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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

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

pip install aperiodic
pypi ↗
example.py
from datetime import date
from aperiodic import get_metrics

df = get_metrics(
    api_key="your-api-key",
    metric="flow",
    timestamp="exchange",
    interval="1h",
    exchange="binance-futures",
    symbol="perpetual-BTC-USDT:USDT",
    start_date=date(2024, 1, 1),
    end_date=date(2024, 1, 31),
)

print(df.head())

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Institutional-grade market microstructure , liquidity & order flow metrics with full exchange universe coverage.

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