Migrating from GRFQ

Complex Order Books are an incremental update to GRFQv1 workflows.

In GRFQv1, Order Book API operations are synchronous
Quote responses contain the current state of the Quote. If the quote crossed another quote, that status is included in the API response
If there is an error in the Quote creation process, those errors are returned in the API response.

With OBv1, we move to a more common trading workflow, in which order book operations are asynchronous with API requests:

In OBv1, Order Book API operations are asynchronous
When creating a Quote, the Quote initially enters a PENDING status, and only the initial values are echoed back, along with a Paradigm-generated Quote ID.
Matching occurs asynchronously to the API request, and any Order Book operations, or Order Book validation failures (e.g., Taker Limits) are returned to the user via WebSockets
Non-Order Book validations (e.g., authentication, price bands, or quantity validation) still occur synchronously with API processing, and are returned immediately in API response

Last updated 4 months ago