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.

Scroll to begin▼

Chapter 01

The Order Book Comes Alive

Every 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 Book

MID 100.05SPR 0.10

101.801.17

101.707.05

101.603.98

101.105.90

100.308.67

100.102.54

spread 0.10

100.0019.72

99.908.58

99.602.94

99.202.04

99.001.50

98.902.06

Price levels in the live order book

Total quantity available at this price

Size:10.0

Try a large size (10+) and watch the spread blow out

Mid Price

BuySell

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.

Chapter 02

The Price of Uncertainty

The 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.

Huang & Stoll (1997) decomposed the spread into three components: adverse selection (the risk of trading against someone who knows more), inventory holding (the risk of being stuck with a position), and order processing (the cost of doing business). Drag the slider below and watch all three shift in real time.

Spread Stress TestNormal

BID

11.0 bps

ASK

Market Uncertainty25%

Spread Decomposition (Huang & Stoll)

Adverse selection 38%Inventory 24%Processing 39%

Active Market Makers

7 of 8 still quoting

Notice how market makers withdraw as uncertainty rises. In crisis conditions, only one or two remain — and they demand a massive spread to compensate. A 2 bps average spread that was actually 0.5 bps for 55 seconds and 8 bps for 5 seconds tells a fundamentally different story than a steady 2 bps. The itself predicts future return volatility.

A widening spread is a leading indicator — it signals increased uncertainty about fair value before the price itself visibly reacts. Spread compression signals confident competition among liquidity providers and a regime where execution is cheaper and mean reversion is more reliable.

Next Chapter Soon

Register to be notified when the next chapter is available

L1 Imbalance

Bid/ask imbalance, ratio, percentages — both instantaneous (last) and averaged over the interval.

Code API Docs Try It

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

imbalance

Imbalance

Imbalance measures the raw difference between bid-side and ask-side top-of-book size.

It is one of the fastest ways to see which side is presenting more immediate resting interest at the best quotes.

imbalance_ratio

Imbalance Ratio

Imbalance Ratio scales the raw difference into a relative measure that is easier to compare across symbols and market states.

Because it normalizes for total top-of-book size, it often gives a cleaner signal than the raw imbalance alone.

bid_ask_ratio

Bid/Ask Ratio

Bid/Ask Ratio directly compares the best-bid size with the best-ask size.

It is intuitive, portable, and useful when you want to know whether displayed buying depth materially outweighed displayed selling depth.

bid_percentage_avg

Avg Bid %

Average Bid % shows the mean share of top-level liquidity that sat on the bid across the interval.

This smooths through flicker and highlights the prevailing balance of displayed interest instead of a single instant.

ask_percentage_avg

Avg Ask %

Average Ask % is the complementary view, capturing how much of top-level liquidity tended to sit on the ask side.

Monitoring the bid and ask averages together helps reveal whether one side dominated persistently or whether the book spent the interval near equilibrium.

Order book imbalance is arguably the single most validated short-term predictive signal in the market microstructure literature. The intuition is immediate: if there's substantially more resting size on the bid than the ask, the next price move is more likely upward.

Endpoint

/api/v1/data/l1_imbalance

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 a Tier 3 subscription.

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). Data is partitioned by year and month.

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 file covering the range — 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_imbalance?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.

Scroll to begin▼

Chapter 01

The Order Book Comes Alive

Every 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.

Live Order Book

MID 100.05SPR 0.10

101.801.17

101.707.05

101.603.98

101.105.90

100.308.67

100.102.54

spread 0.10

100.0019.72

99.908.58

99.602.94

99.202.04

99.001.50

98.902.06

Price levels in the live order book

Total quantity available at this price

Size:10.0

Try a large size (10+) and watch the spread blow out

Mid Price

BuySell

Chapter 02

The Price of Uncertainty

The 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.

Spread Stress TestNormal

BID

11.0 bps

ASK

Market Uncertainty25%

Spread Decomposition (Huang & Stoll)

Adverse selection 38%Inventory 24%Processing 39%

Active Market Makers

7 of 8 still quoting

Next Chapter Soon

Register to be notified when the next chapter is available

L1 Imbalance

Bid/ask imbalance, ratio, percentages — both instantaneous (last) and averaged over the interval.

Code API Docs Try It

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

imbalance

Imbalance

Imbalance measures the raw difference between bid-side and ask-side top-of-book size.

It is one of the fastest ways to see which side is presenting more immediate resting interest at the best quotes.

imbalance_ratio

Imbalance Ratio

Imbalance Ratio scales the raw difference into a relative measure that is easier to compare across symbols and market states.

Because it normalizes for total top-of-book size, it often gives a cleaner signal than the raw imbalance alone.

bid_ask_ratio

Bid/Ask Ratio

Bid/Ask Ratio directly compares the best-bid size with the best-ask size.

It is intuitive, portable, and useful when you want to know whether displayed buying depth materially outweighed displayed selling depth.

bid_percentage_avg

Avg Bid %

Average Bid % shows the mean share of top-level liquidity that sat on the bid across the interval.

This smooths through flicker and highlights the prevailing balance of displayed interest instead of a single instant.

ask_percentage_avg

Avg Ask %

Average Ask % is the complementary view, capturing how much of top-level liquidity tended to sit on the ask side.

Monitoring the bid and ask averages together helps reveal whether one side dominated persistently or whether the book spent the interval near equilibrium.

Endpoint

/api/v1/data/l1_imbalance

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 a Tier 3 subscription.

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). Data is partitioned by year and month.

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 file covering the range — 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_imbalance?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