The circulatory system of insects differs from that of vertebrates and many other invertebrates in being "open". In insects, "blood" is confined to vessels during only a portion of its circuit through the body. The remainder of its journey takes place within the body cavity (called the hemocoel). For this reason, insect "blood" is called hemolymph.
The volume of hemolymph needed for such a system is kept to a minimum by a reduction in the size of the body cavity. The hemocoel is divided into chambers called sinuses.
In the grasshopper, the closed portion of the system consists of tubular hearts and an aorta running along the dorsal side of the insect. The hearts pump hemolymph into the sinuses of the hemocoel where exchanges of materials take place.
Coordinated movements of the body muscles gradually bring the hemolymph back to the dorsal sinus surrounding the hearts. Between contractions, tiny valves in the wall of the hearts open and allow hemolymph to enter.
This "open" system might appear to be inefficient compared to closed circulatory systems like ours [Link], but the two have very different demands being placed on them.
In vertebrates, the circulatory system is responsible for transporting oxygen to all the tissues and removing carbon dioxide from them. It is this requirement that establishes the level of performance demanded of the system. The efficiency of the vertebrate system is far greater than needed for transporting nutrients, hormones, etc.
In the grasshopper, exchange of oxygen and carbon dioxide occurs in the tracheal system. Hemolymph plays no part in the process. There is not even an oxygen-carrying pigment in insect hemolymph.