dYdX v4

dYdX is one of the largest decentralized cryptocurrency exchanges for crypto derivative products. This integration supports live market data ingestion and order execution with dYdX v4, running on its own Cosmos SDK application-specific blockchain (dYdX Chain) with CometBFT consensus. The order book and matching engine run on-chain as part of the validator process. Orders are submitted as Cosmos transactions via gRPC and settled each block. An Indexer service exposes REST and WebSocket APIs for market data and account state.

This is the Rust-backed adapter with Python bindings.

Installation

Examples

You can find live example scripts here.

Overview

This adapter is implemented in Rust with Python bindings via PyO3. It provides direct integration with dYdX's Indexer API (REST/WebSocket) for market data and gRPC for Cosmos SDK transaction submission, without requiring external client libraries.

Product support

Chain architecture

Unlike centralized exchanges (CEXs) that expose a single REST/WebSocket API, dYdX v4 runs on its own Cosmos SDK application-specific blockchain. This means every trade is a Cosmos transaction that goes through consensus, and the adapter must manage sequences, gas, and block-height-based expiration.

Transport layers

The adapter communicates through three independent transport layers:

                         ┌─────────────────────────────────────────────┐
                         │              dYdX v4 Chain                  │
                         │                                             │
 ┌──────────┐  HTTP      │   ┌──────────────────────┐                  │
 │          │───────────►│   │  Indexer (read-only) │                  │
 │          │  WebSocket │   │  - REST API          │                  │
 │ Nautilus │───────────►│   │  - Streaming API     │                  │
 │ Adapter  │            │   └──────────────────────┘                  │
 │          │  gRPC      │   ┌──────────────────────┐                  │
 │          │───────────►│   │  Validator (write)   │                  │
 └──────────┘            │   │  - Cosmos Tx submit  │                  │
                         │   │  - Sequence mgmt     │                  │
                         │   └──────────────────────┘                  │
                         └─────────────────────────────────────────────┘

Block-based settlement

dYdX blocks are produced approximately every ~0.5 seconds (actual times vary). The adapter includes a BlockTimeMonitor that tracks observed block times from the WebSocket feed to dynamically estimate seconds_per_block. This estimate is used to convert time-based order expiry into block-height offsets for short-term orders.

Architecture

The dYdX v4 adapter includes multiple components which can be used together or separately:

• DydxHttpClient: Rust-backed HTTP client for Indexer REST API queries.
• DydxWebSocketClient: Rust-backed WebSocket client for real-time market data and account updates.
• DydxGrpcClient: Rust-backed gRPC client for Cosmos SDK transaction submission.
• DydxInstrumentProvider: Instrument parsing and loading functionality.
• DydxDataClient: Market data feed manager.
• DydxExecutionClient: Account management and trade execution gateway.
• DydxLiveDataClientFactory: Factory for dYdX v4 data clients (used by the trading node builder).
• DydxLiveExecClientFactory: Factory for dYdX v4 execution clients (used by the trading node builder).

Troubleshooting

StatusCode.NOT_FOUND account not found

Cause: The wallet/sub-account has never been funded and therefore does not yet exist on-chain.

Fix:

1. Deposit any positive amount of USDC to sub-account 0 on the correct network.
2. Wait for finality (roughly 30 seconds on mainnet, longer on testnet).
3. Restart the TradingNode; the connection should now succeed.

Symbology

dYdX uses specific symbol conventions for perpetual futures contracts.

Symbol format

Format: {Base}-USD-PERP

All perpetuals on dYdX are:

• Quoted in USD
• Settled in USDC
• Use the .DYDX venue suffix in Nautilus

Examples:

• BTC-USD-PERP.DYDX - Bitcoin perpetual futures
• ETH-USD-PERP.DYDX - Ethereum perpetual futures
• SOL-USD-PERP.DYDX - Solana perpetual futures

To subscribe in your strategy:

InstrumentId.from_str("BTC-USD-PERP.DYDX")
InstrumentId.from_str("ETH-USD-PERP.DYDX")

Orders capability

dYdX supports perpetual futures trading with a full set of order types and execution features. The Rust adapter automatically classifies orders as short-term or long-term based on time-in-force and expiry, so no manual tagging is needed (unlike the legacy Python adapter).

Order types

Execution instructions

Time in force options

Advanced order features

Batch operations

Position management

Order querying

Contingent orders

Order classification

dYdX classifies every order into one of three on-chain categories. The Rust adapter automatically determines the category based on time-in-force and expiry, so no manual configuration is required.

At the protocol level, all dYdX orders are limit orders. The MARKET order type is a Nautilus convenience that the adapter implements as an aggressive IOC limit order priced well through the book. This means market orders follow the same Submitted > Accepted > Filled lifecycle as limit orders (an OrderAccepted event is expected before the fill).

See the dYdX order documentation for full protocol-level details on short-term vs stateful order mechanics.

Short-term orders

Short-term orders live in validator memory only and expire by block height (max 20 blocks, roughly ~10 seconds at ~0.5s/block). They are the fastest order type on dYdX because they skip on-chain storage.

Key properties:

• IOC and FOK are always short-term, regardless of other parameters
• GTD orders are automatically classified as short-term when the expiry falls within the dynamic short-term window (20 blocks × seconds_per_block)
• Use Good-Til-Block (GTB) for replay protection instead of Cosmos SDK sequences
• Can be broadcast concurrently (no semaphore, cached sequence)
• Expire silently without generating cancel events
• Cannot be batched in a single transaction (one MsgPlaceOrder per tx)

Long-term orders

Long-term (stateful) orders are stored on-chain and expire by UTC timestamp. They generate explicit cancel events when they expire or are cancelled.

Key properties:

• GTC orders default to 90-day expiration
• GTD orders use the user-provided expiry timestamp
• Require proper Cosmos SDK sequence management (serialized via semaphore)
• Must be broadcast serially with incrementing sequence numbers
• Can be batched in a single transaction

Conditional orders

Conditional orders (stop-loss, take-profit) are always stored on-chain and triggered by price conditions on the validator.

Key properties:

• Always use timestamp-based expiry (default 90 days for GTC)
• Always use the long-term broadcast path (serialized with semaphore)
• Include StopMarket, StopLimit, TakeProfitMarket, and TakeProfitLimit

Automatic routing

The adapter determines order lifetime automatically using the BlockTimeMonitor:

max_short_term_secs = SHORT_TERM_ORDER_MAXIMUM_LIFETIME (20) × seconds_per_block

If the order's time until expiry is within max_short_term_secs, it is routed as short-term. Otherwise, it is routed as long-term. No manual configuration is needed.

MARKET order implementation

dYdX has no native market order type. The adapter implements MARKET orders as aggressive IOC limit orders priced at:

• Buy: oracle_price × (1 + 0.01) (1% above oracle)
• Sell: oracle_price × (1 - 0.01) (1% below oracle)

This 1% slippage buffer (DEFAULT_MARKET_ORDER_SLIPPAGE = 0.01) ensures the order crosses the spread and fills immediately, while providing price protection against extreme slippage.

Client order ID encoding

dYdX requires u32 client IDs on-chain, but Nautilus uses string-based ClientOrderId values (e.g., O-20260220-031943-001-000-51). The adapter encodes these bidirectionally so that orders can be reconciled across restarts without persisted state.

For the standard O-format (O-YYYYMMDD-HHMMSS-TTT-SSS-CCC), the encoding is deterministic:

Because the encoding is deterministic, the adapter can decode any reconciled order back to its original ClientOrderId string without needing a database or mapping file.

Non-standard ClientOrderId formats (custom strings, plain numbers) fall back to sequential allocation with an in-memory reverse map. These IDs can only be decoded within the same session.

Restart collision prevention

On restart, Nautilus resets the internal order counter based on the number of reconciled orders, which may be lower than the highest counter value used in the previous session (e.g., if some orders have expired from the API response). This can cause a new order to produce the same client_id as a previous session's order, resulting in a duplicate venue order UUID.

The adapter prevents this by registering every client_id seen during reconciliation. If a new O-format encoding produces a client_id that was already used, the encoder logs a warning and falls back to sequential allocation. Sequential allocation also skips any registered values.

Broadcasting and retry strategy

Short-term broadcast

Short-term orders use Good-Til-Block (GTB) for replay protection. The chain's ClobDecorator ante handler skips Cosmos SDK sequence checking for short-term messages, so:

• No semaphore: broadcasts are fully concurrent
• Cached sequence: no increment or allocation needed
• No retry: if the broadcast fails, it fails immediately
• Benign cancel errors are treated as success (see below)

Long-term broadcast

Long-term and conditional orders require proper Cosmos SDK sequence management:

• Semaphore with 1 permit serializes all long-term broadcasts
• Exponential backoff: 500ms → 1s → 2s → 4s (max 5 retries)
• 10-second total budget prevents indefinite retry loops
• On sequence mismatch, the sequence is resynced from chain before retry

Sequence mismatch detection

Both trigger automatic resync + retry via the RetryManager.

Benign cancel errors

These errors during short-term cancel operations are treated as success:

Batch cancel partitioning

When cancelling multiple orders, the adapter partitions them by lifetime:

1. Short-term orders → Single MsgBatchCancel via broadcast_short_term()
2. Long-term orders → Batched MsgCancelOrder messages via broadcast_with_retry()

This ensures each group uses the appropriate broadcast strategy.

Rate limiting

gRPC rate limiting

The adapter rate-limits gRPC broadcast_tx calls to prevent ResourceExhausted (429) errors from validator nodes.

Provider limits

Known rate limits for public gRPC providers:

The default of 4 req/s is conservative and works across all public providers.

Multiple gRPC URL fallback

The adapter supports configuring multiple gRPC URLs for failover:

exec_config = DydxExecClientConfig(
    base_url_grpc="https://primary-grpc.example.com:443,https://fallback-grpc.example.com:443",
    # ...
)

Price and size quantization

dYdX uses integer-based quantization for prices and sizes. The adapter handles all conversions automatically via OrderMessageBuilder, but understanding the parameters helps with debugging.

Market parameters

Market order pricing

Market orders use the oracle price with a 1% slippage buffer:

• Buy: oracle_price × 1.01
• Sell: oracle_price × 0.99

The oracle price is cached from the Indexer and refreshed periodically.

Automatic handling

All price and size quantization is handled automatically by OrderMessageBuilder. No manual conversion is needed when submitting orders through Nautilus.

Data subscriptions

The v4 adapter supports the following data subscriptions:

Supported bar resolutions

Subaccounts

dYdX supports multiple subaccounts per wallet address, allowing segregation of trading strategies and risk management within a single wallet.

Key concepts

• Each wallet address can have multiple numbered subaccounts (0, 1, 2, ..., 127).
• Subaccount 0 is the default and is automatically created on first deposit.
• Each subaccount maintains its own:
  • Positions
  • Open orders
  • Collateral balance
  • Margin requirements

Configuration

Specify the subaccount number in the execution client config:

config = TradingNodeConfig(
    exec_clients={
        "DYDX": DydxExecClientConfig(
            subaccount=0,  # Default subaccount
        ),
    },
)

Testnet setup

The dYdX testnet (dydx-testnet-4) is a full replica of mainnet for testing strategies without risking real funds. All default testnet endpoints are resolved automatically when is_testnet=True.

1. Create a testnet wallet

Option A: Via the dYdX testnet web app (easiest)

1. Go to v4.testnet.dydx.exchange
2. Connect with MetaMask, Keplr, Phantom, or WalletConnect
3. A dYdX account is generated automatically
4. Export your secret phrase: click your address (top-right) and select "Export secret phrase"

Option B: Use an existing secp256k1 private key

Any 32-byte hex-encoded secp256k1 private key will work. The adapter derives the dydx1... address from the key automatically using Cosmos bech32 encoding.

2. Fund the testnet account

A subaccount must be funded before the adapter can connect (see First-time account activation).

Via the testnet web app:

Click the deposit/recharge button on v4.testnet.dydx.exchange to receive testnet USDC automatically.

Via the faucet API directly:

# Fund subaccount 0 with 2000 USDC
curl -X POST https://faucet.v4testnet.dydx.exchange/faucet/tokens \
  -H "Content-Type: application/json" \
  -d '{"address": "dydx1...", "subaccountNumber": 0, "amount": 2000}'

# Fund native tokens (for gas fees)
curl -X POST https://faucet.v4testnet.dydx.exchange/faucet/native-token \
  -H "Content-Type: application/json" \
  -d '{"address": "dydx1..."}'

3. Set environment variables

export DYDX_TESTNET_WALLET_ADDRESS="dydx1..."
export DYDX_TESTNET_PRIVATE_KEY="0x..."  # hex-encoded, 0x prefix optional

4. Configure the trading node

Set is_testnet=True on both data and execution clients:

config = TradingNodeConfig(
    ...,  # Omitted
    data_clients={
        DYDX: DydxDataClientConfig(
            wallet_address=None,  # Falls back to DYDX_TESTNET_WALLET_ADDRESS env var
            instrument_provider=InstrumentProviderConfig(load_all=True),
            is_testnet=True,
        ),
    },
    exec_clients={
        DYDX: DydxExecClientConfig(
            wallet_address=None,  # Falls back to DYDX_TESTNET_WALLET_ADDRESS env var
            private_key=None,  # Falls back to DYDX_TESTNET_PRIVATE_KEY env var
            subaccount=0,
            instrument_provider=InstrumentProviderConfig(load_all=True),
            is_testnet=True,
        ),
    },
)

Testnet endpoints

Default testnet endpoints are used automatically. Override with base_url_* config options if needed.

Configuration

Configure the dYdX adapter through the trading node configuration. Both data and execution clients support environment variable fallbacks for credentials and network-specific settings.

Data client configuration options

Execution client configuration options

Basic setup

Configure a live TradingNode to include dYdX data and execution clients:

from nautilus_trader.adapters.dydx import DydxDataClientConfig
from nautilus_trader.adapters.dydx import DydxExecClientConfig
from nautilus_trader.adapters.dydx.constants import DYDX
from nautilus_trader.config import InstrumentProviderConfig
from nautilus_trader.config import TradingNodeConfig

config = TradingNodeConfig(
    ...,  # Omitted
    data_clients={
        DYDX: DydxDataClientConfig(
            wallet_address=None,  # Falls back to env var
            instrument_provider=InstrumentProviderConfig(load_all=True),
            is_testnet=False,
        ),
    },
    exec_clients={
        DYDX: DydxExecClientConfig(
            wallet_address=None,  # Falls back to env var
            private_key=None,  # Falls back to env var
            subaccount=0,
            instrument_provider=InstrumentProviderConfig(load_all=True),
            is_testnet=False,
        ),
    },
)

Then, create a TradingNode and register the client factories:

from nautilus_trader.adapters.dydx import DydxLiveDataClientFactory
from nautilus_trader.adapters.dydx import DydxLiveExecClientFactory
from nautilus_trader.adapters.dydx.constants import DYDX
from nautilus_trader.live.node import TradingNode

node = TradingNode(config=config)

node.add_data_client_factory(DYDX, DydxLiveDataClientFactory)
node.add_exec_client_factory(DYDX, DydxLiveExecClientFactory)

node.build()

API credentials

Credentials can be passed directly via the Python config (wallet_address, private_key) or resolved automatically from environment variables based on the is_testnet setting.

Environment variables

Resolution priority

1. Value passed in the Python config (if non-empty)
2. Environment variable (selected by is_testnet flag)

Permissioned key trading

What are API Trading Keys

API Trading Keys let you delegate trading to a separate signing key without sharing your main wallet's seed phrase. The API key can place trades using all available margin in the owner's cross-margin account, but cannot withdraw funds or transfer assets.

Creating an API key

1. In the dYdX web app, navigate to More → API Trading Keys
2. Click Generate New API Key
3. Save the API Wallet Address and Private Key (shown once, not stored by dYdX)
4. Click Authorize API Key (this registers the key on-chain as an authenticator)
5. The key is now active and can be used for trading

See the dYdX API Trading Keys guide for full details on creating and managing API keys.

Adapter configuration

There are two ways to configure the adapter for API Trading Key usage:

Auto-resolution (recommended): Set the API key's private key as DYDX_PRIVATE_KEY and the owner's wallet address as DYDX_WALLET_ADDRESS. The adapter detects the mismatch during connect and automatically queries the chain for matching authenticator IDs. No manual ID configuration needed.

config = DydxExecClientConfig(
    wallet_address="dydx1owner...",   # Owner account (holds margin)
    private_key="0xapikey...",         # API Trading Key private key
    # authenticator_ids resolved automatically
)

Manual override: If you know the authenticator IDs (e.g., from the dYdX TypeScript client), pass them directly to skip auto-resolution:

config = DydxExecClientConfig(
    wallet_address="dydx1owner...",
    private_key="0xapikey...",
    authenticator_ids=[1, 2],  # Skip auto-resolution
)

Order books

Order books can be maintained at full depth or top-of-book quotes depending on the subscription. The venue does not provide quotes directly. Instead, the adapter subscribes to order book deltas and synthesizes quotes for the DataEngine when there is a top-of-book price or size change. Only L2 (MBP) book type is supported.

Contributing