What is a GLOB?

The main idea

Consider the time weighted average price order (TWAP), a common strategy for whales to lower price impact by splitting their trade into many smaller ones that are executed over time.

Note how each individual trade is instant, but together they seem to approximate a continuous process of finite duration. Intuitively, the faster this duration is set, the higher the price impact will be.

Can we have markets that are so smooth that every trade must be a perfect, continuous stream, such that even the building blocks themselves are already streaming?

The answer is yes. This idea, together with the one of limits recorded in a book, is the GLOB.

Context

We implemented the Gradual Limit Order Book (GLOB) as CosmWasm smart contracts. GLOBs enable a new way of trading without middlemen and were introduced and are studied further in

• Liquid Prediction Markets Without Frontrunning (Andreas Finke), 13p, 2023, accepted at CfC St Moritz 2024 [Invention of the GLOB in the context of prediction markets]
• Gradual Limit Order Books (Ermis Mitsou and Andreas Finke), 29p, 2024, to appear [Rigorous mathematical exposure of the GLOB for general applications]

For the time being, these papers are not public. Please contact us to indicate interest.

Meanwhile, we invite you to browse through the next pages to learn what the GLOB entails and why it is a good idea.