Supported Models

dYdX

Introduction

This page explains the dYdXBrokerageModel, including the asset classes it supports, its default security-level models, and its default markets.

SetBrokerageModel(BrokerageName.dYdX, AccountType.Margin);
self.set_brokerage_model(BrokerageName.DYDX, AccountType.MARGIN)

For more information about this model, see the class referenceclass reference and implementation.

Asset Classes

The dYdXBrokerageModel supports trading Crypto futures.

Orders

The dYdXBrokerageModel supports several order types, order properties, and order updates.

Order Types

The following table describes the available order types for each asset class that the dYdXBrokerageModel supports:

Order TypeCrypto Future
Marketgreen check
Limitgreen check
Stop marketgreen check
Stop limitgreen check

Order Properties

The dYdXBrokerageModel supports custom order properties. The following table describes the members of the dYdXOrderProperties object that you can set to customize order execution:

PropertyData TypeDescriptionDefault Value
TimeInForcetime_in_forceTimeInForce A TimeInForce instruction to apply to the order. The following instructions are supported:
  • DayDAY
  • GoodTilCanceledGOOD_TIL_CANCELED
  • GoodTilDategood_til_date
TimeInForce.GoodTilCanceledTimeInForce.GOOD_TIL_CANCELED
GasLimitgas_limitulongintThe maximum amount of gas to use for the order.1_000_000
GoodTilBlockOffsetgood_til_block_offsetulongintThe block height at which the order expires.20
PostOnlypost_onlyboolA flag to signal that the order must only add liquidity to the order book and not take liquidity from the order book. If part of the order results in taking liquidity rather than providing liquidity, the order is rejected without any part of it being filled. This order property is only available for limit orders.
ReduceOnlyreduce_onlybool?bool/NoneTypeA flag to signal that the order must only reduce your current position size. For more information about this order property, see Reduce-Only Order on the dYdX website.
 
public override void Initialize()
{
    // Set the default order properties
    DefaultOrderProperties = new dYdXOrderProperties
    {
        TimeInForce = TimeInForce.GoodTilCanceled,
        ReduceOnly = false,
        PostOnly = false
    };
}

public override void OnData(Slice slice)
{
    // Use default order order properties
    LimitOrder(_symbol, quantity, limitPrice);
    
    // Override the default order properties
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new dYdXOrderProperties
               { 
                   TimeInForce = TimeInForce.Day,
                   ReduceOnly = true,
                   PostOnly = false
               });
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new dYdXOrderProperties
               { 
                   TimeInForce = TimeInForce.GoodTilDate(new DateTime(year, month, day)),
                   ReduceOnly = false,
                   PostOnly = true
               });
}
def initialize(self) -> None:
    # Set the default order properties
    self.default_order_properties = dYdXOrderProperties()
    self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_CANCELED
    self.default_order_properties.reduce_only = False
    self.default_order_properties.post_only = False

def on_data(self, slice: Slice) -> None:
    # Use default order order properties
    self.limit_order(self._symbol, quantity, limit_price)
    
    # Override the default order properties
    order_properties = dYdXOrderProperties()
    order_properties.time_in_force = TimeInForce.DAY
    order_properties.reduce_only = True
    order_properties.post_only = False
    self.limit_order(self._symbol, quantity, limit_price, order_properties=order_properties)

    order_properties.time_in_force = TimeInForce.good_til_date(datetime(year, month, day))
    order_properties.reduce_only = False
    order_properties.post_only = True
    self.limit_order(self._symbol, quantity, limit_price, order_properties=order_properties)

Updates

The dYdXBrokerageModel doesn't support order updates, but you can cancel an existing order and then create a new order with the desired arguments. For more information about this workaround, see the Workaround for Brokerages That Don't Support Updates.

Fills

The dYdXBrokerageModel uses the ImmediateFillModel.

Slippage

The dYdXBrokerageModel uses the NullSlippageModel.

Fees

The dYdXBrokerageModel uses the dYdXFeeModel with the default argument values that models the current dYdX fee schedule.

Buying Power

The dYdXBrokerageModel uses the SecurityMarginModel and allows 3.3x leverage.

Settlement

The dYdXBrokerageModel uses the ImmediateSettlementModel.

Margin Interest Rate

The dYdXBrokerageModel uses the NullMarginInterestRateModel.

Default Markets

The default market of the dYdXBrokerageModel is Market.dYdXMarket.DYDX.

Account Currency

The dYdXBrokerageModel doesn't set a default currency. To change the algorithm's currency from USD to a different currency, see Set Account Currency.

You can also see our Videos. You can also get in touch with us via Discord.

Did you find this page helpful?

Contribute to the documentation: