Migrating from GRFQ

Relationship with GRFQv1

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

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