Order Flow and Futures Trading Glossary

• 0DTE options — 0DTE options are contracts that expire on the day they are traded (zero days to expiry). Their gamma is concentrated at the strike and changes quickly with spot, which makes them a large and unstable component of intraday gamma exposure estimates.
• 25Δ risk reversal — The 25-delta risk reversal is the standard measure of volatility skew: the implied volatility of the 25-delta call minus the implied volatility of the 25-delta put at the same expiry. A negative value means put skew, a positive value call skew, and the site's guide treats readings within roughly −2% to +2% as neutral.
• 80% rule — The 80% value area rule is a market profile heuristic stating that when price opens outside the previous session's value area, then trades back inside it and is accepted there, the session is expected to rotate across the whole value area to the opposite edge. The 80% figure is the rule's traditional name, not a measured statistic.
• Absorption — Absorption is heavy aggressive volume trading into a price level while price makes little or no progress through it, which is consistent with passive limit orders taking the other side. The observation is made on executed volume and price range; it does not identify who provided the liquidity or guarantee that the level will hold.
• Activation fee — An activation fee is a one-off amount a prop firm charges after an evaluation is passed, before the funded account is opened. It is distinct from the evaluation price and from any monthly subscription, and it is paid before any payout can be requested.
• Aggregated vs order-by-order — Aggregated depth reports one total size per price level, while order-by-order depth (market by order, MBO) reports each individual resting order with its own identity, size and queue position. The two feeds describe the same book, but only the order-by-order feed lets a platform follow an order through its life and separate cancellations from executions.
• Aggregated trades — Aggregated trades, or aggTrades, are Binance's compact trade records in which the fills generated by a single taker order at one price are merged into one event with a summed quantity. An aggTrade therefore counts one aggressive order, not one execution, and it carries the maker flag needed to classify the aggressor.
• Aggressor — The aggressor is the side of a trade that crossed the spread to get filled: a buyer who lifted the offer or a seller who hit the bid. Every delta, footprint and cumulative delta calculation depends on this flag being present in the data.
• AI assistant — An AI assistant in trading software is a language-model panel that reads the application's current state, such as the mounted chart, a script or a backtest report, and answers questions or proposes typed actions about it. It works from the user's own model key and explains what is on screen; it does not predict prices or send orders.
• Algorithmic trading — Algorithmic trading is the execution of trading decisions by a program that reads market data and sends, modifies or cancels orders according to predefined instructions; the term covers execution algorithms that work a large order as well as strategies that decide when to trade.
• Anchored VWAP — Anchored VWAP is a volume-weighted average price whose calculation starts at an event the trader chooses, such as a swing high, a swing low or the first bar of a move, instead of the session open. It shows the average price paid by everyone who traded since that event, and it does not reset when a new session begins.
• Arming — Arming is the deliberate action by which a trader authorises an automated strategy to send real orders; until it is performed, the strategy computes decisions but nothing leaves the machine. Arming is session-bound: it is not saved between restarts and is cancelled by a disarm or STOP.
• Auction market theory — Auction market theory is the framework, associated with J. Peter Steidlmayer's Market Profile, that describes a market as a continuous two-sided auction whose purpose is to find the prices where trade is facilitated. It explains profiles, value areas, balance and imbalance in terms of acceptance and rejection of price over time.
• Autocorrelation — Autocorrelation measures how much a series of bar returns resembles a lagged copy of itself: a positive value at lag 1 means a bar tends to continue the previous bar's direction, a negative value means bars tend to alternate, and a value near zero means the last bar says little about the next one.
• Automated trading — Automated trading permission is the explicit authorisation, written in a prop firm's or broker's account terms, to let software place orders without a human click on each one. A permitted data connection or a working API login is not that permission; several firms forbid automation on funded accounts even when the connection works.
• Autopilot — Autopilot is the component of a trading platform that lets a saved strategy send real orders to a connected broker account without a human click per order. Because it removes the click, it is guarded: it does nothing until the trader explicitly arms it, it runs under configured loss and size limits, and a STOP control disarms it and flattens the position.
• b-shaped profile — A b-shaped profile is a volume or TPO profile with its volume concentrated in the lower part of the range and a thin tail above, resembling a lowercase b. It results from a fast move down that was followed by sustained trading at the lower prices, which is where the POC and value area end up.
• Backtest — A backtest applies a fully specified trading rule to historical data under an explicit execution model and reports what would have happened after costs. Its result is conditional on the data coverage, the fill assumptions and the number of rules tried; it describes the past under those assumptions and does not prove a future edge.
• Balance area — A balance area is a region of price where the market rotates between two boundaries and builds overlapping value, rather than trending. Inside it buyers and sellers are trading two-sidedly around a central point of control; the market is said to be in balance until price leaves the area and is accepted outside it.
• Bankroll — The bankroll, in the prop-firm context, is the cash a trader must be able to spend on evaluations, resets, activations and subscriptions before payouts start covering those costs. It is measured as the deepest point the cumulative cash position reaches over the account cycle, not as the price of one evaluation.
• Bar POC — The bar POC, or point of control per bar, is the price level inside a single bar where the largest total volume traded. It is the per-bar version of the volume profile's point of control, and its position inside the bar's range and its movement from one bar to the next are both used as orderflow readings.
• Bar types — Bar types are the rules that decide when one bar of a chart closes and the next one opens: after a fixed clock interval for time bars, after a fixed number of trades for tick bars, a fixed number of contracts for volume bars, a fixed price movement for range bars, or a fixed net aggression for delta bars. On a footprint chart the bar type decides which prints share a cell, so it changes every per-bar reading.
• Best bid / ask — The best bid is the highest price at which a resting buy order is displayed, and the best ask (or best offer) is the lowest price at which a resting sell order is displayed; together they form the BBO, the top of the order book. Every aggressive trade executes at one of these two prices, which is how a trade's side is classified.
• Bid × Ask — A Bid × Ask footprint is the display type that prints, at every price level of a candle, the volume executed at the bid on the left and the volume executed at the ask on the right. It is the rawest form of a footprint chart, from which delta and imbalances are read directly.
• Bid × ask volume — Bid volume is the quantity that traded at the bid price, initiated by sellers; ask volume is the quantity that traded at the ask, initiated by buyers. A footprint chart shows these two numbers side by side at every price of a bar.
• Bid-ask spread — The bid-ask spread is the difference between the best ask and the best bid, the price gap an aggressive order pays to trade immediately. On liquid futures it is usually one tick; it widens when displayed liquidity thins, around news, and outside regular hours.
• Big trades — Big trades, also called large prints, are individual executions or tightly aggregated executions whose size is far above the typical trade on that instrument. Order flow tools mark them on the chart because a few large prints often carry more information about who is active than hundreds of small ones.
• Block trade — A block trade in options is a single large execution, frequently negotiated away from the public order book and then reported to the tape under a specific trade condition. Its size is visible; the counterparties, their intent and any linked hedge are not.
• Book depth — Book depth is the number of price levels on each side of the order book for which a data feed publishes resting size, counted from the best bid downward and from the best ask upward. It is a property of the feed and the exchange product, not of the charting software, and it caps what any DOM or heatmap can display.
• Bracket order — A bracket order is a position protected on both sides by two exit orders: a stop-loss below the entry of a long (above for a short) and a take-profit on the other side, linked so that when one fills the other is cancelled. The bracket defines the risk and the reward of the trade before the market decides which one is reached.
• Bridge — A bridge is a small add-on that runs inside a trading platform already installed on the same machine, such as NinjaTrader or Quantower, and forwards that platform's tick feed, order book and account to a separate order flow application over a local connection. It forwards only what the host platform is entitled to receive, and nothing leaves the computer.
• Buying and selling pressure — Buying and selling pressure describe how much aggressive buying or selling is present relative to the other side, and where in the price range it happens. Different measures locate that pressure by the point of control, by the middle of the bar or by where the bar closed.
• Call wall — A call wall is the strike above spot where call options are most concentrated under a provider's chosen metric, usually open interest or modeled gamma. The label marks a concentration on the strike axis; it does not by itself establish resistance, the sign of dealer positioning or the direction of the next hedge.
• Central limit order book — A central limit order book (CLOB) is a single, exchange-operated list of all resting limit orders for an instrument, ranked by price and then by time of arrival, against which incoming orders are matched. It is the structure that gives futures one order book and one tape, and it is what a DOM ladder displays.
• Chart template — A chart template is a saved set of chart settings, such as colours, mounted indicators, crosshair and element visibility, that can be applied to a chart in one action. A preset is a template shipped with the software; a saved template is one the user captured from a chart they configured.
• Click trading — Click trading is order entry performed directly on the depth of market ladder: clicking a price row on the bid column places a buy limit at that price, clicking the ask column places a sell limit, and working orders are moved or cancelled from the same rows. It ties order placement to the depth being read, at the cost of making a mis-click an order.
• CME Globex — CME Globex is the electronic trading platform of CME Group on which futures such as ES, NQ, the micros and the currency contracts trade through a central limit order book. It runs nearly around the clock from Sunday evening to Friday afternoon, Chicago time, with a daily maintenance break, and it is the source of the executions and depth that order flow tools display.
• CME session open — The CME session open is the moment the exchange's electronic session resumes each trading day, at 17:00 Chicago time for equity index and most other Globex futures. It is the natural anchor for session-based calculations on futures: a session cumulative delta, a session VWAP or a session high and low all start counting from that minute, not from midnight.
• CME trading hours — CME trading hours for equity index futures run from Sunday 17:00 to Friday 16:00 Chicago time, with a daily break from 16:00 to 17:00 during which no quotes or trades are published. Outside those hours a chart cannot receive new data, and a silent feed is expected rather than a fault.
• Composite profile — A composite profile is a volume profile built over a chosen window of history rather than a single session: several sessions, a number of days, or a rolling window ending at the current bar. It shows the long-lived high and low volume nodes that individual session profiles hide.
• Connection preflight — A connection preflight is a step-by-step diagnostic that exercises a market-data connection one stage at a time, gateway, system name, login, subscription and first tick, and reports what each stage measured. It separates a refused route from refused credentials and from an accepted feed that is simply silent.
• Consistency rule — A consistency rule is a prop firm condition that caps how much of the total profit a single day or week may represent, typically expressed as a percentage; breaking it does not usually fail the account but holds the pass or the payout until further trading brings the largest day back under the cap.
• Consolidated tape — A consolidated tape is a single, time-ordered record of every execution in a market, regardless of which participant matched it. Exchange-listed futures have one because a central order book matches every trade; spot foreign exchange has none, because no venue sees every transaction.
• Continuous contract — A continuous contract is a synthetic price series built by chaining successive futures expiries according to a roll rule, so that a chart or a backtest can span more than one contract. It is a construction: the roll dates and any price adjustment are choices, and the series never existed as a single tradable instrument.
• Contract roll — A contract roll, or rollover, is the period when trading activity in a futures product moves from the expiring contract to the next expiry. For charts, backtests and level-based analysis it is a discontinuity: the two contracts trade at different prices and their order flow records are separate.
• Contract specs — Contract specifications are the exchange-published definition of a futures product: what one contract represents, its minimum price fluctuation and the value of that tick, the trading hours, the listed months and the settlement method. They are the source for every unit a footprint chart displays, and they can be revised by the exchange.
• Cost per payout — Cost per payout is the total amount spent on prop-firm evaluations, resets, activations and subscriptions divided by the number of payouts received. It expresses what a trader pays, on average, to obtain one withdrawal, and it is only meaningful once several payouts have been recorded.
• Crypto exchange feed — A crypto exchange feed is the public market-data stream a centralised exchange such as Binance or Bybit publishes for its own pairs: trades, order-book updates and candles, usually without an account or API key. It covers that exchange only, and its trade side and quantity conventions differ from venue to venue.
• Crypto footprint — A crypto footprint is a footprint chart built from a cryptocurrency exchange's trade feed: each candle is split by price, and each price shows the quantity that executed at the bid and at the ask, using the venue's own taker-side flag. It is specific to one exchange, one pair and one market type, spot or perpetual.
• Cumulative delta — Cumulative delta, or CVD, is the running sum of bar delta from a chosen starting point, usually the session open. It shows whether aggressive buyers or sellers have dominated over the session so far, which price alone can hide.
• Cumulative depth — Cumulative depth is the running total of resting size across several consecutive price levels on one side of the order book, starting from the best price. Comparing the bid-side total with the ask-side total over the same number of levels gives a steadier read of where resting size sits than any single level, which can be an outlier or be pulled.
• CVD anchor — The CVD anchor is the point from which cumulative delta starts counting at zero. Because the curve is a running sum, changing the anchor changes every value that follows, which is why session-based resets are the usual convention on futures.
• D-shaped profile — A D-shaped profile is a balanced volume or TPO profile: a bell-like distribution with its widest node in the middle of the range and volume tapering symmetrically toward both extremes. It records a period of rotation in which buyers and sellers kept trading around a central point of control.
• Daily loss limit — A daily loss limit is the largest loss a prop firm allows in one trading session, measured from the session's starting balance or equity; a soft limit closes the day's positions and stops trading until the next session, while a hard limit fails the account.
• Data vs software cost — Data cost and software cost are two separate lines of a trading budget: the software licence pays for the charting and analysis tools, while the data cost pays the exchange and the provider for the right to receive trades, depth and history. Comparing platforms only on the licence price omits a line that is often larger and more variable.
• Data feed — A data feed is the connection that delivers market data to a charting platform: executed trades, resting depth, and sometimes historical records, each of which is a separate entitlement from the provider. The feed, not the chart, decides what a footprint, DOM or heatmap can show.
• Data freshness — Data freshness, or snapshot age, is the time elapsed since the most recent input behind a displayed value was captured. A derived level such as a gamma wall inherits the age of the oldest input that went into it, so the age must be shown next to the level rather than assumed to be live.
• Data gap — A data gap is an interval for which the chart holds no trades, depth updates or bars, even though the market may have been open. A gap is not a flat market and must never be drawn as zero volume; the honest representation is a marked hole.
• Data licence — A data licence is the agreement under which an exchange or vendor lets a subscriber receive market data for a defined use, on defined terms. Redistribution, the act of passing that data on to other people or products, is a separate right that a standard subscriber licence usually does not include.
• Databento — Databento is a market-data vendor that sells exchange data, including CME futures trades and depth, on a per-dataset licence and through an API key rather than through a broker account. In order flow software it is a market-data-only source: it can feed footprints, heatmaps and backtests but routes no orders.
• Dealer positioning — Dealer positioning is the assumption a GEX model makes about which side of each open option contract market makers hold. Open interest counts contracts without naming holders, so the sign of dealer gamma is inferred by convention, most often that dealers are short the calls and long the puts their clients own.
• Deflated Sharpe — The deflated Sharpe ratio corrects an observed Sharpe ratio for the number of configurations that were tried before it was selected, the length of the sample and the shape of the return distribution. It expresses the probability that the observed Sharpe exceeds what selection alone would have produced on noise.
• Delta — Delta is the volume traded at the ask minus the volume traded at the bid. Computed per price level and summed over a bar, it measures whether aggressive buyers or aggressive sellers did more of the trading in that bar.
• Delta at extremes — Delta at the high and delta at the low are the ask-minus-bid volume of the top and bottom few ticks of a bar. They show who was aggressive exactly where the bar tested a level, which the whole-bar delta averages away.
• Delta bars — Delta bars are bars that close when the net aggressive volume inside them, ask volume minus bid volume, reaches a configured threshold in either direction. They segment the tape by who took liquidity rather than by time, trade count or price distance.
• Delta divergence — Delta divergence occurs when price moves in one direction while delta moves in the other: a higher close on negative delta, or a lower close on positive delta. It flags a move that aggressive flow did not pay for, which often means absorption by resting orders.
• Delta footprint — A delta footprint is a footprint chart mode in which every price level of a bar shows a single number, the delta: the volume traded at the ask minus the volume traded at the bid at that level. It replaces the two-column bid × ask cell with its net result, so the eye reads where buyers or sellers won each level without doing the subtraction.
• Delta hedging — Delta hedging is the practice of holding underlying, usually futures or shares, against an option position so that the combined delta stays near zero. Because option delta changes with spot, volatility and time, the hedge has to be rebalanced, and the direction of that rebalancing depends on whether the book is long or short gamma.
• Delta profile — A delta profile is a horizontal histogram of delta by price: at each price level it shows ask volume minus bid volume, so the reader sees where inside a bar or a session aggressive buying and aggressive selling concentrated. It differs from a volume profile, which shows total traded volume by price without direction.
• Demo and trial — A demo account is a time-limited or feature-limited access that a broker or vendor offers so a prospective customer can try a platform or a feed. A free trial is the software-side equivalent. The two are granted by different parties and rarely come together: a data demo does not license the software, and a software trial does not include market data.
• Developing POC — A developing POC is the point of control of a profile that is still being built, recalculated after every bar from the volume accumulated since the period opened. Its path across the session shows where the centre of the auction has been migrating.
• Diagonal imbalance — A diagonal imbalance is a footprint imbalance computed across two adjacent price levels: the ask volume at one price is compared with the bid volume one tick below it, rather than with the bid on the same row. This convention, associated with ATAS, pairs the two prints that an aggressive order actually crosses when it moves the market by one tick.
• Direct connection — A direct (native) connection is a link in which trading software speaks the broker's or data provider's own protocol itself, without a second platform running in between. For Rithmic accounts this means the application implements R | Protocol and logs in with the account's username, password and system name.
• DOM — The DOM, or depth of market, is a live ladder of prices showing the resting limit orders displayed at each level: bid sizes stacked below the current price and ask sizes stacked above it. It shows displayed liquidity waiting to trade, not the trades themselves.
• DOM profile — A DOM profile is a horizontal histogram of the current order book: for each price it draws the resting bid or ask size as a bar, so the shape of the depth around the market is visible at a glance instead of being read as numbers on a ladder. It shows displayed liquidity right now, not what has traded.
• DOM software — DOM trading software is an application that receives depth-of-market data from an exchange or broker and displays it as a price ladder: resting bid size below the market, resting ask size above it, updated on every book event. Some ladders only display depth; others also send orders, which depends on the account's routing permission rather than on the software.
• Double distribution — A double distribution is a profile with two separate high volume nodes joined by a thin, low volume section. The market built value at one price, moved quickly to another, and built value again, leaving a low volume node between the two distributions.
• Drawdown — Drawdown is the decline of an equity curve or a price series from a previous peak to a subsequent trough, measured in currency, points or as a percentage of that peak. Maximum drawdown is the largest such decline over the period; time under water is how long the series stayed below its prior high.
• Drawdown lock — A drawdown lock is the point at which a trailing drawdown stops following the account: once the threshold has risen to a stated level, most often the starting balance, it freezes there permanently and the rule behaves like a static drawdown from then on.
• Effort vs result — Effort versus result compares the volume traded in a bar (the effort) with the distance price travelled in that bar (the result). A high ratio means many contracts were needed for little movement, which points to absorption; a low ratio means price moved with little volume behind it.
• End-of-day drawdown — An end-of-day drawdown is a trailing loss limit whose reference is updated only at the session close: the threshold moves up when the closing balance sets a new high and ignores intraday peaks, so an open winner that is given back during the session does not raise the level at which the account fails.
• Equity curve — An equity curve is the running total of a trading account's results plotted against time or trade number. It is the primary picture of how a strategy or a trader performed, and most performance statistics, including drawdown and recovery, are read directly from it.
• ES futures — ES is the ticker of the E-mini S&P 500 futures contract listed on CME Globex, a cash-settled contract on the S&P 500 index that expires on a quarterly cycle. It trades on one central limit order book, which is why its footprint, cumulative delta and DOM are reproducible from any feed entitled to the exchange data.
• ETH — ETH (extended trading hours, also called the overnight or Globex session) is the portion of a futures session that trades while the underlying cash market is closed. On CME index futures it runs from the evening reopen in Chicago until the next day's cash open, and it produces the overnight high and low that many traders carry into regular hours.
• Evaluation account — An evaluation account, also called a challenge, is the simulated account a prop firm sells to test a trader: reaching a stated profit target within the drawdown, daily loss, consistency and time rules qualifies the trader for a funded account, while a breach ends the attempt.
• Excess — Excess is a thin tail at the extreme of a profile: one or a few price levels at the high or low that traded very little before price was pushed back. It shows that the auction reached a price the other side rejected aggressively, which marks that extreme as a finished, accepted boundary.
• Exchange time zone — The exchange time zone is the local clock in which a venue defines its session: Chicago time for CME futures, UTC by convention for most crypto exchanges. Session-based calculations should be anchored in that clock, while the time axis of a chart can be displayed in any zone the trader prefers.
• Exhaustion — Exhaustion in order flow is the point where the aggressive side of a move runs out of new orders: price reaches a fresh extreme but the aggression behind it, visible as delta at that extreme or as volume, is weaker than before, and the move stalls. It is a warning that a leg is out of fuel, not a confirmation that it has reversed.
• Expectancy — Expectancy is the average net result per trade: total net profit and loss divided by the number of trades, or equivalently the win rate times the average win minus the loss rate times the average loss. Expressed in R it becomes the average multiple of the risk taken at entry.
• Feed status — Feed status is the indicator a platform shows for the state of its market-data connection: idle, connecting, connected, live, reconnecting or error. Connected means the session is open; live means data has actually arrived, and the two are not the same thing.
• Flatten — To flatten is to close every open position on an account so that the net exposure is zero, usually with market orders, and in most platforms to cancel the working orders at the same time so that nothing can reopen a position afterwards. A flat account has no position; it can still hold working orders unless they were cancelled.
• Footprint cell — A footprint cell is one row of a footprint candle: a single price level, or a group of ticks, holding the volume traded at the bid and the volume traded at the ask during that bar. Everything else on a footprint chart, from delta to imbalances, is derived from the numbers in its cells.
• Cell types — Footprint cell types are the display modes that decide what each price level inside a candle shows: raw bid and ask volume, delta, total volume, trade count, a per-level profile, or a colour intensity. The underlying data is the same; the cell type changes which of its numbers is drawn and how.
• Footprint chart — A footprint chart is a candlestick chart in which each candle is split into price levels and every level shows the volume traded at the bid and at the ask. It reveals where inside the bar buyers and sellers were aggressive, instead of only the open, high, low and close.
• Footprint software — Footprint software is a charting application that groups executed volume by price and by aggressor side inside each bar, so a candle becomes a column of cells showing bid volume, ask volume, delta or total volume at every traded level. It requires a trade feed with a buy/sell classification, which is a separate capability from live prices or market depth.
• Footprint vs candlestick — A footprint chart and a candlestick chart describe the same bars, but the candlestick keeps only four prices, open, high, low and close, while the footprint keeps the volume traded at each price level inside the bar, split by aggressor side. The footprint therefore shows what happened inside the candle, which the candle can only summarise.
• Front month — The front-month contract is the futures expiry that is nearest in time and, in most cases, the one carrying most of the trading volume and open interest. It is the contract an order flow chart should normally be built on, until volume migrates to the next expiry during the roll.
• Funded account — A funded account is the stage a prop firm trader reaches after passing an evaluation: the trader keeps trading under the firm's rules, usually with a different drawdown model and payout conditions, and withdraws a stated share of the profit as payouts until a rule breach closes the account.
• Futures basis — The futures basis is the difference between a futures contract's price and the price of its underlying cash instrument at the same moment. For equity index futures it mainly reflects financing cost minus expected dividends until expiry, and it is the number you must add to a cash-index level, such as a gamma level computed on SPX, to place it on an ES chart.
• Futures contract — A futures contract is a standardised, exchange-traded agreement to buy or sell a fixed quantity of an underlying asset at a price agreed today, for settlement on a set future date. Each contract has a published specification: underlying, size or multiplier, tick size, trading hours, expiry months and settlement method, and each expiry month trades as its own instrument with its own order book.
• Gamma — Gamma is the option greek that measures how fast an option's delta changes as the underlying price moves. Long calls and long puts have positive gamma, short positions have negative gamma, and it is largest for options near the money and close to expiry. Gamma exposure aggregates this quantity across a whole chain.
• Gamma exposure — Gamma exposure (GEX) is an estimate of how much the delta of outstanding options positions changes when the underlying moves, obtained by scaling each option's gamma by position size and summing across strikes. A dealer GEX model adds an assumption about who holds those positions, and the result is a modelled level, not an observation of orders.
• Gamma profile — A gamma profile by price is the curve of modelled net gamma exposure evaluated at a range of hypothetical underlying prices, not only at today's spot. It shows what the exposure would become if price moved, and its zero crossing is the price where the modelled sign flips.
• Gamma wall — A gamma wall is a strike where modeled gamma exposure is concentrated, on either side of spot, as opposed to a strike selected by raw open interest. Because gamma weights each contract by how quickly its delta changes, a gamma wall can sit at a different strike from the largest open-interest strike and can shift as spot, volatility and time change.
• GEX calculation — GEX calculation is the aggregation of option gamma across a chain, each leg scaled by a signed position, the contract multiplier and the underlying price, into a single exposure figure. The units depend on the convention chosen, most often dollar gamma per one percent move, and the sign depends on a positioning assumption that open interest alone cannot supply.
• Heatmap footprint — The heatmap footprint mode shades each price level of a bar by the intensity of a per-level measure, traded volume, trade count or delta, using colour instead of digits or bar widths. It is a footprint rendering built from executed trades, and it should not be confused with the liquidity heatmap, which is built from resting orders in the book.
• Heatmap presets — Heatmap presets are ready-made rendering configurations for a liquidity heatmap, and auto setup is a routine that derives the display thresholds, such as the big-trade filter, the noise floor and the visible price height, from the trades and book levels actually received for a pair. Presets fix the look; auto setup fits the thresholds to the instrument.
• Hidden Markov model — A hidden Markov model (HMM) is a statistical model in which the market is assumed to move between a small number of unobserved states, such as bear, range and bull, and each state emits observations such as bar returns with its own distribution; fitted to a window of bars it returns the most likely regime for each bar together with a probability.
• High volume node — A high volume node (HVN) is a price zone in a volume profile where traded volume is markedly higher than at the surrounding levels. It shows a range the market accepted and rotated in, and it tends to slow price down when revisited.
• Historical depth — Historical depth, or book history, is the recorded sequence of order book states for a past period: the resting size at each price level over time, including the updates between snapshots. It is required to replay a liquidity heatmap or to backtest a rule that reads the book, and it cannot be reconstructed from historical trades.
• Historical tick data — Historical tick data is the archived per-trade record of past sessions, served by a broker, a data vendor or a local cache, with each trade's time, price, size and side. It is the input for tick-by-tick replay and for backtests of orderflow rules, and its availability on a given login is an entitlement separate from live tick data.
• History permission — History permission is the entitlement that lets an account download past trades, bars or depth from a broker's history server, separately from receiving live data. When it is missing, the broker refuses the request with a status code such as Rithmic's rp_code 13 ("permission denied"), and the chart must show the interval as unavailable rather than empty.
• Hurst exponent — The Hurst exponent is a number between 0 and 1 that estimates whether a series of returns tends to continue or to reverse over a chosen window: below 0.5 indicates anti-persistence and mean reversion, 0.5 a random walk, above 0.5 persistence and trending. It describes behaviour over that window, not direction.
• IB extension — An IB extension is a projected level placed a fraction or multiple of the initial balance range above the IB high or below the IB low, most often at 0.5× and 1× the range. It gives a measured target for how far a range extension out of the first hour has travelled.
• Iceberg order — An iceberg order is a limit order that displays only a fraction of its total quantity in the order book and automatically replenishes the displayed part as it trades. From the outside it looks like a level that keeps refilling at the same price after each execution; aggregated depth alone cannot distinguish it from several independent orders.
• Imbalance — An imbalance is a footprint cell where the volume on one side of the market exceeds the volume on the opposing side by a configured ratio, most commonly compared diagonally: the ask volume at one price against the bid volume one tick below. It marks a price where aggressive buyers or sellers dominated, and it describes executed volume rather than resting orders.
• Imbalance ratio — The imbalance ratio is the multiple by which one side's volume must exceed the compared side's volume for a footprint cell to be flagged as an imbalance; a ratio of 3 means the dominant side must be at least three times the other. It is a display convention chosen by the trader, not a property of the market, and it interacts with the minimum quantity and the price grouping.
• Implied volatility — Implied volatility (IV) is the volatility figure that, entered into an option pricing model, reproduces the option's market price. It is derived from the quote, not observed in the underlying, and it differs across strikes and expiries, which is what the smile, skew and term structure describe.
• In-sample vs out-of-sample — In-sample data is the historical period used to choose a strategy's rules and parameters; out-of-sample data is a later period that played no part in that choice and is used only to evaluate the frozen result. The distinction matters because performance measured on the data that selected the parameters overstates what the same parameters would have delivered on data they had not seen.
• Inactivity rule — An inactivity rule closes or suspends a prop-firm account when no trade has been placed for a given number of consecutive days. It exists to stop traders from parking accounts, and it applies to evaluations and funded accounts alike unless the contract says otherwise.
• Index futures — Index futures are exchange-listed contracts whose value is tied to a stock index such as the S&P 500 or the Nasdaq-100; they are cash-settled, expire on a quarterly cycle and trade on a central order book. ES, NQ and their micro versions are the CME index futures most used for order flow analysis.
• Initial balance — The initial balance (IB) is the price range, high to low, established during the first hour of a trading session, the first two 30-minute brackets in Market Profile terms. The rest of the session is read against it: holding inside the IB or extending beyond it.
• Initiative activity — Initiative activity is aggressive trading that moves price away from an accepted value area and is confirmed by volume at the new prices, as opposed to responsive activity that fades a move back toward value. On a footprint it prints as stacked imbalances in the direction of travel; on a volume profile it shows as acceptance outside the previous value area.
• Intrabar delta — Intrabar delta refers to the extremes the running delta reached while a bar was forming: its maximum and minimum before the close. These values depend on the order of trades and cannot be rebuilt from the bar's aggregated price levels.
• Kelly criterion — The Kelly criterion is a formula that gives the fraction of capital to risk on a repeated bet in order to maximise the long-run growth rate of the account, given the probability of winning and the ratio of average win to average loss. It assumes independent outcomes and a known, stable edge.
• Keychain credentials — Keychain credential storage means that broker logins and API keys are saved in the operating system's own secret store, such as Windows Credential Manager or the macOS Keychain, rather than in an application file, a log or a remote server. The application reads them at connection time and never writes them elsewhere.
• Kill switch — A kill switch is the single control that halts automated trading immediately: it disarms the strategy so no further decision is sent, and it requests that every open position be flattened and every working order cancelled. It is a request to the broker, not a confirmation that the account is flat.
• Level 1 data — Level 1 data is the top-of-book feed: the best bid price and size, the best ask price and size, and the stream of executed trades with price, size and time. It is what a quote board or a basic chart is built from, and it contains no information about orders resting away from the best prices.
• Level 2 data — Level 2 data, also called market depth, extends the feed beyond the best bid and ask to the resting orders at prices below the bid and above the ask, up to a number of levels set by the venue and the entitlement. It is the input of the DOM ladder and the liquidity heatmap, and it is billed separately from top-of-book data.
• Limit order — A limit order is an instruction to buy at or below a set price, or sell at or above it, that rests in the order book until it is matched or cancelled. Resting limit orders are the displayed liquidity on the DOM and the passive side of every trade.
• Liquidity — Liquidity, in orderflow, is the resting limit-order size displayed in the order book at each price: the quantity a market order can trade against without moving to the next level. It is a displayed, revocable state of the book, not a promise that the size will still be there when price arrives.
• Liquidity heatmap — A liquidity heatmap is a chart that paints the resting limit-order size of the order book at every price through time, with colour intensity proportional to the displayed size. It turns a sequence of DOM snapshots into a picture, so a level that has been defended for minutes can be told apart from one that appeared a second ago.
• Liquidity stacking — Liquidity stacking is the build-up of resting size at one price or across adjacent prices on the same side of the book through new orders being added or refilled. It is the opposite of a pull: the displayed total rises without executions accounting for the change, and on a heatmap the band brightens or thickens through time.
• Liquidity sweep — A liquidity sweep is a fast move through one or more price levels that consumes the resting limit orders sitting there, driven by aggressive market orders, after which price either keeps going or snaps back. On a heatmap it shows as a bright band being eaten by executions rather than quietly withdrawn.
• Liquidity tracker — A liquidity tracker is a panel that records, for each price level, what displayed liquidity did: how much was withdrawn without trading and how much was executed. It needs order-by-order (MBO) data, because an aggregated book only shows totals changing, not whether an order was cancelled or filled.
• Liquidity wall — A liquidity wall is a price level whose displayed resting size is large relative to the neighbouring levels of the same side of the order book. On a heatmap it appears as a bright band; on a DOM ladder as an outsized number. The wall is an observation about displayed size, not a guarantee that the level will hold.
• Local cache — A local data cache is the on-disk store in which trading software keeps the bars, ticks and session history it has already downloaded, so that a chart can open, scroll and compute without asking the provider again. It is a copy of what was received, not a source of new data.
• Lookahead bias — Lookahead bias, also called data leakage, is the use of information in a backtest that would not have been available at the moment the simulated decision was made. It inflates results silently, because the rule appears to anticipate what it was in fact told, and it can enter through the data, the indicator, the level or the research process itself.
• Low volume node — A low volume node (LVN) is a price zone in a volume profile where very little volume traded compared with the levels around it. Price moved through it quickly, and the zone is read as rejection rather than acceptance.
• Index-to-futures mapping — Mapping SPX or NDX levels to ES or NQ is the conversion of a price computed on an options underlying (an index or its ETF) into the price scale of the futures contract on the chart. The conversion carries the futures basis, an ETF-to-index ratio when the chain is SPY or QQQ, and tick rounding, so a mapped level is a band rather than a line.
• Margin — Margin on a futures contract is the collateral a clearing house and broker require to hold a position, not a down payment on the contract's value. Exchange-set maintenance margin applies to positions held through the close, while brokers may offer a lower intraday (day) margin for positions flattened before a cut-off time they define.
• Market by order — Market by order (MBO) is an order book feed in which every resting order is published individually, with an anonymous identifier, its price, its size and its position in the queue, along with each event that adds, modifies, executes or cancels it. It is more granular than market by price, which publishes only the total size per level.
• Market by price — Market by price (MBP) is an order book feed aggregated by price level: for each price on each side it publishes the total resting size and, on some venues, the number of orders, without identifying individual orders. It is the form of depth most DOM ladders and heatmaps consume, and it is what the exchange calls the aggregated alternative to market by order.
• Market data entitlement — A market data entitlement is the permission, attached to a specific login and billed by the exchange or the data provider, that determines which data that login may receive: which exchanges, which instruments, live trades only or resting depth as well, how many book levels, and whether historical trades or historical depth are included. It is separate from the charting software licence.
• Market maker — A market maker is a participant that continuously quotes both a bid and an offer on an instrument, earning the spread while managing the inventory it accumulates, and adjusting or cancelling those quotes as conditions change. Much of the resting size and much of the cancellation traffic visible in an order book comes from this activity.
• Microstructure — Market microstructure is the study of how trades actually happen: the matching rules of an exchange, the order book, the spread, queue priority and the way orders arriving and leaving the book move price. For an order flow trader it is the layer beneath the chart that explains why a tick moves.
• Market order — A market order is an instruction to buy or sell immediately at the best available price. It takes liquidity from the order book, so it is the order type that produces the aggressive bid and ask volume read on footprint charts.
• Market profile — Market Profile is a charting method, introduced by J. Peter Steidlmayer, that organises a session's trading by price and time into a bell-like distribution of TPO letters. It gives a vocabulary for the auction: point of control, value area, initial balance, tails and single prints.
• Market regime — A market regime is a period during which a price series behaves in a consistent way along some measured dimension, most often persistence (trending versus mean-reverting) or volatility (agitated versus calm). Regime measures classify the recent window so that a strategy can be applied only in the conditions it was built for.
• Market replay — Market replay is the playback of a recorded trading session, tick by tick or bar by bar, so that a trader can watch the market unfold at a chosen speed and practise decisions with the same charts and tools used live. It reproduces what was observable; it does not reproduce queue position or guarantee that an order would have filled.
• MAE — Maximum adverse excursion (MAE) is the largest move against a position between its entry and its exit, measured from the entry price. It records how deep a trade went into loss before it closed, whether the trade ended as a winner or a loser.
• Maximum contracts — Maximum contracts is the position size rule of a prop-firm account: the largest number of futures contracts that may be open at once, often with a separate, larger allowance for micro contracts. Exceeding it can fail the account even when the trade is profitable.
• MFE — Maximum favourable excursion (MFE) is the largest open profit a trade reached between entry and exit, measured from the entry price. Comparing MFE with the realised result shows how much of the available move each trade gave back before closing.
• Mean reversion — Mean reversion is the tendency of a price series to return toward a reference level, such as a moving average or a fair-value line, after moving away from it. As a trade, it means fading an extension away from that reference with the expectation that the distance will shrink, and it is only valid while the series actually behaves that way.
• Micro contracts — Micro contracts are smaller-sized futures listed by CME alongside the standard E-mini and currency contracts: MES tracks the S&P 500, MNQ the Nasdaq-100 and M6E the euro, each with a lower index multiplier than its larger sibling. They are separate instruments with their own order book, executions and volume, not a fractional view of the larger contract.
• Micro-price — The micro-price is an estimate of fair value inside the bid-ask spread that weights the mid-price by the sizes resting at the best bid and best ask. It sits closer to the side with the thinner queue, because that side is the more likely to be consumed next.
• Minimum trading days — Minimum trading days is a prop-firm rule requiring the trader to place at least one trade on a set number of distinct days before the evaluation can be passed or, on a funded account, before a payout can be requested. Reaching the profit target sooner does not shorten it.
• MNQ — MNQ is the Micro E-mini Nasdaq-100 futures contract listed on CME Globex: it tracks the same index and quotes the same price as NQ, with a smaller multiplier, its own order book and its own executions. Order flow read on MNQ describes MNQ only.
• Monte Carlo simulation — A Monte Carlo simulation of a trading record reshuffles the order of the recorded trading days many times and replays each ordering against the account rules, producing a range of outcomes instead of the single path that actually happened. It shows how sensitive a result is to the sequence of days, not whether the strategy has an edge.
• Naked POC — A naked POC is the point of control of a completed session or profile that price has not traded back through since that session closed. It stays 'naked' until a later bar's range covers it, and traders watch it as an unfinished reference level.
• Negative gamma regime — A negative gamma regime is the state in which a dealer GEX model estimates the hedging book to be net short gamma at the current spot. A short-gamma book kept delta-neutral buys after rises and sells after falls, so its modeled hedging flow travels with the move rather than against it; Senzoukria calls this state Amplified.
• Notional value — Notional value is the full market value that a position controls: for a futures contract it is the price multiplied by the contract multiplier, and for a crypto trade it is the base quantity multiplied by the price, expressed in the quote currency. It is the figure that makes volumes comparable across instruments whose units differ.
• NQ futures — NQ is the ticker of the E-mini Nasdaq-100 futures contract on CME Globex, a cash-settled quarterly contract on the Nasdaq-100 index. It is quoted at a much higher index level than ES, which changes how far a tick travels, how many rows a footprint needs and why settings tuned on ES do not carry over.
• OFI — OFI, order flow imbalance in the Cont, Kukanov and Stoikov sense, is a signed measure of net pressure computed from changes in the resting order book: bids added or pulled and asks stepping in or backing away, level by level. It is distinct from the footprint imbalance, which compares executed bid and ask volume.
• Open interest — Open interest (OI) is the number of option or futures contracts outstanding at a stated time, each counted once although it has a long and a short side. It is published once a day after the close, it does not identify who holds either side, and it differs from volume, which counts trading over an interval.
• Opening gap — An opening gap is the distance between a bar's open and the previous bar's close, most visibly between a session's first price and the prior session's last one. A gap fill occurs when price later returns to the prior close; until it does, that close remains an open reference level that many participants watch.
• Opening range — The opening range is the high and low of the first minutes of a trading session, commonly 5, 15 or 30 minutes, frozen once the window closes and projected for the rest of the session. It is the day trader's short-window counterpart to the Market Profile initial balance.
• Option chain — An option chain is the list of all listed contracts on one underlying, organised by expiry and strike with a call and a put on each line, together with their quotes, volume, open interest and Greeks. It is a snapshot of the market at one time, not a record of the trades that produced it.
• Option delta — Option delta is the sensitivity of an option's price to a one-unit move in the underlying, expressed between 0 and 1 for calls and between -1 and 0 for puts. It also serves as the hedge ratio: the amount of underlying a delta-neutral hedger holds against the option position.
• Option expiry — Option expiry is the date and time after which an option contract can no longer be exercised and ceases to exist. Expiry selection changes every gamma exposure figure, because gamma and its sensitivity to price both depend on the time remaining.
• Option greeks — Option greeks are the sensitivities of an option's theoretical value to its inputs: delta to the underlying price, gamma to delta itself, vega to implied volatility, theta to time and rho to the interest rate. They are outputs of a pricing model, not quantities observed on an exchange.
• Option premium — Option premium is the price paid for an option contract. On a flow tape it is the dollar value of one execution: price per share multiplied by the number of contracts and by the contract multiplier. It measures money exchanged on that print, not profit, risk or delta exposure.
• Options flow — Options flow is the stream of executed option trades on an underlying, read print by print: contract, time, size, execution price and the quotes at that moment. It describes activity, not intent, and it is distinct from open interest and from a futures footprint.
• Options sweep — An options sweep is a burst of executions on the same contract and the same side within a very short window, typically the result of one order being filled across several venues or several price levels at once. A sweep label depends on the grouping rule used to detect it.
• Order book — An order book is the exchange's list of resting limit orders for an instrument, organised by price: buy orders (bids) below the market and sell orders (asks) above it. It is the source data behind the DOM ladder, the liquidity heatmap and order flow imbalance measures.
• Order book snapshot — An order book snapshot is the complete state of the book at one instant: every published price level on each side with its resting size. Feeds send a snapshot to initialise or resynchronise a consumer, then send incremental updates; the ladder you look at is always the latest snapshot plus the updates applied since.
• Order flow — Order flow is the stream of executed transactions behind a price move: which trades hit the ask, which hit the bid, at what price and in what size. Reading it shows who was aggressive and whether they were met, rather than only where the candle closed.
• Order flow software — Order flow software is a category of trading application that displays executed trades and resting orders by price, rather than only price over time: footprint charts, depth-of-market ladders, liquidity heatmaps, cumulative delta and volume profiles. Its usefulness depends on the data it can receive, since each view needs specific inputs that a plain price feed does not carry.
• Order guardrails — Order guardrails are application-side checks applied before an order leaves the platform: a maximum quantity per order, an optional confirmation step, and a daily loss limit. They reduce the cost of a wrong click; they do not replace the limits enforced by the broker or a prop firm.
• Order ticket — An order ticket is the form a trading platform uses to send an order by hand: instrument, side, quantity, order type and price, submitted to the broker with a click. It only works while a broker connection that permits order routing is live.
• Overfitting — Overfitting, or curve fitting, is what happens when a trading rule is tuned so closely to one historical sample that it captures the sample's accidental patterns along with any repeatable structure, so its backtested result overstates what the rule would do on new data. The more parameters and the more configurations tried on the same data, the easier it is to produce.
• Overnight high / low — The overnight high and low are the highest and lowest prices traded between the futures session open and the start of regular trading hours, projected onto the rest of the session. On CME index futures that window runs from 17:00 Chicago time to the 08:30 CT cash open, so the levels describe the range built before the regular-hours auction begins.
• P-shaped profile — A P-shaped profile is a volume or TPO profile whose bulk of volume sits in the upper part of the range, with a thin tail below it, so the histogram looks like a capital P. It forms when price moves up quickly through the lower prices and then spends most of the period rotating in a higher zone of acceptance.
• p-value — A p-value is the probability of observing a result at least as extreme as the one measured, assuming the null hypothesis is true. In strategy testing the null is usually 'the rule has no edge', and the p-value comes from a permutation or bootstrap procedure on the recorded trades.
• Paper trading — A paper trading account is a broker-hosted account that accepts orders and reports fills without moving real money, typically on a separate server (a paper plant) from live accounts. It lets a trader exercise the order path and the platform, while its fills remain simulated by the broker rather than matched at the exchange.
• Parameter stability — Parameter stability is the property of a trading rule whose results stay close to the chosen configuration when each parameter is moved one step on the grid. A plateau of similar neighbours suggests the rule works around its parameters; an isolated peak suggests the chosen values were fitted to one sample.
• Parameter sweep — A parameter sweep, or grid search, runs the same strategy once for every combination of values in a declared set of parameters and records the result of each run. It maps how the rule behaves across its settings; the map is informative, while picking the single best cell without a correction for the number of cells is how selection bias enters a backtest.
• Pass rate — The pass rate is the share of evaluations that reach the profit target under all the rules, out of the evaluations attempted. Measured on a trader's own sessions replayed through a specific rulebook, it describes that strategy against those rules; it is not a property of the firm.
• Payout — A payout is the transfer of a share of the profit made on a funded prop-firm account from the firm to the trader. It is only released once the account meets the firm's withdrawal conditions, such as a minimum profit, a minimum number of trading days and a consistency check.
• Permutation test — A permutation test checks whether a backtest result could have arisen by chance by recomputing the same statistic many times on data whose structure has been randomly rearranged. The share of permutations that match or beat the real result is the p-value.
• Perpetual futures — Perpetual futures are derivative contracts with no expiry date that track an underlying such as BTC through a periodic funding payment between longs and shorts rather than through settlement at maturity. On crypto exchanges they trade alongside the spot pair with their own volume and aggression, and the two markets must be read separately.
• Pivot points — Pivot points are horizontal price levels computed from the previous session's high, low and close and projected onto the current session. The classic floor-trader version places a central pivot at the average of the three prices and derives support and resistance levels from it; Fibonacci and Camarilla variants keep the same inputs but scale the levels differently.
• POC migration — POC migration is the movement of the point of control from one bar to the next, measured as the distance in ticks between consecutive bar POCs. Small, repeated migrations describe a market holding a price; a burst of large migrations describes a market moving to find a new level where volume can be done.
• Point of control — The point of control (POC) is the single price level with the largest traded volume in a volume profile, whether that profile covers one bar, a session or a rolling window of bars. It marks the price where the most business was done in the period and moves as new volume shifts the maximum.
• Point value — Point value, also called the contract multiplier, is the currency amount that one contract gains or loses when the underlying moves by one full point. It is set by the exchange in the contract specification, and together with the tick size it determines the tick value and therefore every conversion between chart distance and money.
• Poor high / low — A poor high or poor low is a session extreme where the profile does not taper into a single thin tail but ends flat, with several price levels at the extreme carrying comparable volume or TPO counts. It indicates that the auction was not finished at that extreme: the market stopped there without a clear rejection.
• Position sizing — Position sizing is the decision of how many contracts to trade on a given entry, derived from the amount the trader is willing to lose if the stop is hit, the distance to that stop in ticks and the instrument's tick value, and constrained by the account's daily loss and drawdown rules.
• Positive gamma regime — A positive gamma regime is a state in which a dealer GEX model estimates the hedging book to be net long gamma at the current spot. Under a delta-neutral hedge assumption, that book sells after rises and buys after falls, so the modeled hedging flow leans against price moves; Senzoukria labels this state Dampened.
• Price level grouping — Price level grouping, also called the footprint step or price aggregation, is the number of instrument ticks merged into one row of a footprint cell. A step of 1 shows every tradable price as its own level; a step of 4 on a contract with a 0.25-point tick merges four ticks into a one-point row, which reduces the number of rows and increases the volume in each.
• Prior session levels — Prior session high, low and close are the extreme prices and the final price of the previous trading session, projected as horizontal levels onto the current session. They are often written PDH, PDL and PDC and serve as reference prices that many participants watch for a test, a break or a rejection.
• PBO — The probability of backtest overfitting (PBO) estimates how often the configuration that performs best in sample performs below the median of all configurations out of sample. It is computed by splitting the full-period results of a parameter grid into many train/test combinations.
• Profile modes — Profile footprint modes are footprint chart displays that draw each price level of a bar as a horizontal bar proportional to its value, volume, delta, trade count or the bid/ask split, instead of printing digits. They turn every candle into a miniature volume profile so that the shape of the bar's activity is visible at chart scale, when the numbers would be too small to read.
• Profile shapes — Profile shapes are the recognisable outlines a volume or TPO profile takes over a session, named after the letters they resemble: D (balanced), P (acceptance high after a rally), b (acceptance low after a sell-off) and the double distribution with two separate value areas.
• Profit factor — The profit factor is gross profit divided by gross loss over a set of trades: the sum of all winning trades over the absolute sum of all losing trades. A value above one means the winners outweighed the losers in total; a value of one means break-even before any result that was not counted.
• Profit split — The profit split is the percentage of each payout that goes to the trader on a funded prop-firm account, the remainder being kept by the firm. It is applied to the amount withdrawn, not to the profit shown on the account.
• Profit target — The profit target is the net profit an evaluation account must reach, as a dollar amount or a percentage of the nominal account size, before a prop firm moves the trader to the funded stage; it is only satisfied together with the minimum trading days, the consistency rule and an intact drawdown.
• Prop firm — A prop firm, in the retail futures sense, is a company that sells access to a trading account under a written set of rules: the trader pays for an evaluation, trades the firm's simulated or funded account within drawdown and loss limits, and receives a share of the profits as payouts.
• Prop firm discount code — A prop firm discount code is a promotional code issued through a proprietary trading firm's affiliate program: the trader who enters it at checkout pays a reduced evaluation fee, and the partner who distributed it is credited for the referral. It changes the price of the evaluation, not its rules.
• Prop firm simulation — A prop firm simulation replays the trade list of a backtest, or of a journal, against the written rules of a proprietary trading account: profit target, maximum drawdown, daily loss limit, consistency rule and payout conditions. It answers whether that sequence of trades would have kept the account alive, which is a different question from whether the strategy was profitable.
• Pulled liquidity — Pulled liquidity is displayed resting size that leaves the order book through cancellation or modification rather than through execution. On a heatmap it appears as a band that fades with no trade dots at that price; the pull itself is observable, while the reason for it is not.
• Put wall — A put wall is the strike below spot carrying the largest put concentration under a provider's chosen metric, whether open interest or modeled gamma. Like a call wall it marks where contracts cluster, not where support is guaranteed, and its implied hedging behaviour depends on a positioning assumption the data does not confirm.
• Put/call ratio — The put/call ratio divides put activity by call activity on an option chain, computed either on open interest or on the day's traded volume. A ratio above one means more puts than calls in the chosen measure; it describes the composition of the chain, not who holds each side or which way price will move.
• Quantitative trading — Quantitative trading is the practice of making or evaluating trading decisions with explicit rules and measurable evidence: an idea is turned into a rule, the rule is tested on historical data with realistic costs, and it is kept only if it holds up on data that played no part in designing it.
• Quarterly expiry — Quarterly expiry is the listing cycle of CME equity index futures such as ES, NQ, MES and MNQ, whose contracts expire in March, June, September and December. Each expiry is a distinct contract identified by a month code, and the transition between them is the contract roll.
• Queue imbalance — Queue imbalance (QI) is a signed number between −1 and +1 that compares the size resting at the best bid with the size resting at the best ask: QI = (bid size − ask size) / (bid size + ask size). Positive values mean a heavier bid queue, negative values a heavier ask queue.
• Queue position — Queue position is the place of a resting limit order within the line of orders at the same price and side, which under price-time priority determines how much size must trade at that level before the order is filled. It is set by arrival time, shortens as orders ahead are filled or cancelled, and is lost when the order is modified in a way the exchange treats as a new submission.
• R | Protocol — R | Protocol is Rithmic's application programming interface, the channel through which third-party software logs in to a Rithmic system, subscribes to market data and routes orders. Access to it is an entitlement distinct from using Rithmic's own R | Trader Pro platform.
• R-multiple — An R-multiple expresses a trade's result as a multiple of the amount risked at entry, where 1R is the distance from entry to the initial stop. A trade that gains twice what it risked is a +2R trade regardless of contract size or currency.
• Range bars — Range bars are chart bars that close when price has travelled a fixed distance, measured in ticks, instead of when a clock interval ends. Every bar has the same high-to-low range, so a fast market prints many bars and a quiet market prints few.
• Realized volatility — Realized volatility is the standard deviation of an instrument's past returns over a chosen window, usually annualised and quoted in percent; it measures how much price actually moved, as opposed to implied volatility, which is what option prices say the market expects.
• Requoting — Requoting is the routine practice of cancelling a resting limit order and reposting it at a different price, typically one tick away, so that a quote follows the market instead of being left behind. It accounts for a large share of the cancellations seen in an order book and is not evidence of deception.
• Research record — A research record is the written log of every strategy experiment: the rule version, the data source and its coverage, the test dates, the costs and fill assumptions, the account rules applied, the checks that failed, and the decision taken next, kept so that a result can be reproduced and a rejected idea is not tried again by accident.
• Reset fee — A reset fee is the amount a prop firm charges to restore a failed evaluation account to its starting balance so the trader can attempt the evaluation again without buying a new one. It is usually cheaper than a new purchase but restarts the day count.
• Responsive activity — Responsive activity is trading that reacts to price reaching the edge of an accepted value area and pushes it back toward the point of control, as opposed to initiative activity that drives price away from value. It is the behaviour of a balanced market, and on a footprint it often appears as aggression being absorbed at the value area edges.
• Resting order — A resting order is a limit order that sits in the order book waiting to be filled, displayed at its price until it trades, is modified or is cancelled. Resting liquidity is the sum of such orders at each level; it is what the DOM ladder and the liquidity heatmap display, and what aggressive orders execute against.
• Resting vs executed — Resting size is the quantity of limit orders displayed in the book at a price at a given instant; executed volume is the quantity that actually traded at that price over a period. The first is an offer that can be withdrawn, the second is a completed transaction, and a chart that mixes the two units without saying so is misleading.
• Rithmic — Rithmic is a futures market-data and order-routing infrastructure provider whose logins are issued by brokers and prop firms rather than by Rithmic itself. A Rithmic account is the common way to bring CME executions, depth and order routing into third-party order flow software.
• Rithmic plants — Rithmic plants are the separate services behind one Rithmic login: the ticker plant streams market data, the order plant handles accounts and order routing, the history plant returns past ticks and bars, and the PnL plant reports positions and profit and loss. Each plant has its own session, heartbeat and entitlements.
• RTH — RTH (regular trading hours) is the part of a futures session that overlaps the cash market of the underlying index, as opposed to the overnight electronic hours. For CME equity index futures it is the window in which most of the day's volume prints and in which cash-referenced levels such as the opening range are usually measured.
• Sample size — Sample size, in strategy evaluation, is the number of independent trades a result rests on; with too few trades, averages such as expectancy or win rate are exact descriptions of what happened but say almost nothing about what the rule tends to do, because a few outcomes dominate the total.
• Scripting — Scripting, in a trading platform, is writing your own indicators and strategies in code so they run on the platform's data instead of being limited to the built-in catalogue. An indicator returns values to draw on the chart; a strategy returns decisions that drive a simulated account, a replay, a backtest or, where permitted and explicitly armed, live orders.
• Session range — The session range is the distance between the highest and lowest prices traded since the current session opened, measured as it develops rather than from the final extremes. It is the basis for reading where price sits within the day, and for comparing today's travel with the average range of previous sessions.
• Session review — A session review is the practice of going back over a trading day with the trades that were actually made, in a journal, and then replaying the recorded market around those trades to see what was visible at the time. The journal supplies the fills; the replay supplies the context.
• Sharpe ratio — The Sharpe ratio is the mean return of a series divided by the standard deviation of that series, so it measures how much result was obtained per unit of dispersion. In trade-level analysis it is usually computed per trade and left unannualised.
• Simulated account — A simulated account is an evaluation account that exists only inside the trading software on the user's machine: strategies place orders against it, the application decides the fills from the bars or ticks it holds, and nothing is sent to any broker. It is the environment in which scripted strategies run before any live execution is considered.
• Single print — A single print is a price row in a Market Profile that was visited during only one time bracket, so it carries a single TPO letter. It marks a price the auction crossed without building any two-sided trade, and it is watched as a thin, unfinished area.
• Slippage — Slippage is the difference between the price at which a trade was expected to execute and the price at which it actually filled. In futures it is usually counted in ticks, and it is a cost that a backtest must model explicitly because historical data never records it.
• Spoofing — Spoofing is the practice of placing limit orders with the intent to cancel them before execution, so that other participants react to displayed size that was never meant to trade. On a DOM or heatmap only the placement and the cancellation are observable; the intent that makes the behaviour spoofing is not established by any snapshot of the book.
• Spot FX vs futures — Spot FX is a decentralised market with no central limit order book and no consolidated tape, so any order flow built on it describes one venue. Currency futures listed on an exchange trade on a single central book with published executions and volume, which is what makes a footprint, a cumulative delta or a liquidity heatmap reproducible on them.
• Spot market — A spot market is where an asset itself changes hands for immediate settlement, as opposed to a derivative that references it. On a centralised crypto exchange the spot pair has a complete venue record; in foreign exchange, spot trading is decentralised across many venues and has no single tape.
• SQN — The system quality number (SQN) is the square root of the number of trades multiplied by the mean trade result divided by the standard deviation of trade results. Proposed by Van Tharp, it scales a per-trade Sharpe by sample size so that a consistent edge on more trades scores higher than the same edge on fewer.
• Stacked imbalances — Stacked imbalances are several consecutive price levels inside one footprint bar that each qualify as an imbalance in the same direction. The stack summarises adjacent aggressive prints; it is a description of executed volume and does not by itself establish who traded or what price will do next.
• Static drawdown — A static drawdown is a prop firm loss limit fixed at a set distance below the starting balance that never moves, whatever highs the account makes, so the trader's cushion grows with every profit kept and shrinks only with realised losses.
• Stop-loss — A stop-loss order is a resting order that closes a position once price trades through a trigger level, sent as a market order (stop) or as a limit order at a set price (stop limit); it is placed where the reason for the trade is no longer valid. Its purpose is to bound the loss of a single trade, not to guarantee the exit price.
• Stopping volume — Stopping volume is a burst of unusually large volume at the extreme of a directional move after which price stalls, read as the aggressive side spending its remaining orders into the level. It is distinguished from absorption by which side is doing the work: stopping volume is the aggressor running out, absorption is the passive side holding.
• Strike — A strike is the price at which an option contract can be exercised: a call gives the right to buy the underlying at the strike, a put the right to sell it there. Strikes are the axis along which gamma exposure, open interest and options flow are usually organised.
• Systematic strategy — A systematic strategy is a trading procedure fully specified by written rules, so that the same inputs always produce the same decision about entry, exit, size and abstention, whether the rules are executed by a person or by a program.
• Take-profit — A take-profit order is a resting limit order that closes a position at a price better than the current one, chosen where the expected move is considered complete. Being a limit order, it fills only if the market trades at or through its price with enough size, so a touched target is not the same as a filled target.
• Tape speed — Tape speed is the rate at which trades print on the time and sales, expressed as trades per unit of time or trades per bar. It measures how busy the market is, not which direction it is trading.
• Technical indicator — A technical indicator is a formula applied to market data, usually bar prices, volume or per-level bid and ask volume, that produces a series drawn on or under the chart. Its output is only as good as the data fields it reads and the window it is computed over.
• Testable hypothesis — A testable hypothesis is a trading idea written precisely enough that a dataset could contradict it: it names the instrument, session, bar construction, the condition, what is measured afterwards, and what result would count as a rejection, all decided before the test is run.
• Thin book — A thin book is an order book in which little resting size sits at the levels around the market, so that modest aggressive volume moves price several ticks. A liquidity void is the same condition seen as a gap: a stretch of prices with almost no displayed depth that price tends to cross quickly.
• Tick bars — Tick bars are chart bars that close after a fixed number of trades, for example every 500 executions, instead of after a fixed clock interval. In this context a tick is a trade print, not the minimum price increment, so a 500-tick bar contains 500 executions whatever their size and however long they took to arrive.
• Tick data — Tick data is the record of every individual trade in an instrument: timestamp, price, size and, on feeds that carry it, the aggressor side. It is the finest-grained trade data available, and every footprint cell, delta value and volume profile is an aggregation of it.
• Tick replay — Tick replay is a backtest or replay mode that feeds a strategy every historical trade in sequence, with its price, size and aggressor side, instead of pre-built bars. It sits between a bar-based test, which sees only OHLC and volume, and a book replay, which also reconstructs the order book at each moment.
• Tick size — Tick size is the minimum price increment at which an instrument can trade, as published in its contract specification. Every quoted price is a whole number of ticks, so tick size defines the price grid on which a footprint's rows, a DOM's levels and a heatmap's cells are built.
• Tick value — Tick value is the amount of money one contract gains or loses when price moves by one tick. It equals the tick size multiplied by the contract's point value, and it is the conversion factor between a distance on the chart and a profit, a loss or a cost in currency.
• Time and sales — Time and sales, or the tape, is the chronological list of executed trades on a market, each with its timestamp, price, size and, on an aggressor-tagged feed, whether it lifted the offer or hit the bid. Every footprint, delta and cumulative delta reading is an aggregation of this stream, and its meaning depends entirely on which venue reported it.
• Time limit — A time limit, or maximum trading days rule, gives a prop-firm evaluation a fixed window in which the profit target must be reached; when the window closes without a pass the account ends or must be renewed. Some programs have no such limit, but those that keep it turn the evaluation into a race against the calendar.
• Time bars — Time-based bars are chart bars that open and close on a fixed clock interval, such as one minute or one hour, regardless of how much trading happened inside them. They are the default bar type on most platforms and the easiest to align with sessions, news releases and data from other sources.
• Time-of-day effect — The time-of-day effect is the tendency of volume, range and order-flow behaviour to follow a repeating intraday pattern tied to the session clock, so that a given minute of one session is best compared with the same minute of previous sessions rather than with the bars immediately before it.
• Timeframe — A timeframe, or granularity, is the rule that decides when one bar closes and the next opens: a fixed duration for time bars, or a count of ticks, contracts, price range or delta for the other bar types. Every per-bar value on a chart, including delta and the bar's point of control, depends on that rule.
• Timestamp — A timestamp is the time attached to a market event: when the exchange matched a trade, when the provider sent it, or when the application received it. These three clocks differ, and a chart or a backtest must state which one it uses and in which time zone it is displayed.
• TPO — A TPO (time price opportunity) is the basic unit of a Market Profile: one mark, usually a letter, recorded for each price row that a time bracket traded at. Counting TPOs by price shows how long the market spent at each level, independently of volume.
• Trade classification — Trade classification is the rule that assigns each executed trade to the buy side or the sell side, that is, decides which party took liquidity. Some feeds carry the aggressor side explicitly; others require it to be inferred from the price of the trade relative to the prevailing bid and ask, and the choice of rule changes every delta computed downstream.
• Trade size — Trade size is the number of contracts or units in a single executed trade. Averaged over a bar it becomes average trade size, which is total volume divided by the number of trades, and it is used to distinguish bars worked by large participants from bars made of small orders.
• Traded levels — Traded levels per bar is the number of distinct price levels at which at least one trade executed inside a bar. It measures how widely activity was spread across prices, independently of how much volume it carried.
• Trades footprint — A trades footprint is a footprint chart mode that displays, at each price level of a bar, the number of individual executions rather than the number of contracts. It separates the granularity of the flow from its size: 500 contracts traded in three prints and 500 contracts traded in three hundred prints look identical in a volume footprint and completely different in a trades footprint.
• Trading edge — A trading edge is a positive expected outcome per trade after costs that persists on data the rule was not designed on; it is a statistical property of a repeated procedure, not a single good trade, and it can only be claimed with an out-of-sample test and enough trades to distinguish it from chance.
• Trading journal — A trading journal is a record of every trade with its context: instrument, entry, exit, size, result, the chart as it looked, and the trader's note. Kept consistently, it turns a month of trades into measurable statistics such as expectancy, drawdown and results by hour or setup, so that decisions can be reviewed rather than remembered.
• Trading session — A trading session is the defined time window over which a market's activity is grouped for analysis: for CME equity index futures it runs from the Globex open at 17:00 Chicago time to the next day's close, and regular US cash hours form a sub-window inside it. The session boundary decides where session-based indicators reset and which trades a daily profile includes.
• Trailing drawdown — A trailing drawdown is a prop firm loss limit that follows the account upward: the threshold is set a fixed distance below the highest balance or equity reached so far, rises as new highs are made, and never falls, so profits already taken raise the level at which the account fails.
• Transaction costs — Transaction costs are everything a trade pays to be executed: exchange and clearing fees, broker commission, platform or data charges attributable to trading, and slippage. In a backtest they are the explicit deductions that separate a rule's gross result from what an account would have kept.
• Trapped traders — Trapped traders are participants who entered aggressively in one direction and now hold positions that price has moved against, leaving them likely to exit at a loss. On a footprint chart the trap shows as heavy aggressive volume at an extreme followed by price moving the other way.
• Underwater period — An underwater period is the stretch of time during which an equity curve stays below its previous peak, from the trade that set the high to the trade that makes a new one. Where maximum drawdown measures how deep the curve fell, the underwater period measures how long it took to recover.
• Unfinished auction — An unfinished auction is a footprint bar extreme where the auction did not complete in the usual way: under the convention used by Senzoukria, the highest level of the bar has sell volume but no aggressive buy volume, or the lowest level has buy volume but no aggressive sell volume. Some platforms use the term for the opposite case, an extreme where both sides still traded, so the convention must be stated.
• Unrealized drawdown — Unrealized drawdown is a prop firm rule under which open positions count: the account's peak and its breach are measured on equity, including the floating profit or loss of trades still open, so the threshold can rise on a winner that is never closed and the account can fail on an adverse excursion that is never realised.
• Unusual options activity — Unusual options activity (UOA) is any option trading that a filter flags as abnormal relative to a baseline, usually the contract's volume against its open interest, the premium against what the strike normally trades, or size against a threshold. The label describes the filter, and the answer changes with the baseline.
• Value area — The value area is the contiguous range of prices around the point of control that contains a chosen share of the period's traded volume, 70 percent by convention, bounded by the value area high (VAH) above and the value area low (VAL) below. Trading inside it is read as acceptance; trading outside it with volume is read as the market seeking a new range.
• Value area high — The value area high (VAH) is the upper boundary of the value area: the highest price at which the contiguous range around the point of control still contains the chosen share of traded volume, 70 percent by convention. It is the level above which the period's trading is considered to have left accepted value.
• Value area low — Value area low (VAL) is the lower boundary of a profile's value area, the price band that holds roughly 70% of the volume or TPO count of the period. Below the VAL, price is trading outside the range the market accepted as fair during that period.
• Value migration — Value migration is the movement of the value area and point of control from one period to the next, or within a period as the developing profile shifts. It is the profile-based way of seeing that the market has changed the prices it considers fair, rather than simply moving price through them.
• Vanna — Vanna is a second-order option greek: the change in an option's delta for a change in implied volatility, or equivalently the change in vega for a move in the underlying. It matters to hedgers because a volatility shift alone can force a delta adjustment even when spot has not moved.
• Volatility skew — Volatility skew is the asymmetry in implied volatility between out-of-the-money puts and out-of-the-money calls at the same expiry. Put skew, the usual state for equity indices, means downside protection is priced higher than upside; call skew means the opposite.
• Term structure — Volatility term structure is the curve of at-the-money implied volatility across option expiries, from the nearest expiry to the furthest. Its shape shows whether the options market is paying more for short-dated protection than for long-dated protection. It is a comparison of published quotes, so it can be read without a positioning model.
• Volume at price — Volume at price is the quantity traded at each individual price level over a period, as opposed to volume per time bar. It is the raw series a volume profile is drawn from, and, when split into bid and ask volume, the raw series a footprint chart is drawn from.
• Volume bars — Volume bars are chart bars that close once a fixed number of contracts has traded, for example every 1,000 contracts, regardless of how many trades it took or how much time elapsed. Each bar therefore holds the same amount of business, which makes per-bar footprint measures such as delta directly comparable from bar to bar.
• Volume climax — A volume climax is a bar whose traded volume is extreme relative to the bars that precede it, usually measured as a number of standard deviations above the recent mean. On its own it is a statistical flag; it becomes a stopping-volume or exhaustion reading only when the bar sits at the end of a move and price fails to continue.
• Volume dots — Volume dots are markers drawn on a liquidity heatmap at the price and time where trades executed, sized by the traded quantity, so that executions can be read against the resting liquidity they hit. They add the footprint's information, what traded, to the heatmap's information, what was waiting.
• Volume footprint — A volume footprint is a footprint chart mode that prints the total traded volume at each price level of a bar, bid and ask volumes added together, instead of showing them as two separate columns. It answers where the bar's activity concentrated, which is the raw material for the bar's point of control and for volume profiles.
• Volume profile — A volume profile is a histogram of traded volume by price over a chosen period, drawn horizontally against the price axis, so that the levels where the most and the least trading occurred are visible regardless of when they occurred. Its named features are the point of control, the value area and the high and low volume nodes.
• VWAP — VWAP is the volume-weighted average price of a session: the running sum of price times volume divided by the running sum of volume, reset at each session open. It describes the average price at which contracts actually changed hands, which is why desks measure their own execution against it and why price reacts around it.
• VWAP bands — VWAP standard deviation bands are envelopes drawn at a chosen number of volume-weighted standard deviations above and below the session VWAP, commonly ±1σ and ±2σ. They measure how far price has stretched from the session's average traded price, in units that scale with the session's own dispersion.
• Walk-forward — Walk-forward analysis is a backtesting procedure that chooses parameters on a training window, freezes them, evaluates them on the following test window that took no part in the choice, then advances both windows chronologically and repeats. The concatenated test-window results are what the strategy would have returned with parameters it could actually have known at the time.
• Why dashboards disagree — GEX dashboards disagree because gamma exposure is a modelled quantity whose result depends on the expiry scope, the dealer-sign assumption, the pricing model, the open-interest snapshot, the spot and volatility inputs and the units chosen. Two providers reading the same chain with different choices will publish different totals, walls and flip levels without either being wrong.
• Win rate — Win rate is the share of closed trades that ended with a positive net result, usually expressed as a percentage of all trades. On its own it says nothing about profitability, because it ignores how large the winners and losers were.
• Withdrawn vs executed — Withdrawn versus executed liquidity is the split, for a price level or a whole session, between resting size that left the book by cancellation and resting size that left by being traded. Computing it reliably requires an order-by-order feed, because aggregated depth only shows the total changing, not what each change was made of.
• Working order — A working order is an order that the broker or exchange has accepted and that is still live: it rests in the book or at the broker waiting for its condition, and it can fill, be cancelled or be modified. Filled, rejected and cancelled orders are no longer working, and an order the application sent but the broker never acknowledged was never working.
• Z-score — A z-score expresses a value as a number of standard deviations away from the mean of a reference window; in trading it turns price, delta or volume into a unit-free reading that says how unusual the current bar is compared with the recent ones.
• Zero gamma — The zero-gamma level is the underlying price at which a modeled net gamma-exposure curve equals zero, and a gamma flip is the case where that curve changes sign across the level. It separates the positive (dampened) and negative (amplified) regimes of a dealer GEX model and moves whenever the model's inputs or assumptions change.

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