L1 & L2 order book

From the best bid and ask down to 25 levels: spread, depth, imbalance and the mid.

5 datasets

L1 liquidity

Spread and dollars at the touch

BTC's spread on Binance was one tick in 99.5% of May's bars. Depth at the touch was 1.5× as large at 10:00 UTC as at 21:00.

14 fields · PrimeBTC now $1.1M

L1 imbalance

Bid against ask size at the touch

BTC's top-of-book imbalance correlated 0.38 with the move in its own bar and 0.002 with the next.

10 fields · Prime

L1 price

Best bid and ask, mid and microprice

The microprice got the direction of BTC's next 5-minute move right 52.3% of the time.

12 fields · Pro

L2 order book liquidity

Size resting 5 to 25 levels deep

74% of the BTC within 25 levels of Binance's book sat at the best bid and ask.

16 fields · PrimeBTC now $1.1M

L2 order book imbalance

Bid against ask size, 5 to 25 levels deep

On BTC, deeper imbalance tracked the bar less, not more: 0.37 at 5 levels, 0.33 at 25.

24 fields · PrimeBTC now -0.088

Fields to start with

spread_bps: Last bid-ask spread in basis points of the midprice; L1 liquidity
total_dollar_depth: Last total top-of-book notional across bid and ask; L1 liquidity
imbalance_ratio: Last normalized difference between best-bid and best-ask quantity; L1 imbalance
weighted_midprice: Midprice weighted by the opposite-side top-of-book quantity; L1 price
imbalance_ratio_10: Last normalized difference between top-10 bid and ask quantity; L2 order book imbalance
bid_agg_10: Last total bid quantity across the top 10 levels; L2 order book liquidity

What it's used for

Costs in backtests

What crossing the spread cost, and how much size rested at the touch, bar by bar.

Book pressure

Bid against ask size at the touch and 5 to 25 levels deep, as a feature or a filter.

A better mid

The weighted mid leans toward the thinner side of the book: a fairer price than the plain mid when one side is much deeper.

Liquidity across venues

See where and when depth thins, perp by perp, without storing book snapshots.

Every field, with its endpoint and code, is in the Data Catalog.

For the background, the microstructure guide has a chapter on the order book and the spread.