Glossary
All the Auction Market Theory and futures trading terms you need to know, explained.
A
Auction Market Theory (AMT)
Auction Market Theory (AMT) is a theory of how markets behave. It is based on the idea that markets are auction markets, and that the price of an asset is determined by the balance of supply and demand.
A Period
A period is the first 30 minutes of the trading day, from 09:30-10:00 AM EST. It's typically the time when the market is most active and the most volume is traded. The high and low of A period forms the opening range in Auction Market Theory.
Average True Range (ATR)
Average True Range (ATR) is a technical analysis indicator that measures market volatility by decomposing the entire range of an asset price for that period. ATR is typically used to determine the volatility of an asset over a given period of time.
E
Excess
Excess is a price level where there is a lack of liquidity. This means that if price returns to that level, it is likely to move through that level quickly.
E Period
E period is the fifth 30 minutes of the trading day, from 11:30-12:00 PM EST. E period forms the first half of the 'Twilight Zone', where Europe closes and US is out to lunch. There can often be slow market activity during this time.
F
Futures Contracts
A futures contract is a financial contract that obligates the buyer to buy an underlying asset at a specified price on or before a specified date. The seller of the contract is obligated to sell the asset if the buyer chooses to exercise this right. The three main parts of a futures contract are the strike price, the expiration date, and the underlying asset.
F Period
F period is the sixth 30 minutes of the trading day, from 12:00-12:30 PM EST. F period forms the second half of the 'Twilight Zone', where Europe is closed and US is out to lunch. There can often be slow market activity during this time.
I
L
Liquidity
Liquidity is the ease with which an asset can be bought or sold in the market without affecting the asset's price. Typically an asset with a high open interest and / or high volume is considered to be liquid, while an asset with a low open interest and / or low volume is considered to be illiquid.
L Period
L period is the twelfth 30 minutes of the trading day, from 3:00-3:30 PM EST. L period forms the first half of 'Power Hour'.
Line in the Sand (LIS)
A 'line in the sand', or LIS, is a critical level that traders often define as when their trade thesis is validated or invalidated. It is typically just above or below where they set their stop.
M
Money Management
Money management is the process of managing your money in a way that maximizes your profits and minimizes your losses. Also known as risk management.
Market Breadth or Width
Market Breadth or Width is a measure of the number of stocks that are rising in price versus the number of stocks that are falling in price.
M Period
M period is the thirteenth 30 minutes of the trading day, from 3:30-4:00 PM EST. M period forms the second half of 'Power Hour'.
N
New High of Day (NHOD)
New High of Day (NHOD) refers to the highest price that has been achieved so far during the trading session.
New Low of Day (NLOD)
New Low of Day (NLOD) refers to the lowest price that has been achieved so far during the trading session.
Naked VPOC
A Naked VPOC is a Volume Point of Control (VPOC) that has not been revisited by price since it was established. It is a significant level because it represents a price level where a lot of volume was traded, but price has not returned to that level since. This can indicate a potential area of support or resistance, or an area that may eventually be returned to.
O
Option Expiry, OP-X, or OPX
Option Expiry, OP-X, or OPX is the date on which an option contract expires. This is the date on which the option is no longer valid and can no longer be exercised.
Opening Range (OR)
Opening Range (OR) is the range of prices achieved during the first 30 minutes of the trading day, formed by A period, from 09:30-10:00 AM EST.
S
Single Prints
Single prints are price levels where there is only one trade at that price level. Single prints are important because they represent a price level where there is a lack of liquidity. This means that if price returns to that level, it is likely to move through that level quickly.
Sharpe Ratio
The Sharpe ratio is a measure of risk-adjusted return that calculates the excess return per unit of risk. It is calculated by subtracting the risk-free rate from the portfolio return and dividing by the standard deviation of the portfolio's excess return. A higher Sharpe ratio indicates better risk-adjusted performance, as it shows more return per unit of risk taken.
T
Time Price Opportunity (TPO)
Time Price Opportunity (TPO) is a measure of how much time an asset spends at a given price level. It can be used to identify areas of high and low activity, and to gauge the strength of support and resistance levels.
Twilight Zone
Twilight Zone is the time between 11:30 AM EST and 12:30 PM EST, when Europe is closed and US is out to lunch. There can often be slow market activity during this time.
Trading Range (TR)
Trading Range (TR) is the range of prices achieved during the full session.