Trader Vocabulary, Glossary, Acronyms and Slang

Trader Terminology glossary of terms, acronyms, and quantitative trader speak.

Term Description
ADR ►ADR◄ American Depositary Receipts are stocks that trade in the U.S. but represent foreign shares.  ADRs trade and clear on U.S. markets in USD thereby enabling investors to avoid trading the underlying stock in the foreign market.
Algo or algorithm ►Algo or algorithm◄ a computer program, in trading it can be for filling orders in a specific way or deciding which symbols to trade. It can be as complex as you want or a very simple line of boolean logic.
Algotrading ►Algotrading◄ Trading using an algorithm rather than a human. Manual traders are known to let emotions alter their decision making process, Algos have no emotion & will make the same decision, repeatedly & rapidly.
Alpha ►Alpha◄  (the Greek letter α) describes a trading strategy’s ability to beat the market. This is the amount over the natural return that comes from the trading strategy’s beta (the Greek letter β).
Altdata ►Altdata◄ AKA Alternative Data – Non-market data that can still affect the market, ie Satellite images of Walmart car parks, Twitter sentiments.
Alternative Data ►Alternative data◄ Non-market data that can still affect the market, ie Satellite images of Walmart car parks, Twitter sentiments.
Annual Report ►Annual Report◄ A statement produced by a company covering financial and relevant information about its management, direction, products, and accomplishments.
API ►API◄ Application Programming Interface – an interface to the functions of an application from outside of that application. Protocols, instructions, tools, clearly defined methods. Often web calls – see REST API
Arbitrage ►Arbitrage◄ The simultanious buying and selling of any product in different markets or formats in order to take advantage of differing prices.
Artificial Intelligence (AI) Generally ►Artificial Intelligence (AI)◄  Generally, AI is attempt to create machines or programs that mimic human intelligence. An algo that percieves its environment and takes action.
Artificial Intelligence (AI) In Trading ►Artificial Intelligence (AI)◄  In trading, an algo that takes a large number of trading events and lots of processed data, the algo then works out the ideal decisions and makes future trades automatically.
At The Opening ►At The Opening◄ An order type that is executed “at the opening” of the trading day. At Opening orders that are not eligible to be included in the first trades are automatically canceled or rejected.
ATR ►ATR◄  is the Average True Range (aka Average Trading Range) for a given security. The average true range is a technical analysis indicator that measures volatility by decomposing the entire range of a security’s price for a given period.
AUM ►AUM◄ Assets Under Management – amount of money held by a Hedge Fund on behalf of clients for investment.
Average Dollar Risk ►Average Dollar Risk◄ Common approach of 401k Plans, you invest a steady dollar amount but the number of shares you purchase varies as the stock price rises and falls. Thus the total cost of your shares is an average.
Average Dollar Risk – Trading ►Average Dollar Risk – Trading◄ In trading this means the average $ capital in play per day. So if you traded $10m on day 1, $30m on day 2 and $60m on day 3 your Average Dollar Risk would be $33.3m.
Average Trade Duration  ►Average Trade Duration◄ Average time spent in a trade (average of all your Trade Durations). For intraday traders, this may be seconds to minutes to hours. For multiday traders, this may be days, weeks, months or even years.
Averaging Down ►Averaging Down◄ If an investor believes a stock is being sold at too low a price and will rebound, they will buy and continue to buy as it drops further thus making their average purchase price lower.
Backtest ►Backtest◄ A process of running a logical idea for trading through historical trading history to see if it bears fruit.
Bars ►Bars◄ Colored vertical lines on a Stock chart which compress significant data into a small space (Open, High, Low, Close, Volume) and can be quickly read to indicate activity in the given period. Ie “Two Long Wicks”.
Bars ►Bars◄ In algorithmic programming languages bars are DATA stores of chart bar data and more (Time, Open,High, Low, Close, Volume, Count, Bid Ask Volume, average spread, etc)
Bars ►Bars◄ Places that you go to drown your sorrows after a particularly bad day of trading.
Basis Point ►Basis Point◄ 1/100th of one percent (0.01%). Basis points are used to express the change in a financial security. A 1% change in price equals 100 basis points. Sometimes abbreviated as BPS
Basis Points or BIPS ►Basis Points or BIPS◄ From base move between 2 percentages. Mainly for interest rates. 100 Basis Points = 1%. 1/100th of 1%. 10% change from 10% is that 11% or 20%? 100 bips change on 10% is much clearer = 11%
Basket Trade ►Basket Trade◄  A trader establishes their own group of symbols and trades them as a block. E.g.: Gold related symbols or big tech companies. The trader monitors these Baskets and move long or short en block as the trading strategy dictates
Bear Market ►Bear Market◄  A market that is going down. Someone who believes the market is going down is called bearish. Think “Bear Down”
Bear Trap ►Bear Trap◄ is a false signal for a short, an asset is trending up and reverses, heads down often breaking a support level attracting short traders only to turn back up and burn them. See also Short Squeeze.
Best Execution ►Best Execution◄ a.k.a. Best Ex. SEC rule 19(b)(7)  requires broker/dealers to seek out the best possible price for client orders to ensure fairness to the client purchasing or selling the security.
Beta ►Beta◄  (the Greek letter β) is the measure of a security’s volatility or systematic risk as compared to the entire market or a given index that the security belongs to.
bid-ask spread A ►bid-ask spread◄  is the difference (dollars/cents) between the best ask price (lowest sellers are willing to sell a security) and the best bid price (highest a buyer is willing to pay).
Big Data ►Big Data◄ is the gathering of large amounts of data relating to your model from both internal and external sources. Big Data and particularly Real Time Big Data is the key to the future of AI and ML.
Black-Scholes ►Black-Scholes◄is a differential equation used to solve for European options prices. It assumes heavily traded assets follow a geometric Brownian motion with constant drift and volatility. AKA BSM Black-Scholes-Merton
Bloomberg ►Bloomberg◄ Micheal Bloomberg’s 1981 company after he left Salomen Brothers & before he was mayor of NY. They are famous for the “Bloomberg Terminal” which gives traders access to huge amounts of Trading Information.
Blue Chip ►Blue Chip◄ A blue-chip stocks are industry-leading, large companies. They represent stable companies that are normally good investments.
Blue Chip ►Blue Chips◄ are dominant, long standing, quality companies with stable performance in good and bad times. Dow30 is an index of 30 (but not all) Blue Chip stocks. Traditionally blue chip = highest value chip in poker.
Bollinger Bands ►Bollinger bands◄  are drawn x standard deviations away from the moving average. If a price prints outside the Bollinger band it is either Overbought/Oversold or making a Breakout.
Book Value ►Book value◄  is the net asset value of a company. Book Value = total assets – intangible assets (patents, goodwill) – liabilities.
Boolean logic ►Boolean logic◄ A logical proposition involving two possible values : True or False. Can be strung together with AND, OR, NOT, NOR, XOR etc to make decisions. Ie if (last>10 and avgvol<100000) or rvol >3 then trade
BreakOuts ►Breakouts◄  Symbols will often “trade in a range”. When they suddenly break up or down out of this range, this is a BreakOut. It is a particularly strong indicator if the move is accompanied by a surge in volume.
BRIC ►BRIC◄ Brazil, Russia, India, China – Considered to be the top of the Emerging markets and thus a ripe opportunity for investment and profit.
Broker-Dealer ►Broker-Dealer◄ A brokerage firm that buys and sells securities on its own account as a principal before selling the securities to customers.
Bull Market ►Bull Market◄  A market that is going up. Someone who believes the market is going up is called bearish. Think “Charge!”
Bull Trap ►Bull Trap◄ Opposite of a Bear Trap, it is a false signal for a long trade, an asset is trending down and reverses, heads up often breaking a resistance level attracting long traders only to turn down and burn them.
Busted Trade ►Busted Trade◄ A trade that is entered into one party in error and that the contra party is willing to walk away from. Requires exchange intervention to bust.
Buy/ Sell Side ►Buy / Sell Side◄ Buy side has capital to invest, Sell side has assets or opportunities to sell. Asset Managers, Hedge Funds, Institutional/ Retail Investors vs Bankers, Brokers, Market Makers, Corporations
Buying Power ►Buying Power◄ The amount of money that a trader has to trade securities. This is the cash available in a given account plus any approved and available margin.
Buying size ►Buying Size◄ Trading large quantities of a security.
Calmar Ratio ►Calmar Ratio◄ a.k.a. Drawdown Ratio. The Calmar ratio is a comparison of the average annual rate of return and the max drawdown of the trading strategy. Low Calmar Ratio = poor performance. High Calmar ratio = good performance.
Cancel/Replace ►Cancel Replace◄  orders change some part of an open order. This is typically the price or the order quantity. Most exchanges do not have an order modify feature.
Capital Spending ►Capital Spending◄- The purchase of fixed assets like plants or equipment. Capital expenditures are generally depreciated over their useful life.
Cash Flow ►Cash Flow◄ A company’s cash earnings. Usually the net income + noncash charges (depreciation + amortization)
CFO ►CFO◄ Chief Financial Officer – C suite, senior executive, member of the board responsible for all the financial affairs of a company (Planning, Risks, Records, Reporting)
Chart ►Chart◄ A graphical display of historical Open High Low Close prices and Volumes. Most commonly used are Japanese Candlestick Charts which make for a very easy read of a considerable amount of data.
Cleaned Data ►Cleaned Data◄ Sometimes datasets contain bad data, or noise, or blank entries or some kind of null or nan value. Cleaning Data means making this data ready for the Machine Learning to analyze.
Closing Period ►Closing Period◄Limited trading period 15 mins before the close, where specialist balances the book adjusting the price until all trades are met.
Closing Print or ‘6’ print ►Closing Print or ‘6’ print◄All prints have trade conditions, ‘6’ means this was the Closing print of the symbol for the day. Often huge size as it is the conclusion of the closing auction.
Cloud-Based ►Cloud-Based◄ Computer systems or data that are stored, managed, processed and made available on-demand from remote servers somewhere on the Internet.
Clowngrade ►Clowngrade◄ When an institutional analyst upgrades or downgrades a stock for a stupid reason.
CME ►CME◄ Chicago Mercantile Exchange – founded 1898 as an agricultural commodities exchange. Established the idea that a farmer could know the FUTURE price he would be paid for his crop. Worlds largest Futures exchange.
Compliance Officer – Trading ►Compliance Officer – Trading◄ Person in a trading firm responsible for ensuring everyone complies with all market regulations, also deals with communications with the SEC on trade disputes/issues.
Contrarian ►Contrarian◄ Someone who is willing to think and act differently than the crowd.
Corporate Action ►Corporate Action◄ Any material change to a corporation that affects the investors. Must be approved by the board. Think: dividends, stock splits, M&A, bankruptcy, symbol changes.
Correction ►Correction◄ Generally a drop of >=10% from a recent high (or THE most recent). One can predict, anticipate or react to a correction in many ways. Many things can trigger a correction (news, results, world events).
Covering the Short ►Covering the Short◄ Buying back stocks to replace the shares you borrowed, see Shorting Sale.
Crowdsourcing ►Crowdsourcing◄ Practice of obtaining new ideas by working with a large number of people via the Internet. CloudQuant crowdsources users proficient in Python to develop new trading algos and share in the profits.
Curve Fitting ►Curve Fitting◄ Process of repeatedly & artificially improving a backtest model to match the backtest data. When run on new data it inevitably fails.
CUSIP ►CUSIP◄ Committee on Uniform Security Identification Procedure. An inter-industry security coding service that provides each security with a unique identifier called a CUSIP. For example, each stock has a unique CUSIP number.
Cyclical Stocks ►Cyclical Stocks◄ follow cycles of an economy through expansion, peak, recession, and recovery. Normally companies that sell discretionary items which consumers can only afford to buy more of in a booming economy.
Daily VWAP ►Daily VWAP◄ The Volume Weighted Average Price for a given day. The VWAP = the number of shares bought times the share price and dividing by total shares.
Data Preparation ►Data Preparation◄ Cleaning of the data, analysis of missing or incomplete records, noise, poorly formatted data. One bad data point or format may skew a Machine Learning model. Overlaps with Feature Engineering.
Data Profiling ►Data Profiling◄ is the initial inspection of raw data for Machine Learning. Examination to ensure it is complete, accurate and timely. Can often require ingesting and merging from multiple sources.
Data Scientist ►Data Scientist◄ is employed to ingest, analyze and interpret data to assist a business in its decision-making. This role is so important it is now being split into multiple individual roles.
Data Summary ►Data Summary◄ Normally in the form of a Histogram, Count of Occurance or Frequent Values Chart. Gives you an overview of the data contained in each feature. Ie Titanic Sex : 453 male, 259 female.
Data Wrangling ►Data Wrangling◄ AKA data munging. The process of translating data from one form to a useful layout so the quantitative analysts can actually utilize it. In Quantitative trading this includes symbology mapping.
Day Trading ►Day Trading◄ The process of buying and selling in the same day. As a trader you have a good grasp of whether or not you are making a profit. AKA Active Trading and Intra-day Trading.
Dead Cat Bounce ►Dead Cat Bounce◄ A short-lived recovery of a falling security. The bounce occurs when investors close out a short or buy assuming it has bottomed out. A dead cat bounce can only occur if a stock has gone below the previous low.
Delta ►Delta◄ (the Greek letter Δ)  A ratio of the change in a security’s option price to the underlying security price.
Divergence ►When an Indicator suggests strong movement in a particular direction but the price is moving in the opposite direction.◄
Dividend ►Dividend◄ A distribution of the company’s earnings as set by the board of directors. Not all stocks distribute dividends.
Dow Jones ►Dow Jones◄ In 1884, Charles Dow composed his first stock average, which contained nine railroads and two industrial companies. The modern DJ Industrial Average is and index of 30 large publicly owned US companies.
Earnings ►Earnings◄ When traders say “it’s Earnings” they mean we are in the middle of the earnings period, when most companies issue their Earnings Reports. This is a time of increased Volume and increased Volatility. GREAT!
Earnings Per Share ►Earnings Per Share (EPS)◄  This is the amount of the earnings from the company allocated to every share of stock in the company. This is a major fundamental data item to gauge the health of a company.
Earnings Period ►Earnings Period◄ All stocks publish earnings yearly/quarterly. Starts around the 10 Jan & runs around 2 months. Pattern repeats quarterly. Peaks on Thursdays, often the 3rd Thursday of earnings season is the largest.
Earnings Report ►Earnings Report◄ A corporate financial statement that reports and nets out all earnings and expenses to a profit and loss. Also called the Profit and Loss (P&L) statement.
EBITDA ►EBITDA◄ Earnings Before Interest, Tax, Depreciation and Amortization. Traders/Investors use this to measure a company’s operating performance while ignoring any decisions about financing, taxes, or accounting decisions.
Edge per Share ►Edge Per Share EPS◄A simple measure of a models efficiency. Average $ & c made per share traded. If you made $20 from 200 shares,  EPS = 10c.
EMA – Exponential Moving Average ►EMA (Exponential Moving Average)◄  Sometimes a moving average can be affected by one value in the range. A significant change on 1 day can change the moving avg. An Exponential Moving Average adds more weight to the more recent values.
Emerging Markets ►Emerging Markets◄ Countries which are developed but still have a great deal of positive potential. Whilst a number of their top companies are US listed the easiest way to trade these countries is via an ETF like EEM.
Equally Weighted ►Equally Weighted◄ You have a backtest of SP500 symbols with equal capital per symbol. Comparing the results with SPY may not be appropriate. Alternatively you could use RSP, an equally weighted SP500 ETF.
Equities ►Equities◄ Stocks representing ownership interest in a company/ETF/ETN. US Equities are stocks listed on US exchanges (NYSE, NASDAQ, AMEX, ARCA), currently just under 9000 different companies.
ESG ►ESG◄ Environmental Social Governance. Stock classification to  help investors focus on the impact of their investments by supporting ESG causes with their investments.
ETF ►ETF◄ Exchange Traded Fund.  An ETF is an exchange-traded security that tracks a pre-determined index, commodity, bond, or a basket of assets similar to a mutual fund. Unlike mutual funds the ETFs trade as if they are common stock on a stock exchange
ETP ►Exchange-traded products (ETP)◄  trade on the stock markets as if they are stocks. ETPs derive their value from other investment instruments (commodities, interest rates, currencies) or are benchmarked to stocks, commodities or indices.
Exchange Traded Notes (ETN) ►Exchange Traded Notes (ETN)◄ Traded on market as if they are stocks. ETNs, like ETFs and ETPs, derive their value from other investment instruments.
Ex-Date ►Ex-Date or Ex-Dividend date◄ date on or after which a security is traded less the previously declared dividend or distribution.
Execution Management System (EMS) ►Execution Management System (EMS)◄ An computer program used to send orders into the markets, and to monitor the state of those orders. These often communicate through brokers Order Management Systems.
Execution Report ►Execution Report◄ A FIX Protocol transaction that represents a change in order state. This originally contained fill information but now contains all order state changes (pending new, fill, cancelled, rejecected, …)
FAANG or FANG or FAANGG ►FAANG or FANG or FAANGG◄ or any comination thereof. The major tech movers responsible for most of the market moves of the last few years.. FB AAPL AMZN NFLX GOOG GOOGL
Factor ►Factor◄ one of the elements or variables contributing to a particular result or situation. Example factors in trading: ATR, ADV, bid-ask spread, momentum.
Fama and French ►Fama and French◄ a capital asset pricing model (CAPM).  This model includes the value stocks and small-cap stocks which often outperform the general market. Considered to be a better CAPM.
Fast Market ►Fast Market◄  A fast market is a market that trades at a heavy volume and becomes chaotic with rapid-changing prices. We also use this term to also indicate that we have a lot of work on our plate and are rather busy.
Feature Engineering ►Feature Engineering◄ is any expansion of the original data, by fixing, combining or normalizing it utilizing knowledge of the data. It is the most challenging and valuable technique in data science/Machine Learning.
Feature Engineering ►Feature Engineering◄”Feature engineering is the art part of data science.” – Sergey Yurgenson. “Coming up with features is difficult, time-consuming, and requires expert knowledge.” – Andrew Ng
Feature Selection ►Feature Selection◄ is the process focussing the data to reduce Machine Learning processing time and improve accuracy by removing irrelevant or redundant data (ie the Names in Titanic) without affecting accuracy.
Features ►Features◄ These are the data that you give to an Machine Learning routine. For example, in the famous Titanic data, Features would be sex, age, price paid, Ticket Class, Name, Deck and if they survived or not.
Fed ►FED◄ The Federal Reserve system (The Fed). This is the central banking system in the USA. It was officially created as a public-private institution in 1913 to stabilize banks. The origins of central banking began with Alexander Hamilton.
Fill AND Kill – FAK ►Fill AND Kill – FAK◄ A FAK order type instructs the market or broker to fill or partially fill the order at the specified limit price and then cancel any remaining quantity.
Fill OR Kill – FOK ►Fill OR Kill-FOK◄ A FOK order type instructs the market or broker to cancel the order if and only if it is not immediately filled for the total order quantity at the specified limit price.
Fill Price ►Fill Price◄  or Fill PX: The price at which your order was executed in the market.
Fiscal Year ►Fiscal Year◄ The year period that a company uses for accounting purposes and preparing financial statements and corporate taxes. This is not the same as the calendar year.
Float Shares ►LIBOR◄ London Inter-Bank Offered Rate. Basic rate of interest for Inter Bank loans on the London Market. Used as a base for most interest rates.
Float Shares ►Float Shares◄ The portion of shares in a symbol that are in the market and not held by insiders.
FOK ►FOK◄ Fill or Kill. An order qualifying instruction that tells the broker to execute the entire quantity immediately. If it isn’t filled, then the order is canceled (killed).
Fundamental Data ►Fundamental Data◄ aka the Fundamentals. Quantitative information about a security. This information comes from the reports to the governing body. This is easily thought of as quarterly balance sheet and profit/loss reporting.
Fundamental vs Technical Analysis ►Fundamental vs Technical Analysis◄ Two opposing methods used for researching & forcasting price trends. Fundamentals = Assets, Earnings, Expenses etc, Technical =  price, volume & their derivatives over time (charts)
GDP – Gross Domestic Product ►GDP – Gross Domestic Product◄ is the sum of the market values, or prices, of all final goods and services produced in an economy during a period of time. Effectively the value of economic activity within a country.
GDP Per Capita ►GDP Per Capita◄ The GDP of USA in 2017 was $19.39T, population was around 320m, GDP per capita was $59531.66. Considered the best measurement of standard of living, how prosperous a country feels to its citizens.
Head and Shoulders ►Head & Shoulders◄ Chart pattern – support line, 3 peaks above, 1st low return to support, 2nd high & return, 3rd low & return which has vol & then the price breaks support = switch from bullish to bearish.
Hedge ►Hedge◄ An investment to reduce the risk of a position. i.e. Taking an offsetting position in a related security or trading in an option contract to prevent excessive loss.
Hedge Fund ►Hedge Fund◄ Agggressively managed porfolios for small groups of wealthy clients. Fallen out of favour in recent years as they and Mutual Funds have struggled to match passive investing (investment in individual ETFs).
Hedge Funds vs Mutual Funds ►Hedge Funds vs Mutual Funds◄ The Management fees for mutual funds depend on the percentage of assets managed. For hedge funds, the fees are based on the performance of the assets.
HFT or High Frequency Traders ►HFT or High Frequency Traders◄ are traders running algorithms which can see other peoples trades entering the market and race ahead of the trade buying and selling, in order to make a penny or two in the process.
High Turnover ►High Turnover◄  Repeatedly trading increases trading costs, requires “more correct trading decisions” and often fails to outperform “Buy and Hold”.
HTB (Hard To Borrow) ►Hard to Borrow◄To short (sell) a stock you don’t own, you must 1st borrow those shares. If a stock is heavily shorted these can be Hard to Borrow.
Index ►Index◄ Derived value of a Market. Can be a Whole/Part/Industry/Country etc. Can be traded via ETFs which replicate the Index. ie SPY QQQ
Industry / Sector ►Industry/Sector◄  Symbols are grouped with similar companies (generally 11-13 sectors and 100+ Industries) E.g. Google would be in the Technology Sector and Goog is in the Internet Content & Information Industry.
Insiders ►Insider◄ A director, senior officer, or any person or entity that owns more than 10% of a company’s stock. These are people who have inside or privileged knowledge that other investors do not and are able to benefit from insider trading.
Institutional Investor ►Institutional Investor◄ trades large vol on behalf of its members & receives preferential treatment/regulation/lower costs. Endowment/ Mutual/ Hedge/ Pension funds, commercial banks, insurance companies.
Institutional Investors ►Institutional Investor◄ Any person or organization trading securities in quantities large enough to qualify for preferential treatment that isn’t already a bank.
IPO ►IPO Initial Public Offering◄ When a company is taken from Private ownership to public ownership and a proportion of its shares are listed on a stock exchange for open trading.
Japanese Candlesticks ►Japanse Candlesticks◄are a method of displaying Open High Low Close values over a period of time. They look like green and red candles often with wicks protruding from each end.
Lagging Indicator ►Lagging Indicator◄Attempts to predict future price from recent price action. Indicates trend & direction. +more reliable, -later signal.
Large, Medium and Small Cap ►Large, Medium and Small Cap◄ Based on Market Capitalization : Small cap = $250 million-$2 billion, Mid cap = $2-$10 billion, Large cap = $10 to -$100 billion. Used to represent Large Established vs Small companies.
Leading Indicator ►Leading Indicator◄Attempts to predict future price from “new” events ie News, RSI, TicVol. +early signal, -less reliable, -many false positives.
Level 1 Market Data ►Level 1 Market Data◄ The best bid and best offer (including quantities) for a given security at the given point in time. This is also called the top of book.
Level 2 Market Data ►Level 2 Market Data◄ The summary of each price level of the order book. This shows the best bid/ask prices and quantities for each price level of the order book. The price levels show the total quantity (not each order.)
Leverage ►Leverage◄ Using borrowed capital to trade in order to increase the (potential) return of an investment.
Leveraged Buyout ►Leveraged Buyout◄ The purchase of a controlling share in a company by its management, using outside capital. This increases demand for the stock and usually causes the price to rise.
Limit Order ►Limit Order◄  or Limit Price: The maximum or minimum price you are willing to pay or accept on your order.
Liquidity ►Liquidity◄ How easy it is to buy/sell a stock in the market without affecting the stock price. Think of this of how many and how frequent there are bids & offers in the market.
Long ►Long◄ Buying shares on the assumption that the price will rise putting you in profit.
Long Bottom Wick ►Long Bottom Wick◄ Candlestick chart.. Wick.. Get it? So a long bottom wick suggests that sellers drove price down significantly but there were not enough of them to keep the price at that low level.
Long or Short Biased ►Long or Short Biased◄believing the price of a stock will rise or fall over time.
Long Term Hold ►Long Term Hold◄  What happens when a short term trade doesn’t turn out the way you wanted it to but you are still convinced that you like the position.
Long Top Wick ►Long Top Wick◄ suggests that buyers drove price up significantly but there were not enough of them to keep the price at that high. Both long Top and Bottom wicks suggest potential for price change.
Long vs Short ►Long vs Short◄  Most people outside trading understand “buying” a stock. Few comprehend the idea of selling a stock you do not own, or “Shorting” a stock. There are different risks associated with Shorting vs going Long.
Long/Short ►Long/Short◄ A model which takes long and short positions often aiming for an equal share of capital on each side.
Long-Only ►Long-Only◄ A model which only takes long trades – Risky if the market suddenly takes a downturn. Hence it is suggested that this kind of model is hedged or turned into a long/short model.
Low Beta ►Low Beta◄ Stock moves more than the market, beta is >1.0. Stock moves less than the market, beta is <1.0. High betas often riskier with potential high returns; low beta stocks less risky but lower returns. In theory.
MACD ►MACD◄ Moving Average Convergence Divergence signals the strength, direction, momentum & duration price trends. Cross Up=Bullish, Down=Bearish.
Margin ►Margin◄ The use of securities in a client account to borrow money against. This is the difference between the total value of the securities held and the amount on loan from the broker that is used to hold a position.
Mark to Market (MTM) ►Mark to Market◄ a.k.a. MTM.  The current market value of the account. MTM = ∑ (#shares for each security * the current market price of the security)
Market Cap Weighting ►Market Cap Weighting◄ If you make an index of 10 symbols but 2 of them have Market Cap of $100m and the others average $1m it makes more sense for the larger firms to have more effect on the price of the index.
Market Capitalization Market Capitalization◄  Also called “market cap.” The value of a public traded company. Market Cap = total number of shares * share price.
Market Capitalization ►Market Capitalization (Cap)◄ Market Cap is the current market value of a company’s outstanding shares. Market Cap = Total shares outstanding * current market price of one share.
Market Depth ►Market Depth◄ is all of the orders that are contained in the limit order book (Level 2) for a symbol at a given time. Specfically the ability of a symbol to accommodate large orders without moving the price.
Market Maker ►Market Maker◄ A person or company that provides liquidity on an exchange. MMs provide quotes both to buy and sell a security (hoping to make a profit on the bid-offer spread) to ensure that there is always bids and offers.
Market Research ►Market Research◄ You are either doing research into trading ideas, algorithms, or are just surfing the internet hoping to find something entertaining to do.
Market Trend ►Market Trend◄ Indicates a stock is moving consistently up or down. Higher Highs and Higher Lows (UpTrend) or Lower Lows and Lower Highs (DownTrend). The time period is at the trader’s discretion.
Max Drawdown ►Max Drawdown◄Maximum loss from Peak to Trough of a backtest (or portfolio). It gives an idea of the maximum potential downside risk of a model.
Mergers and Acquisitions M&A ►Mergers and Acquisitions M&A◄ Company ownership is transferred or consolidated. M&A’s generally create trading opportunities but these are often very high risk as details can be unreliable, as can price direction.
MOC Market on Close ►MOC Market on Close◄ Order type before the close that will be filled at the Close price on completion of the Closing Auction. Used by most funds etc as no-one can argue “you could have achieved a better price!”
Modern Portfolio Theory MPT ►Modern Portfolio Theory MPT◄ by H Markowitz (Nobel), math framework for assembling a portfolio of assets for max return at given risk. Risk is a func of the variance & correlation of all assets against each other.
MOO Market on Open ►MOO Market on Open◄ Order type, before the open that will be filled at the Open price on completion of the Opening Auction. Used by most funds etc as no-one can argue “you could have achieved a better price!”
Moving Average ►A moving average◄  is simply an Average of the most recent a set period of time (market data bars.) It can be an average of the Price, the Volume,… The “moving” is simply recalculating the value with each new data point.
Multi-Factor Strategy ►Multi-Factor Strategy◄ A trading algo that employs multiple factors (variable contributing to results or situation) in its calculations to determine enter or exit a position.
Naked Short ►Naked Short◄  In order to short a stock one first has to borrow the stock from a 3rd party at a small cost. Selling a stock without borrowing it first is called a Naked Short and is illegal.
Net Profit ►Net Profit◄ The actual profit after all expenses have been removed. Net profit = Gross Profit – Expenses. For traders, the Expenses are usually calculated as commissions + other market fees.
News ►News◄ Traders consume TV, private and public News channels. Often delivered directly by content providers such as AP and Dow Jones. Use CloudQuant to test your models using these News events as triggers/inputs.
News Sentiment ►News Sentiment◄ is the score/grade of how news sources portray a stock as determined by natural language processing (NLP) of media news sources. News sentiment is used to predict price movement or company health.
Odd Lot ►Odd Lot◄ Symbols have a ‘board lot size’, normally 100 shares. Sometimes traders buy/sell less than the lot size or its multiple. So 5, 95, 145 shares are all Odd Lot Sizes. In the past, odd lots were discouraged.
OHLC ►OHLC◄  Open High Low Close. The typical set of recorded market data in a period of time (time bar) used to display a symbols performance over time.
One-sided Market ►One Sided Market◄ A market that has only potential sellers or buyers but not both. Can be catastrophic, both recent crashes were when the buyers “went away” and algos just kept one downing to get out of a position.
Opening Print or ‘O’ print ►Opening Print or ‘O’ print◄All prints have trade conditions, ‘O’ on the primary exchange means this is the Opening Price of the symbol for the day. Often huge size as it is the conclusion of the opening auction.
Options Trade ►Options Trade◄ Contract that gives a buyer an option not obligation to buy/sell an underlying stock on/before a specific date at a specific price.
OTC Markets ►OTC Markets◄ operates 3 markets outside the traditional NYSE AMEX NASDAQ ARCA exchanges. OTC securities are on 3 tiers, OTCQX : stringent requirements, OTCQB : venture market, OTC Pink : bankrupcy or distress.
Passive Investing ►Passive Investing◄ As Hedge funds increased charges & underperformed the market, investors switched their captial to ETFs which do not have management charges and are auto-rebalanced to reflect their investments.
Penny Stocks ►Penny Stocks◄ Opposite of Blue Chips, Low value < $1 per share, often only available OTC rather than the main NYSE NASDAQ AMEX ARCA markets. Smaller companies with low liquidity and market cap. Subject to scams.
Perfect Algo ►Perfect Algo◄ An unobtainable goal sought by every trader, demanded by every risk manager, and required of every algorithmic programmer.
Preferred Stock ►Preferred Stock◄ stock that entitles the holder to a fixed dividend, whose payment takes priority over that of common-stock dividends.
Price Earnings Ratio (P/E) ►P/E Ratio◄ The price-to-earnings ratio is the ratio of the stock price per share to earnings per share (EPS). P/E Ratio is widely used as a method for determining if the stock is valued properly compared to peer industry or sector stocks.
Pro Forma Financial Statement ►Pro Forma Financial Statement◄ A financial statement based upon assumptions and projections.
Pump and Dump ►Pump and Dump◄Fraud : Artificially inflating a stock price using misleading positive statements. Offender buys low, pumps and dumps high.◄
Quant ►Quant◄ short for Quantitative Analyst is a mythical creature, half mathematician, half trader. Capable or writing complex mathematic and statistical models and making profitable algorhythms in all markets.
Reading Candlesticks ►Reading Candlesticks◄ a much practiced skill for traders. Long wicks show price action as it differs from open/close prices. Multiple green candles each smaller than the previous suggest a potentional rollover. Etc
REG NMS ►REG NMS◄  Regulation National Market System is a set of SEC rules to improve fairness in price execution, quote display speed/quality as well as increase access to market data.
Reg SHO ►Regulation SHO◄ Reg SHO governs short sale practices. Traders are required to locate and borrow stock prior to short selling.  Reg SHO set standards to prevent the naked short selling practices and maintain fair markets for all.
Relative Volume ►Relative Volume◄  compares a stock’s current volume traded to the normal traded volume. It is displayed as a ratio e.g. a 2.75 Relative Volume means that the stock is trading at  3 3/4 times its normal volume.
Resistance ►Resistance◄Upper price level where stock resists breaking through as no more buyers. Typically at round human prices 10c, 25c, $1. “Get out at $20”
REST API ►REST API◄ (Representational State Transfer) uses HTTP requests to access data/services on another machine using GET, PUT, POST and DELETE. Is a very efficient method for delivering data.
Risk ►Risk◄ The possibility of monetary loss associated with investments.
Risk Arbitrage ►Risk Arbitrage◄ also known as merger arbitrage is an investment strategy that speculates on the successful completion of mergers and acquisitions.
Risk Tolerance ►Risk Tolerance◄ The amount of variability in an investment that one is willing to withstand. One should have a frank discussion with your spouse about your risk tolerance.
ROR ►ROR◄ Rate of Return. The net gain or loss of an investment as a percentage of the investment cost. ROR = 100 * ( (Ending value of position – Start value of investment) / Start value of investment)
RSI – Relative Strength Indicator ►RSI – Relative Strength Indicator◄  A momentum indicator used to indicate Overbought (>75%) or Oversold (<25%) securities. It is calculated by taking the avg gain of up periods and dividing by the average loss of down periods.
S&P ►S&P◄ Standard & Poors, a rating agency giving credit ratings on bonds, countries and other investments. It also produces Indices including S&P500, an index of 500 of the largest US listed companies.
SEC – US Securities and Exchange Commission ►SEC – US Securities and Exchange Commission◄Mission : protect investors, maintain fair, orderly, and efficient markets, sound market regulation and facilitate capital formation for economic growth.
SEC Form 10-K ►SEC Form 10-K◄Annual report to SEC, Gives a comprehensive summary of financial performance to inform investors of a company’s condition before they buy. It contains more detail than a company’s annual report.
SEC Form 10-Q ►SEC Form 10-Q◄Quarterly report to SEC. Gives unaudited financial statements and an overview of a company’s condition. Filing dates depend on the organization’s fiscal year, they must file 3 10-Q reports each year.
SEC Form 13-D ►SEC Form 13-D◄Schedule 13D must be submitted to SEC within 10 days by any person or group who acquires more than 5% of any class of publicly traded securities in a public company. AKA Beneficial Ownership Report.
Settlement Date ►Settlement Date◄ The day when the transaction is (or will be) completed. This is the day that the buyer is to pay the seller and deliver the security.
Sharpe Ratio ►Sharpe Ratio◄  is the performance of an investment by adjusting for risk. S (x) = (rx – Rf) / StdDev (x) X is the investment rx is the avg return rate of X Rf is the best rate of return of a risk-free security (T-bills)
Short Sale ►Short Sale◄ The selling of a stock that one doesn’t own in the hopes that the price will drop. One must borrow the stock prior to selling it through a stock loan process. Borrowing stock does have additional fees.
Short Sale Restriction ►Short Sale Restriction◄ AKA “The alternative uptick rule” prevents short sales driving a stock into the ground . Stock drops more than 10 percent from Previous Close and you cannot short unless it has just upticked.
Short Squeeze ►Short Squeeze ◄Trader shorts stock anticipating a drop. Instead, it rises. Exceed their Margin and are forced to buy back at the high price to cover.
Simulation ►Simulation◄An approximation of likely fill prices for an order placed on any historic date based on the trades that happened at the time.
Slippage ►Slippage◄  The difference between the price you thought you would trade at, and the price you actually received from the market.
Social Sentiment ►Social Sentiment◄ is the score/grade of how well people think of a stock. It comes from natural language processing (NLP) of social media to analyze companies, products or, brands. Used to predict changes in stock prices.
SOR – Smart Order Routing ►SOR – Smart Order Routing◄ is the automated process of placing orders algorithmically to achieve the best possible price using a range of venues and execution methods.
Specialist ►Specialist◄ A member of SEC-regulated exchanges who must make a market in specific securities. Sometimes called two-dollar brokers.
Spike ►Spike◄  When a price suddenly moves away from its normal trend. Can be caused by news, rumors, competition, mergers and acquisitions. Identifying the cause allows you to take advantage of the move. A spike is often followed by a reversal
Spread Pt1 ►Spread Pt1◄ Bid-Ask. For liquid stocks often <=0.01. For stocks Rising/Falling/Illiquid it can be HUGE and can wipe out your profit.
Spread Pt2 ►Spread Pt2◄ Airport Currency Kiosk: $1.00 / €1.10. They sell €110 for $101. They buy €110 for $99. The SPREAD is their PROFIT for MAKING THE MARKET.
SPY ►SPY◄ an ETF designed to track the symbols in Standard and Poors 500 top stocks index.It is the most traded symbol in Dollars and Volume on the US Equities markets. It is often used as a hedge.
Standard Deviation ►Standard Deviation◄  Calculation of the typical (standard) distance of the swing (deviation) from the norm (Moving Average). On a normal bell, curve 68% of the values are within 1 StdDev from the average, 95% are within 2 StdDev.
Statistical Arbitrage ►Statistical Arbitrage◄ Short-term trading strategies that trade a set of securities on the basis of historical correlations and the general economic variables. A good strategy to apply Machine learning or apply linear regression and Support Vector Machine to the historical prices.
Stock Split ►Stock Split◄  This is a decision by the board to boost the number of shares available in the market by converting every share into a multiple. For example, a 2 for 1 split would result in everyone who owns 1 share would then own 2!
Stock with momentum ►Stock with momentum◄ Momentum indicators identify when a stock is moving up/down & how strongly. Positive means the price is above the price “n” periods ago. Negative, below.
Stop Limit Order – STL ►Stop Limit Order – STL◄ An instruction to buy or sell if and only if a trigger price is encountered. The order becomes a resting limit order at the limit price when the market trades at the trigger (stop) price.
Stop Order ►Stop Order◄  Also called Stop Loss Orders. This order type is an instruction to close out of a position if a trigger price is reached. Stops are used for protecting oneself from losing any more than you already have.
Stopped Out ►Stopped Out◄ When a Stop Order has been filled.
Supervised Learning ►Supervised Learning◄ is a task that creates a logical function or expression by analysing “Labeled Data”, ie pictures of hot dogs and cats which include the answer this is a hot dog, this is a cat.
Support ►Support◄Lower price level where stock resists breaking through as no more sellers. Typically at round human prices 10c, 25c, $1.
Sweep ►Sweep◄ is an order type that sweeps across all available market centers getting you all the shares you requested at the best possible price. This of course assumes High Frequency Traders do not exist (see HFTs).
Swing Trade ►Swing Trade◄ is a multi day hold trade (1-20+ days) taken when technical indicators suggest an up/down future trend. Believed to result in efficient capital use, higher returns, higher commissions, more volatility
Swing Trading ►Swing Trading◄ Trading over a period of days (overnight to a few weeks) to gain profits from changing prices.
ta-lib ►ta-lib◄ is a technical analysis library with wrappers for many languages including Python. It includes over 200 common trading indicators such as RSI, ATR, Bollinger Bands, Stochastics, Candlestick patterns etc
Technical Analysis ►Technical Analysis◄  is a trading discipline employed to evaluate investments and identify trading opportunities by analyzing statistical trends gathered from trading activity, such as price movement and volume.
Tender Offer ►Tender Offer◄ A public offer to buy the stock of a corporation for a given price. This offer typically has a time frame. Tender offers are normally an effort to win control of the company.
The Office ►The Office◄ A movie and or TV sitcom that represents real life in the back office to many traders. 🙂
The Open ►The Open◄1st trade on a stocks “primary” exchange after 9:30EST. It is preceded by an “Opening Auction” similar to the “Closing Period”.
The Specialist ►The Specialist◄Traditionally a human at the Exchange managing one or more stocks. Held a “book” with list of traders looking to buy/sell/prices.
Thick Market – Liquid Stocks ►Thick Market – Liquid Stocks◄ Stock with many buyers/sellers (high trading vol > 100k avol). Lower price volatility, risk, profit. Small spread.
Thin Market – Illiquid Stocks ►Thin Market – Illiquid Stocks◄Stock with few buyers/sellers (low trading vol < 100k avol). High price volatility, risk & potential profit. Big Spread.
Ticker ►Ticker◄ Another word for the Symbol for an asset. Ie GOOG for Google, AMZN for Amazon, FB for Facebook, NFLX for Netflix. Short symbols are prestigious and expensive ie V for Visa. 3 chars or less suggests high end.
Titanic DataSet ►Titanic DataSet◄ contains organized, but not cleaned, data from the Titanic Disaster including PassengerId, Survived, Pclass, Name, Sex, Age, SibSp, Parch, Ticket, Fare, Cabin, Embarked.
Trade / Quote ►Trade/Quote◄ Think ticker tape parades! The exchanges updates to the bid/ask/last traded price for each Stock symbols. All the price data you view (ie minute bars, moving averages, ATRs, RSIs) is derived from these simple market events.
Trade Kelly Edge ►Trade Kelly Edge◄ An indication of what percentage of a given account is the maximum amount one should risk on any given trade. Kelly % = Win_Probability – [(1 – Win_Probability) / Win_Loss_Ratio]
Trade Win % ►Trade Win % – Win/Loss Ratio◄ Is the total number of winning trades to the total number of losing trades (does represent actual $’s won/lost)
Trading Hours ►Trading Hours◄ US Equities trading starts 4am, core Market hours 9:30-16:00 EST, trading ceases 8pm. Majority of trading occurs during core hours though trading can rise OOH due to news or other unforseen events.
Trailing Stop ►Trailing Stop◄ An order to close a position if it moves in an unfavorable direction. It can be set a percentage away or a dollar cent value away from the current market price.
Training and Validation and Test Data ►Training and Validation and Test Data◄ You should split your Machine Learning data into these three sets : 1) Train the model,  2) Confirm the training results,  3) Test (with no labels to see if it worked!)
Turnover ►Turnover◄  For a fund, the goal is to maximise profitability while limiting the number of trades. Turnover is the number of shares traded during a period (expressed as a percentage).
TWAP  ►TWAP◄  is the Time-Weighted Average Price of a security over a specified time. Trading a strategies attempt to accumulate or liquidate positions at better than the TWAP. Some brokers provide TWAP algos.
Two Long Wicks ►Two Long Wicks◄ A bar on a candlestick chart that indicates significant volatility within the time period (minute, day) but little move from open to close. See also Bars, Candlestick Charts and Japanese Candlesticks.
Unsupervised Learning ►Unsupervised Learning◄ is a task that creates a logical function or expression by analysing “Unlabeled Data”, ie it is given only data and looking for patterns, clusters and outliers.
Uptick ►Uptick◄ An uptick event happens when a security’s price has increased in price from the last traded price on the market data feed.
UpTrend/DownTrend ►UpTrend/DownTrend◄  Indicates a stock is moving consistently up or down. Higher Highs and Higher Lows (UpTrend) or Lower Lows and Lower Highs (DownTrend). The time period is at the trader’s discretion.
VIX ►VIX Volatility Index◄Measure of current/future volatility of the US Equities market based off Options Traded. Can be traded via an ETN (VXX/VXXB).
Volatility and the VIX ►Volatility and the VIX◄  is a measurement of the S&P500 volatility for the next 30 days derived from the Options market, hence it is known as the “Fear Gauge” of the market. VXX is an ETF that tracks VIX. Follow the VIX trends.
Volume ►Volume◄ Total number of shares traded in a specific security over a specific period of time. IE, the volume for AAPL during market hours on 1/24/2019 was around 44m shares.
Weighting ►Weighting◄ When you combine symbols into an index you must choose how to weight them, do you give them all equal weighting, or by their price, or their market capitalization. The latter is the most common.
Win Probability ►Win Probability◄ The likelihood that any given trade you make will result in a profit.
Win/Loss Ratio ►Win/Loss Ratio◄ The total positive trade amounts divided by the total negative trade amounts.
Witching Hour ►Witching Hour◄  The last hour of trading on the 3rd Friday of the month when options and stock futures expire. Heavy volume resulting from traders closing out positions before expiry.
Yield ►Yield◄ Earnings from an investment over a period of time expressed as a percentage on the investment amount. Yield =  Net Realized Return / Principal Amount
Yield Inversion ►Yield Inversion◄Long term investments should yield more than short term investments. If LT US Bonds yield less than ST they are “inverted”. This suggests underlying nervousness in long term economic performance.