Anchor Link

Every order is a maker or a taker.

• A maker rests at a price it names. It trades only with takers.
• A taker wants a fill this batch. It trades with makers, and with the pool when makers leave it standing.

The batch splits into two auctions:

1. Buy flow: takers buying against makers selling.
2. Sell flow: takers selling against makers buying.

Two takers never trade with each other. Two makers never trade with each other. The pool never fills a maker. A taker only ever pays a price some maker asked for, or the pool's own quote.

Within a flow, every order that trades pays that flow's clearing price, whatever limit it carried. No order fills worse than its limit.

How a flow picks its priceCopy Anchor Link

Each candidate price is a limit price in the flow. The winner is chosen by these rules, in order:

1. most volume crossed
2. tie -> least |demand - supply|
3. tie -> closest to the oracle mark
4. tie -> the lower price

Rule 3 is the only place the oracle touches a clearing price. It is reached when the book is indifferent across a range, which happens on a thin market with a wide gap. Rule 4 makes the result the same for every order of the book.

Fills are allocated by price priority, then pro rata at the marginal price. There is no time priority at the margin, so submitting earlier is worth nothing.

The bandCopy Anchor Link

Before clearing, every order is held inside a band around the oracle mark:

band = min(max_spread_bps, maintenance_margin_bps / 2)
lo   = mark - band
hi   = mark + band

A bid above hi bids hi. An ask below lo asks lo. A bid below lo or an ask above hi stays where it is and does not cross. Every price that trades lands inside the band, the pool's included.

Without it, two accounts owned by one person could cross at any price far from the market, and the pool would pay the one marked in profit. Half the maintenance margin means a position opened at either edge is never already past its own liquidation.

Rules that keep the batch honestCopy Anchor Link

1. One direction per wallet. A wallet cannot hold opening orders on both sides of one batch. Positions do not flip, so only one side could ever book, and the wallet could choose by settlement order which leg went home.
2. No clear in the slot the book last changed. Every order placed or canceled records its slot. clear_batch is refused in that slot. Whoever clears cannot also be the last to change the book, in the same transaction, with the book and the oracle in view.
3. Opens are checked at submit. Side, leverage and the open interest cap are checked when an open enters the batch. Open interest counts every open already resting on the same side, so a side ends a batch at its cap at most.
4. Settlement books every filled open. It does not ask the caps again. A refusal there would depend on which order a caller settled first, and would leave the order it crossed booked against the pool alone.
5. The price is fixed at the seal. Between clearing and the last settlement the batch is sealed and refuses new orders and cancels.

What happens to each orderCopy Anchor Link

• Filled. Settles at its flow's price. An open's unused collateral comes back at settlement.
• Partly filled. The filled part books. The rest goes home. Nothing rolls into the next batch.
• Not filled. Goes home at settlement with its collateral. A maker whose quote nobody took quotes again into the next batch.
• Nothing crossed in either flow. The batch still seals. Every order in it settles unfilled and is refunded. Without this, 64 orders priced never to cross could hold every slot for good.

The last settlement opens the next batch. Clearing and settlement are permissionless and take no price from the caller.

Numerical exampleCopy Anchor Link

A batch on a market with the mark at 10.00:

• Taker bids: 100 at 10.05, 200 at 10.00
• Maker asks: 150 at 9.95, 100 at 10.00, 100 at 10.10
• Taker ask: 120 at 9.85
• Maker bids: 80 at 9.90, 60 at 9.80

Buy flow (taker bids against maker asks):

Clears at 10.00. The 10.05 bid fills 100 at 10.00. The 10.00 bid fills 150 of 200. Both asks at or under 10.00 fill in full. The 10.10 ask does not trade. If the pool's ask is at or under 10.00, it sells the last 50 at 10.00.

Sell flow (taker ask against maker bids):

Volume and imbalance tie, so rule 3 picks 9.90, nearer the 10.00 mark. The taker sells 80 of 120 at 9.90, above its 9.85 limit. The 9.80 bid does not trade. If the pool's bid is at or above 9.90, it buys the last 40 at 9.90.

Opening auctionCopy Anchor Link

A market priced by the mark keeper trades from its first push and has no opening auction. Without a keeper, a new observed market cannot clear until its mark is seasoned (30 readings over at least 15 minutes, see Price sources). Orders placed in that time rest, and all clear together in the first batch.

On devnetCopy Anchor Link

The venue's server runs the crank. It clears and settles every market with orders about once a second, and checks idle markets every 4 seconds. It also runs a small maker that quotes 10 bps either side of the mark, up to $2,000 a quote, only in batches where a taker is waiting.

An order signed while its batch is sealed is held by the server and sent again every 1.5 seconds, up to 8 times, so it lands in the next batch instead of coming back rejected.

The clearing rules are proven for every input within bounds. See Verification.