L2 (Order Book)
Total bid/ask depth aggregated over 5, 10, 20, 25 order book levels — instantaneous and interval-averaged.
Raw L2 isn't offered yet. Ask us.
Shown: ask_agg_25, ask_agg_20, ask_agg_10, ask_agg_5, bid_agg_5, bid_agg_10, bid_agg_20, bid_agg_25, daily, 1–31 January 2024, from this page's Sample CSV · extreme: 59.815, 14 Jan, ask_agg_25 · built with l2_liquidity
ask_agg_25_avgAverage Ask Aggregate across twenty-five levels smooths the deeper sell-side book over the interval.
That makes it a regime measure for how much overhead liquidity the market was consistently showing, not just flashing moment to moment.
bid_agg_25_avgAverage Bid Aggregate across twenty-five levels provides the broad matching view of displayed support.
Stronger readings indicate a deeper cushion of resting liquidity that can absorb pressure before the book thins out materially.
Top-of-book metrics capture only the frontier of the limit order book. The deeper levels — where the bulk of resting liquidity sits — tell you about market resilience: the ability to absorb large orders without significant price displacement.
/api/v1/data/l2_liquidity| Field | Name | Description |
|---|---|---|
ask_agg_5 | Ask Aggregate (5 levels) | Last total ask quantity across the top 5 levels |
ask_agg_10 | Ask Aggregate (10 levels) | Last total ask quantity across the top 10 levels |
ask_agg_20 | Ask Aggregate (20 levels) | Last total ask quantity across the top 20 levels |
ask_agg_25 | Ask Aggregate (25 levels) | Last total ask quantity across the top 25 levels |
bid_agg_5 | Bid Aggregate (5 levels) | Last total bid quantity across the top 5 levels |
bid_agg_10 | Bid Aggregate (10 levels) | Last total bid quantity across the top 10 levels |
bid_agg_20 | Bid Aggregate (20 levels) | Last total bid quantity across the top 20 levels |
bid_agg_25 | Bid Aggregate (25 levels) | Last total bid quantity across the top 25 levels |
ask_agg_5_avg | Avg Ask Aggregate (5 levels) | Average total ask quantity across the top 5 levels in the interval |
ask_agg_10_avg | Avg Ask Aggregate (10 levels) | Average total ask quantity across the top 10 levels in the interval |
ask_agg_20_avg | Avg Ask Aggregate (20 levels) | Average total ask quantity across the top 20 levels in the interval |
ask_agg_25_avg | Avg Ask Aggregate (25 levels) | Average total ask quantity across the top 25 levels in the interval |
bid_agg_5_avg | Avg Bid Aggregate (5 levels) | Average total bid quantity across the top 5 levels in the interval |
bid_agg_10_avg | Avg Bid Aggregate (10 levels) | Average total bid quantity across the top 10 levels in the interval |
bid_agg_20_avg | Avg Bid Aggregate (20 levels) | Average total bid quantity across the top 20 levels in the interval |
bid_agg_25_avg | Avg Bid Aggregate (25 levels) | Average total bid quantity across the top 25 levels in the interval |
# 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_liquidity --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"Every new row as it is computed, over WebSocket at wss://stream.aperiodic.io/v1/stream. Authenticate with your API key in the X-API-KEY header and subscribe to channels named l2_liquidity.<exchange>.<interval>, on intervals 15s, 30s, 1m, 5m, 15m, 30m, 1h, 4h, 1d (15s and 30s on Institutional Live only). Streaming is included on Live plans.
pip install "aperiodic[stream]"import os
from aperiodic import stream
for message in stream(
api_key=os.environ["APERIODIC_API_KEY"],
dataset="l2_liquidity",
exchange="binance-futures",
interval="1m",
symbols=["perpetual-BTC-USDT:USDT"], # omit for every symbol on your plan
):
print(message.channel, message.snapshot, message.data)timestampreqstringTimestamp source. 'exchange' uses the exchange-reported timestamp, 'true' uses actual arrival time at our servers.
exchangetrueintervalreqstringAggregation time interval for the data. Sub-minute intervals (15s, 30s) require an Institutional plan.
15s30s1m5m15m30m1h4h1dexchangereqstringSource exchange for the data.
binance-futuresokx-perpshyperliquid-perpssymbolreqstringTrading pair symbol in the format of Atlas' universal symbology: https://github.com/aperiodic-io/atlas
start_datereqstring<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: 5 years on Pro, full history on Prime, Prime + Raw and Institutional. An earlier start_date than the plan reaches returns 403.
end_datereqstring<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
filesobject[]requiredFiles 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.
yearintegerrequiredYear of the data file
monthintegerrequiredMonth of the data file (1-12)
dayintegerDay 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>requiredPresigned 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.
{
"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&..."
}
]
}
Prefilled with the shared DEMO-KEY and a free preview slice — send the request to see live data, no account required.
/api/v1/data/preview/l2_liquidity?timestamp=exchange&interval=5m&exchange=binance-futures&symbol=perpetual-BTC-USDT%3AUSDT&start_date=2025-05-01&end_date=2025-05-31Access 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.