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From raw order flow to a ranked, backtestable signal — every step in runnable code.

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Alpha Discovery

We define Directional Alpha as a signal that exhibits a consistent positive or negative relationship with forward returns.

Pre-executed results — free to run on preview data, or use the CLI with DEMO-KEY.

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  1. 01

    Pick the metrics

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

  2. 02

    Run the notebook

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

  3. 03

    Plug it into your stack

    Swap the preview key for your own and the same code pulls the full history through the Python package or the API.

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Intro to Aperiodic Flow Metrics

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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.

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Find new alpha

From raw order flow to a ranked, backtestable signal — every step in runnable code.

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Basis

Basis

Perpetual futures mark price premium over index price (basis) and last trade price, in absolute and basis-point terms.

CodeAPI DocsTry It

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

basis_bps

Basis (bps)

Basis in basis points measures the relative premium or discount of the derivative against its reference market.

This makes it a core signal for carry, positioning pressure, and cross-market dislocations.

mark_price_spread_bps

Mark-Price Spread (bps)

Mark-Price Spread in basis points shows the gap between the exchange mark and the traded market price on a relative scale.

The spread matters because mark prices influence liquidation engines, risk controls, and PnL calculations even when the last trade wanders.

basis_mean

Mean Basis

Mean Basis summarizes the average premium or discount sustained through the interval rather than at a single moment.

That makes it helpful for distinguishing persistent carry conditions from brief spikes or flickers.

basis_bps_std

Basis Std Dev (bps)

Basis Std Dev in basis points measures how unstable the relative pricing relationship was inside the bar.

A high reading suggests basis was moving around materially, which can complicate hedging and carry strategies.

mark_price_spread_bps_std

Mark-Price Spread Std Dev (bps)

This metric tracks the variability of the mark-price gap, not just its average level.

That distinction matters because some markets spend long periods close to fair value but occasionally experience sharp internal repricing.

Endpoint

/api/v1/data/basis

Category

Derivatives

Intervals
1m5m15m30m1h4h1d
Exchanges
binance-futuresokx-perpshyperliquid-perps
Built from
Raw mark price →Raw index price →Raw trades →
Fields8
basisBasisLast mark price minus index price in the interval
basis_bpsBasis (bps)Last mark-versus-index spread in basis points of the index price
mark_price_spreadMark-Price SpreadLast mark price minus last traded price in the interval
mark_price_spread_bpsMark-Price Spread (bps)Last mark-versus-last-price spread in basis points of the last price
basis_meanMean BasisAverage mark price minus index price in the interval
basis_bps_stdBasis Std Dev (bps)Standard deviation of the mark-versus-index spread in basis points
mark_price_spread_meanMean Mark-Price SpreadAverage mark price minus last traded price in the interval
mark_price_spread_bps_stdMark-Price Spread Std Dev (bps)Standard deviation of the mark-versus-last-price spread in basis points
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 basis --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"

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). Data is partitioned by year and month.

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 file covering the range — 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.

Suggestions shown — any valid value accepted
Suggestions shown — any valid value accepted
Suggestions shown — any valid value accepted
Authentication
GET/api/v1/data/preview/basis?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
Aperiodic

Crypto microstructure, liquidity & flow metrics — built from hundreds of terabytes of raw data, distilled into point-in-time metrics you can pull as parquet files. Plus the raw trades, quotes and derivatives data behind them.

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