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Alpha Discovery

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

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  1. 01

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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 Liquidity

L1 Liquidity

Spread (absolute and bps), depth, dollar depth — instantaneous and interval-averaged.

CodeAPI DocsTry It

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

spread_bps

Spread (bps)

Spread in basis points measures the instantaneous cost of crossing from the best bid to the best ask on a normalized scale.

It is one of the most direct and actionable summaries of top-of-book trading conditions.

spread_depth_ratio

Spread/Depth Ratio

Spread/Depth Ratio combines price width and displayed size into a single liquidity efficiency measure.

A market with tight spreads but little size can still be fragile, and this ratio helps expose that weakness.

total_dollar_depth

Total Dollar Depth

Total Dollar Depth aggregates the top-level bid and ask liquidity in value terms.

This gives a more practical view of executable size than raw units, especially across instruments with different prices.

dollar_depth_bid_avg

Avg Bid Dollar Depth

Average Bid Dollar Depth tracks the mean value resting on the bid at the top of book throughout the interval.

It helps answer whether supportive displayed buying liquidity was consistently present or only flashed briefly.

dollar_depth_ask_avg

Avg Ask Dollar Depth

Average Ask Dollar Depth provides the matching view for displayed sell-side liquidity at the best offer.

Comparing it with the bid average helps reveal whether one side of the book was structurally thinner or thicker during the bar.

Endpoint

/api/v1/data/l1_liquidity

Category

L1 (Top of Book)

Intervals
1m5m15m30m1h4h1d
Requires Institutional
15s30s
Exchanges
binance-futuresokx-perpshyperliquid-perps
Built from
Raw quotes →
Fields14
spreadSpreadLast best ask price minus best bid price in the interval
spread_bpsSpread (bps)Last bid-ask spread in basis points of the midprice
spread_depth_ratioSpread/Depth RatioLast bid-ask spread divided by total top-of-book quantity
total_depthTotal DepthLast total top-of-book quantity across bid and ask
dollar_depth_bidBid Dollar DepthLast bid-side top-of-book notional
dollar_depth_askAsk Dollar DepthLast ask-side top-of-book notional
total_dollar_depthTotal Dollar DepthLast total top-of-book notional across bid and ask
spread_avgAvg SpreadAverage bid-ask spread in the interval
spread_bps_avgAvg Spread (bps)Average bid-ask spread in basis points over the interval
spread_depth_ratio_avgAvg Spread/Depth RatioAverage spread-to-depth ratio over the interval
total_depth_avgAvg Total DepthAverage total top-of-book quantity across bid and ask in the interval
dollar_depth_bid_avgAvg Bid Dollar DepthAverage bid-side top-of-book notional in the interval
dollar_depth_ask_avgAvg Ask Dollar DepthAverage ask-side top-of-book notional in the interval
total_dollar_depth_avgAvg Total Dollar DepthAverage total top-of-book notional across bid and ask in 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 l1_liquidity --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_liquidity?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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136 Capel StreetDublin, D01 T2C9Ireland
Registered in Ireland · Company No. 815273

© Copyright 2026 Aperiodic. All Rights Reserved.

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