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Derivative Price

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

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mark_price

Mark Price

Mark Price is the exchange reference price used for risk, liquidation, and many internal controls.

It often matters more than the last traded print when you care about margin behavior or the true state of the derivatives venue.

index_price

Index Price

Index Price represents the external reference basket that the derivative is ultimately trying to track.

It provides the cleanest anchor for judging whether the contract is rich, cheap, or simply reacting to the broader market.

last_price_pct_change

Last Price % Change

Last Price % Change gives the immediate traded move seen by market participants on the venue.

It is the most reactive of the price-change measures and therefore tends to pick up local bursts before slower references catch up.

mark_index_pct_change_ratio

Mark/Index % Change Ratio

This ratio compares how quickly the mark price moved relative to the underlying index reference.

Values above or below one indicate that the venue mark is leading or lagging the external market move.

mark_last_pct_change_ratio

Mark/Last % Change Ratio

Mark/Last % Change Ratio compares the stability-focused mark with the more reactive last trade.

When the two diverge meaningfully, the venue is effectively saying that the latest print should not be taken fully at face value for risk purposes.

Crypto perpetual exchanges use a mark price — a smoothed, manipulation-resistant reference — to calculate unrealized P&L and trigger liquidations. The underlying feed is the index price, typically a volume-weighted average of spot prices across major exchanges. The gap between mark, index, and last trade price is not just a data quality metric — it's a window into the mechanics of the liquidation engine.

Endpoint

/api/v1/data/derivative_price

Category

Derivatives

Intervals
1m5m15m30m1h4h1d
Exchanges
binance-futuresokx-perpshyperliquid-perps
Fields9
last_priceLast PriceLast traded price observed in the interval
index_priceIndex PriceLast index price observed in the interval
mark_priceMark PriceLast mark price observed in the interval
last_price_pct_changeLast Price % ChangePercentage change from the first last price to the final last price in the interval
index_price_pct_changeIndex Price % ChangePercentage change from the first index price to the final index price in the interval
mark_price_pct_changeMark Price % ChangePercentage change from the first mark price to the final mark price in the interval
mark_index_pct_change_ratioMark/Index % Change RatioMark-price return divided by index-price return over the interval
mark_last_pct_change_ratioMark/Last % Change RatioMark-price return divided by last-price return over the interval
index_last_pct_change_ratioIndex/Last % Change RatioIndex-price return divided by last-price return over the interval
Example Request
from datetime import date
from aperiodic import get_derivative_metrics
df = get_derivative_metrics(
    api_key="YOUR_API_KEY",
    metric="derivative_price",
    exchange="binance-futures",
    symbol="perpetual-BTC-USDT:USDT",
    interval="1d",
    start_date=date(2024, 1, 1),
    end_date=date(2024, 3, 1),
)
print(df.head())

Query Parameters

timestampreqstring
string

Timestamp source. 'exchange' uses the exchange-reported timestamp, 'true' uses actual arrival time at our servers.

exchangetrue
intervalreqstring
string

Aggregation time interval for the data.

1m5m15m30m1h4h1d
exchangereqstring
string

Source derivatives exchange for the data.

binance-futuresokx-perpshyperliquid-perps
symbolreqstring
string

Trading pair symbol in the format of Atlas' universal symbology: https://github.com/aperiodic-io/atlas

start_datereqstring<date>
string<date>

Start date for the data range (YYYY-MM-DD format). Data is partitioned by year and month.

end_datereqstring<date>
string<date>

End date for the data range (YYYY-MM-DD format). Must be greater than or equal to start_date.

Successful response with download URLs for each monthly file

Schema
filesobject[]required

Array of file information for each month in the requested date range

yearintegerrequired

Year of the data file

monthintegerrequired

Month of the data file (1-12)

urlstring<uri>required

Presigned URL for direct file download (valid for 5 minutes). URLs are served from dataset-specific subdomains, e.g. ohlcv.aperiodic.io, trade-metrics.aperiodic.io, l1-metrics.aperiodic.io, l2-metrics.aperiodic.io, derivative-metrics.aperiodic.io.

Example
{
  "files": [
    {
      "year": 2024,
      "month": 1,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2024-01.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2024,
      "month": 2,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2024-02.parquet?X-Amz-Expires=300&..."
    }
  ]
}
Try It
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GET/api/v1/data/derivative_price?timestamp=exchange&interval=5m&exchange=binance-futures&symbol=perpetual-BTC-USDT%3AUSDT&start_date=2025-05-01&end_date=2025-05-31
Response will appear here

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