Interactive Guide

The Anatomy of a Trade

An interactive journey through market microstructure: watch orders become prices, feel the spread respond to stress, and discover why these mechanics shape every trade you will ever make.

Start reading

01The Order Book Comes AliveEvery market starts with two opposing lines: buyers and sellers, stacked by price and size. The order book is not just a record — it is the market's living, breathing state.
Imagine a room where buyers line up on the left and sellers on the right. The person at the front of each line sets the best bid and best ask. The gap between them is the spread. When a buyer gets impatient and crosses over to the seller's side at their price, a trade happens.
Live order bookSimulated
One tick every 500 ms
Mid price
A market order hits
103.07102.0599.00
100 s agonow
PriceSize
103.702.12
103.606.99
103.504.24
103.104.72
102.309.20
102.104.96
spread0.10
102.006.64
101.901.53
101.7014.32
101.3012.42
101.108.98
100.907.20
Price levels in the live order book
Total quantity available at this price
Mid
102.05
Spread
0.10
Last trade
—
Order size
10.0
Size10.0
Shown: an illustrative order book, simulated in your browser. Try a large size (10+) and watch the spread blow out.
Try placing a market buy with a large size. Watch how the order eats through the ask side, consuming liquidity level by level. The spread widens. The midprice shifts. This is in its most elemental form.
Biais, Hillion & Spatt (1995) showed that the shape of the order book — not just the best price — contains predictive information about future price dynamics. The distribution of depth across levels reveals strategic positioning before it shows up as obvious price moves.
The book above is simulated. Our measures the depth of real books, and there's a free sample to try.
02The Price of UncertaintyThe spread is not just a cost — it is a risk price. Market makers set it wide when they're nervous, like a store charging more for something they're not sure they can restock.Read
03Below the SurfaceComing soon
04Follow the FlowComing soon
05Every Trade Leaves a MarkComing soon
06The Signal ChainComing soon

L1 Liquidity

L1 (Top of Book)

L1 Liquidity

Spread (absolute and bps), depth, dollar depth — instantaneous and interval-averaged.

See it on real data

Need the ticks behind this metric? Prime + Raw includes raw quotes.

Sample CSV Start in Claude

Shown: total_dollar_depth_avg, hourly, 1–31 January 2024, from this page's Sample CSV · extreme: $892042, 29 Jan, 06:00 UTC · built with l1_liquidity

low

high

extreme

spread_bps

Spread (bps)

Spread in basis points measures the instantaneous cost of crossing from the best bid to the best ask on a normalized scale.

It is one of the most direct and actionable summaries of top-of-book trading conditions.

spread_depth_ratio

Spread/Depth Ratio

Spread/Depth Ratio combines price width and displayed size into a single liquidity efficiency measure.

A market with tight spreads but little size can still be fragile, and this ratio helps expose that weakness.

total_dollar_depth

Total Dollar Depth

Total Dollar Depth aggregates the top-level bid and ask liquidity in value terms.

This gives a more practical view of executable size than raw units, especially across instruments with different prices.

dollar_depth_bid_avg

Avg Bid Dollar Depth

Average Bid Dollar Depth tracks the mean value resting on the bid at the top of book throughout the interval.

It helps answer whether supportive displayed buying liquidity was consistently present or only flashed briefly.

dollar_depth_ask_avg

Avg Ask Dollar Depth

Average Ask Dollar Depth provides the matching view for displayed sell-side liquidity at the best offer.

Comparing it with the bid average helps reveal whether one side of the book was structurally thinner or thicker during the bar.

The bid-ask spread is universally understood as a transaction cost. Less appreciated: it's the market maker's real-time estimate of adverse selection risk, and its dynamics encode the informational state of the market.

Endpoint: /api/v1/data/l1_liquidity
Category: L1 (Top of Book)
Built from: Raw quotes →
Intervals: 1m5m15m30m1h4h1d
Requires Institutional: 15s30s
Exchanges: binance-futuresokx-perpshyperliquid-perps

Fields

Field	Name	Description
`spread`	Spread	Last best ask price minus best bid price in the interval
`spread_bps`	Spread (bps)	Last bid-ask spread in basis points of the midprice
`spread_depth_ratio`	Spread/Depth Ratio	Last bid-ask spread divided by total top-of-book quantity
`total_depth`	Total Depth	Last total top-of-book quantity across bid and ask
`dollar_depth_bid`	Bid Dollar Depth	Last bid-side top-of-book notional
`dollar_depth_ask`	Ask Dollar Depth	Last ask-side top-of-book notional
`total_dollar_depth`	Total Dollar Depth	Last total top-of-book notional across bid and ask
`spread_avg`	Avg Spread	Average bid-ask spread in the interval
`spread_bps_avg`	Avg Spread (bps)	Average bid-ask spread in basis points over the interval
`spread_depth_ratio_avg`	Avg Spread/Depth Ratio	Average spread-to-depth ratio over the interval
`total_depth_avg`	Avg Total Depth	Average total top-of-book quantity across bid and ask in the interval
`dollar_depth_bid_avg`	Avg Bid Dollar Depth	Average bid-side top-of-book notional in the interval
`dollar_depth_ask_avg`	Avg Ask Dollar Depth	Average ask-side top-of-book notional in the interval
`total_dollar_depth_avg`	Avg Total Dollar Depth	Average total top-of-book notional across bid and ask in the interval

Example Request

# Install the Aperiodic CLI into ~/.local/bin
mkdir -p "$HOME/.local/bin"
curl -fsSL https://raw.githubusercontent.com/aperiodic-io/cli/main/install.sh | INSTALL_DIR="$HOME/.local/bin" bash
export PATH="$HOME/.local/bin:$PATH"

# Free preview — no API key required
aperiodic l1_liquidity --preview \
  --exchange binance-futures \
  --symbol perpetual-BTC-USDT:USDT \
  --interval 5m \
  --timestamp exchange \
  --start-date 2025-05-01 \
  --end-date 2025-05-31 \
  --output-dir ./data && echo "Saved to $PWD/data"

Live Stream

Every new row as it is computed, over WebSocket at wss://stream.aperiodic.io/v1/stream. Authenticate with your API key in the X-API-KEY header and subscribe to channels named l1_liquidity.<exchange>.<interval>, on intervals 15s, 30s, 1m, 5m, 15m, 30m, 1h, 4h, 1d (15s and 30s on Institutional Live only). Streaming is included on Live plans.

pip install "aperiodic[stream]"

pypi ↗

import os

from aperiodic import stream

for message in stream(
    api_key=os.environ["APERIODIC_API_KEY"],
    dataset="l1_liquidity",
    exchange="binance-futures",
    interval="1m",
    symbols=["perpetual-BTC-USDT:USDT"],  # omit for every symbol on your plan
):
    print(message.channel, message.snapshot, message.data)

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 an Institutional plan.

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). A metric series starts on the first day of the raw series it is computed from (see /metadata/raw); raw trades and quotes start binance-futures from 2020-01-01, okx-perps from 2019-09-01, hyperliquid-perps from 2025-01-01. Earlier days return no files. How far back you can go depends on the plan: 4 years on Pro, 5 years on Prime and Prime + Raw, full history on Institutional. An earlier start_date returns 403.

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 every existing file covering the range from the series' published start — one per month before 2026-08-01, one per day from 2026-08-01 onwards

Schema

filesobject[]required

Files covering the requested date range, in chronological order. Data before 2026-08-01 is split by month (one file per calendar month, no `day`); data from 2026-08-01 onwards is split by day (one file per calendar day, with `day` set). The changeover falls on a month boundary, so a given month is served entirely one way or the other; a range spanning it returns the earlier months as monthly files followed by a daily file per day.

yearintegerrequired

Year of the data file

monthintegerrequired

Month of the data file (1-12)

dayinteger

Day of the data file (1-31). Present only on daily files, i.e. those covering 2026-08-01 onwards. Absent on monthly files, which cover an entire calendar month.

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": 2026,
      "month": 6,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-06.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 7,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-07.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 1,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-01.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 2,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-02.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/l1_liquidity?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

Interactive Guide

The Anatomy of a Trade

An interactive journey through market microstructure: watch orders become prices, feel the spread respond to stress, and discover why these mechanics shape every trade you will ever make.

Start reading

01The Order Book Comes AliveEvery market starts with two opposing lines: buyers and sellers, stacked by price and size. The order book is not just a record — it is the market's living, breathing state.
Imagine a room where buyers line up on the left and sellers on the right. The person at the front of each line sets the best bid and best ask. The gap between them is the spread. When a buyer gets impatient and crosses over to the seller's side at their price, a trade happens.
Live order bookSimulated
One tick every 500 ms
Mid price
A market order hits
103.07102.0599.00
100 s agonow
PriceSize
103.702.12
103.606.99
103.504.24
103.104.72
102.309.20
102.104.96
spread0.10
102.006.64
101.901.53
101.7014.32
101.3012.42
101.108.98
100.907.20
Price levels in the live order book
Total quantity available at this price
Mid
102.05
Spread
0.10
Last trade
—
Order size
10.0
Size10.0
Shown: an illustrative order book, simulated in your browser. Try a large size (10+) and watch the spread blow out.
Try placing a market buy with a large size. Watch how the order eats through the ask side, consuming liquidity level by level. The spread widens. The midprice shifts. This is in its most elemental form.
Biais, Hillion & Spatt (1995) showed that the shape of the order book — not just the best price — contains predictive information about future price dynamics. The distribution of depth across levels reveals strategic positioning before it shows up as obvious price moves.
The book above is simulated. Our measures the depth of real books, and there's a free sample to try.
02The Price of UncertaintyThe spread is not just a cost — it is a risk price. Market makers set it wide when they're nervous, like a store charging more for something they're not sure they can restock.Read
03Below the SurfaceComing soon
04Follow the FlowComing soon
05Every Trade Leaves a MarkComing soon
06The Signal ChainComing soon

L1 Liquidity

L1 (Top of Book)

L1 Liquidity

Spread (absolute and bps), depth, dollar depth — instantaneous and interval-averaged.

See it on real data

Need the ticks behind this metric? Prime + Raw includes raw quotes.

Sample CSV Start in Claude

Shown: total_dollar_depth_avg, hourly, 1–31 January 2024, from this page's Sample CSV · extreme: $892042, 29 Jan, 06:00 UTC · built with l1_liquidity

low

high

extreme

spread_bps

Spread (bps)

Spread in basis points measures the instantaneous cost of crossing from the best bid to the best ask on a normalized scale.

It is one of the most direct and actionable summaries of top-of-book trading conditions.

spread_depth_ratio

Spread/Depth Ratio

Spread/Depth Ratio combines price width and displayed size into a single liquidity efficiency measure.

A market with tight spreads but little size can still be fragile, and this ratio helps expose that weakness.

total_dollar_depth

Total Dollar Depth

Total Dollar Depth aggregates the top-level bid and ask liquidity in value terms.

This gives a more practical view of executable size than raw units, especially across instruments with different prices.

dollar_depth_bid_avg

Avg Bid Dollar Depth

Average Bid Dollar Depth tracks the mean value resting on the bid at the top of book throughout the interval.

It helps answer whether supportive displayed buying liquidity was consistently present or only flashed briefly.

dollar_depth_ask_avg

Avg Ask Dollar Depth

Average Ask Dollar Depth provides the matching view for displayed sell-side liquidity at the best offer.

Comparing it with the bid average helps reveal whether one side of the book was structurally thinner or thicker during the bar.

Endpoint: /api/v1/data/l1_liquidity
Category: L1 (Top of Book)
Built from: Raw quotes →
Intervals: 1m5m15m30m1h4h1d
Requires Institutional: 15s30s
Exchanges: binance-futuresokx-perpshyperliquid-perps

Fields

Field	Name	Description
`spread`	Spread	Last best ask price minus best bid price in the interval
`spread_bps`	Spread (bps)	Last bid-ask spread in basis points of the midprice
`spread_depth_ratio`	Spread/Depth Ratio	Last bid-ask spread divided by total top-of-book quantity
`total_depth`	Total Depth	Last total top-of-book quantity across bid and ask
`dollar_depth_bid`	Bid Dollar Depth	Last bid-side top-of-book notional
`dollar_depth_ask`	Ask Dollar Depth	Last ask-side top-of-book notional
`total_dollar_depth`	Total Dollar Depth	Last total top-of-book notional across bid and ask
`spread_avg`	Avg Spread	Average bid-ask spread in the interval
`spread_bps_avg`	Avg Spread (bps)	Average bid-ask spread in basis points over the interval
`spread_depth_ratio_avg`	Avg Spread/Depth Ratio	Average spread-to-depth ratio over the interval
`total_depth_avg`	Avg Total Depth	Average total top-of-book quantity across bid and ask in the interval
`dollar_depth_bid_avg`	Avg Bid Dollar Depth	Average bid-side top-of-book notional in the interval
`dollar_depth_ask_avg`	Avg Ask Dollar Depth	Average ask-side top-of-book notional in the interval
`total_dollar_depth_avg`	Avg Total Dollar Depth	Average total top-of-book notional across bid and ask in the interval

Example Request

# Install the Aperiodic CLI into ~/.local/bin
mkdir -p "$HOME/.local/bin"
curl -fsSL https://raw.githubusercontent.com/aperiodic-io/cli/main/install.sh | INSTALL_DIR="$HOME/.local/bin" bash
export PATH="$HOME/.local/bin:$PATH"

# Free preview — no API key required
aperiodic l1_liquidity --preview \
  --exchange binance-futures \
  --symbol perpetual-BTC-USDT:USDT \
  --interval 5m \
  --timestamp exchange \
  --start-date 2025-05-01 \
  --end-date 2025-05-31 \
  --output-dir ./data && echo "Saved to $PWD/data"

Live Stream

pip install "aperiodic[stream]"

pypi ↗

import os

from aperiodic import stream

for message in stream(
    api_key=os.environ["APERIODIC_API_KEY"],
    dataset="l1_liquidity",
    exchange="binance-futures",
    interval="1m",
    symbols=["perpetual-BTC-USDT:USDT"],  # omit for every symbol on your plan
):
    print(message.channel, message.snapshot, message.data)

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 an Institutional plan.

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>

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 every existing file covering the range from the series' published start — one per month before 2026-08-01, one per day from 2026-08-01 onwards

Schema

filesobject[]required

yearintegerrequired

Year of the data file

monthintegerrequired

Month of the data file (1-12)

dayinteger

Day of the data file (1-31). Present only on daily files, i.e. those covering 2026-08-01 onwards. Absent on monthly files, which cover an entire calendar month.

urlstring<uri>required

Example

{
  "files": [
    {
      "year": 2026,
      "month": 6,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-06.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 7,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-07.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 1,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-01.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 2,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-02.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/l1_liquidity?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

Spread (bps)

Spread/Depth Ratio

Total Dollar Depth

Avg Bid Dollar Depth

Avg Ask Dollar Depth

Fields

Example Request

Live Stream

API Reference

Query Parameters

Schema

Example

Try It

Spread (bps)

Spread/Depth Ratio

Total Dollar Depth

Avg Bid Dollar Depth

Avg Ask Dollar Depth

Fields

Example Request

Live Stream

API Reference

Query Parameters

Schema

Example

Try It