Building tick-level data infrastructure is expensive, slow, and fragile. Quant teams spend months wiring up exchange feeds, normalizing symbology across venues, computing microstructure metrics, and maintaining pipelines — before a single signal is tested.
Aperiodic delivers pre-computed, research-ready microstructure metrics across the full exchange universe. We handle the ingestion, normalization, and computation so you can skip straight to alpha discovery.
- No infrastructure to build. We process raw tick data and deliver clean, structured metrics via API.
- No symbology headaches. Our open-source Atlas securities master normalizes 38+ exchanges into a unified contract model.
- No waiting. Concurrent parquet downloads get years of history to your notebook in seconds.
We compute a comprehensive suite of market microstructure features at intervals from 1 minute to 1 day.
| Metric | What It Captures |
|---|---|
| VTWAP | Volume-time weighted average price |
| Flow | Net signed trade flow and directional pressure |
| Trade Size | Distribution of trade sizes and large-trade detection |
| Impact | Price impact of trades |
| Range | Intra-interval price range and volatility |
| Up/Down Ticks | Tick direction frequency and momentum |
| Run Structure | Consecutive same-direction trade sequences |
| Returns | Interval returns at multiple horizons |
| Slippage | Execution quality relative to mid-price |
| Metric | What It Captures |
|---|---|
| L1 Imbalance | Top-of-book bid/ask pressure asymmetry |
| L1 Liquidity | Best bid/offer depth and spread |
| L2 Imbalance | Deeper book order flow imbalance |
| L2 Liquidity | Multi-level depth and cumulative book shape |
| Metric | What It Captures |
|---|---|
| Basis | Futures-spot premium and term structure |
| Funding | Perpetual funding rate and carry |
| Open Interest | Position buildup and unwind signals |
| Derivative Price | Mark, index, and contract-level pricing |
OHLCV candles, VWAP, and TWAP — computed consistently across all supported venues.
| Exchange | Instruments |
|---|---|
| Binance Futures | Perpetuals |
| OKX | Perpetuals |
Full spot, futures, and perpetual symbology for 38+ exchanges available through Atlas, with data coverage expanding continuously.
Install the Python client:
pip install aperiodicExchange Feeds ──> Ingestion ──> Normalization (Atlas) ──> Metric Computation ──> Parquet Store
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Aperiodic API
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Python Client / CLI ─── Your Research
- Atlas normalizes raw exchange symbology into a stable, exchange-agnostic contract model
- Metrics engine computes microstructure features from tick-level data
- API serves pre-computed parquet files with parallel downloads for maximum throughput
- Client handles concurrency, date-range filtering, and local concatenation automatically
| Repository | Description |
|---|---|
client |
Python client — sync & async API, concurrent downloads, Polars DataFrames |
atlas |
Securities master — unified symbology across 38+ crypto exchanges |
cli |
Command-line interface for Aperiodic |
hftbacktest |
High-frequency trading backtester — limit orders, queue position, latency simulation (Rust) |
- Quant Researchers exploring microstructure signals without building tick infrastructure
- Systematic Traders who need clean, normalized flow and book data across venues
- Fund Managers looking for alternative data to enhance existing strategies
- Academics studying market microstructure with production-quality datasets