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Orders on HDL instruments fill against the HDL book. There is no separate fill model behind it: the book you see is the book your orders execute against.

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Market orders

A market order walks the consolidated book from the best price outwards. Each level fills at most its displayed size, so a large order fills in slices at progressively worse prices. Your fill price is the size-weighted average of those slices. Any quantity beyond the visible depth fills conservatively, below the worst level consumed. HDL never assumes that liquidity it cannot see is deep and tight.

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Limit orders

A resting limit order fills only for the volume that actually trades at your price on the consolidated tape. A single print through your level does not fill the whole order. Larger limit orders can therefore fill in parts over time, as they would in the market.

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Freshness checks

Hyperprop uses the HDL book only while it is current and in step with the latest trades. A book that lags the tape is not used to price a triggered order. If an instrument’s book stops updating, Hyperprop stops filling orders on it until fresh data returns, rather than pricing from a stale book.

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What to expect at size

  • Small orders fill at or close to the best bid or ask. HDL inherits the tightest spread among its sources, so at small size the cost is the spread.
  • Large orders pay for the depth they consume. On deep markets such as BTC the difference is fractions of a basis point; on smaller assets it is larger.
  • Thin markets cost more to trade at size, just as they do in the market. Check the depth before sending a large market order, or use a limit order.
Because HDL combines depth from many sources, a large order usually costs less on HDL than on any single venue, while still costing what the market would really charge.

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Measured example

The cost of a $1M market buy, measured from live order books on 25 October 2026, in basis points from the mid price. Each figure is the median of ten snapshots taken two seconds apart. Execution costs change with market conditions. These figures illustrate the method; they are not a guarantee of future fills.
Your order was larger than the size shown at the best price, so it filled across several levels. The average of those levels is worse than the first one. This is how an order of that size fills in a real market.
Limit orders fill only for the volume that trades at your price. If less volume traded there than your order size, the rest keeps working.
It is excluded automatically and the book continues from the remaining sources, with a little less depth. If too few sources remain to price the instrument safely, HDL pauses that instrument and Hyperprop stops filling it until the book is back.