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Support

MBO snapshots

An MBO snapshot represents the order book at a specific point in time, including all outstanding buy and sell orders. The snapshot is streamed as a sequence of MBO records to insert new orders in the book (a sequence of Add Actions). The snapshot records preserve the priority order (per instrument) at each price level, enabling accurate reconstruction of the order book.

All snapshot records are marked with the F_SNAPSHOT and F_BAD_TS_RECV flags (ts_recv is set to the snapshot generation timestamp). An instrument's snapshot starts with a cleaR action, followed by zero or more Add Actions.

The snippet below shows the result of a snapshot request for 2 instruments.

MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 4916, ts_event: 1718539204593519451 }, order_id: 0, price: UNDEF_PRICE, size: 0, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'R', side: 'N', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 0 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 4916, ts_event: 1718539204593519451 }, order_id: 6413364814613, price: 5560.000000000, size: 1, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'A', side: 'B', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 752 }
...
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 4916, ts_event: 1718582343502504063 }, order_id: 6413384952694, price: 5655.000000000, size: 2, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'A', side: 'B', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 175066 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 4916, ts_event: 1718582343502957759 }, order_id: 6413384952695, price: 5691.000000000, size: 2, flags: LAST | SNAPSHOT | BAD_TS_RECV (168), channel_id: 0, action: 'A', side: 'A', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 175067 }

MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 5002, ts_event: 1718539204593519451 }, order_id: 0, price: UNDEF_PRICE, size: 0, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'R', side: 'N', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 0 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 5002, ts_event: 1718539204593519451 }, order_id: 6413256341927, price: 4650.000000000, size: 1, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'A', side: 'B', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 519 }
...
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 5002, ts_event: 1718582366242085265 }, order_id: 6413384879630, price: 5612.500000000, size: 1, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'A', side: 'B', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 175633 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 5002, ts_event: 1718582366260973309 }, order_id: 6413384879629, price: 5632.500000000, size: 1, flags: LAST | SNAPSHOT | BAD_TS_RECV (168), channel_id: 0, action: 'A', side: 'A', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 175760 }

The snapshot for an empty order book has a single MBO record with cleaR action, marked with the flags F_SNAPSHOT and F_LAST, as in the snippet below.

MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 14160, ts_event: 1718117495809255541 }, order_id: 0, price: UNDEF_PRICE, size: 0, flags: LAST | SNAPSHOT | BAD_TS_RECV (168), channel_id: 0, action: 'R', side: 'N', ts_recv: 18446744073709551615, ts_in_delta: 0, sequence: 0 }

MBO snapshots are available from both the historical and live APIs.

Historical API

We offer MBO snapshot through the Historical API for venues that follow a weekly session structure (CME Globex MDP 3.0), and for venues whose daily trading sessions cross 00:00:00 UTC (ICE Europe Commodities iMpact). The order book snapshot is generated at 00:00:00 UTC each weekday (Monday-Friday).

Snapshot records are streamed through the Historical API when the requested interval includes midnight UTC for a given weekday. The snippet below shows an example of a timeseries request in Python whose result includes an MBO snapshot.

client.timeseries.get_range(
    dataset="GLBX.MDP3",
    symbols="ES.c.2",
    stype_in="continuous",
    schema="mbo",
    start="2024-06-16T23:58:50",
    end="2024-06-17T00:00:10",
)

MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 183748, ts_event: 1718582336782043745 }, order_id: 6413384952478, price: 5564.750000000, size: 1, flags: LAST (130), channel_id: 0, action: 'A', side: 'A', ts_recv: 1718582336782569129, ts_in_delta: 12306, sequence: 174718 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 183748, ts_event: 1718582336782045281 }, order_id: 6413384879627, price: 5560.500000000, size: 1, flags: LAST (130), channel_id: 0, action: 'M', side: 'B', ts_recv: 1718582336782613211, ts_in_delta: 12838, sequence: 174721 }
...
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 183748, ts_event: 1718582388400474957 }, order_id: 6413384953470, price: 5562.750000000, size: 1, flags: LAST (130), channel_id: 0, action: 'A', side: 'B', ts_recv: 1718582388400587693, ts_in_delta: 14247, sequence: 176276 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 183748, ts_event: 1718539204593519451 }, order_id: 0, price: UNDEF_PRICE, size: 0, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'R', side: 'N', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 0 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 183748, ts_event: 1718539204593519451 }, order_id: 6413383913050, price: 5500.000000000, size: 1, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'A', side: 'B', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 936 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 183748, ts_event: 1718539204593519451 }, order_id: 6413373623913, price: 5475.000000000, size: 1, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'A', side: 'B', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 936 }
...
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 183748, ts_event: 1718582388400474957 }, order_id: 6413384953470, price: 5562.750000000, size: 1, flags: LAST | SNAPSHOT | BAD_TS_RECV (168), channel_id: 0, action: 'A', side: 'B', ts_recv: 1718582400000000000, ts_in_delta: 0, sequence: 176276 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 183748, ts_event: 1718582400066482471 }, order_id: 6413384953619, price: 5564.750000000, size: 1, flags: LAST (130), channel_id: 0, action: 'A', side: 'A', ts_recv: 1718582400066580869, ts_in_delta: 14145, sequence: 176515 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 183748, ts_event: 1718582401163834877 }, order_id: 6413384953619, price: 5564.750000000, size: 1, flags: LAST (130), channel_id: 0, action: 'C', side: 'A', ts_recv: 1718582401163946845, ts_in_delta: 13326, sequence: 176774 }
...
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 183748, ts_event: 1718582409155703017 }, order_id: 6413384953440, price: 5413.250000000, size: 1, flags: LAST (130), channel_id: 0, action: 'M', side: 'B', ts_recv: 1718582409155796258, ts_in_delta: 12560, sequence: 178707 }

Live API

Users can request an MBO snapshot through the live API to obtain the recent order book state without replaying the whole trading session. The following sequence of messages is streamed from a live session after a snapshot subscription.

Symbol mapping messages
Snapshot records (clear book and outstanding orders at each price level)
Real-time records

Warning
The order book of a given instrument is not guaranteed to be in a complete and valid state after the last snapshot record because it might not correspond to the final event record (indicated with the F_LAST flag). If the last snapshot record does not have the F_LAST flag set, the order book will not be valid until the next MBO record with the F_LAST flag set.

The example below shows the live stream for a snapshot subscription for a single instrument, followed by a real-time record.

SymbolMappingMsg { hd: RecordHeader { length: 44, rtype: SymbolMapping, publisher_id: 0, instrument_id: 118, ts_event: 1721732190956747490 }, stype_in: 255, stype_in_symbol: "ES.c.0", stype_out: 255, stype_out_symbol: "ESU4", start_ts: 18446744073709551615, end_ts: 18446744073709551615 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 118, ts_event: 1721732152358684229 }, order_id: 0, price: UNDEF_PRICE, size: 0, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'R', side: 'N', ts_recv: 1721732152358684229, ts_in_delta: 0, sequence: 0 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 118, ts_event: 1721579296070204729 }, order_id: 6413514530616, price: 5547.500000000, size: 8, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'A', side: 'B', ts_recv: 1721732152358684229, ts_in_delta: 0, sequence: 1022 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 118, ts_event: 1721579296070204729 }, order_id: 6413514530330, price: 5547.250000000, size: 7, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'A', side: 'B', ts_recv: 1721732152358684229, ts_in_delta: 0, sequence: 1022 }
...
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 118, ts_event: 1721579296070204729 }, order_id: 6413506441952, price: 5628.000000000, size: 1, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'A', side: 'A', ts_recv: 1721732152358684229, ts_in_delta: 0, sequence: 1101 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 118, ts_event: 1721579296070204729 }, order_id: 6413500305436, price: 5628.250000000, size: 6, flags: SNAPSHOT | BAD_TS_RECV (40), channel_id: 0, action: 'A', side: 'A', ts_recv: 1721732152358684229, ts_in_delta: 0, sequence: 1058 }
...
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 118, ts_event: 1721732152290217707 }, order_id: 6413522310536, price: 5613.250000000, size: 3, flags: SNAPSHOT | BAD_TS_RECV (42), channel_id: 0, action: 'A', side: 'A', ts_recv: 1721732152358684229, ts_in_delta: 0, sequence: 13076493 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 118, ts_event: 1721732152290632121 }, order_id: 6413522309988, price: 5512.500000000, size: 6, flags: LAST | SNAPSHOT | BAD_TS_RECV (170), channel_id: 0, action: 'A', side: 'B', ts_recv: 1721732152358684229, ts_in_delta: 0, sequence: 13076496 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 118, ts_event: 1721732152365904111 }, order_id: 6413522310535, price: 5613.250000000, size: 1, flags: LAST (130), channel_id: 0, action: 'C', side: 'A', ts_recv: 1721732152366001513, ts_in_delta: 14406, sequence: 13076497 }
MboMsg { hd: RecordHeader { length: 14, rtype: Mbo, publisher_id: GlbxMdp3Glbx, instrument_id: 118, ts_event: 1721732152365916169 }, order_id: 6413522310537, price: 5613.000000000, size: 1, flags: LAST (130), channel_id: 0, action: 'A', side: 'B', ts_recv: 1721732152366014389, ts_in_delta: 12865, sequence: 13076498 }
...

Timestamp fields on snapshot messages

The timestamp fields for snapshot messages are described below.

ts_event: unchanged. The cleaR book MBO record from the Live API snapshot contains the snapshot generation timestamp instead
ts_in_delta: always 0
ts_recv: set to the snapshot generation timestamp (indicated with the F_BAD_TS_RECV flag)
ts_out: unchanged

Public client support for MBO snapshot

Live and historical snapshot features are available on all our official client libraries (Python, C++, Rust), as well as through our Raw API.

An example of a live snapshot subscription using our client libraries can be found in this article.