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LlamaIndex supports configuring a custom OpenAI-compatible baseURL for its OpenAI adapter. 
import { Settings } from "llamaindex";
import { OpenAI } from "@llamaindex/openai";

Settings.llm = new OpenAI({
  model: "gpt-4.1",
  temperature: 0.2,
  apiKey: process.env.LLMGRID_API_KEY,
  baseURL: "https://api.llmgrid.ai/v1",
});
``