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Quantitative Finance · Glosarium

Apa itu In-block priority rule?

Definition 21.3 Markets III: Commodities, Energy and Crypto · Bab 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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