Keychat’s current support for Nostr DMs works like this: if you log in to Keychat with your Nostr ID — more precisely, your Nostr microblog ID — and someone sends you a DM, whether it uses NIP-4 or NIP-17, you’ll receive the message (along with a notification) and can reply using the corresponding DM format.
Of course, this requires that you and the other party share at least one common relay. You can add relays in the Keychat Chat Settings.
One limitation for now is that when you log in with a Nostr ID, you can’t initiate a DM(NIP-4, NIP-17) yourself — you have to wait until someone sends you a DM first, and then you can reply.
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