Aperiodic is live. We built it to close a gap that's existed in crypto data for years: institutional-grade market microstructure metrics, accessible without the infrastructure burden.
Most data providers stop at OHLCV. Serious research requires more — order book dynamics, execution quality, flow structure, and derivatives positioning. Until now, getting that meant buying expensive raw tick data, managing terabytes of storage, and spending months building query pipelines. Aperiodic provides the pre-computed metrics directly, via parquet files through a Python API, with hundreds of terabytes of history already processed.
Metrics
OHLCV — Candlestick data with VWAP and TWAP across multiple intervals and exchanges.
Order Flow & Trades — Trade aggregation, market impact, slippage against live order books, and volume-weighted metrics. Includes Kyle Lambda (price impact per unit of signed order flow) and large trade reversals to distinguish informed from uninformed activity.
Flow Entropy — Shannon entropy of order flow, measuring predictability. Separates structured, directional markets from choppy mean-reverting conditions — a signal type not available anywhere else.
L1 Order Book — Bid-ask spreads, top-of-book depth, L1 imbalance, and mid-price metrics. Up to 1000x more storage-efficient than raw L2 snapshots.
L2 Order Book — Multi-level depth profiles, cumulative liquidity, and deep L2 imbalances — bid/ask imbalance measured across 5–25 depth levels for full order book shape analysis.
Derivatives — Funding rates, open interest, basis spreads, and perpetual contract pricing for cross-market microstructure analysis.
Access
REST API v1 — Parquet file access with API key authentication.
Python SDK — Polars-native client with lazy loading and full type hints. See the Python SDK changelog entry for details.
Direct object store access — Available to annual subscribers for maximum throughput.
Launch offer
40% off annual subscriptions for early access. All historical data remains accessible under subscription pricing — no per-query costs.