Grey market trading is really pretty basic. In simple terms, you make an agreement with your broker to pay an agreed amount for a stock which is not listed publicly. The trades do not have to be even for the buyer / seller . The broker can agree to sell, or , buy any amount at any time. For instance, if I wanted to sell 1000 shares of stock, XYZ then the broker would give me the price for that sale. He/she, could simply buy them from me, wait for the price to go up and sell them at that time.
Unlike , public auction type price action, Greys trade based on the supply and demand.
Here is a starting point for you. Any questions specific, don't hesitate to ask. This is good information to know. I hope it answers your question. GLTU

http://www.extraordinaryinvestor.com/grey-sheets.html