Hyperliquid Orderbook Analytics — Spread, Depth & Imbalance

What does Hyperliquid Orderbook Analytics do?

Hyperliquid orderbook analytics actor that fetches live Level-2 order book data for perpetual markets on Hyperliquid DEX and computes institutional-grade market microstructure metrics. For each coin it returns bid/ask spread, market depth at 0.1%, 0.5%, and 1% price levels, order imbalance with a directional signal (bid_heavy / ask_heavy / balanced), and a VWAP mid price. Real-time perpetual order book depth data, no API key required.

This tool is designed for traders who need to quantify slippage before entering large positions on Hyperliquid, researchers studying HLP market microstructure, and quant teams building execution algorithms on decentralized perpetuals.

Why use Hyperliquid Orderbook Analytics?

Hyperliquid orderbook analytics serves five distinct professional use cases:

1. Pre-trade slippage estimation — Quantify how much a $500K BTC position will cost in slippage before hitting the order. The bid_depth_1pct_usd and ask_depth_1pct_usd fields give exact liquidity at each price level.
2. Liquidity-ranked market selection — Compare perpetual order book depth across BTC, ETH, SOL, ARB, and DOGE to route large orders to the most liquid market.
3. Imbalance-based directional signals — bid_heavy signals (more bid volume than ask volume in the top-10 levels) have documented predictive value for short-term price direction on centralized perp exchanges — now quantified for Hyperliquid.
4. Execution algorithm calibration — VWAP mid price from top-5 levels per side is a more stable reference than simple mid, critical for TWAP/VWAP algo benchmarking.
5. HLP market microstructure research — Academic and proprietary research into how Hyperliquid's unique HLP (Hyperliquidity Provider) model affects spread and depth vs. centralized venues.

How to use Hyperliquid Orderbook Analytics

1. Click Try for Free on the Apify Store page.
2. Leave coins at the default (["BTC","ETH","SOL","ARB","DOGE"]) or set your own list.
3. Click Start — results are delivered in under 15 seconds.
4. Connect via Apify API or schedule every minute for a continuous perpetual order book depth feed.

Input

Field	Type	Default	Description
coins	string[]	["BTC","ETH","SOL","ARB","DOGE"]	Hyperliquid perp coin symbols to analyze

Add any coin listed on Hyperliquid perps (e.g. "WIF", "TIA", "JTO").

Output

One item per coin. Full BTC example:

[
  {
    "coin": "BTC",
    "mid_price": 62841.50,
    "vwap_mid": 62840.82,
    "best_bid": 62840.00,
    "best_ask": 62843.00,
    "spread_usd": 3.00,
    "spread_pct": 0.0016,
    "bid_depth_01pct_usd": 420000,
    "bid_depth_05pct_usd": 1850000,
    "bid_depth_1pct_usd": 2850000,
    "ask_depth_01pct_usd": 380000,
    "ask_depth_05pct_usd": 1920000,
    "ask_depth_1pct_usd": 3120000,
    "top10_bid_volume": 18.4,
    "top10_ask_volume": 12.6,
    "bid_ask_imbalance": 0.31,
    "imbalance_signal": "bid_heavy",
    "best_bid_size": 2.1,
    "best_ask_size": 1.8,
    "fetched_at": "2026-09-02T08:14:32Z"
  }
]

Data fields

Field	Type	Description
coin	string	Perp market symbol
mid_price	float	Simple mid (best bid + best ask) / 2
vwap_mid	float	VWAP mid from top-5 levels per side — more stable reference
best_bid / best_ask	float	Top of book prices
spread_usd	float	Best ask − best bid in USD
spread_pct	float	Spread as % of mid — proxy for trading cost
bid_depth_01pct_usd	float	Bid-side USD liquidity within 0.1% of mid
bid_depth_05pct_usd	float	Bid-side USD liquidity within 0.5% of mid
bid_depth_1pct_usd	float	Bid-side USD liquidity within 1% of mid
ask_depth_01pct_usd	float	Ask-side USD liquidity within 0.1% of mid
ask_depth_05pct_usd	float	Ask-side USD liquidity within 0.5% of mid
ask_depth_1pct_usd	float	Ask-side USD liquidity within 1% of mid
bid_ask_imbalance	float	Top-10 bid/ask volume ratio (>0 = more bids)
imbalance_signal	string	bid_heavy / ask_heavy / balanced — directional signal
best_bid_size	float	Size at best bid in base coin
best_ask_size	float	Size at best ask in base coin
fetched_at	ISO8601	UTC timestamp of the L2 snapshot

Cost estimation

Pay-Per-Event pricing at $0.002 per coin.

Coins tracked	Cost/run	1×/min (monthly)	1×/hour (monthly)
5 (default)	$0.01	~$14.40	~$0.24
10 coins	$0.02	~$28.80	~$0.48
20 coins	$0.04	~$57.60	~$0.96

For execution-focused use cases (pre-trade checks), a 1×/5 min schedule at 5 coins costs ~$2.88/month.

FAQ

Q: Does this cover Hyperliquid spot markets or only perpetuals? Currently only Hyperliquid perpetual markets are supported. Spot orderbook support is planned for a future version.

Q: What does the imbalance signal mean in practice? bid_heavy means the top-10 bid levels hold more volume than the top-10 ask levels. On traditional venues this correlates with short-term upward price pressure. On Hyperliquid, HLP provides much of the passive liquidity, so treat this as one signal among several rather than a standalone directional trigger.

Q: How stale is the data? Each run fetches a fresh L2 snapshot from the Hyperliquid public REST API at the moment of execution. There is no caching. The fetched_at timestamp in each record shows the exact UTC time of the API call.

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Disclaimer: Order book data is fetched from Hyperliquid's public API and is provided for informational and research purposes only. Perpetual order book depth and imbalance signals are not guarantees of future price direction. Trading perpetuals involves substantial risk of loss.

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Data source

• Hyperliquid L2 Book API — public REST endpoint, no API key required

Related actors

• Hyperliquid Whale Tracker — Large trades on Hyperliquid perps
• Long/Short OI Aggregator — Open interest to complement depth data
• DEX Volume Tracker — Broader DEX volume context for Hyperliquid markets

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Keywords: Hyperliquid order book, orderbook depth, bid ask spread, market microstructure, VWAP analytics, order imbalance, HLP depth, perp orderbook, Hyperliquid L2 data, liquidity analysis, order book tracker, real-time orderbook, Hyperliquid API