TWAP Dataset

개요

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.

하천 유형: TWAP
API 이용 가능 여부: gRPC API + JSON-RPC/WebSocket API
권수: Low - Most blocks are empty; only updates when TWAP orders change status

데이터 구조

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

분야	유형	설명
시간	문자열	Event timestamp (ISO 8601 format)
twap_id	정수	Unique identifier for the TWAP order
상태	객체	Current state of the TWAP order
상태	문자열	TWAP order status (see Status Types below)

State Object Fields

분야	유형	설명
동전	문자열	Trading pair identifier (e.g., "HYPE", "xyz:NVDA", "@107")
사용자	문자열	User address who created the TWAP order
측면	문자열	Order side: "B" (Buy) or "A" (Ask/Sell)
sz	문자열	Total target size for the TWAP order
executedSz	문자열	Amount executed so far
executedNtl	문자열	Notional value executed (price × size)
minutes	정수	Duration of TWAP order in minutes
reduceOnly	부울	Whether order can only reduce position (cannot increase)
randomize	부울	Whether execution timing is randomized to avoid detection
타임스탬프	정수	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.

상태	설명
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"
}

Outcome Market TWAP (HIP-4)

성과 자산(HIP-4)은 다음과 같이 표시됩니다. #N-prefixed coins in TWAP records. The structure is identical to standard TWAPs.

{
  "time": "2026-05-02T10:55:26.396453316",
  "twap_id": 1783904,
  "state": {
    "coin": "#0",
    "user": "0x81a39aa0b0d6fa8513aa79929e7c01dfaa232fce",
    "side": "B",
    "sz": "10000.0",
    "executedSz": "0.0",
    "executedNtl": "0.0",
    "minutes": 5,
    "reduceOnly": false,
    "randomize": false,
    "timestamp": 1777719326396
  },
  "status": "activated"
}

API 사용법

gRPC

// Subscribe to TWAP updates
const request = {
  subscribe: {
    stream_type: 'TWAP',
    filters: {
      user: { values: ['0x123...'] },
      coin: { values: ['BTC', 'ETH'] },
      status: { values: ['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({
  "jsonrpc": "2.0",
  "method": "hl_subscribe",
  "params": {
    "streamType": "twap"
  },
  "id": 1
}));

중요 사항

Sparse Data: Most blocks have empty event arrays - TWAP updates only occur when orders are created, completed, or cancelled
TWAP ID Linking: 그 twap_id field can be used to correlate with individual fills in the 거래 dataset (where twapId field references this twap_id)
Execution Progress: Compare executedSz ~에 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)

거래 - 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

개요​

데이터 구조​

Event Fields​

State Object Fields​

Status Types​

Example Records​

API 사용법​

중요 사항​

관련 Streams​

개요