license: cc-by-4.0
tags:
- finance
- crypto
- algorithmic-trading
- orderbook
- level-2
- market-microstructure
- quant
- hyperliquid
- dex
license: cc-by-4.0 task_categories:
- time-series-forecasting
- reinforcement-learning
📈 Crypto L2 Orderbook Depth - 24 Instruments (Free Sample)
⚠️ NOTE: This is a 7-day FREE SAMPLE dataset. > For the full institutional-grade dataset featuring 12+ months of continuous history (~2.3 Million rows) for 24 crypto assets, visit ImbalanceLabs.com.
Dataset Summary
Standard OHLCV candles are a "liquidity illusion." They hide the true market intent, spread, spoofing walls, and slippage. When training Deep Learning (LSTM, Transformers) or Reinforcement Learning (RL) trading agents, standard candles often lead to overfitting and account liquidations in live environments because models cannot evaluate the real cost of execution.
This dataset provides Cleaned, Normalized, and Time-Aligned Level 2 Orderbook Depth Data, built specifically for quantitative research and institutional backtesting. It extracts the raw microstructural edge from the Hyperliquid DEX (the leading L1 Perpetual Decentralized Exchange) and transforms it into noise-free, 5-minute bars.
Why use this data?
- No Clock Drift: Time-aligned 5-minute bars, eliminating the asynchrony and timestamp issues of raw WebSocket feeds.
- Deep Liquidity Profiling: 10-level depth (bids/asks) featuring cumulative passive volumes and basis-point distance from the mid-price.
- Ready for AI/ML: 47 pre-computed columns per row. Feed directly into Pandas, RL environments, LSTM networks, or XGBoost without weeks of data engineering.
- True Market Intent: Escaping CEX noise and spoofing. DEX orderbooks reflect genuine liquidity and institutional positioning.
Data Schema (47 Columns)
Each row represents one 5-minute aggregated perpetual futures orderbook snapshot.
| Column | Type | Description |
|---|---|---|
timestamp_utc |
DateTime | ISO 8601 UTC timestamp |
instrument_symbol |
String | Trading pair (e.g., BTC-USDT) |
open_price |
Float | Mid-price at bar open |
high_price |
Float | Highest mid-price in bar |
low_price |
Float | Lowest mid-price in bar |
close_price |
Float | Mid-price at bar close |
interval_traded_volume |
Float | Taker flow volume proxy |
bid_volume_level_1..10 |
Float | Cumulative passive bid volume |
ask_volume_level_1..10 |
Float | Cumulative passive ask volume |
bid_distance_level_1..10 |
Float | Distance from mid-price (bps) |
ask_distance_level_1..10 |
Float | Distance from mid-price (bps) |
Included Instruments
This 7-day sample includes data for the following 24 perpetual futures:
BTC-USDT, ETH-USDT, SOL-USDT, BNB-USDT, XRP-USDT, DOGE-USDT, ADA-USDT, AVAX-USDT, LINK-USDT, DOT-USDT, NEAR-USDT, SUI-USDT, APT-USDT, ARB-USDT, OP-USDT, INJ-USDT, SEI-USDT, TIA-USDT, WIF-USDT, FIL-USDT, LTC-USDT, ETC-USDT, ATOM-USDT, XLM-USDT.
Get the Full Dataset (12+ Months)
Stop wasting weeks on data infrastructure, parsing raw DEX archives, and fixing timestamp alignment. Download the full dataset and jump straight to what matters — training models and testing strategies.
👉 Get the complete algorithmic trading dataset (March 2025 – Feb 2026) at imbalancelabs.com
License & Legal Disclaimer
This sample dataset is provided under the CC-BY-4.0 license for research and analytical purposes. The data constitutes an Aggregated Liquidity and Orderbook Depth Index (Derived Data) — a proprietary, mathematically derived analytical product. It does not constitute financial advice, trading signals, or investment recommendations. Imbalance Labs is not affiliated with any cryptocurrency exchange.