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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى In-block priority rule؟

Definition 21.3 Markets III: Commodities, Energy and Crypto · الفصل 21 — On-Chain Order Books and Perpetual DEXs

An in-block priority rule is the protocol rule that sorts the trading actions of a block before they are applied to the order books, overriding the order in which the block’s proposer received or listed them.

An in-block priority rule of the kind describes: the block’s actions are sorted into three classes and applied class by class, in proposed order within each class. A maker’s cancel and new post-only quote are applied before any taker’s order in the same block. Schematic.
Figure 21.1. An in-block priority rule of the kind Box 21.2 describes: the block’s actions are sorted into three classes and applied class by class, in proposed order within each class. A maker’s cancel and new post-only quote are applied before any taker’s order in the same block. Schematic.
A maker’s losses to stale-quote pick-offs over a thousand blocks under two in-block rules, with fair value moving a normal two ticks a block and the taker’s order arriving before the maker’s cancel half the time. Under the class rule the maker’s cancel and requote always come first. Synthetic replay. Data: the chapter’s tutorial.
Figure 21.2. A maker’s losses to stale-quote pick-offs over a thousand blocks under two in-block rules, with fair value moving a normal two ticks a block and the taker’s order arriving before the maker’s cancel half the time. Under the class rule the maker’s cancel and requote always come first. Synthetic replay. Data: the chapter’s tutorial.
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