Order Book
Order Book Mechanics in Aurora
Aurora maintains an on-chain order book for every supported asset. The system is designed to feel familiar to centralized exchanges (CEXs), while offering the transparency and composability of a decentralized environment.
Tick Size & Lot Size
Orders must be submitted at price levels that are integer multiples of the market’s defined tick size.
Order quantities must be multiples of the market’s lot size. This enforces consistency across trades and ensures efficient order book operations.
Matching Engine Aurora’s order matching follows strict price–time priority:
Orders with better prices execute first.
When prices are equal, the earliest submitted orders take precedence.
Clearinghouse & Margining
For perpetual contracts, Aurora’s order books interact directly with the Aurora Clearinghouse, which manages margin, positions, and settlement.
Margin Verification
Checked at order entry, ensuring the trader has sufficient collateral before the order is accepted.
Checked again for the resting order side during each match, ensuring that both counterparties remain adequately collateralized.
This dual margin check protects the system from inconsistencies that could arise if oracle prices shift after orders are placed.
Transaction Ordering in Aurora Consensus
Aurora introduces a unique design where the mempool and consensus logic are semantically aware of transactions involving order books. This allows deterministic, exchange-style fairness in block construction.
Within a block, actions are ordered in three tiers:
Non-Order Actions
Transactions that don’t place any Good-Til-Cancelled (GTC) or Immediate-or-Cancel (IOC) orders.
Cancels
Transactions explicitly cancelling existing orders.
Order Placements
Transactions that place at least one GTC or IOC order.
Within each category, ordering follows the sequence proposed by the block proposer.
Modify Orders are categorized based on the characteristics of the new order being placed, rather than the replaced one.
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