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Glossary

It is perhaps surprising that trading generally has made so little progress in developing a commonly understood and clearly defined set of terms. Even something as logically straightforward as Volume Weighted Average Price (VWAP) can be defined by different people in different ways. Algorithmic trading suffers not only from this lack of consistency but also from the predilection of many algorithmic service providers to ‘name’ individual algorithms with words that are intended to convey something of the underlying strategy. Names like ‘Nighthawk‘ and ‘Guerrilla’ vie with OPL in a bid to offer clarity but in many cases lead to further confusion.

In constructing this Glossary ATMonitor has sought where possible to assemble definitions that should be regarded as uncontroversial and has deliberately avoided inclusion of proprietary named algorithms whose purpose and approach can only be effectively described by their creators. However, we accept that some readers will consider the definitions too short and imprecise, while others will find them too long for something they consider ‘obvious’.

We welcome comments, whether about definitions that are not included or differences in what any given word means. To contribute your knowledge to the process please contact us

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