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L2 — Order Book

Multi-level order book depth, liquidity, and imbalance.

Order book analytics aggregated across 5, 10, 20, and 25 levels — capturing depth, imbalance, and liquidity dynamics at each granularity without storing terabytes of raw snapshots.

L2 — Order Book Datasets

111111111111 _111000_ 100_ _0011_ 11 _0011_ 0 011 _011 _0 0011_ _00 _ _000011 00000111111 ____0000000 ..+ .+cb+. .+ac+ c. .ac. .ac. +b +abc+. bcc++. +aabbbcccc+ ...........111111111110 __111000_ 00_ _0011_ 1 0011_ _0 11_ 001_ 00 _0011 000 _ __000011 0000111111_ 00000000000 ..+ccb +ca+. .+ +ac+ . . .+b+ +b+ +b .+abc+. bc++. aabbccc++++ 000000000000 111000_ _1 0_ _0011_ _ _ _011_ _00 1_ _011 _01 _0011 000 _ _0000111 001111111__ 00000000000 ...++ccbaa+ ba+ .+c +ab+. + +bc. .ac+ .ab .+abc+. c++.. bbccc+++... 000000000___ 0000_ _111 _ _0011_ _0 _0011 _001 1 001_ 001 _0011 000 _ _0000111 0111111___ 00000001111 cccbbaa+.. +. .+ba +ab+. +a .ac. . .ac. .ac .+abc+. c+.. bcc+++... 0_____ 00_ _11100 _0011_ _00 _0011 0011 _ _011 _001 _0011 000 _ _0000111 011111__ 00011111111 baa++.. .+cba. ab+. +ac .ab+ + +b+. .ac .+abc+. c+. cc++... ___11 _111000_ 00011_ _001 0011 0011_ _001_ 0011 _0011 000 _ _0001111 11111__ 11111111111 +.. .+ba+.. c+. +ac+ .+b+. .a .+b+ +ac .+abc+. ++. c++.. ..____11111111 _1111000_ 0111 _0011 011 0011_ 0011 _001_ _0011 000 _ _0001111 11111_ _ 11111111___ . .+cba..+a +. +ac+ +bc. .+b .ac. +bc .+abc+. +.. ++.. .....++++111111110000 110000_ _1 11_ 00011_ 11 0011_ _ _011_ _011_ 0011_ 000 _ _0001111 1111__ __ 11111____ ..+cc .+cba+.+abc +ac+ +ac. +bc +bc. .+bc +abc+. +.. ... .++++aaaabb11100000000_ 000__ _111 1 _00111 1 0011_ _0 0011 _0011 0011_ 000 _ _0001111 111__ __ 111__ ..+ccbaa cba+..+bc+. .+ac+ ac+ .ac+ .+b+. .ab+ .abc+. +. .. +aaabbbbccc0000000__ 0_ __11100 00011_ _0 0011_ _00 011_ _011_ 0011_ 000 _ _0001111 111__ __0 1__ __ .++cbba++. a+..+ab+. .+bc. b+ .ab+ .ac+ .ab+ .abc+. +. . abbbccc+++.00___ __1 _1110000_ _00111 _00 0011_ _001 011 _0011 0011_ 000 _ _0001111 111_ __00 _ ___00 cbba++. ..+ab+. .ab+. . +. .+bc. +bc. .ab+ .+bc+. +. ccc+++.. _ __11111 1111000_ _ 0111_ _0001 0011_ _0011 11_ 0011_ _ _00111 _00 _ _0000111 11__ __00 __00000 a+.. abc+. +ac+. .a . +ac. ab+. +ac+ .+ab+. +. . +++.. 00__ _111 0111_ _000 00011_ _0 _0011 001 011_ _0011_ 11_ _00011 _ _000011 00111111__ 111111___ ..++ccbaa++. +cbaa+..+ab bc+. .a +. .ab+. .+bc. + .abc. .+abc .+aabcc+.. ++aaabbcc++ _ _111100 11_ _00011 _0011_ 000 _0011_ _001 011_ _0011_ 111_ _00011 _ _000011 0011111_ 1111__ _+cbbaa++. ba+..+aabc+ +. .+bc +ab+. +ac+ .+ .abc+ .+abc .+abbc++. +aabbcc++.. __11110000_ _000111_ 0011_ _0011 0011_ _0011 011 _0011_ 111_ _00011 1_ _000011 011111_ 1__ __00baa++. ...+abc+. .+ab+. +ac+. .ab+. .a .abc+ .+abc .+abbc++. aabcc++.. 1110000_ _000111_ _ 11_ _0011_ 011_ _0011_ 11_ 00011_ 111_ _0011 1_ _000011 01111__ _ _ __00000++. +abcc+. .+abc. .+bc+ +bc. .+a .abc+. .+aab .+abbc+.. bbcc+.. 0000__ _00 00111_ 000 1 _00111 11_ _0011_ 11_ _00111_ 011_ _0001 1_ __00011 1111__ _0 __0000011. .+ bc+. .+abc. .abc. ac+ .ab .+bc+. . .+ab .+abcc+. bc++.. 0__ _00001 11_ _00011 _00011_ 0 1_ _00111 11_ _00111 011_ _0001 1_ _00011 1111_ __0 _000011111 .++cb . .+a +abc. +ab+. + b+. .+ac .+bc+. . .+ab .+abcc+. c++. _0001111 _ _000111 00011_ _00 _ _00111 _ 1_ _0011_ 0111_ 0001 11_ _00011 111__ __00 000001111_ ..+cbba+ .++abc c+. +a bc+ .+a c. .abc .+ac+. . .+ab .+abcc+. ++. _0000111_ _000111_ _ 0111 _0001 _00111 _0 1_ _00011_ 0111_ _000 11_ _00001 111_ _000 0001111_ .++cba++.. .+abc+. . +abc +. .+bc + .+ab+ .+abc. +. .+a .+abcc+. +. . 001111_ _0 00111_ _00 11 _00011_ _00111 _00 1 _00011_ 0111_ _000 11_ _00001 111_ _0000 01111_ _0.+ccba+...+a .+abc++. .+abc+. +abc+ . +abc+ .+abc+ +. .+a .+abcc+. . .+ 111_ _0000 11_ _00011 _000111_ 0011_ _000 _ _00111_ 00111_ _000 111_ _0001 11_ _0001 111__ _000ccba+..+aabc abc+. .+abc+. .+ab+. .+ac+. .+abc+ +. .+a .+abcc+. ..+a 1_ _000111 _ _000111_ _000111_ 0 011_ _0001 _ _000111_ 00111_ _00 111_ _0001 11_ _00001 11_ _00001ba+..+abcc+. +. .+ .+bc+. .+abc+. .+abc+. .+abc+ c+. .+ .+abc++. .++ab _ _0001111_ _000111_ 000111_ _0 111_ _0001 1 _000111_ _00111_ _0 0111_ _000 11_ __0001 1_ _000011 .+abc+. +. .+a +abc+. .+abc+. .+abc+. . .+ab abc+. .+abc+. +. .+a _000111_ _ 00111_ _00 111_ _0001 1_ _000111 _000111_ 000111_ _0 0111_ _000 11_ _00011 _ _000111_ .+abc+. .+abc+ c+. .+ .+abc+. .+abc+. . .+ab abc+. .+abc+. .+abc_000111_ _00 111_ _0001 1_ _000111 _ _000111_ _000111_ 0000111_ _ 00111_ _00 111_ 00011 _ _00011_ +abc+. .+abc+. . .+aa +abc+. .+abc+. +. .+a +abc+. .+abc+. .+abc+00111_ _001 1_ _00111_ __000111_ _000111_ __000111_ 0000111_ _ 00111_ _00 111_ 00011 _00011_ bc+. . .+abc+. .+abcc bbc+. .+abc+. +. .+a +abc+. .+abc+ .+ab+. 011_ _00111 _000111_ 000111_ __ 000111_ _ 0000111__ 0000111_ _ 000111_ _0 111_ _00011 _000111 _ +. +ab abc+. .+abc+.. c+. . .++abc+. +. .+ .+bc+. .+bc+. .abc+. 11_ _00011_ 000111 _00 1111_ _000 0111_ _00 0001111_ _ 0000111_ _ 000111_ _0 111_ _00011 _00111_ _0 .+abc+ +. .+a .++abc+. .. .+ .+abbc+. ++. .+ .+abc+. +abc+. .abc+. _ _00111 _ 111_ _0001 1_ _000011 11_ _0000 001111_ __ 0000111_ 000111_ _0 111_ _00011 _00011_ _00 .+abc+. .+abc abc++. .+a ..+abcc+. c+. .+ .+abc+. .+ab+. +abc+ _00011_ _00 1_ _00111_ _0001111_ _ _000011 11111_ _0 0000111__ _000111_ _ 111_ _00011 _0011_ 000 +abc+. .+abc+.. c+. .++ab .+aabc++. c+. . .+abc+. .+ac+. .abc. ._00111 _001 000111_ 0001111_ _ _000001111 111__ _00 00001111_ _000111_ _ 111_ _00011 00111 _001 .+bc+. .+abc+. . .++ ..+abbc .++abbc+.. c+.. . .+bc+. .abc+ abc. .a0011_ _00111 000111_ 00 0111_ _00 000011111_ 11__ _000 00001111_ _000111_ _ 111_ _00011 0011_ _0011 ac+. .+ abc+. ..+aab ..+aabcc+ ..+aabcc+. cc+. . .+ab+. +abc. bc+ +ab011_ _0011_ 0111 _0001 11_ _00001 001111__ __ __0000 00001111_ _000111_ _ 111_ _00111 011_ 00111 c. .+bc c+. .+ .+aabcc+ .++aabcc++. .++abbc++. bc+. .+abc. .+ac+. . c+ +ac+ 0011_ _001 _ _000111_ _ _000001 000011111__ 11111__ __ _0000111_ 000111_ _00 00011_ _0 _0011 000bc. .+ac+ .+abc+ c+.. ..+ .. .+aa .+abc+. .+ac+. ac+. +ac 111 _00111 _000111_ __00001111 0011111__ 11111_ _0 _0000111_ _00111_ _00 _0011_ 00 _0011 0011+. .abc. .+ab+. . ..+ .++aa ..+ .+aa .+abc+. .+ac+. bc. .ab+ 1_ _00111_ 00111_ _00 000011111_ 11111__ 1111__ __0 __000111_ _00111_ _00 _0011_ _00 0011_ _011_. +ab+. .+ac+. .+abb .++aabbc ..++ .++a .+abc+. .+bc+ b+. .+bc. _0011_ _0 111_ _0001 011111_ 11__ __ 111__ __0 __0001111_ _00111_ _00 _0011 001 011_ _001_ +ac+ +ac+. .+aabc++ ..+aabbcc++ ..++aa .++a .+abc+ .+bc+ c. .ac+ _0011_ 000 _ _0000111 111__ __0 _ __000 11__ __00 _0000111_ _00111_ _00 0011_ _001 01_ _0011 _ +bc. . b+. .+a ..+abcc+.. aabbcc++.. ...+++aab ..+a .+abc+. .abc. . +. .+b+. 0011_ _0011 _0001111_ __ __0000 __000000 ___ __00 _0000111_ _00111_ _00 _0011_ _001 11 _0011 _0 +bc. +a . .+abc abbc+.. bcc++.. ..+++aaabbb ..+a .+abc+. .ab+. . . +ac. 11_ _00111 000111__ _ __0000011 __000000001 _ ___00 _0000111_ _00111 _00 _0011 0011 1_ 0011 00 +bc. +bc .+abc+. cc+. ++.. +++aaabbbcc ..+a .+abc+. +ab+. + . .+b+ 1_ _0011_ _ 0111_ _00 _0000011111 00000001111 ___000 _0000111_ _00111 _00 _011_ _0011 _ _011_ 001+bc. .+b+. +abc+. .. . . aaabbbcccc+ ..+a .+abc+. +ac+ + +ac. 00111 00 11_ _00001 000111111__ 00011111111 ___0000 __000111_ _0011_ 000 0011_ _011_ _001_ _011ac. .ab+. .abc+. .++ bbbcccc++++ ..+a .+abc+. .+bc. .+ .+b+ _0011_ _001 _ _0000111 011111__ 111111111__ _____00000 __000111_ _0011_ _001 0011 0011 0011 _011_c. .ab+ +ac+. ..+aab ...+ ccc+++++... ..+a .+abc+. .abc. .a +ac. . 0011 00011 _0000111__ 111__ __ 1111____ _____0000000 __000111_ 00011_ _001 011_ _001_ _011_ 001_ . .ab+ b+. .+ .++abbcc ..+++aa ++....... ..+a .+abc+ +ab+. +a .+b+ + 011 001_ _0 000111_ _ __000011111 00011111111 _________ 000111111_ _00011_ _ 1_ _0011 _0 0011 _001_ ac. .+bc c+. . ccc++++.... abcc+. .+bc. . +. .+b+. c. +ac. 01_ 001_ _01 00111_ _00 000011111__ 1111111___ __000000000 001111111_ _00111_ _ _ 0011_ _0 001_ 0011 _ c. +ab+. . .+ .. ++.... abcc+. .ab+. . + .ac+ + .ac. 1_ 001_ _011 011_ _0001 0011111__ 1111__ 00000000000 001111111_ _00111 _ _ _0011 00 011 _001_ 0 . .+bc+ .++a ..++ . abcc+. .+ac+. + . +bc. . +b+ .

L2 Order Book Imbalance

Tier 3

Multi-depth (5, 10, 20, 25 levels) order book imbalance, ratio, and averages.

Key fields

Imbalance (5 levels)Imbalance (20 levels)Imbalance (25 levels)Imbalance Ratio (5 levels)
111111111111 _111000_ 100_ _0011_ 11 _0011_ 0 011 _011 _0 0011_ _00 _ _000011 00000111111 ____0000000 ..+ .+cb+. .+ac+ c. .ac. .ac. +b +abc+. bcc++. +aabbbcccc+ ...........111111111110 __111000_ 00_ _0011_ 1 0011_ _0 11_ 001_ 00 _0011 000 _ __000011 0000111111_ 00000000000 ..+ccb +ca+. .+ +ac+ . . .+b+ +b+ +b .+abc+. bc++. aabbccc++++ 000000000000 111000_ _1 0_ _0011_ _ _ _011_ _00 1_ _011 _01 _0011 000 _ _0000111 001111111__ 00000000000 ...++ccbaa+ ba+ .+c +ab+. + +bc. .ac+ .ab .+abc+. c++.. bbccc+++... 000000000___ 0000_ _111 _ _0011_ _0 _0011 _001 1 001_ 001 _0011 000 _ _0000111 0111111___ 00000001111 cccbbaa+.. +. .+ba +ab+. +a .ac. . .ac. .ac .+abc+. c+.. bcc+++... 0_____ 00_ _11100 _0011_ _00 _0011 0011 _ _011 _001 _0011 000 _ _0000111 011111__ 00011111111 baa++.. .+cba. ab+. +ac .ab+ + +b+. .ac .+abc+. c+. cc++... ___11 _111000_ 00011_ _001 0011 0011_ _001_ 0011 _0011 000 _ _0001111 11111__ 11111111111 +.. .+ba+.. c+. +ac+ .+b+. .a .+b+ +ac .+abc+. ++. c++.. ..____11111111 _1111000_ 0111 _0011 011 0011_ 0011 _001_ _0011 000 _ _0001111 11111_ _ 11111111___ . .+cba..+a +. +ac+ +bc. .+b .ac. +bc .+abc+. +.. ++.. .....++++111111110000 110000_ _1 11_ 00011_ 11 0011_ _ _011_ _011_ 0011_ 000 _ _0001111 1111__ __ 11111____ ..+cc .+cba+.+abc +ac+ +ac. +bc +bc. .+bc +abc+. +.. ... .++++aaaabb11100000000_ 000__ _111 1 _00111 1 0011_ _0 0011 _0011 0011_ 000 _ _0001111 111__ __ 111__ ..+ccbaa cba+..+bc+. .+ac+ ac+ .ac+ .+b+. .ab+ .abc+. +. .. +aaabbbbccc0000000__ 0_ __11100 00011_ _0 0011_ _00 011_ _011_ 0011_ 000 _ _0001111 111__ __0 1__ __ .++cbba++. a+..+ab+. .+bc. b+ .ab+ .ac+ .ab+ .abc+. +. . abbbccc+++.00___ __1 _1110000_ _00111 _00 0011_ _001 011 _0011 0011_ 000 _ _0001111 111_ __00 _ ___00 cbba++. ..+ab+. .ab+. . +. .+bc. +bc. .ab+ .+bc+. +. ccc+++.. _ __11111 1111000_ _ 0111_ _0001 0011_ _0011 11_ 0011_ _ _00111 _00 _ _0000111 11__ __00 __00000 a+.. abc+. +ac+. .a . +ac. ab+. +ac+ .+ab+. +. . +++.. 00__ _111 0111_ _000 00011_ _0 _0011 001 011_ _0011_ 11_ _00011 _ _000011 00111111__ 111111___ ..++ccbaa++. +cbaa+..+ab bc+. .a +. .ab+. .+bc. + .abc. .+abc .+aabcc+.. ++aaabbcc++ _ _111100 11_ _00011 _0011_ 000 _0011_ _001 011_ _0011_ 111_ _00011 _ _000011 0011111_ 1111__ _+cbbaa++. ba+..+aabc+ +. .+bc +ab+. +ac+ .+ .abc+ .+abc .+abbc++. +aabbcc++.. __11110000_ _000111_ 0011_ _0011 0011_ _0011 011 _0011_ 111_ _00011 1_ _000011 011111_ 1__ __00baa++. ...+abc+. .+ab+. +ac+. .ab+. .a .abc+ .+abc .+abbc++. aabcc++.. 1110000_ _000111_ _ 11_ _0011_ 011_ _0011_ 11_ 00011_ 111_ _0011 1_ _000011 01111__ _ _ __00000++. +abcc+. .+abc. .+bc+ +bc. .+a .abc+. .+aab .+abbc+.. bbcc+.. 0000__ _00 00111_ 000 1 _00111 11_ _0011_ 11_ _00111_ 011_ _0001 1_ __00011 1111__ _0 __0000011. .+ bc+. .+abc. .abc. ac+ .ab .+bc+. . .+ab .+abcc+. bc++.. 0__ _00001 11_ _00011 _00011_ 0 1_ _00111 11_ _00111 011_ _0001 1_ _00011 1111_ __0 _000011111 .++cb . .+a +abc. +ab+. + b+. .+ac .+bc+. . .+ab .+abcc+. c++. _0001111 _ _000111 00011_ _00 _ _00111 _ 1_ _0011_ 0111_ 0001 11_ _00011 111__ __00 000001111_ ..+cbba+ .++abc c+. +a bc+ .+a c. .abc .+ac+. . .+ab .+abcc+. ++. _0000111_ _000111_ _ 0111 _0001 _00111 _0 1_ _00011_ 0111_ _000 11_ _00001 111_ _000 0001111_ .++cba++.. .+abc+. . +abc +. .+bc + .+ab+ .+abc. +. .+a .+abcc+. +. . 001111_ _0 00111_ _00 11 _00011_ _00111 _00 1 _00011_ 0111_ _000 11_ _00001 111_ _0000 01111_ _0.+ccba+...+a .+abc++. .+abc+. +abc+ . +abc+ .+abc+ +. .+a .+abcc+. . .+ 111_ _0000 11_ _00011 _000111_ 0011_ _000 _ _00111_ 00111_ _000 111_ _0001 11_ _0001 111__ _000ccba+..+aabc abc+. .+abc+. .+ab+. .+ac+. .+abc+ +. .+a .+abcc+. ..+a 1_ _000111 _ _000111_ _000111_ 0 011_ _0001 _ _000111_ 00111_ _00 111_ _0001 11_ _00001 11_ _00001ba+..+abcc+. +. .+ .+bc+. .+abc+. .+abc+. .+abc+ c+. .+ .+abc++. .++ab _ _0001111_ _000111_ 000111_ _0 111_ _0001 1 _000111_ _00111_ _0 0111_ _000 11_ __0001 1_ _000011 .+abc+. +. .+a +abc+. .+abc+. .+abc+. . .+ab abc+. .+abc+. +. .+a _000111_ _ 00111_ _00 111_ _0001 1_ _000111 _000111_ 000111_ _0 0111_ _000 11_ _00011 _ _000111_ .+abc+. .+abc+ c+. .+ .+abc+. .+abc+. . .+ab abc+. .+abc+. .+abc_000111_ _00 111_ _0001 1_ _000111 _ _000111_ _000111_ 0000111_ _ 00111_ _00 111_ 00011 _ _00011_ +abc+. .+abc+. . .+aa +abc+. .+abc+. +. .+a +abc+. .+abc+. .+abc+00111_ _001 1_ _00111_ __000111_ _000111_ __000111_ 0000111_ _ 00111_ _00 111_ 00011 _00011_ bc+. . .+abc+. .+abcc bbc+. .+abc+. +. .+a +abc+. .+abc+ .+ab+. 011_ _00111 _000111_ 000111_ __ 000111_ _ 0000111__ 0000111_ _ 000111_ _0 111_ _00011 _000111 _ +. +ab abc+. .+abc+.. c+. . .++abc+. +. .+ .+bc+. .+bc+. .abc+. 11_ _00011_ 000111 _00 1111_ _000 0111_ _00 0001111_ _ 0000111_ _ 000111_ _0 111_ _00011 _00111_ _0 .+abc+ +. .+a .++abc+. .. .+ .+abbc+. ++. .+ .+abc+. +abc+. .abc+. _ _00111 _ 111_ _0001 1_ _000011 11_ _0000 001111_ __ 0000111_ 000111_ _0 111_ _00011 _00011_ _00 .+abc+. .+abc abc++. .+a ..+abcc+. c+. .+ .+abc+. .+ab+. +abc+ _00011_ _00 1_ _00111_ _0001111_ _ _000011 11111_ _0 0000111__ _000111_ _ 111_ _00011 _0011_ 000 +abc+. .+abc+.. c+. .++ab .+aabc++. c+. . .+abc+. .+ac+. .abc. ._00111 _001 000111_ 0001111_ _ _000001111 111__ _00 00001111_ _000111_ _ 111_ _00011 00111 _001 .+bc+. .+abc+. . .++ ..+abbc .++abbc+.. c+.. . .+bc+. .abc+ abc. .a0011_ _00111 000111_ 00 0111_ _00 000011111_ 11__ _000 00001111_ _000111_ _ 111_ _00011 0011_ _0011 ac+. .+ abc+. ..+aab ..+aabcc+ ..+aabcc+. cc+. . .+ab+. +abc. bc+ +ab011_ _0011_ 0111 _0001 11_ _00001 001111__ __ __0000 00001111_ _000111_ _ 111_ _00111 011_ 00111 c. .+bc c+. .+ .+aabcc+ .++aabcc++. .++abbc++. bc+. .+abc. .+ac+. . c+ +ac+ 0011_ _001 _ _000111_ _ _000001 000011111__ 11111__ __ _0000111_ 000111_ _00 00011_ _0 _0011 000bc. .+ac+ .+abc+ c+.. ..+ .. .+aa .+abc+. .+ac+. ac+. +ac 111 _00111 _000111_ __00001111 0011111__ 11111_ _0 _0000111_ _00111_ _00 _0011_ 00 _0011 0011+. .abc. .+ab+. . ..+ .++aa ..+ .+aa .+abc+. .+ac+. bc. .ab+ 1_ _00111_ 00111_ _00 000011111_ 11111__ 1111__ __0 __000111_ _00111_ _00 _0011_ _00 0011_ _011_. +ab+. .+ac+. .+abb .++aabbc ..++ .++a .+abc+. .+bc+ b+. .+bc. _0011_ _0 111_ _0001 011111_ 11__ __ 111__ __0 __0001111_ _00111_ _00 _0011 001 011_ _001_ +ac+ +ac+. .+aabc++ ..+aabbcc++ ..++aa .++a .+abc+ .+bc+ c. .ac+ _0011_ 000 _ _0000111 111__ __0 _ __000 11__ __00 _0000111_ _00111_ _00 0011_ _001 01_ _0011 _ +bc. . b+. .+a ..+abcc+.. aabbcc++.. ...+++aab ..+a .+abc+. .abc. . +. .+b+. 0011_ _0011 _0001111_ __ __0000 __000000 ___ __00 _0000111_ _00111_ _00 _0011_ _001 11 _0011 _0 +bc. +a . .+abc abbc+.. bcc++.. ..+++aaabbb ..+a .+abc+. .ab+. . . +ac. 11_ _00111 000111__ _ __0000011 __000000001 _ ___00 _0000111_ _00111 _00 _0011 0011 1_ 0011 00 +bc. +bc .+abc+. cc+. ++.. +++aaabbbcc ..+a .+abc+. +ab+. + . .+b+ 1_ _0011_ _ 0111_ _00 _0000011111 00000001111 ___000 _0000111_ _00111 _00 _011_ _0011 _ _011_ 001+bc. .+b+. +abc+. .. . . aaabbbcccc+ ..+a .+abc+. +ac+ + +ac. 00111 00 11_ _00001 000111111__ 00011111111 ___0000 __000111_ _0011_ 000 0011_ _011_ _001_ _011ac. .ab+. .abc+. .++ bbbcccc++++ ..+a .+abc+. .+bc. .+ .+b+ _0011_ _001 _ _0000111 011111__ 111111111__ _____00000 __000111_ _0011_ _001 0011 0011 0011 _011_c. .ab+ +ac+. ..+aab ...+ ccc+++++... ..+a .+abc+. .abc. .a +ac. . 0011 00011 _0000111__ 111__ __ 1111____ _____0000000 __000111_ 00011_ _001 011_ _001_ _011_ 001_ . .ab+ b+. .+ .++abbcc ..+++aa ++....... ..+a .+abc+ +ab+. +a .+b+ + 011 001_ _0 000111_ _ __000011111 00011111111 _________ 000111111_ _00011_ _ 1_ _0011 _0 0011 _001_ ac. .+bc c+. . ccc++++.... abcc+. .+bc. . +. .+b+. c. +ac. 01_ 001_ _01 00111_ _00 000011111__ 1111111___ __000000000 001111111_ _00111_ _ _ 0011_ _0 001_ 0011 _ c. +ab+. . .+ .. ++.... abcc+. .ab+. . + .ac+ + .ac. 1_ 001_ _011 011_ _0001 0011111__ 1111__ 00000000000 001111111_ _00111 _ _ _0011 00 011 _001_ 0 . .+bc+ .++a ..++ . abcc+. .+ac+. + . +bc. . +b+ .

L2 Order Book Liquidity

Tier 3

Total bid/ask depth aggregated over 5, 10, 20, 25 order book levels — instantaneous and interval-averaged.

Key fields

Ask Aggregate (10 levels)Ask Aggregate (20 levels)Ask Aggregate (25 levels)Bid Aggregate (10 levels)

Highlighted Metrics

imbalance_5

Imbalance (5 levels)

Imbalance across five levels extends top-of-book pressure into the near-touch order book.

It reveals whether directional support is just a quote-level artifact or is backed by additional nearby depth.

imbalance_ratio_25

Imbalance Ratio (25 levels)

The twenty-five-level imbalance ratio normalizes deep-book pressure over a broader slice of resting liquidity.

It is useful for understanding the full displayed environment that larger orders would have to push through.

bid_ask_ratio_25

Bid/Ask Ratio (25 levels)

The twenty-five-level ratio extends that comparison deep enough to capture broader displayed inventory.

It is especially relevant for larger execution and for understanding whether apparent pressure near the touch is reinforced deeper in the ladder.

ask_agg_25_avg

Avg Ask Aggregate (25 levels)

Average 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_avg

Avg Bid Aggregate (25 levels)

Average 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.

Market Microstructure Context

Order book imbalance

BID (heavy)ASK (thin)

Cont, Kukanov & Stoikov (2014) showed it clearly: order book imbalance predicts the direction of the next mid-price change, and the relationship is monotonic — stronger lean, larger expected move. The mechanism is straightforward. When one side is substantially thicker, the thinner side depletes first and the midpoint shifts. But the real insight is in the layers. L1 and L2 can tell contradictory stories, and the divergence between them is often more informative than either alone.

  • L1 imbalance — Best-bid versus best-ask quantity. A single snapshot is noisy; time-averaged imbalance over the interval is what actually predicts.
  • L2 imbalance — The same signal extended across 5, 10, 20, and 25 levels per side. Captures the full shape of supply and demand behind the frontier — L2 can be draining even while L1 looks stable.
  • L1-L2 divergence — Where the actionable signal lives. Thin L1 bids with deep L2 behind them is a market maker repositioning, not genuine weakness. Thick L1 bids with nothing behind them is a single concentrated quote — pull it and there is a gap.
  • Weighted midprice — Stoikov (2018) showed the quantity-weighted midprice — shifted proportional to size at each side — beats the simple midpoint as a predictor of the next transaction price.
Predicting Short-Term Crypto Returns with Market Microstructure
Interactive notebook

Use Cases

Deep liquidity analysis

Measure aggregate bid and ask depth at multiple levels to understand resilience and liquidity beyond the top-of-book.

Order book imbalance signals

Build predictive features from multi-level imbalance ratios that capture directional pressure more robustly than L1 alone.

Iceberg & hidden order detection

Detect large resting orders by monitoring depth anomalies and imbalance dynamics across book levels over time.

Market resilience measurement

Quantify how quickly liquidity replenishes after consumption by analyzing depth averages and their variability.

Cross-level depth feature engineering

Combine bid/ask depth at 5, 10, 20, 25 levels into composite signals for ML-based execution and alpha models.

Get started in minutes

curl -fsSL https://raw.githubusercontent.com/aperiodic-io/cli/main/install.sh | bash
github ↗
terminal
# Install the CLI
curl -fsSL https://raw.githubusercontent.com/aperiodic-io/cli/main/install.sh | bash

# Fetch the preview slice as Parquet into ./data — no API key needed
aperiodic flow --preview \
  --exchange binance-futures \
  --symbol perpetual-BTC-USDT:USDT \
  --interval 1h \
  --start-date 2024-01-01 \
  --end-date 2024-01-31 \
  --output-dir ./data
Preview · binance-futures · perpetual-BTC-USDT:USDT · 1h · 2024-01-01 → 2024-01-31
df.head() · 5 × 37
#timetaker_buy_volumetaker_sell_volumetaker_buy_counttaker_sell_countvolume_deltavolume_delta_notionalflow_entropyflow_toxicity_scoretaker_buy_sell_ratiotaker_buy_sell_count_ratiotaker_buy_sell_percentagetaker_buy_sell_count_percentagetaker_buy_small_order_volumetaker_buy_small_order_counttaker_buy_medium_order_volumetaker_buy_medium_order_counttaker_buy_large_order_volumetaker_buy_large_order_counttaker_sell_small_order_volumetaker_sell_small_order_counttaker_sell_medium_order_volumetaker_sell_medium_order_counttaker_sell_large_order_volumetaker_sell_large_order_counttaker_buy_small_order_percentagetaker_buy_medium_order_percentagetaker_buy_large_order_percentagetaker_sell_small_order_percentagetaker_sell_medium_order_percentagetaker_sell_large_order_percentagetaker_buy_small_order_count_percentagetaker_buy_medium_order_count_percentagetaker_buy_large_order_count_percentagetaker_sell_small_order_count_percentagetaker_sell_medium_order_count_percentagetaker_sell_large_order_count_percentage
12024-01-01 00:00:004687.976074218753771.50097656254650041778916.4749755859375388712680.68726718425750731.24300014972686771.11302602291107180.55416858196258540.526745080947876138008.609375268497904352641818910536017398117024.32812518978532792241711515127201571029.4388465881347662088.414062540338.3789062531.0285816192626952262.43920898437540173.05468750.0577204301953315730.56812900304794310.37415054440498350.045406673103570940.5785580873489380.37603524327278137
22024-01-01 01:00:004783.8378906254259.57324218754938640965524.2650146484375223910960.6914658546447754-0.51.12307918071746831.20556569099426270.52898597717285160.5466015934944153140995.4375283810853161283161931864321823277478.26562512409094397236051726176161612029.4732894897460942268.71411132812540383.148437518.1892089843752135.04882812540524.6250.0574656799435615540.57336086034774780.369173437356948850.0302697420120239260.5762236118316650.39350664615631104
32024-01-01 02:00:002141.2590332031252511.808105468752448528065-370.54901123046875-157790900.68997293710708620.94617903232574460.85247713327407840.87243896722793580.4601822495460510.4659371972084045481757.617187515945058392.51306686080624982542772.0781256856032806.5165781009242881080238.1820297241210942362.34497070312540200.937517.028402328491212401.778320312540179.93750.065101079642772670.53363281488418580.401266068220138550.0244076251983642580.59070014953613280.38489222526550293
42024-01-01 03:00:003501.1320800781254618.7480468753615748188-1117.615966796875-474773440.683644711971283-0.170257717370986940.75802618265151980.75033205747604370.431180268526077270.42867982387542725109771.179687521607630267.5201431407325121385478518.9765625125310414373292961854570081763931.3530521392822272179.3715820312540196.289062517.000055313110352254.8041992187540153.089843750.059739470481872560.55709820985794070.383162319660186770.0260023251175880430.60795217752456670.3660454750061035
52024-01-01 04:00:003155.4318847656253201.104003906253664031386-45.672000885009766-1877300.750.69312137365341190.0265556294471025470.985732376575471.1673995256423950.49640744924545290.5386176109313965150556.92187530427435109201351260489201346359707.238281259466590907187841288612721165647.713569641113282356.28881835937539946.6445312518.6520767211914062058.94799804687540255.25781250.083024017512798310.54953604936599730.367439955472946170.0301408264786005020.59848338365554810.37137576937675476

Use with AI Agents

Query L2 — Order Book datasets programmatically with our Python SDK and REST API — built for autonomous research workflows.

Get Started

Sign up and subscribe to get an API key. Start querying datasets in minutes.

111111111111 _111000_ 100_ _0011_ 11 _0011_ 0 011 _011 _0 0011_ _00 _ _000011 00000111111 ____0000000 ..+ .+cb+. .+ac+ c. .ac. .ac. +b +abc+. bcc++. +aabbbcccc+ ...........111111111110 __111000_ 00_ _0011_ 1 0011_ _0 11_ 001_ 00 _0011 000 _ __000011 0000111111_ 00000000000 ..+ccb +ca+. .+ +ac+ . . .+b+ +b+ +b .+abc+. bc++. aabbccc++++ 000000000000 111000_ _1 0_ _0011_ _ _ _011_ _00 1_ _011 _01 _0011 000 _ _0000111 001111111__ 00000000000 ...++ccbaa+ ba+ .+c +ab+. + +bc. .ac+ .ab .+abc+. c++.. bbccc+++... 000000000___ 0000_ _111 _ _0011_ _0 _0011 _001 1 001_ 001 _0011 000 _ _0000111 0111111___ 00000001111 cccbbaa+.. +. .+ba +ab+. +a .ac. . .ac. .ac .+abc+. c+.. bcc+++... 0_____ 00_ _11100 _0011_ _00 _0011 0011 _ _011 _001 _0011 000 _ _0000111 011111__ 00011111111 baa++.. .+cba. ab+. +ac .ab+ + +b+. .ac .+abc+. c+. cc++... ___11 _111000_ 00011_ _001 0011 0011_ _001_ 0011 _0011 000 _ _0001111 11111__ 11111111111 +.. .+ba+.. c+. +ac+ .+b+. .a .+b+ +ac .+abc+. ++. c++.. ..____11111111 _1111000_ 0111 _0011 011 0011_ 0011 _001_ _0011 000 _ _0001111 11111_ _ 11111111___ . .+cba..+a +. +ac+ +bc. .+b .ac. +bc .+abc+. +.. ++.. .....++++111111110000 110000_ _1 11_ 00011_ 11 0011_ _ _011_ _011_ 0011_ 000 _ _0001111 1111__ __ 11111____ ..+cc .+cba+.+abc +ac+ +ac. +bc +bc. .+bc +abc+. +.. ... .++++aaaabb11100000000_ 000__ _111 1 _00111 1 0011_ _0 0011 _0011 0011_ 000 _ _0001111 111__ __ 111__ ..+ccbaa cba+..+bc+. .+ac+ ac+ .ac+ .+b+. .ab+ .abc+. +. .. +aaabbbbccc0000000__ 0_ __11100 00011_ _0 0011_ _00 011_ _011_ 0011_ 000 _ _0001111 111__ __0 1__ __ .++cbba++. a+..+ab+. .+bc. b+ .ab+ .ac+ .ab+ .abc+. +. . abbbccc+++.00___ __1 _1110000_ _00111 _00 0011_ _001 011 _0011 0011_ 000 _ _0001111 111_ __00 _ ___00 cbba++. ..+ab+. .ab+. . +. .+bc. +bc. .ab+ .+bc+. +. ccc+++.. _ __11111 1111000_ _ 0111_ _0001 0011_ _0011 11_ 0011_ _ _00111 _00 _ _0000111 11__ __00 __00000 a+.. abc+. +ac+. .a . +ac. ab+. +ac+ .+ab+. +. . +++.. 00__ _111 0111_ _000 00011_ _0 _0011 001 011_ _0011_ 11_ _00011 _ _000011 00111111__ 111111___ ..++ccbaa++. +cbaa+..+ab bc+. .a +. .ab+. .+bc. + .abc. .+abc .+aabcc+.. ++aaabbcc++ _ _111100 11_ _00011 _0011_ 000 _0011_ _001 011_ _0011_ 111_ _00011 _ _000011 0011111_ 1111__ _+cbbaa++. ba+..+aabc+ +. .+bc +ab+. +ac+ .+ .abc+ .+abc .+abbc++. +aabbcc++.. __11110000_ _000111_ 0011_ _0011 0011_ _0011 011 _0011_ 111_ _00011 1_ _000011 011111_ 1__ __00baa++. ...+abc+. .+ab+. +ac+. .ab+. .a .abc+ .+abc .+abbc++. aabcc++.. 1110000_ _000111_ _ 11_ _0011_ 011_ _0011_ 11_ 00011_ 111_ _0011 1_ _000011 01111__ _ _ __00000++. +abcc+. .+abc. .+bc+ +bc. .+a .abc+. .+aab .+abbc+.. bbcc+.. 0000__ _00 00111_ 000 1 _00111 11_ _0011_ 11_ _00111_ 011_ _0001 1_ __00011 1111__ _0 __0000011. .+ bc+. .+abc. .abc. ac+ .ab .+bc+. . .+ab .+abcc+. bc++.. 0__ _00001 11_ _00011 _00011_ 0 1_ _00111 11_ _00111 011_ _0001 1_ _00011 1111_ __0 _000011111 .++cb . .+a +abc. +ab+. + b+. .+ac .+bc+. . .+ab .+abcc+. c++. _0001111 _ _000111 00011_ _00 _ _00111 _ 1_ _0011_ 0111_ 0001 11_ _00011 111__ __00 000001111_ ..+cbba+ .++abc c+. +a bc+ .+a c. .abc .+ac+. . .+ab .+abcc+. ++. _0000111_ _000111_ _ 0111 _0001 _00111 _0 1_ _00011_ 0111_ _000 11_ _00001 111_ _000 0001111_ .++cba++.. .+abc+. . +abc +. .+bc + .+ab+ .+abc. +. .+a .+abcc+. +. . 001111_ _0 00111_ _00 11 _00011_ _00111 _00 1 _00011_ 0111_ _000 11_ _00001 111_ _0000 01111_ _0.+ccba+...+a .+abc++. .+abc+. +abc+ . +abc+ .+abc+ +. .+a .+abcc+. . .+ 111_ _0000 11_ _00011 _000111_ 0011_ _000 _ _00111_ 00111_ _000 111_ _0001 11_ _0001 111__ _000ccba+..+aabc abc+. .+abc+. .+ab+. .+ac+. .+abc+ +. .+a .+abcc+. ..+a 1_ _000111 _ _000111_ _000111_ 0 011_ _0001 _ _000111_ 00111_ _00 111_ _0001 11_ _00001 11_ _00001ba+..+abcc+. +. .+ .+bc+. .+abc+. .+abc+. .+abc+ c+. .+ .+abc++. .++ab _ _0001111_ _000111_ 000111_ _0 111_ _0001 1 _000111_ _00111_ _0 0111_ _000 11_ __0001 1_ _000011 .+abc+. +. .+a +abc+. .+abc+. .+abc+. . .+ab abc+. .+abc+. +. .+a _000111_ _ 00111_ _00 111_ _0001 1_ _000111 _000111_ 000111_ _0 0111_ _000 11_ _00011 _ _000111_ .+abc+. .+abc+ c+. .+ .+abc+. .+abc+. . .+ab abc+. .+abc+. .+abc_000111_ _00 111_ _0001 1_ _000111 _ _000111_ _000111_ 0000111_ _ 00111_ _00 111_ 00011 _ _00011_ +abc+. .+abc+. . .+aa +abc+. .+abc+. +. .+a +abc+. .+abc+. .+abc+00111_ _001 1_ _00111_ __000111_ _000111_ __000111_ 0000111_ _ 00111_ _00 111_ 00011 _00011_ bc+. . .+abc+. .+abcc bbc+. .+abc+. +. .+a +abc+. .+abc+ .+ab+. 011_ _00111 _000111_ 000111_ __ 000111_ _ 0000111__ 0000111_ _ 000111_ _0 111_ _00011 _000111 _ +. +ab abc+. .+abc+.. c+. . .++abc+. +. .+ .+bc+. .+bc+. .abc+. 11_ _00011_ 000111 _00 1111_ _000 0111_ _00 0001111_ _ 0000111_ _ 000111_ _0 111_ _00011 _00111_ _0 .+abc+ +. .+a .++abc+. .. .+ .+abbc+. ++. .+ .+abc+. +abc+. .abc+. _ _00111 _ 111_ _0001 1_ _000011 11_ _0000 001111_ __ 0000111_ 000111_ _0 111_ _00011 _00011_ _00 .+abc+. .+abc abc++. .+a ..+abcc+. c+. .+ .+abc+. .+ab+. +abc+ _00011_ _00 1_ _00111_ _0001111_ _ _000011 11111_ _0 0000111__ _000111_ _ 111_ _00011 _0011_ 000 +abc+. .+abc+.. c+. .++ab .+aabc++. c+. . .+abc+. .+ac+. .abc. ._00111 _001 000111_ 0001111_ _ _000001111 111__ _00 00001111_ _000111_ _ 111_ _00011 00111 _001 .+bc+. .+abc+. . .++ ..+abbc .++abbc+.. c+.. . .+bc+. .abc+ abc. .a0011_ _00111 000111_ 00 0111_ _00 000011111_ 11__ _000 00001111_ _000111_ _ 111_ _00011 0011_ _0011 ac+. .+ abc+. ..+aab ..+aabcc+ ..+aabcc+. cc+. . .+ab+. +abc. bc+ +ab011_ _0011_ 0111 _0001 11_ _00001 001111__ __ __0000 00001111_ _000111_ _ 111_ _00111 011_ 00111 c. .+bc c+. .+ .+aabcc+ .++aabcc++. .++abbc++. bc+. .+abc. .+ac+. . c+ +ac+ 0011_ _001 _ _000111_ _ _000001 000011111__ 11111__ __ _0000111_ 000111_ _00 00011_ _0 _0011 000bc. .+ac+ .+abc+ c+.. ..+ .. .+aa .+abc+. .+ac+. ac+. +ac 111 _00111 _000111_ __00001111 0011111__ 11111_ _0 _0000111_ _00111_ _00 _0011_ 00 _0011 0011+. .abc. .+ab+. . ..+ .++aa ..+ .+aa .+abc+. .+ac+. bc. .ab+ 1_ _00111_ 00111_ _00 000011111_ 11111__ 1111__ __0 __000111_ _00111_ _00 _0011_ _00 0011_ _011_. +ab+. .+ac+. .+abb .++aabbc ..++ .++a .+abc+. .+bc+ b+. .+bc. _0011_ _0 111_ _0001 011111_ 11__ __ 111__ __0 __0001111_ _00111_ _00 _0011 001 011_ _001_ +ac+ +ac+. .+aabc++ ..+aabbcc++ ..++aa .++a .+abc+ .+bc+ c. .ac+ _0011_ 000 _ _0000111 111__ __0 _ __000 11__ __00 _0000111_ _00111_ _00 0011_ _001 01_ _0011 _ +bc. . b+. .+a ..+abcc+.. aabbcc++.. ...+++aab ..+a .+abc+. .abc. . +. .+b+. 0011_ _0011 _0001111_ __ __0000 __000000 ___ __00 _0000111_ _00111_ _00 _0011_ _001 11 _0011 _0 +bc. +a . .+abc abbc+.. bcc++.. ..+++aaabbb ..+a .+abc+. .ab+. . . +ac. 11_ _00111 000111__ _ __0000011 __000000001 _ ___00 _0000111_ _00111 _00 _0011 0011 1_ 0011 00 +bc. +bc .+abc+. cc+. ++.. +++aaabbbcc ..+a .+abc+. +ab+. + . .+b+ 1_ _0011_ _ 0111_ _00 _0000011111 00000001111 ___000 _0000111_ _00111 _00 _011_ _0011 _ _011_ 001+bc. .+b+. +abc+. .. . . aaabbbcccc+ ..+a .+abc+. +ac+ + +ac. 00111 00 11_ _00001 000111111__ 00011111111 ___0000 __000111_ _0011_ 000 0011_ _011_ _001_ _011ac. .ab+. .abc+. .++ bbbcccc++++ ..+a .+abc+. .+bc. .+ .+b+ _0011_ _001 _ _0000111 011111__ 111111111__ _____00000 __000111_ _0011_ _001 0011 0011 0011 _011_c. .ab+ +ac+. ..+aab ...+ ccc+++++... ..+a .+abc+. .abc. .a +ac. . 0011 00011 _0000111__ 111__ __ 1111____ _____0000000 __000111_ 00011_ _001 011_ _001_ _011_ 001_ . .ab+ b+. .+ .++abbcc ..+++aa ++....... ..+a .+abc+ +ab+. +a .+b+ + 011 001_ _0 000111_ _ __000011111 00011111111 _________ 000111111_ _00011_ _ 1_ _0011 _0 0011 _001_ ac. .+bc c+. . ccc++++.... abcc+. .+bc. . +. .+b+. c. +ac. 01_ 001_ _01 00111_ _00 000011111__ 1111111___ __000000000 001111111_ _00111_ _ _ 0011_ _0 001_ 0011 _ c. +ab+. . .+ .. ++.... abcc+. .ab+. . + .ac+ + .ac. 1_ 001_ _011 011_ _0001 0011111__ 1111__ 00000000000 001111111_ _00111 _ _ _0011 00 011 _001_ 0 . .+bc+ .++a ..++ . abcc+. .+ac+. + . +bc. . +b+ .

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Aperiodic

Crypto microstructure, liquidity & flow metrics — built from hundreds of terabytes of raw data, distilled into point-in-time metrics you can pull as parquet files.

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