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.
L2 (Order Book)
Total bid/ask depth aggregated over 5, 10, 20, 25 order book levels — instantaneous and interval-averaged.
Raw L2 isn't offered yet. Ask us.
Shown: ask_agg_25, ask_agg_20, ask_agg_10, ask_agg_5, bid_agg_5, bid_agg_10, bid_agg_20, bid_agg_25, daily, 1–31 January 2024, from this page's Sample CSV · extreme: 59.815, 14 Jan, ask_agg_25 · built with l2_liquidity
ask_agg_25_avgAverage Ask Aggregate across twenty-five levels smooths the deeper sell-side book over the interval.
That makes it a regime measure for how much overhead liquidity the market was consistently showing, not just flashing moment to moment.
bid_agg_25_avgAverage Bid Aggregate across twenty-five levels provides the broad matching view of displayed support.
Stronger readings indicate a deeper cushion of resting liquidity that can absorb pressure before the book thins out materially.
Top-of-book metrics capture only the frontier of the limit order book. The deeper levels — where the bulk of resting liquidity sits — tell you about market resilience: the ability to absorb large orders without significant price displacement.
/api/v1/data/l2_liquidity| Field | Name | Description |
|---|---|---|
ask_agg_5 | Ask Aggregate (5 levels) | Last total ask quantity across the top 5 levels |
ask_agg_10 | Ask Aggregate (10 levels) | Last total ask quantity across the top 10 levels |
ask_agg_20 | Ask Aggregate (20 levels) | Last total ask quantity across the top 20 levels |
ask_agg_25 | Ask Aggregate (25 levels) | Last total ask quantity across the top 25 levels |
bid_agg_5 | Bid Aggregate (5 levels) | Last total bid quantity across the top 5 levels |
bid_agg_10 | Bid Aggregate (10 levels) | Last total bid quantity across the top 10 levels |
bid_agg_20 | Bid Aggregate (20 levels) | Last total bid quantity across the top 20 levels |
bid_agg_25 | Bid Aggregate (25 levels) | Last total bid quantity across the top 25 levels |
ask_agg_5_avg | Avg Ask Aggregate (5 levels) | Average total ask quantity across the top 5 levels in the interval |
ask_agg_10_avg | Avg Ask Aggregate (10 levels) | Average total ask quantity across the top 10 levels in the interval |
ask_agg_20_avg | Avg Ask Aggregate (20 levels) | Average total ask quantity across the top 20 levels in the interval |
ask_agg_25_avg | Avg Ask Aggregate (25 levels) | Average total ask quantity across the top 25 levels in the interval |
bid_agg_5_avg | Avg Bid Aggregate (5 levels) | Average total bid quantity across the top 5 levels in the interval |
bid_agg_10_avg | Avg Bid Aggregate (10 levels) | Average total bid quantity across the top 10 levels in the interval |
bid_agg_20_avg | Avg Bid Aggregate (20 levels) | Average total bid quantity across the top 20 levels in the interval |
bid_agg_25_avg | Avg Bid Aggregate (25 levels) | Average total bid quantity across the top 25 levels in the interval |
# 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 l2_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"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 l2_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]"import os
from aperiodic import stream
for message in stream(
api_key=os.environ["APERIODIC_API_KEY"],
dataset="l2_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)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/l2_liquidity?timestamp=exchange&interval=5m&exchange=binance-futures&symbol=perpetual-BTC-USDT%3AUSDT&start_date=2025-05-01&end_date=2025-05-31