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Aperiodic Indices

Spread, depth and price impact for crypto and RWA perps

The Cost IndexBrowse the metrics

DELAYED 15 MINto 07:55 UTCUpdates by itself every 5 minutes

Aperiodic Cost Index

What does crossing the spread cost?

0.013bpsBTC perp · Binance · 24h
SanDisk · Binance
0.12 bps
Gold · Binance
0.025 bps
API access from Prime, $399/moAperiodic Cost Index →
Aperiodic Depth Index

How much is quoted at the best bid and ask?

$1.1MBTC perp · Binance · 24h
SanDisk · Binance
$16.8K
Gold · Binance
$646.6K
API access from Prime, $399/moAperiodic Depth Index →
Aperiodic Impact Index

How far does $1M of net taker flow move the price?

0.049bps per $1MBTC perp · Binance · 24h
SanDisk · Binance
4.1 bps per $1M
Gold · Binance
0.46 bps per $1M
API access from Pro, $199/moAperiodic Impact Index →
Latest valuesIndices and metricsMethod
The Cost, Depth and Impact indices. Each is one of the 220 metrics in our catalog, read per contract.

Every index on the busiest perps

The busiest perps in crypto, US stocks and commodities, over the last 24 hours.
ContractCost, 24hDepth, 24hImpact, 24h
Crypto
Bitcoin
USDT perp · Binance
0.013bps$1.1M0.049bps per $1M
Ether
USDT perp · Binance
0.045bps$539.0K0.15bps per $1M
Bitcoin
USDT perp · OKX
0.013bps$1.8M—
Zcash
USDT perp · Binance
0.079bps$25.5K2.1bps per $1M
Ether
USDT perp · OKX
0.045bps$699.5K—
Zcash
USDT perp · OKX
0.079bps$14.8K—
US stocks
SanDisk
USDT perp · Binance
0.12bps$16.8K4.1bps per $1M
SanDisk
USDT perp · OKX
1.2bps$168.2K—
Micron
USDT perp · Binance
0.14bps$4.2K14bps per $1M
Strategy
USDT perp · Binance
0.78bps$6.9K36bps per $1M
Nvidia
USDT perp · Binance
0.53bps$30.8K15bps per $1M
Nasdaq 100 ETF
USDT perp · Binance
0.15bps$34.9K3.9bps per $1M
Commodities
Gold
USDT perp · Binance
0.025bps$646.6K0.46bps per $1M
WTI crude oil
USDT perp · Binance
1.1bps$82.5K13bps per $1M
Brent crude oil
USDT perp · Binance
1.0bps$52.3K15bps per $1M
WTI crude oil
USDC perp · Hyperliquid
0.11bps$16.1K19bps per $1M
Gold
USDT perp · OKX
0.25bps$275.9K—
WTI crude oil
USDT perp · OKX
1.1bps$61.1K—

Indices and metrics

An index

A value we name and publish a method for. The method changes only in a new version, announced in advance.

A metric

A column we compute from raw exchange data for each contract and interval. The catalog has 220 in 19 datasets.

Point-in-time

Both use only data available at the time, with exchange and local timestamps. Published history is not rewritten.

Method

These rules apply to all three. Each index’s page has its own formula.

What goes in

Stablecoin-settled perpetuals. No coin-margined contracts or dated futures.

One column each

Cost is spread_bps, Depth is total_dollar_depth, Impact is kyle_like_lambda in bps per $1M. The API serves the same columns.

Per contract

Each value is one contract’s last 24 hours. Nothing is combined across contracts or venues.

Next version

Indices for the whole market and for US-stock and commodity baskets, combined across Binance, OKX and Hyperliquid, with a daily fixing and history back to 2020.

As of 07:50 UTC, 15 minutes behind. Each value is one contract’s last 24 hours of 5-minute rows. The charts plot those rows.

Aperiodic

Built from hundreds of terabytes of raw data and distilled into point-in-time metrics you can pull as parquet files. Plus the raw trades, quotes and derivatives data behind them.

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