diff --git a/api/src/consts.rs b/api/src/consts.rs
index bd88e6a..2958e37 100644
--- a/api/src/consts.rs
+++ b/api/src/consts.rs
@@ -107,3 +107,12 @@ pub const TREASURY_TOKENS_ADDRESS: Pubkey = Pubkey::new_from_array(
     )
     .0,
 );
+
+/// Denominator for protocol fee calculations.
+pub const FEE_RATE_BPS: u64 = 100;
+
+/// Denominator for fee calculations.
+pub const DENOMINATOR_BPS: u64 = 10_000;
+
+/// Slot window size, used for sandwich resistance.
+pub const SLOT_WINDOW: u64 = 4;
diff --git a/api/src/error.rs b/api/src/error.rs
index ace6867..1350457 100644
--- a/api/src/error.rs
+++ b/api/src/error.rs
@@ -5,6 +5,15 @@ use steel::*;
 pub enum OreError {
     #[error("Placeholder error")]
     Dummy = 0,
+
+    #[error("Insufficient vault reserves")]
+    InsufficientVaultReserves = 1,
+
+    #[error("Invariant violation")]
+    InvariantViolation = 2,
+
+    #[error("Insufficient liquidity")]
+    InsufficientLiquidity = 3,
 }
 
 error!(OreError);
diff --git a/api/src/event.rs b/api/src/event.rs
index 5718ef0..b782ba4 100644
--- a/api/src/event.rs
+++ b/api/src/event.rs
@@ -1,28 +1,39 @@
 use steel::*;
 
-#[repr(C)]
-#[derive(Clone, Copy, Debug, PartialEq, Pod, Zeroable)]
-pub struct BuryEvent {
-    pub amount: u64,
-    pub ts: u64,
-}
+use crate::state::SwapDirection;
 
 #[repr(C)]
-#[derive(Clone, Copy, Debug, PartialEq, Pod, Zeroable)]
-pub struct DeployEvent {
-    pub authority: Pubkey,
-    pub amount: u64,
-    pub ts: u64,
+#[derive(Clone, Copy, Debug, Default, PartialEq, Pod, Zeroable)]
+pub struct SwapEvent {
+    /// Swap direction.
+    pub direction: u64,
+
+    /// Amount of base tokens to transfer.
+    pub base_to_transfer: u64,
+
+    /// Amount of quote tokens to transfer.
+    pub quote_to_transfer: u64,
+
+    /// Amount of base tokens swapped via virtual limit order.
+    pub base_via_order: u64,
+
+    /// Amount of quote tokens swapped via virtual limit order.
+    pub quote_via_order: u64,
+
+    /// Amount of base tokens swapped via curve.
+    pub base_via_curve: u64,
+
+    /// Amount of quote tokens swapped via curve.
+    pub quote_via_curve: u64,
+
+    /// Amount of quote tokens taken in fees.
+    pub quote_fee: u64,
 }
 
-#[repr(C)]
-#[derive(Clone, Copy, Debug, PartialEq, Pod, Zeroable)]
-pub struct PayoutEvent {
-    pub authority: Pubkey,
-    pub amount: u64,
-    pub ts: u64,
+impl SwapEvent {
+    pub fn direction(&self) -> SwapDirection {
+        SwapDirection::try_from(self.direction as u8).unwrap()
+    }
 }
 
-event!(BuryEvent);
-event!(DeployEvent);
-event!(PayoutEvent);
+event!(SwapEvent);
diff --git a/api/src/state/market.rs b/api/src/state/market.rs
deleted file mode 100644
index bfae8f6..0000000
--- a/api/src/state/market.rs
+++ /dev/null
@@ -1,17 +0,0 @@
-use steel::*;
-
-use super::OreAccount;
-
-#[repr(C)]
-#[derive(Clone, Copy, Debug, PartialEq, Pod, Zeroable)]
-pub struct Market {
-    /// The id of the block this market is associated with.
-    pub id: u64,
-
-    /// Mint of the hash token.
-    pub mint: Pubkey,
-}
-
-// TODO Bonding curve stuff
-
-account!(OreAccount, Market);
diff --git a/api/src/state/market/buy_exact_in.rs b/api/src/state/market/buy_exact_in.rs
new file mode 100644
index 0000000..38c08a0
--- /dev/null
+++ b/api/src/state/market/buy_exact_in.rs
@@ -0,0 +1,77 @@
+use crate::error::OreError;
+
+use super::{Market, SwapDirection, TokenType, VirtualLimitOrder};
+use crate::event::SwapEvent;
+
+impl Market {
+    pub fn buy_exact_in(&mut self, quote_in: u64) -> Result<SwapEvent, OreError> {
+        // Get fee from quote side.
+        let quote_fee = self.fee(quote_in);
+        let quote_in_post_fee = quote_in - quote_fee;
+
+        // Upcast data.
+        let quote_in_post_fee = quote_in_post_fee as u128;
+
+        // Get virtual limit order.
+        let VirtualLimitOrder {
+            size_in_base: ask_size_in_base,
+            size_in_quote: ask_size_in_quote,
+        } = self.get_virtual_limit_order(SwapDirection::Buy);
+
+        // Execute swap.
+        let (base_via_ask, quote_via_ask, base_via_curve, quote_via_curve) =
+            if !self.sandwich_resistance_enabled() {
+                // Fill entire swap via curve.
+                let quote_via_curve = quote_in_post_fee;
+                let base_via_curve = self.get_base_out(quote_via_curve);
+                self.update_reserves(base_via_curve, quote_via_curve, SwapDirection::Buy);
+                (0, 0, base_via_curve, quote_via_curve)
+            } else if ask_size_in_quote >= quote_in_post_fee {
+                // Fill entire swap via virtual limit order.
+                let quote_via_ask = quote_in_post_fee;
+                let base_via_ask = self.get_complementary_limit_order_size(
+                    quote_in_post_fee,
+                    SwapDirection::Buy,
+                    TokenType::Quote,
+                );
+                self.update_reserves(base_via_ask, quote_via_ask, SwapDirection::Buy);
+                (base_via_ask, quote_via_ask, 0, 0)
+            } else {
+                // Partially fill swap via virtual limit order.
+                let base_via_ask = ask_size_in_base;
+                let quote_via_ask = ask_size_in_quote;
+                self.update_reserves(base_via_ask, quote_via_ask, SwapDirection::Buy);
+
+                // Fill remaining swap amount via curve.
+                let quote_via_curve = quote_in_post_fee - ask_size_in_quote;
+                let base_via_curve = self.get_base_out(quote_via_curve);
+                self.update_reserves(base_via_curve, quote_via_curve, SwapDirection::Buy);
+                (base_via_ask, quote_via_ask, base_via_curve, quote_via_curve)
+            };
+
+        // Produce swap result.
+        let base_out = base_via_ask + base_via_curve;
+        let swap_event = SwapEvent {
+            direction: SwapDirection::Buy as u64,
+            base_to_transfer: base_out as u64,
+            quote_to_transfer: quote_in,
+            base_via_order: base_via_ask as u64,
+            quote_via_order: quote_via_ask as u64,
+            base_via_curve: base_via_curve as u64,
+            quote_via_curve: quote_via_curve as u64,
+            quote_fee: quote_fee as u64,
+        };
+
+        // Sanity check swap event.
+        assert!(
+            swap_event.base_to_transfer == swap_event.base_via_order + swap_event.base_via_curve
+        );
+        assert!(
+            swap_event.quote_to_transfer
+                == swap_event.quote_via_order + swap_event.quote_via_curve + swap_event.quote_fee
+        );
+
+        // Return
+        Ok(swap_event)
+    }
+}
diff --git a/api/src/state/market/buy_exact_out.rs b/api/src/state/market/buy_exact_out.rs
new file mode 100644
index 0000000..da36500
--- /dev/null
+++ b/api/src/state/market/buy_exact_out.rs
@@ -0,0 +1,82 @@
+use crate::error::OreError;
+
+use super::{Market, SwapDirection, TokenType, VirtualLimitOrder};
+use crate::event::SwapEvent;
+
+impl Market {
+    pub fn buy_exact_out(&mut self, base_out: u64) -> Result<SwapEvent, OreError> {
+        // Check if there is enough liquidity.
+        if self.base.balance < base_out {
+            return Err(OreError::InsufficientLiquidity);
+        }
+
+        // Upcast data.
+        let base_out = base_out as u128;
+
+        // Get virtual limit order.
+        let VirtualLimitOrder {
+            size_in_base: ask_size_in_base,
+            size_in_quote: ask_size_in_quote,
+        } = self.get_virtual_limit_order(SwapDirection::Buy);
+
+        // Execute swap.
+        let (base_via_ask, quote_via_ask, base_via_curve, quote_via_curve) =
+            if !self.sandwich_resistance_enabled() {
+                // Fill entire swap via curve.
+                let base_via_curve = base_out;
+                let quote_via_curve = self.get_quote_in(base_via_curve)?;
+                self.update_reserves(base_via_curve, quote_via_curve, SwapDirection::Buy);
+                (0, 0, base_via_curve, quote_via_curve)
+            } else if ask_size_in_base >= base_out {
+                // Fill entire swap through virtual limit order.
+                let base_via_ask = base_out;
+                let quote_via_ask = self.get_complementary_limit_order_size(
+                    base_via_ask,
+                    SwapDirection::Buy,
+                    TokenType::Base,
+                );
+                self.update_reserves(base_via_ask, quote_via_ask, SwapDirection::Buy);
+                (base_via_ask, quote_via_ask, 0, 0)
+            } else {
+                // Partially fill swap through virtual limit order.
+                let base_via_ask = ask_size_in_base;
+                let quote_via_ask = ask_size_in_quote;
+                self.update_reserves(base_via_ask, quote_via_ask, SwapDirection::Buy);
+
+                // Fill remaining swap amount through pool.
+                let base_via_curve = base_out - base_via_ask;
+                let quote_via_curve = self.get_quote_in(base_via_curve)?;
+                self.update_reserves(base_via_curve, quote_via_curve, SwapDirection::Buy);
+                (base_via_ask, quote_via_ask, base_via_curve, quote_via_curve)
+            };
+
+        // Calculate fee.
+        let quote_post_fee = quote_via_ask + quote_via_curve;
+        let quote_in = self.pre_fee(quote_post_fee as u64) as u128;
+        let quote_fee = quote_in - quote_post_fee;
+
+        // Produce swap result.
+        let swap_event = SwapEvent {
+            direction: SwapDirection::Buy as u64,
+            base_to_transfer: base_out as u64,
+            quote_to_transfer: quote_in as u64,
+            base_via_order: base_via_ask as u64,
+            quote_via_order: quote_via_ask as u64,
+            base_via_curve: base_via_curve as u64,
+            quote_via_curve: quote_via_curve as u64,
+            quote_fee: quote_fee as u64,
+        };
+
+        // Sanity check swap result.
+        assert!(
+            swap_event.base_to_transfer == swap_event.base_via_order + swap_event.base_via_curve
+        );
+        assert!(
+            swap_event.quote_to_transfer
+                == swap_event.quote_via_order + swap_event.quote_via_curve + swap_event.quote_fee
+        );
+
+        // Return.
+        Ok(swap_event)
+    }
+}
diff --git a/api/src/state/market/curve.rs b/api/src/state/market/curve.rs
new file mode 100644
index 0000000..010e5fa
--- /dev/null
+++ b/api/src/state/market/curve.rs
@@ -0,0 +1,52 @@
+use crate::error::OreError;
+
+use super::Market;
+
+// TODO Add weights.
+
+impl Market {
+    /// Returns the constant product invariant.
+    pub(crate) fn k(&self) -> u128 {
+        let base_reserves = self.base.balance as u128;
+        let quote_reserves = self.quote.balance as u128;
+        (base_reserves * quote_reserves).saturating_sub(1)
+    }
+
+    /// Returns the amount of base tokens that can be bought from a given amount of quote tokens.
+    pub fn get_base_out(&self, quote_in: u128) -> u128 {
+        let base_reserves = self.base.balance as u128;
+        let quote_reserves = self.quote.balance as u128;
+        let base_out = base_reserves - (self.k() / (quote_reserves + quote_in)).saturating_add(1);
+        base_out
+    }
+
+    /// Returns the amount of quote tokens received from selling a given amount of base tokens.
+    pub fn get_quote_out(&self, base_in: u128) -> u128 {
+        let base_reserves = self.base.balance as u128;
+        let quote_reserves = self.quote.balance as u128;
+        let quote_out = quote_reserves - (self.k() / (base_reserves + base_in)).saturating_add(1);
+        quote_out
+    }
+
+    /// Returns the amount of quote tokens needed to buy a given amount of base tokens.
+    pub fn get_quote_in(&self, base_out: u128) -> Result<u128, OreError> {
+        let base_reserves = self.base.balance as u128;
+        let quote_reserves = self.quote.balance as u128;
+        if base_out >= base_reserves {
+            return Err(OreError::InsufficientVaultReserves.into());
+        }
+        let quote_in = (self.k() / (base_reserves - base_out)).saturating_add(1) - quote_reserves;
+        Ok(quote_in)
+    }
+
+    /// Returns the amount of base tokens which must be sold to receive a given amount of quote tokens.
+    pub fn get_base_in(&self, quote_out: u128) -> Result<u128, OreError> {
+        let base_reserves = self.base.balance as u128;
+        let quote_reserves = self.quote.balance as u128;
+        if quote_out >= quote_reserves {
+            return Err(OreError::InsufficientVaultReserves.into());
+        }
+        let base_in = (self.k() / (quote_reserves - quote_out)).saturating_add(1) - base_reserves;
+        Ok(base_in)
+    }
+}
diff --git a/api/src/state/market/fees.rs b/api/src/state/market/fees.rs
new file mode 100644
index 0000000..23c5986
--- /dev/null
+++ b/api/src/state/market/fees.rs
@@ -0,0 +1,24 @@
+use crate::consts::*;
+
+use super::Market;
+
+impl Market {
+    pub(crate) fn apply_fees(&mut self, quote_fee: u64) {
+        // Process protocol fees.
+        self.fee.cumulative += quote_fee;
+        self.fee.uncollected += quote_fee;
+    }
+
+    /// Calculates the fee from a quote amount.
+    pub(crate) fn fee(&self, quote_size: u64) -> u64 {
+        quote_size * self.fee.rate / DENOMINATOR_BPS
+    }
+
+    /// Calculates the pre-fee quote from a post-fee quote amount.
+    pub(crate) fn pre_fee(&self, quote_post_fee: u64) -> u64 {
+        // x * 10000 / (10000 - fee) is approximately equivalent to x * (1 - fee / 10000)
+        let numerator = quote_post_fee * DENOMINATOR_BPS;
+        let denominator = DENOMINATOR_BPS - self.fee.rate;
+        return numerator / denominator;
+    }
+}
diff --git a/api/src/state/market/market.rs b/api/src/state/market/market.rs
new file mode 100644
index 0000000..71eddb0
--- /dev/null
+++ b/api/src/state/market/market.rs
@@ -0,0 +1,375 @@
+use spl_associated_token_account::get_associated_token_address;
+use steel::*;
+
+use crate::state::{market_pda, OreAccount};
+
+// TODO Bonding curve stuff
+
+#[repr(C)]
+#[derive(Clone, Copy, Debug, PartialEq, Pod, Zeroable)]
+pub struct Market {
+    /// Base token parameters.
+    pub base: TokenParams,
+
+    /// Quote token parameters.
+    pub quote: TokenParams,
+
+    /// Fee parameters.
+    pub fee: FeeParams,
+
+    /// Snapshot of the market state at the time of the last swap.
+    pub snapshot: Snapshot,
+
+    /// The id of the block this market is associated with.
+    pub id: u64,
+}
+
+impl Market {
+    pub fn pda(&self) -> (Pubkey, u8) {
+        market_pda(self.id)
+    }
+
+    pub fn base_vault(&self) -> Pubkey {
+        get_associated_token_address(&self.pda().0, &self.base.mint)
+    }
+
+    pub fn quote_vault(&self) -> Pubkey {
+        get_associated_token_address(&self.pda().0, &self.quote.mint)
+    }
+
+    pub fn sandwich_resistance_enabled(&self) -> bool {
+        self.snapshot.enabled == 1
+    }
+}
+
+#[repr(C)]
+#[derive(Clone, Copy, Debug, PartialEq, Pod, Zeroable)]
+pub struct TokenParams {
+    /// Mint of the token.
+    pub mint: Pubkey,
+
+    /// Amount of token held in liquidity.
+    pub balance: u64,
+}
+
+#[repr(C)]
+#[derive(Clone, Copy, Debug, PartialEq, Pod, Zeroable)]
+pub struct FeeParams {
+    /// Cumulative protocol fees.
+    pub cumulative: u64,
+
+    /// Fee rate in basis points.
+    pub rate: u64,
+
+    /// Current uncollected protocol fees.
+    pub uncollected: u64,
+}
+
+#[repr(C)]
+#[derive(Clone, Copy, Debug, PartialEq, Pod, Zeroable)]
+pub struct Snapshot {
+    /// Whether sandwich resistance is enabled.
+    pub enabled: u64,
+
+    /// Base token balance at the time of the snapshot.
+    pub base_balance: u64,
+
+    /// Quote token balance at the time of the snapshot.
+    pub quote_balance: u64,
+
+    /// Slot at which the snapshot was taken.
+    pub slot: u64,
+}
+
+#[repr(C)]
+#[derive(Clone, Copy, Debug, Default, PartialEq, Pod, Zeroable)]
+pub struct VirtualLimitOrder {
+    /// Size of the virtual limit order in base tokens.
+    pub size_in_base: u128,
+
+    /// Size of the virtual limit order in quote tokens.
+    pub size_in_quote: u128,
+}
+
+#[repr(u8)]
+#[derive(Clone, Copy, Debug, Eq, PartialEq, TryFromPrimitive)]
+pub enum SwapDirection {
+    /// Swap quote tokens for base tokens.
+    Buy = 0,
+
+    /// Swap base tokens for quote tokens.
+    Sell = 1,
+}
+
+#[repr(u8)]
+#[derive(Clone, Copy, Debug, Eq, PartialEq, TryFromPrimitive)]
+pub enum SwapPrecision {
+    /// Swap with precision exact in amount.
+    ExactIn = 0,
+
+    /// Swap with precision exact out amount.
+    ExactOut = 1,
+}
+
+#[repr(u8)]
+#[derive(Clone, Copy, Debug, Eq, PartialEq, TryFromPrimitive)]
+pub enum TokenType {
+    /// Base token.
+    Base = 0,
+
+    /// Quote token.
+    Quote = 1,
+}
+
+account!(OreAccount, Market);
+
+#[cfg(test)]
+mod tests {
+    use crate::consts::FEE_RATE_BPS;
+
+    use super::*;
+
+    #[test]
+    fn test_fees_buy_exact_in() {
+        let mut market = new_market();
+        let swap = market
+            .swap(
+                100_000,
+                SwapDirection::Buy,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        assert_eq!(swap.quote_via_curve, 99_000);
+        assert_eq!(market.fee.uncollected, 1000); // Protocol fee is 1%
+    }
+
+    #[test]
+    fn test_fees_sell_exact_in() {
+        let mut market = new_market();
+        let swap = market
+            .swap(
+                100_000,
+                SwapDirection::Sell,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        assert_eq!(swap.quote_via_curve, 98_991);
+        assert_eq!(market.fee.uncollected, 999);
+    }
+
+    #[test]
+    fn test_fees_buy_exact_out() {
+        let mut market = new_market();
+        let swap = market
+            .swap(
+                100_000,
+                SwapDirection::Buy,
+                SwapPrecision::ExactOut,
+                Clock::default(),
+            )
+            .unwrap();
+        assert_eq!(swap.quote_via_curve, 100_011);
+        assert_eq!(market.fee.uncollected, 1010);
+    }
+
+    #[test]
+    fn test_fees_sell_exact_out() {
+        let mut market = new_market();
+        let swap = market
+            .swap(
+                100_000,
+                SwapDirection::Sell,
+                SwapPrecision::ExactOut,
+                Clock::default(),
+            )
+            .unwrap();
+        assert_eq!(swap.quote_via_curve, 101_010);
+        assert_eq!(market.fee.uncollected, 1010);
+    }
+
+    #[test]
+    fn test_fills() {
+        let mut market = new_market();
+
+        // Small buy
+        // Assert swap is filled via curve.
+        // Post swap, price is above snapshot.
+        let swap_1 = market
+            .swap(
+                100_000,
+                SwapDirection::Buy,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        assert!(swap_1.base_via_curve > 0 && swap_1.quote_via_curve > 0);
+        assert!(swap_1.base_via_order == 0 && swap_1.quote_via_order == 0);
+
+        // Large sell
+        // Assert swap is partially filled via order and partially filled via curve.
+        // Post swap, price is below snapshot.
+        let swap_2 = market
+            .swap(
+                1_000_000,
+                SwapDirection::Sell,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        assert!(swap_2.base_via_curve > 0 && swap_2.quote_via_curve > 0);
+        assert!(swap_2.base_via_order > 0 && swap_2.quote_via_order > 0);
+
+        // Small buy
+        // Assert swap is filled via order
+        // Post swap, price is still below snapshot.
+        let swap_3 = market
+            .swap(
+                1_000,
+                SwapDirection::Buy,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        assert!(swap_3.base_via_curve == 0 && swap_3.quote_via_curve == 0);
+        assert!(swap_3.base_via_order > 0 && swap_3.quote_via_order > 0);
+
+        // Large buy
+        // Assert swap is partially filled via order and partially filled via curve.
+        // Post swap, price is above snapshot.
+        let swap_4 = market
+            .swap(
+                1_000_000,
+                SwapDirection::Buy,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        assert!(swap_4.base_via_curve > 0 && swap_4.quote_via_curve > 0);
+        assert!(swap_4.base_via_order > 0 && swap_4.quote_via_order > 0);
+    }
+
+    #[test]
+    fn test_sandwich() {
+        let mut market = new_market();
+        market.fee.rate = 0;
+        market.snapshot = Snapshot {
+            enabled: 0,
+            base_balance: 0,
+            quote_balance: 0,
+            slot: 0,
+        };
+
+        // Open sandwich
+        let swap_1 = market
+            .swap(
+                100_000,
+                SwapDirection::Buy,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        let amount_base_1 = swap_1.base_to_transfer;
+        assert!(swap_1.base_via_curve > 0 && swap_1.quote_via_curve > 0);
+        assert!(swap_1.base_via_order == 0 && swap_1.quote_via_order == 0);
+
+        // Victim buys
+        let swap_2 = market
+            .swap(
+                100_000,
+                SwapDirection::Buy,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        assert!(swap_2.base_via_curve > 0 && swap_2.quote_via_curve > 0);
+        assert!(swap_2.base_via_order == 0 && swap_2.quote_via_order == 0);
+
+        // Close sandwich
+        let swap_3 = market
+            .swap(
+                amount_base_1,
+                SwapDirection::Sell,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        assert!(swap_3.base_via_curve > 0 && swap_3.quote_via_curve > 0);
+        assert!(swap_3.base_via_order == 0 && swap_3.quote_via_order == 0);
+
+        // Assert sandwich attack succeeded
+        assert!(swap_3.quote_to_transfer > swap_1.quote_to_transfer);
+    }
+
+    #[test]
+    fn test_sandwich_resistance() {
+        let mut market = new_market();
+        market.fee.rate = 0;
+
+        // Open sandwich
+        let swap_1 = market
+            .swap(
+                100_000,
+                SwapDirection::Buy,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        let amount_base_1 = swap_1.base_to_transfer;
+        assert!(swap_1.base_via_curve > 0 && swap_1.quote_via_curve > 0);
+        assert!(swap_1.base_via_order == 0 && swap_1.quote_via_order == 0);
+
+        // Victim buys
+        let swap_2 = market
+            .swap(
+                100_000,
+                SwapDirection::Buy,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        assert!(swap_2.base_via_curve > 0 && swap_2.quote_via_curve > 0);
+        assert!(swap_2.base_via_order == 0 && swap_2.quote_via_order == 0);
+
+        // Close sandwich
+        let swap_3 = market
+            .swap(
+                amount_base_1,
+                SwapDirection::Sell,
+                SwapPrecision::ExactIn,
+                Clock::default(),
+            )
+            .unwrap();
+        assert!(swap_3.base_via_curve == 0 && swap_3.quote_via_curve == 0);
+        assert!(swap_3.base_via_order > 0 && swap_3.quote_via_order > 0);
+
+        // Assert sandwich attack failed
+        assert!(swap_3.quote_to_transfer <= swap_1.quote_to_transfer);
+    }
+
+    fn new_market() -> Market {
+        Market {
+            base: TokenParams {
+                mint: Pubkey::new_unique(),
+                balance: 1_000_000_000,
+            },
+            quote: TokenParams {
+                mint: Pubkey::new_unique(),
+                balance: 1_000_000_000,
+            },
+            fee: FeeParams {
+                cumulative: 0,
+                uncollected: 0,
+                rate: FEE_RATE_BPS,
+            },
+            snapshot: Snapshot {
+                enabled: 1,
+                base_balance: 1_000_000_000,
+                quote_balance: 1_000_000_000,
+                slot: 0,
+            },
+            id: 0,
+        }
+    }
+}
diff --git a/api/src/state/market/mod.rs b/api/src/state/market/mod.rs
new file mode 100644
index 0000000..6624648
--- /dev/null
+++ b/api/src/state/market/mod.rs
@@ -0,0 +1,12 @@
+mod buy_exact_in;
+mod buy_exact_out;
+mod curve;
+mod fees;
+mod market;
+mod sell_exact_in;
+mod sell_exact_out;
+mod swap;
+mod vaults;
+mod virtual_limit_order;
+
+pub use market::*;
diff --git a/api/src/state/market/sell_exact_in.rs b/api/src/state/market/sell_exact_in.rs
new file mode 100644
index 0000000..32739f0
--- /dev/null
+++ b/api/src/state/market/sell_exact_in.rs
@@ -0,0 +1,85 @@
+use crate::error::OreError;
+
+use super::{Market, SwapDirection, TokenType, VirtualLimitOrder};
+use crate::event::SwapEvent;
+
+impl Market {
+    pub fn sell_exact_in(&mut self, base_in: u64) -> Result<SwapEvent, OreError> {
+        // Get fee from quote side.
+        let mut quote_fee = 0;
+
+        // Upcast data.
+        let base_in = base_in as u128;
+
+        // Get virtual limit order.
+        let VirtualLimitOrder {
+            size_in_base: bid_size_in_base,
+            size_in_quote: bid_size_in_quote,
+        } = self.get_virtual_limit_order(SwapDirection::Sell);
+
+        // Execute swap.
+        let (base_via_bid, quote_via_bid, base_via_curve, quote_via_curve) =
+            if !self.sandwich_resistance_enabled() {
+                // Fill entire swap via curve.
+                let base_via_curve = base_in;
+                let mut quote_via_curve = self.get_quote_out(base_via_curve);
+                self.update_reserves(base_via_curve, quote_via_curve, SwapDirection::Sell);
+                let swap_fee = self.fee(quote_via_curve as u64);
+                quote_fee += swap_fee;
+                quote_via_curve -= swap_fee as u128;
+                (0, 0, base_via_curve, quote_via_curve)
+            } else if bid_size_in_base >= base_in {
+                // Fill entire swap through virtual limit order.
+                let base_via_bid = base_in;
+                let mut quote_via_bid = self.get_complementary_limit_order_size(
+                    base_in,
+                    SwapDirection::Sell,
+                    TokenType::Base,
+                );
+                quote_fee += self.fee(quote_via_bid as u64);
+                self.update_reserves(base_via_bid, quote_via_bid, SwapDirection::Sell);
+                quote_via_bid -= quote_fee as u128;
+                (base_via_bid, quote_via_bid, 0, 0)
+            } else {
+                // Partially fill swap through virtual limit order.
+                let base_via_bid = bid_size_in_base;
+                let mut quote_via_bid = bid_size_in_quote;
+                quote_fee += self.fee(quote_via_bid as u64);
+                self.update_reserves(base_via_bid, quote_via_bid, SwapDirection::Sell);
+                quote_via_bid -= quote_fee as u128;
+
+                // Fill remaining swap through pool.
+                let base_via_curve = base_in - base_via_bid;
+                let mut quote_via_curve = self.get_quote_out(base_via_curve);
+                self.update_reserves(base_via_curve, quote_via_curve, SwapDirection::Sell);
+                let swap_fee = self.fee(quote_via_curve as u64);
+                quote_fee += swap_fee;
+                quote_via_curve -= swap_fee as u128;
+                (base_via_bid, quote_via_bid, base_via_curve, quote_via_curve)
+            };
+
+        // Produce swap result.
+        let quote_out = quote_via_bid + quote_via_curve;
+        let swap_event = SwapEvent {
+            direction: SwapDirection::Sell as u64,
+            base_to_transfer: base_in as u64,
+            quote_to_transfer: quote_out as u64,
+            base_via_order: base_via_bid as u64,
+            quote_via_order: quote_via_bid as u64,
+            base_via_curve: base_via_curve as u64,
+            quote_via_curve: quote_via_curve as u64,
+            quote_fee: quote_fee as u64,
+        };
+
+        // Sanity check swap result.
+        assert!(
+            swap_event.base_to_transfer == swap_event.base_via_order + swap_event.base_via_curve
+        );
+        assert!(
+            swap_event.quote_to_transfer == swap_event.quote_via_order + swap_event.quote_via_curve
+        );
+
+        // Return.
+        Ok(swap_event)
+    }
+}
diff --git a/api/src/state/market/sell_exact_out.rs b/api/src/state/market/sell_exact_out.rs
new file mode 100644
index 0000000..57bdaf6
--- /dev/null
+++ b/api/src/state/market/sell_exact_out.rs
@@ -0,0 +1,84 @@
+use crate::error::OreError;
+
+use super::{Market, SwapDirection, TokenType, VirtualLimitOrder};
+use crate::event::SwapEvent;
+
+impl Market {
+    pub fn sell_exact_out(&mut self, quote_out: u64) -> Result<SwapEvent, OreError> {
+        // Check if there is enough liquidity.
+        if self.quote.balance < quote_out {
+            return Err(OreError::InsufficientLiquidity);
+        }
+
+        // Calculate fee.
+        let quote_out_pre_fee = self.pre_fee(quote_out) as u128;
+        let quote_fee = quote_out_pre_fee - quote_out as u128;
+
+        // Upcast data.
+        let quote_out = quote_out as u128;
+
+        // Get virtual limit order.
+        let VirtualLimitOrder {
+            size_in_base: bid_size_in_base,
+            size_in_quote: bid_size_in_quote,
+        } = self.get_virtual_limit_order(SwapDirection::Sell);
+
+        // Execute swap.
+        let (base_via_bid, quote_via_bid, base_via_curve, quote_via_curve) =
+            if !self.sandwich_resistance_enabled() {
+                // Fill entire swap via curve.
+                let quote_via_curve = quote_out_pre_fee;
+                let base_via_curve = self.get_base_in(quote_via_curve)?;
+                self.update_reserves(base_via_curve, quote_via_curve, SwapDirection::Sell);
+                (0, 0, base_via_curve, quote_via_curve)
+            } else if bid_size_in_quote >= quote_out {
+                // Fill entire swap through virtual limit order.
+                let quote_via_bid = quote_out_pre_fee;
+                let base_via_bid = self.get_complementary_limit_order_size(
+                    quote_via_bid,
+                    SwapDirection::Sell,
+                    TokenType::Quote,
+                );
+                self.update_reserves(base_via_bid, quote_via_bid, SwapDirection::Sell);
+                (base_via_bid, quote_via_bid, 0, 0)
+            } else {
+                // Partially fill swap through virtual limit order.
+                let base_via_bid = bid_size_in_base;
+                let quote_via_bid = bid_size_in_quote;
+                self.update_reserves(base_via_bid, quote_via_bid, SwapDirection::Sell);
+
+                // Fill remaining swap amount through pool.
+                let quote_via_curve = quote_out_pre_fee - quote_via_bid;
+                let base_via_curve = self.get_base_in(quote_via_curve)?;
+                self.update_reserves(base_via_curve, quote_via_curve, SwapDirection::Sell);
+                (base_via_bid, quote_via_bid, base_via_curve, quote_via_curve)
+            };
+
+        // Calculate fee.
+        let base_in = base_via_bid + base_via_curve;
+
+        // Produce swap result.
+        let swap_event = SwapEvent {
+            direction: SwapDirection::Sell as u64,
+            base_to_transfer: base_in as u64,
+            quote_to_transfer: quote_out as u64,
+            base_via_order: base_via_bid as u64,
+            quote_via_order: quote_via_bid as u64,
+            base_via_curve: base_via_curve as u64,
+            quote_via_curve: quote_via_curve as u64,
+            quote_fee: quote_fee as u64,
+        };
+
+        // Sanity check swap result.
+        assert!(
+            swap_event.base_to_transfer == swap_event.base_via_order + swap_event.base_via_curve
+        );
+        assert!(
+            swap_event.quote_to_transfer
+                == swap_event.quote_via_order + swap_event.quote_via_curve - swap_event.quote_fee
+        );
+
+        // Return.
+        Ok(swap_event)
+    }
+}
diff --git a/api/src/state/market/swap.rs b/api/src/state/market/swap.rs
new file mode 100644
index 0000000..0959d9d
--- /dev/null
+++ b/api/src/state/market/swap.rs
@@ -0,0 +1,42 @@
+use steel::Clock;
+
+use crate::error::OreError;
+
+use super::{Market, SwapDirection, SwapPrecision};
+use crate::event::SwapEvent;
+
+impl Market {
+    pub fn swap(
+        &mut self,
+        amount: u64,
+        direction: SwapDirection,
+        precision: SwapPrecision,
+        clock: Clock,
+    ) -> Result<SwapEvent, OreError> {
+        // Update snapshot.
+        self.update_snapshot(clock);
+
+        // Get invariant.
+        let k_pre = self.k();
+
+        // Execute swap.
+        let swap_event = match (direction, precision) {
+            (SwapDirection::Buy, SwapPrecision::ExactIn) => self.buy_exact_in(amount)?,
+            (SwapDirection::Buy, SwapPrecision::ExactOut) => self.buy_exact_out(amount)?,
+            (SwapDirection::Sell, SwapPrecision::ExactIn) => self.sell_exact_in(amount)?,
+            (SwapDirection::Sell, SwapPrecision::ExactOut) => self.sell_exact_out(amount)?,
+        };
+
+        // Check invariant.
+        let k_post = self.k();
+        if k_pre > k_post {
+            return Err(OreError::InvariantViolation.into());
+        }
+
+        // Apply fees.
+        self.apply_fees(swap_event.quote_fee);
+
+        // Return.
+        Ok(swap_event)
+    }
+}
diff --git a/api/src/state/market/vaults.rs b/api/src/state/market/vaults.rs
new file mode 100644
index 0000000..2df5151
--- /dev/null
+++ b/api/src/state/market/vaults.rs
@@ -0,0 +1,43 @@
+use solana_program::log::sol_log;
+use steel::*;
+
+use crate::error::OreError;
+
+use super::Market;
+
+/// Vault reserve checks.
+impl Market {
+    /// Sanity check that vaults have reserves for all market debts.
+    /// Assumes the token accounts have already been validated as the market's base and quote vaults.
+    pub fn check_vaults(
+        &self,
+        base_vault: &TokenAccount,
+        quote_vault: &TokenAccount,
+    ) -> Result<(), OreError> {
+        self.check_base_vault(base_vault)?;
+        self.check_quote_vault(quote_vault)?;
+        Ok(())
+    }
+
+    /// Sanity check that base vault has reserves for all market debts.
+    /// Assumes the token account has already been validated as the market's base vault.
+    pub fn check_base_vault(&self, base_vault: &TokenAccount) -> Result<(), OreError> {
+        if base_vault.amount() < self.base.balance {
+            sol_log(&format!("A base_vault.amount: {}", base_vault.amount()));
+            sol_log(&format!("A self.base.balance: {}", self.base.balance));
+            sol_log("Insufficient base vault reserves");
+            return Err(OreError::InsufficientVaultReserves.into());
+        }
+        Ok(())
+    }
+
+    /// Sanity check that quote vault has reserves for all market debts.
+    /// Assumes the token account has already been validated as the market's quote vault.
+    pub fn check_quote_vault(&self, quote_vault: &TokenAccount) -> Result<(), OreError> {
+        if quote_vault.amount() < self.quote.balance + self.fee.uncollected {
+            sol_log("Insufficient quote vault reserves");
+            return Err(OreError::InsufficientVaultReserves.into());
+        }
+        Ok(())
+    }
+}
diff --git a/api/src/state/market/virtual_limit_order.rs b/api/src/state/market/virtual_limit_order.rs
new file mode 100644
index 0000000..1a2f861
--- /dev/null
+++ b/api/src/state/market/virtual_limit_order.rs
@@ -0,0 +1,146 @@
+use steel::Clock;
+
+use crate::consts::SLOT_WINDOW;
+
+use super::{Market, SwapDirection, TokenType, VirtualLimitOrder};
+
+impl Market {
+    /// This function solves the closed-form solution for the size of the virtual limit order
+    /// in the pool. The virutal limit order is always priced at the snapshot price.
+    ///
+    /// The size of the limit order is determined by the following constraint:
+    ///
+    /// ```no_run
+    /// (quote_snapshot / base_snapshot) = (quote_reserves + ∆_quote) / (base_reserves + ∆_base)
+    /// ```
+    ///
+    /// Note that the signs of ∆_quote and ∆_base are always flipped.
+    ///
+    /// This means that the size of the limit order is set such that the new pool price
+    /// after the swap is equal to the price at the snapshot.
+    ///
+    /// Because we know the limit order is priced at the snapshot price, we can derive
+    /// the following equations:
+    /// -  ∆_base = -∆_quote * base_snapshot / quote_snapshot
+    /// -  ∆_quote = -∆_base * quote_snapshot / base_snapshot
+    ///
+    ///
+    /// We can then solve for ∆_base and ∆_quote after substituting the above equations. There are separate cases
+    /// for buy and sell
+    ///
+    /// - Limit order on the buy side (bid)
+    /// ```no_run
+    /// ∆_base = (base_snapshot * quote_reserves - quote_snapshot * base_reserves) / (2 * quote_snapshot)
+    /// ∆_quote = (base_snapshot * quote_reserves - quote_snapshot * base_reserves) / (2 * base_snapshot)
+    /// ```
+    ///
+    /// - Limit order on the sell side (ask)
+    /// ```no_run
+    /// ∆_base = (quote_snapshot * base_reserves - base_snapshot * quote_reserves) / (2 * quote_snapshot)
+    /// ∆_quote = (quote_snapshot * base_reserves - base_snapshot * quote_reserves) / (2 * base_snapshot)
+    /// ```
+    pub fn get_virtual_limit_order(&self, direction: SwapDirection) -> VirtualLimitOrder {
+        // Upcast data.
+        let base_balance = self.base.balance as u128;
+        let quote_balance = self.quote.balance as u128;
+        let base_snapshot = self.snapshot.base_balance as u128;
+        let quote_snapshot = self.snapshot.quote_balance as u128;
+
+        // Get virtual limit order.
+        match direction {
+            SwapDirection::Buy => {
+                let ask = if quote_snapshot * base_balance > base_snapshot * quote_balance {
+                    let size_in_quote = (quote_snapshot * base_balance
+                        - base_snapshot * quote_balance)
+                        / (2 * base_snapshot);
+                    let size_in_base = size_in_quote * base_snapshot / quote_snapshot;
+                    VirtualLimitOrder {
+                        size_in_base,
+                        size_in_quote,
+                    }
+                } else {
+                    VirtualLimitOrder::default()
+                };
+                ask
+            }
+            SwapDirection::Sell => {
+                let bid = if base_snapshot * quote_balance > quote_snapshot * base_balance {
+                    let size_in_base = (base_snapshot * quote_balance
+                        - quote_snapshot * base_balance)
+                        / (2 * quote_snapshot);
+                    let size_in_quote = size_in_base * quote_snapshot / base_snapshot;
+                    VirtualLimitOrder {
+                        size_in_base,
+                        size_in_quote,
+                    }
+                } else {
+                    VirtualLimitOrder::default()
+                };
+                bid
+            }
+        }
+    }
+
+    /// This function returns the size of the virtual limit order in the complementary token type
+    /// given an `amount` and the `input_token_type`.
+    ///  - If the `input_token_type` is Base, then the size of the limit order in Quote is computed.
+    ///  - If the `input_token_type` is Quote, then the size of the limit order in Base is computed.
+    pub(crate) fn get_complementary_limit_order_size(
+        &self,
+        amount: u128,
+        direction: SwapDirection,
+        token_type: TokenType,
+    ) -> u128 {
+        if amount == 0 {
+            return 0;
+        }
+        let quote_snapshot = self.snapshot.quote_balance as u128;
+        let base_snapshot = self.snapshot.base_balance as u128;
+
+        match direction {
+            SwapDirection::Buy => {
+                match token_type {
+                    // If `amount` is in base, then the size of the limit order in quote is computed and rounded up
+                    TokenType::Base => ((amount * quote_snapshot).saturating_sub(1)
+                        / base_snapshot)
+                        .saturating_add(1),
+                    // If `amount` is in quote, then the size of the limit order in base is computed
+                    TokenType::Quote => amount * base_snapshot / quote_snapshot,
+                }
+            }
+            SwapDirection::Sell => {
+                match token_type {
+                    // If `amount` is in base, then the size of the limit order in quote is computed
+                    TokenType::Base => amount * quote_snapshot / base_snapshot,
+                    // If `amount` is in quote, then the size of the limit order in base is computed and rounded up
+                    TokenType::Quote => ((amount * base_snapshot).saturating_sub(1)
+                        / quote_snapshot)
+                        .saturating_add(1),
+                }
+            }
+        }
+    }
+
+    pub(crate) fn update_snapshot(&mut self, clock: Clock) {
+        let slot = clock.slot;
+        let snapshot_slot = (slot / SLOT_WINDOW) * SLOT_WINDOW;
+        if snapshot_slot != self.snapshot.slot {
+            self.snapshot.slot = snapshot_slot;
+            self.snapshot.base_balance = self.base.balance;
+            self.snapshot.quote_balance = self.quote.balance;
+        }
+    }
+
+    pub(crate) fn update_reserves(&mut self, base: u128, quote: u128, direction: SwapDirection) {
+        match direction {
+            SwapDirection::Buy => {
+                self.base.balance -= base as u64;
+                self.quote.balance += quote as u64;
+            }
+            SwapDirection::Sell => {
+                self.base.balance += base as u64;
+                self.quote.balance -= quote as u64;
+            }
+        }
+    }
+}
diff --git a/program/src/close.rs b/program/src/close.rs
index 22e140b..f6f64d6 100644
--- a/program/src/close.rs
+++ b/program/src/close.rs
@@ -21,8 +21,8 @@ pub fn process_close(accounts: &[AccountInfo<'_>], _data: &[u8]) -> ProgramResul
         market_hash_info.as_associated_token_account(market_info.key, mint_hash_info.key)?;
     let market_ore =
         market_ore_info.as_associated_token_account(market_info.key, mint_ore_info.key)?;
-    mint_hash_info.has_address(&market.mint)?;
-    mint_ore_info.has_address(&MINT_ADDRESS)?;
+    mint_hash_info.has_address(&market.base.mint)?.as_mint();
+    mint_ore_info.has_address(&market.quote.mint)?.as_mint();
     system_program.is_program(&system_program::ID)?;
     token_program.is_program(&spl_token::ID)?;