High-Level Workflows

Create+manage your Quote Book

1. Subscribe to the quote_book JSON-RPCoverWebSockets Notification Channel to receive updates relating to Quotes upon OBs.

   • This channel is a public channel and will send information about your own quotes

   • You are not able to trade against your own quotes

2. For each OB that is active, call the RESToverHTTP [GET] rfq/{rfq_id}/quotes endpoint to return all existing Quotes on a specific OB

3. Reconcile the Order Book using the following method.

   1. When kind is ‘ADDED’ or ‘UPDATED’ (WS) or ‘OPEN’ (API)

      • For each new quote received, ignore it if it has been previously removed

      • Add the quote if quote did not previously exist

      • Replace the quote if:

        • last_activity of new quote >= last_activity of current quote AND new remaining_quantity <= remaining_quantity of current quote

   2. When kind is ‘REMOVED’

      • Add the quote_id to a list to track removed quotes

      • Remove quote from quote-book

4. ADD/REMOVE/UPDATE your locally stored Quotes as updates are received through the quote_book WS Channel.

Helpful perspectives:

• OB is fantastic if you want to trade large size and have a target price in mind. The ability to submit "Limit Orders" as either resting Quotes or Orders with a limit price enables this.

• Thinking in terms of size & price levels is the best way.

• When you submit an Order, Paradigm, depending on the size of your Order and the Quote Book at the time, will likely consume multiple Quotes. This means you will have to wait for multiple trades to clear on the underlying venue.

• Determine the Block Size Minimum requirement for the OB you are trading upon. This will be the minimum executable quantity.

  • For Deribit, this is 25BTC for BTC Options OBs and $200kUSD for Futures OBs

  • For Bybit, this is $1USD for Futures OBs

• Create levels in your Quote Book by the Block Size minimum quantity size to ascertain the size & price levels.