Glossary
Absorption
A market condition where substantial limit orders absorb a relatively large volume of aggressive market orders, potentially leading to a price pullback or reversal.
Aggregate Data
Data compiled into a dataset or period, resulting in less transparency into the true condition of the original data.
Aggressor Volume
Market buy and sell orders that immediately enter the market and take liquidity from the Best Bid or Best Offer, potentially creating price movement.
Book Sweep
A market phenomena where aggressor orders quickly take all available liquidity at a price level, sweeping to the next level.
Bracket Order
An order that includes a new position, a target/exit order, and a stop-loss order, automatically placed when the main order is executed.
Dangling or Smoking
A prohibited practice where an order is placed between the spread to deceive other traders.
Dark Pools
Venues outside the exchange for trading financial instruments, with liquidity not publicly displayed in the Centralized Limit Order Book.
Depth of Market (DOM)
A numerical display of currently available limit buy and sell orders at various price levels, providing insight into market auction and liquidity.
Exhaustion
A market condition with limited traded volume and low activity.
Flipping
A disruptive practice where a market participant enters an aggressor order and shortly cancels an order(s) on the opposite side of the market, typically at the same price. This may be considered a prohibited practice if it aims to cause turns in the market, create volatility, or disrupt the orderly conduct of trading.
Full Depth of Market
A display of all available limit buy and sell orders at all price levels, offering greater insight.
Hitting the Bid
Aggressor sell volume transacting on the Best Bid.
Iceberg Order (Hidden Order)
A sub-type of Limit Order where only part of the order is visible to other market participants through market data. The exchange is instructed not to display more than a specified order size in the market data. The difference between the maximum displayed size and the total order size is known as the Hidden size.
Native Iceberg order
Iceberg orders that can be accurately detected with 100% accuracy, especially on certain exchanges like CME. Traders may use synthetic iceberg orders instead of native ones.
Synthetic / Heuristic
Regular limit orders managed by HFT, behaving like native iceberg orders.
Intent to Trade
Liquidity remaining in the order book looking to transact at a specific price level.
Ignition
A strategy where a market participant initiates a series of orders or trades to create price movement in a specific direction. This practice is disruptive and prohibited if it aims to mislead others by canceling orders before execution or creating artificial price levels.
Latency
The delay before data transfer begins after an instruction.
Lifting the Offer
Aggressor buy volume transacting on the Best Offer.
Limit Order
An order to buy or sell at a specified price or better.
Lit Pools (Lit Book)
Liquidity publicly displayed in the exchange's Centralized Limit Order Book.
Liquidity
The total sum of limit orders available in the market for purchase or sale at specific price levels.
Market Order
An order to buy or sell at the best currently available Market Price.
Market-By-Price (MBP)
A price-based data format that consolidates quantity into a single update for each price level, without individual queue position or order sizes.
Market-By-Order (MBO)
An order-based data feed that provides transparency into individual queue positions, full depth of book, and the size of individual orders at each price level.
Matching Engine (Matching Algorithm)
The core software and hardware components of an electronic exchange that matches bids and offers to complete trades.
Order ID Number
A unique identification number assigned to an order upon creation.
Order Routing
The process by which an order goes from the end user to an exchange, either directly or through a broker.
Passive Resting Orders
Limit buy and sell orders waiting in the Order Book, providing liquidity.
Pulled Liquidity
Cancelled limit orders, often in close proximity to the BBO.
Quant (Quantitative)
A person who analyzes financial situations using complex mathematical and statistical modeling.
Quotes Data
Data disseminated from the exchange to the end user, updating them on current quotes and transactions.
Quote Stuffing
Submitting or cancelling multiple bids or offers to overload the quotation system of an exchange.
Spoofing
Submitting or cancelling bids or offers with intent to create artificial price movements.
Stop Order
An order to buy or sell when the price crosses a predefined threshold, known as the Stop Price. Once triggered, a Stop Order becomes a Market Order and enters the matching engine for execution. Stop Orders can be used to enter or increase a position following a trend, or to exit and decrease a position when the price moves against. They are commonly referred to as Stop-Loss Orders when used for risk management. Stop-Market Orders are used more frequently than Stop-Limit Orders.
Buy Stop
An order to buy at the next available Ask Price when the last trade price reaches the Stop Price.
Sell Stop
An order to sell at the next available Bid Price when the bid decreased to the Stop Price.
Timestamp
A sequence of characters identifying when a trade event occurred.
Trade Data
Data that updates a trader's order information, routed from the exchange to the trader.
Trailing Stop Order
A stop order that tracks the price of an investment vehicle in one direction but does not move in the opposite direction.
Zero-sum Game
A mathematical representation where each participant's gain or loss of utility is balanced by the losses or gains of other participants.