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L2 Order Book Imbalance

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

CodeAPI DocsTry It
Endpoint

/api/v1/data/l2_imbalance

Category

L2 (Order Book)

Intervals
1m5m15m30m1h4h1d
Requires Prime
1s15s30s
Exchanges
binance-futuresokx-perps
Fields24
imbalance_5Imbalance (5 levels)Last value of (top-5 bid qty − top-5 ask qty)
imbalance_10Imbalance (10 levels)Last value of (top-10 bid qty − top-10 ask qty)
imbalance_20Imbalance (20 levels)Last value of (top-20 bid qty − top-20 ask qty)
imbalance_25Imbalance (25 levels)Last value of (top-25 bid qty − top-25 ask qty)
imbalance_ratio_5Imbalance Ratio (5 levels)Last value of (top-5 bid qty − top-5 ask qty) / (top-5 bid qty + top-5 ask qty)
imbalance_ratio_10Imbalance Ratio (10 levels)Last value of (top-10 bid qty − top-10 ask qty) / (top-10 bid qty + top-10 ask qty)
imbalance_ratio_20Imbalance Ratio (20 levels)Last value of (top-20 bid qty − top-20 ask qty) / (top-20 bid qty + top-20 ask qty)
imbalance_ratio_25Imbalance Ratio (25 levels)Last value of (top-25 bid qty − top-25 ask qty) / (top-25 bid qty + top-25 ask qty)
bid_ask_ratio_5Bid/Ask Ratio (5 levels)Last value of top-5 bid qty / top-5 ask qty
bid_ask_ratio_10Bid/Ask Ratio (10 levels)Last value of top-10 bid qty / top-10 ask qty
bid_ask_ratio_20Bid/Ask Ratio (20 levels)Last value of top-20 bid qty / top-20 ask qty
bid_ask_ratio_25Bid/Ask Ratio (25 levels)Last value of top-25 bid qty / top-25 ask qty
imbalance_5_avgAvg Imbalance (5 levels)Average of imbalance_5 over the interval
imbalance_10_avgAvg Imbalance (10 levels)Average of imbalance_10 over the interval
imbalance_20_avgAvg Imbalance (20 levels)Average of imbalance_20 over the interval
imbalance_25_avgAvg Imbalance (25 levels)Average of imbalance_25 over the interval
imbalance_ratio_5_avgAvg Imbalance Ratio (5 levels)Average of imbalance_ratio_5 over the interval
imbalance_ratio_10_avgAvg Imbalance Ratio (10 levels)Average of imbalance_ratio_10 over the interval
imbalance_ratio_20_avgAvg Imbalance Ratio (20 levels)Average of imbalance_ratio_20 over the interval
imbalance_ratio_25_avgAvg Imbalance Ratio (25 levels)Average of imbalance_ratio_25 over the interval
bid_ask_ratio_5_avgAvg Bid/Ask Ratio (5 levels)Average of bid_ask_ratio_5 over the interval
bid_ask_ratio_10_avgAvg Bid/Ask Ratio (10 levels)Average of bid_ask_ratio_10 over the interval
bid_ask_ratio_20_avgAvg Bid/Ask Ratio (20 levels)Average of bid_ask_ratio_20 over the interval
bid_ask_ratio_25_avgAvg Bid/Ask Ratio (25 levels)Average of bid_ask_ratio_25 over the interval
Example Request
from datetime import date
from aperiodic import get_metrics
df = get_metrics(
    api_key="YOUR_API_KEY",
    metric="l2_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/l2_imbalance?timestamp=exchange&interval=1m&exchange=binance-futures
Response will appear here
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