Hyperliquid Historical Order Book Data

Hyperliquid FuturesHyperliquid Spot

Each l2Book message is a full snapshot of the top of the order book, not a delta. Each message becomes one snapshot row for each level.

{
  "channel": "l2Book",
  "data": {
    "coin": "BTC",
    "time": 1791227796735,
    "levels": [
      [
        {
          "px": "85628.0",
          "sz": "5.71229",
          "n": 19
        },
        {
          "px": "85627.0",
          "sz": "0.005",
          "n": 1
        },
        {
          "px": "85626.0",
          "sz": "0.75919",
          "n": 1
        }
      ],
      [
        {
          "px": "85629.0",
          "sz": "4.37963",
          "n": 39
        },
        {
          "px": "85630.0",
          "sz": "0.58198",
          "n": 23
        },
        {
          "px": "85631.0",
          "sz": "3.85701",
          "n": 9
        }
      ]
    ]
  }
}

Shortened: Hyperliquid sent 20 bid levels and 20 ask levels. This example shows the best 3 of each.

You download

Parquet row · orderbook · 1 of 6 rows from this message

bid 85628.0bid 85627.0bid 85626.0ask 85629.0ask 85630.0ask 85631.0

• received_time1791227797268427000INT64
• event_time1791227796735INT64
• transaction_time1791227796735INT64
• symbolBTCSTRING
• event_typesnapshotSTRING
• first_update_idnullINT64
• final_update_id1791227796735INT64
• prev_final_update_idnullINT64
• last_update_id1791227796735INT64
• sidebidSTRING
• price85628.0STRING
• quantity5.71229STRING
• order_count19INT64

Point at a line in the message or a column in the row to trace where each value comes from. Click a column to pin it.

Our tests replay this message through the production pipeline

All Hyperliquid Futures mapping rules →

Conventions for every exchange are in the wire formats overview. Column types and units for order book data are in the schema below.

01

Spread, depth, and imbalance

Replay the book to measure bid/ask spread, depth within N basis points, and order book imbalance at any moment in the hour.

02

Execution and market-making backtests

Simulate fills against the liquidity that was actually resting on the book instead of assuming a mid-price fill.

03

Cross-venue liquidity research

Compare depth and spread across exchanges with one schema instead of maintaining a parser per venue.

Binance Historical Order Book Datasince 2025-06-28→Bybit Historical Order Book Datasince 2025-06-28→OKX Historical Order Book Datasince 2025-06-28→Aster Historical Order Book Datasince 2025-09-29→Bitget Historical Order Book Datasince 2025-07-15→Kraken Historical Order Book Datasince 2025-06-28→BitMEX Historical Order Book Datasince 2025-09-29→Lighter Historical Order Book Datasince 2025-12-30→

Or compare every venue on the cross-exchange order book overview.

1. 01

   L2 order book data is aggregated by price level, not individual L3 orders.

2. 02

   Files contain snapshots plus incremental updates. Build state from a complete snapshot, apply later events in stored order, and reset whenever another snapshot appears.

3. 03

   Sequence fields vary by venue. If available continuity IDs show a gap, discard the local book and wait for a newer snapshot rather than replaying a state you cannot verify.

4. 04

   Quantities are in the venue's unit: base asset on most venues, contracts on OKX derivatives (multiply by the instrument's ctVal), and raw per-instrument units on BitMEX.

5. 05

   Hour-start checkpoint snapshots exist for Binance, Aster, OKX, Bybit, Bitget, Lighter, Kraken Futures and Hyperliquid, not for Kraken spot or BitMEX. A checkpoint is written only when the book is proven current, so some hours start without one; continue from the previous hour's book or wait for the next snapshot.

6. 06

   This page starts on 2025-09-29 based on the earliest stored hourly files for its covered exchange IDs and grows as new hourly files are published.