Name: L1 Imbalance
Creator: Aperiodic
License: https://aperiodic.io/terms-of-service

L1 Imbalance

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

Code API Docs Try It

imbalance

Imbalance

Imbalance measures the raw difference between bid-side and ask-side top-of-book size.

It is one of the fastest ways to see which side is presenting more immediate resting interest at the best quotes.

imbalance_ratio

Imbalance Ratio

Imbalance Ratio scales the raw difference into a relative measure that is easier to compare across symbols and market states.

Because it normalizes for total top-of-book size, it often gives a cleaner signal than the raw imbalance alone.

bid_ask_ratio

Bid/Ask Ratio

Bid/Ask Ratio directly compares the best-bid size with the best-ask size.

It is intuitive, portable, and useful when you want to know whether displayed buying depth materially outweighed displayed selling depth.

bid_percentage_avg

Avg Bid %

Average Bid % shows the mean share of top-level liquidity that sat on the bid across the interval.

This smooths through flicker and highlights the prevailing balance of displayed interest instead of a single instant.

ask_percentage_avg

Avg Ask %

Average Ask % is the complementary view, capturing how much of top-level liquidity tended to sit on the ask side.

Monitoring the bid and ask averages together helps reveal whether one side dominated persistently or whether the book spent the interval near equilibrium.

Order book imbalance is arguably the single most validated short-term predictive signal in the market microstructure literature. The intuition is immediate: if there's substantially more resting size on the bid than the ask, the next price move is more likely upward.

Endpoint

/api/v1/data/l1_imbalance

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. Sub-minute intervals (15s, 30s) require a Tier 3 subscription.

15s30s1m5m15m30m1h4h1d

exchangereqstring

string

Source 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 every file covering the range — one per month before 2026-08-01, one per day from 2026-08-01 onwards

Schema

filesobject[]required

Files covering the requested date range, in chronological order. Data before 2026-08-01 is split by month (one file per calendar month, no `day`); data from 2026-08-01 onwards is split by day (one file per calendar day, with `day` set). The changeover falls on a month boundary, so a given month is served entirely one way or the other; a range spanning it returns the earlier months as monthly files followed by a daily file per day.

yearintegerrequired

Year of the data file

monthintegerrequired

Month of the data file (1-12)

dayinteger

Day of the data file (1-31). Present only on daily files, i.e. those covering 2026-08-01 onwards. Absent on monthly files, which cover an entire calendar month.

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": 2026,
      "month": 6,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-06.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 7,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-07.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 1,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-01.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 2,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-02.parquet?X-Amz-Expires=300&..."
    }
  ]
}

Try It

Prefilled with the shared DEMO-KEY and a free preview slice — send the request to see live data, no account required.

timestamp*

interval*

exchange*

symbol*

Suggestions shown — any valid value accepted

start_date*

Suggestions shown — any valid value accepted

end_date*

Suggestions shown — any valid value accepted

Authentication

X-API-KEY*

GET

/api/v1/data/preview/l1_imbalance?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

Try Free Preview Data

Access a curated slice of real production data with just an account — no credit card or subscription required. Pair it with our research notebooks to get started instantly.

Use with AI Agents

Access L1 Imbalance programmatically via our Python SDK and REST API — optimised for autonomous research workflows.

Get Started

Subscribe to get full API access. Start querying all datasets in minutes.

L1 Imbalance

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

Code API Docs Try It

imbalance

Imbalance

Imbalance measures the raw difference between bid-side and ask-side top-of-book size.

It is one of the fastest ways to see which side is presenting more immediate resting interest at the best quotes.

imbalance_ratio

Imbalance Ratio

Imbalance Ratio scales the raw difference into a relative measure that is easier to compare across symbols and market states.

Because it normalizes for total top-of-book size, it often gives a cleaner signal than the raw imbalance alone.

bid_ask_ratio

Bid/Ask Ratio

Bid/Ask Ratio directly compares the best-bid size with the best-ask size.

It is intuitive, portable, and useful when you want to know whether displayed buying depth materially outweighed displayed selling depth.

bid_percentage_avg

Avg Bid %

Average Bid % shows the mean share of top-level liquidity that sat on the bid across the interval.

This smooths through flicker and highlights the prevailing balance of displayed interest instead of a single instant.

ask_percentage_avg

Avg Ask %

Average Ask % is the complementary view, capturing how much of top-level liquidity tended to sit on the ask side.

Monitoring the bid and ask averages together helps reveal whether one side dominated persistently or whether the book spent the interval near equilibrium.

Endpoint

/api/v1/data/l1_imbalance

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. Sub-minute intervals (15s, 30s) require a Tier 3 subscription.

15s30s1m5m15m30m1h4h1d

exchangereqstring

string

Source 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 every file covering the range — one per month before 2026-08-01, one per day from 2026-08-01 onwards

Schema

filesobject[]required

yearintegerrequired

Year of the data file

monthintegerrequired

Month of the data file (1-12)

dayinteger

Day of the data file (1-31). Present only on daily files, i.e. those covering 2026-08-01 onwards. Absent on monthly files, which cover an entire calendar month.

urlstring<uri>required

Example

{
  "files": [
    {
      "year": 2026,
      "month": 6,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-06.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 7,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-07.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 1,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-01.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 2,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-02.parquet?X-Amz-Expires=300&..."
    }
  ]
}

Try It

Prefilled with the shared DEMO-KEY and a free preview slice — send the request to see live data, no account required.

timestamp*

interval*

exchange*

symbol*

Suggestions shown — any valid value accepted

start_date*

Suggestions shown — any valid value accepted

end_date*

Suggestions shown — any valid value accepted

Authentication

X-API-KEY*

GET

/api/v1/data/preview/l1_imbalance?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

Try Free Preview Data

Access a curated slice of real production data with just an account — no credit card or subscription required. Pair it with our research notebooks to get started instantly.

Use with AI Agents

Access L1 Imbalance programmatically via our Python SDK and REST API — optimised for autonomous research workflows.

Get Started

Subscribe to get full API access. Start querying all datasets in minutes.