Aperiodic is becoming the most comprehensive market microstructure data platform. Vote on what matters most to you.
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Sign in to voteOfficial Python client with polars integration.
Programmatic access to all datasets (parquet files)with API key authentication.
High-fidelity candlestick data with VWAP/TWAP across multiple intervals and exchanges.
Funding rates, open interest, basis spreads, and perpetual contract pricing data.
Trade-level aggregation with market impact, slippage, and volume-weighted metrics.
Best bid/ask spreads, top-of-book depth, and top-level order book imbalance.
Multi-level depth profiles, cumulative liquidity metrics, and deep book imbalance metrics.
Daily updates of datasets to include the previous day's data.
CLI client for bulk downloading datasets.
Support for OKX exchange (perpetuals).
Support for Hyperliquid exchange.
Aggregated metrics across exchanges — single, market-wide volume, trades, L1 & L2 metrics.
Sub-minute candles with 1 / 15/ 30 second resolution. (Prime only)
Tick bars (10, 50, 100, 200, 500, 1000 ticks).
Detection of iceberg orders and their impact.
Cross-venue spreads, lead-lag relationships and arbitrage signals.
Support for Bybit exchange.
Support for Bybit exchange.
Support for HTX exchange.
Understand the relationship between exchanges — volume / open interest / liquidity distribution, dispersion.
Real-time streaming of metrics via WebSocket.
Options chain data, implied volatility surfaces, Greeks, and term structure analytics.