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

L1 Price

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

Code API Docs Try It

midprice

Mid Price

Mid Price is the center of the best bid and best ask, making it the cleanest instantaneous fair-value proxy at the top of book.

Because it strips out half-spread noise, it is widely used for microstructure research, marking, and short-horizon return calculations.

weighted_midprice

Weighted Mid Price

Weighted Mid Price tilts the simple midpoint by the relative size resting at the best bid and ask.

That gives it a predictive flavor because it incorporates which side of the top of book is showing more immediate depth.

quote_update_frequency

Quote Update Frequency

Quote Update Frequency measures how actively the top of book was refreshing during the interval.

A high reading often means the market was competitive, reactive, or unstable enough to force frequent repricing.

avg_update_interval

Avg Update Interval

Average Update Interval is the time counterpart to quote frequency, showing how quickly the best quotes changed on average.

Shorter intervals imply a faster and more responsive book, while longer intervals suggest a calmer or less actively managed top of book.

bid_price_vwap

Bid Price VWAP

Bid Price VWAP summarizes where the best bid spent its time with volume-sensitive weighting.

It offers a richer picture than a single snapshot because it reflects how quoted buying interest evolved across the bar.

L1 data — the best bid and best ask at any moment — appears deceptively simple. Four numbers: two prices, two quantities. But the derived metrics reveal the real-time behavior of market makers and the microstructure of price formation in ways that trade data alone cannot capture.

Endpoint

/api/v1/data/l1_price

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_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

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 Price 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 Price

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

Code API Docs Try It

midprice

Mid Price

Mid Price is the center of the best bid and best ask, making it the cleanest instantaneous fair-value proxy at the top of book.

Because it strips out half-spread noise, it is widely used for microstructure research, marking, and short-horizon return calculations.

weighted_midprice

Weighted Mid Price

Weighted Mid Price tilts the simple midpoint by the relative size resting at the best bid and ask.

That gives it a predictive flavor because it incorporates which side of the top of book is showing more immediate depth.

quote_update_frequency

Quote Update Frequency

Quote Update Frequency measures how actively the top of book was refreshing during the interval.

A high reading often means the market was competitive, reactive, or unstable enough to force frequent repricing.

avg_update_interval

Avg Update Interval

Average Update Interval is the time counterpart to quote frequency, showing how quickly the best quotes changed on average.

Shorter intervals imply a faster and more responsive book, while longer intervals suggest a calmer or less actively managed top of book.

bid_price_vwap

Bid Price VWAP

Bid Price VWAP summarizes where the best bid spent its time with volume-sensitive weighting.

It offers a richer picture than a single snapshot because it reflects how quoted buying interest evolved across the bar.

Endpoint

/api/v1/data/l1_price

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_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

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 Price 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.