feat/finishing rfq 2

derive_client/data_types/channel_models.py

@@ -23,6 +23,8 @@
     PublicGetInstrumentParamsSchema,
     PublicGetOptionSettlementPricesParamsSchema,
     PublicMarginWatchResultSchema,
+    QuoteResultSchema,
+    RFQResultPublicSchema,
     RPCErrorFormatSchema,
     Status,
     TickerSlimSchema,
@@ -139,32 +141,6 @@ class SubaccountIdQuotesChannelSchema(SubaccountIdBalancesChannelSchema):
     pass
 
 
-class QuoteResultSchema(Struct):
-    cancel_reason: CancelReason
-    creation_timestamp: int
-    direction: Direction
-    fee: Decimal
-    fill_pct: Decimal
-    is_transfer: bool
-    label: str
-    last_update_timestamp: int
-    legs: List[LegPricedSchema]
-    legs_hash: str
-    liquidity_role: LiquidityRole
-    max_fee: Decimal
-    mmp: bool
-    nonce: int
-    quote_id: str
-    rfq_id: str
-    signature: str
-    signature_expiry_sec: int
-    signer: str
-    status: Status
-    subaccount_id: int
-    tx_status: TxStatus
-    tx_hash: Optional[str] = None
-
-
 class SubaccountIdTradesChannelSchema(SubaccountIdBalancesChannelSchema):
     pass
 
@@ -241,6 +217,10 @@ class WalletRfqsChannelSchema(PrivateGetAllPortfoliosParamsSchema):
     pass
 
 
+class LegUnpricedSchema1(LegUnpricedSchema):
+    pass
+
+
 class AuctionResultSchema(Struct):
     state: State
     subaccount_id: int
@@ -267,29 +247,6 @@ class SubaccountIdBalancesNotificationParamsSchema(Struct):
     data: List[BalanceUpdateSchema]
 
 
-class QuoteResultPublicSchema(Struct):
-    cancel_reason: CancelReason
-    creation_timestamp: int
-    direction: Direction
-    fill_pct: Decimal
-    last_update_timestamp: int
-    legs: List[LegPricedSchema]
-    legs_hash: str
-    liquidity_role: LiquidityRole
-    quote_id: str
-    rfq_id: str
-    status: Status
-    subaccount_id: int
-    tx_status: TxStatus
-    wallet: str
-    tx_hash: Optional[str] = None
-
-
-class SubaccountIdQuotesNotificationParamsSchema(Struct):
-    channel: str
-    data: List[QuoteResultSchema]
-
-
 class SubaccountIdTradesTxStatusNotificationParamsSchema(Struct):
     channel: str
     data: List[TradeResponseSchema]
@@ -314,24 +271,6 @@ class TradesInstrumentTypeCurrencyTxStatusNotificationParamsSchema(Struct):
     data: List[TradeSettledPublicResponseSchema]
 
 
-class RFQResultPublicSchema(Struct):
-    cancel_reason: CancelReason
-    creation_timestamp: int
-    filled_direction: Direction
-    filled_pct: Decimal
-    last_update_timestamp: int
-    legs: List[LegUnpricedSchema]
-    partial_fill_step: Decimal
-    rfq_id: str
-    status: Status
-    subaccount_id: int
-    valid_until: int
-    wallet: str
-    fill_rate: Optional[Decimal] = None
-    recent_fill_rate: Optional[Decimal] = None
-    total_cost: Optional[Decimal] = None
-
-
 class AuctionsWatchNotificationParamsSchema(Struct):
     channel: str
     data: List[AuctionResultSchema]
@@ -367,23 +306,32 @@ class SubaccountIdBalancesPubSubSchema(Struct):
     notification: SubaccountIdBalancesNotificationSchema
 
 
-class RFQGetBestQuoteResultSchema(PrivateRfqGetBestQuoteResultSchema):
-    pass
+class QuoteResultPublicSchema(Struct):
+    cancel_reason: CancelReason
+    creation_timestamp: int
+    direction: Direction
+    fill_pct: Decimal
+    last_update_timestamp: int
+    legs: List[LegPricedSchema]
+    legs_hash: str
+    liquidity_role: LiquidityRole
+    quote_id: str
+    rfq_id: str
+    status: Status
+    subaccount_id: int
+    tx_status: TxStatus
+    wallet: str
+    tx_hash: Optional[str] = None
 
 
 class SubaccountIdOrdersNotificationParamsSchema(Struct):
     channel: str
     data: List[OrderResponseSchema]
 
 
-class SubaccountIdQuotesNotificationSchema(Struct):
-    method: str
-    params: SubaccountIdQuotesNotificationParamsSchema
-
-
-class SubaccountIdQuotesPubSubSchema(Struct):
-    channel_params: SubaccountIdQuotesChannelSchema
-    notification: SubaccountIdQuotesNotificationSchema
+class SubaccountIdQuotesNotificationParamsSchema(Struct):
+    channel: str
+    data: List[QuoteResultSchema]
 
 
 class SubaccountIdTradesNotificationParamsSchema(SubaccountIdTradesTxStatusNotificationParamsSchema):
@@ -425,11 +373,6 @@ class TradesInstrumentTypeCurrencyTxStatusPubSubSchema(Struct):
     notification: TradesInstrumentTypeCurrencyTxStatusNotificationSchema
 
 
-class WalletRfqsNotificationParamsSchema(Struct):
-    channel: str
-    data: List[RFQResultPublicSchema]
-
-
 class AuctionsWatchNotificationSchema(Struct):
     method: str
     params: AuctionsWatchNotificationParamsSchema
@@ -460,10 +403,8 @@ class SpotFeedCurrencyPubSubSchema(Struct):
     notification: SpotFeedCurrencyNotificationSchema
 
 
-class BestQuoteChannelResultSchema(Struct):
-    rfq_id: str
-    error: Optional[RPCErrorFormatSchema] = None
-    result: Optional[RFQGetBestQuoteResultSchema] = None
+class RFQGetBestQuoteResultSchema(PrivateRfqGetBestQuoteResultSchema):
+    pass
 
 
 class SubaccountIdOrdersNotificationSchema(Struct):
@@ -476,6 +417,16 @@ class SubaccountIdOrdersPubSubSchema(Struct):
     notification: SubaccountIdOrdersNotificationSchema
 
 
+class SubaccountIdQuotesNotificationSchema(Struct):
+    method: str
+    params: SubaccountIdQuotesNotificationParamsSchema
+
+
+class SubaccountIdQuotesPubSubSchema(Struct):
+    channel_params: SubaccountIdQuotesChannelSchema
+    notification: SubaccountIdQuotesNotificationSchema
+
+
 class SubaccountIdTradesNotificationSchema(Struct):
     method: str
     params: SubaccountIdTradesNotificationParamsSchema
@@ -491,6 +442,27 @@ class TickerSlimInstrumentNameIntervalNotificationParamsSchema(Struct):
     data: TickerSlimInstrumentNameIntervalPublisherDataSchema
 
 
+class WalletRfqsNotificationParamsSchema(Struct):
+    channel: str
+    data: List[RFQResultPublicSchema]
+
+
+class BestQuoteChannelResultSchema(Struct):
+    rfq_id: str
+    error: Optional[RPCErrorFormatSchema] = None
+    result: Optional[RFQGetBestQuoteResultSchema] = None
+
+
+class TickerSlimInstrumentNameIntervalNotificationSchema(Struct):
+    method: str
+    params: TickerSlimInstrumentNameIntervalNotificationParamsSchema
+
+
+class TickerSlimInstrumentNameIntervalPubSubSchema(Struct):
+    channel_params: TickerSlimInstrumentNameIntervalChannelSchema
+    notification: TickerSlimInstrumentNameIntervalNotificationSchema
+
+
 class WalletRfqsNotificationSchema(Struct):
     method: str
     params: WalletRfqsNotificationParamsSchema
@@ -506,16 +478,6 @@ class SubaccountIdBestQuotesNotificationParamsSchema(Struct):
     data: List[BestQuoteChannelResultSchema]
 
 
-class TickerSlimInstrumentNameIntervalNotificationSchema(Struct):
-    method: str
-    params: TickerSlimInstrumentNameIntervalNotificationParamsSchema
-
-
-class TickerSlimInstrumentNameIntervalPubSubSchema(Struct):
-    channel_params: TickerSlimInstrumentNameIntervalChannelSchema
-    notification: TickerSlimInstrumentNameIntervalNotificationSchema
-
-
 class SubaccountIdBestQuotesNotificationSchema(Struct):
     method: str
     params: SubaccountIdBestQuotesNotificationParamsSchema

examples/rfqs/00_create_rfq.py

@@ -0,0 +1,116 @@
+"""
+Simple demonstration of creating and executing an RFQ.
+"""
+
+import asyncio
+from typing import List
+
+from config import OWNER_TEST_WALLET, SESSION_KEY_PRIVATE_KEY, TAKER_SUBACCOUNT_ID
+
+from derive_client import WebSocketClient
+from derive_client.data_types import Environment
+from derive_client.data_types.channel_models import BestQuoteChannelResultSchema
+from derive_client.data_types.generated_models import Direction, LegUnpricedSchema, QuoteResultPublicSchema
+from derive_client.data_types.utils import D
+from derive_client.utils.logger import get_logger
+
+
+async def create_and_execute_rfq(
+    legs: List[LegUnpricedSchema],
+):
+    """
+    Create an RFQ, wait for quotes, and execute the best one.
+
+    Args:
+        legs: List of unpriced legs representing the instruments and amounts to trade.
+              Each leg specifies the instrument name, amount, and direction (buy/sell).
+
+    Flow:
+        1. Initialize WebSocket client and connect to the exchange
+        2. Send RFQ (Request for Quote) with the specified legs
+        3. Subscribe to the best quotes channel to receive quote updates
+        4. Wait for market makers to respond with their quotes
+        5. Execute the best received quote if available
+    """
+    # Initialize the WebSocket client with authentication credentials and connect to the test environment
+    client = WebSocketClient(
+        session_key=SESSION_KEY_PRIVATE_KEY,
+        wallet=OWNER_TEST_WALLET,
+        env=Environment.TEST,
+        subaccount_id=TAKER_SUBACCOUNT_ID,
+    )
+    await client.connect()
+    logger = get_logger()
+
+    # Send the RFQ to the exchange - this broadcasts the request to all market makers
+    # who can then respond with their quotes
+    rfq_result = await client.rfq.send_rfq(legs=legs)
+    logger.info(f"✓ RFQ created: {rfq_result.rfq_id}")
+
+    # Track the best quote received from market makers
+    # This will be updated as better quotes arrive
+    best_quote: QuoteResultPublicSchema | None = None
+
+    def handle_quote(quotes: List[BestQuoteChannelResultSchema]):
+        """
+        Callback function that processes incoming quote updates.
+        Each time a better quote arrives, we update our tracked best quote.
+        """
+        nonlocal best_quote
+        for quote in quotes:
+            if quote.result and quote.result.best_quote:
+                best_quote = quote.result.best_quote
+                # Calculate the total price across all legs for logging
+                total_price = sum(leg.price * leg.amount for leg in best_quote.legs)
+                logger.info(f"✓ Best quote received: {total_price}")
+
+    # Subscribe to the best quotes channel for this subaccount
+    # This allows us to receive real-time updates as market makers send quotes
+    await client.private_channels.best_quotes_by_subaccount_id(
+        subaccount_id=str(TAKER_SUBACCOUNT_ID),
+        callback=handle_quote,
+    )
+
+    # Wait for market makers to respond with their quotes
+    # In a production system, you might want to wait until the RFQ expires or use a different timing strategy
+    await asyncio.sleep(10)
+
+    if not best_quote:
+        logger.error("✗ No quotes received")
+        return
+
+    # Execute the best quote we received
+    # Note: We must take the opposite direction of the quote
+    # If the market maker is buying (quote.direction == buy), we must sell to them
+    execute_direction = Direction.sell if best_quote.direction == Direction.buy else Direction.buy
+    await client.rfq.execute_quote(
+        direction=execute_direction,
+        legs=best_quote.legs,
+        rfq_id=best_quote.rfq_id,
+        quote_id=best_quote.quote_id,
+    )
+    # Log the successful execution with the final price
+    logger.info(
+        f"✓ Quote {best_quote.quote_id} executed at total price: "
+        + f"{sum(leg.price * leg.amount for leg in best_quote.legs)}"
+    )
+
+
+if __name__ == "__main__":
+    # Example usage: Create an RFQ to sell 1 ETH put option
+    # This will:
+    # 1. Send the RFQ to market makers
+    # 2. Wait for quotes to come in
+    # 3. Execute the best quote automatically
+    legs = [
+        LegUnpricedSchema(
+            instrument_name="ETH-20260327-4800-P",  # ETH put option expiring March 27, 2026 with strike 4800
+            amount=D("1"),  # Trade 1 contract
+            direction=Direction.sell,  # We want to sell this option
+        ),
+    ]
+    asyncio.run(
+        create_and_execute_rfq(
+            legs=legs,
+        )
+    )