Aperiodic
DataAlpha
CatalogOrder FlowL1 MetricsL2 Metrics
Get Started

L1 Imbalance

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

CodeAPI DocsTry It
Endpoint

/api/v1/data/l1_imbalance

Category

L1 (Top of Book)

Intervals
1m5m15m30m1h4h1d
Requires Prime
1s15s30s
Exchanges
binance-futuresokx-perps
Fields10
imbalanceImbalanceLast value of bid_amount − ask_amount
imbalance_ratioImbalance RatioLast value of (bid_amount − ask_amount) / (bid_amount + ask_amount)
bid_ask_ratioBid/Ask RatioLast value of bid_amount / ask_amount
bid_percentageBid %Last value of bid_amount / (bid_amount + ask_amount)
ask_percentageAsk %Last value of ask_amount / (bid_amount + ask_amount)
imbalance_avgAvg ImbalanceAverage of bid_amount − ask_amount over the interval
imbalance_ratio_avgAvg Imbalance RatioAverage of imbalance_ratio over the interval
bid_ask_ratio_avgAvg Bid/Ask RatioAverage of bid_ask_ratio over the interval
bid_percentage_avgAvg Bid %Average of bid_percentage over the interval
ask_percentage_avgAvg Ask %Average of ask_percentage over the interval
Example Request
from datetime import date
from aperiodic import get_metrics
df = get_metrics(
    api_key="YOUR_API_KEY",
    metric="l1_imbalance",
    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 exchange for the data.

binance-futuresokx-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
Suggestions shown — any valid value accepted
Suggestions shown — any valid value accepted
Suggestions shown — any valid value accepted
Authentication
An API key is required to send requests.Get an API Key
GET/api/v1/data/l1_imbalance?timestamp=exchange&interval=1m&exchange=binance-futures
Response will appear here
Aperiodic

Institutional-grade market microstructure , liquidity & order flow metrics with full exchange universe coverage.

© Copyright 2026 Aperiodic. All Rights Reserved.

Product
  • Data Catalog
  • Pricing
  • API Docs
  • Roadmap
Metrics
  • Order Flow
  • L1 Metrics
  • L2 Metrics
  • Market Data
  • Derivatives
Channels
  • Blog: Research Insights
  • Telegram: Announcements
  • Twitter/X
  • LinkedIn
Company
  • Contact
  • Book a call
Legal
  • Terms of Service
  • Privacy Policy
  • LLM? Read this.

NOT INVESTMENT ADVICE

The Content is for informational purposes only, you should not construe any such information or other material as legal tax, investment, financial, or other advice. Nothing contained on our presentation constitutes a solicitation, recommendation, endorsement, or offer by Aperiodic or any third party service provider to buy or sell any securities or other financial instruments in this or in in any other jurisdiction in which such solicitation or offer would be unlawful under the securities laws of such jurisdiction.

All Content on this presentation is information of a general nature and does not address the circumstances of any particular individual or entity. Nothing in the presentation constitutes professional and/or financial advice, nor does any information on the Presentation constitute a comprehensive or complete statement of the matters discussed or the law relating thereto.

Aperiodic is not a fiduciary by virtue of any person's use of or access to the Presentation or Content. You alone assume the sole responsibility of evaluating the merits and risks associated with the use of any information or other Content on the Presentation before making any decisions based on such information or other Content. In exchange for using the Presentation, you agree not to hold Aperiodic, its affiliates or any third party service provider liable for any possible claim for damages arising from any decision you make based on information or other Content made available to you through the Presentation.

INVESTMENT RISKS

There are risks associated with investing in securities. Investing in stocks, bonds, exchange traded funds, mutual funds, and money market funds involve risk of loss. Loss of principal is possible. Some high risk investments may use leverage, which will accentuate gains & losses. Foreign investing involves special risks, including a greater volatility and political, economic and currency risks and differences in accounting methods. A security's or a firm's past investment performance is not a guarantee or predictor of future investment performance.