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.
Trades
How much each trade pays above the best ask (buys) or receives below the best bid (sells) relative to the prevailing quote, aggregated per interval.
Need the ticks behind this metric? Prime + Raw includes raw trades, quotes.
Shown: slippage_bps_p95, hourly, 1–31 January 2024, from this page's Sample CSV · extreme: 18.8 bps, 5 Jan, 01:00 UTC · built with slippage
slippage_bps_meanMean Slippage in basis points captures the average execution shortfall relative to the chosen benchmark.
It offers a clean first-pass estimate of how expensive crossing the spread and consuming liquidity was in practice.
slippage_bps_p95The 95th percentile of slippage focuses on the bad tail rather than on the average experience.
It is especially useful for execution planning because desks often care more about occasional painful outcomes than about typical ones.
slippage_bps_vwapVWAP Slippage compares executions with the interval volume-weighted market price, anchoring cost to where activity actually traded.
This often provides a more realistic benchmark for larger or more patient trading styles than a single last price snapshot.
slippage_bps_buy_sell_ratioBuy/Sell Slippage Ratio asks whether lifting liquidity was more expensive than hitting it, or vice versa.
Asymmetry here can reveal directional stress, inventory pressure, or a book that is materially less resilient on one side.
slippage_bps_stdSlippage Std Dev measures how variable execution quality was from trade to trade.
Two markets can have the same mean cost but very different predictability, and this metric tells you which one is more stable.
When most traders say "slippage," they mean the gap between expected and realized price. But that colloquial definition conflates several distinct costs. Precise measurement requires decomposing execution quality against observable benchmarks — a framework that traces back to Perold's (1988) concept of implementation shortfall.
/api/v1/data/slippage| Field | Name | Description |
|---|---|---|
slippage_mean | Mean Slippage | Average slippage in price units versus the prevailing quote |
slippage_bps_mean | Mean Slippage (bps) | Average slippage in basis points versus the prevailing quote |
slippage_bps_std | Slippage Std Dev (bps) | Standard deviation of slippage in basis points |
slippage_bps_median | Median Slippage (bps) | Median slippage in basis points |
slippage_bps_p95 | Slippage P95 (bps) | 95th percentile slippage in basis points |
slippage_bps_vwap | VWAP Slippage (bps) | Trade-size-weighted average slippage in basis points |
slippage_bps_buy_mean | Buy Slippage Mean (bps) | Average slippage in basis points for buy-side trades |
slippage_bps_sell_mean | Sell Slippage Mean (bps) | Average slippage in basis points for sell-side trades |
slippage_bps_buy_sell_ratio | Buy/Sell Slippage Ratio | Buy-side average slippage divided by sell-side average slippage |
slippage_bps_sell_buy_ratio | Sell/Buy Slippage Ratio | Sell-side average slippage divided by buy-side average slippage |
# 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 slippage --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 slippage.<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="slippage",
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/slippage?timestamp=exchange&interval=5m&exchange=binance-futures&symbol=perpetual-BTC-USDT%3AUSDT&start_date=2025-05-01&end_date=2025-05-31