Data is the lifeblood of quantitative research and trading. The first step is to understand the benefits and shortcomings of different data sources and mapping out their use for the tasks at hand.
For example, Tiingo does a fantastic job of consolidating prices from different exchanges and presenting it through an easy to use API. While the consolidated tape is a decent starting point for developing trading strategies, you can’t trade the consolidated tape – you can trade only at a handful of venues, mostly just one.
How do Hyperliquid quotes compare with the Tiingo consolidated tape? Most of the time, the differences are within a tight range (zero mean and median). However, there are certain times when the quotes are way off even for the most liquid coins.
There have been instances where the quoted mid was off more than 10% from what Tiingo reported.
Given that there are dozens of crypto exchanges and the volatile nature of the coins themselves, some of these differences are inevitable. However, the data highlights an inefficiency and the need to have multiple exchange feeds so that you don’t shoot yourself in the foot while trading.
Code and charts are up on github.