1
Read every source
HDL keeps a live copy of each source’s order book and trade feed.
Centralized venues are read from their market data feeds. On-chain order
books are read at node level, every block. Each source is handled in
isolation, so one source disconnecting, lagging or misbehaving never
affects another.
2
Check source health
A source is left out of the book while it is stale, while its own book is
crossed, or while its price strays too far from the other sources.
3
Set the reference price
The reference price is the median of the healthy sources’ mid prices.
4
Align and merge
Each source is aligned onto the reference price, then the books are merged
with conservative depth counting.
5
Publish
The merged book is snapped to the instrument’s tick grid and published,
together with one consolidated trade tape.
A manipulation-resistant reference price
The reference price is the median of the mid prices of all healthy sources. A median is robust by construction: moving it requires moving more than half of the sources at once. No single venue, and no single print, can set the price of HDL.A book that never crosses
The same perpetual trades a few basis points apart on different venues, because of different collateral currencies, funding conditions and latency. Merging raw prices would produce a crossed book, where one venue’s bid sits above another’s ask, and a simulator would fill that as free money. HDL moves each healthy source onto the reference price before merging, keeping the notional value of every level. After alignment every source is centred on the same price, so the consolidated book cannot cross.Conservative depth counting
The same market makers and liquidity providers often quote on several venues at once, and pull their quotes everywhere when one venue is hit. Adding every displayed book together would overstate what is really executable. HDL counts the deepest source in full and discounts the overlapping liquidity from every other source. “Deepest” is measured within the price range every healthy source covers, so a source that simply publishes more levels does not win by reaching further.Tick grid and book shape
Aligned levels are placed on the instrument’s tick grid. Bids are rounded down and asks are rounded up, so no level ever shows a better price than a source actually offered. The published book has two parts:
Level sizes in the far book are defined relative to price, so the same rule
gives a sensible book for an asset at $80,000 and one at $1.30.
Automatic failover
HDL keeps working when a source does not:- A source that goes stale, publishes an invalid (crossed) book or becomes an outlier is excluded automatically and rejoins when it is healthy again.
- Losing a source reduces the depth HDL shows. It does not change how prices are formed.
- If too few healthy sources remain to price an instrument safely, HDL stops publishing that instrument rather than guess. Hyperprop then stops filling orders on it until the book is back, instead of pricing from stale or single-source data.
A small number of instruments are built from a single source, because no
second market for the same underlying is deep enough to add. For those, HDL
stops publishing if that source is unavailable.
Charts built the same way
The trade tape combines the trades of every healthy source, aligned onto the same reference price. Candles are built from that tape:- A candle’s volume is the sum of every source’s volume in that period.
- Historical candles are built with the same method as live ones, so the point where history meets live data lines up.
- Gaps after an interruption are rebuilt from every source that has the data.