An Open Book: Level 4 Order Book Data from the Hyperliquid Exchange

Abstract

This paper presents a high-frequency cryptocurrency market dataset obtained by operating a non-validating blockchain node on Hyperliquid, a limit order book-based decentralized exchange that is now one of the most liquid cryptocurrency exchanges, handling billions of USD in daily turnover. Unlike conventional Level 3 data sources such as LOBSTER, our data captures the complete order placement and cancellation history of all traders—identified pseudonymously through wallet addresses—including rejected orders and failed cancellation attempts that typically do not appear in conventional feeds, counterparty identities on both sides of each trade, and inventory positions after every transaction, all with nanosecond-precision timestamps. We make a portion of this dataset publicly available on Zenodo (with more available upon request), and discuss potential applications to market microstructure research.

Keywords: market microstructure, high-frequency trading, order flow, limit order book, rejected orders, Hyperliquid, cryptocurrency, perpetual futures

JEL Classification: C81, D47, G10, G14