Continuous double auction
The continuous double auction matches incoming orders against a limit order book by price-then-time priority — the engine of modern exchanges, but one that rewards latency and lets fast traders snipe stale quotes. Zero-intelligence traders submitting random budget-constrained orders still drive a CDA to near the competitive equilibrium (Gode & Sunder, 1993).
Its discrete-time counterpart, the frequent batch auction, removes the speed race by clearing at a uniform price.
Code: mechanisms/cda.py ·
Demo: examples/sim_cda.py ·
Research: perps-cda-monteprediction.md