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Hyperliquid 上的可见 TWAP 订单、市场冲击与逆向选择

文章 arXiv papers · 作者: Davide Barone et al.
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总结

本研究以 Hyperliquid 原生 TWAP 订单为“阳光交易”的例子，考察公开展示交易意图能否降低执行成本。研究将可见 TWAP 执行与根据地址级数据重建的隐藏大额订单进行比较。隐藏订单往往采用前置、呈 U 形的执行计划，而可见 TWAP 交易更加均匀，这与两者不同的执行设计相符。

分析发现，与可比的隐藏大额订单相比，可见 TWAP 的执行成本较低，永久价格冲击也较小。然而，与已公开的 TWAP 方向相同的隐藏订单面临更高的永久成本，这表明部分逆向选择转移到了未披露交易意图的交易者身上。TWAP 执行期间，显示深度增加，流动性向吸收已公布订单流的一侧倾斜，且大额订单引发的反应更强。这些结果来自一个链上永续期货交易场所，未必适用于披露规则或流动性结构不同的市场。

核心观点

  • 可见 TWAP 的交易执行比隐藏大额订单更均匀，后者通常采用前置、呈 U 形的执行计划。
  • 与隐藏大额订单相比，可比的可见 TWAP 测得的执行成本较低，永久价格冲击也较小。
  • 与可见且方向相同的 TWAP 同时交易的隐藏订单，承担更高的永久成本，显示逆向选择发生了转移。
  • 活跃的 TWAP 订单流被吸收时，显示深度上升，订单簿向吸收订单流的一侧倾斜。
  • 证据来自 Hyperliquid 永续期货，结论可能取决于其链上市场设计。

标签

加密资产永续合约交易执行市场微观结构链上数据
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# Trading in the Sunshine or in the Shade: Market Impact and Adverse Selection on Hyperliquid


# Trading in the Sunshine or in the Shade: Market Impact and Adverse Selection on Hyperliquid









Sunshine trading theory predicts that publicly disclosing trading intentions can reduce adverse selection and attract liquidity provision, lowering execution costs. Evidence is scarce, because explicit preannouncement of large orders is rare in traditional markets. We study Hyperliquid, a fully on-chain limit order book for cryptocurrency perpetual futures, where protocol-native TWAP orders disclose their terms from inception and remain visible while active, a natural form of sunshine trading. Using address-level data, we reconstruct 4.3 million hidden metaorders and compare them with 465,000 visible TWAP executions. The two execution styles differ sharply: hidden metaorders follow front-loaded, U-shaped schedules consistent with transient-impact optimal execution, whereas TWAPs trade nearly uniformly. We test the preannouncement predictions of Admati and Pfleiderer (1991). Visible TWAPs face lower execution costs than comparable hidden metaorders and leave a smaller permanent price impact. Hidden metaorders executed alongside already-visible same-direction TWAP flow incur higher permanent costs: adverse-selection costs shift toward non-announcers. Finally, visible TWAP programs elicit liquidity provision: while active, displayed depth rises and the book tilts toward the absorbing side, the more so the larger the announced order.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。