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

Slippage

How much each trade pays above the best ask (buys) or receives below the best bid (sells) relative to the prevailing quote, aggregated per interval.

Code API Docs Try It

slippage_bps_mean

Mean Slippage (bps)

Mean Slippage in basis points captures the average execution shortfall relative to the chosen benchmark.

It offers a clean first-pass estimate of how expensive crossing the spread and consuming liquidity was in practice.

slippage_bps_p95

Slippage P95 (bps)

The 95th percentile of slippage focuses on the bad tail rather than on the average experience.

It is especially useful for execution planning because desks often care more about occasional painful outcomes than about typical ones.

slippage_bps_vwap

VWAP Slippage (bps)

VWAP Slippage compares executions with the interval volume-weighted market price, anchoring cost to where activity actually traded.

This often provides a more realistic benchmark for larger or more patient trading styles than a single last price snapshot.

slippage_bps_buy_sell_ratio

Buy/Sell Slippage Ratio

Buy/Sell Slippage Ratio asks whether lifting liquidity was more expensive than hitting it, or vice versa.

Asymmetry here can reveal directional stress, inventory pressure, or a book that is materially less resilient on one side.

slippage_bps_std

Slippage Std Dev (bps)

Slippage Std Dev measures how variable execution quality was from trade to trade.

Two markets can have the same mean cost but very different predictability, and this metric tells you which one is more stable.

When most traders say "slippage," they mean the gap between expected and realized price. But that colloquial definition conflates several distinct costs. Precise measurement requires decomposing execution quality against observable benchmarks — a framework that traces back to Perold's (1988) concept of implementation shortfall.

Endpoint

/api/v1/data/slippage

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 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

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/slippage?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 Slippage 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.

Slippage

How much each trade pays above the best ask (buys) or receives below the best bid (sells) relative to the prevailing quote, aggregated per interval.

Code API Docs Try It

slippage_bps_mean

Mean Slippage (bps)

Mean Slippage in basis points captures the average execution shortfall relative to the chosen benchmark.

It offers a clean first-pass estimate of how expensive crossing the spread and consuming liquidity was in practice.

slippage_bps_p95

Slippage P95 (bps)

The 95th percentile of slippage focuses on the bad tail rather than on the average experience.

It is especially useful for execution planning because desks often care more about occasional painful outcomes than about typical ones.

slippage_bps_vwap

VWAP Slippage (bps)

VWAP Slippage compares executions with the interval volume-weighted market price, anchoring cost to where activity actually traded.

This often provides a more realistic benchmark for larger or more patient trading styles than a single last price snapshot.

slippage_bps_buy_sell_ratio

Buy/Sell Slippage Ratio

Buy/Sell Slippage Ratio asks whether lifting liquidity was more expensive than hitting it, or vice versa.

Asymmetry here can reveal directional stress, inventory pressure, or a book that is materially less resilient on one side.

slippage_bps_std

Slippage Std Dev (bps)

Slippage Std Dev measures how variable execution quality was from trade to trade.

Two markets can have the same mean cost but very different predictability, and this metric tells you which one is more stable.

Endpoint

/api/v1/data/slippage

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 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

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

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/slippage?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 Slippage 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.