Name: L2 Order Book Imbalance
Creator: Aperiodic
License: https://aperiodic.io/terms-of-service

L2 Order Book Imbalance

Multi-depth (5, 10, 20, 25 levels) order book imbalance, ratio, and averages.

Code API Docs Try It

Raw L2 isn't offered yet. Ask us.

imbalance_5

Imbalance (5 levels)

Imbalance across five levels extends top-of-book pressure into the near-touch order book.

It reveals whether directional support is just a quote-level artifact or is backed by additional nearby depth.

imbalance_ratio_25

Imbalance Ratio (25 levels)

The twenty-five-level imbalance ratio normalizes deep-book pressure over a broader slice of resting liquidity.

It is useful for understanding the full displayed environment that larger orders would have to push through.

bid_ask_ratio_25

Bid/Ask Ratio (25 levels)

The twenty-five-level ratio extends that comparison deep enough to capture broader displayed inventory.

It is especially relevant for larger execution and for understanding whether apparent pressure near the touch is reinforced deeper in the ladder.

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/l2_imbalance

Category

L2 (Order Book)

Intervals

1m5m15m30m1h4h1d

Requires Institutional

15s30s

Exchanges

binance-futuresokx-perpshyperliquid-perps

Built from

L2 order book (raw not offered yet)

Fields24

imbalance_5Imbalance (5 levels)Last top-5 bid quantity minus top-5 ask quantity

imbalance_10Imbalance (10 levels)Last top-10 bid quantity minus top-10 ask quantity

imbalance_20Imbalance (20 levels)Last top-20 bid quantity minus top-20 ask quantity

imbalance_25Imbalance (25 levels)Last top-25 bid quantity minus top-25 ask quantity

imbalance_ratio_5Imbalance Ratio (5 levels)Last normalized difference between top-5 bid and ask quantity

imbalance_ratio_10Imbalance Ratio (10 levels)Last normalized difference between top-10 bid and ask quantity

imbalance_ratio_20Imbalance Ratio (20 levels)Last normalized difference between top-20 bid and ask quantity

imbalance_ratio_25Imbalance Ratio (25 levels)Last normalized difference between top-25 bid and ask quantity

bid_ask_ratio_5Bid/Ask Ratio (5 levels)Last top-5 bid quantity divided by top-5 ask quantity

bid_ask_ratio_10Bid/Ask Ratio (10 levels)Last top-10 bid quantity divided by top-10 ask quantity

bid_ask_ratio_20Bid/Ask Ratio (20 levels)Last top-20 bid quantity divided by top-20 ask quantity

bid_ask_ratio_25Bid/Ask Ratio (25 levels)Last top-25 bid quantity divided by top-25 ask quantity

imbalance_5_avgAvg Imbalance (5 levels)Average top-5 bid quantity minus top-5 ask quantity in the interval

imbalance_10_avgAvg Imbalance (10 levels)Average top-10 bid quantity minus top-10 ask quantity in the interval

imbalance_20_avgAvg Imbalance (20 levels)Average top-20 bid quantity minus top-20 ask quantity in the interval

imbalance_25_avgAvg Imbalance (25 levels)Average top-25 bid quantity minus top-25 ask quantity in the interval

imbalance_ratio_5_avgAvg Imbalance Ratio (5 levels)Average normalized difference between top-5 bid and ask quantity in the interval

imbalance_ratio_10_avgAvg Imbalance Ratio (10 levels)Average normalized difference between top-10 bid and ask quantity in the interval

imbalance_ratio_20_avgAvg Imbalance Ratio (20 levels)Average normalized difference between top-20 bid and ask quantity in the interval

imbalance_ratio_25_avgAvg Imbalance Ratio (25 levels)Average normalized difference between top-25 bid and ask quantity in the interval

bid_ask_ratio_5_avgAvg Bid/Ask Ratio (5 levels)Average top-5 bid quantity divided by top-5 ask quantity in the interval

bid_ask_ratio_10_avgAvg Bid/Ask Ratio (10 levels)Average top-10 bid quantity divided by top-10 ask quantity in the interval

bid_ask_ratio_20_avgAvg Bid/Ask Ratio (20 levels)Average top-20 bid quantity divided by top-20 ask quantity in the interval

bid_ask_ratio_25_avgAvg Bid/Ask Ratio (25 levels)Average top-25 bid quantity divided by top-25 ask quantity in the interval

Example Request

# Install the Aperiodic CLI into ~/.local/bin
mkdir -p "$HOME/.local/bin"
curl -fsSL https://raw.githubusercontent.com/aperiodic-io/cli/main/install.sh | INSTALL_DIR="$HOME/.local/bin" bash
export PATH="$HOME/.local/bin:$PATH"

# Free preview — no API key required
aperiodic l2_imbalance --preview \
  --exchange binance-futures \
  --symbol perpetual-BTC-USDT:USDT \
  --interval 5m \
  --timestamp exchange \
  --start-date 2025-05-01 \
  --end-date 2025-05-31 \
  --output-dir ./data && echo "Saved to $PWD/data"

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 an Institutional plan.

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). A metric series starts on the first day of the raw series it is computed from (see /metadata/raw); raw trades and quotes start binance-futures from 2020-01-01, okx-perps from 2019-09-01, hyperliquid-perps from 2025-01-01. Earlier days return no files. How far back you can go depends on the plan: 4 years on Pro, 5 years on Prime and Prime + Raw, full history on Institutional. An earlier start_date returns 403.

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 existing file covering the range from the series' published start — 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/l2_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

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