Order Book Snapshots

What are Order Book Snapshots?

An Order Book Snapshot delivers a view of an exchange's order book at a specific point in time. Our system ensures at least one snapshot per minute. However, the actual number of snapshots can vary due to several factors. We strive to capture as many snapshots as possible by making frequent API calls to the exchanges.

They deliver the granular detail of the specific metrics (bids, asks, depth, slippage, or bid-ask spread) you query.