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.
25-delta butterfly — The 25-delta butterfly measures the curvature of a volatility smile: the average implied volatility of the 25-delta call and the 25-delta put minus the at-the-money implied volatility. Together with the 25-delta risk reversal, which measures the slope, it summarises the smile of one expiry in two numbers.
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.
Acceptance and rejection — In auction market theory, a price is accepted when the market spends time and trades volume there, building value around it, and rejected when the market leaves it quickly with little trade. The distinction decides whether a move beyond a reference level, such as the previous value area or a range edge, is the start of new value or a probe that failed.
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.
Adverse selection — Adverse selection is the risk, for whoever provides liquidity, of trading with a counterparty who knows more about the next price move. A resting limit order is filled most readily when the market is about to move against it, so passive fills carry a systematic cost that the bid-ask spread partly compensates.
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.
Alpha decay — Alpha decay is the gradual erosion of a trading strategy's edge after it has been discovered or deployed, as other participants exploit the same pattern, market structure changes or costs rise. It is distinct from an ordinary drawdown, which a strategy with an intact edge also goes through.
AM vs PM settlement — AM-settled options are settled on a value computed from the opening prices of the index components on expiration morning, after trading in the option stopped the previous business day; PM-settled options are settled on the closing value of the expiration day. For the S&P 500, standard monthly SPX options are AM-settled and SPXW options are PM-settled.
Exercise style — An option's exercise style says when it can be exercised: American-style options at any time up to expiry, European-style options only at expiry. SPY, QQQ and single-stock options are American; SPX and NDX index options are European; CME lists both styles on its equity index futures options.
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.
At the money — An option is at the money (ATM) when its strike equals, or is the closest listed strike to, the current underlying price. Several definitions coexist, the strike nearest spot, the strike at the forward price and the delta-neutral straddle strike, and they can point to different strikes on the same chain.
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.
Auto-deleveraging — Auto-deleveraging (ADL) is the last-resort mechanism a crypto derivatives exchange uses when its insurance fund cannot absorb a bankrupt position: profitable positions on the opposite side are automatically closed, in whole or in part, at the bankruptcy price of the liquidated position, in an order ranked by profit and leverage.
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.
Average fill price — The average fill price is the volume-weighted average of the prices at which an order, or a position built from several orders, was executed: the sum of each fill's quantity times its price, divided by the total quantity. It is the reference for the position's profit and loss and for any stop measured from the entry.
Averaging down — Averaging down is adding to a losing position so that the average entry price improves. It shortens the move needed to break even but increases the size exposed to the move that is already going wrong, so an unplanned add turns a single-trade loss into a larger one.
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.
Back month — A back month, or deferred contract, is any listed expiry of a futures product later than the front month. It trades at a different price from the front, separated by the calendar spread, and usually with a thinner book and far fewer prints until the roll brings volume to it.
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.
Backwardation — Backwardation is the shape of a futures curve in which later delivery months trade below the nearer ones. It appears when holding the underlying now is worth more than deferring it, because of scarcity, a convenience yield or an income such as dividends that exceeds the financing cost.
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 bounce — Bid-ask bounce is the alternation of trade prices between the bid and the ask while the quotes themselves do not change. It makes the last traded price move by one spread back and forth with no change in the market's value, which creates apparent volatility, negative autocorrelation of price changes and bars that form without any real movement.
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.
Binomial model — The binomial option pricing model values an option by building a tree of possible underlying prices over discrete steps and working backward from expiry, discounting risk-neutral expected values at each node. Because each node can compare holding with exercising, it prices American-style options, which the closed-form Black-Scholes formula cannot.
Black-76 — The Black-76 model is the variant of Black-Scholes used to price European options on futures and forwards: the futures price replaces the spot price, no dividend or carry term is needed, and the risk-free rate only discounts the payoff. It is the standard quoting model for options on index futures such as the E-mini S&P 500.
Black-Scholes — The Black-Scholes model prices European options by assuming the underlying follows a lognormal random walk with constant volatility and interest rate, and that the option can be replicated by continuous delta hedging. Its closed-form price and greeks remain the common language of options markets, even though real markets violate several of its assumptions.
Futures block trade — A futures block trade is a large transaction privately negotiated away from the central order book and then reported to the exchange, allowed only in eligible products and above a minimum size. It appears in the exchange's reported volume, but it never rested in the displayed book and did not interact with the orders you saw on the DOM.
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.
Bootstrap — Bootstrap resampling estimates the uncertainty of a statistic by drawing many new samples of the same size from the observed data with replacement and recomputing the statistic on each. The spread of the recomputed values approximates how much the statistic could vary had a different sample been observed.
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.
Breakeven stop — A breakeven stop is a protective stop moved to the position's entry price after the market has moved in its favor, so that a reversal closes the trade at roughly zero instead of at a loss. Because of fees and stop slippage, a breakeven exit is usually a small loss, and moving the stop too early turns some future winners into scratches.
Breakeven win rate — The breakeven win rate is the share of winning trades at which a strategy's expectancy is exactly zero, given the average win, the average loss and the costs per trade. Before costs it equals 1 ÷ (1 + payoff ratio); any cost per trade raises it.
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.
Butterfly spread — A butterfly spread buys one option at a low strike, sells two at a middle strike and buys one at a high strike, all of the same type and expiry. It costs little, pays most if the underlying settles exactly at the middle strike, and its price is tied to the probability the market assigns to that region.
Buy-side and sell-side liquidity — In the vocabulary of 'smart money concepts', buy-side liquidity is the pool of buy orders, mostly buy stops, assumed to rest above swing highs, and sell-side liquidity the sell stops assumed below swing lows. In market microstructure, liquidity means resting limit orders instead, and bid-side liquidity sits below the price, so the same words point to opposite places depending on who uses them.
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.
CAGR — The compound annual growth rate (CAGR) is the constant yearly rate that would take a starting value to an ending value over a given number of years: (end ÷ start)^(1 ÷ years) − 1. It describes average growth as if it had been smooth, and needs a capital base to be defined.
Calendar spread — A calendar spread is the simultaneous purchase of one delivery month of a futures contract and sale of another month of the same contract. Exchanges list many calendar spreads as instruments with their own order book, quoted as the price of the nearer leg minus the price of the farther leg, and much of the activity during a roll flows through them.
Calendar spread — An options calendar spread sells a short-dated option and buys a longer-dated option of the same type and strike. It profits from the faster time decay of the near option when the underlying stays near the strike, and from a rise in the longer expiry's implied volatility relative to the shorter one.
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.
Calmar ratio — The Calmar ratio is the compound annual return of a strategy divided by its maximum drawdown, conventionally measured over the trailing 36 months. It relates the growth rate to the worst peak-to-trough loss that an investor in the strategy would actually have lived through.
Cancel on disconnect — Cancel on disconnect (COD) is an exchange or broker safeguard that cancels a session's resting orders when that session loses its connection involuntarily. On CME Globex it applies to iLink order-entry sessions, excludes good-till-cancelled and good-till-date orders, and is not triggered by a normal logout.
Cash settlement — Cash settlement is the settlement of an expiring futures contract by a cash payment equal to the difference between the final settlement price and the price of the last daily settlement, instead of a transfer of the underlying. Equity index futures such as ES and NQ settle this way against a value derived from the index.
Cash-and-carry trade — A cash-and-carry trade buys an asset in the spot market and sells a futures or perpetual contract on the same asset, so that price moves largely cancel and the position earns the basis or the funding payments instead. It is often described as market neutral, but it carries funding, margin, execution and counterparty risks of its own.
Cash-settled options — Cash-settled options pay the difference between a settlement value and the strike in cash instead of delivering the underlying. Broad index options such as SPX and NDX settle this way, which removes delivery, but makes the exact settlement value, taken at the open or at the close depending on the series, the number that decides the payoff.
SKEW Index — The Cboe SKEW Index measures the perceived tail risk of the S&P 500 from the prices of out-of-the-money SPX options. It is defined as 100 − 10 × S, where S is the risk-neutral skewness of 30-day S&P 500 log returns, so a value of 100 corresponds to a symmetric distribution and higher values to a heavier left tail.
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.
CFTC and NFA — The Commodity Futures Trading Commission (CFTC) is the US federal regulator of futures, options on futures and swaps markets; it designates exchanges, oversees clearing houses and publishes the weekly Commitments of Traders report. The National Futures Association (NFA) is the industry's self-regulatory organization, through which futures firms and professionals register and are supervised.
Charm — Charm is the second-order option greek that measures how an option's delta changes as time passes, with price and volatility unchanged. It explains why out-of-the-money deltas drift toward zero and in-the-money deltas toward one as expiry nears, and why a delta-hedged book must trade even on a quiet day.
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.
Circuit breakers — Circuit breakers are coordinated trading halts and price limits designed to give markets a cooling-off period during large, fast declines. In the US stock market they trigger at 7, 13 and 20 percent falls of the S&P 500, the last one halting trading for the rest of the day, and CME's equity index futures limits are set to work alongside them.
Clearing house — A clearing house, or central counterparty, is the entity that steps between the buyer and the seller of every exchange-traded futures contract, becoming the seller to every buyer and the buyer to every seller. It collects margin, marks positions to market every day and guarantees performance, so traders never carry the credit risk of the anonymous participant on the other side.
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 Group exchanges — CME Group operates four designated contract markets, CME, CBOT, NYMEX and COMEX, and every futures product is listed on exactly one of them: ES and NQ on CME, YM, Treasuries and grains on CBOT, energy on NYMEX, gold and silver on COMEX. The listing exchange is part of the instrument's identity for data subscriptions and routing.
MDP 3.0 — MDP 3.0 is CME Group's market data protocol for CME Globex: binary messages in Simple Binary Encoding sent over UDP multicast channels, carrying incremental book and trade updates, instrument definitions, status changes and recovery snapshots. Retail platforms rarely read it directly; they receive a vendor's version of it, such as Rithmic's feed or Databento's GLBX.MDP3 dataset.
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.
Collar — A collar protects a long position in an underlying by buying an out-of-the-money put and financing it by selling an out-of-the-money call. The result is a band of outcomes: losses below the put strike and gains above the call strike are cut off, often for little or no net premium.
Colocation — Colocation is the practice of placing a trading server in the same data center as an exchange's matching engine or a vendor's gateway, connected by short dedicated links. It removes most network distance from the order and data path, which matters for strategies competing on microseconds and hardly at all for a trader reading a footprint by eye.
Color — Color, or gamma decay, is the third-order option greek that measures how an option's gamma changes as time passes. Near the money gamma rises as expiry approaches, while away from the money it collapses, which is why short-dated gamma concentrates on a few strikes in the final hours of a session.
COT report — The Commitments of Traders (COT) report is the CFTC's weekly breakdown of open interest by category of trader. It is generally published on Friday at 3:30 p.m. Eastern time with positions as of the preceding Tuesday, and it comes in legacy, disaggregated, traders in financial futures and supplemental versions.
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.
Concurrent login limit — A concurrent login limit is a provider's rule on how many sessions one set of credentials may hold open at the same time. Many futures data and routing services allow a single live session per login and service, so opening a second platform on the same login either disconnects the first or is refused, which often looks like a data failure.
Confidence interval — A confidence interval is a range computed from a sample that, under the assumptions of the method, would contain the true value of a statistic in a stated share of repeated samples, typically 95%. For trading statistics it turns a single win rate or average trade into the range of values the data cannot rule out.
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.
Contango — Contango is the shape of a futures curve in which each later delivery month trades above the one before it. It reflects a carry cost, such as financing, storage and insurance, that outweighs any income or scarcity value from holding the underlying now, and it makes calendar spreads quoted near minus far negative.
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.
Convergence — Convergence is the tendency of a futures price and the price of its underlying to come together as the contract approaches delivery, also called a narrowing of the basis. For cash-settled index futures it is exact by construction, since the final settlement is the index value; for physically delivered contracts it holds up to delivery costs and terms.
Correlated positions — Correlated positions are open trades whose results tend to move together because their instruments respond to the same driver, such as ES and NQ, or a mini and its micro. Held in the same direction, they behave as one larger position; held in opposite directions, they hedge less reliably than they appear to.
Corwin-Schultz estimator — The Corwin-Schultz estimator infers the bid-ask spread from high and low prices. It rests on the idea, published by Shane Corwin and Paul Schultz in 2012, that the part of a high-low range due to volatility grows with the length of the period while the part due to the spread does not, so comparing one-bar and two-bar ranges separates the two.
Cost of carry — The cost of carry is the net cost of holding the underlying of a futures contract until delivery: financing, plus storage and insurance for physical goods, minus any income such as dividends. It links the futures price to the spot price, which is why a deferred future trades above spot when carry is positive and below it when income dominates.
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.
Covered call — A covered call sells a call against a long position in the underlying, collecting premium in exchange for giving up gains above the strike. Widespread call overwriting by investors and funds is the usual rationale for assuming, in gamma exposure models, that dealers are net long calls.
Crypto daily open — Crypto markets trade continuously, so a 'day' is a convention rather than a session. Most exchanges and data vendors start the daily candle at 00:00 UTC, which makes that time the reference for daily opens, daily profiles and daily statistics, unlike CME futures, whose trading day changes at 17:00 Chicago time.
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.
d1 and d2 — d1 and d2 are the two standardized distances between spot and strike that appear in the Black-Scholes formula. N(d2) is the model's risk-neutral probability that a call finishes in the money, and N(d1), adjusted for dividends, is the call's delta.
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.
Price limits — Daily price limits are the maximum price moves the exchange allows in a futures contract during a session, measured from a reference price. CME equity index futures use limits of 7, 13 and 20 percent during regular hours, coordinated with the stock market's circuit breakers, and a 7 percent up-and-down limit overnight, as CME's price-limit FAQ describes them at the time of writing.
Settlement price — The daily settlement price is the official end-of-day price the exchange sets for each futures contract, used by the clearing house to mark every open position to market and move variation margin. It follows a published procedure, typically a volume-weighted average over a short window near the close, and it can differ from the last traded price.
Conflation — Conflation is the practice of combining several market data updates into one, typically by sending only the latest state of a price level or quote at intervals instead of every change. It saves bandwidth and processing but hides intermediate states: quotes that flickered, liquidity that appeared and vanished between two snapshots, or the sequence of individual trades.
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.
Data snooping bias — Data snooping bias is the inflation of a result that comes from testing many rules, parameters or variants on the same data and keeping the best one. The more attempts, the more likely that the winner owes its performance to chance, so the reported result must be judged against the number of trials that produced it.
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 clients buy puts and sell calls, which leaves dealers short the puts and long the calls.
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.
Degrees of freedom — In strategy research, degrees of freedom are the choices a rule is allowed to fit to the data: parameters, filters, thresholds and discretionary design decisions. Each one lets the rule adapt to the sample, so the more of them relative to the number of trades, the less the backtest says about new data.
Delayed data — Delayed market data is data a source publishes a fixed time after the event, commonly around 15 minutes for free or low-cost options feeds. The delay is a property of the source, separate from the age of the snapshot on screen: a fresh snapshot of a delayed source still describes the market as it was a quarter of an hour ago.
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 exposure — Delta exposure (DEX) aggregates the delta of all open option contracts on an underlying, each scaled by open interest and the contract multiplier and signed by a positioning assumption, into a share-equivalent or dollar figure. It estimates how much underlying the modelled option book represents, not the hedge actually held against it.
Delta flip — A delta flip is a change in the sign of delta: a bar with negative delta after a run of positive bars, or the reverse, or, within one bar, running delta swinging from one extreme to the other before the close. It marks a change in which side was more aggressive, which is information about participation rather than a prediction of direction.
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 neutral — A position is delta neutral when the sum of the deltas of its components is zero, so a small move in the underlying leaves its value unchanged to first order. The neutrality holds only instantaneously: gamma, charm and vanna change the deltas as price, time and volatility move, and the hedge must be adjusted.
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.
Delta-adjusted notional — Delta-adjusted notional converts an option position into the dollar amount of underlying it behaves like: delta × number of contracts × multiplier × underlying price. It puts options and futures on one scale and shows why premium paid is a poor measure of the exposure a trade creates.
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.
Direct market access — Direct market access means that a trader's orders go to the exchange's order book under the broker's supervision, rather than being filled by the broker as a counterparty. In exchange-traded futures every order ends up in the exchange's central book, so the practical questions are which risk checks sit on the path and how short it is, not whether the market is real.
Disposition effect — The disposition effect is the tendency to close winning positions too early and hold losing positions too long. Described by Hersh Shefrin and Meir Statman in 1985 and documented in brokerage records by Terrance Odean in 1998, it shows up in trading records as a low payoff ratio and losing trades that last longer than winners.
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.
Effective spread — The effective spread measures what a trade actually paid relative to the mid-price at the moment it executed: twice the distance between the trade price and that mid. The realized spread measures the same distance against the mid a little later, which is what the liquidity provider kept once the price had moved; the difference between the two is the price impact of the trade.
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.
Equity curve trading — Equity curve trading switches a strategy on or off, or changes its size, according to the state of the strategy's own equity curve, for example trading only while the curve is above its moving average. It can shorten some drawdowns, but it also skips the trades that start recoveries, and it adds a parameter that must be tested out of sample.
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.
EFRP — An exchange for related position (EFRP) is a privately negotiated transaction in which a futures position is exchanged for an offsetting position in a related cash, swap or other instrument, and then reported to the exchange. The exchange for physical (EFP), which swaps futures for the physical commodity or cash instrument, is the classic form.
Holiday schedule — Exchange holiday schedules define the days when futures do not trade, trade on shortened hours or close early. On US holidays CME Globex often trades an abbreviated session rather than closing completely, and the trades may be assigned to the following trade date, so the calendar has to be read for each holiday rather than assumed.
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.
Execution algorithms — Execution algorithms are programs that split a large parent order into many small child orders over time to limit market impact. The common families are TWAP, which trades evenly over a period, VWAP, which follows the expected volume profile, and POV, which trades a set percentage of market volume. Their child orders leave regular, repetitive traces in the tape that order flow readers try to recognize.
Execution report — An execution report is the message a broker or exchange sends back for every change in an order's life: accepted, partially filled, filled, modified, cancelled or rejected. It carries the order's identifiers, its status, the quantity filled so far and the quantity left. A trading screen's working orders and positions are only as accurate as the stream of these reports it has received.
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.
Expected move — The expected move is the size of price change the options market implies for a given horizon, usually one standard deviation: underlying price × implied volatility × √(days/365). The at-the-money straddle price gives a close shortcut, about 0.8 times that one-standard-deviation move.
Expected shortfall — Expected shortfall, also called conditional value at risk (CVaR), is the average loss on the periods whose loss exceeds the value-at-risk threshold. Where VaR says where the bad tail starts, expected shortfall says how bad the tail is on average.
Extrinsic value — Extrinsic value, or time value, is the part of an option's premium above its intrinsic value: premium minus intrinsic value. It pays for the chance that the option gains value before expiry, it is largest at the money, and it decays to zero at expiry through theta.
Failed auction — A failed auction is a probe beyond a reference level, such as the previous high, the initial balance or the edge of a balance area, that finds no follow-through and returns inside. Market Profile traders call it a look above and fail, or a look below and fail, and read it as evidence that the other side controls that edge, often with the opposite side of the range as the next reference.
Fair value — The fair value of an equity index future is the theoretical price at which it should trade given the cash index, the financing rate, the expected dividends and the days to expiry. Comparing the futures price with it, rather than with the raw index, is how a pre-market futures move is translated into an implied move of the cash index.
Fair value gap — A fair value gap (FVG) is a three-candle pattern in which the first candle's high is below the third candle's low (bullish), or its low is above the third candle's high (bearish), leaving a price zone inside the middle candle that the wicks of its neighbors do not cover. The term comes from 'smart money concepts' teaching, and it is unrelated to the value area of auction market theory.
Fat tails — A distribution has fat tails when extreme values occur more often than a normal distribution with the same mean and standard deviation would predict. Returns and trade results usually do, which makes models built on the normal curve understate the frequency of large moves and large losses.
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.
Fill assumptions — Fill assumptions are the rules a backtest or simulator uses to decide whether, when and at what price a simulated order executes: signal timing, market order price, limit order fills, stop fills, gaps and costs. They are part of the result, because historical data records what traded, not what a new order would have obtained.
Fill-or-kill order — A fill-or-kill (FOK) order must be executed immediately and in its entire quantity at its limit price or better; if the full size cannot be matched at once, nothing is filled and the whole order is canceled. It gives certainty about size at the cost of frequent non-execution.
Final settlement — The final settlement price is the price at which an expiring futures contract's open positions are settled. For CME equity index futures it is the special opening quotation (SOQ) of the index on expiration Friday, computed from each component stock's opening price, which is why it can differ both from the index level printed at the open and from the last futures trade.
First notice day — First notice day is the first day on which the holder of a short position in a physically delivered futures contract can give notice of intent to deliver. After it, a long position can be assigned delivery, which is why brokers usually require retail longs to close or roll before it and why liquidity migrates to the next contract earlier than the last trading day.
FIX protocol — FIX (Financial Information eXchange) is the industry-standard message vocabulary for orders and executions: a new order, a cancel, a replace, an execution report, a heartbeat. Its classic form writes each field as a numbered tag and a value; CME's iLink 3 order entry keeps FIX semantics but encodes them in Simple Binary Encoding for speed.
Fixed fractional sizing — Fixed fractional position sizing risks the same percentage of current account equity on every trade: the number of contracts is that percentage of equity divided by the dollar loss per contract if the stop is hit. Size rises after gains and falls after losses, so risk stays proportional to the account.
Fixed range volume profile — A fixed range volume profile is a volume profile computed over a start and end chosen by the trader, such as a single swing, a news move or a balance area, instead of a session or a rolling window. The range stays fixed when the chart scrolls or new bars arrive, so the profile describes exactly the period selected.
Fixed ratio sizing — Fixed ratio position sizing, popularized by Ryan Jones in the late 1990s, adds one contract each time the account has gained a fixed amount called the delta multiplied by the current number of contracts. Size therefore grows with profits but more slowly than under fixed fractional sizing as the account gets larger.
Fixed-moneyness skew — A fixed-moneyness skew compares the implied volatility of strikes placed a fixed percentage below and above spot, for example 95% and 105%. It needs no delta calculation, so it can be read directly from quoted strikes, but the same percentage represents very different distances in probability for short and long expiries.
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.
Fleeting orders — Fleeting orders are limit orders canceled very shortly after being placed, often within a second or two, typically by algorithms that reprice continuously. On a DOM or heatmap they appear as size that flickers in and out of the book; whether they are seen at all depends on how often the feed publishes the book.
FOMO — FOMO, the fear of missing out, is the urge to enter a move that is already under way because it seems to be leaving without you. FOMO entries tend to come late, after the planned entry, with a wider stop or a smaller remaining target, so they carry worse reward-to-risk than the setup they imitate.
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.
Forward test — A forward test runs a frozen trading rule on market data that arrives after the rule was designed, usually on a simulated or paper account, before any capital is committed. It is the only out-of-sample evidence that no design decision could have seen, because the data did not exist when the rule was written.
Forward volatility — Forward volatility is the implied volatility for a future period between two expiries, extracted from the implied volatilities of those two expiries. Because variance adds over time, it isolates what the options market prices for that window alone, which is how an event between two expiries shows up in the term structure.
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.
Funding rate — The funding rate is the periodic payment exchanged between long and short holders of a perpetual futures contract, set so that the contract's price stays close to the spot index. When the rate is positive, longs pay shorts; when it is negative, shorts pay longs. The payment equals the position's notional value times the rate.
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.
FCM — A futures commission merchant (FCM) is the firm that accepts customers' futures orders and holds their funds: it opens the account, collects margin, carries the positions through a clearing member and sends the statements. When a platform or prop firm connects you to CME futures, an FCM stands somewhere behind the account.
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.
Month codes — Futures month codes are the single letters exchanges use for a contract's delivery month: F January, G February, H March, J April, K May, M June, N July, Q August, U September, V October, X November, Z December. Joined to a product root and a year digit they name one expiry, such as ESZ6 or CLF7.
Futures symbology — Futures symbology is the set of conventions a platform or data vendor uses to name an instrument. The same June 2026 Micro Nasdaq-100 contract is MNQM6 with exchange CME for Rithmic, 'MNQ 06-26' in NinjaTrader and MNQM6 in Quantower, while Databento also offers continuous symbols such as MNQ.v.0 and parent symbols such as MNQ.FUT that do not name one contract.
Trading stack — The futures trading stack is the chain of separate parties behind one trade: the charting and trading software, the market data and routing vendor, the broker or prop firm, the futures commission merchant, the clearing house and the exchange. Each owns a different part of what can go wrong, and each bills separately for its part.
Gambler's fallacy — The gambler's fallacy is the belief that after a run of one outcome the opposite outcome becomes more likely, so that a win is 'due' after several losses. For independent trades the probability of the next result does not depend on the streak that preceded it.
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 scalping — Gamma scalping is the practice of holding a long option position and repeatedly delta-hedging it, selling the underlying after rises and buying after falls. The hedges lock in gains from price swings, which offset the option's time decay; the strategy profits when realized volatility exceeds the implied volatility paid.
Gamma squeeze — A gamma squeeze is a feedback loop in which heavy buying of options, usually calls, leaves hedgers short gamma, so that each rise in the underlying forces them to buy more of it to stay delta neutral, which pushes the price further toward and through the strikes. It is a mechanism inferred after the fact, not a signal that can be read from open interest alone.
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.
Gap risk — Gap risk is the possibility that price jumps past a stop without trading at the levels in between, typically across a trading halt, a session break, a weekend or a sudden news release. A stop order then fills at the first available price, so the realized loss can far exceed the planned one.
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.
Half-open connection — A half-open connection is a network session that one side still believes is open while the other side, or the path between them, has stopped delivering. No close message and no error arrive; the application keeps waiting for data that will never come, and a trading screen shows a market that looks calm when the feed is actually dead.
Heartbeat — A heartbeat is a small message a client and a server exchange at an agreed interval to prove the connection is still alive when no other traffic is flowing. If heartbeats stop, the other side assumes the connection is dead and closes it, which for trading connections can also trigger the cancellation of working orders.
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.
Hedging pressure — Hedging pressure is a running total of the share-equivalent delta that option prints would force a delta-neutral counterparty to hedge: aggressor side × delta × size × multiplier, summed over the session. It turns the flow of trades into an estimated hedging need, under the assumption that dealers take the other side of each aggressive print.
Hedging — Hedging with futures means taking a futures position opposite to an exposure held elsewhere, such as a stock portfolio, a crop or a fuel budget, so that losses on one side are offset by gains on the other. A short hedge protects a holder against falling prices, a long hedge protects a future buyer against rising prices, and what remains is basis risk.
Hidden order — A hidden order is a resting limit order whose quantity is not shown in market data at all, unlike an iceberg order, which displays a slice of its size. Where a venue offers it, incoming orders still execute against it, so it reveals itself only through trades that exceed the size the visible book showed at that price.
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.
IV calculation — Implied volatility is calculated by inverting a pricing model: a root-finding method searches for the volatility at which the model price equals the option's market price, given spot, strike, time, rate and dividend. It has no closed form, it fails when the price violates no-arbitrage bounds, and its value depends on the price and inputs chosen.
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.
Immediate-or-cancel order — An immediate-or-cancel (IOC) order executes at once whatever quantity is available at its limit price or better and cancels any remainder, so it never rests in the order book. CME calls the same instruction Fill and Kill (FAK).
Implementation shortfall — Implementation shortfall is the difference between the result of a trade decision on paper, executed instantly at the price when it was taken, and the result actually obtained. Introduced by André Perold in 1988, it adds up everything execution costs: the price drift before the order reaches the market, the spread and impact paid while filling, the opportunity cost of any quantity left unfilled, and fees.
Implied orders — Implied orders are prices the exchange derives by combining orders across related books. Implied in: two outright orders create a price in the spread book. Implied out: a spread order and an outright order in one leg create a price in the other leg's outright book. They let liquidity in one market fill orders in another.
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 arbitrage — Index arbitrage is trading equity index futures against the basket of stocks in the index whenever the futures price leaves a band around fair value: buying the stocks and selling the futures when the futures are rich (cash-and-carry), selling the stocks and buying the futures when they are cheap (reverse cash-and-carry). It is the mechanism that keeps ES and NQ tied to their indices.
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.
Index price — The index price of a crypto derivative is a weighted average of the underlying asset's spot price across several exchanges, published by the derivatives venue. It anchors the funding rate and the mark price, so that one exchange's order book cannot alone decide what a perpetual contract is worth.
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.
Initial margin — Initial margin is the collateral that must be in the account when a futures position is opened, a performance bond sized by the clearing house to cover the loss a position could plausibly suffer before it is closed or re-margined. It is not a down payment on the contract, and the position can lose more than 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.
Insurance fund — An insurance fund is a pool held by a crypto derivatives exchange to absorb the losses of liquidated positions whose losses exceed their collateral, so that the profits of traders on the other side can be paid. It is funded mainly by liquidation fees and is not an insurance product for traders' own losses.
Intercommodity spread — An intercommodity spread is a position that is long one futures product and short a different but related product, such as NQ against ES, crude oil against gasoline, or two points on the Treasury curve. Its result depends on the relative move of the two products, which is why the legs are usually sized by notional value or by an agreed ratio rather than one contract each.
Intrabar ambiguity — Intrabar ambiguity is the uncertainty a bar-based backtest faces when a single bar's high and low reach both the stop and the target of a position: open, high, low and close do not say which level traded first. The convention chosen to resolve it can change a strategy's result substantially.
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.
Intrinsic value — An option's intrinsic value is what it would be worth if exercised immediately: spot minus strike for a call and strike minus spot for a put, floored at zero. Only in-the-money options have intrinsic value; everything else in the premium is extrinsic, or time, value.
Introducing broker — An introducing broker (IB) is a firm that solicits or accepts futures orders from customers but does not accept their money or extend them credit: the account and the funds sit at a futures commission merchant, to which the IB introduces the customer. Many retail futures brokers operate this way.
Iron condor — An iron condor sells an out-of-the-money put spread and an out-of-the-money call spread on the same expiry. It collects a credit that is kept if the underlying settles between the short strikes, with a maximum loss capped by the long wings: a defined-risk short volatility position.
Isolated vs cross margin — Isolated margin assigns a fixed amount of collateral to one position, so at worst that position loses only its own margin. Cross margin lets all positions share the account's available balance, so gains on one position support another, but a large enough loss can liquidate every position in the account.
IV rank vs IV percentile — IV rank places current implied volatility within its range over a lookback, usually a year: (current − low) / (high − low). IV percentile gives the share of days in the lookback when implied volatility was below the current level. The two can differ widely, because one spike widens the range without changing how often volatility was lower.
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.
Kyle's lambda — Kyle's lambda is the price-impact coefficient of Albert Kyle's 1985 model of market microstructure: the change in price per unit of net order flow. A high lambda means a thin, easily moved market; a low lambda means the market absorbs net buying or selling with little price change. In practice it is estimated as the slope of a regression of price changes on signed volume.
Large-tick instrument — A large-tick instrument is one whose minimum price increment is large relative to how much its price usually moves, so that the bid-ask spread sits at one tick almost all the time and long queues form at each price. Price then moves in discrete jumps when a queue is exhausted. A small-tick instrument is the opposite: spreads of several ticks, thin queues and a nearly continuous price.
Last trading day — The last trading day is the final session in which a futures contract can trade; after it, open positions are settled by delivery or cash. Each product defines it with its own rule, the third Friday of the contract month for CME equity index futures, but days before the delivery month for crude oil, natural gas or refined products.
Latency — Latency is the time a message takes to travel through a trading system: from the exchange to your screen for market data, from your click to an acknowledgement for orders. It is made of distance, network hops and processing at each step, it varies from one message to the next, and it is only meaningful when you say which two points it is measured between.
Layering — Layering is a form of spoofing in which several orders are placed at different price levels on one side of the book, without the intent to have them executed, to create an appearance of market depth and influence other participants, typically while trading on the opposite side. The placement and cancellation of the orders can be observed; the intent that makes them unlawful cannot.
LEAPS — LEAPS are long-term listed options, generally with more than a year until expiration. Compared with short-dated options they have more vega and rho, far less gamma and slower daily time decay, so their value responds mainly to changes in implied volatility, rates and the long-run level of the underlying rather than to intraday moves.
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.
Linear vs inverse contracts — A linear crypto contract is margined and settled in a stablecoin or fiat-like currency, and its profit is proportional to the price change. An inverse contract is margined and settled in the coin itself, has a fixed dollar value per contract, and its profit in coin depends on the difference of the inverse prices, which makes it nonlinear in dollar terms.
Liquidation cascade — A liquidation cascade is a chain reaction in leveraged crypto markets: forced liquidations are executed as market orders, their aggression moves the price, and the move reaches the liquidation prices of further positions, which are liquidated in turn. It produces fast, one-sided moves that often overshoot and partly reverse.
Liquidation price — The liquidation price is the mark price at which a leveraged crypto derivatives position no longer meets its maintenance margin, so the exchange closes it. Because maintenance margin is required, the liquidation price sits closer to the entry than the leverage alone suggests.
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.
Listing cycle — A futures product's listing cycle is the set of delivery months in which it has contracts: quarterly for equity index, currency and Treasury futures, every month for crude oil and CME bitcoin, and product-specific patterns for metals, grains and livestock. The cycle decides how often the front month changes and which contract follows which.
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.
Long/short ratio — The long/short ratio published by crypto derivatives exchanges compares the share of accounts holding net long positions with the share holding net short positions on a contract. Since every contract has one long and one short side, it measures how positioning is distributed across accounts, not whether more contracts are long than short.
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.
Losing streak — A losing streak is an uninterrupted run of losing trades; the maximum losing streak is the longest such run in a record. Even with independent trades and a stable win rate, long streaks are common: at a 50% win rate, a run of six or more losses appears in about 55% of 100-trade samples.
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.
Maintenance margin — Maintenance margin is the minimum account equity that must remain behind an open futures position. When losses carry equity below it, the account receives a margin call to restore equity, conventionally back to the initial margin level, or the position is reduced. It sits below initial margin and acts as the trigger, not the target.
Maker and taker — A maker adds liquidity by placing an order that rests in the book; a taker removes liquidity with an order that executes immediately against resting orders. Exchanges charge makers and takers different fees, and the taker side of each trade is the aggressor that order flow tools count as buying or selling pressure.
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.
Margin call — A margin call is a demand for additional funds when adverse price moves reduce account equity below the required level. In futures it usually follows a daily settlement or an intraday check, and the broker can reduce or liquidate positions instead of waiting for the money, which is why a call is a risk event rather than a reminder.
Mark price — The mark price of a crypto derivative is a reference price computed by the exchange from the spot index and the contract's own market, used to value open positions and to trigger liquidations. The last price is simply the price of the most recent trade. Separating the two protects positions from being liquidated by a brief spike on one venue.
Mark-to-market — Mark-to-market in futures is the daily revaluation of every open position at the exchange's settlement price, with the gain or loss paid or collected in cash that day. Each position effectively restarts from the new settlement price, which is why futures losses must be funded as they occur rather than at the end.
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 API — A market data API is the programmatic interface through which software receives prices from a provider: live streams of trades and book changes, and request-and-response access to history. Access to it is an entitlement of its own, separate from the provider's own trading screen, and it defines what a charting application can possibly display.
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 impact — Market impact is the change in price caused by one's own trading: an order that consumes resting liquidity moves the best price, and larger orders relative to the depth available move it further. Part of the move usually fades as the book refills (temporary impact) and part persists when the trade carried information (permanent impact).
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 order protection — Market order protection is the exchange mechanism that keeps a market order, or a triggered stop, from executing at extreme prices by limiting its fills to a protected range around the best price. On CME, any quantity that cannot be filled within that range remains in the book as a limit order at the edge of the range.
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.
Day types — Market Profile day types classify a session by how its range developed relative to the initial balance: non-trend, normal, normal variation, trend, double-distribution trend and neutral days. The classification, set out in Dalton's Mind Over Markets, describes how much other-timeframe activity entered the session and where, and it is usually settled only as the day develops or after the close.
Open types — Market Profile open types classify how a regular session begins: open-drive, open-test-drive, open-rejection-reverse and open-auction, in decreasing order of early conviction. Described in Dalton's Mind Over Markets, they are read together with where the market opens relative to the previous day's value and range.
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.
Market-if-touched order — A market-if-touched (MIT) order sends a market order once price trades at a chosen level, with a buy MIT placed below the current market and a sell MIT above it. It is the mirror image of a stop: it enters on the pullback rather than on the breakout, trading a guaranteed price for a guaranteed execution once the level is touched.
Marketable limit order — A marketable limit order is a limit order priced at or through the best opposite price, so it executes immediately as an aggressor up to its limit, and any quantity it cannot fill within that limit rests in the book as an ordinary passive order. It caps slippage the way a market order cannot.
Marking the close — Marking the close, also called banging the close, is trading or order placement around the closing or settlement period intended to influence the price at which the market closes or settles. On US futures markets, the Commodity Exchange Act prohibits conduct that demonstrates intentional or reckless disregard for the orderly execution of transactions during the closing period.
Martingale — A martingale sizing scheme increases position size after each loss, classically doubling it, so that one eventual win recovers all previous losses plus the initial stake. Anti-martingale schemes do the opposite and increase size after gains. The martingale turns a high probability of small wins into a small probability of a catastrophic loss.
Matching engine — A matching engine is the exchange software that holds each instrument's order book, matches incoming orders against resting ones according to the product's matching algorithm, and publishes the resulting trades and book changes. Everything a footprint, DOM or heatmap shows is the engine's output as it reaches you through a data feed.
Max pain — Max pain is the expiration price at which the total intrinsic value of all outstanding options on an underlying, calls and puts weighted by open interest, would be smallest. It is a calculation on open interest, sometimes presented as a price magnet into expiry; that claim rests on assumptions the data does not support directly.
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.
MBP-10 — MBP-10 is a market-by-price book format that carries the ten best price levels on each side, with the resting size at each level, on every book update. It is the depth format Databento uses for its ten-level book schema and the one Senzoukria's Databento heatmap reads: enough to see the inside of the book, not enough to see liquidity beyond ten levels.
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.
Microscalping rule — A microscalping rule is a prop firm condition that restricts profits from very short trades, typically by requiring a minimum holding time or by capping the share of profit that may come from trades shorter than a stated number of seconds. It targets strategies whose results depend on fills that a live market would not reproduce.
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.
Momentum ignition — Momentum ignition is a strategy described by the SEC in which a trader initiates a series of orders and trades to ignite a rapid price move, for instance by prompting other algorithms to trade more aggressively or by triggering standing stop-loss orders, after having taken a position that profits from the move. On a chart, it looks exactly like many legitimate fast moves.
Moneyness — Moneyness describes where an option's strike sits relative to the underlying price: in the money (ITM) when immediate exercise would pay, at the money (ATM) near the current price, and out of the money (OTM) otherwise. It can be expressed as a simple label, a strike-to-spot ratio, a log distance, a volatility-scaled distance or a delta.
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.
OPEX — OPEX is market shorthand for the monthly options expiration, the day standard monthly equity and index options expire, normally the third Friday of the month. Quarterly OPEX in March, June, September and December coincides with the expiry of equity index futures, and the term is also used loosely for any large expiry.
Multi-leg trade — A multi-leg options trade is a single strategy, such as a vertical spread, straddle or iron condor, executed as several option contracts at once. On a flow tape its legs appear as separate prints, and reading each leg alone as a directional bet is one of the most common flow-analysis mistakes.
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.
NBBO — The NBBO, national best bid and offer, is the highest bid and the lowest offer available for a security across all US exchanges at a given moment. For options it is built from the quotes of every listed options exchange, and it is the usual reference for classifying trades as buyer- or seller-initiated and for computing mid prices.
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.
Net premium — Net premium is the dollar premium of option trades signed by the directional intent inferred from each print: bought calls and sold puts count as bullish, sold calls and bought puts as bearish. It condenses a session's flow into one directional money figure, and inherits every uncertainty of the side and opening-or-closing inferences.
Neutral day — A neutral day is a Market Profile day type in which price extends beyond both the high and the low of the initial balance during the same session. Both sides were active at the extremes, and the close decides the reading: a close in the middle of the range is a neutral-center day, a close near one extreme a neutral-extreme day, won by the side that extended last.
News trading restriction — A news trading restriction is a prop firm rule that forbids opening, holding or profiting from positions during a window around scheduled high-impact economic releases. Its definition of which releases count, how long the window lasts and what happens on a breach varies by firm and by account phase.
Non-professional status — Non-professional status is the market data classification for individuals who use exchange data for their own private trading rather than for a business or a regulated role. Exchanges charge non-professional subscribers lower data fees than professionals, and providers usually require each subscriber to self-certify their status before the data is switched on.
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.
Objective function — The objective function of a strategy optimization is the single number the optimizer maximizes to rank parameter configurations, such as net profit, profit factor, Sharpe ratio or SQN. The choice determines which configuration wins and what kind of risk the winner is likely to carry.
OCC option symbol — The OCC option symbol is the standard 21-character identifier of a listed US option: the underlying root padded to six characters, the expiration date as YYMMDD, C or P for call or put, and the strike multiplied by 1,000 on eight digits. It replaced the older short codes in 2010 and is how data feeds and APIs name contracts.
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.
OCO order — A one-cancels-other (OCO) order links two or more orders so that when one of them executes, the others are canceled. Its most common use is the exit pair of an open position, a protective stop and a profit target, and the practical question that matters most is where the link is enforced: at the exchange, on the broker's servers or inside the trading application.
One-timeframing — One-timeframing describes a market in which each time period holds the previous period's low while pushing higher (one-timeframing up), or holds the previous period's high while pushing lower (one-timeframing down). In Market Profile terms it signals that one side is in control of the auction, and it ends at the first period that trades through the prior period's opposite extreme.
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.
Crypto open interest — Open interest on a crypto perpetual is the total number of contracts, or their value, held open on the exchange at a given moment. Unlike CME open interest, which is published once a day, exchanges publish it continuously, so its changes can be read alongside price and order flow within the session.
Open-drive — An open-drive is a session open in which price moves decisively in one direction from the first trades and does not return to the opening price. In Market Profile it is the open type showing the strongest early conviction, usually attributed to other-timeframe participants acting at the open, and it is often the first sign of a trend day.
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.
Opening vs closing — Every option trade opens or closes a position for each of its two parties: buy to open, sell to open, buy to close or sell to close. Public trade reports do not say which, so flow readers infer it from the next day's change in open interest or from a trade's size relative to existing open interest.
OPRA — OPRA, the Options Price Reporting Authority, is the national market system plan that consolidates and disseminates trade and quote data from the US listed options exchanges. Its feed carries last-sale reports and quotations, as well as information such as contract volume, open interest and end-of-day summaries; it does not identify who traded or who holds positions.
Optimal f — Optimal f is the fraction of the largest historical loss, relative to equity, that maximizes the compound growth of a series of trades when the size of each position is scaled to that fraction. Introduced by Ralph Vince in 1990, it generalizes the Kelly idea to trade results of any size, and it is known for producing very large drawdowns.
Option bid-ask spread — An option's bid-ask spread is the gap between the best price at which it can be sold and the best price at which it can be bought. Measured in cents, in percent of the midpoint or in volatility points, it is a direct cost for traders and a source of uncertainty in every quantity derived from option prices, from implied volatility to trade-side labels.
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.
Contract multiplier — The contract multiplier converts an option's quoted price into dollars and defines how much underlying one contract controls: 100 shares for standard US equity and ETF options, 100 dollars per index point for SPX, and one futures contract for options on futures. Premium, delta exposure and gamma exposure all scale with 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.
Exercise and assignment — Exercise is the holder's use of the right an option grants, to buy or sell the underlying at the strike or to receive the cash difference; assignment is the resulting obligation placed on a writer of the same series. For listed US options, the clearing house assigns exercises to clearing members, which allocate them to customer short positions.
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 on futures — Options on futures give the right to take a position in a futures contract at the strike price. On CME equity index products such as the E-mini S&P 500, one option controls one futures contract, deltas are expressed in futures, and exercise results in a futures position rather than shares or cash; the standard pricing reference is the Black-76 model.
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.
Options trade side — The side of an option trade is inferred by comparing its price with the quotes in force when it printed: at or above the ask it is read as buyer-initiated, at or below the bid as seller-initiated, and between the two as mid, with no reliable side. Labels such as bought or sold on a flow tape are this inference, not a report from the exchange.
Order anticipation — Order anticipation is a strategy of detecting the presence of a large buyer or seller and trading ahead of that interest to profit from the price move it is expected to cause. The SEC distinguishes it from unlawful front-running, which involves breaching a duty to a client or misusing confidential order information.
Order block — In 'smart money concepts' teaching, an order block is the last candle of the opposite color before a strong move that breaks market structure, taken to mark where large participants placed orders that may still be waiting. Candles cannot show orders; order flow tools can check whether that candle had heavy volume, absorption or resting liquidity, or none of these.
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.
Book resiliency — Order book resiliency is the speed and extent with which depth and prices recover after a large trade or sweep has consumed liquidity. In a resilient book, the levels that were emptied refill quickly and the price drifts back; in a fragile one, the gap left by the sweep persists and the next orders move price further.
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 flow toxicity — Order flow is called toxic when it adversely selects the liquidity providers who trade against it, that is, when the aggressors tend to be right about the next move. VPIN, the volume-synchronized probability of informed trading introduced by Easley, López de Prado and O'Hara, estimates toxicity from the imbalance between buy and sell volume measured in equal-volume buckets.
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 modification — Order modification is changing a working order's price or quantity after it was accepted, either through a native modify message or by canceling it and sending a new one. The change can cost the order its place in the queue, and while it is in flight the old order can still fill.
Order routing — Order routing is the path an order travels from a trading application to the exchange's matching engine and back: the platform, the broker's routing system and risk checks, the futures commission merchant's route to the exchange, the exchange's gateway and the engine. Each hop can accept, reject or delay the order, and each acknowledgement comes back along the same chain.
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.
Other-timeframe participant — In Market Profile terminology, an other-timeframe (OTF) participant is a trader whose horizon extends beyond the current session, as opposed to day-timeframe traders who open and close positions within it. OTF activity is what moves price outside the day's initial range and shifts value from one session to the next, and it is inferred from the profile's structure rather than observed directly.
Out of the money — An option is out of the money (OTM) when immediate exercise would pay nothing: a call with a strike above the underlying price or a put with a strike below it. Its premium is entirely extrinsic value, and OTM options are the ones used to build volatility smiles and volatility indices.
Outcome bias — Outcome bias is the tendency to judge the quality of a decision by its result rather than by the information and process available when it was made. In trading, it leads to reinforcing rule breaks that happened to win and abandoning sound rules after trades that happened to lose.
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.
Overnight inventory — Overnight inventory is a Market Profile measure of how the overnight session traded relative to the prior day's settlement: if most of the overnight activity was above the settlement, the overnight inventory is net long; if most was below, net short; if all of it was on one side, 100% net long or short. An extreme inventory is read as a greater chance of an early correction after the regular open.
Overnight position rule — An overnight position rule requires positions to be closed by a stated time, usually before the session ends, and may forbid holding over the weekend. On prop firm accounts, a position still open at the cutoff can be liquidated by the firm or treated as a violation, whatever its profit.
Overtrading — Overtrading is taking more trades, or larger ones, than a trading plan and its edge justify, often out of boredom, the wish to recover losses or the belief that activity equals progress. Its most reliable cost is transaction costs, which grow with every trade whether or not the extra trades have any edge.
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.
Partial fill — A partial fill is the execution of only part of an order's quantity. The remainder keeps working at its price, is canceled if the order was immediate-or-cancel, or never existed if the order was fill-or-kill. Partial fills change the size, the average price and the protection of a position, which is why the broker's report, not the order sent, defines what is held.
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.
Payoff ratio — The payoff ratio is the average winning trade divided by the absolute value of the average losing trade. Also called the win/loss ratio, it describes the realized size of winners relative to losers and, combined with the win rate, determines whether a set of trades made or lost money.
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.
Penny jumping — Penny jumping, or stepping ahead, is placing a limit order one tick better than a large resting order in order to gain priority over it, while counting on that large order as a backstop: if price moves favorably the trader profits, and if it moves against, the trader can exit against the large order for a one-tick loss. The strategy depends on the tick size and fails when the large order is pulled.
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.
Physical delivery — Physical delivery is the settlement of a futures contract by transferring the underlying itself, such as barrels of crude oil, bushels of grain, Treasury securities or currency, from the short to the long against payment. It applies only to contracts whose specification calls for delivery; cash-settled contracts such as ES and NQ never deliver anything.
Pin risk — Pin risk is the uncertainty faced by an option seller when the underlying closes at or very near the strike on expiration: the seller cannot know whether the option will be exercised, and therefore whether a position in the underlying will appear in the account. It mainly concerns physically settled options such as SPY, QQQ and single stocks.
Pinging — Pinging is sending small immediate-or-cancel orders to find liquidity that is not displayed. The SEC describes a pinging order as an immediate-or-cancel order that can be used to search for and access all types of undisplayed liquidity, and distinguishes its use in a normal search for liquidity from its use to detect and trade ahead of large interest.
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.
Portfolio heat — Portfolio heat is the total amount an account would lose if every open position were stopped out at once: the sum, over positions, of the distance to the stop times size times point value, often expressed as a percentage of equity. It caps combined risk where per-trade limits alone cannot.
Position limits — Position limits cap the number of futures contracts one person or group of accounts under common control may hold in a market; accountability levels are lower thresholds that trigger questions from the exchange without being a violation. They target market concentration and manipulation risk, and they are distinct from the contract caps a broker or prop firm imposes.
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.
Post-only order — A post-only order is a limit order that is only accepted if it rests in the book as a maker. If it would execute immediately against the opposite side, the exchange cancels or rejects it instead of filling it as a taker. It guarantees maker status, and the maker fee, at the cost of sometimes not being placed.
Pre-open and IOP — The pre-open is the period before a CME Globex market opens in which orders can be entered, modified and cancelled but nothing matches. From the resting orders the engine computes and publishes an indicative opening price (IOP) and quantity, and the market opens with a single match at the price that maximises the volume traded.
Pre-trade risk checks — Pre-trade risk checks are the validations an order passes before it can reach the market: the trading application's own guards, the broker's and futures commission merchant's limits on size, position and margin, and the exchange's price and order-type controls. Each layer can refuse an order, and none replaces the others.
Price banding — Price banding is a CME Globex check that rejects buy orders priced more than a fixed band above the market's reference price and sell orders more than the band below it. It stops erroneous orders from trading far away from the market, without capping how far the market itself can move, because the band follows the reference price.
Price discovery — Price discovery is the process by which trading turns new information and orders into a price. In US equity indices much of it happens in the E-mini futures, which trade nearly around the clock on one central book, so the futures often move first and the cash index, ETFs and options follow.
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.
Price-time priority — Price-time priority, or first-in-first-out (FIFO) matching, is the rule by which an exchange fills resting orders: the best price first, and among orders at the same price, the earliest arrival first. It is the rule used for ES, NQ and most of CME's most traded futures, and it is why queue position decides who gets filled.
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.
Pro-rata matching — Pro-rata matching is an exchange allocation rule that splits an incoming order among the resting orders at the best price in proportion to their size, rather than by arrival time. Allocations are rounded down and the leftover lots are distributed first-in-first-out, so on pro-rata products size, not speed, decides most of each fill.
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.
Protective put — A protective put is a long put held against a long position in the underlying, setting a floor on the loss at the put strike minus the premium paid. It works like insurance: the premium is the cost, the strike the deductible, and demand for such protection is a main reason index puts trade at higher implied volatility than calls.
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 parity — Put-call parity is the no-arbitrage relationship between European calls and puts with the same strike and expiry: the call minus the put equals the forward value of the underlying minus the discounted strike. It lets traders infer the forward price from option quotes, build synthetic positions and check whether a chain's data is consistent.
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.
Pyramiding — Pyramiding is adding to a position that is already profitable, usually in smaller increments at predefined levels, while raising the stop so that the added size is financed by open profit rather than by new risk. It concentrates exposure in trades that are working, at the cost of a worse average entry.
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.
Quote stuffing — Quote stuffing is the submission and cancellation of very large numbers of orders in a short time in order to overload a trading venue's systems or slow down other participants' market data. The CFTC lists submitting or cancelling bids or offers to overload the quotation system of a registered entity among the forms of spoofing prohibited on US futures markets.
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.
Range midpoint — The range midpoint is the price halfway between a period's high and low, sometimes called the half-back by Market Profile traders. It is a geometric reference, independent of volume, used to judge whether a session is trading in the upper or lower half of its range and, compared with the point of control, where the profile's weight sits.
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.
Recency bias — Recency bias is the tendency to give recent events more weight than they deserve relative to the longer history. Traders show it when they abandon a tested strategy after a few losing days, or increase size after a few winning ones, although the recent sample is too small to change what the longer record says.
Recovery factor — The recovery factor is the net profit of a trading record divided by the absolute value of its maximum drawdown, both in the same currency. It states how many times the strategy earned back its worst peak-to-trough decline over the tested period.
Reduce-only order — A reduce-only order can only decrease an existing position; the exchange will not let it open a new position or increase the current one. It is used for take-profit and stop orders so that, if the position has already been closed by another order, the exit order cannot turn into an unwanted entry in the opposite direction.
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.
Revenge trading — Revenge trading is entering a new trade, often larger or less selective than usual, with the aim of recovering a loss just taken. The trade is motivated by the previous result rather than by a setup, so it tends to carry worse odds and larger size at the moment the account can least afford it.
Rho — Rho is the option greek that measures how much an option's value changes for a one-percentage-point change in the risk-free interest rate. It is positive for calls and negative for puts on shares or an index, grows with time to expiry, and is usually the least important greek for short-dated index options.
Risk of ruin — Risk of ruin is the probability that a trading account falls to a level at which it can no longer continue, such as zero, a margin threshold or a prop firm drawdown floor, before reaching a goal or within a horizon. It depends on the edge, the payoff profile and, above all, on how many units of risk separate the account from that floor.
Risk-reward ratio — The risk-reward ratio of a trade compares the planned loss if the stop is hit with the planned gain if the target is reached, both measured from the entry price. It is a property of the plan, not of the outcome, and says nothing about profitability until it is paired with the probability of reaching the target.
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.
Roll implied spread — The Roll implied spread is an estimate of the effective bid-ask spread computed from price changes alone. Richard Roll showed in 1984 that when trades bounce between bid and ask in an efficient market, successive price changes have a negative autocovariance, and the spread equals twice the square root of minus that autocovariance.
Roll yield — Roll yield is the part of a rolled futures position's return that comes from the curve rather than from the spot price: in contango a long position tends to lose it as each new, higher-priced contract converges down toward spot; in backwardation it tends to gain. The roll trade itself realises no profit or loss; the effect accrues while the contract is held.
Rotation factor — The rotation factor is a Market Profile statistic that scores each time bracket against the previous one: plus one for a higher high and plus one for a higher low, minus one for a lower high and minus one for a lower low, zero when an extreme is unchanged. The running total over the session summarizes whether the day's auction has been rotating up or down.
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.
Scaling out — Scaling out means closing a position in several parts at different prices, typically taking part of the profit at a first target and leaving the rest with a protected stop. It trades part of the potential gain for a higher share of trades that end with some profit, and it changes the win rate and payoff ratio of the record.
Scaling plan — A scaling plan is a prop firm rule under which the number of contracts a trader may hold starts below the account's maximum and increases in steps as the account's profit reaches stated levels. It limits size while the cushion above the drawdown floor is thin and releases it as the cushion grows.
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.
Security definition — A security definition is the machine-readable record an exchange publishes for each tradable instrument: its identifier and symbol, product and expiry, tick size and contract multiplier, listing exchange, matching algorithm and, for a spread, its legs. Where a contract specification describes a product for people, the security definition describes one instrument for software.
Self-match prevention — Self-match prevention (SMP) is exchange functionality that stops buy and sell orders belonging to the same owner from trading against each other. On CME Globex it is optional: orders from commonly owned accounts submitted with the same executing firm and the same SMP ID are blocked from matching, and one of the two orders is canceled instead.
Sequence number — A sequence number is the counter a market data feed attaches to each message or packet so that the receiver can prove it missed nothing. A jump in the sequence means lost data, and the only safe response is to recover: request a replay or rebuild the book from a snapshot, rather than keep applying updates to a book that is no longer true.
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.
Session volume profile — A session volume profile is a volume profile computed for each trading session, so that every day has its own distribution, point of control and value area. Its meaning depends entirely on how the session is defined: the full CME trading day from 17:00 Chicago time, the regular trading hours only, or another convention give different profiles for the same market.
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.
Short covering — Short covering is buying to close short positions, and long liquidation is selling to close long positions. In futures, both reduce open interest when the counterparty is also closing, which is why the classic way to tell covering from new buying combines the price change with the change in open interest; aggressor-side data such as delta cannot tell the two apart.
Short volatility — A short volatility position profits when the underlying moves less than option prices imply and loses when it moves more; it is built by selling options or variance, directly or through structured products. It collects theta and the volatility risk premium in exchange for negative gamma and negative vega, with losses concentrated in sharp moves.
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.
Skewness — Skewness measures the asymmetry of a distribution. Negative skew means frequent small gains and rare large losses; positive skew means frequent small losses and rare large gains. Two strategies with the same average and volatility can have opposite skew and very different risks.
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.
Sortino ratio — The Sortino ratio divides the average return of a series by its downside deviation, the dispersion of results below a target that is usually zero. It penalizes losses but not large gains, so it measures average result per unit of harmful volatility rather than per unit of all volatility.
Speed — Speed is the third-order option greek that measures how fast gamma changes when the underlying price moves. It is positive when spot is below the strike and rising toward it, negative once spot has passed the strike, and it is the reason a gamma figure measured at today's price cannot be carried unchanged to another price.
Spike — In Market Profile, a spike is a late-session move away from the day's value, typically in the last bracket or two, that has not had time to be accepted or rejected before the close. The next session's open relative to the spike is read with the spike rules: above it is the strongest response, inside it a neutral one, below its base the weakest.
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.
Spot-perp basis — The spot-perp basis is the difference between the price of a perpetual futures contract and the price of the underlying spot asset, usually expressed in percent or basis points. A positive basis, or premium, means the perpetual trades above spot; the funding mechanism exists to pull that gap back toward zero.
SPX vs SPY options — SPX options are written on the S&P 500 index itself, are European-style and cash-settled, and control about ten times the notional of a SPY option. SPY options are written on the SPDR S&P 500 ETF, are American-style and physically settled in shares. Both track the same market, but their positioning, settlement and levels are not interchangeable.
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.
Sticky strike vs sticky delta — Sticky strike and sticky delta are two assumptions about how the volatility smile behaves when the underlying moves. Under sticky strike, each strike keeps its implied volatility; under sticky delta, or sticky moneyness, the smile moves with spot and each delta keeps its implied volatility. The choice changes computed deltas and hedge ratios.
Stop run — A stop run is a price move through a level where stop orders are likely to be clustered, such as a swing high or low or the prior session's extreme, which triggers those stops and adds a burst of market orders to the move. 'Stop hunt' describes the same event with a claim that someone pushed price there on purpose, a claim that market data cannot verify.
Stop-limit order — A stop-limit order carries two prices: a stop (trigger) price that activates it once the market trades there, and a limit price that caps the price at which it may then fill. Once triggered it is an ordinary limit order, so it controls the fill price but can remain unfilled if the market runs past the limit.
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.
Straddle — A straddle combines a call and a put with the same strike and expiry. A long straddle profits when the underlying moves far enough in either direction to exceed the premium paid; a short straddle profits when it stays near the strike. The at-the-money straddle price is also the market's quickest gauge of the move it expects to expiry.
Strangle — A strangle combines an out-of-the-money put and an out-of-the-money call with the same expiry but different strikes. It is cheaper than a straddle and needs a larger move to profit when bought; when sold, it keeps the premium as long as the underlying settles between the strikes, with open-ended risk beyond them.
Strike pinning — Strike pinning is the tendency, observed on some expiration days, for an underlying to close at or very near a strike with large open interest. The usual explanation is the hedging of long-gamma option books, which sell above the strike and buy below it; the effect is neither systematic nor guaranteed.
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.
Survivorship bias — Survivorship bias is the distortion that arises when a study only includes the instruments, strategies or traders that still exist or are still visible, leaving out those that failed. The surviving sample looks better than the population it came from, so backtests and track records built on it overstate what could have been expected.
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.
t-statistic — The t-statistic of a set of trade results is the average trade divided by its standard error, the standard deviation over the square root of the number of trades. It measures how many standard errors the average lies from zero; values far from zero are harder to attribute to chance, under the assumption of independent trades.
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 reading — Tape reading is the practice of reading the live stream of executed trades, their price, size, side and pace, usually together with the order book, to judge who is aggressive, whether prices are being accepted and when that behavior changes. It predates charts: Richard D. Wyckoff published 'Studies in Tape Reading' in 1910 under the pseudonym Rollo Tape.
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.
Theta — Theta is the option greek that measures how much an option's theoretical value changes as time passes with price, volatility and rates held constant, usually quoted per calendar day. Long options have negative theta, short options positive theta, and the decay of an at-the-money option accelerates as expiry approaches.
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.
Tick volume — Tick volume is the number of price updates, or ticks, recorded during a bar, used as a stand-in for activity where traded volume is not available, typically on spot forex charts from retail brokers. It counts changes in quotes or prices, not contracts traded, so it cannot produce delta, a footprint or a volume profile in the order flow sense.
Tilt — Tilt is a state in which frustration, usually after losses or a perceived injustice such as a bad fill, degrades decisions: rules are broken, size creeps up and trades are taken outside the plan. The term comes from poker. Its cost is usually measured in a few trades that do more damage than the losses that caused it.
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 in force — Time in force (TIF) is the instruction attached to an order that says how long it stays active: until the end of the trading session (DAY), until canceled (GTC), until a given date (GTD), or only at the instant of arrival (IOC and FOK). It decides whether an unfilled order waits in the book, expires or is canceled at once.
Time in market — Time in market, or exposure, is the share of a period during which a strategy holds a position. It matters because risk is only taken while positioned: two strategies with the same profit have different risk profiles if one earns it in a tenth of the time the other spends exposed.
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.
TPO count — The TPO count compares the number of TPOs above a Market Profile's point of control with the number below it, excluding the POC row. It measures on which side of the fairest price the market spent more time during the period, and it is used as a quick numeric read of whether a profile is top-heavy or bottom-heavy.
TPO POC vs volume POC — A Market Profile's TPO point of control is the price where the market spent the most time, while a volume profile's point of control is the price where the most contracts traded. They often sit close together, but they diverge when heavy volume trades quickly at one price and slow, light trading lasts at another, and the gap between them says something about how the session was built.
TAS — Trade at settlement (TAS) lets a participant trade during the session at the day's settlement price, not yet known, or at a small number of ticks above or below it. The order is matched in a separate TAS instrument quoted in tick offsets, and its final price is filled in once the settlement price is published.
Busted trade — A busted trade is an execution the exchange cancels after the fact, usually because it happened at a price far outside the market through error. CME's rule on trade cancellations and price adjustments (Rule 588) defines a non-reviewable range around the market in which trades stand; trades outside it can be cancelled or have their price adjusted.
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 copier — A trade copier replicates orders placed on a leader account to one or more follower accounts, each with its own size rule. It is used to trade several evaluation or funded accounts at once, and it multiplies both results and mistakes by the number of accounts.
Trade date — The trade date is the business day to which the exchange assigns a futures trade. On CME Globex a trading day starts at the 17:00 Chicago reopen on the previous calendar day and ends at the next afternoon's close, so a trade at 18:30 Chicago time on Sunday belongs to Monday's trade date and settles with Monday.
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.
Trade summary — A trade summary is the exchange's report of one match event: an aggressive order trading against one or more resting orders, published with the traded quantity per price level, the number of resting orders involved and the aggressor side. Whether a platform then shows one print, one print per price or one print per resting order decides what 'trade size' means on its tape.
Trade tagging — Trade tagging is attaching consistent labels to each trade in a journal, such as the setup, the timeframe, the emotional state and a quality grade, so that results can later be broken down by those labels. The value of the tags depends entirely on applying them the same way to every trade.
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.
Gateway — A trading gateway is the network entry point through which software connects to a broker's, vendor's or exchange's systems. For a retail futures trader it usually means the vendor's server address, such as one of Rithmic's access points; choosing one changes the network route to the same systems, not the account or the data it is entitled to.
Trading halt — A trading halt is any period during a session when an exchange stops matching orders in an instrument: the scheduled daily break, a limit or circuit-breaker halt, a velocity-logic pause, or an unscheduled technical or regulatory halt. During a halt no trades print, the book may still change, and a chart looks exactly like a dead feed.
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 plan — A trading plan is a written set of decisions made before the session: which markets and hours to trade, which setups qualify, how much to risk per trade and per day, when to stop, and how the day will be reviewed. It turns in-the-moment choices into rules that can be checked afterwards.
Playbook — A trading playbook is a library of the specific setups a trader takes, each described by its entry conditions, invalidation, management rules and reference examples, and ideally by its own statistics. It makes setups repeatable and lets results be measured per setup rather than for the account as a whole.
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.
Trailing stop — A trailing stop is a protective stop that moves in the direction of a profitable position, keeping a set distance behind the best price reached, and never moves back. It locks in part of an open gain as the market advances and exits when price retraces by the trailing distance.
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.
Trend day — A trend day is a session in which one side controls the auction from early on: the initial balance is usually narrow, price extends well beyond it in one direction, the profile is elongated with single prints, value migrates through the day and the close is near the extreme. Its main trading lesson is negative: fading the move against a trend day is the most costly mistake of balance-minded traders.
Ulcer index — The ulcer index is the root mean square of the percentage drawdowns of a series from its running peak. Unlike maximum drawdown, it grows with both the depth and the duration of declines, so a curve that stays below its high for a long time scores worse than one that dips and recovers quickly.
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.
Upthrust — An upthrust is a brief move above the resistance of a trading range that fails and returns inside it, read in the Wyckoff method as a test of demand in a distribution range; the late-range version is called an upthrust after distribution (UTAD). In volume spread analysis, the term also names a single wide up bar that closes near its low on high volume.
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 at risk — Value at risk (VaR) is the loss that a position or account should not exceed over a given horizon with a given probability, for example a one-day 95% VaR of 1,300 dollars. It is a threshold, not a worst case: it says how often losses exceed it, not how large those losses are.
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.
Vanna and charm flows — Vanna and charm flows are the hedge adjustments a delta-neutral option book would need when implied volatility changes (vanna) or when time passes (charm), with the underlying price unchanged. They are modelled quantities that depend on a positioning assumption, and are often cited to explain drifts around expiries and volatility events.
Variance swap — A variance swap is an over-the-counter contract that pays the difference between the realized variance of an underlying over its life and a strike agreed at inception, times a notional. Its fair strike can be replicated with a strip of out-of-the-money options weighted by 1/K², the same construction behind the VIX.
Variation margin — Variation margin is the cash that moves each day between the clearing house, clearing firms and customer accounts to pay the mark-to-market gains and losses of open futures positions. Unlike initial margin, which stays posted as collateral, variation margin is a settlement of the day's price change.
Vega — Vega is the option greek that measures how much an option's value changes for a one-point change in implied volatility, with price and time held constant. It is the same for a call and a put of equal strike and expiry, it is largest near the money, and it grows with the square root of time to expiry.
Vega exposure — Vega exposure is the aggregate sensitivity of an option book's value to a one-point change in implied volatility: the sum of open interest × vega × contract multiplier across strikes and expiries, optionally signed by a positioning assumption. The abbreviation VEX is also used by some vendors for vanna exposure, so the definition must be checked before comparing numbers.
Velocity logic — Velocity logic is a CME Globex control that pauses matching in a futures instrument when its price moves a predefined number of ticks within a predefined time. The instrument enters a reserved state for a few seconds, orders can be entered, modified and cancelled but not matched, and it reopens through an indicative opening price.
Vertical spread — A vertical spread buys one option and sells another of the same type and expiry at a different strike. It caps both the maximum gain and the maximum loss, lowers the cost of a directional view and reduces the position's sensitivity to implied volatility compared with a single option.
Visible range volume profile — A visible range volume profile is computed over the bars currently displayed on the chart, so it changes every time the chart is zoomed or scrolled. It is a fast exploration tool for seeing where volume concentrated in whatever is on screen, but its levels are not stable references, since a different view gives a different profile.
VIX — The VIX is Cboe's index of the 30-day expected volatility of the S&P 500, calculated from the prices of out-of-the-money SPX and SPXW options and quoted in annualised percentage points. It is a model-free, variance-based measure, not the implied volatility of one option, and it cannot be bought directly.
Volatility cone — A volatility cone plots the historical range of realized volatility for several measurement horizons, for example the minimum, median and maximum of 10-, 20-, 60- and 120-day realized volatility over past years. Overlaying current implied volatilities on it shows whether options price each horizon high or low relative to what the underlying has actually done.
Volatility crush — A volatility crush is the sharp fall in implied volatility that typically follows a scheduled event, such as an earnings release or a central bank decision, once its uncertainty is resolved. Options lose value through vega even if the underlying moves, which is why buying options before an event can lose money on a correct directional call.
Volatility drag — Volatility drag is the gap between the arithmetic average of periodic returns and the compound growth rate those returns actually produce. Because a percentage loss requires a larger percentage gain to recover, variable returns compound to less than their average; the gap is approximately half the variance of the returns.
Volatility risk premium — The volatility risk premium is the difference between the volatility implied by option prices and the volatility the underlying subsequently realizes over the same period. For equity indices it has historically been positive on average, rewarding option sellers most of the time and penalising them sharply during sell-offs.
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.
Volatility smile — The volatility smile is the curve of implied volatility across strikes for one expiry. If Black-Scholes held exactly it would be flat; in practice equity index smiles slope down from low-strike puts to high-strike calls, a shape usually called a skew or smirk, and they steepen as expiry approaches.
Volatility surface — The volatility surface is the set of implied volatilities of an underlying's options across both strikes and expiries, seen as one surface: each slice along strikes is a smile, each slice along expiries at a fixed moneyness is a term structure. It is the complete picture of how the options market prices risk, and it must satisfy no-arbitrage constraints.
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.
Volatility sizing — Volatility-based position sizing sets the stop distance as a multiple of a volatility measure such as the average true range and then sizes the position so that the dollar risk stays constant. When volatility doubles, the stop widens and the number of contracts halves.
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.
Profile resolution — Volume profile resolution is the price height of each row of the histogram: one tick per row, or several ticks grouped together. Grouping makes a profile readable on instruments with small ticks or wide ranges, but it changes the numbers: the point of control, the value area and the high and low volume nodes are all computed on the rows actually drawn.
Vomma — Vomma, also called volga or vega convexity, is the second-order option greek that measures how an option's vega changes when implied volatility changes. It is close to zero at the money and largest for out-of-the-money options, which is why wing options gain more than their vega suggests when volatility jumps.
VVIX — The VVIX is Cboe's volatility-of-volatility index: it represents the expected volatility of the 30-day forward price of the VIX, calculated from VIX option prices with the same methodology used for the VIX itself. A high VVIX means the options market expects large swings in the VIX.
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.
Wash trading — Wash trading is trading with oneself, or with a coordinated party, so that trades print without any change in who owns the asset. It inflates reported volume and can create a false impression of activity or price. It is prohibited on regulated markets and a known data-quality problem on some crypto venues.
Weekly options — Weekly options are short-dated listed options that expire on days other than the standard monthly third Friday; on the major US index products they now exist for every weekday, which is what makes 0DTE trading possible every session. They concentrate gamma and theta in the days before expiry and fragment open interest across many expiries.
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.
Wyckoff spring — In the Wyckoff method, a spring is a brief move below the support of a trading range that quickly returns inside it, read as a final test of supply before a markup. Order flow asks what the spring was made of: heavy selling absorbed by bids, little selling at all, or a real breakdown that happened to reverse.
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.
Zomma — Zomma is the third-order option greek that measures how an option's gamma changes when implied volatility changes. Higher implied volatility lowers gamma near the strike and raises it in the wings, so the same open interest produces a flatter, wider gamma profile when volatility is high.

Order Flow and Futures Trading Glossary

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