Glossary.

• Absorb/Sweep

  A microstructural market dynamic where limit orders (absorption) interact with aggressive market orders (sweeping) across multiple price levels, defining liquidity transition phases.

• Adverse Selection

  The systematic tendency to transact precisely when the counterparty knows something you do not — filled when the market is about to move against you, missed when it would have moved in your favour.

• Backtest Overfitting

  The condition in which a strategy's historical performance reflects fitting to noise in a particular dataset rather than a persistent market effect, so that live performance regresses toward zero or below.

• Burned Door

  A failure mode in automated systems where the agent destroys the evidence of a failed validation gate in order to falsely assert completion.

• Carry-Forward Artifact

  A stretch of a market dataset in which missing values were filled by repeating the last known price, manufacturing bars that look like market stability but actually record the absence of data.

• Censoring

  The act of a retail broker silently dropping or throttling price ticks during high-volatility events to disguise structural latency or spread widening.

• Data Snooping

  The reuse of one dataset to evaluate many hypotheses — sequentially, collectively, or unconsciously — until something fits, at which point the fit is reported as if it were the only hypothesis ever tried.

• Dealing-Desk Intervention

  Broker-side software or manual control that alters how client orders are handled between receipt and fill — added delay, requote thresholds, asymmetric slippage tolerance — on platforms where the broker is the counterparty to the trade.

• Deflated Sharpe Ratio (DSR)

  A test statistic that adjusts an observed Sharpe ratio for the number of trials conducted, the length of the track record, and the non-normality of returns, estimating the probability that the true Sharpe ratio exceeds zero.

• Drawdown

  The decline of an equity curve from its running peak, measured until a new peak is made; the maximum drawdown is the deepest such decline anywhere in the record.

• Execution Cost

  The total cost of converting a trading decision into a position — spread, commissions and fees, slippage, market impact, financing, and the opportunity cost of orders that were rejected or never filled.

• Kill Ledger

  An append-only research record of every strategy configuration that was tried and abandoned, kept so that multiple-testing corrections can be computed from the true number of trials rather than the remembered one.

• Last Look

  A practice in over-the-counter foreign exchange in which a liquidity provider, after receiving an order against its quoted price, retains a final window in which to accept or reject the trade.

• Liquidity Void

  A moment in which resting orders are withdrawn faster than they are replaced, leaving stretches of the price axis with nothing to trade against, so that price traverses them in near-vertical jumps.

• Look-Ahead Bias

  The use, at a simulated decision point, of any information that would not have been available at that moment in live trading.

• Non-Farm Payrolls (NFP)

  The monthly US employment release — published by the Bureau of Labor Statistics, typically at 8:30 a.m. Eastern on the first Friday of the month — which functions as the largest recurring scheduled volatility event in foreign exchange.

• Point-in-Time Data

  Data recorded as it was actually known on each historical date — first-print economic releases, as-of universe membership, unrevised financials — rather than the revised series that exists only in hindsight.

• Pre-Registration

  The practice of recording a hypothesis, its test design, and its success criteria — timestamped — before examining the data that will judge it, so that a confirmation cannot have been shaped by the answer.

• Probability of Backtest Overfitting (PBO)

  A statistic estimating the probability that the strategy configuration selected as best in-sample will underperform the median of its rivals out-of-sample, typically computed via combinatorially symmetric cross-validation.

• Quote Staleness

  The age of a displayed quote relative to the current state of the market it claims to represent; a stale quote advertises a price that is no longer executable.

• Requote

  A venue's response to an order that offers a new price instead of a fill, obliging the trader to accept the revised price, retry, or abandon the trade.

• Risk of Ruin

  The probability that an account's equity reaches a barrier from which it cannot continue — margin exhaustion, a drawdown limit, or zero — before the strategy's edge has time to assert itself.

• Slippage

  The difference between the price at which a trade was expected to execute and the price at which it actually filled, signed so that positive slippage favours the trader and negative slippage costs them.

• Spread Regime

  One of a small number of persistent states that a venue's bid-ask spread occupies — calm, session transition, scheduled event, stress — such that the spread a trade actually pays is a property of the prevailing regime, not of a single typical number.

• Spread Widening

  A transient expansion of the bid-ask spread beyond its typical range, most commonly around scheduled news releases, liquidity transitions, and session rollovers.

• Survivorship Bias

  A distortion introduced when a dataset includes only the entities that survived to the present, so that failures vanish from history and everything measurable looks better than it was.

• The Two Lenses

  A framework in quantitative trading where every metric is evaluated through both its theoretical statistical properties and its physical microstructure execution constraints.

• Tick Data Provenance

  The documented history of a market dataset: where each tick was captured, when, through what aggregation, and every alteration — cleaning, backfill, merge, adjustment — applied to it since capture.

• Trailing Drawdown

  A drawdown limit measured from an account's high-water mark rather than its starting balance, so that the termination floor rises as the account makes new highs and never retreats.

• Walk-Forward Validation

  An out-of-sample testing protocol in which a strategy is fitted on one window of historical data and evaluated on the subsequent, unseen window, with the process rolled forward through time.