JIT Auctions

JIT (Just-In-Time) auctions are Velocity’s price discovery mechanism. When a taker order arrives (market order or aggressive limit crossing the spread), it enters an auction where market makers compete to fill it at better prices before it hits the DLOB or AMM.

Why JIT auctions?

Without JIT, taker orders would immediately execute against resting DLOB orders or the AMM at potentially worse prices. JIT auctions:

• Improve price execution for takers by giving makers time to offer better prices
• Reduce adverse selection by letting makers react to toxic flow
• Increase competition among market makers for the same fill
• Enable offchain quoting where makers don’t need to rest orders, just respond to auctions

This makes Velocity’s pricing more efficient than traditional limit order books.

Auction parameters

Every taker order that enters a JIT auction has three key parameters that define the auction:

The key insight: For a long, auctionStartPrice must be less than or equal to auctionEndPrice (the program rejects the order with InvalidOrderAuction otherwise); for a short, auctionStartPrice must be greater than or equal to auctionEndPrice. The auction starts at the taker’s best price and ramps toward their worst acceptable price as slots pass: early in the auction, makers must offer a price close to the taker’s best price to win the fill. As the auction progresses, the price moves toward the taker’s limit and more makers can compete profitably.

Auction timeline

Slot 0          Slot 5          Slot 10 (end)
  |               |               |
  Best price ──────────────────► Worst price (for taker)
  for taker                       Falls to DLOB/AMM

  Hardest for     Easier for      Auction over,
  makers to       makers to       remaining size
  win fills       win fills       goes to DLOB

For a taker going LONG:

• Slot 0: auction price = auctionStartPrice (e.g., oracle), taker pays at or near oracle
• Slot 5: auction price = midpoint (e.g., oracle + 0.05%)
• Slot 10: auction price = auctionEndPrice (e.g., oracle + 0.10%), taker at their limit

For a taker going SHORT:

• Slot 0: auction price = auctionStartPrice (e.g., oracle), taker sells at or near oracle
• Slot 10: auction price = auctionEndPrice (e.g., oracle - 0.10%), taker at their limit

Makers who fill closer to slot 0 are giving the taker a better price (and taking more risk). Makers who wait until later slots get easier fills but at less favorable prices.

Auction pricing formula

Auction prices interpolate linearly from start to end over the auction duration:

Auction Price(slot) = start_price + (end_price - start_price) x progress

where progress = min(1, (current_slot - auction_start_slot) / auction_duration)

Example (long market order, oracle at $100):

• auctionStartPrice: $100.00 (oracle)
• auctionEndPrice: $100.10 (oracle + 0.1%, the taker’s limit)
• auctionDuration: 10 slots
• At slot 3: price = $100.00 + ($100.10 - $100.00) x 0.3 = $100.03
• At slot 7: price = $100.00 + ($100.10 - $100.00) x 0.7 = $100.07

A maker offering $100.05 would be eligible to fill starting at slot 5 (when the auction price reaches $100.05). Makers offering $100.02 could fill as early as slot 2.

Auction lifecycle

1. Taker places order

import { OrderType, PositionDirection } from "@velocity-exchange/sdk";
 
// oraclePrice and auction prices are BN, PRICE_PRECISION (1e6)
await velocityClient.placePerpOrder({
  orderType: OrderType.MARKET,
  direction: PositionDirection.LONG,
  baseAssetAmount: size,
  auctionDuration: 10,                                            // 10 slots (may be raised by sanitization)
  auctionStartPrice: velocityClient.convertToPricePrecision(100),   // oracle
  auctionEndPrice: velocityClient.convertToPricePrecision(100.1),   // limit, oracle + 0.1%
});

2. Auction starts: the order enters auction for auctionDuration slots. The auction price interpolates from auctionStartPrice toward auctionEndPrice.

3. Market makers compete: makers observe the auction and submit fills at prices within the auction range.

// AuctionSubscriber has no getAuction()/pull-style API -- it's event-driven.
// It emits 'onAccountUpdate' with the taker's UserAccount whenever an order changes.
auctionSubscriber.eventEmitter.on("onAccountUpdate", async (takerUserAccount, pubkey, slot) => {
  // Inspect takerUserAccount.orders for the specific order in auction, then:
  await velocityClient.placeAndMakePerpOrder(
    makerOrderParams,
    takerInfo // includes taker's order and user account
  );
});

4. Auction resolves: best maker(s) fill the taker. If partially filled, remaining size continues through the auction. If unfilled after auctionDuration slots, it matches against DLOB, then AMM.

Maker participation

To participate in JIT auctions, bots typically:

1. Subscribe to auction feed

import { AuctionSubscriber } from "@velocity-exchange/sdk";
 
const auctionSubscriber = new AuctionSubscriber({
  velocityClient,
  opts: { commitment: "processed" }
});
 
await auctionSubscriber.subscribe();

2. Filter and price auctions

import { getAuctionPrice, isVariant } from "@velocity-exchange/sdk";
 
// AuctionSubscriber emits 'onAccountUpdate' with UserAccount data
auctionSubscriber.eventEmitter.on("onAccountUpdate", (userAccount, pubkey, slot) => {
  // Find orders in auction (hasAuction flag is set by the memcmp filter)
  for (const order of userAccount.orders) {
    if (
      !isVariant(order.status, "open") ||
      order.baseAssetAmount.eq(order.baseAssetAmountFilled)
    ) continue;
 
    // Calculate current auction price at this slot. Pass the market's tick size
    // (PerpMarketAccount.orderTickSize) so this matches the program's own rounding --
    // see Orderbook & Matching's tick-size section for why this matters.
    const perpMarket = velocityClient.getPerpMarketAccount(order.marketIndex);
    const oracleData = velocityClient.getMMOracleDataForPerpMarket(order.marketIndex);
    const auctionPrice = getAuctionPrice(order, slot, oracleData.price, perpMarket.orderTickSize);
 
    // Check if your desired fill price is within the current auction range
    const myFillPrice = calculateMyPrice(oracleData, inventory);
 
    if (isProfitable(myFillPrice, auctionPrice, order.direction)) {
      fillAuction(order, userAccount, pubkey, myFillPrice);
    }
  }
});

3. Risk management

• Oracle validity: Reject if oracle is stale or invalid
• Position limits: Don’t fill if it exceeds your max position
• Toxic flow detection: Skip auctions from certain patterns
• Inventory skew: Adjust participation based on current inventory

Place-and-make pattern

The placeAndMakePerpOrder instruction atomically:

1. Places your maker order onchain
2. Fills against the taker order
3. Settles PnL in a single transaction

This ensures you’re credited as the maker (earning rebates) while filling the taker atomically.

import { OrderType, PositionDirection, PostOnlyParams, OrderParamsBitFlag } from "@velocity-exchange/sdk";
 
const makerOrderParams = {
  orderType: OrderType.LIMIT,
  marketIndex: auction.order.marketIndex,
  direction: PositionDirection.SHORT, // opposite of taker's LONG
  price: velocityClient.convertToPricePrecision(myFillPrice),
  baseAssetAmount: auction.order.baseAssetAmount, // fill entire order
  postOnly: PostOnlyParams.MUST_POST_ONLY,
  // Required: the program rejects any place-and-make maker order that
  // isn't IOC + post-only + limit with InvalidOrderIOCPostOnly.
  bitFlags: OrderParamsBitFlag.ImmediateOrCancel,
};
 
const takerInfo = {
  taker: takerPubkey,                // PublicKey of taker's user account
  takerStats: takerStatsPubkey,      // PublicKey of taker's UserStats PDA
  takerUserAccount: takerUserAccount, // decoded UserAccount
  order: takerOrder,                  // the specific Order to fill
};
 
await velocityClient.placeAndMakePerpOrder(makerOrderParams, takerInfo);

Multi-maker fills

Multiple makers can fill the same taker order:

• Maker A fills 30% at oracle + 0.03%
• Maker B fills 50% at oracle + 0.01%
• Remaining 20% hits DLOB or AMM

Fills are allocated sequentially in price order, not split pro rata: the fill plan walks the price-sorted maker list and fills each maker in turn, with ties broken by DLOB arrival order.

Auction vs DLOB

JIT runs first, DLOB provides backup liquidity if auction doesn’t fully fill.

Performance considerations

For makers:

• Subscribe with commitment: "processed" for lowest latency
• Use WebSocket or gRPC subscriptions (not polling)
• Pre-compute oracle prices and risk checks
• Keep fills under compute budget (400k CU typical)

For takers:

• Auction adds a 5-10 slot delay (2-4 seconds at the 400ms baseline slot duration) before execution
• You get better prices but not instant fills
• Use market orders for auction participation (limit orders bypass auction if they don’t cross spread)

AMM as a JIT maker

The AMM isn’t only the fallback of last resort (see Orderbook & Matching): inside a DLOB match it can also compete as a JIT maker against your resting order for the same fill. Whether it does depends on a set of hard gates checked at fill time:

• AmmFill isn’t paused for the market (PerpOperation.AMM_FILL)
• the AMM doesn’t currently have too much drawdown
• the oracle (including the MM oracle, when active and recent) is valid and not too volatile vs. the exchange oracle

If any of these gates trips, the AMM is excluded from that DLOB match entirely: you’re only competing against other DLOB makers for that fill, not the AMM. This is separate from the auction-timing rules that decide whether the AMM can fill a fresh taker order immediately outside of a DLOB match. Practically: don’t assume the AMM is always a competing quote inside the auction, during a pause, drawdown, or oracle-stress event it drops out, and DLOB-only makers pick up the full remaining size.

JIT Proxy library

Not yet published to npm. @velocity-exchange/jit-proxy isn’t on the npm registry yet. Build it from packages/jit-proxy in the velocity-v1 monorepo  until it is. The client is vendored in-repo, ported to Anchor 1.0, and built against @velocity-exchange/sdk; it exposes the same JitProxyClient / JitterSniper / JitterShotgun API as upstream.

The package provides higher-level abstractions for auction participation:

• JitterSniper: waits for the optimal auction slot before submitting a single fill transaction. Best for precise pricing with lower compute costs.
• JitterShotgun: submits fill transactions at multiple auction slots simultaneously. Higher fill rate but uses more compute and SOL for fees.

The JitMaker bot in keeper-bots-v2 demonstrates both strategies and includes market volatility checks, position sizing, and DLOB-aware pricing.

import { JitterSniper, JitterShotgun, PriceType } from "@velocity-exchange/jit-proxy";
 
// Sniper: one precise fill attempt.
const jitter = new JitterSniper({
  auctionSubscriber,
  velocityClient,
  // ...
});
 
// Shotgun: multiple fill attempts across auction slots
const jitter = new JitterShotgun({
  auctionSubscriber,
  velocityClient,
  // ...
});

Gotchas

• Auction slots ≠ wall-clock time: auction duration is measured in Solana slots, not seconds. Slot duration is a configurable State field that steps down from a 400ms baseline toward 200ms over time (so 10 slots is roughly 4 seconds today but shortens as the schedule advances), and network congestion can stretch slot times further on top of that.
• Requested duration can be raised: auctionDuration you pass is a floor, not a guarantee. Order sanitization can raise it to a market/tier-derived minimum based on the requested price range, so the on-chain value may exceed what you set.
• Partial fills are common: multiple makers compete for the same auction. Your fill may be partial; handle baseAssetAmountFilled < baseAssetAmount gracefully.
• Compute budget for place-and-make: these transactions are heavier than simple order placement. Budget 400-800k CU (the JitMaker defaults to 800k). Under-budgeting causes silent failures.
• Stale takerInfo: if you hold a taker reference too long, the taker’s order may already be filled or cancelled. Check order.baseAssetAmount - order.baseAssetAmountFilled for remaining size.

Related

• Orderbook & Matching - DLOB and liquidity priority (JIT → DLOB → AMM)
• Matching Engine - Full liquidity priority flow
• JIT-only MM - Building a JIT market maker bot
• SWIFT API - See taker orders 100-500ms before they hit the auction
• packages/jit-proxy - JIT proxy SDK (@velocity-exchange/jit-proxy, unpublished: build from source)