Toxic Flow
Orders that are likely informed or predictably profitable against liquidity providers, causing them to widen or reject.
Glossary
Definitions written for decisions, not textbooks.
Tick Size
The smallest allowed price increment for an instrument.
Fill Ratio
How much of your intended order size actually gets filled at your desired price.
Stop-Loss Cascade
A chain reaction where clustered stops trigger more stops, accelerating price movement.
Reject
When an order is not accepted or not executed by the venue/broker.
Price Improvement
Getting filled at a better price than requested or expected.
Fill Quality
How close your execution was to your intended price, given market conditions.
Swap Rate
The financing adjustment applied to a position held overnight (positive or negative).
Rollover
The daily time window when FX positions are rolled, often affecting spreads and financing.
Off-Market Tick
A printed price that is outside the broader market range for that moment.
Price Feed
The stream of quotes used to display and execute prices on a platform.
Liquidity Provider (LP)
A firm or venue participant that quotes buy/sell prices and supplies liquidity.
Correlation Breakdown
When correlations change abruptly, usually in stress.
Margin Closeout
Forced liquidation by the broker when margin falls below requirements.
Queue Priority
Your place in line for a limit order.
Synthetic Stop
An exit that relies on you, not the market.
Spread Regime
Spreads behave differently across time and conditions.
Liquidity Sweep
A fast move designed to trigger orders and access liquidity.
Quote Withdrawal
Liquidity temporarily disappears: quotes are pulled or widened.
Stop clustering
The tendency for many traders to place stop-loss orders at similar, obvious price levels (just beyond recent highs/lows or round numbers).
Margin close-out level
A broker-defined threshold where positions may be automatically reduced or closed to prevent the account from going negative.
Queue position
Your place in line for a limit order at a given price.
Order book depth
The quantity of resting buy and sell orders available at and around the current price.
Spread-to-ATR
A ratio that compares the current bid–ask spread to the market’s recent average true range (ATR).
Latency
The delay between your decision and your order interacting with the market (network + platform + broker routing + venue processing).
Iceberg Order
A large order that reveals only a small visible portion while the rest remains hidden and replenishes as the visible piece is filled.
Hidden Liquidity
Liquidity that is not visible in the displayed order book (iceberg orders, dark pools, internalized flow).
Post-Only
A limit order constraint that prevents the order from taking liquidity. If it would cross the spread, it is rejected or adjusted so it remains a maker order.
Fill-or-Kill (FOK)
A time-in-force instruction: the order must be filled in full immediately, or it is cancelled entirely.
Immediate-or-Cancel (IOC)
A time-in-force instruction: execute immediately for whatever size is available, and cancel any unfilled remainder.
Time-in-Force
An order instruction that defines how long it remains active (e.g., day, good-till-cancelled, immediate-or-cancel).
Stop Cluster
A concentration of stop orders at obvious technical levels (round numbers, prior highs/lows, breakout points).
Liquidity Vacuum
A moment when available liquidity disappears, creating gaps and discontinuous price moves. It often occurs when many participants step back simultaneously.
Spread Widening
A rapid expansion of the bid–ask spread due to reduced liquidity, increased uncertainty, or venue behavior during stress.
Slippage
The difference between the price you expected and the price you actually receive. Slippage can be positive or negative; most traders only notice the negative kind.
Requote
A broker response that the requested price is no longer available, offering a new price instead. In practice it is delayed execution with choice removed.
Last Look
A practice where a liquidity provider can briefly review an incoming trade and decide to accept, reject, or re-price it after seeing the latest market movement.
Markout
The price change after your fill over a defined time window. It’s a direct measure of whether your executions are good or being adversely selected.
Adverse Selection
Getting filled precisely when the market is about to move against you. It happens when your resting orders are ‘picked off’ by better-informed or faster flow.
Order Book Sweep
A marketable order that consumes multiple price levels because there isn’t enough size at the top of book to fill it.
Market Impact
The price movement caused by your own trading. Impact is the difference between the price you wanted and the price your order forces into existence.
Depth of Market
The quantity available at each price level beyond the top of book. Depth tells you how much you can trade before your order starts consuming worse prices.
Top of Book
The best bid and best ask currently visible. It is not the midpoint, and it is not the price you ‘should’ get. It’s simply the best available right now.
Bid–Ask Spread
The gap between the best available price to buy (ask) and the best available price to sell (bid). It is the minimum friction you pay to enter and exit immediately.
Sequence Risk
Risk that the order of returns (wins and losses) impacts survival and recovery, even if the average return is the same.
Payoff Distribution
The pattern of wins and losses a strategy produces (many small wins vs few big wins, tails, skew).
Discretion
A decision made outside strict rules, based on judgement in the moment.
Confirmation Bias
The tendency to seek, interpret, and remember information that confirms what you already believe.
Time Stop
A rule that exits or reduces a trade after a defined time if the expected move hasn’t occurred.
Risk Creep
Slow increase in risk-taking through small rule relaxations over time.