> ## Documentation Index
> Fetch the complete documentation index at: https://docs.cloud.coinbase.com/llms.txt
> Use this file to discover all available pages before exploring further.

# Derivatives UDP Periodic Snapshots

Per-instrument, snapshots are sent continuously on the dual A/B snapshot channels. The frequency of repeated snapshots is intentionally not specified, but the maximum delay between snapshots (for different instruments) is 5 seconds.

A single (instrument) snapshot consists of 2 or more messages, starting with instrument-type-specific start message, which includes the instrument definition, followed by an order snapshot message for each active order of the instrument, followed by an `EndOfSnapshot` message. The snapshot messages may be split across multiple packets if the full snapshot does not fit in a single packet. All packets of the snapshot share the same packet sequence number, which corresponds to the most recent incremental feed sequence number included in the snapshot.

All snapshot messages have `SnapshotSeqNum` as their first field. This sequence number always starts at 0 for the first message of a snapshot and does not wrap around. A single instrument does not have more than 65534 active orders.

The end of cycle message represents the end of a cycle where all active instruments in our system have sent their respective snapshots. The message has a count of the number of instruments sent since the previous cycle so that end users can verify they have all required snapshots and check against packet loss.

<Info>
  Snapshot messages include a **[message header](/derivatives/udp/message-structure#message-header)**, but not an instrument header.
</Info>

## Start of Outright Instrument Snapshot

| Start Of Outright Instrument Snapshot (110) | Type          | Length | Offset | Description                                                                                                                                                               |
| :------------------------------------------ | :------------ | :----- | :----- | :------------------------------------------------------------------------------------------------------------------------------------------------------------------------ |
| SnapshotSeqNum                              | uint16        | 2      | 10     | Sequence number of message within snapshot                                                                                                                                |
| LastInstrSeqNum                             | uint32        | 4      | 12     | Snapshot incorporates all incremental messages with `instrSeqNum` up and including this value                                                                             |
| Symbol                                      | char24        | 24     | 16     | Instrument name or symbol                                                                                                                                                 |
| ProductCode                                 | char8         | 8      | 40     | Code of underlying product/asset. Example: TEC (Nano SuperTech Fut)                                                                                                       |
| Description                                 | char32        | 32     | 48     | Instrument name                                                                                                                                                           |
| PriceIncrement                              | int64         | 8      | 80     | Minimum constant tick for instrument, encoded with 9 decimal places                                                                                                       |
| CfiCode                                     | char8         | 8      | 88     | ISO standard instrument categorization code                                                                                                                               |
| Currency                                    | char8         | 8      | 96     | Currency used for price                                                                                                                                                   |
| ProductId                                   | int32         | 4      | 104    | Product identifier                                                                                                                                                        |
| OldContractSize                             | int32         | 4      | 108    | Contract size encoded with 0 decimal places (deprecated from version 1.5 of this UDP Market Data API specification document)                                              |
| OrderCount                                  | int32         | 4      | 112    | Number of orders in snapshot                                                                                                                                              |
| FirstTradingSessionDate                     | uint16        | 2      | 116    | Days since Unix epoch                                                                                                                                                     |
| LastTradingSessionDate                      | uint16        | 2      | 118    | Days since Unix epoch                                                                                                                                                     |
| TradingSessionDate                          | int16         | 2      | 120    | Days since Unix epoch                                                                                                                                                     |
| ProductGroup                                | uint8         | 1      | 122    | `0` - Currency <br />`1` - Equity <br />`2` - Energy <br />`3` - Metals <br />`4` - Interest Rate <br />`5` - Agriculture <br />`6` - Crypto                              |
| TradingStatus                               | uint8         | 1      | 123    | Trading session status <br />`0` - Pre-open <br />`1` - Open <br />`2` - Halt <br />`3` - Pause <br />`4` - Close <br />`5` - Pre-open (No Cancel) <br />`6` - Expired    |
| ContractSize                                | int64         | 8      | 124    | Contract size encoded with 8 decimal places (added in version 1.5 of this UDP Market Data API specification document)                                                     |
| LogicalExpiry                               | LogicalExpiry | 8      | 132    | Contract expiration<br />`1-2`: year <br />`3-4`: month <br />`5-6`: weekOfMonth <br />`7-8`: dayOfMonth                                                                  |
| FundingIntervalMinutes                      | int32         | 4      | 140    | Time in minutes between funding periods                                                                                                                                   |
| FairValueLimit                              | int32         | 4      | 144    | Level up and down from fair value determining fair value limits                                                                                                           |
| HaltReason                                  | uint8         | 1      | 148    | (Optional) Halt reason: <br />`1` - Scheduled <br />`2` - Price Fluctuation Event <br />`3` - System Disruption <br />`4` - FAST\_MARKET\_EVENT <br /> Null value = `255` |

## Start of Spread Instrument Snapshot

| Start Of Spread Instrument Snapshot (111) | Type          | Length | Offset | Description                                                                                                                                                                                  |
| :---------------------------------------- | :------------ | :----- | :----- | :------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
| SnapshotSeqNum                            | uint16        | 2      | 10     | Sequence number of message within snapshot                                                                                                                                                   |
| LastInstrSeqNum                           | uint32        | 4      | 12     | Snapshot incorporates all incremental messages with instrSeqNum up and including this value                                                                                                  |
| Symbol                                    | char24        | 24     | 16     | Instrument name or symbol                                                                                                                                                                    |
| ProductCode                               | char8         | 8      | 40     | Code of underlying product/asset. Example: TEC (Nano SuperTech Fut)                                                                                                                          |
| Description                               | char32        | 32     | 48     | Instrument name                                                                                                                                                                              |
| PriceIncrement                            | int64         | 8      | 80     | Minimum constant tick for instrument, encoded with 9 decimal places                                                                                                                          |
| CfiCode                                   | char8         | 8      | 88     | ISO standard instrument categorization code                                                                                                                                                  |
| Currency                                  | char8         | 8      | 96     | Currency used for price                                                                                                                                                                      |
| ProductId                                 | int32         | 4      | 104    | Product identifier                                                                                                                                                                           |
| OldContractSize                           | int32         | 4      | 108    | Contract size encoded with 0 decimal places (deprecated from version 1.5 of this UDP Market Data API specification document)                                                                 |
| OrderCount                                | int32         | 4      | 112    | Number of orders in snapshot                                                                                                                                                                 |
| FirstTradingSessionDate                   | uint16        | 2      | 116    | Days since Unix epoch                                                                                                                                                                        |
| LastTradingSessionDate                    | uint16        | 2      | 118    | Days since Unix epoch                                                                                                                                                                        |
| TradingSessionDate                        | int16         | 2      | 120    | Days since Unix epoch                                                                                                                                                                        |
| ProductGroup                              | uint8         | 1      | 122    | `0` - Currency <br />`1` - Equity <br />`2` - Energy <br />`3` - Metals <br />`4` - Interest Rate <br />`5` - Agriculture <br />`6` - Crypto                                                 |
| TradingStatus                             | uint8         | 1      | 123    | Trading session status <br />`0` - Pre-open <br />`1` - Open <br />`2` - Halt <br />`3` - Pause <br />`4` - Close <br />`5` - Pre-open (No Cancel) <br />`6` - Expired <br />`7` - Forbidden |
| Leg1InstrumentId                          | int32         | 4      | 124    | Instrument identifier for near leg                                                                                                                                                           |
| Leg2InstrumentId                          | int32         | 4      | 128    | Instrument identifier for far leg                                                                                                                                                            |
| SpreadBuyConvention                       | int8          | 1      | 132    | <br />`1` - Use far leg as bid <br />`-1` - Use near leg as bid                                                                                                                              |
| LogicalExpiry                             | LogicalExpiry | 8      | 133    | Contract expiration<br />`1-2`: year <br />`3-4`: month <br />`5-6`: weekOfMonth <br />`7-8`: dayOfMonth                                                                                     |
| HaltReason                                | uint8         | 1      | 141    | (Optional) Halt reason: <br />`1` - Scheduled <br />`2` - Price Fluctuation Event <br />`3` - System Disruption <br />`4` - Fast Market Event <br /> Null value = `255`                      |

## Start of Option Instrument Snapshot

| Start Of Option Instrument Snapshot (112) | Type          | Length | Offset | Description                                                                                                                                                                                  |
| :---------------------------------------- | :------------ | :----- | :----- | :------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
| SnapshotSeqNum                            | uint16        | 2      | 10     | Sequence number of message within snapshot                                                                                                                                                   |
| LastInstrSeqNum                           | uint32        | 4      | 12     | Snapshot incorporates all incremental messages with instrSeqNum up and including this value                                                                                                  |
| Symbol                                    | char24        | 24     | 16     | Instrument name or symbol                                                                                                                                                                    |
| ProductCode                               | char8         | 8      | 40     | Code of underlying product/asset. Example: TEC (Nano SuperTech Fut)                                                                                                                          |
| Description                               | char32        | 32     | 48     | Instrument name                                                                                                                                                                              |
| SmallTick                                 | int64         | 8      | 80     | Small tick size, encoded with 9 decimal places                                                                                                                                               |
| CfiCode                                   | char8         | 8      | 88     | ISO standard instrument categorization code                                                                                                                                                  |
| LargeTick                                 | int64         | 8      | 96     | Large tick size, encoded with 9 decimal places                                                                                                                                               |
| LargeTickThreshold                        | int64         | 8      | 104    | Large tick size applies if price is >= this threshold price, encoded with 9 decimal places                                                                                                   |
| StrikePrice                               | int64         | 8      | 112    | Strike price, encoded with 9 decimal places                                                                                                                                                  |
| ProductId                                 | int32         | 4      | 120    | Product identifier                                                                                                                                                                           |
| UnderlyingInstrumentId                    | int32         | 4      | 124    | Instrument id of the underlying outright contract                                                                                                                                            |
| OrderCount                                | int32         | 4      | 128    | Number of orders in snapshot                                                                                                                                                                 |
| FirstTradingSessionDate                   | uint16        | 2      | 132    | Days since Unix epoch                                                                                                                                                                        |
| LastTradingSessionDate                    | uint16        | 2      | 134    | Days since Unix epoch                                                                                                                                                                        |
| TradingSessionDate                        | int16         | 2      | 136    | Days since Unix epoch                                                                                                                                                                        |
| ProductGroup                              | uint8         | 1      | 138    | `0` - Currency <br />`1` - Equity <br />`2` - Energy <br />`3` - Metals <br />`4` - Interest Rate <br />`5` - Agriculture <br />`6` - Crypto                                                 |
| TradingStatus                             | uint8         | 1      | 139    | Trading session status <br />`0` - Pre-open <br />`1` - Open <br />`2` - Halt <br />`3` - Pause <br />`4` - Close <br />`5` - Pre-open (No Cancel) <br />`6` - Expired <br />`7` - Forbidden |
| InstrumentDefinitionFlags                 | uint16        | 2      | 140    | Bitset: <br />`0x01` - isPriorSettlementTheoretical <br />`0x02` - isAnnounced <br />`0x04` - isCall (applicable for options) <br />`0x08` - isStrikeDelisted                                |
| OptionExpiryType                          | int8          | 1      | 142    | Option expiry type: <br />`0` - Weekly <br />`1` - Monthly                                                                                                                                   |
| LogicalExpiry                             | LogicalExpiry | 8      | 143    | Contract expiration<br />`1-2`: year <br />`3-4`: month <br />`5-6`: weekOfMonth <br />`7-8`: dayOfMonth                                                                                     |
| HaltReason                                | uint8         | 1      | 151    | (Optional) Halt reason: <br />`1` - Scheduled <br />`2` - Price Fluctuation Event <br />`3` - System Disruption <br />`4` - Fast Market Event <br /> Null value = `255`                      |

## Order Snapshot

| Order Snapshot (120) | Type   | Length | Offset | Description                                                                        |
| :------------------- | :----- | :----- | :----- | :--------------------------------------------------------------------------------- |
| SnapshotSeqNum       | uint16 | 2      | 10     | Sequence number of message within snapshot                                         |
| SignedQuantity       | int32  | 4      | 12     | Signed quantity with 0 decimal places. Positive value = buy; negative value = sell |
| TransactTime         | int64  | 8      | 16     | Event timestamp - nanoseconds since Unix epoch                                     |
| OrderId              | int64  | 8      | 24     | Unique identifier for order                                                        |
| Price                | int64  | 8      | 32     | Price encoded with 9 decimal places                                                |

## End of Snapshot

| End Of Snapshot (122)     | Type   | Length | Offset | Description                                                                                                                                                                                         |
| :------------------------ | :----- | :----- | :----- | :-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
| SnapshotSeqNum            | uint16 | 2      | 10     | Sequence number of message within snapshot                                                                                                                                                          |
| TradeVolume               | int32  | 4      | 12     | Total day traded volume for instrument as of the last trade in message                                                                                                                              |
| IndicativeOpenPrice       | int64  | 8      | 16     | Price encoded with 9 decimal places                                                                                                                                                                 |
| DayOpenPrice              | int64  | 8      | 24     | Price encoded with 9 decimal places                                                                                                                                                                 |
| ClosePrice                | int64  | 8      | 32     | Price encoded with 9 decimal places                                                                                                                                                                 |
| LowPrice                  | int64  | 8      | 40     | Price encoded with 9 decimal places                                                                                                                                                                 |
| HighPrice                 | int64  | 8      | 48     | Price encoded with 9 decimal places                                                                                                                                                                 |
| VwapPrice                 | int64  | 8      | 56     | Volume weighted average price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`                                                                                             |
| SettlementPrice           | int64  | 8      | 64     | Price encoded with 9 decimal places                                                                                                                                                                 |
| LastTradePrice            | int64  | 8      | 72     | Price encoded with 9 decimal places                                                                                                                                                                 |
| LastTradeTime             | int64  | 8      | 80     | Nanoseconds since Unix epoch                                                                                                                                                                        |
| BestBidImpliedPrice       | int64  | 8      | 88     | First level implied price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`                                                                                                 |
| BestAskImpliedPrice       | int64  | 8      | 96     | First level implied price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`                                                                                                 |
| NextBidImpliedPrice       | int64  | 8      | 104    | Second level implied price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`                                                                                                |
| NextAskImpliedPrice       | int64  | 8      | 112    | Second level implied price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`                                                                                                |
| LimitDownPrice            | int64  | 8      | 120    | Minimum price that an instrument may currently trade at                                                                                                                                             |
| LimitUpPrice              | int64  | 8      | 128    | Maximum price that an instrument may currently trade at                                                                                                                                             |
| LastTradeQty              | int32  | 4      | 136    | Quantity encoded with 0 decimal places                                                                                                                                                              |
| OpenInterest              | int32  | 4      | 140    | The total open interest for the market at the close of the prior trading session                                                                                                                    |
| BestBidImpliedQty         | int32  | 4      | 144    | First level implied quantity encoded with 0 decimal places                                                                                                                                          |
| BestAskImpliedQty         | int32  | 4      | 148    | First level implied quantity encoded with 0 decimal places                                                                                                                                          |
| NextBidImpliedQty         | int32  | 4      | 152    | Second level implied quantity encoded with 0 decimal places                                                                                                                                         |
| NextAskImpliedQty         | int32  | 4      | 156    | Second level implied quantity encoded with 0 decimal places                                                                                                                                         |
| PriorSettlementPrice      | int64  | 8      | 160    | Price encoded with 9 decimal places                                                                                                                                                                 |
| InstrumentDefinitionFlags | uint16 | 2      | 168    | "Bitset: <br />`0x01`- isPriorSettlementTheoretical <br />`0x02` - isAnnounced <br />`0x04` - isCall (applicable for options) <br />`0x08` - isStrikeDelisted <br />`0x10` - fundingRateApplicable" |
| FinalFundingRate          | int64  | 8      | 170    | Final funding rate encoded with 9 decimal places. Null value encoded as `0x8000000000000000`                                                                                                        |
| FinalFuturesMarkPrice     | int64  | 8      | 178    | Final futures mark price encoded with 9 decimal places. Null value encoded as `0x8000000000000000`                                                                                                  |
| FinalFundingRateTimestamp | int64  | 8      | 186    | Timestamp when funding rate becomes final - nanoseconds since Unix epoch. Null value encoded as `0x8000000000000000`                                                                                |
| FuturesMarkPrice          | int64  | 8      | 194    | Futures mark price encoded with 9 decimal places. Null value encoded as `0x8000000000000000`                                                                                                        |
| PredictedFundingRate      | int64  | 8      | 202    | Predicted funding rate encoded with 9 decimal places. Null value encoded as `0x8000000000000000`                                                                                                    |
| SpotMarkPrice             | int64  | 8      | 210    | Spot mark price encoded with 9 decimal places. Null value encoded as `0x8000000000000000`                                                                                                           |
| FairValue                 | int64  | 8      | 218    | Fair value encoded with 9 decimal places. Null value encoded as `0x8000000000000000`                                                                                                                |

## End of Cycle

| End Of Cycle (124)    | Type  | Length | Offset | Description                                        |
| :-------------------- | :---- | :----- | :----- | :------------------------------------------------- |
| ActiveInstrumentCount | int32 | 4      | 10     | Total number of instruments sent in snapshot cycle |