RFQ - Request for Quotes

DRFQv2 - API Workflows

In our test environment, Paradigm runs “Auto Market Makers”. These desks, when included as counterparties in RFQs, will return + update prices and you are able to cross. This allows RFQ Creators to experience the end to end workflow.

Their desk names are “DSK2”, “DSK3”, “DSK4”, “DSK5”, and “MT2”. They are a part of the LP counterparty list returned from [GET] /counterparties.

DRFQv2: High Level

RFQ Creators are referred to as Taker’s and receivers of RFQs are referred to as Maker’s throughout the documentation.

DRFQv2 is centred around the concepts of “RFQs”, “Orders” and “Trades”:

  • RFQs are created by a single desk, the Taker, and are composed of one or more legs with attributes defined by the creator.
  • Makers, who are included as counterparties in the RFQ, are able to submit Orders with leg pricing.
  • Takers are able to submit an order with a LIMIT price to cross an existing Maker order.
  • Trades occur when a Taker submits a crossing Order and the trade is sent to the underlying settlement venue for clearing.

At a high level, the DRFQv2 workflow is:

  1. Taker creates an RFQ and chooses which counterparties to send it too.
  2. Maker(s) submits an order to the RFQ.
  3. Taker receives the order(s).
  4. Taker submits an order with a crossing price and the trade is sent for clearing on the underlying settlement venue.
  5. Taker & Maker receive confirmation that the trade has been successfully cleared or rejected at clearing by the underlying settlement venue.

Notes:

  • Users who create the RFQ are regarded as the Taker in the trade by Paradigm and the underlying settlement venue.
  • RFQ Markets have “Price” then “Time” matching prioritization. Meaning two Orders with the same price, but different created_at time attributes will result in the Order with the earlier created_at attribute having priority.
  • Paradigm expires RFQs which do not trade after 5 minutes from creation.

Key DRFQv2 Concepts

In DRFQv2,

  • Specific counterparties must be selected by the Taker to participate in the RFQ.
  • There are NO partial fills. Makers must submit orders with corresponding order sizes that match the RFQ’s quantity attribute.
  • There is NO concept of a Order Book or a public auction. Only the RFQ creator is able to see all of the Makers’ returned orders.
  • Takers can choose to create an RFQ on a disclosed or an anonymous basis.
  • Makers can NOT choose to submit Orders on an anonymous basis.
  • It is possible for a Trade to be rejected at clearing by the underlying settlement venue.