Hyperliquid Backtest Data: Perp Trades & Order Books

import os
import requests

API = "https://api.aymardata.com/v1"
KEY = os.environ["AYMARDATA_API_KEY"]  # export AYMARDATA_API_KEY=ad_live_…
H = {"Authorization": f"Bearer {KEY}", "User-Agent": "aymardata-backtest/1.0"}

# Hyperliquid L2/trade REST market ids are rolling out; bulk files are live.
# This end-to-end example lists trade Parquet files for a day and downloads one.

def list_files(source: str, date: str):
    r = requests.get(
        f"{API}/files",
        headers=H,
        params={"source": source, "date": date},
        timeout=60,
    )
    r.raise_for_status()
    return r.json()["data"]

DATE = "2026-10-24"
files = list_files("hyperliquid", DATE)
trades = [f for f in files if "/table=trades/" in f["path"]]
print(f"hyperliquid files={len(files)} trade_shards={len(trades)}")
if not trades:
    raise SystemExit("no trade files for date")

shard = trades[0]
print("downloading", shard["path"], "bytes", shard.get("bytes"))
blob = requests.get(shard["url"], timeout=120)
blob.raise_for_status()
out = f"/tmp/hl-{DATE}-trades.parquet"
open(out, "wb").write(blob.content)
print("saved", out, "size", len(blob.content))

# Optional: inspect with pyarrow / pandas when installed
try:
    import pyarrow.parquet as pq
    table = pq.read_table(out)
    print("columns", table.column_names)
    print(table.slice(0, 3).to_pydict())
except Exception as e:
    print("parquet inspect skipped:", e)