Market Execution Needs an Explicit Worst Price
By DX Research Group · · Execution mechanics
Translate an urgent trading instruction into a signed price boundary. A worked buy case distinguishes execution urgency from unlimited spending.
An urgent buy needs a worst admissible execution price. We would represent urgency and price protection separately in the typed action. The Hyperliquid exchange request supports an IOC limit with an explicit price. That gives a connector a documented way to request immediate bounded execution; the policy must check the actual serialized price.
Urgency still has a maximum admissible price
Illustrative case: an agent observes $200 and has authority to buy up to 5 units with at most 50 basis points of adverse price movement. The buy ceiling is $200 × 1.005 = $201. A $201.20 executable price exceeds the authority even when the model calls the action a market order. If only 3 units can execute inside $201, a bounded immediate action may leave the quantity target unmet. The incomplete quantity is the cost of respecting the owner’s price boundary.
Bind the reference and the ceiling
The receipt should preserve reference type, observed reference value, timestamp, tolerance units and final limit. A midprice, best ask and oracle price produce different ceilings. Choose the reference in the mandate before the market moves. Replay a shallow book with attractive first depth and expensive later depth. Inspect the submitted limit and realized prices; a favorable average cannot excuse a fill beyond the authorized bound. Record quote age as well, because a mathematically correct ceiling can still rest on obsolete information.
A useful audit receipt
Price protection has a measurable opportunity cost: some eligible-looking decisions remain incomplete because executable liquidity lies outside the bound. Record that outcome alongside avoided excessive prices. A replay that grades only completed orders selects the easiest executions and hides the boundary cases where the control affected behavior. Include those uncompleted decisions in the comparison population.
Our execution and reconciliation framework provides the broader mandate-to-outcome trace. The state and memory contract explains how the verified result should enter the next decision. These notes narrow those published methods to one execution boundary; the worked amounts above are illustrative and the test is a proposed local fixture. The source inspected for the venue-specific statements is the official Hyperliquid exchange endpoint.