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Hyperliquid Orderbook Analytics — Spread, Depth & Imbalance

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L2 orderbook analytics for Hyperliquid perp markets: bid/ask spread (USD + %), market depth at 0.1/0.5/1% levels, order imbalance ratio with directional signal (bid_heavy/ask_heavy/balanced), VWAP mid. No API key. $0.002/coin.

Pricing

Pay per usage

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Hojun Lee

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2 days ago

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Hyperliquid Orderbook Analytics

Hyperliquid order book analytics for perp orderbook depth and HLP depth — bid/ask spread, market depth at 0.1/0.5/1% levels, order imbalance with directional signal (bid_heavy/ask_heavy/balanced), and VWAP mid price. Real-time L2 data, no API key required.

What It Does

Fetches live Level-2 orderbook data from Hyperliquid (20 bid + 20 ask price levels per coin) and computes:

Spread: Best bid/ask spread in USD and % — proxy for trading cost
Market depth: USD liquidity within 0.1%, 0.5%, and 1% of mid price (both sides)
Order imbalance: Top-10 bid vs ask volume ratio, with signal:
- bid_heavy — More bids than asks → potential upward price pressure
- ask_heavy — More asks than bids → potential downward pressure
- balanced — Within 20% of equilibrium
VWAP mid: Volume-weighted mid price from top-5 levels per side (more accurate than simple mid)
Top-of-book: Best bid/ask individual size

Input

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

Output

One item per coin. Example for BTC:

{
  "coin": "BTC",
  "spread_pct": 0.0016,
  "bid_depth_1pct_usd": 2850000,
  "ask_depth_1pct_usd": 3120000,
  "bid_ask_imbalance": 0.31,
  "imbalance_signal": "bid_heavy"
}

Use Cases

Find the most liquid Hyperliquid markets for large trades
Detect imbalance before significant price moves
Compare slippage cost across tokens before entering a position
Market microstructure research

Pricing

$0.002 per coin. Default 5 coins = $0.01/run.

Keywords: Hyperliquid, orderbook, depth, bid-ask spread, liquidity, HLP, perpetuals, DEX, market microstructure

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