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L2 Order Book Liquidity

Total bid/ask depth aggregated over 5, 10, 20, 25 order book levels — instantaneous and interval-averaged.

CodeAPI DocsTry It
Endpoint

/api/v1/data/l2_liquidity

Category

L2 (Order Book)

Intervals
1m5m15m30m1h4h1d
Requires Prime
1s15s30s
Exchanges
binance-futuresokx-perps
Fields16
ask_agg_5Ask Aggregate (5 levels)Last value of total ask quantity summed over levels 0..4
ask_agg_10Ask Aggregate (10 levels)Last value of total ask quantity summed over levels 0..9
ask_agg_20Ask Aggregate (20 levels)Last value of total ask quantity summed over levels 0..19
ask_agg_25Ask Aggregate (25 levels)Last value of total ask quantity summed over levels 0..24
bid_agg_5Bid Aggregate (5 levels)Last value of total bid quantity summed over levels 0..4
bid_agg_10Bid Aggregate (10 levels)Last value of total bid quantity summed over levels 0..9
bid_agg_20Bid Aggregate (20 levels)Last value of total bid quantity summed over levels 0..19
bid_agg_25Bid Aggregate (25 levels)Last value of total bid quantity summed over levels 0..24
ask_agg_5_avgAvg Ask Aggregate (5 levels)Average of ask_agg_5 over the interval
ask_agg_10_avgAvg Ask Aggregate (10 levels)Average of ask_agg_10 over the interval
ask_agg_20_avgAvg Ask Aggregate (20 levels)Average of ask_agg_20 over the interval
ask_agg_25_avgAvg Ask Aggregate (25 levels)Average of ask_agg_25 over the interval
bid_agg_5_avgAvg Bid Aggregate (5 levels)Average of bid_agg_5 over the interval
bid_agg_10_avgAvg Bid Aggregate (10 levels)Average of bid_agg_10 over the interval
bid_agg_20_avgAvg Bid Aggregate (20 levels)Average of bid_agg_20 over the interval
bid_agg_25_avgAvg Bid Aggregate (25 levels)Average of bid_agg_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_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/l2_liquidity?timestamp=exchange&interval=1m&exchange=binance-futures
Response will appear here
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