Snapshot diff for recorded order books
Pick two moments in a recorded order-book session and see which price levels changed between them. Try it here on a made-up session; it runs in your browser.
By Matthew Hendricks, from a made-up recorded session. No affiliate links (about this guide).
What you get
You pick two positions in the recording, called A and B. A position is an event number: the first recorded update is the first position. The tool then shows three things.
- The price levels whose displayed size differs between A and B, up to 20 on each side of the book.
- How many recorded book updates and trade prints sit between A and B.
- For each level, the recorded updates that touched it.
It works on price-level books, where each price shows one total size. It does not read orders, fills or a trader’s account.
How to use it
- Pick two moments. Type two positions, drag the sliders, or press “Use the busiest stretch”. That preset looks for a short window with many updates in the first 50,000 events.
- Read the diff. Switch between the book before (A), after (B) and the difference. Select a level to see the recorded updates at that price.
- Check the result. The tool rebuilds both books from the start of the session, without saved states, and runs the comparison again. You can download the report as a JSON file.
In the sample session (BTC-USD, 984 events), positions 163 and 169 differ at 5 price levels, with 6 recorded book updates between them. I checked that pair on 2026-10-19.
What the terms mean
| Term | What it means here |
|---|---|
| Displayed size | The total size shown at a price after a recorded update |
| Differs | The displayed size at A is not the displayed size at B |
| Recorded updates between | Book updates in the recording after A, up to and including B |
| State digest | A short fingerprint of the whole book at one position |
| Result hash | A fingerprint of the comparison, covering the engine version |
What “Match” means
Step 3 shows “Match” when both state digests and the result hash come out the same on the second run. The same recorded session, the same two positions and the same engine version give the same hashes. A new engine version can give a new hash for the same input.
A match shows the computation repeats. It does not show the original feed was accurate or complete.
What it does not show
- A cause. The tool says that a size changed, not why. It names no trader, order or intent.
- Fills, orders or P&L. It reads the recorded book and trade prints only.
- Anything outside price-level data. Market-by-order recordings, where every order is listed, are a different kind of data.
- Real market data. Every session on this page is made up, and the tool says so.
Use it on a recording of your own
Matchstick Replay opens a recording you saved yourself and steps through it event by event. Order book replay in your browser covers the free demo, and Record an order book yourself covers saving a public book. This page does not take uploads.
Quick answers
Does the snapshot diff tell me why a price level changed?
No. A recorded update holds the displayed size after the change. It does not say who changed it or why, so the diff lists what differs, not the cause.
What does Match mean in the last step?
The tool rebuilt both books from the start of the session and ran the comparison a second time. Match means the two state digests and the result hash came out the same. It shows the computation repeats, not that the original feed was complete.
Can I run it on my own recording?
This page uses a made-up session only. The Matchstick Replay app opens recordings you saved yourself; the guides under Docs show how to record one.
About this guide
Compiled from a made-up recorded session by Matthew Hendricks, founder of Matchstick (about Matthew). Where a source is an archive snapshot, the Sources list says so. There are no affiliate links on these pages. Matchstick also talks to prop firms about a paid pilot (the firms page).
Matchstick Replay is a tool for replaying recorded futures market data. These pages are for futures traders who take prop-firm evaluation accounts (the test accounts you must pass first). Not about retirement accounts, banking, restaurant orders or video calls.
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