Tick Data - Historical Trade Executions

Every individual trade execution on Hyperliquid, derived from node_fills_by_block data and processed into a clean, analysis-ready format.

What is Tick Data?#

Tick data captures each individual trade as it occurs on the exchange. Unlike aggregated OHLCV data, tick data preserves the exact sequence, timing, and size of every execution, providing the highest resolution view of market activity.

Available Range: July 2025 - Current (aligned with node_fills_by_block)

Source Format: Derived from node_fills_by_block archival data

Source Data Format#

Tick data is extracted from the node_fills_by_block format:

{
  "local_time": "2025-07-27T08:50:10.334741319",
  "block_time": "2025-07-27T08:50:10.273720809",
  "block_number": 676607012,
  "events": [
    [
      "0x7839e2f2c375dd2935193f2736167514efff9916",
      {
        "coin": "BTC",
        "px": "118136.0",
        "sz": "0.00009",
        "side": "B",
        "time": 1753606210273,
        "startPosition": "-1.41864",
        "dir": "Close Short",
        "closedPnl": "-0.003753",
        "hash": "0xe7822040155eaa2e737e042854342401120052bbf063906ce8c8f3babe853a79",
        "oid": 121670079265,
        "crossed": false,
        "fee": "-0.000212",
        "tid": 161270588369408,
        "cloid": "0x09367b9f8541c581f95b02aaf05f1508",
        "feeToken": "USDC",
        "builder": "0x49ae63056b3a0be0b166813ee687309ab653c07c",
        "builderFee": "0.005528"
      }
    ]
  ]
}

Processed Tick Data Schema#

Dwellir processes node_fills_by_block into a simplified tick format optimized for analysis:

timestamp, pair, price, size, side, trade_id, user_address, block_number

Field	Type	Description
`timestamp`	milliseconds	Trade execution time (from `time` field)
`pair`	string	Trading pair (from `coin` field, e.g., BTC-PERP)
`price`	decimal	Execution price (from `px`)
`size`	decimal	Trade size (from `sz`)
`side`	string	Buy (B) or Ask (A)
`trade_id`	integer	Unique trade identifier (from `tid`)
`user_address`	hex	User wallet address
`block_number`	integer	Block height for sequencing

Timestamp Precision#

Timestamps are recorded in milliseconds from the source time field. Block-level ordering provides additional sequencing precision.

Example Records#

CSV
JSON
Parquet Schema

timestamp,pair,price,size,side,trade_id,user_address,block_number
1753606210273,BTC-PERP,118136.0,0.00009,B,161270588369408,0x7839e2f2c375dd2935193f2736167514efff9916,676607012
1753606210274,BTC-PERP,118136.5,0.00025,B,161270588369409,0xa68c548f3acd23a7fe3e867cc47f302559794419,676607012
1753606210275,BTC-PERP,118135.8,0.00010,A,161270588369410,0x5ac99df645f3414876c816caa18b2d234024b487,676607013

[
  {
    "timestamp": 1753606210273,
    "pair": "BTC-PERP",
    "price": "118136.0",
    "size": "0.00009",
    "side": "B",
    "trade_id": 161270588369408,
    "user_address": "0x7839e2f2c375dd2935193f2736167514efff9916",
    "block_number": 676607012
  },
  {
    "timestamp": 1753606210274,
    "pair": "BTC-PERP",
    "price": "118136.5",
    "size": "0.00025",
    "side": "B",
    "trade_id": 161270588369409,
    "user_address": "0xa68c548f3acd23a7fe3e867cc47f302559794419",
    "block_number": 676607012
  }
]

message tick_data {
  required int64 timestamp;
  required binary pair (UTF8);
  required double price;
  required double size;
  required binary side (UTF8);
  required int64 trade_id;
  required binary user_address (UTF8);
  required int64 block_number;
}

Extended Fields (Optional)#

For advanced use cases, additional fields from the source data can be included:

Field	Description
`dir`	Trade direction (Open Long, Close Short, etc.)
`closedPnl`	Realized PnL from closed positions
`fee`	Trading fee
`crossed`	Whether order crossed the spread
`builder`	Block builder address
`builderFee`	Fee paid to builder

Data Volume#

Hyperliquid processes significant trading volume. Typical daily volumes:

Metric	Approximate Value
Daily trades	5-15 million
Daily file size (compressed)	500MB - 2GB
Peak trades per second	10,000+

Parquet format recommended for datasets larger than 1GB due to compression efficiency and columnar query performance.

Available Formats#

Format	Compression	Best For
CSV	Gzip	Quick analysis, streaming ingestion
Parquet	Snappy/Zstd	Large-scale analysis, columnar queries

Delivery Options#

Method	Status	Description
Bulk Download	Available	Historical archive files with daily updates
REST API	Coming Soon	Query-based access with filtering

Use Cases#

Backtesting Execution Strategies#

Test execution algorithms against real historical fills. Measure expected slippage, fill rates, and execution quality at specific order sizes.

Slippage Analysis#

Calculate actual slippage for different order sizes and market conditions. Build slippage models for execution cost estimation.

Market Impact Modelling#

Study how order flow affects prices. Measure temporary and permanent impact for different trade sizes and market states.

Address Tracking and Flow Analysis#

Identify large traders and track their activity patterns. Monitor address-level flow for market intelligence.

Cumulative Delta Analysis#

Compute buy/sell volume imbalances in real-time. Track order flow momentum and divergences.

Derived Metrics#

In addition to raw tick data, derived metrics are available:

Metric	Description
Buy/Sell Volume	Per-interval volume breakdown by side
Large Trade Flags	Trades exceeding configurable size thresholds
Cumulative Delta	Running sum of signed volume
VWAP	Volume-weighted average price per interval

Sample Data#

A sample dataset is available for evaluation:

Sample Contents:

1 hour of tick data for BTC-PERP and ETH-PERP
All fields included
CSV and Parquet formats

Contact ben@dwellir.com to request sample data.

Need	Recommendation
Aggregated price bars	OHLCV Data
Raw source data	Archival Data
Real-time trade stream	Order Book Server - Trades

Data Quality#

Completeness: Every fill from July 2025 onwards
Sequence Integrity: Trade IDs are strictly sequential within blocks
Timestamp Accuracy: Millisecond precision from source time field

Access#

Contact the Dwellir team for tick data access:

Email: ben@dwellir.com

Include in your request:

Symbols required (or "all perpetuals")
Date range
Preferred format (CSV or Parquet)
Fields needed (core or extended)
Filtering requirements (optional: size thresholds, specific addresses)
Delivery preference (bulk download or streaming)