feat/finishing rfq #193
feat/finishing rfq #193
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8ball030
commented
Jan 23, 2026
8ball030
commented
- chore:removed-dead-code
- feat:e2e-for-quoting
- feat:added-rfq-demo
- feat:added-simple-rfq-quoter
| while True: | ||
| portfolio_delta: Decimal | None = None | ||
| while True: | ||
| try: | ||
| portfolio_delta = self.hedging_queue.get_nowait() | ||
| except asyncio.QueueEmpty: | ||
| break |
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Add a comment explaining the drainage pattern:
# Drain queue to get most recent delta (we only care about latest state, not history)
while True:
try:
portfolio_delta = self.hedging_queue.get_nowait()
except asyncio.QueueEmpty:
breakThis clarifies why you're discarding intermediate values.
| async def calculate_delta_from_quote( | ||
| self, quote: QuoteResultSchema | RFQResultPublicSchema | ||
| ) -> tuple[Decimal, bool]: | ||
| """Calculates the hedge amount needed to neutralize delta exposure from the quote.""" |
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The docstring should clarify what happens on error:
"""
Calculates the hedge amount needed to neutralize delta exposure from the quote.
Returns:
tuple[Decimal, bool]: (total_delta, is_error)
- total_delta: Calculated delta exposure (partial sum if error occurred)
- is_error: True if option pricing data was unavailable for any leg
"""This makes the return semantics explicit.
| async with self.quoting_lock: | ||
| if quote.status == Status.expired and quote.rfq_id in self.quotes: | ||
| del self.quotes[quote.rfq_id] | ||
| self.logger.info(f" ✗ Our quote {quote.quote_id} expired Better luck next time!") |
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Missing punctuation:
self.logger.info(f" ✗ Our quote {quote.quote_id} expired. Better luck next time!")
| # we are the SELLER of the quote so we are in efffect taking the opposite side of the leg direction | ||
| # we therefore subtract the delta for buy legs and add for sell legs | ||
| if leg.direction == Direction.sell: | ||
| total_delta += leg_delta | ||
| else: | ||
| total_delta -= leg_delta |
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Typo: "efffect" → "effect"
Also, this logic is critical but might be confusing. Consider expanding:
# As the quoter (seller), we take the opposite side of each leg's direction:
# - If leg.direction is SELL, the taker buys from us → we are short → negative delta for us
# - If leg.direction is BUY, the taker sells to us → we are long → positive delta for us
# But since we're calculating what WE need to hedge, we invert:There was a problem hiding this comment.
If the quoter is selling the quote and leg.direction == Direction.sell, that means the taker wants to sell that leg, so the quoter buys it, gaining positive delta. But your code adds leg_delta in this case.
This might be a bug or I'm misunderstanding the perspective. Can you clarify what leg.direction represents in the RFQ context? Is it the taker's desired direction or the quoter's position?
| self.quotes.pop(quote.rfq_id, None) | ||
| self.logger.info(f" ✗ Our quote {quote.quote_id} expired. Better luck next time!") | ||
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| async def run(self): |
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To me it appears such that this, unambiguously, requires a match statement! And full pattern matching if the Enum! I like good enough, but this isn't there yet! We shall exhaustively match quote.status, even if we merely log all of those of any another designation than Status.filled!
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| all_tickers = {} | ||
| for expiry in {instrument.option_details.expiry for instrument in instruments}: | ||
| expiry_date = datetime.fromtimestamp(expiry, tz=timezone.utc).strftime("%Y%m%d") |
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Fucking ffabulous, now we call get tickers on every one of the 500 markets.
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It was done to future proof the example, as get_ticker is deprecated.
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https://github.com/8ball030/derive_client/pull/201/changes |
