Terminology

Price, Quantity, and Lots

All orders are placed on a single market, specified by the market-id. The market definition specifies the base and quote assets and their respective lot sizes for the particular market. Prices and quantities in this API are in units of base and quote lots. That is, a quantity of 1 equals 1 base lot, and a price of 10 equals 10 quote lots / base lot (read as quote lots per base lot).

For example, consider an ETH/BTC market. ETH is the base asset and BTC is the quote asset. ETH has 18 decimal places (1 ETH = 10^18 WEI) and BTC has 8 decimal places (1 BTC = 10^8 SAT). Suppose that in this example, the ETH/BTC market has a base lot size of 10^15 and a quote lot size of 10^0 (1). Then an order placed with quantity = 230 and limit price = 6300 in market-agnostic terms is an order for 0.23 ETH at a price of 0.06300 BTC / ETH, calculated from:

230 base lots
  * (10^15 WEI / base lot)
  / (10^18 WEI / ETH)
  = 0.230 ETH

6300 quote lots / base lot
  * (1 SAT / quote lot)
  / (10^15 WEI / base lot)
  * (10^18 WEI / ETH)
  / (10^8 SAT / BTC)
  = 0.06300 BTC / ETH

When calculating RawUnit amounts for transacted assets, e.g. for reconciliation, use the fill_quantity * base lot size for the base asset and the fill_quote_quantity * quote lot size for the quote asset.

When orders are filled in a market enabled for implied matching, the price may not reflect the exact ratio between the base and quote asset transacted. See Implied Matching for more details.

Exchange Order ID

Each order is assigned a unique ID by the exchange. This order ID is consistent across modifies (including cancel-replace), and other operations. The exchange order ID can be used to find a particular order in the market-by-order market data feed, which allows the determination of FIFO queue priority, etc.

Transact Time

The transact time is the matching engine timestamp for when an event is processed. Events that occur with the same transact time occur atomically from the perspective of the matching engine.