Consensus Snapshot
A consensus snapshot is the benchmark probability taken at a specific time, such as the mid price at market close. It is used for consistent comparisons.
Definition
A consensus snapshot is a market based benchmark probability taken at a specific timestamp. It is commonly used in evaluation to ensure everyone is compared against the same reference point.
Common snapshots
• mid price at market close
• VWAP over a short window ending at close
• a fixed checkpoint like T-24h
Why it matters
Snapshots simplify evaluation and help prevent look ahead bias. They also reduce ambiguity about what “the market” predicted.
Related
Consensus snapshots are a type of benchmark and should align with your evaluation checkpoint.