Name
Methodology and data
How hyperliquid.build collects order-book snapshots, defines sessions, computes spread, depth and slippage, and what the numbers cannot tell you.
Source
Our own collector polls the public Hyperliquid /info API for every market on the xyz HIP-3 deployer and stores the raw responses. The Liquidity Lab is built from:
l2Book: 20 price levels per side, one snapshot per market roughly every six minutes, continuously since 2026-06-16 (106 days at the last rebuild).metaAndAssetCtxs: mark price, oracle price, 24-hour notional volume, open interest and current funding, sampled about once a minute; we keep the last sample of each UTC day.fundingHistory: hourly settlement rates for the last 30 days.meta:szDecimals,maxLeverage,growthMode,deployerFeeScale,isDelistedfor every asset.
The site is rebuilt once a day. Numbers on every page are also available as static JSON under /data/xyz/; see the data terms below.
Sessions
HIP-3 markets trade around the clock. We convert each snapshot's exchange timestamp to New York time and assign one of four buckets:
| Session | Definition |
|---|---|
| US regular hours (RTH) | Monday–Friday 9:30–16:00, except NYSE holidays; on half days, 9:30–13:00 |
| US extended hours | 4:00–9:30 and 16:00–20:00 on trading days |
| Overnight | 20:00–4:00 between consecutive trading days |
| Weekend / holiday | Friday 20:00 to Monday 4:00, plus NYSE full-day holidays |
The 2026 holiday calendar used: 1 Jan, 19 Jan, 16 Feb, 3 Apr, 25 May, 19 Jun, 3 Jul, 7 Sep, 26 Nov, 25 Dec; half days 27 Nov and 24 Dec. The buckets describe US equity hours regardless of the asset, so for commodity, FX and non-US names they are a time-of-week label rather than a statement about the underlying market's hours.
Metrics
For every snapshot with a valid best bid and ask, with mid = (bid + ask) / 2:
- Spread:
(ask − bid) / midin basis points. - Top of book: best bid size plus best ask size, in USD.
- Depth within 10 / 25 / 50 bps: the notional resting at prices within that distance of mid, summed over both sides.
- Slippage for a given order size ($1k, $5k, $10k, $25k, $50k, $100k, $250k): we walk the visible levels from the best price outward until the notional is filled, compute the average fill price, and express it against mid in basis points. We do this for a buy (walking the asks) and a sell (walking the bids) and report the mean of the two. If the 20 visible levels cannot fill the size, the snapshot counts as not filled for that size; the fill rate is the share of snapshots in the session that could fill it.
- Per session: median and 90th percentile of the above over all snapshots in the session; medians for depth and top of book.
- Hour of week: median spread and median depth within 25 bps for each of the 168 hour-of-week cells in New York time.
- Weekly trend: median spread, depth within 25 bps and $25k slippage across all sessions per calendar week.
- Funding APR: mean hourly settlement rate over the last 30 days × 24 × 365, in percent; positive means longs pay shorts.
- Taker fee:
4.5 bps × multiplier × (0.1 if growth mode), where the multiplier is1 + deployerFeeScalefor scales up to 1 and2 × deployerFeeScaleabove. Maker fees, fee tiers and rebates are not modelled. - Average 24h volume, 30 days: mean of the last 30 daily samples of
dayNtlVlm. - Open interest:
openInterest × markPxat the last sample. Hyperliquid's open interest is the sum of longs and shorts.
The cost calculator on each market page combines these as 2 × slippage + 2 × taker fee per round trip, times round trips per day, plus daily funding for a position held all day. Slippage between the tested sizes is interpolated on a log scale.
What the numbers cannot tell you
- Six-minute snapshots miss what happens between them. Bursts of liquidations, news spikes and the seconds around the US open and close are under-sampled. Medians are robust to this; p90 values are a floor, not a ceiling, for bad moments.
- Twenty visible levels are not the whole book. Large resting orders often sit outside them, and most walls last minutes. Slippage here is what a market order would pay against the visible book at that instant, nothing more.
- No hidden liquidity, no impact after the fill. Market makers refill; large orders move the price for longer than one snapshot. Real costs for repeated large orders will exceed these figures.
- Fees are the base formula only. Your tier, rebates and referral settings change the number.
- Funding is backward-looking. A 30-day mean is a description, not a forecast, and sign flips are common.
- Known collection gaps: the funding stream has gaps between 2026-08-28 and 2026-09-11; order-book polling lost about a minute on 2026-09-28 during a rate-limit event on our side. Days missing entirely from
l2Bookwould show as missing weeks in the trend charts; none were missing at the last rebuild.
Data terms
The JSON under /data/ is free to use in your own bots, dashboards, research and articles, on two conditions:
- Attribution: cite hyperliquid.build with a link wherever the numbers appear.
- No bulk redistribution: do not mirror, resell or republish the dataset as a whole, and do not serve our files to others as your own API. Link to us instead; the files are rebuilt daily and a copy goes stale.
Requests to /data/ are rate-limited per IP at the edge. If you need the full history or a higher limit, ask; that is what the builder account on the roadmap is for.
Independence
hyperliquid.build is an independent project. It is not affiliated with, endorsed by, or operated by Hyperliquid Labs, the Hyper Foundation, or any HIP-3 deployer. It sells nothing, holds no positions in the markets it measures at the time of writing, and does not offer investment advice. Questions and corrections: open an issue once the repository is public, or write to the address in the site footer when one is listed.