feat: quote a fill against a consolidated order book from Python - #134
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📝 WalkthroughWalkthroughThe change adds consolidated buy and sell quote support. Go bindings parse books and serialize quote results. Python APIs expose book-local and client-fetching methods. Tests cover pricing, limits, fill paths, regressions, and wrapper behavior. Documentation describes the quote model. ChangesConsolidated quoting
Estimated code review effort: 3 (Moderate) | ~25 minutes Merge Risk: ⚪ Minimal · up to The change is merge-ready after normal review; one documentation example should handle an unfillable quote before formatting its limit price, but no actionable merge-blocking risk remains. Sequence Diagram(s)sequenceDiagram
participant TNClient
participant GoBinding
participant ConsolidatedMarketBook
TNClient->>GoBinding: request consolidated buy or sell quote
GoBinding->>ConsolidatedMarketBook: fetch market book
ConsolidatedMarketBook-->>GoBinding: return consolidated book JSON
GoBinding->>GoBinding: select fills and calculate quote
GoBinding-->>TNClient: return serialized quote
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Inline comments:
In `@docs/api-reference.md`:
- Around line 1553-1559: Update the quote output block around
quote_consolidated_buy_from_book so it checks whether quote["limit_price"] is
None before applying numeric formatting. For an unfillable quote, report that no
shares are fillable and avoid formatting the limit price or iterating fills;
preserve the existing detailed output for quotes with a selected limit price.
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bindings/bindings.godocs/api-reference.mdgo.modsrc/trufnetwork_sdk_py/client.pytests/test_consolidated_quote.py
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quote_consolidated_buy_from_bookandquote_consolidated_sell_from_bookanswer what anorder of a given size will actually do against a consolidated ladder, so a caller holding
a
ConsolidatedOrderBookno longer has to re-derive the matching rules.Why
The consolidation mapping already reaches Python through sdk-go because it is protocol
semantics. The fill rules are the same category: they are read off
match_direct,match_mintandmatch_burnin the node's032-order-book-actions.sql, they hold forevery consumer, and they change only when the engine changes.
Today they live in one consumer instead. The website carries the model, written against
its own deadline. That is two implementations of one protocol rule, and only one of them
is under SDK tests.
Getting it wrong is easy, because the obvious approach is the wrong one. A consolidated
ladder looks sweepable and is not:
match_directcrosses through the order's limit, butmint and burn only fire when the two prices sum to exactly 100, and select the resting
order with
price =rather than a range. So an order at limit P fills every native levelpast P plus exactly one inverse level.
What is in it
The model itself is sdk-go's, as the folding is. Python delegates.
quote_consolidated_buy_from_book(book, shares, limit_price=None)andquote_consolidated_sell_from_book(...). Quote a book you already hold, with nofurther chain read. They read the book's
asksandbidsrespectively, so one readanswers both directions.
client.quote_consolidated_buy(query_id, shares, ...)andclient.quote_consolidated_sell(...)fetch the book themselves, matching the shape ofevery other binding, at one chain read per quote.
ConsolidatedBuyQuote,ConsolidatedSellQuoteandConsolidatedFill, whosepathis"direct","mint"or"burn"per leg, so a caller can show how the order settles.bindings/bindings.go, and the sdk-go pin moved forward to pick upthe model.
Three results the quote makes explicit, each of which a hand-rolled ladder walk gets
wrong:
available_sharesis not the ladder's total. It is the most any single order cantake, which is smaller whenever inverse volume rests at more than one price. A ladder
summing to 350 can cap one order at 200.
inverse level the fill was counting on, so the model evaluates every candidate price
rather than walking down the ladder.
match_directpays the seller the ask priceand refunds the buyer the difference, so crediting each resting bid its own price
overstates any sell reaching past one level.
18 tests, none needing a node. The book-in path reaches the real Go model through the C
extension, so these exercise the model rather than a mock — including mainnet market 419
frozen as read on 2026-08-12, checked to the cent. Only the two client wrappers are
monkeypatched, since forwarding is all they own.
docs/api-reference.mdgains the section.What is not in it
Choosing which limit to submit. That is routing policy, not protocol. A trading UI
wants the cheapest limit that fills the whole order; a market maker may want the largest
fill, a price ceiling, or the least market impact. Left alone the model applies one
reasonable default, and
limit_priceexists so a different policy is not forced throughit.
A second implementation in Python.
forecast.pykeeps pure-Python bucket math and isuntouched; extending it with the fill model would recreate the duplication this removes.
get_consolidated_order_bookis unchanged.The quote assumes the order reaches the front of the queue at its price. Matching is FIFO
within a level, so an older order resting at the same price takes the counterparty first
and the real fill comes up short. That caveat is carried in the docstrings.
Before merging:
go.modpins sdk-go at a commit on its own branch for this PR. Itneeds repinning to the sha the sdk-go PR lands on
main.resolves: https://github.com/truflation/website/issues/4502
Summary by CodeRabbit
New Features
null.Documentation