TWAP Updates - Notional Protocol

Hyperliquid

{
  "method": "subscribe",
  "subscription": {
    "type": "twapUpdates",
    "user": "0x1111111111111111111111111111111111111111"
  }
}

Response

{
  "channel": "twapUpdates",
  "data": {
    "isSnapshot": true,
    "user": "0x1111111111111111111111111111111111111111",
    "twaps": [
      {
        "twapId": "0x1a2b3c...",
        "status": "active",
        "asset": "BTC",
        "side": "buy",
        "totalSz": "0.25",
        "filledSz": "0.10",
        "remainingSz": "0.15",
        "reduceOnly": false,
        "slicesFilled": 2,
        "slicesPartial": 0,
        "slicesRejected": 0,
        "totalNotional": "5030.0",
        "avgFillPx": "50300",
        "durationMs": 1800000,
        "sliceIntervalMs": 300000,
        "createdAt": 1701234567890,
        "startedAt": 1701234567890,
        "expectedEndAt": 1701236367890,
        "currentSliceIndex": 2,
        "totalExpectedSlices": 7,
        "randomize": true,
        "updatedAt": 1701235167890
      }
    ]
  }
}

Response Fields

Field	Type	Description
`channel`	string	Always `"twapUpdates"`
`data`	object	Initial snapshot or later update

Data

Field	Type	Description
`isSnapshot`	boolean	`true` for the initial active-TWAP snapshot, else `false`
`user`	string	Lowercased user address, e.g., `"0x742d35cc...f0beb"`
`twaps`	array	TWAP updates; the initial snapshot can be an empty array

TWAP

Field	Type	Description
`twapId`	string	TWAP order ID, e.g., `"0x1a2b3c..."`
`status`	string	Current TWAP status, e.g., `"active"`
`asset`	string	Market symbol, e.g., `"BTC"`
`side`	string	`"buy"` or `"sell"`
`totalSz`	string	Total requested size, e.g., `"0.25"`
`filledSz`	string	Aggregate filled size, e.g., `"0.10"`
`remainingSz`	string	Remaining size, e.g., `"0.15"`
`reduceOnly`	boolean	Whether the TWAP is reduce-only
`totalNotional`	string	Filled notional, e.g., `"5030.0"`
`avgFillPx`	string	VWAP, e.g., `"50300"`, or `"0"` before fills