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L1 Liquidity

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

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Endpoint

/api/v1/data/l1_liquidity

Category

L1 (Top of Book)

Intervals
1m5m15m30m1h4h1d
Requires Prime
1s15s30s
Exchanges
binance-futuresokx-perps
Fields14
spreadSpreadLast value of ask_price − bid_price
spread_bpsSpread (bps)Last value of spread as basis points of midprice
spread_depth_ratioSpread/Depth RatioLast value of spread / (bid_amount + ask_amount)
total_depthTotal DepthLast value of bid_amount + ask_amount
dollar_depth_bidBid Dollar DepthLast value of bid_price × bid_amount
dollar_depth_askAsk Dollar DepthLast value of ask_price × ask_amount
total_dollar_depthTotal Dollar DepthLast value of dollar_depth_bid + dollar_depth_ask
spread_avgAvg SpreadAverage of spread over the interval
spread_bps_avgAvg Spread (bps)Average of spread_bps over the interval
spread_depth_ratio_avgAvg Spread/Depth RatioAverage of spread_depth_ratio over the interval
total_depth_avgAvg Total DepthAverage of total_depth over the interval
dollar_depth_bid_avgAvg Bid Dollar DepthAverage of dollar_depth_bid over the interval
dollar_depth_ask_avgAvg Ask Dollar DepthAverage of dollar_depth_ask over the interval
total_dollar_depth_avgAvg Total Dollar DepthAverage of total_dollar_depth over the interval
Example Request
from datetime import date
from aperiodic import get_metrics
df = get_metrics(
    api_key="YOUR_API_KEY",
    metric="l1_liquidity",
    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_liquidity?timestamp=exchange&interval=1m&exchange=binance-futures
Response will appear here
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