On-Chain DEX

Client Layer (SDKs, Web UI, Trading Bots)
        |
Gateway Layer (Load Balancer, Rate Limiter, Auth, WebSocket/gRPC)
        |
Application Layer (Order Management, Risk Engine, Market Data)
        |
Core Engine Layer (Matching Engine, Clearing, Settlement)
        |
Consensus Layer (DAG Consensus, Validator Network, State Machine)
        |
Storage Layer (Order DB, Trade History, State DB, Archive)

wss://api.liquidity.io/ws          (production)
wss://api.liquidity.io/ws         (Liquidity.io ATS)
ws://localhost:8080/ws            (local development)

{
  "type": "subscribe",
  "channel": "orderbook",
  "symbol": "BTC-USDT",
  "depth": 20
}

{
  "type": "orderbook_snapshot",
  "symbol": "BTC-USDT",
  "bids": [[83400, 1.5], [83399, 2.0]],
  "asks": [[83401, 1.2], [83402, 0.8]],
  "timestamp": 1710807360
}

{
  "type": "orderbook_update",
  "symbol": "BTC-USDT",
  "bids": [[83400, 1.8]],
  "asks": [[83401, 0]],
  "timestamp": 1710807361
}

{
  "type": "subscribe",
  "channel": "trades",
  "symbol": "BTC-USDT"
}

{
  "type": "trade",
  "symbol": "BTC-USDT",
  "price": 83421.50,
  "size": 0.5,
  "side": "buy",
  "timestamp": 1710807360
}

https://api.liquidity.io/v1        (production)
https://api.liquidity.io/v1       (Liquidity.io ATS)

GET /orderbook/{symbol}?depth=20

{
  "symbol": "BTC-USDT",
  "bids": [
    { "price": 83400, "size": 1.5 },
    { "price": 83399, "size": 2.0 }
  ],
  "asks": [
    { "price": 83401, "size": 1.2 },
    { "price": 83402, "size": 0.8 }
  ],
  "timestamp": 1710807360
}

POST /orders
X-API-Key: {api_key}
X-API-Secret: {api_secret}
Content-Type: application/json

{
  "symbol": "BTC-USDT",
  "side": "buy",
  "type": "limit",
  "price": 83000,
  "size": 0.1,
  "time_in_force": "GTC"
}

{
  "order_id": "123e4567-e89b-12d3-a456-426614174000",
  "symbol": "BTC-USDT",
  "side": "buy",
  "type": "limit",
  "price": 83000,
  "size": 0.1,
  "status": "open",
  "created_at": 1710807360
}

DELETE /orders/{order_id}
X-API-Key: {api_key}
X-API-Secret: {api_secret}

GET /trades?symbol=BTC-USDT&limit=100

import { Client, Config, NativeVenueConfig } from '@liquidityio/trading';

const config = new Config()
  .withNative('lx-dex', NativeVenueConfig.liquidDex('https://api.liquidity.io/v1'))
  .withVenuePriority(['lx-dex'])
  .withSmartRouting(false);

const client = new Client(config);
await client.connect();

// Get orderbook with VWAP calculation
const book = await client.orderbook('BTC-USDT');
console.log(`Best bid: ${book.bestBid}, Best ask: ${book.bestAsk}`);
console.log(`Spread: ${book.spread} (${book.spreadPercent}%)`);
console.log(`Mid price: ${book.midPrice}`);
console.log(`VWAP to buy 1 BTC: ${book.vwapBuy(1)}`);
console.log(`Bid liquidity (top 5): ${book.bidDepth(5)}`);

// Place a limit buy
const order = await client.limitBuy('BTC-USDT', '0.5', '83000');
console.log(`Order ${order.orderId} status: ${order.status}`);

// Place a market sell
const sellOrder = await client.sell('BTC-USDT', '0.25');
console.log(`Sold at ${sellOrder.averagePrice}`);

// Cancel an order
await client.cancelOrder(order.orderId, 'BTC-USDT', 'lx-dex');

// List open orders
const openOrders = await client.openOrders('BTC-USDT');
for (const o of openOrders) {
  console.log(`${o.orderId}: ${o.side} ${o.quantity} @ ${o.price} [${o.status}]`);
}

await client.disconnect();

import asyncio
from decimal import Decimal
from lx_trading import Client, Config
from lx_trading.config import NativeVenueConfig

async def main():
    config = Config()
    config.with_native("lx-dex", NativeVenueConfig.liquid_dex("https://api.liquidity.io/v1"))

    client = Client(config)
    await client.connect()

    # Get orderbook
    book = await client.orderbook("BTC-USDT")
    print(f"Best bid: {book.best_bid}, Best ask: {book.best_ask}")
    print(f"Spread: {book.spread} ({book.spread_percent}%)")
    print(f"VWAP to buy 1 BTC: {book.vwap_buy(Decimal('1'))}")

    # Place a limit buy
    order = await client.limit_buy("BTC-USDT", Decimal("0.5"), Decimal("83000"))
    print(f"Order {order.order_id} status: {order.status}")

    # Place a market sell
    sell_order = await client.sell("BTC-USDT", Decimal("0.25"))
    print(f"Sold at {sell_order.average_price}")

    # Cancel
    await client.cancel_order(order.order_id, "BTC-USDT", "lx-dex")

    # Open orders
    open_orders = await client.open_orders("BTC-USDT")
    for o in open_orders:
        print(f"{o.order_id}: {o.side} {o.quantity} @ {o.price} [{o.status}]")

    await client.disconnect()

asyncio.run(main())

localhost:50051 (development)
grpc.liquidity.io:443 (production)

syntax = "proto3";
package lxdex;

service TradingService {
  rpc PlaceOrder(OrderRequest) returns (OrderResponse);
  rpc CancelOrder(CancelRequest) returns (CancelResponse);
  rpc GetOrderBook(OrderBookRequest) returns (OrderBookResponse);
  rpc StreamTrades(StreamRequest) returns (stream Trade);
}

message OrderRequest {
  string symbol = 1;
  string side = 2;
  string type = 3;
  double price = 4;
  double size = 5;
}

message OrderResponse {
  string order_id = 1;
  string status = 2;
  int64 timestamp = 3;
}

X-RateLimit-Limit: 100
X-RateLimit-Remaining: 95
X-RateLimit-Reset: 1710807360