Our Nomenclature

This chapter presents the definitions and explanations of the key words, symbols, and concepts associated with algorithmic trading. Tick data is the intraday real‐time trade data. The time is expressed in seconds and EOD, end of day, represents data totals for the whole trading session. Backtest is procedure testing the performance of an algo against historical tick data, over a specified lookback period. TXN, transaction, is usually used in the plural to signify total transactions that took place for a particular stock in a session. The return may also be displayed in “basis points’ in algorithmic trading. Lookback, LB, is a generic term that is used to specify how far back the historic data is looked at in calculating moving averages, volatilities, returns, backtest, EMA α constants, etc. This period is chosen to suit the requirements of what data is being calculated and what the traders are trying to find out. Parameter is any user definable constant, used in an algorithmic calculation.