Aperiodic
DataFactors
Catalog
Notebooks
Pricing
Get Started

Market Data

Precise candlestick and VWAP/TWAP data for every instrument and interval.

Point-in-time candlestick and VWAP/TWAP data aggregated from raw exchange feeds. No survivorship bias, no look-ahead — just clean bars ready for research.

Market Data Datasets

Candlesticks

Tier 0

Open, High, Low, Close, Volume candlestick data with notional volume.

Key fields

OpenHighLowClose

VWAP / TWAP

Tier 0

Volume-weighted and time-weighted average prices for precise execution benchmarks.

Key fields

VWAPTWAP

Highlighted Metrics

vwap

VWAP

VWAP is the volume-weighted average price, emphasizing the levels where the market actually did the most business.

It is one of the most practical benchmarks in trading because it aligns naturally with execution quality and real turnover.

twap

TWAP

TWAP is the simple time-weighted average price, giving equal importance to the full interval path.

Comparing TWAP to VWAP helps reveal whether heavier trading occurred above or below the average timeline of prices.

Use Cases

Systematic strategy backtesting

Build and validate momentum, mean-reversion, and carry strategies on reliable price history without data leakage.

Cross-asset return indices

Construct factor indices spanning hundreds of instruments using consistent OHLCV aggregations across exchanges.

Charting & visualization tooling

Power dashboards and research notebooks with high-fidelity candlestick data at 1m–1d resolutions.

Volatility surface calibration

Use realized returns computed from clean close prices to calibrate implied-vol models and risk engines.

Execution benchmark construction

Compare fills against VWAP and TWAP benchmarks derived from the same raw tick data as your strategy.

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 Market Data 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.

Ready to start building?

Get access to our full catalog of market microstructure data.

Get started free
Get started
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.

© Copyright 2026 Aperiodic. All Rights Reserved.

Product
  • Data Catalog
  • Pricing
  • API Docs
  • Notebooks
  • Alpha Walkthrough
  • Roadmap
  • Changelog
  • FAQ
  • For AI Agents
Metrics
  • Order Flow
  • L1 — Top of Book
  • L2 — Order Book
  • Market Data
  • Derivatives
Channels
  • Blog: Research Insights
  • Microstructure Guide
  • LinkedIn
Company
  • Contact
  • Book a call
  • Terms of Service
  • Privacy Policy
  • LLM? Read this.

NOT INVESTMENT ADVICE

The Content is for informational purposes only, you should not construe any such information or other material as legal tax, investment, financial, or other advice. Nothing contained on our presentation constitutes a solicitation, recommendation, endorsement, or offer by Aperiodic or any third party service provider to buy or sell any securities or other financial instruments in this or in in any other jurisdiction in which such solicitation or offer would be unlawful under the securities laws of such jurisdiction.

All Content on this presentation is information of a general nature and does not address the circumstances of any particular individual or entity. Nothing in the presentation constitutes professional and/or financial advice, nor does any information on the Presentation constitute a comprehensive or complete statement of the matters discussed or the law relating thereto.

Aperiodic is not a fiduciary by virtue of any person's use of or access to the Presentation or Content. You alone assume the sole responsibility of evaluating the merits and risks associated with the use of any information or other Content on the Presentation before making any decisions based on such information or other Content. In exchange for using the Presentation, you agree not to hold Aperiodic, its affiliates or any third party service provider liable for any possible claim for damages arising from any decision you make based on information or other Content made available to you through the Presentation.

INVESTMENT RISKS

There are risks associated with investing in securities. Investing in stocks, bonds, exchange traded funds, mutual funds, and money market funds involve risk of loss. Loss of principal is possible. Some high risk investments may use leverage, which will accentuate gains & losses. Foreign investing involves special risks, including a greater volatility and political, economic and currency risks and differences in accounting methods. A security's or a firm's past investment performance is not a guarantee or predictor of future investment performance.