Example Client for dYdX Full Node gRPC Streams

Note: for compatibility with nodes running v5.2.X, please use this repository at commit 4870796be19937ff4a50fd24647049ae51feb339 and ensure you have the correct protos for your node version by running pip install v4-proto==5.2.2.

Compatible with dYdX full nodes running v5.0.5+ (includes fills).

Setup

python3 -m venv venv
source venv/bin/activate
pip install -r requirements.txt
vim config.yaml # Add your full node address etc.

You first need a full node with gRPC streaming enabled. Add the full node address to the config.yaml file.

Logic

See main.py and src/feed_handler.py for an example of how messages are used to update the book state.

Book Streaming Example

python main.py

Example output:

...
(optimistic) FillType.NORMAL buy 1.98 @ 3775.4 taker=OrderId(owner_address='dydx14dltc2w6y3dhf0naz8luglsvjt0vhvswm2j6d0', subaccount_number=0, client_id=172418967) maker=OrderId(owner_address='dydx1q869gyjwanxhw5xdgfg67pg3y8gjeuzth6u6zl', subaccount_number=0, client_id=3032340154)
(optimistic) FillType.NORMAL buy 1.0 @ 3775.4 taker=OrderId(owner_address='dydx14dltc2w6y3dhf0naz8luglsvjt0vhvswm2j6d0', subaccount_number=0, client_id=172418968) maker=OrderId(owner_address='dydx1expvgcc4j9cqnag2yp4n0tzf4ejtxtgnpj928r', subaccount_number=0, client_id=4187582710)
Book for CLOB pair 0 (BTC-USD):
Price          Qty    Client Id                                     Address Acc
67667.000000     0.176000   3032340153 dydx1q869gyjwanxhw5xdgfg67pg3y8gjeuzth6u6zl 0
67667.000000     0.186100   3029283519 dydx1dax7t2529z8996579zuqdatv62wpsw89lv3apc 0
67667.000000     0.443300   1745942212 dydx17z3prca48l3c93wtlfp69p25gze45uey57z667 0
67667.000000     0.050000   1002744015 dydx1expvgcc4j9cqnag2yp4n0tzf4ejtxtgnpj928r 0
67667.000000     0.060800   1108947245 dydx100l9m6g70j28g2tk3jj4plmge8vsmj6jdrlzhk 1
--           --
67666.000000     0.100000   1739498652 dydx1ensqm4lyl5vg6mrj7uwpvrggjmw2wd8rnwu40c 1
67666.000000     0.003000   1002744011 dydx1expvgcc4j9cqnag2yp4n0tzf4ejtxtgnpj928r 0
67666.000000     0.060000   1673775367 dydx1s9q4vcyel46z2c3lx7tsk8dh6ma06zqwwt2yh9 0
67666.000000     0.277700   1933984618 dydx17vhycd0r2x79d9n84jytpjkvllv72za6da40ry 0
67665.000000     0.003000   1002744014 dydx1expvgcc4j9cqnag2yp4n0tzf4ejtxtgnpj928r 0

Book for CLOB pair 1 (ETH-USD):
Price          Qty    Client Id                                     Address Acc
3775.500000     5.297000    168192650 dydx14dltc2w6y3dhf0naz8luglsvjt0vhvswm2j6d0 0
3775.500000     5.297000   1746901703 dydx17z3prca48l3c93wtlfp69p25gze45uey57z667 0
3775.500000     1.500000   1747609852 dydx1ensqm4lyl5vg6mrj7uwpvrggjmw2wd8rnwu40c 1
3775.500000     1.959000    898243471 dydx15u3dtsf4twdxttvy7850dkex7tcf3ps2y8wcuf 0
3775.500000     0.400000    958722475 dydx1s9q4vcyel46z2c3lx7tsk8dh6ma06zqwwt2yh9 0
--           --
3775.300000     1.921000    898243470 dydx15u3dtsf4twdxttvy7850dkex7tcf3ps2y8wcuf 0
3775.300000     0.982000   4187582713 dydx1expvgcc4j9cqnag2yp4n0tzf4ejtxtgnpj928r 0
3775.200000     1.968000   3029283520 dydx1dax7t2529z8996579zuqdatv62wpsw89lv3apc 0
3775.200000     0.860000   4187582712 dydx1expvgcc4j9cqnag2yp4n0tzf4ejtxtgnpj928r 0
3775.000000    15.892000   2565059354 dydx1g6vlujs2fw7c4886uc8g092474d54uhcf2swrg 0

(finalized) FillType.NORMAL buy 1.98 @ 3775.4 taker=OrderId(owner_address='dydx14dltc2w6y3dhf0naz8luglsvjt0vhvswm2j6d0', subaccount_number=0, client_id=172418967) maker=OrderId(owner_address='dydx1q869gyjwanxhw5xdgfg67pg3y8gjeuzth6u6zl', subaccount_number=0, client_id=3032340154)
(finalized) FillType.NORMAL buy 1.0 @ 3775.4 taker=OrderId(owner_address='dydx14dltc2w6y3dhf0naz8luglsvjt0vhvswm2j6d0', subaccount_number=0, client_id=172418968) maker=OrderId(owner_address='dydx1expvgcc4j9cqnag2yp4n0tzf4ejtxtgnpj928r', subaccount_number=0, client_id=4187582710)
...

Print gRPC Messages Example

python example/print_feed_as_json.py

Unit Tests

python -m unittest discover -s test