Writing a λ program

A λ program has a predicate and program parameters (lr_params). When the predicate is met, the λ program fires, i.e. places its underlying order by sending it to the on-chip matching engine. The program parameters adjust program behavior and may, for example, resize the underlying order. See the REST API reference for a full guide to λ program fields and enums.

Predicate

index_data

index_data selects which market data events the predicate evaluates; so named because it is used to index into the λ book where λ programs are stored.

match_data

match_data describes the market signal that a λ program responds to.

A market data event triggers the λ program only if every relevant condition is met:

Condition	Data	Fields	Satisfied when
Event type	index_data	pred_type	The event added liquidity (LIQ_ADD) or removed it (LIQ_RMD).
Market	index_data	market_id	The event is in this market.
Side	index_data	pred_side	The event is on this side of the book (ASK or BID).
Price	match_data	min_ticks max_ticks ticks_type	Event price from min_ticks to max_ticks inclusive, as an absolute price (ABS_TICKS) or relative to the top of book (DELTA_GT_BEST_ASK, DELTA_LT_BEST_BID).
Quantity	match_data	min_qty max_qty qty_type	Event quantity from min_qty to max_qty inclusive, as the level’s quantity after the event (LEVEL_QTY) or the event’s change in quantity (DELTA_QTY).
Event qualifier	match_data	pred_qual	Applies to LIQ_RMD only: a trade (EX), a cancel (CX), a trade whose remainder rests (XA), or any of these (ANY).

λ programs do not trigger on events caused by orders they placed.

Program parameters

Program parameters adjust how the underlying order is placed when the predicate is met. Today, a λ program places its whole order once (ENTIRE), or, with a LIQ_RMD predicate, the quantity each triggering event removed (DELTA_QTY_RMD); the order is placed at its own limit price. More program parameters are planned.

Example

Suppose a trader has a resting bid for 0.01 BTC (1,000,000 qty) at 99,990 ticks on BTC-USDC and views a large sell just above that bid as a potential signal the price will keep falling. They place a λ program that cancels the bid if a single taker order removes 0.5 BTC (50,000,000 qty) or more from the bids and its deepest level reached is between 99,995 and 100,000 ticks.

Part	Field	Value	Meaning
Index data	market_id	1	BTC-USDC.
Index data	pred_side	BID	Watch the bid side.
Index data	pred_type	LIQ_RMD	Liquidity removed.
Match data	pred_qual	EX	Trades only.
Match data	ticks_type	ABS_TICKS	Absolute price.
Match data	min_ticks max_ticks	99,995 100,000	Price range.
Match data	qty_type	DELTA_QTY	Quantity removed by the event.
Match data	min_qty max_qty	50,000,000 10,000,000,000	0.5 BTC to 100 BTC.
Order	market_id	1	BTC-USDC.
Order	side	BID	The resting bid’s side.
Order	ticks	99,990	The resting bid’s price.
Order	qty	−1,000,000	Cancel 0.01 BTC.
Order	tif	IOC	Cancels are IOC.
Program parameters	lr_qty_type	ENTIRE	Fire once.
Program parameters	lr_ticks_type	TICKS_ABS	Place at the order’s own price.
Request	client_lambda_id	protect-bid-99990	Optional user-supplied id.

Request JSON

{
  "lambda_program": {
    "predicate": {
      "index_data": {
        "market_id": "1",
        "pred_side": 2,          // BID
        "pred_type": 2           // LIQ_RMD
      },
      "match_data": {
        "pred_qual": 2,          // EX: trades only
        "ticks_type": 1,         // ABS_TICKS
        "min_ticks": 99995,
        "max_ticks": 100000,
        "qty_type": 2,           // DELTA_QTY: quantity removed
        "min_qty": "50000000",   // 0.5 BTC
        "max_qty": "10000000000" // 100 BTC
      }
    },
    "order": {                   // Cancel 0.01 BTC of the bid at $99,990
      "market_id": "1",
      "side": 2,                 // BID
      "ticks": 99990,
      "qty": "-1000000",          // -0.01 BTC
      "tif": 1,                  // IOC
      "is_leverage": false
    },
    "lr_params": {
      "lr_qty_type": 1,          // ENTIRE: fire once
      "partial_qty": "0",
      "lr_ticks_type": 1         // TICKS_ABS
    }
  },
  "client_lambda_id": "protect-bid-99990"
}