Interactive Guide
Shown: an illustrative order book over time, bids below the mid and asks above it.
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.
Mid price
A market order hits
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.
The book above is simulated. Our measures the depth of real books, and there's a free sample to try.
L1 (Top of Book)
Best bid and ask prices with quantities, midprice, quantity-weighted midprice, time/volume-weighted averages, and quote update frequency.
Need the ticks behind this metric? Prime + Raw includes raw quotes.
Shown: quote_update_frequency, hourly, 1–31 January 2024, from this page's Sample CSV · extreme: 69355.000, 3 Jan, 12:00 UTC · built with l1_price
midpriceMid Price is the center of the best bid and best ask, making it the cleanest instantaneous fair-value proxy at the top of book.
Because it strips out half-spread noise, it is widely used for microstructure research, marking, and short-horizon return calculations.
weighted_midpriceWeighted Mid Price tilts the simple midpoint by the relative size resting at the best bid and ask.
That gives it a predictive flavor because it incorporates which side of the top of book is showing more immediate depth.
quote_update_frequencyQuote Update Frequency measures how actively the top of book was refreshing during the interval.
A high reading often means the market was competitive, reactive, or unstable enough to force frequent repricing.
avg_update_intervalAverage Update Interval is the time counterpart to quote frequency, showing how quickly the best quotes changed on average.
Shorter intervals imply a faster and more responsive book, while longer intervals suggest a calmer or less actively managed top of book.
bid_price_vwapBid Price VWAP summarizes where the best bid spent its time with volume-sensitive weighting.
It offers a richer picture than a single snapshot because it reflects how quoted buying interest evolved across the bar.
L1 data — the best bid and best ask at any moment — appears deceptively simple. Four numbers: two prices, two quantities. But the derived metrics reveal the real-time behavior of market makers and the microstructure of price formation in ways that trade data alone cannot capture.
/api/v1/data/l1_price| Field | Name | Description |
|---|---|---|
ask_price | Ask Price | Last best ask price in the interval |
bid_price | Bid Price | Last best bid price in the interval |
ask_amount | Ask Amount | Last best ask quantity in the interval |
bid_amount | Bid Amount | Last best bid quantity in the interval |
quote_update_frequency | Quote Update Frequency | Number of top-of-book quote updates in the interval |
avg_update_interval | Avg Update Interval | Average milliseconds between top-of-book quote updates |
midprice | Mid Price | Midpoint between the last best bid and ask prices |
weighted_midprice | Weighted Mid Price | Midprice weighted by the opposite-side top-of-book quantity |
bid_price_twap | Bid Price TWAP | Average best bid price in the interval |
ask_price_twap | Ask Price TWAP | Average best ask price in the interval |
bid_price_vwap | Bid Price VWAP | Bid-price average weighted by best bid quantity |
ask_price_vwap | Ask Price VWAP | Ask-price average weighted by best ask quantity |
# 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_price --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"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_price.<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]"import os
from aperiodic import stream
for message in stream(
api_key=os.environ["APERIODIC_API_KEY"],
dataset="l1_price",
exchange="binance-futures",
interval="1m",
symbols=["perpetual-BTC-USDT:USDT"], # omit for every symbol on your plan
):
print(message.channel, message.snapshot, message.data)timestampreqstringTimestamp source. 'exchange' uses the exchange-reported timestamp, 'true' uses actual arrival time at our servers.
exchangetrueintervalreqstringAggregation time interval for the data. Sub-minute intervals (15s, 30s) require an Institutional plan.
15s30s1m5m15m30m1h4h1dexchangereqstringSource exchange for the data.
binance-futuresokx-perpshyperliquid-perpssymbolreqstringTrading pair symbol in the format of Atlas' universal symbology: https://github.com/aperiodic-io/atlas
start_datereqstring<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: 5 years on Pro, full history on Prime, Prime + Raw and Institutional. An earlier start_date than the plan reaches returns 403.
end_datereqstring<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
filesobject[]requiredFiles 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.
yearintegerrequiredYear of the data file
monthintegerrequiredMonth of the data file (1-12)
dayintegerDay 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>requiredPresigned 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.
{
"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&..."
}
]
}
Prefilled with the shared DEMO-KEY and a free preview slice — send the request to see live data, no account required.
/api/v1/data/preview/l1_price?timestamp=exchange&interval=5m&exchange=binance-futures&symbol=perpetual-BTC-USDT%3AUSDT&start_date=2025-05-01&end_date=2025-05-31