Order book snapshot
An order book snapshot is the complete state of the book at one instant: every published price level on each side with its resting size. Feeds send a snapshot to initialise or resynchronise a consumer, then send incremental updates; the ladder you look at is always the latest snapshot plus the updates applied since.
Senzoukria · Glossary · Updated September 2026
Snapshot plus updates
Depth feeds are too busy to resend the whole book on every change, so they work in two parts. A snapshot delivers the full set of published levels once. After that, updates describe changes: this level now has this size, this level was removed, this order was added. The consumer applies them in sequence number order. If a sequence gap is detected, the consumer requests or waits for a new snapshot, because the book it holds can no longer be trusted.
A snapshot is therefore both a data message and a moment in time. Two snapshots a second apart are two different books, and nothing in either one says what happened between them.
What a single snapshot can establish
- The resting size at each published level, on each side, at that instant.
- The best bid and ask and the spread.
- Cumulative depth outward from the inside.
- It cannot establish intent, whether a level will hold, or whether a size that appears large will still be there when price arrives.
In Senzoukria
The DOM ladder on the heatmap screen is the current snapshot maintained live: book depth drawn on the chart at the exact height of each price, with the L2 panel on the right as the table you read. The heatmap is the sequence of those snapshots painted over time, which is why the tour describes the ladder and the heatmap as the same depth shown two ways. Faded levels on the ladder are ones seen earlier in the session that are no longer in the live book, so the display keeps a memory that a bare snapshot does not have.
The crypto Historical order book view is built from one snapshot per second over a UTC day, with blank columns where no observation exists. The feed's snapshot and update handling for Binance and Bybit follows the venues' documented sequence rules; when a gap is detected the book is resynchronised rather than patched.
Common mistakes
- Reading a DOM screenshot as evidence of what liquidity did: it shows what was resting, not what happened next.
- Labelling a disappearing wall in one snapshot as spoofing; a cancellation is observable, the reason is not.
- Treating a stale book after a sequence gap as live data instead of waiting for the resynchronising snapshot.
Related
This page in other languages
Frequently asked questions
- How often does a feed send a full snapshot?
- Typically only at connection and after a detected gap; in between, only incremental updates are sent. Some venues also publish periodic snapshots as a safety net. The exact cadence is documented by each venue, and a consumer should follow it rather than assume.
- Is a snapshot the same as a DOM ladder?
- The ladder is a rendering of the latest snapshot after applying every update received since. In that sense it is a live snapshot. The difference is that a ladder can add memory, for example by fading levels seen earlier, while a raw snapshot message contains only the book at one instant.
- Why does a heatmap need more than snapshots?
- A heatmap draws depth over time, so it needs a series of book states. Periodic snapshots give a coarse series and miss changes inside each interval; applying every update gives an exact one. Which fidelity a heatmap has depends on how the depth was received or recorded.