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Documentation Index

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Overview

User balances have a target precision before and after every fill:
  • Direct member balances are rounded to the nearest $0.0001 (0.01c)
  • Non-direct member balances are rounded to the nearest $0.01 (1c)
When a trade produces a balance change that is more precise than the user’s target balance precision, the exchange charges a rounding fee to bring the balance back to that target. The fee accumulator still applies across all fills of an order so that the total fee converges to what a single equivalent fill would cost. Every fill produces three fee components:
ComponentDescription
Trade feeFee from the fee model, rounded up to the nearest $0.0001 (centicent)
Rounding feeAdjustment that restores the user’s target balance precision
RebateRefund from accumulated rounding overpayment (always a multiple of $0.01)
Net fee = trade fee + rounding fee - rebate (always >= $0.00)

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Rounding Mechanics

Given a fill’s revenue (signed; negative for buyers) and trade_fee:
  1. Round trade fee up to the nearest $0.0001
  2. Compute balance_change = revenue - trade_fee
  3. Floor balance_change toward negative infinity to the user’s target balance precision
  4. rounding_fee = balance_change - floor(balance_change)
The user’s balance changes by floor(balance_change), which is always aligned to the user’s target balance precision.

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Fee Accumulator

The fee accumulator tracks cumulative rounding overpayment across all fills of an order. Once the accumulated rounding exceeds $0.01, a whole-cent rebate is issued and the accumulator is reduced by $0.01. This ensures the total fee across many small fills converges to what a single equivalent fill would cost.
The fee accumulator is maintained per order across all fills regardless of whether the fills are taker or maker. If an order initially takes (matching resting orders) and then becomes a resting maker order, the accumulated rounding carries over to subsequent maker fills.

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Worked Examples

The examples below assume a target balance precision of $0.01 (1c). For direct members of the exchange, apply the same mechanics with $0.0001 (0.01c) as the target precision.
Buy 3 contracts at $0.055, filled as three 1-lot matches. Contracts are whole; rounding arises from the sub-cent price.Fill 1 walkthrough:
revenue        = -$0.055 x 1       = -$0.0550
trade fee      = $0.0085             (ceiled to centicent)
balance change = -$0.0550 - $0.0085  = -$0.0635
                 floored to            -$0.07
rounding fee   = $0.07 - $0.0635    =  $0.0065
All fills:
FillTrade FeeRoundingAccumulatorRebateNet FeeBalance Change
1$0.0085$0.0065$0.0065—$0.0150-$0.07
2$0.0085$0.0065$0.0130$0.0100$0.0050-$0.07
3$0.0085$0.0065$0.0095—$0.0150-$0.07
On Fill 2, the accumulator reaches $0.0130 (> $0.01), triggering a $0.01 rebate. The net fee drops to $0.0050 for that fill.
Buy 0.90 contracts at $0.50, filled as three 0.30-lot matches. The price is a whole cent; rounding arises from the fractional quantity.Fill 1 walkthrough:
revenue        = -$0.50 x 0.30       = -$0.1500
trade fee      = $0.0041               (ceiled to centicent)
balance change = -$0.1500 - $0.0041    = -$0.1541
                 floored to              -$0.16
rounding fee   = $0.16 - $0.1541      =  $0.0059
All fills:
FillTrade FeeRoundingAccumulatorRebateNet FeeBalance Change
1$0.0041$0.0059$0.0059—$0.0100-$0.16
2$0.0041$0.0059$0.0118$0.0100$0.0000-$0.16
3$0.0041$0.0059$0.0077—$0.0100-$0.16
On Fill 2, the accumulator reaches $0.0118 (> $0.01), triggering a $0.01 rebate. The entire fee is offset, resulting in a $0.00 net fee for that fill.
Buy 0.09 contracts at $0.3301, filled as three 0.03-lot matches. Both features contribute sub-cent components, pushing intermediates to 6 decimal places.Fill 1 walkthrough:
revenue        = -$0.3301 x 0.03      = -$0.009903
trade fee      = $0.0005                (ceiled to centicent)
balance change = -$0.009903 - $0.0005  = -$0.010403
                 floored to              -$0.02
rounding fee   = $0.02 - $0.010403     =  $0.009597
All fills:
FillTrade FeeRoundingAccumulatorRebateNet FeeBalance Change
1$0.0005$0.009597$0.009597—$0.010097-$0.02
2$0.0005$0.009597$0.019194$0.0100$0.000097-$0.02
3$0.0005$0.009597$0.018791$0.0100$0.000097-$0.02
The accumulator triggers a rebate on both Fill 2 and Fill 3, keeping the total net fee close to the single-fill equivalent.
Subpenny prices alone produce 4-decimal-place intermediates. Fractional contracts alone also produce 4-decimal-place intermediates. When combined, intermediates can reach 6 decimal places (e.g., $0.3301 x 0.03 = $0.009903). Final balances are rounded to the user’s target balance precision.