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.

Browse catalog API documentation

Shown: traded volume summed over each venue’s perpetuals, per minute, 18:00–01:00 UTC on 10 Oct 2025, each venue on its own square-root scale; the busiest minute, 21:13 UTC at $5.7B across the three venues, is orange · built with ohlcv 1m

Market Data Datasets

Candlesticks

Pro

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

Open
High
Low
Close

VWAP / TWAP

Pro

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

VWAP
TWAP

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 Aperiodic CLI into ~/.local/bin
mkdir -p "$HOME/.local/bin"
curl -fsSL https://raw.githubusercontent.com/aperiodic-io/cli/main/install.sh | INSTALL_DIR="$HOME/.local/bin" bash
export PATH="$HOME/.local/bin:$PATH"

# Fetch the preview slice as Parquet into ./data — no API key needed
aperiodic flow --preview \
  --exchange binance-futures \
  --symbol perpetual-BTC-USDT:USDT \
  --interval 5m \
  --timestamp exchange \
  --start-date 2025-05-01 \
  --end-date 2025-05-31 \
  --output-dir ./data && echo "Saved to $PWD/data"

Preview · binance-futures · perpetual-BTC-USDT:USDT · 1h · 2024-01-01 → 2024-01-31

df.head() · 5 × 37

#	time	taker_buy_volume	taker_sell_volume	taker_buy_count	taker_sell_count	volume_delta	volume_delta_notional	flow_entropy	flow_toxicity_score	taker_buy_sell_ratio	taker_buy_sell_count_ratio	taker_buy_sell_percentage	taker_buy_sell_count_percentage	taker_buy_small_order_volume	taker_buy_small_order_count	taker_buy_medium_order_volume	taker_buy_medium_order_count	taker_buy_large_order_volume	taker_buy_large_order_count	taker_sell_small_order_volume	taker_sell_small_order_count	taker_sell_medium_order_volume	taker_sell_medium_order_count	taker_sell_large_order_volume	taker_sell_large_order_count	taker_buy_small_order_percentage	taker_buy_medium_order_percentage	taker_buy_large_order_percentage	taker_sell_small_order_percentage	taker_sell_medium_order_percentage	taker_sell_large_order_percentage	taker_buy_small_order_count_percentage	taker_buy_medium_order_count_percentage	taker_buy_large_order_count_percentage	taker_sell_small_order_count_percentage	taker_sell_medium_order_count_percentage	taker_sell_large_order_count_percentage
1	2024-01-01 00:00:00	4687.97607421875	3771.5009765625	46500	41778	916.4749755859375	38871268	0.6872671842575073		1.2430001497268677	1.1130260229110718	0.5541685819625854	0.526745080947876	138008.609375	2684	9790435	26418	189105360	17398	117024.328125	1897	8532792	24171	151512720	15710	29.438846588134766	2088.4140625	40338.37890625	31.028581619262695	2262.439208984375	40173.0546875	0.057720430195331573	0.5681290030479431	0.3741505444049835	0.04540667310357094	0.578558087348938	0.37603524327278137
2	2024-01-01 01:00:00	4783.837890625	4259.5732421875	49386	40965	524.2650146484375	22391096	0.6914658546447754	-0.5	1.1230791807174683	1.2055656909942627	0.5289859771728516	0.5466015934944153	140995.4375	2838	10853161	28316	193186432	18232	77478.265625	1240	9094397	23605	172617616	16120	29.473289489746094	2268.714111328125	40383.1484375	18.189208984375	2135.048828125	40524.625	0.057465679943561554	0.5733608603477478	0.36917343735694885	0.030269742012023926	0.576223611831665	0.39350664615631104
3	2024-01-01 02:00:00	2141.259033203125	2511.80810546875	24485	28065	-370.54901123046875	-15779090	0.6899729371070862	0.9461790323257446	0.8524771332740784	0.8724389672279358	0.460182249546051	0.46593719720840454	81757.6171875	1594	5058392.5	13066	86080624	9825	42772.078125	685	6032806.5	16578	100924288	10802	38.182029724121094	2362.344970703125	40200.9375	17.02840232849121	2401.7783203125	40179.9375	0.06510107964277267	0.5336328148841858	0.40126606822013855	0.024407625198364258	0.5907001495361328	0.38489222526550293
4	2024-01-01 03:00:00	3501.132080078125	4618.748046875	36157	48188	-1117.615966796875	-47477344	0.683644711971283	-0.17025771737098694	0.7580261826515198	0.7503320574760437	0.43118026852607727	0.42867982387542725	109771.1796875	2160	7630267.5	20143	140732512	13854	78518.9765625	1253	10414373	29296	185457008	17639	31.353052139282227	2179.37158203125	40196.2890625	17.00005531311035	2254.80419921875	40153.08984375	0.05973947048187256	0.5570982098579407	0.38316231966018677	0.026002325117588043	0.6079521775245667	0.3660454750061035
5	2024-01-01 04:00:00	3155.431884765625	3201.10400390625	36640	31386	-45.672000885009766	-1877300.75	0.6931213736534119	0.026555629447102547	0.98573237657547	1.167399525642395	0.4964074492454529	0.5386176109313965	150556.921875	3042	7435109	20135	126048920	13463	59707.23828125	946	6590907	18784	128861272	11656	47.71356964111328	2356.288818359375	39946.64453125	18.652076721191406	2058.947998046875	40255.2578125	0.08302401751279831	0.5495360493659973	0.36743995547294617	0.030140826478600502	0.5984833836555481	0.37137576937675476

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Shown: minute lows of the 465 Binance perpetuals, 20:40–22:00 UTC on 10 Oct 2025, with BTC’s path traced · built with ohlcv 1m