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DATA · ORDER-BOOK SNAPSHOTS TIMING

Crypto Order-Book Snapshots: Event Time vs Retrieval Time

A Binance futures depth snapshot carries lastUpdateId, an event time and a transaction time. Which one you key on decides how snapshots join with trades.

By ChartsPod Editorial Team · Reviewed by ChartsPod Research
Published · Updated · 5 min read

Short answer

Binance USD-M depth returns lastUpdateId, E (message output time), T (transaction time) and bid/ask levels. T reflects the matching-engine time of the latest update in the snapshot; E is when the response was produced. Join snapshots with trades on T, order snapshots by lastUpdateId, and record your retrieval time to measure delay. Snapshots are moments; diffs between them are needed to see changes.

Which times the data carries

TimePresent?Meaning
lastUpdateIdYesBook version
T (transaction time)YesEngine time
E (event time)YesOutput time
Retrieval timeNoRecord it

Check Crypto Order-Book Snapshots against a live market before relying on it.

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What to record yourself

Field to storeWhy
lastUpdateIdOrdering
TJoin with trades
EExchange output
retrieved_atDelay
limitDepth range
Order-Book Snapshots: a stored recordOrder-Book Snapshots: a stored record: lastUpdateId — Ordering; T — Join with trades; E — Exchange output; retrieved_at — Delay; limit — Depth range.lastUpdateIdOrderingTJoin with tradesEExchange outputretrieved_atDelaylimitDepth range
Every order-book snapshots row carries its own clock. Original ChartsPod editorial graphic.

Example

Order-Book Snapshots: event vs retrieval (illustrative)Order-Book Snapshots: event vs retrieval (illustrative): T: 12:00:00.050; E: 12:00:00.060; RECEIVED: 12:00:00.240; JOIN: Trades up to T.T12:00:00.050E12:00:00.060RECEIVED12:00:00.240JOINTrades up to T
Two clocks, one record. Original ChartsPod editorial graphic.

Illustrative: joining a snapshot with trades by receipt time attributed 180 ms of later trades to the book state, making it look as if liquidity was hit before it was.

Related: Crypto Order-Book Snapshots: Null vs Zero - Handle Missing Fields Correctly, Crypto Aggregated Trades: Event Time vs Retrieval Time.

Snapshots are moments; diffs between them are needed to see changes.

Compare Crypto Order-Book Snapshots across Binance, Bybit, OKX and Hyperliquid markets.

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Questions readers ask

What is T in a Binance depth snapshot?

Transaction time of the book state.

What orders snapshots?

lastUpdateId.

How do I join with trades?

On T.

Sources and methodology

Field definitions come from DEX Screener's API reference and CoinGecko's onchain API documentation, read 17 October 2026. Where a schema doesn't document a timestamp, this guide says so and recommends recording retrieval time yourself.

  1. Binance: USD-M Futures market data API — trades, depth, funding and open interest.

This article explains research tools and workflows. It is not financial advice, does not recommend buying or selling any asset and does not predict prices. Crypto derivatives carry a risk of rapid and total loss of margin.

CHARTSPOD EDITORIAL EDITION · RESEARCH AND EDUCATION ONLY · NOT FINANCIAL ADVICE.