Data Catalog

Directional order flow split by taker buy vs. sell, broken into small/medium/large notional segments, with a flow toxicity score.

Trade notional split into small (< $100), medium ($100–$1,000), and large (≥ $1,000) segments, with summary statistics for individual trade sizes.

Intrabar high-low price range and full distribution statistics (mean, median, std, skewness, kurtosis) for trade prices within each interval.

How much each unit of trading volume moves the price, measured via Amihud illiquidity, Kyle lambda, impact per notional, and large-trade reversal.

Uptick and downtick count, volume, ratios and percentages based on price movement direction.

Consecutive same-direction trade run lengths, imbalance, flip rate, and price change on direction flip.

Log-return based metrics: variance, realized volatility, bipower variation, jump ratio, autocorrelation, and trendiness.

How much each trade pays above the best ask (buys) or receives below the best bid (sells) relative to the prevailing quote, aggregated per interval.

Perpetual futures mark price premium over index price (basis) and last trade price, in absolute and basis-point terms.

Funding rate and update frequencies for perpetual futures contracts.

Open interest values with percentage change, volatility, and OI/price change ratio.

Snapshot of mark, index, and last trade prices with interval percentage changes and pairwise divergence ratios.

Open, High, Low, Close, Volume candlestick data with notional volume.

Volume-weighted and time-weighted average prices for precise execution benchmarks.

Best bid and ask prices with quantities, midprice, quantity-weighted midprice, time/volume-weighted averages, and quote update frequency.

Bid/ask imbalance, ratio, percentages — both instantaneous (last) and averaged over the interval.

Spread (absolute and bps), depth, dollar depth — instantaneous and interval-averaged.

Multi-depth (5, 10, 20, 25 levels) order book imbalance, ratio, and averages.

Total bid/ask depth aggregated over 5, 10, 20, 25 order book levels — instantaneous and interval-averaged.