Central Limit Order Book (CLOB) and Scheduled Sweeps

*Scheduled Sweeps from Trading to Consumption Account are coming soon. Currently, all units are transferred to the Consumption Account as soon as the trade is filled.

How the order book works

At a high level, The Grid runs a real time CLOB with periodic sweeps from Trading to Consumption Accounts.

For each Instrument, the exchange maintains a live order book:

• Limit Buy (Bid): They specify a maximum price per Unit and a quantity of Units.

  • A Markey Buy (Bid) is automatically submitted at the highest bid price.

• Limit Sell (Ask): They specify a minimum price per Unit and a quantity of Units.

  • A Market Sell (Ask) is automatically submitted at the lowest ask price.

• The highest bid and lowest ask at any moment form the inside market.

Matching rules

The matching engine follows standard price time priority:

1. Orders are sorted first by price. Better prices match first.

2. Within the same price level, earlier orders match before later ones.

Orders can match against multiple counterparties. One buyer can be serviced by many suppliers and one supplier might sell to many buyers.

Scheduled Sweeps*

The Scheduled Sweeps work in conjunction with the CLOB as follows:

• Trading Accounts hold financially owned Units.

• Consumption Accounts hold Units that must be used via the API.

• A Sweep event every 4 hours (00:00, 04:00 UTC, and so on) transfers Units from Trading to Consumption Account, closing the loop between trading and delivery.

Key properties

• No Resale from Consumption

  Once a Unit is in the Consumption Account, it cannot be resold. It must either be used or expire.

• Resale Only Before Sweep

  Units can be freely resold while they are in Trading Account. Buyers have until the next sweep to re-sell their unit if their consumption plans change.

• Time Value of Units

  A Unit bought right after a Sweep has nearly 4 hours of price-time curve that professional participants can use to trade and arbitrage.