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TWAP Dataset

Updated on
Jan 07, 2026

Overview​

The TWAP stream contains Time-Weighted Average Price (TWAP) order status updates from the Hyperliquid exchange. TWAP orders are algorithmic orders that execute gradually over a specified time period to minimize market impact.

Stream Type: TWAP
API Availability: gRPC Streaming API + JSON-RPC/WebSocket APIs
Volume: Low - Most blocks are empty; only updates when TWAP orders change status

Data Structure​

Most blocks are empty as TWAP status updates only occur when orders are activated, finished, or terminated. Each event represents a status change for a TWAP order.

{
  "local_time": "2025-12-04T17:00:22.590883578",
  "block_time": "2025-12-04T17:00:22.417074898",
  "block_number": 817824346,
  "events": [
    {
      "time": "2025-12-04T17:00:22.417074898",
      "twap_id": 1430699,
      "state": {
        "coin": "HYPE",
        "user": "0x9d6a5ab97a8eed617bde9968d9ab6fcf72fde1b8",
        "side": "A",
        "sz": "108.36",
        "executedSz": "0.0",
        "executedNtl": "0.0",
        "minutes": 10,
        "reduceOnly": false,
        "randomize": false,
        "timestamp": 1764867622417
      },
      "status": "activated"
    }
  ]
}

Event Fields​

Field
Type
Description
time
string
Event timestamp (ISO 8601 format)
twap_id
integer
Unique identifier for the TWAP order
state
object
Current state of the TWAP order
status
string
TWAP order status (see Status Types below)

State Object Fields​

Field
Type
Description
coin
string
Trading pair identifier (e.g., "HYPE", "xyz:NVDA", "@107")
user
string
User address who created the TWAP order
side
string
Order side: "B" (Buy) or "A" (Ask/Sell)
sz
string
Total target size for the TWAP order
executedSz
string
Amount executed so far
executedNtl
string
Notional value executed (price × size)
minutes
integer
Duration of TWAP order in minutes
reduceOnly
boolean
Whether order can only reduce position (cannot increase)
randomize
boolean
Whether execution timing is randomized to avoid detection
timestamp
integer
TWAP order creation timestamp (Unix milliseconds)

Status Types​

TWAP orders progress through different status states during their lifecycle, from initial creation to completion or cancellation.

Status
Description
activated
TWAP order has been created and is actively executing
finished
TWAP order completed successfully (entire size executed)
terminated
TWAP order was cancelled before completion (partial execution possible)

Example Records​

Activated TWAP Order
{
  "time": "2025-12-04T17:00:22.417074898",
  "twap_id": 1430699,
  "state": {
    "coin": "HYPE",
    "user": "0x9d6a5ab97a8eed617bde9968d9ab6fcf72fde1b8",
    "side": "A",
    "sz": "108.36",
    "executedSz": "0.0",
    "executedNtl": "0.0",
    "minutes": 10,
    "reduceOnly": false,
    "randomize": false,
    "timestamp": 1764867622417
  },
  "status": "activated"
}
Finished TWAP Order
{
  "time": "2025-12-04T17:00:39.012600357",
  "twap_id": 1430683,
  "state": {
    "coin": "xyz:NVDA",
    "user": "0x130506ec2875c51eaf6fa2632ee952205a3dd793",
    "side": "A",
    "sz": "1.0",
    "executedSz": "1.0",
    "executedNtl": "183.83588",
    "minutes": 5,
    "reduceOnly": false,
    "randomize": false,
    "timestamp": 1764867337234
  },
  "status": "finished"
}
Terminated TWAP Order (Partially Executed)
{
  "time": "2025-12-04T17:05:55.357168702",
  "twap_id": 1430645,
  "state": {
    "coin": "HYPE",
    "user": "0xdce7148dd9418e01129192095954a5ad3d75b0cc",
    "side": "B",
    "sz": "100.59",
    "executedSz": "25.94",
    "executedNtl": "897.98844",
    "minutes": 120,
    "reduceOnly": false,
    "randomize": true,
    "timestamp": 1764866098571
  },
  "status": "terminated"
}
Long Duration TWAP (210 minutes)
{
  "time": "2025-12-04T17:03:28.969809817",
  "twap_id": 1430703,
  "state": {
    "coin": "xyz:NVDA",
    "user": "0xa993ad31ef46873c0193448dbb2f04c0d3854731",
    "side": "B",
    "sz": "27.11",
    "executedSz": "0.0",
    "executedNtl": "0.0",
    "minutes": 210,
    "reduceOnly": false,
    "randomize": false,
    "timestamp": 1764867808969
  },
  "status": "activated"
}

API Usage​

gRPC Streaming
// Subscribe to TWAP updates
const request = {
  subscribe: {
    stream_type: 'TWAP',
    start_block: 0,
    filters: {
      "user": ["0x123..."],
      "coin": ["BTC", "ETH"],
      "status": ["activated", "finished"]
    }
  }
};
JSON-RPC
# Get latest TWAP blocks
curl -X POST https://your-endpoint.hype-mainnet.quiknode.pro/your-token/hypercore \
  -H "Content-Type: application/json" \
  -d '{
    "jsonrpc": "2.0",
    "method": "hl_getLatestBlocks",
    "params": {
      "stream": "twap",
      "count": 10
    },
    "id": 1
  }'
WebSocket
// Subscribe to TWAP updates
ws.send(JSON.stringify({
  "method": "hl_subscribe",
  "params": {
    "streams": ["twap"]
  }
}));

Important Notes​


  • Sparse Data: Most blocks have empty event arrays - TWAP updates only occur when orders are created, completed, or cancelled
  • TWAP ID Linking: The twap_id field can be used to correlate with individual fills in the Trades dataset (where twapId field references this twap_id)
  • Execution Progress: Compare executedSz to sz to determine completion percentage
  • Randomization: When randomize is true, order execution timing is randomized to avoid predictable patterns
  • Reduce-Only Orders: When reduceOnly is true, the TWAP order can only reduce existing positions
  • Duration Range: TWAP orders can range from very short (5 minutes) to very long (210+ minutes or 3.5+ hours)
  • Partial Execution: Terminated orders may have partial execution (non-zero executedSz less than sz)

  • Trades - View individual fills that comprise TWAP execution (matching twapId field)
  • Orders - See the individual child orders created by TWAP algorithm
  • Events - Monitor system events that may affect TWAP execution
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