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Data Catalog

Browse our curated market data catalog across exchanges and asset types.

19 datasets

Trades

Derivatives

Market Data

L1 (Top of Book)

L2 (Order Book)

Preview Data

No subscription required

The following datasets are available to any authenticated user — even without a paid plan. Pass preview=True in the Python client, or call /api/v1/data/preview/:metric_id directly.

DatasetExchangeSymbolIntervalTimestampDate range
Candlesticksbinance-futuresperpetual-BTC-USDT:USDT5mexchange2025-05-01 — 2025-05-31
L2 Order Book Imbalancebinance-futuresperpetual-BTC-USDT:USDT5mexchange2025-05-01 — 2025-05-31
L2 Order Book Imbalance

L2 Order Book Imbalance

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

CodeAPI DocsTry It

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.

Endpoint

/api/v1/data/l2_imbalance

Category

L2 (Order Book)

Intervals
1m5m15m30m1h4h1d
Requires Prime
1s

Requires timestamp=true

Exchanges
binance-futuresokx-perps
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
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 L2 order book 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
Sign up to query preview data — no subscription needed.Create account
GET/api/v1/data/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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