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Merged
Niketion merged 2 commits into from
Nov 3, 2026
Merged

Port Derive maker-flow client to the v3 API #1

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ce42764
Port Derive maker-flow client to the v3 API
skatasweden Oct 25, 2026
3f6f416
fix(derive): skip trades with missing or null batch status
Niketion Nov 3, 2026
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2 changes: 1 addition & 1 deletion docs/derive-maker-flow.md
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Original file line number Diff line number Diff line change
Expand Up @@ -8,7 +8,7 @@ The GEX integration keeps structural exposure and observed flow separate:
- **Derive is an observed-flow source.** Only settled option trades where Derive reports the participant as maker are retained.
- **The datasets are never summed.** Derive flow does not alter Deribit GEX, walls, flip, zones, projection, or monitor data, and Derive is not exposed as a chartable exchange adapter.

The Derive client uses REST JSON-RPC at `https://api.lyra.finance`:
The Derive client uses REST JSON-RPC at `https://api.derive.xyz/v3`:

- `public/get_all_instruments`
- `public/get_trade_history`
Expand Down
39 changes: 32 additions & 7 deletions exchange/src/options/derive.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -6,7 +6,7 @@ use std::collections::{HashMap, HashSet};
use std::time::Duration;
use thiserror::Error;

const PRODUCTION_BASE_URL: &str = "https://api.lyra.finance";
const PRODUCTION_BASE_URL: &str = "https://api.derive.xyz/v3";
const PAGE_SIZE: u16 = 1_000;
const HTTP_CONNECT_TIMEOUT: Duration = Duration::from_secs(10);
const HTTP_REQUEST_TIMEOUT: Duration = Duration::from_secs(30);
Expand Down Expand Up @@ -73,6 +73,7 @@ pub struct DeriveOptionsClient {
}

impl DeriveOptionsClient {
/// Creates a client for the Derive v3 production API using the optional proxy.
pub fn new(proxy: Option<&adapter::Proxy>) -> Result<Self, DeriveError> {
Self::with_base_url(PRODUCTION_BASE_URL, proxy)
}
Expand Down Expand Up @@ -130,6 +131,8 @@ impl DeriveOptionsClient {
Ok(result)
}

/// Fetches and deduplicates settled maker option trades within the inclusive time window.
/// Trades with missing, null, or non-settled batch status are skipped.
pub async fn fetch_trade_history(
&self,
underlying: OptionsUnderlying,
Expand All @@ -154,7 +157,7 @@ impl DeriveOptionsClient {
let params = TradeHistoryParams {
instrument_type: "option",
currency: underlying.as_str(),
tx_status: "settled",
batch_status: "Settled",
from_timestamp: from_timestamp.as_u64(),
to_timestamp: to_timestamp.as_u64(),
page,
Expand All @@ -166,7 +169,8 @@ impl DeriveOptionsClient {
let Some(instrument) = by_name.get(item.instrument_name.as_str()) else {
continue;
};
if item.tx_status != "settled" || item.liquidity_role != "maker" {
if item.batch_status.as_deref() != Some("Settled") || item.liquidity_role != "maker"
{
continue;
}
let Some(trade) = item.into_model(instrument) else {
Expand Down Expand Up @@ -306,7 +310,7 @@ impl InstrumentDto {
struct TradeHistoryParams<'a> {
instrument_type: &'static str,
currency: &'a str,
tx_status: &'static str,
batch_status: &'static str,
from_timestamp: u64,
to_timestamp: u64,
page: u32,
Expand All @@ -329,7 +333,7 @@ struct TradeDto {
trade_amount: String,
mark_price: String,
index_price: String,
tx_status: String,
batch_status: Option<String>,
}

impl TradeDto {
Expand Down Expand Up @@ -394,11 +398,32 @@ mod tests {
assert_eq!(model.expiration_timestamp, UnixMs::new(1_909_008_000_000));
}

/// Verifies pagination, deduplication, and rejection of non-settled or unknown-status trades.
#[tokio::test]
async fn paginates_and_keeps_only_unique_settled_maker_trades() {
let listener = std::net::TcpListener::bind("127.0.0.1:0").expect("listener");
let address = listener.local_addr().expect("address");
let fixture = fixture();
let mut fixture = fixture();
// Unknown statuses must not prevent valid trades on the same page from loading.
for (id, status) in [
("trade-null-status", Some(Value::Null)),
("trade-missing-status", None),
] {
let mut trade = fixture["trades_page_1"]["result"]["trades"][0].clone();
trade["trade_id"] = Value::String(id.to_owned());
if let Some(status) = status {
trade["batch_status"] = status;
} else {
trade
.as_object_mut()
.expect("trade object")
.remove("batch_status");
}
fixture["trades_page_1"]["result"]["trades"]
.as_array_mut()
.expect("trades")
.push(trade);
}
let pages = [
fixture["instruments_page_1"].to_string(),
fixture["instruments_page_2"].to_string(),
Expand Down Expand Up @@ -426,7 +451,7 @@ mod tests {
assert!(request_body.contains("\"instrument_type\":\"option\""));
assert!(request_body.contains("\"currency\":\"BTC\""));
if index >= 2 {
assert!(request_body.contains("\"tx_status\":\"settled\""));
assert!(request_body.contains("\"batch_status\":\"Settled\""));
assert!(request_body.contains("\"from_timestamp\":1800000000000"));
assert!(request_body.contains("\"to_timestamp\":1800000010000"));
} else {
Expand Down
4 changes: 2 additions & 2 deletions exchange/tests/fixtures/derive_option_history.json
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
{
"instruments_page_1": {"id":"flowsurface","result":{"instruments":[{"instrument_name":"BTC-30JUN30-100000-C","instrument_type":"option","base_currency":"BTC","is_active":true,"option_details":{"expiry":1909008000,"strike":"100000.005","option_type":"C"}}],"pagination":{"count":2,"num_pages":2}}},
"instruments_page_2": {"id":"flowsurface","result":{"instruments":[{"instrument_name":"BTC-30JUN30-90000-P","instrument_type":"option","base_currency":"BTC","is_active":true,"option_details":{"expiry":1909008000,"strike":"90000","option_type":"P"}},{"instrument_name":"ETH-30JUN30-5000-C","instrument_type":"option","base_currency":"ETH","is_active":true,"option_details":{"expiry":1909008000,"strike":"5000","option_type":"C"}}],"pagination":{"count":3,"num_pages":2}}},
"trades_page_1": {"id":"flowsurface","result":{"trades":[{"trade_id":"trade-maker-buy","instrument_name":"BTC-30JUN30-100000-C","timestamp":1800000001000,"direction":"buy","liquidity_role":"maker","trade_amount":"2.5","mark_price":"0.12","index_price":"101000","tx_status":"settled","wallet":"0xnot-persisted","subaccount_id":42,"realized_pnl":"1","trade_fee":"0.1","tx_hash":"0xnot-persisted"},{"trade_id":"trade-taker","instrument_name":"BTC-30JUN30-100000-C","timestamp":1800000002000,"direction":"sell","liquidity_role":"taker","trade_amount":"1","mark_price":"0.12","index_price":"101000","tx_status":"settled"}],"pagination":{"count":4,"num_pages":2}}},
"trades_page_2": {"id":"flowsurface","result":{"trades":[{"trade_id":"trade-maker-buy","instrument_name":"BTC-30JUN30-100000-C","timestamp":1800000001000,"direction":"buy","liquidity_role":"maker","trade_amount":"2.5","mark_price":"0.12","index_price":"101000","tx_status":"settled"},{"trade_id":"trade-reverted","instrument_name":"BTC-30JUN30-90000-P","timestamp":1800000003000,"direction":"sell","liquidity_role":"maker","trade_amount":"3","mark_price":"0.08","index_price":"101000","tx_status":"reverted"},{"trade_id":"trade-maker-sell","instrument_name":"BTC-30JUN30-90000-P","timestamp":1800000004000,"direction":"sell","liquidity_role":"maker","trade_amount":"3","mark_price":"0.08","index_price":"101000","tx_status":"settled"}],"pagination":{"count":5,"num_pages":2}}}
"trades_page_1": {"id":"flowsurface","result":{"trades":[{"trade_id":"trade-maker-buy","instrument_name":"BTC-30JUN30-100000-C","timestamp":1800000001000,"direction":"buy","liquidity_role":"maker","trade_amount":"2.5","mark_price":"0.12","index_price":"101000","batch_status":"Settled","wallet":"0xnot-persisted","subaccount_id":42,"realized_pnl":"1","trade_fee":"0.1","tx_hash":"0xnot-persisted"},{"trade_id":"trade-taker","instrument_name":"BTC-30JUN30-100000-C","timestamp":1800000002000,"direction":"sell","liquidity_role":"taker","trade_amount":"1","mark_price":"0.12","index_price":"101000","batch_status":"Settled"}],"pagination":{"count":4,"num_pages":2}}},
"trades_page_2": {"id":"flowsurface","result":{"trades":[{"trade_id":"trade-maker-buy","instrument_name":"BTC-30JUN30-100000-C","timestamp":1800000001000,"direction":"buy","liquidity_role":"maker","trade_amount":"2.5","mark_price":"0.12","index_price":"101000","batch_status":"Settled"},{"trade_id":"trade-reverted","instrument_name":"BTC-30JUN30-90000-P","timestamp":1800000003000,"direction":"sell","liquidity_role":"maker","trade_amount":"3","mark_price":"0.08","index_price":"101000","batch_status":"Batching"},{"trade_id":"trade-maker-sell","instrument_name":"BTC-30JUN30-90000-P","timestamp":1800000004000,"direction":"sell","liquidity_role":"maker","trade_amount":"3","mark_price":"0.08","index_price":"101000","batch_status":"Settled"}],"pagination":{"count":5,"num_pages":2}}}
}