Data Models
Type Aliases
AssetToken: TypeAlias = str # e.g. "BTC", "ETH", "PEPE", etc
DateTimeRFC3339: TypeAlias = str # e.g. "2024-02-02T06:13:45.323432Z"
H160: TypeAlias = str # e.g. "0x3d68316712565ccb7f14a2bfc6aa785d6d2d12d5"
StrDecimal: TypeAlias = str # e.g. "218205.58082"
UUIDv4: TypeAlias = str # e.g. "bdd68c99-65fe-4500-baae-5bc09b4af183"Enums
class ApiRole(StrEnum):
READER = "reader"
WRITER = "writer"
class AllowanceType(StrEnum):
BASE = "base"
DECIMAL = "decimal"
class ClearingStatus(StrEnum):
PENDING_POOL_CREATION = "pending_pool_creation"
PENDING_TAKER_DEPOSIT_APPROVAL = "pending_taker_deposit_approval"
PENDING_MAKER_LAST_LOOK = "pending_maker_last_look"
PENDING_MAKER_DEPOSIT_APPROVAL = "pending_maker_deposit_approval"
PENDING_ATOMIC_DEPOSIT = "pending_atomic_deposit"
REJECTED_FAILED_TAKER_DEPOSIT_APPROVAL = "rejected_failed_taker_deposit_approval"
REJECTED_FAILED_MAKER_DEPOSIT_APPROVAL = "rejected_failed_maker_deposit_approval"
REJECTED_MAKER_LAST_LOOK_REJECTED = "rejected_maker_last_look_rejected"
REJECTED_MAKER_LAST_LOOK_EXPIRED = "rejected_maker_last_look_expired"
REJECTED_FAILED_POOL_CREATION = "rejected_failed_pool_creation"
REJECTED_FAILED_TAKER_FUNDING = "rejected_failed_taker_funding"
REJECTED_FAILED_MAKER_FUNDING = "rejected_failed_maker_funding"
REJECTED_FAILED_ATOMIC_DEPOSIT = "rejected_failed_atomic_deposit"
SUCCESS_TRADES_BOOKED_INTO_POOL = "success_trades_booked_into_pool"
class DexNetworkID(StrEnum):
ETH = "eth"
BSC = "bsc"
SOLANA = "solana"
class ExerciseType(StrEnum):
EUROPEAN = "european"
AMERICAN = "american"
class InstrumentType(StrEnum):
SPOT = "spot"
DATED_FUTURE = "dated_future"
PERPETUAL_FUTURE = "perpetual_future"
VANILLA_OPTION = "vanilla_option"
class MarginMode(StrEnum):
SIMPLE = "simple"
PORTFOLIO = "portfolio"
class PayoffType(StrEnum):
PUT = "put"
CALL = "call"
class PoolStrategyType(StrEnum):
USE_EXISTING = "use_existing"
CREATE_NEW = "create_new"
class RFQStatus(StrEnum):
OPEN = "open"
EXPIRED = "expired"
CANCELED = "canceled"
CLOSED = "closed"
class RequestAction(StrEnum):
REJECT = "reject"
ACCEPT = "accept"
class SettlementPoolStatus(StrEnum):
OPEN = "open"
PENDING = "pending"
CANCELED = "canceled"
class TradeRole(StrEnum):
MAKER = "maker"
TAKER = "taker"
class TradeSide(StrEnum):
BUY = "buy"
SELL = "sell"
class TradeType(StrEnum):
TRADE = "trade"
SETTLEMENT = "settlement"
LIQUIDATION = "liquidation"
class TransferStatus(StrEnum):
PENDING = "pending"
FAILED = "failed"
CONFIRMED = "confirmed"
class TransferType(StrEnum):
PREMIUM = "premium"
DEPOSIT = "deposit"
WITHDRAWAL = "withdrawal"
SETTLEMENT = "settlement"
LIQUIDATION = "liquidation"
REALIZED_PNL = "realized_pnl"
INITIAL_MARGIN = "initial_margin"
Top-level Models
class Address(TypedDict):
created_at: Optional[DateTimeRFC3339]
company: UUIDv4
address: H160
enabled: bool
class AggregatedPosition(TypedDict):
price: StrDecimal
underlying_price: StrDecimal
iv: StrDecimal
sum_delta: StrDecimal
sum_gamma: StrDecimal
upnl: StrDecimal
notional: StrDecimal
sum_rho: StrDecimal
sum_theta: StrDecimal
sum_vega: StrDecimal
position_info: Position
class Allowance(TypedDict):
type: AllowanceType
value: StrDecimal | int
class Asset(TypedDict):
company: UUIDv4
pool_location: UUIDv4
asset: AssetToken
qty: StrDecimal
class AuthContext(TypedDict):
key_id: UUIDv4
company_id: UUIDv4
role: ApiRole
class Company(TypedDict):
id: UUIDv4
created_at: Optional[DateTimeRFC3339]
legal_name: str
short_name: str
is_lp: bool
Instrument = Union[Spot, DatedFuture, PerpetualFuture, VanillaOption]
class InstrumentPrice(TypedDict):
price: StrDecimal
native_price: StrDecimal
delta: StrDecimal
gamma: StrDecimal
theta: StrDecimal
vega: StrDecimal
rho: StrDecimal
iv: StrDecimal
underlying_price: StrDecimal
interest_rate: StrDecimal
timestamp: DateTimeRFC3339
class LegQuote(TypedDict):
target_rfq_leg_id: UUIDv4
ask: Optional[StrDecimal] # > 0
bid: Optional[StrDecimal] # > 0
class MakerLastLookResponse(TypedDict):
new_clearing_status: ClearingStatus
pending_deposits_sum_qty: StrDecimal
settlement_pool_address: H160
MarginParams = Union[SimpleMarginParamsTag, PortfolioMarginParamsTag]
PoolStrategy = Union[UseExistingPool, CreateNewPool]
class PortfolioSummary(TypedDict):
sum_balance: StrDecimal
sum_delta: StrDecimal
sum_gamma: StrDecimal
sum_upnl: StrDecimal
sum_notional: StrDecimal
sum_rho: StrDecimal
sum_theta: StrDecimal
sum_vega: StrDecimal
sum_dollar_delta: StrDecimal
sum_dollar_gamma: StrDecimal
class Position(TypedDict):
company: UUIDv4
pool_location: UUIDv4
instrument: Instrument
updated_at: Optional[DateTimeRFC3339]
qty: StrDecimal
avg_entry_price: StrDecimal
class Quote(TypedDict):
parent_quote_id: UUIDv4
target_rfq_id: UUIDv4
maker_company: UUIDv4
expires_at: DateTimeRFC3339
aggregated_bid: Optional[StrDecimal]
aggregated_ask: Optional[StrDecimal]
clearing_status: ClearingStatus
clearing_events: List[ClearingEvent]
new_pool_name: Optional[str]
creator_params: Optional[MarginParams]
other_params: Optional[MarginParams]
pool_location: Optional[UUIDv4]
per_leg_quotes: List[LegQuote]
class QuoteAcceptResponse(TypedDict):
pending_deposits_sum_qty: StrDecimal
pending_settlement_pool: Optional[SettlementPool]
new_clearing_status: ClearingStatus
class RFQ(TypedDict):
rfq_id: UUIDv4
created_at: DateTimeRFC3339
clearing_status: Optional[ClearingStatus]
structure: Structure
structure_price: Optional[StructurePrice]
rfq_expires_at: DateTimeRFC3339
taker_company: UUIDv4
rfq_status: RFQStatus
qty: StrDecimal
rfq_legs: List[RFQLeg]
quotes_common_metadata: Dict[UUIDv4, QuoteCommonMetadata]
bids: List[QuoteWithMarginRequirements]
asks: List[QuoteWithMarginRequirements]
class SettlementPool(TypedDict):
pool_id: UUIDv4
company_id: UUIDv4
data: Optional[SettlementPoolData]
error: Optional[str]
class Status(TypedDict):
auth: Optional[AuthContext]
server_timestamp_ms: int
class Structure(TypedDict):
legs: List[Leg]
class StructurePriceResponse(TypedDict):
legs: List[InstrumentPrice]
structure: StructurePrice
class SupportedAssetDetails(TypedDict):
asset: AssetToken
asset_name: str
is_dex: bool
address: Optional[H160]
verified: Optional[bool]
precision: int
last_updated_at: DateTimeRFC3339
variational_funding_rate_params: FundingRateParams
class Trade(TypedDict):
id: UUIDv4
source_rfq: Optional[UUIDv4]
source_rfq_leg_id: Optional[UUIDv4]
source_quote: Optional[UUIDv4]
company: UUIDv4
created_at: Optional[DateTimeRFC3339]
side: TradeSide
instrument: Instrument
price: StrDecimal
qty: StrDecimal
pool_location: UUIDv4
role: TradeRole
trade_type: TradeType
class Transfer(TypedDict):
id: UUIDv4
rfq_id: Optional[UUIDv4]
parent_quote_id: Optional[UUIDv4]
oracle_request_id: Optional[UUIDv4]
created_at: DateTimeRFC3339
company: UUIDv4
qty: StrDecimal
asset: AssetToken
target_pool_location: UUIDv4
transfer_type: TransferType
status: TransferStatusNested Models
class ClearingEvent(TypedDict):
rfq_id: UUIDv4
parent_quote_id: UUIDv4
status: ClearingStatus
created_at: DateTimeRFC3339
taker_side: Optional[TradeSide]
class CreateNewPool(TypedDict):
strategy: PoolStrategyType # = CREATE_NEW
name: str # length ∈ [1, 50]
creator_params: 'MarginParams'
other_params: 'MarginParams'
class DatedFuture(TypedDict):
instrument_type: InstrumentType # = DATED_FUTURE
underlying: str # ∈ {'BTC', 'ETH'}
settlement_asset: str # = 'USDC'
expiry: DateTimeRFC3339 # date in the future or datetime at 08:00:00Z
class DexTokenDetails(TypedDict):
network: DexNetworkID
underlying_address: H160
class FundingRateParams(TypedDict):
normal_threshold: StrDecimal
high_threshold: StrDecimal
extreme_threshold: StrDecimal
normal_slope: StrDecimal
high_slope: StrDecimal
extreme_slope: StrDecimal
min_imbalance_dollars: StrDecimal
funding_exponent_factor: StrDecimal
class Leg(TypedDict):
side: TradeSide
ratio: int # ≥ 1
instrument: Instrument
class MarginUsage(TypedDict):
initial_margin: StrDecimal
maintenance_margin: StrDecimal
class PerpetualFuture(TypedDict):
instrument_type: InstrumentType # = PERPETUAL_FUTURE
underlying: str
settlement_asset: str # = 'USDC'
funding_interval_s: int # = 3600
dex_token_details: Optional[DexTokenDetails] # req. if underlying is a DEX token
class PoolMarginUsageStats(TypedDict):
company: UUIDv4
balance: StrDecimal
margin_params: MarginParams
margin_usage: MarginUsage
class PortfolioMarginAssetParam(TypedDict):
vol_range_up: StrDecimal # ∈ [0, 1]
vol_range_down: StrDecimal # ∈ [0, 1]
short_vega_power: StrDecimal # ∈ [0, 1]
long_vega_power: StrDecimal # ∈ [0, 1]
price_range: StrDecimal # ∈ [0, 1]
opt_sum_contingency: StrDecimal # ∈ [0, 1]
opt_contingency: StrDecimal # ∈ [0, 1]
futures_contingency: StrDecimal # ∈ [0, 1]
atm_range: StrDecimal # ∈ [0, 1]
class PortfolioMarginParams(TypedDict):
asset_params: Dict[AssetToken, PortfolioMarginAssetParam]
default_asset_param: PortfolioMarginAssetParam
decorrelation_risk: StrDecimal # ∈ [0, 1]
initial_margin_factor: StrDecimal # > 1
liquidation_penalty: StrDecimal # ∈ [0, 1]
auto_liquidation: bool
class PortfolioMarginParamsTag(TypedDict):
margin_mode: MarginMode # = PORTFOLIO
params: PortfolioMarginParams
class QuoteCommonMetadata(TypedDict):
parent_quote_id: UUIDv4
maker_company: UUIDv4
clearing_status: Optional[ClearingStatus]
expires_at: DateTimeRFC3339
pool_location: Optional[UUIDv4]
new_pool_name: Optional[str]
creator_params: Optional[MarginParams]
other_params: Optional[MarginParams]
pool_creator_company: Optional[UUIDv4]
pool_other_company: Optional[UUIDv4]
pool_creator_params: Optional[MarginParams]
pool_other_params: Optional[MarginParams]
clearing_events: List[ClearingEvent]
class QuoteWithMarginRequirements(TypedDict):
parent_quote_id: UUIDv4
quote_price: StrDecimal
counter_factual_margin_requirements: Optional[MarginUsage]
existing_margin_requirements: Optional[MarginUsage]
additional_margin_requirements: Optional[MarginUsage]
margin_requirements_counter_factual_request_id: UUIDv4
existing_margin_requirements_request_id: UUIDv4
class RFQLeg(TypedDict):
rfq_leg_id: UUIDv4
rfq_id: UUIDv4
instrument: Instrument
side: TradeSide
qty: StrDecimal
class SettlementPoolData(TypedDict):
status: SettlementPoolStatus
pool_name: str
pool_address: Optional[H160]
creator_address: H160
other_address: H160
positions: List[AggregatedPosition]
creator_company_margin_usage: PoolMarginUsageStats
other_company_margin_usage: PoolMarginUsageStats
class SimpleMarginAssetParam(TypedDict):
futures_initial_margin: StrDecimal # ∈ [0, 1]
futures_maintenance_margin: StrDecimal # ∈ [0, 1]
futures_leverage: StrDecimal # > 0
option_initial_margin: StrDecimal # ∈ [0, 1]
option_initial_margin_min: StrDecimal # ∈ [0, 1]
option_maintenance_margin: StrDecimal # ∈ [0, 1]
class SimpleMarginParams(TypedDict):
asset_params: Dict[AssetToken, SimpleMarginAssetParam]
default_asset_param: SimpleMarginAssetParam
liquidation_penalty: StrDecimal # ∈ [0, 1]
auto_liquidation: bool
class SimpleMarginParamsTag(TypedDict):
margin_mode: MarginMode # = SIMPLE
params: SimpleMarginParams
class Spot(TypedDict):
instrument_type: InstrumentType # = SPOT
underlying: str
settlement_asset: str # = 'USDC'
dex_token_details: Optional[DexTokenDetails] # req. if underlying is a DEX token
class StructurePrice(TypedDict):
price: StrDecimal
native_price: StrDecimal
delta: StrDecimal
gamma: StrDecimal
theta: StrDecimal
vega: StrDecimal
rho: StrDecimal
timestamp: DateTimeRFC3339
class UseExistingPool(TypedDict):
strategy: PoolStrategyType # = USE_EXISTING
pool_id: UUIDv4
class VanillaOption(TypedDict):
instrument_type: InstrumentType # = VANILLA_OPTION
underlying: str # ∈ {'BTC', 'ETH'}
settlement_asset: str # = 'USDC'
expiry: DateTimeRFC3339 # date in the future or datetime at 08:00:00Z
strike: StrDecimal # > 0
payoff: PayoffType
exercise: ExerciseTypeLast updated