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

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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.

Run on preview data
Browse catalog
L1 Imbalance

L1 Imbalance

Bid/ask imbalance, ratio, percentages — both instantaneous (last) and averaged over the interval.

CodeAPI DocsTry It

Need the ticks behind this metric? Prime + Raw includes raw quotes.

imbalance

Imbalance

Imbalance measures the raw difference between bid-side and ask-side top-of-book size.

It is one of the fastest ways to see which side is presenting more immediate resting interest at the best quotes.

imbalance_ratio

Imbalance Ratio

Imbalance Ratio scales the raw difference into a relative measure that is easier to compare across symbols and market states.

Because it normalizes for total top-of-book size, it often gives a cleaner signal than the raw imbalance alone.

bid_ask_ratio

Bid/Ask Ratio

Bid/Ask Ratio directly compares the best-bid size with the best-ask size.

It is intuitive, portable, and useful when you want to know whether displayed buying depth materially outweighed displayed selling depth.

bid_percentage_avg

Avg Bid %

Average Bid % shows the mean share of top-level liquidity that sat on the bid across the interval.

This smooths through flicker and highlights the prevailing balance of displayed interest instead of a single instant.

ask_percentage_avg

Avg Ask %

Average Ask % is the complementary view, capturing how much of top-level liquidity tended to sit on the ask side.

Monitoring the bid and ask averages together helps reveal whether one side dominated persistently or whether the book spent the interval near equilibrium.

Endpoint

/api/v1/data/l1_imbalance

Category

L1 (Top of Book)

Intervals
1m5m15m30m1h4h1d
Requires Institutional
15s30s
Exchanges
binance-futuresokx-perpshyperliquid-perps
Built from
Raw quotes →
Fields10
imbalanceImbalanceLast best-bid quantity minus best-ask quantity in the interval
imbalance_ratioImbalance RatioLast normalized difference between best-bid and best-ask quantity
bid_ask_ratioBid/Ask RatioLast best-bid quantity divided by best-ask quantity
bid_percentageBid %Last share of top-of-book quantity resting on the bid side
ask_percentageAsk %Last share of top-of-book quantity resting on the ask side
imbalance_avgAvg ImbalanceAverage best-bid quantity minus best-ask quantity in the interval
imbalance_ratio_avgAvg Imbalance RatioAverage normalized bid-ask quantity imbalance in the interval
bid_ask_ratio_avgAvg Bid/Ask RatioAverage best-bid quantity divided by best-ask quantity in the interval
bid_percentage_avgAvg Bid %Average share of top-of-book quantity on the bid side
ask_percentage_avgAvg Ask %Average share of top-of-book quantity on the ask side
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 l1_imbalance --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. Sub-minute intervals (15s, 30s) require a Tier 3 subscription.

15s30s1m5m15m30m1h4h1d
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/l1_imbalance?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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Registered in Ireland · Company No. 815273

© Copyright 2026 Aperiodic. All Rights Reserved.

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