Futures Trading Glossary

Absorption Absorption occurs when large passive limit orders absorb aggressive buying or selling without allowing price to move. Aggressor The aggressor is the market participant who initiates a trade by hitting the bid or lifting the ask: trading at the market price rather than waiting for the market to come to them. Aggressor Ratio Aggressor ratio is the proportion of buy-initiated volume to total volume over a given period, expressed as a percentage. Anchored VWAP Anchored VWAP is a VWAP calculation that starts from a user-defined anchor point: a significant price event such as a swing high, swing low, earnings gap, or major news event: rather than resetting daily. Asia Session The Asia session is the overnight trading period driven by Asian market participants, roughly 6:00 PM to 3:00 AM ET.

Best Bid Best Ask The best bid is the highest price any participant is currently willing to buy at; the best ask is the lowest price any participant is currently willing to sell at. Bid Ask Imbalance Bid-ask imbalance is the difference in size between resting buy limit orders (bids) and sell limit orders (asks) in the DOM. Buy Stop A buy stop is a stop order placed above the current market price that becomes a market buy order when price reaches or exceeds the trigger level.

Cluster Chart A cluster chart is a footprint chart variant that displays total traded volume at each price level within a candle, without splitting by bid and ask side. Continuous Contract A continuous contract is a synthetic price series created by stitching together successive futures contracts as they expire, producing an unbroken historical chart. Contract Rollover Contract rollover is the process of closing a position in an expiring futures contract and reopening it in the next active contract. Cumulative Delta Cumulative delta is the running total of buy volume minus sell volume over a session or defined period.

Delta Imbalance Delta imbalance occurs when the difference between buy volume and sell volume at a specific price level is large enough to signal one-sided aggression. DOM (Depth of Market) The DOM (Depth of Market) is a real-time display of all resting limit orders on both sides of the market at each price level.

E-Micro E-Micro futures are contracts sized at one-tenth of their E-Mini equivalent, introduced by CME Group in 2019. E-Mini E-Mini futures are electronically traded futures contracts sized at a fraction of the full standard contract. ES (E-Mini S&P 500) ES is the E-Mini S&P 500 futures contract: the most actively traded equity index futures contract in the world. ETH (Extended Trading Hours) ETH refers to Extended Trading Hours: the futures trading session outside of regular US market hours.

Footprint Chart A footprint chart displays the bid and ask volume traded at each price level within every candle, revealing the precise order flow behind each bar. Front Month The front month is the nearest-expiring actively traded futures contract.

Globex Globex is the CME Group's electronic trading platform that operates nearly 24 hours a day, five days a week.

Handle A handle is trader slang for one full point of price movement in an index futures contract. High Volume Node A High Volume Node (HVN) is a price level or zone in a volume profile where significantly more volume was traded than surrounding levels.

Iceberg Order An iceberg order is a large limit order that is broken into smaller visible portions, with the remaining size hidden from the public order book. Intraday Margin Intraday margin is the reduced capital requirement that brokers and prop firms set for futures positions opened and closed within the same trading session.

Ladder The ladder is the visual interface of the DOM: a vertically stacked display of price levels with bid and ask quantities on either side, used to read depth, place orders, and execute trades directly from the order book. Large Print A large print is a single trade execution significantly larger than the average trade size for that instrument and session. Layering Layering is a form of market manipulation closely related to spoofing, involving the placement of multiple limit orders at different price levels on one side of the book to create a false impression of depth, then cancelling them once price moves in the intended direction. Level 2 Level 2 is market data that shows the full depth of the order book: multiple price levels of bids and asks beyond just the best bid and best ask. Liquidity Grab A liquidity grab is a sharp, brief price extension beyond a key level designed to trigger stop orders and sweep resting limit orders, providing large participants with the liquidity they need to fill a position at scale before the true move occurs in the opposite direction. London Session The London session runs approximately 3:00 AM to 9:30 AM ET and is the highest-volume period of the overnight session for US equity index futures. Low Volume Node A Low Volume Node (LVN) is a price level in a volume profile where significantly less volume was traded than at surrounding levels. Lunch Chop Lunch chop refers to the low-volume, directionless price action that typically occurs during the midday lull: roughly 12:00 PM to 2:00 PM ET.

Market Profile Market Profile is a charting method developed by J. MBP-1 MBP-1 (Market by Price, 1 level) is the top-of-book market data feed from CME, showing only the best bid and best ask. MBP-10 MBP-10 (Market by Price, 10 levels) is the standard CME market depth data feed showing the 10 best bid and 10 best ask price levels with their aggregated quantities. MES (Micro E-Mini S&P 500) MES is the Micro E-Mini S&P 500 futures contract, sized at one-tenth of the standard ES. Micro Futures Micro futures are futures contracts sized at one-tenth of their standard E-Mini equivalent. MNQ (Micro E-Mini Nasdaq 100) MNQ is the Micro E-Mini Nasdaq 100 futures contract, sized at one-tenth of the standard NQ.

Naked POC A Naked POC (nPOC) is a Point of Control from a prior session that price has not yet returned to. Notional Value Notional value is the total dollar value of a futures contract's underlying exposure. NQ (E-Mini Nasdaq 100) NQ is the E-Mini Nasdaq 100 futures contract.

Opening Range The opening range is the high and low established during the first defined period after the RTH open: typically 5, 15, or 30 minutes. Order Book Imbalance Order book imbalance is the difference in total resting order volume between the bid and ask sides of the DOM across multiple price levels. Order Flow Order flow refers to the real-time stream of buy and sell orders entering the market. Overnight Margin Overnight margin is the full margin requirement set by the CME that applies to futures positions held past the end of the regular trading session. Overnight Session The overnight session is the ETH period between the US equity market close (4:00 PM ET) and the next day's RTH open (9:30 AM ET).

POC (Point of Control) The Point of Control (POC) is the price level with the highest traded volume (or most TPOs) in a session or defined period. Point A point is one full unit of price movement in a futures contract. Power Hour Power hour refers to the final hour of the RTH session: 3:00 PM to 4:00 PM ET. Profit Factor Profit factor is the ratio of gross profit to gross loss over a given period. Pull (Order Pulling) Order pulling is the cancellation of a resting limit order before it is filled.

Quarterly Expiry Quarterly expiry is the schedule by which major futures contracts expire four times per year: in March, June, September, and December.

Resting Order A resting order is a limit order that has been submitted to the exchange and is waiting in the order book to be filled when price reaches its specified level. RTH (Regular Trading Hours) RTH refers to the Regular Trading Hours session for US equity index futures: 9:30 AM to 4:00 PM ET.

Sell Stop A sell stop is a stop order placed below the current market price that becomes a market sell order when price reaches or falls through the trigger level. Settlement Time Settlement time is the specific moment at which a futures contract's official daily or final settlement price is determined. Single Prints Single prints are price levels in a Market Profile that were visited during only one TPO period, appearing as a single letter rather than a stacked column. Spoofing Spoofing is the illegal practice of placing large limit orders with no intention of execution, to create a false impression of supply or demand and move price in the desired direction. Stacked Asks Stacked asks are multiple large resting sell limit orders visible in the DOM across several consecutive price levels above the current market. Stacked Bids Stacked bids are multiple large resting buy limit orders visible in the DOM across several consecutive price levels below the current market. Stop Run A stop run is a deliberate or algorithmic push of price through a known cluster of stop-loss orders, triggering them to generate a burst of market flow that briefly extends the move before reversing. Sweep A sweep occurs when aggressive market orders drive price through multiple price levels in rapid succession, consuming all available liquidity at each level.

Tape Reading Tape reading is the practice of interpreting the real-time flow of trades: price, size, speed, and direction: to infer the intentions of large market participants and anticipate near-term price movement. Tape Speed Tape speed refers to the rate at which transactions appear in the Time and Sales feed. Tick A tick is the smallest allowable price increment a futures contract can move. Tick Value Tick value is the dollar amount gained or lost for each one-tick price movement in a futures contract. Time and Sales Time and Sales (T&S) is the real-time record of every executed trade, showing the time, price, size, and side (bid or ask) of each transaction. TPO (Time Price Opportunity) A TPO (Time Price Opportunity) is a single letter on a Market Profile chart representing one 30-minute period during which price traded at a specific price level.

Value Area The Value Area is the price range within which 70% of a session's volume (or TPOs) were traded. Value Area High The Value Area High (VAH) is the upper boundary of the session's value area: the highest price still within the 70% volume distribution. Value Area Low The Value Area Low (VAL) is the lower boundary of the session's value area: the lowest price still within the 70% volume distribution. Volume Profile Volume profile is a charting tool that displays the total volume traded at each price level over a specified period, plotted horizontally as a histogram. VWAP VWAP (Volume Weighted Average Price) is the average price of a futures contract weighted by volume throughout the session.

Working Order A working order is an order that has been submitted to the exchange and is active: either resting in the book waiting to fill, or in the process of being executed.