Two-sided quoting

This tutorial extends the single-order trading bot into a two-sided quote cycle. It deliberately keeps strategy math outside the SDK: your strategy chooses valid typed prices and quantities; the SDK validates, submits, streams, and reconciles them.

Start on a dedicated devnet account

Fund both quote and base trading balances. Keep the write gate disabled until the dry-run plan, prefix cleanup, and dead-man switch have been verified. This is an execution pattern, not a profitable strategy or financial advice.

Quote-cycle invariants

Use a fresh, sequence-checked book.
Size bid and ask independently from available quote and base balances.
Give every quote a unique client order ID under a process-owned prefix.
Inspect every batch item; a successful RPC is not an all-items guarantee.
Reconcile open orders before retrying an unknown outcome.
Keep the dead-man switch refreshed while writes are enabled.

Read a quoteable book

let book = client.orderbook.get("BTC-USDT", Some(20)).await?;
let best_bid = book
    .bids
    .first()
    .and_then(|level| level.price.as_ref())
    .ok_or_else(|| polyester::Error::validation("book has no bid"))?
    .format();
let best_ask = book
    .asks
    .first()
    .and_then(|level| level.price.as_ref())
    .ok_or_else(|| polyester::Error::validation("book has no ask"))?
    .format();
println!("book_seq={} bid={} ask={}", book.book_seq, best_bid, best_ask);

For a long-running bot, use orderbook.create_subscription and pause writes during snapshot refresh. Quoting at the displayed best bid and ask is only a teaching baseline. The backend's post_only validation remains the final protection against a stale quote crossing the book.

Size both sides independently

use polyester::proto::ledger::read::v1::GetBalancesRequest;

let balances = client.balances.list(GetBalancesRequest::default()).await?;
for balance in &balances.balances {
    println!(
        "{} available={} reserved={}",
        balance.asset_id,
        polyester::codecs::scalars::format_ledger_u128(&balance.available, 18)?,
        polyester::codecs::scalars::format_ledger_u128(&balance.reserved, 18)?,
    );
}

available and reserved are raw ledger u128 strings at ledger scale 18. Format once for display, but retain raw values for exact sizing.

The bid consumes quote balance; the ask consumes base balance. Compute each quantity from the catalog step size, minimum quantity/notional, available balance, and your own inventory cap. Do not mirror one quantity blindly across both sides. The tested sizing functions live in polyester-examples-rust and use rust_decimal.

Submit one bid and one ask

use polyester::models::{CreateOrderType, CreateSide, CreateTimeInForce};
use polyester::services::OrdersService;
use polyester::{Price, Quantity};
use std::time::{SystemTime, UNIX_EPOCH};

let book = client.orderbook.get("BTC-USDT", Some(20)).await?;
let best_bid = book
    .bids
    .first()
    .and_then(|level| level.price.as_ref())
    .ok_or_else(|| polyester::Error::validation("book has no bid"))?
    .format();
let best_ask = book
    .asks
    .first()
    .and_then(|level| level.price.as_ref())
    .ok_or_else(|| polyester::Error::validation("book has no ask"))?
    .format();
let nonce = SystemTime::now()
    .duration_since(UNIX_EPOCH)
    .expect("system clock before Unix epoch")
    .as_nanos();
let quantity_scale = client
    .catalogs
    .base_quantity_scale_for_symbol("BTC-USDT")
    .ok_or_else(|| polyester::Error::validation("BTC-USDT quantity scale is unavailable"))?;
let mut bid = OrdersService::create_params(
    "BTC-USDT",
    CreateSide::Buy,
    CreateOrderType::Limit,
    Quantity::from_decimal_str("0.001", quantity_scale, Some("BTC-USDT".into()), None)?,
    Some(Price::from_decimal_str(&best_bid, Some("BTC-USDT".into()))?),
    Some(&format!("quote-bid-{nonce}")),
);
bid.time_in_force = Some(CreateTimeInForce::Gtc);
bid.post_only = Some(true);

let mut ask = OrdersService::create_params(
    "BTC-USDT",
    CreateSide::Sell,
    CreateOrderType::Limit,
    Quantity::from_decimal_str("0.001", quantity_scale, Some("BTC-USDT".into()), None)?,
    Some(Price::from_decimal_str(&best_ask, Some("BTC-USDT".into()))?),
    Some(&format!("quote-ask-{nonce}")),
);
ask.time_in_force = Some(CreateTimeInForce::Gtc);
ask.post_only = Some(true);

let created = client
    .orders
    .batch_create(vec![bid, ask], None, Some(format!("quote-batch-{nonce}")))
    .await?;
for item in &created.results {
    println!("{} {} {} {}", item.client_order_id, item.status, item.order_id, item.code);
}

Replace the demonstration quantities with catalog-aligned, balance-capped values. batch_create accepts at most 20 items. Inspect results, accepted_count, and rejected_count; accepted and rejected sides can coexist in one response.

Reconcile the desired quote set

let open = client.orders.list_open(None).await?;
let owned: Vec<_> = open
    .orders
    .iter()
    .filter(|order| order.client_order_id.starts_with("quote-"))
    .collect();
for order in owned {
    println!("{} {} {:?}", order.client_order_id, order.status, order.leaves_qty);
}

After a timeout, never resubmit with new IDs first. List open orders and query the known IDs. Cancel stale or duplicate owned quotes, then place only the missing side. Admission responses and the open-order read model can be briefly out of sync.

Arm the dead-man switch and clean up

use std::time::{SystemTime, UNIX_EPOCH};

let nonce = SystemTime::now()
    .duration_since(UNIX_EPOCH)
    .expect("system clock before Unix epoch")
    .as_nanos();
let armed = client
    .orders
    .cancel_all_after(
        30,
        Some("BTC-USDT"),
        None,
        Some(format!("quote-dms-{nonce}")),
    )
    .await?;
if armed.status != "armed" {
    return Err(polyester::Error::transport(format!(
        "unexpected dead-man status {:?}",
        armed.status
    )));
}

for order in client.orders.list_open(None).await?.orders {
    if order.client_order_id.starts_with("quote-") {
        match client
            .orders
            .cancel_by_client_order_id(
                &order.client_order_id,
                Some("BTC-USDT"),
                None,
            )
            .await
        {
            Ok(_) => {}
            Err(polyester::Error::Api { code, .. }) if code.eq_ignore_ascii_case("not_found") => {}
            Err(err) => return Err(err),
        }
    }
}

Refresh the switch well before expiry. During shutdown, stop quote creation first, cancel only owned IDs, confirm they disappear, and leave the switch armed if confirmation fails. Treat not_found from an owned targeted cancel as idempotent success because the order may have filled or left the book after listing; propagate every other cancel error. Never substitute account-wide cancel for ownership filtering.

Requote policy

Do not cancel and recreate continuously. Requote only when a deterministic condition is met, such as price drift beyond a configured number of ticks, quantity/inventory change, approaching expiry, or loss of one side. Preserve enough balance headroom for replace behavior and fees.

Inventory skew belongs in strategy code. A common control is to reduce or disable bids when base inventory is above its ceiling, and reduce or disable asks when it is below its floor. The SDK does not choose those limits for you.

Failure decisions

Observation	Required action
Post-only rejection	Refresh the book and compute a new price
`Error::Validation`	Fix input; do not retry unchanged
`mutation_outcome_unknown()`	Reconcile IDs before retrying
One batch item rejected	Keep/reconcile the accepted side; decide whether to replace the missing side
Book gap or reconnect	Pause writes until the managed snapshot refresh completes
Dead-man refresh failure	Stop new orders and assume expiry cleanup will run
`Error::QueueOverflow`	Replace the subscription and run a full snapshot reconciliation

Evidence

The exact order, batch, book, balance, and dead-man calls above are compiled by the documentation gate. Released-SDK example 07 exercises batch post-only create and cleanup; the long-running Rust canary exercises managed books, balance-aware sizing, private order updates, post-only create, cancel, reconciliation, and staleness handling on devnet.

Live market ticker Build a snapshot-then-stream Rust market monitor with trades, candles, staleness detection, and clean shutdown. Build a production trading bot Build a resilient Rust quoting loop with managed books, stable identities, reconciliation, a dead-man switch, and targeted cleanup. Portfolio tracker Build a revision-aware Rust account monitor for balances, reservations, open orders, fills, and reconciliation.

Quote-cycle invariants

Requote policy

Failure decisions

Evidence

Related

Related Topics

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