Use case

Execute smarter

Know when liquidity is deep, when spreads are wide, and when flow turns toxic.

Shown: the median perpetual’s book depth across the top 25 levels, as a share of its 20:00–20:45 average, per venue, 18:00–01:00 UTC on 10 Oct 2025; minutes under half of normal take the strong tone, and the lowest of all, OKX’s 8.5% at 22:06, is orange · built with l2_liquidity 1m

Featured notebook

Timing execution around liquidity

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.

Loading notebook…

Or have your agent rerun this notebook and tell you what it finds. Start in Claude Claude Code Codex See the prompt

From notebook to production

Pick the metrics

Browse the catalog and pull point-in-time microstructure metrics — no L2 reconstruction, no tick archive to maintain.

Run the notebook

Every notebook runs end to end on preview data with a free account, in the browser or through the CLI.

Plug it into your stack

Swap the preview key for your own and the same code pulls every year your plan includes through the Python package or the API.

Metrics in this use case

More notebooks for this use case

Related notebook

Intro to Aperiodic L1 Price Metrics

Execute smarter

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.

View notebook

Execute smarter

Know when liquidity is deep, when spreads are wide, and when flow turns toxic.

Explore real-time streaming Book a call (Institutional)

Or create a free account to run the notebooks on preview data.

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

Derivative Price

Derivatives

Derivative Price

Snapshot of mark, index, and last trade prices with interval percentage changes and pairwise divergence ratios.

See it on real data

Need the ticks behind this metric? Prime + Raw includes raw mark price, index price, trades.

Sample CSV Start in Claude

Shown: last_price vs index_price, hourly, 1–31 January 2024, from this page's Sample CSV · extreme: 25.4 bps, 2 Jan, 00:00 UTC · built with derivative_price

low

high

extreme

mark_price

Mark Price

Mark Price is the exchange reference price used for risk, liquidation, and many internal controls.

It often matters more than the last traded print when you care about margin behavior or the true state of the derivatives venue.

index_price

Index Price

Index Price represents the external reference basket that the derivative is ultimately trying to track.

It provides the cleanest anchor for judging whether the contract is rich, cheap, or simply reacting to the broader market.

last_price_pct_change

Last Price % Change

Last Price % Change gives the immediate traded move seen by market participants on the venue.

It is the most reactive of the price-change measures and therefore tends to pick up local bursts before slower references catch up.

mark_index_pct_change_ratio

Mark/Index % Change Ratio

This ratio compares how quickly the mark price moved relative to the underlying index reference.

Values above or below one indicate that the venue mark is leading or lagging the external market move.

mark_last_pct_change_ratio

Mark/Last % Change Ratio

Mark/Last % Change Ratio compares the stability-focused mark with the more reactive last trade.

When the two diverge meaningfully, the venue is effectively saying that the latest print should not be taken fully at face value for risk purposes.

Endpoint: /api/v1/data/derivative_price
Category: Derivatives
Built from: Raw mark price →Raw index price →Raw trades →
Intervals: 1m5m15m30m1h4h1d
Exchanges: binance-futuresokx-perpshyperliquid-perps

Fields

Field	Name	Description
`last_price`	Last Price	Last traded price observed in the interval
`index_price`	Index Price	Last index price observed in the interval
`mark_price`	Mark Price	Last mark price observed in the interval
`last_price_pct_change`	Last Price % Change	Percentage change from the first last price to the final last price in the interval
`index_price_pct_change`	Index Price % Change	Percentage change from the first index price to the final index price in the interval
`mark_price_pct_change`	Mark Price % Change	Percentage change from the first mark price to the final mark price in the interval
`mark_index_pct_change_ratio`	Mark/Index % Change Ratio	Mark-price return divided by index-price return over the interval
`mark_last_pct_change_ratio`	Mark/Last % Change Ratio	Mark-price return divided by last-price return over the interval
`index_last_pct_change_ratio`	Index/Last % Change Ratio	Index-price return divided by last-price return over the interval

Example Request

# 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"

# Free preview — no API key required
aperiodic derivative_price --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"

Live Stream

Every new row as it is computed, over WebSocket at wss://stream.aperiodic.io/v1/stream. Authenticate with your API key in the X-API-KEY header and subscribe to channels named derivative_price.<exchange>.<interval>, on intervals 1m, 5m, 15m, 30m, 1h, 4h, 1d. Streaming is included on Live plans.

pip install "aperiodic[stream]"

pypi ↗

import os

from aperiodic import stream

for message in stream(
    api_key=os.environ["APERIODIC_API_KEY"],
    dataset="derivative_price",
    exchange="binance-futures",
    interval="1m",
    symbols=["perpetual-BTC-USDT:USDT"],  # omit for every symbol on your plan
):
    print(message.channel, message.snapshot, message.data)

Query Parameters

timestampreqstring

string

Timestamp source. 'exchange' uses the exchange-reported timestamp, 'true' uses actual arrival time at our servers.

exchangetrue

intervalreqstring

string

Aggregation time interval for the data.

1m5m15m30m1h4h1d

exchangereqstring

string

Source exchange for the data.

binance-futuresokx-perpshyperliquid-perps

symbolreqstring

string

Trading pair symbol in the format of Atlas' universal symbology: https://github.com/aperiodic-io/atlas

start_datereqstring<date>

string<date>

Start date for the data range (YYYY-MM-DD format). A metric series starts on the first day of the raw series it is computed from (see /metadata/raw); raw trades and quotes start binance-futures from 2020-01-01, okx-perps from 2019-09-01, hyperliquid-perps from 2025-01-01. Earlier days return no files. How far back you can go depends on the plan: 5 years on Pro, full history on Prime, Prime + Raw and Institutional. An earlier start_date than the plan reaches returns 403.

end_datereqstring<date>

string<date>

End date for the data range (YYYY-MM-DD format). Must be greater than or equal to start_date.

Successful response with download URLs for every existing file covering the range from the series' published start — one per month before 2026-08-01, one per day from 2026-08-01 onwards

Schema

filesobject[]required

Files covering the requested date range, in chronological order. Data before 2026-08-01 is split by month (one file per calendar month, no `day`); data from 2026-08-01 onwards is split by day (one file per calendar day, with `day` set). The changeover falls on a month boundary, so a given month is served entirely one way or the other; a range spanning it returns the earlier months as monthly files followed by a daily file per day.

yearintegerrequired

Year of the data file

monthintegerrequired

Month of the data file (1-12)

dayinteger

Day of the data file (1-31). Present only on daily files, i.e. those covering 2026-08-01 onwards. Absent on monthly files, which cover an entire calendar month.

urlstring<uri>required

Presigned URL for direct file download (valid for 5 minutes). URLs are served from dataset-specific subdomains, e.g. ohlcv.aperiodic.io, trade-metrics.aperiodic.io, l1-metrics.aperiodic.io, l2-metrics.aperiodic.io, derivative-metrics.aperiodic.io.

Example

{
  "files": [
    {
      "year": 2026,
      "month": 6,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-06.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 7,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-07.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 1,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-01.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 2,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-02.parquet?X-Amz-Expires=300&..."
    }
  ]
}

Try It

Prefilled with the shared DEMO-KEY and a free preview slice — send the request to see live data, no account required.

timestamp*

interval*

exchange*

symbol*

Suggestions shown — any valid value accepted

start_date*

Suggestions shown — any valid value accepted

end_date*

Suggestions shown — any valid value accepted

Authentication

X-API-KEY*

GET

/api/v1/data/preview/derivative_price?timestamp=exchange&interval=5m&exchange=binance-futures&symbol=perpetual-BTC-USDT%3AUSDT&start_date=2025-05-01&end_date=2025-05-31

Response will appear here

Use case

Execute smarter

Know when liquidity is deep, when spreads are wide, and when flow turns toxic.

Featured notebook

Timing execution around liquidity

Loading notebook…

Or have your agent rerun this notebook and tell you what it finds. Start in Claude Claude Code Codex See the prompt

From notebook to production

Pick the metrics

Browse the catalog and pull point-in-time microstructure metrics — no L2 reconstruction, no tick archive to maintain.

Run the notebook

Every notebook runs end to end on preview data with a free account, in the browser or through the CLI.

Plug it into your stack

Swap the preview key for your own and the same code pulls every year your plan includes through the Python package or the API.

Metrics in this use case

More notebooks for this use case

Related notebook

Intro to Aperiodic L1 Price Metrics

Execute smarter

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.

View notebook

Execute smarter

Know when liquidity is deep, when spreads are wide, and when flow turns toxic.

Explore real-time streaming Book a call (Institutional)

Or create a free account to run the notebooks on preview data.

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

Derivative Price

Derivatives

Derivative Price

Snapshot of mark, index, and last trade prices with interval percentage changes and pairwise divergence ratios.

See it on real data

Need the ticks behind this metric? Prime + Raw includes raw mark price, index price, trades.

Sample CSV Start in Claude

Shown: last_price vs index_price, hourly, 1–31 January 2024, from this page's Sample CSV · extreme: 25.4 bps, 2 Jan, 00:00 UTC · built with derivative_price

low

high

extreme

mark_price

Mark Price

Mark Price is the exchange reference price used for risk, liquidation, and many internal controls.

It often matters more than the last traded print when you care about margin behavior or the true state of the derivatives venue.

index_price

Index Price

Index Price represents the external reference basket that the derivative is ultimately trying to track.

It provides the cleanest anchor for judging whether the contract is rich, cheap, or simply reacting to the broader market.

last_price_pct_change

Last Price % Change

Last Price % Change gives the immediate traded move seen by market participants on the venue.

It is the most reactive of the price-change measures and therefore tends to pick up local bursts before slower references catch up.

mark_index_pct_change_ratio

Mark/Index % Change Ratio

This ratio compares how quickly the mark price moved relative to the underlying index reference.

Values above or below one indicate that the venue mark is leading or lagging the external market move.

mark_last_pct_change_ratio

Mark/Last % Change Ratio

Mark/Last % Change Ratio compares the stability-focused mark with the more reactive last trade.

When the two diverge meaningfully, the venue is effectively saying that the latest print should not be taken fully at face value for risk purposes.

Endpoint: /api/v1/data/derivative_price
Category: Derivatives
Built from: Raw mark price →Raw index price →Raw trades →
Intervals: 1m5m15m30m1h4h1d
Exchanges: binance-futuresokx-perpshyperliquid-perps

Fields

Field	Name	Description
`last_price`	Last Price	Last traded price observed in the interval
`index_price`	Index Price	Last index price observed in the interval
`mark_price`	Mark Price	Last mark price observed in the interval
`last_price_pct_change`	Last Price % Change	Percentage change from the first last price to the final last price in the interval
`index_price_pct_change`	Index Price % Change	Percentage change from the first index price to the final index price in the interval
`mark_price_pct_change`	Mark Price % Change	Percentage change from the first mark price to the final mark price in the interval
`mark_index_pct_change_ratio`	Mark/Index % Change Ratio	Mark-price return divided by index-price return over the interval
`mark_last_pct_change_ratio`	Mark/Last % Change Ratio	Mark-price return divided by last-price return over the interval
`index_last_pct_change_ratio`	Index/Last % Change Ratio	Index-price return divided by last-price return over the interval

Example Request

# 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"

# Free preview — no API key required
aperiodic derivative_price --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"

Live Stream

pip install "aperiodic[stream]"

pypi ↗

import os

from aperiodic import stream

for message in stream(
    api_key=os.environ["APERIODIC_API_KEY"],
    dataset="derivative_price",
    exchange="binance-futures",
    interval="1m",
    symbols=["perpetual-BTC-USDT:USDT"],  # omit for every symbol on your plan
):
    print(message.channel, message.snapshot, message.data)

Query Parameters

timestampreqstring

string

Timestamp source. 'exchange' uses the exchange-reported timestamp, 'true' uses actual arrival time at our servers.

exchangetrue

intervalreqstring

string

Aggregation time interval for the data.

1m5m15m30m1h4h1d

exchangereqstring

string

Source exchange for the data.

binance-futuresokx-perpshyperliquid-perps

symbolreqstring

string

Trading pair symbol in the format of Atlas' universal symbology: https://github.com/aperiodic-io/atlas

start_datereqstring<date>

string<date>

end_datereqstring<date>

string<date>

End date for the data range (YYYY-MM-DD format). Must be greater than or equal to start_date.

Successful response with download URLs for every existing file covering the range from the series' published start — one per month before 2026-08-01, one per day from 2026-08-01 onwards

Schema

filesobject[]required

yearintegerrequired

Year of the data file

monthintegerrequired

Month of the data file (1-12)

dayinteger

Day of the data file (1-31). Present only on daily files, i.e. those covering 2026-08-01 onwards. Absent on monthly files, which cover an entire calendar month.

urlstring<uri>required

Example

{
  "files": [
    {
      "year": 2026,
      "month": 6,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-06.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 7,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-07.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 1,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-01.parquet?X-Amz-Expires=300&..."
    },
    {
      "year": 2026,
      "month": 8,
      "day": 2,
      "url": "https://ohlcv.aperiodic.io/binance-futures/1h/BTCUSDT/2026-08-02.parquet?X-Amz-Expires=300&..."
    }
  ]
}

Try It

Prefilled with the shared DEMO-KEY and a free preview slice — send the request to see live data, no account required.

timestamp*

interval*

exchange*

symbol*

Suggestions shown — any valid value accepted

start_date*

Suggestions shown — any valid value accepted

end_date*

Suggestions shown — any valid value accepted

Authentication

X-API-KEY*

GET

/api/v1/data/preview/derivative_price?timestamp=exchange&interval=5m&exchange=binance-futures&symbol=perpetual-BTC-USDT%3AUSDT&start_date=2025-05-01&end_date=2025-05-31

Response will appear here

Timing execution around liquidity

Pick the metrics

Run the notebook

Plug it into your stack

Spreads & top-of-book liquidity

Multi-level depth

Market impact

Flow toxicity

Intro to Aperiodic L1 Price Metrics

Execute smarter

Mark Price

Index Price

Last Price % Change

Mark/Index % Change Ratio

Mark/Last % Change Ratio

Fields

Example Request

Live Stream

API Reference

Query Parameters

Schema

Example

Try It

Timing execution around liquidity

Pick the metrics

Run the notebook

Plug it into your stack

Spreads & top-of-book liquidity

Multi-level depth

Market impact

Flow toxicity

Intro to Aperiodic L1 Price Metrics

Execute smarter

Mark Price

Index Price

Last Price % Change

Mark/Index % Change Ratio

Mark/Last % Change Ratio

Fields

Example Request

Live Stream

API Reference

Query Parameters

Schema

Example

Try It