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Aperiodic Indices

Spread, depth and price impact for crypto and RWA perps

The Cost IndexBrowse the metrics

DELAYED 15 MINto 23:50 UTCUpdates by itself every 5 minutes

Aperiodic Cost Index

What does crossing the spread cost?

0.015bpsBTC perp · Binance · 24h
Nvidia · Binance
0.61 bps
Gold · Binance
0.026 bps
API access from Prime, $399/moAperiodic Cost Index →
Aperiodic Depth Index

How much is quoted at the best bid and ask?

$650.1KBTC perp · Binance · 24h
Nvidia · Binance
$33.6K
Gold · Binance
$389.2K
API access from Prime, $399/moAperiodic Depth Index →
Aperiodic Impact Index

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

0.044bps per $1MBTC perp · Binance · 24h
Nvidia · Binance
4.4 bps per $1M
Gold · Binance
0.13 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
0.015bps$650.1K0.044bps per $1M
Ether
USDT perp · Binance
0.052bps$268.4K0.14bps per $1M
Bitcoin
USDT perp · OKX
0.015bps$806.1K—
Ether
USDT perp · OKX
0.052bps$427.6K—
Bitcoin
USDC perp · Hyperliquid
0.15bps$1.1M0.36bps per $1M
Bitcoin
USDC perp · Binance
0.015bps$64.5K0.52bps per $1M
US stocks
Nvidia
USDT perp · Binance
0.61bps$33.6K4.4bps per $1M
SanDisk
USDT perp · Binance
0.11bps$9.2K5.3bps per $1M
SanDisk
USDT perp · OKX
1.1bps$88.7K—
Micron
USDT perp · Binance
0.13bps$5.8K12bps per $1M
Nvidia
USDC perp · Hyperliquid
0.61bps$86.3K12bps per $1M
S&P 500
USDC perp · Hyperliquid
0.13bps$107.5K2.0bps per $1M
Commodities
Gold
USDT perp · Binance
0.026bps$389.2K0.13bps per $1M
Silver
USDT perp · Binance
2.0bps$308.7K9.4bps per $1M
WTI crude oil
USDT perp · Binance
1.1bps$119.2K7.3bps per $1M
Brent crude oil
USDT perp · Binance
1.1bps$132.3K4.2bps per $1M
Gold
USDT perp · OKX
0.26bps$343.1K—
Silver
USDC perp · Hyperliquid
0.2bps$28.4K14bps per $1M

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 23:45 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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