A price-only backtest quietly assumes you can trade at the mid-price for free. Real fills pay the half-spread, move the book, and miss when liquidity thins out. This notebook builds a microstructure transaction-cost model — half-spread plus market impact — from Aperiodic's L1 price, impact, and slippage metrics, checks it against measured slippage, and shows how different cost assumptions reshape the same simple momentum backtest.

A perpetual-futures position does not only earn the price move — it also pays or receives funding at discrete settlement prints. A price-only backtest ignores those cash flows and can misattribute carry to trading alpha, most of all for a persistently long strategy in a rising, positive-funding market. This notebook isolates realised funding and shows exactly where it binds: it is a first-order cost for a directional (long-biased) position and nets out for a direction-neutral one.

This notebook introduces order-flow analytics with the `aperiodic` Python package. We focus on a single large-cap instrument — Binance BTC perpetuals (`perpetual-BTC-USDT:USDT`) — over the exact six-month window from September 1, 2025 through February 28, 2026, using 1-hour observations.

Execution cost is not constant through the day. Spreads widen, depth thins, and order flow turns adverse together around stressed periods. For a moderate-frequency order, when you execute can matter more than shaving microseconds off the route. This notebook measures when liquidity is deep, spreads are narrow, and flow is least toxic, then ranks the hours by modelled execution cost and cross-checks that ranking against measured slippage.

This notebook explores top-of-book (L1) pricing with Aperiodic's `l1_price` metric for Binance BTC perpetuals from September 1, 2025 through February 28, 2026 at 5-minute granularity.

This notebook introduces a simple derivatives regime dashboard using Aperiodic's `funding`, `open_interest`, and `basis` metrics for Binance BTC perpetuals over September 1, 2025 → February 28, 2026 at 5-minute frequency.