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Overview

User balances have a target precision before and after every fill:
  • Direct member balances are aligned to $0.0001 (0.01c)
  • Non-direct member balances are aligned to $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 applies across all fills of an order so that the total fee converges to what a single equivalent fill would cost. Fees are six-decimal dollar amounts ($0.000001 granularity) — the finest precision a fill’s revenue (price × quantity) can occupy. Every fill produces three fee components: Net fee = trade fee + rounding fee - rebate (always >= $0.00)

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Rounding Mechanics

Given a fill’s signed revenue (negative for buyers) and model fee:
  1. Compute trade_fee = ceil_6dp(model_fee)
  2. Compute aligned_change = floor_precision(revenue - trade_fee)
  3. Compute rounding_fee = (revenue - trade_fee) - aligned_change
  4. Add the rounding fee to the order’s accumulator
  5. Rebate accumulated rounding in increments of the user’s target balance precision, capped so the fill’s net fee cannot be negative
Before any rebate, the user’s balance changes by aligned_change, which is always on the user’s precision grid.

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Fee Accumulator

The fee accumulator carries rounding overpayment across an order’s fills. Rebates use the user’s target balance precision: $0.0001 for direct members and $0.01 for non-direct members.
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

For a non-direct member with $0.01 balance precision, suppose a buy has -$0.055000 of signed revenue and a model fee of $0.00363825:
The balance changes by -$0.06; the trade fee plus rounding fee is exactly $0.005.
If three fills each add $0.004 of rounding overpayment, the accumulator carries it forward. Assuming the third fill has enough total fee to cover a $0.01 rebate:This table uses a non-direct member’s $0.01 precision. Direct-member rebates follow the same mechanics in $0.0001 increments. In either case, the rebate is capped so that the fill’s net fee cannot become negative.