Turtle Lair

Intern of the Sewer

[Turtle Lair @Turtle_Lair]

@flipdazed @skyquake_1 @HyperliquidX yet to demonstrate, but it may be related

[Turtle Lair @Turtle_Lair]

@gray_rhinos @flipdazed @HyperliquidX https://t.co/UoBU25RPh0

probably true, at least partially

[Turtle Lair @Turtle_Lair]

@skyquake_1 @flipdazed @HyperliquidX It may be. Here the SqrtLaw for different pairs. It would be nice to explain it in the model of Bouchaud et al

[Turtle Lair @Turtle_Lair]

@Polysticks @flipdazed @HyperliquidX Is the same for even if you aggregate market and if you look at btc. Look at https://t.co/B1xlci5iLD

also https://t.co/UoBU25Rhrs

[Turtle Lair @Turtle_Lair]

@skyquake_1 @flipdazed @HyperliquidX It may be. Here the SqrtLaw for different pairs. It would be nice to explain it in the model of Bouchaud et al

[Turtle Lair @Turtle_Lair]

@skyquake_1 @flipdazed @HyperliquidX It may be. Here the SqrtLaw for different pairs. It would be nice to explain it in the model of Bouchaud et al

[Turtle Lair @Turtle_Lair]

@flipdazed @HyperliquidX Hi, autor of this https://t.co/03SOEuDw0B here.

How are you defining metaorders here? just market like Sato,Kwanzaa? max interattival time?

[Turtle Lair @Turtle_Lair]

@jmikecho @flipdazed @HyperliquidX Absolutely, we are working on that too!

[Turtle Lair @Turtle_Lair]

@yenwod_ @willmeng_ @chameleon_jeff What we say on the paper is that twap creates segmentation, at least partially

[Turtle Lair @Turtle_Lair]

@ASvanevik https://t.co/RWVmfBSDvo

[Turtle Lair @Turtle_Lair]

I've seen some confusion about our paper.
the results should be interpreted as "an equilibrium comparison between visible and latent execution regimes, rather than a randomized treatment of order visibility". We are not saying that you should use twap because you pay less.

[Turtle Lair @Turtle_Lair]

@0xcarlosg https://t.co/RWVmfBSDvo

[Turtle Lair @Turtle_Lair]

I've seen some confusion about our paper.
the results should be interpreted as "an equilibrium comparison between visible and latent execution regimes, rather than a randomized treatment of order visibility". We are not saying that you should use twap because you pay less.

[Turtle Lair @Turtle_Lair]

@ClBlockchain https://t.co/RWVmfBSDvo

[Turtle Lair @Turtle_Lair]

I've seen some confusion about our paper.
the results should be interpreted as "an equilibrium comparison between visible and latent execution regimes, rather than a randomized treatment of order visibility". We are not saying that you should use twap because you pay less.

[Turtle Lair @Turtle_Lair]

@Pasta_Capital https://t.co/RWVmfBSDvo

[Turtle Lair @Turtle_Lair]

I've seen some confusion about our paper.
the results should be interpreted as "an equilibrium comparison between visible and latent execution regimes, rather than a randomized treatment of order visibility". We are not saying that you should use twap because you pay less.

[Turtle Lair @Turtle_Lair]

@moonshiesty it may be, but we are looking at the book with 1-minute freq, what we see in figure 7 something that remain in the book longer then the effect of queue positioning i think.

[Turtle Lair @Turtle_Lair]

@Web3Sunny4 @0xturbanurban we are measuring impact at execution prices. So we are considering spread costs

[Turtle Lair @Turtle_Lair]

@0xturbanurban https://t.co/RWVmfBSDvo

[Turtle Lair @Turtle_Lair]

I've seen some confusion about our paper.
the results should be interpreted as "an equilibrium comparison between visible and latent execution regimes, rather than a randomized treatment of order visibility". We are not saying that you should use twap because you pay less.

[Turtle Lair @Turtle_Lair]

@Crypt0Panda @tmnxeq @willmeng_ @chameleon_jeff yep, but how do you measure liquidity then? without executing against the book is very hard

[Turtle Lair @Turtle_Lair]

@tmnxeq @willmeng_ @chameleon_jeff of course you can't, thats why impact is very useful.
I agree that what we found is because of segmentation rather then execution style, that is what we say at the end.
the problem with measuring liquidity with last hook is that in principle you only know it when you execute

[Turtle Lair @Turtle_Lair]

@willmeng_ @chameleon_jeff Author here. i agree

https://t.co/RWVmfBSDvo

[Turtle Lair @Turtle_Lair]

I've seen some confusion about our paper.
the results should be interpreted as "an equilibrium comparison between visible and latent execution regimes, rather than a randomized treatment of order visibility". We are not saying that you should use twap because you pay less.

[Turtle Lair @Turtle_Lair]

@tushar_jain I agree, i think that the paper is being misunderstood. We are saying that if you dont have information it makes sense to reveal execution, and also that this create segmentation and consequences (look at Admati-Pflaiderer 1991)

https://t.co/RWVmfBSDvo

[Turtle Lair @Turtle_Lair]

I've seen some confusion about our paper.
the results should be interpreted as "an equilibrium comparison between visible and latent execution regimes, rather than a randomized treatment of order visibility". We are not saying that you should use twap because you pay less.

[Turtle Lair @Turtle_Lair]

what we are saying is that market segmented itself and that traders who select into TWAPs have lower impact, likely because uninformed flow self-selects into announcing and not that a given trader improves their execution by announcing.

[Turtle Lair @Turtle_Lair]

I've seen some confusion about our paper.
the results should be interpreted as "an equilibrium comparison between visible and latent execution regimes, rather than a randomized treatment of order visibility". We are not saying that you should use twap because you pay less.

[jeff.hl @chameleon_jeff]

Someone recently shared this paper with me, which rigorously studies the execution improvement of visible TWAPs on Hyperliquid: "Trading in the Sunshine or in the Shade: Market Impact and Adverse Selection on Hyperliquid," by Davide Barone and Fabrizio Lillo.

In physics, theorists can say all they want, but the case isn't closed until an experimentalist comes with the cold hard data. So thank you to the authors of this paper for their hard work! The paper demonstrates that liquidity net tightens as onchain TWAPs surface, improving the average execution of the TWAP order.

This has been a deeply personal question for me. Even before building Hyperliquid, I've defended from first principles that transparent trading ought to improve execution for non-toxic flow. This is a corrollary of the efficient market hypothesis, but the amount of pushback always surprised me. I've quote tweeted a previous post where I make the argument in detail.

Transparency and equal access bring improved execution over traditional private venues. It's an honor to build with everyone to upgrade the financial system with onchain technology.