Snapshot data is a form of market data in which the state of the market is published at regular intervals, such as once a second or several times a second. Each snapshot typically shows the last traded price, the best bid and ask with their quantities, a few further levels of the order book, cumulative volume and the day's open, high and low. Events that occur between two snapshots are not shown individually.
The alternative is tick-by-tick data, which reports every order, change and trade as it happens. Snapshot feeds are smaller, cheaper and easier to process, and are adequate for charting, retail trading screens and slower strategies. They are unsuitable for strategies that depend on the exact order of events. The word also describes a full image of the order book that an exchange sends so that a market data adapter can start up or recover before applying incremental updates.