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Research field guide

Order-book snapshots versus executed trades

A displayed order is an offer to trade, while an executed trade records a match. Snapshot differences alone cannot determine whether removed size was cancelled, filled or moved.

A worked distinction

Suppose a bid bucket contains 80,000 USDT and the next snapshot contains 20,000 USDT. The 60,000 difference is a reduction in displayed size. Calling it 60,000 USDT of market sells would require execution records and matching coverage that the snapshots do not provide.

What to verify in your own analysis

Compare the exact market, sampling interval and price bucket. Read trade-side conventions separately; a venue may label the maker or taker side.

Write down the market or protocol identifier, units, observation window and data source before comparing outputs. Keep unavailable values distinct from zero. Capture a baseline and change one assumption at a time so the resulting difference can be explained.

Use the linked working tools

Open the related tools below to inspect actual public observations or calculate a local scenario. The numerical example above is illustrative, not a current quote. Export the result together with its assumptions if you need a reproducible research record.

The review checklist records what you checked in this tab. Completion measures your own notes, not whether an investment is safe, suitable or profitable.

Primary documentation

Research review record

Use this local checklist while you work through the explanation. Nothing is saved or sent automatically.

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