L2 Order Book | Hyperliquid API Docs

Stream aggregated Level 2 order book data from Hyperliquid. Real-time bid/ask levels with configurable depth and price aggregation.

Stream aggregated order book data showing total size at each price level. The L2 book provides a consolidated view of market depth, with configurable levels and price aggregation for bandwidth optimization.

Code Examples Repository

Clone our complete examples: github.com/dwellir-public/hyperliquid-orderbook-server-code-examples

Send a subscription message to the WebSocket endpoint:

JSON

{
  "method": "subscribe",
  "subscription": {
    "type": "l2Book",
    "coin": "BTC",
    "nSigFigs": 5,
    "nLevels": 20,
    "strict": true
  }
}

Subscription Parameters

Parameter	Type	Required	Default	Description
`type`	string	Yes	-	Must be `"l2Book"`
`coin`	string	Yes	-	Trading pair symbol (e.g., `"BTC"`, `"ETH"`, `"xyz:MSTR"`, `"@150"`)
`nSigFigs`	number	No	5	Price aggregation: 2-5 significant figures
`nLevels`	number	No	20	Number of levels per side: 1-100
`strict`	bool	No	False	Only send data on updates within the subscribed level interval

HIP3 Markets

For HIP3 (permissionless perpetuals) markets, use the full coin label format with the xyz: prefix. For example, use "xyz:MSTR" for the MicroStrategy perpetual, not just "MSTR". Standard perpetuals like BTC and ETH do not require a prefix.

Spot Markets

For spot markets, use the @{index} format where the index is the spot asset index. For example, use "@150" for a specific spot market.

Understanding `nSigFigs` (Price Aggregation)

The nSigFigs parameter controls how prices are rounded for aggregation:

nSigFigs	BTC Example	Effect
5	$106,217	Most granular - individual price points
4	$106,200	Moderate aggregation
3	$106,000	Coarse aggregation
2	$110,000	Very coarse - major levels only

Lower nSigFigs values reduce message frequency and bandwidth but sacrifice price precision.

The first websocket message after subscribing is a subscriptionResponse; subsequent messages carry the l2Book payloads.

Response Field Reference

Field	Type	Description
`channel`	string	Always `"l2Book"` for this subscription type
`data.coin`	string	Trading pair symbol
`data.time`	number	Unix timestamp in milliseconds
`data.levels`	array	Two-element array: `[bids, asks]`
`levels[0]`	array	Bid levels (buyers), sorted best (highest) to worst
`levels[1]`	array	Ask levels (sellers), sorted best (lowest) to worst

Level Object Fields

Field	Type	Description
`px`	string	Price level
`sz`	string	Total size at this price level
`n`	number	Number of orders aggregated at this level

Use Cases

Market Making

Monitor spread and depth to optimize quote placement:

Spread monitoring: Track bid-ask spread for quote width
Inventory management: Adjust quotes based on book imbalance
Competition analysis: Count orders at each level to gauge competition

Liquidity Analysis

Assess market depth for large order execution:

Slippage estimation: Calculate expected price impact for order sizes
Best execution: Find optimal order sizes and timing
Market quality metrics: Track spread, depth, and resilience

Support/Resistance Detection

Identify significant price levels from order concentration:

Order clusters: Large n values indicate many orders at a level
Size walls: High sz values suggest strong support/resistance
Level breaks: Monitor when significant levels get absorbed

Algorithmic Trading Signals

Generate trading signals from book dynamics:

Imbalance signals: Buy when bids dominate, sell when asks dominate
Spread compression: Trade when spread narrows (high liquidity)
Depth changes: Alert on sudden liquidity additions or removals

Subscription Management

Adjusting Parameters

Change depth or aggregation by resubscribing:

Python

# Switch from 20 levels to 50 levels
await websocket.send(json.dumps({
    "method": "unsubscribe",
    "subscription": {"type": "l2Book", "coin": "BTC", "nLevels": 20}
}))

await websocket.send(json.dumps({
    "method": "subscribe",
    "subscription": {"type": "l2Book", "coin": "BTC", "nLevels": 50}
}))

Bandwidth Optimization

For high-frequency updates, use lower nSigFigs:

JSON

{
  "method": "subscribe",
  "subscription": {
    "type": "l2Book",
    "coin": "BTC",
    "nSigFigs": 3,
    "nLevels": 10
  }
}

This reduces message size and frequency while maintaining key price levels.

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Stream institutional-grade Hyperliquid order book data with Dwellir's ultra-low latency infrastructure.

L2 Order Book - Aggregated Price Levels