[PY] v0.6.2: Update python client code to place Short-Term orders (#32

)

v4-client-py/examples/composite_example.py

@@ -29,26 +29,25 @@ async def main() -> None:
     subaccount = Subaccount(wallet, 0)
     ordersParams = loadJson('human_readable_orders.json')
     for orderParams in ordersParams:
-        type = OrderType[orderParams["type"]]
         side = OrderSide[orderParams["side"]]
-        time_in_force_string = orderParams.get("timeInForce", "GTT")
-        time_in_force = OrderTimeInForce[time_in_force_string]
+
+        # Get the expiration block.
+        current_block = client.get_current_block()
+        next_valid_block_height = current_block + 1
+        # Note, you can change this to any number between `next_valid_block_height` to `next_valid_block_height + SHORT_BLOCK_WINDOW`
+        good_til_block = next_valid_block_height + 3
+
         price = orderParams.get("price", 1350)
-        time_in_force_seconds = 60 if time_in_force == OrderTimeInForce.GTT else 0
-        post_only = orderParams.get("postOnly", False)
         try:
-            tx = client.place_order(
+            tx = client.place_short_term_order(
                 subaccount,
                 market='ETH-USD',
-                type=type,
                 side=side,
                 price=price,
                 size=0.01,
                 client_id=randrange(0, 100000000),
-                time_in_force=time_in_force,
-                good_til_time_in_seconds=time_in_force_seconds,
-                execution=OrderExecution.DEFAULT,
-                post_only=post_only,
+                good_til_block=good_til_block,
+                time_in_force=OrderExecution.DEFAULT,
                 reduce_only=False
             )
             print('**Order Tx**')

v4-client-py/pyproject.toml

@@ -5,7 +5,7 @@ package-dir = {"" = "v4_client_py"}
 
 [tool.poetry]
 name = "v4-client-py"
-version = "0.6.1"
+version = "0.6.2"
 description = "dYdX v4 Client"
 authors = ["John Huang <contact@dydx.exchange>"]
 license = "BSL-1.1"

v4-client-py/v4_client_py/clients/dydx_composite_client.py

@@ -18,6 +18,7 @@
     ORDER_FLAGS_SHORT_TERM,
     ORDER_FLAGS_LONG_TERM,
     ORDER_FLAGS_CONDITIONAL,
+    SHORT_BLOCK_WINDOW,
 )
 
 from v4_client_py.clients.constants import Network
@@ -42,13 +43,25 @@ def __init__(
     def calculate_good_til_block(self) -> int:
         response = self.validator_client.get.latest_block()
         return response.block.header.height + 3
-    
+
     def calculate_good_til_block_time(self, good_til_time_in_seconds: int) -> int:
         now = datetime.now()
         interval = timedelta(seconds=good_til_time_in_seconds)
         future = now + interval
         return int(future.timestamp())
 
+    def validate_good_til_block(self, good_til_block: int) -> None:
+        response = self.validator_client.get.latest_block()
+        next_valid_block_height = response.block.header.height + 1
+        lower_bound = next_valid_block_height
+        upper_bound = next_valid_block_height + SHORT_BLOCK_WINDOW
+        if good_til_block < lower_bound or good_til_block > upper_bound:
+            raise Exception(
+                f"Invalid Short-Term order GoodTilBlock. "
+                f"Should be greater-than-or-equal-to {lower_bound} "
+                f"and less-than-or-equal-to {upper_bound}. "
+                f"Provided good til block: {good_til_block}"
+            )
 
     # Only MARKET and LIMIT types are supported right now
     # Use human readable form of input, including price and size
@@ -124,6 +137,66 @@ def place_order(
             trigger_price=trigger_price,
         )
         return self.validator_client.post.send_message(subaccount=subaccount, msg=msg, zeroFee=True)
+
+    def place_short_term_order(
+        self,
+        subaccount: Subaccount,
+        market: str,
+        side: OrderSide,
+        price: float,
+        size: float,
+        client_id: int,
+        good_til_block: int,
+        execution: OrderExecution,
+        reduce_only: bool,
+        trigger_price: float = None,
+    ) -> SubmittedTx:
+        '''
+        Place Short-Term order
+
+        :param subaccount: required
+        :type subaccount: Subaccount
+
+        :param market: required
+        :type market: str
+
+        :param side: required
+        :type side: Order.Side
+
+        :param price: required
+        :type price: float
+
+        :param size: required
+        :type size: float
+
+        :param client_id: required
+        :type client_id: int
+
+        :param good_til_block: required
+        :type good_til_block: int
+
+        :param execution: required
+        :type execution: OrderExecution
+
+        :param reduce_only: required
+        :type reduce_only: bool
+
+        :returns: Tx information
+        '''
+        msg = self.place_short_term_order_message(
+            subaccount=subaccount,
+            market=market,
+            type=type,
+            side=side,
+            price=price,
+            size=size,
+            client_id=client_id,
+            good_til_block=good_til_block,
+            execution=execution,
+            reduce_only=reduce_only,
+            trigger_price=trigger_price,
+        )
+        return self.validator_client.post.send_message(subaccount=subaccount, msg=msg, zeroFee=True)
 
     def calculate_client_metadata(self, order_type: OrderType) -> int:
         '''
@@ -249,7 +322,53 @@ def place_order_message(
             condition_type=condition_type,
             conditional_order_trigger_subticks=conditional_order_trigger_subticks,
         )
-
+
+    def place_short_term_order_message(
+        self,
+        subaccount: Subaccount,
+        market: str,
+        type: OrderType,
+        side: OrderSide,
+        price: float,
+        size: float,
+        client_id: int,
+        time_in_force: OrderExecution,
+        good_til_block: int,
+        reduce_only: bool,
+    ) -> MsgPlaceOrder:
+        # Validate the GoodTilBlock.
+        self.validate_good_til_block(good_til_block=good_til_block)
+
+        # Construct the MsgPlaceOrder.
+        markets_response = self.indexer_client.markets.get_perpetual_markets(market)
+        market = markets_response.data['markets'][market]
+        clob_pair_id = market['clobPairId']
+        atomic_resolution = market['atomicResolution']
+        step_base_quantums = market['stepBaseQuantums']
+        quantum_conversion_exponent = market['quantumConversionExponent']
+        subticks_per_tick = market['subticksPerTick']
+        order_side = calculate_side(side)
+        quantums = calculate_quantums(size, atomic_resolution, step_base_quantums)
+        subticks = calculate_subticks(price, atomic_resolution, quantum_conversion_exponent, subticks_per_tick)
+        order_flags = ORDER_FLAGS_SHORT_TERM
+        client_metadata = self.calculate_client_metadata(type)
+        return self.validator_client.post.composer.compose_msg_place_order(
+            address=subaccount.address,
+            subaccount_number=subaccount.subaccount_number,
+            client_id=client_id,
+            clob_pair_id=clob_pair_id,
+            order_flags=order_flags,
+            good_til_block=good_til_block,
+            good_til_block_time=0,
+            side=order_side,
+            quantums=quantums,
+            subticks=subticks,
+            time_in_force=time_in_force,
+            reduce_only=reduce_only,
+            client_metadata=client_metadata,
+            condition_type=Order.CONDITION_TYPE_UNSPECIFIED,
+            conditional_order_trigger_subticks=0,
+        )
 
     def cancel_order(
         self, 
@@ -367,4 +486,4 @@ def withdraw_from_subaccount(
             subaccount=subaccount,
             asset_id=0,
             quantums=amount * 10 ** (- QUOTE_QUANTUMS_ATOMIC_RESOLUTION),
-        )
+        )

v4-client-py/v4_client_py/clients/helpers/chain_helpers.py

@@ -20,15 +20,17 @@ class OrderTimeInForce(Flag):
     FOK = auto()    # Fill or Kill
 
 class OrderExecution(Flag):
-    DEFAULT = auto()    # Default, STOP_LIMIT and TAKE_PROFIT_LIMIT
-    POST_ONLY = auto()  # Post-only, STOP_LIMIT and TAKE_PROFIT_LIMIT
+    DEFAULT = 0         # Default. Note proto enums start at 0, which is why this start at 0.
     IOC = auto()        # Immediate or Cancel
+    POST_ONLY = auto()  # Post-only
     FOK = auto()        # Fill or Kill
 
 ORDER_FLAGS_SHORT_TERM = 0
 ORDER_FLAGS_LONG_TERM = 64
 ORDER_FLAGS_CONDITIONAL = 32
 
+SHORT_BLOCK_WINDOW = 20
+
 QUOTE_QUANTUMS_ATOMIC_RESOLUTION = -6