> Working definitions for the execution, backtesting and data-provenance terms Hadal measures — slippage, last look, overfitting, censoring, provenance.

- Canonical: https://hadalinstruments.com/glossary/

---

Concepts

# Glossary.

Every instrument I build measures something this vocabulary names. These are the working definitions used across the [methodology](https://hadalinstruments.com/methodology/), the [research write-ups](https://hadalinstruments.com/research/) and the [instrument pages](https://hadalinstruments.com/instruments/) — written so that a claim made with one of these words can be checked against a record rather than taken on trust.

Each of the 97 entries states what the term means, why the effect happens, what it would take to measure it, and what it is not. Where a term has a looser everyday usage, the entry says so. Terms appearing in the research articles link back here automatically, so an article never assumes you already share the vocabulary it is written in. The terms the research itself has coined — named answers rather than established vocabulary — live separately, in [the lexicon](https://hadalinstruments.com/lexicon/).

Every entry also carries a stable identifier of its own. The same concept URI appears in the page's structured data, in the entity links the prose generates, and in the machine-readable exports — one address per idea, so a citation of a definition here resolves to exactly one thing.

New here? Start with [slippage](https://hadalinstruments.com/glossary/slippage/), [backtest overfitting](https://hadalinstruments.com/glossary/backtest-overfitting/), [tick data provenance](https://hadalinstruments.com/glossary/tick-data-provenance/) and [burned door](https://hadalinstruments.com/glossary/burned-door/) — four of the ideas the rest of the site leans on hardest.

## A

03

### [Absorb/Sweep](https://hadalinstruments.com/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](https://hadalinstruments.com/glossary/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.

### [Anchored VWAP](https://hadalinstruments.com/glossary/anchored-vwap/)

The volume-weighted average price computed from a chosen starting event forward — the session VWAP's generalisation, where the anchor is an election and the line is only as meaningful as the anchor's case.

## B

06

### [Backtest Overfitting](https://hadalinstruments.com/glossary/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.

### [Balanced price range (BPR)](https://hadalinstruments.com/glossary/balanced-price-range/)

The band where a bullish and a bearish fair value gap overlap, left when price crosses the same prices one-sidedly in both directions within a short span. ICT reads the overlap as a zone the two opposing imbalances have balanced.

### [Break of structure (BOS)](https://hadalinstruments.com/glossary/break-of-structure/)

A close through the most recent qualifying swing point in the direction of the prevailing trend — a new structural high in an uptrend, or a new structural low in a downtrend.

### [Breaker block](https://hadalinstruments.com/glossary/breaker-block/)

An order block consumed by a move that first swept a prior extreme and then broke structure — after which the taxonomy expects the failed zone to act in its flipped role.

### [Burned Door](https://hadalinstruments.com/glossary/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.

### [Buy-side and sell-side liquidity](https://hadalinstruments.com/glossary/buy-side-and-sell-side-liquidity/)

The ICT names for resting orders on either side of price: buy-side liquidity is the buy orders assumed to sit above prior highs, sell-side liquidity the sell orders assumed to sit below prior lows.

## C

09

### [Candle range theory (CRT)](https://hadalinstruments.com/glossary/candle-range-theory/)

A reading of a single higher-timeframe candle's range: when the next candle trades beyond one end of that range and closes back inside it, the theory expects price to travel toward the opposite end.

### [Carry-Forward Artifact](https://hadalinstruments.com/glossary/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](https://hadalinstruments.com/glossary/censoring/)

The thinning of a price feed — updates dropped, coalesced or rate-limited — during the intervals in which the underlying market is moving fastest, so that the record understates the spread widening and depth withdrawal that actually occurred.

### [Central bank dealers range (CBDR)](https://hadalinstruments.com/glossary/central-bank-dealers-range/)

The price range traded between 14:00 and 20:00 New York time, usually measured on candle bodies, which ICT teaching uses to project the next day's high and low in multiples of the range's own height; also written central bank dealing range.

### [Change of character (CHoCH)](https://hadalinstruments.com/glossary/change-of-character/)

The first break of a swing point against the prevailing direction — the moment an uptrend prints a close below its last higher low, or a downtrend a close above its last lower high.

### [Combinatorial Purged Cross-Validation (CPCV)](https://hadalinstruments.com/glossary/combinatorial-purged-cross-validation/)

A backtest protocol that partitions a history into groups, holds out every combination of them in turn with purging and an embargo, and so produces many out-of-sample paths instead of a single one.

### [Consequent encroachment (CE)](https://hadalinstruments.com/glossary/consequent-encroachment/)

The midpoint of a fair value gap, halfway between its two boundaries, which the ICT method treats as the gap's balance point; the same fifty-percent line drawn through a wick carries the same name.

### [Consistency Rule](https://hadalinstruments.com/glossary/consistency-rule/)

An evaluation rule capping the share of profit that any single trading day may account for, so that a target reached by one outsized day does not qualify even when the total is met.

### [Cumulative delta](https://hadalinstruments.com/glossary/cumulative-delta/)

The running sum of buyer-aggressed minus seller-aggressed volume — one line tracking which side has been crossing the spread harder, accumulated trade by trade.

## D

09

### [Daily Loss Limit](https://hadalinstruments.com/glossary/daily-loss-limit/)

A rule ending or suspending an account when losses within a single trading day exceed a set amount, assessed against a baseline that resets each day rather than against the account's overall decline.

### [Data Snooping](https://hadalinstruments.com/glossary/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](https://hadalinstruments.com/glossary/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)](https://hadalinstruments.com/glossary/deflated-sharpe-ratio/)

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.

### [Delta divergence](https://hadalinstruments.com/glossary/delta-divergence/)

Price printing a new extreme that cumulative delta declines to confirm — fresh highs on fading buyer aggression, or fresh lows on fading seller aggression — read as absorption at the extreme.

### [Depth of market (DOM)](https://hadalinstruments.com/glossary/depth-of-market/)

The visible ladder of resting limit orders — how much size is bid and offered at each price level away from the touch — as one feed displays it at one moment.

### [Displacement](https://hadalinstruments.com/glossary/displacement/)

A candle or short run of candles whose bodies dominate their ranges — price delivered aggressively in one direction, with little trade against it, often leaving imbalances behind.

### [Draw on liquidity (DOL)](https://hadalinstruments.com/glossary/draw-on-liquidity/)

The pool of resting orders price is expected to reach next, such as an old high or low or an unfilled gap. ICT uses it as the destination a directional bias points at.

### [Drawdown](https://hadalinstruments.com/glossary/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.

## E

04

### [Effective Sample Size](https://hadalinstruments.com/glossary/effective-sample-size/)

The number of independent observations a dependent sample is actually worth — the count that governs a statistic's standard error once autocorrelation and overlapping windows are accounted for.

### [Embargo Period](https://hadalinstruments.com/glossary/embargo-period/)

A span of observations discarded immediately after a test window, so that serial correlation cannot carry information from the tested period into the data used to train.

### [Epps Effect](https://hadalinstruments.com/glossary/epps-effect/)

The systematic decline of measured correlation between two price series as the sampling interval shrinks; at fine grains the instruments rarely print at the same instant, and the correlation formula reads that asynchrony as independence.

### [Execution Cost](https://hadalinstruments.com/glossary/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.

## F

04

### [Fair value gap (FVG)](https://hadalinstruments.com/glossary/fair-value-gap/)

A three-candle imbalance: the wicks of the first and third candles fail to overlap, leaving a price band the middle candle crossed with one-sided trade. Bullish when the third candle's low sits above the first's high; bearish in mirror.

### [False Discovery Rate (FDR)](https://hadalinstruments.com/glossary/false-discovery-rate/)

The expected proportion of rejected null hypotheses that are in fact true — the share of your discoveries that are false, as distinct from the probability of making any false discovery at all.

### [Fill Ratio](https://hadalinstruments.com/glossary/fill-ratio/)

The proportion of order attempts that resulted in a trade, read alongside what happened to the attempts that did not — how the market drifted during them, and at what price they were eventually replaced.

### [Footprint chart](https://hadalinstruments.com/glossary/footprint-chart/)

A candle opened up: per price level within each bar, the volume that traded — usually split by aggressor side — so the bar shows not just where price went but who paid to move it.

## H

02

### [Hard Breach](https://hadalinstruments.com/glossary/hard-breach/)

A rule breach whose stated consequence is the end of the account: the condition fires, the account is closed or its open positions are liquidated, and the programme is over subject to whatever the agreement says follows.

### [High-Water Mark](https://hadalinstruments.com/glossary/high-water-mark/)

The highest value an account has previously reached, held as a reference point so that a fee, a threshold or a termination floor is measured against the account's best moment rather than its starting value.

## I

10

### [ICT 2022 model](https://hadalinstruments.com/glossary/ict-2022-model/)

The entry sequence taught in ICT's 2022 mentorship: a sweep of a prior high or low, a displaced market structure shift that leaves a fair value gap, and an entry on the return into that gap. The silver bullet is the same model restricted to three one-hour windows.

### [ICT daily bias](https://hadalinstruments.com/glossary/ict-daily-bias/)

The direction a trader expects the day to take, stated before the session from higher-timeframe structure, the nearest imbalance and the next draw on liquidity; in ICT teaching, a call on whether the day is more likely to reach the liquidity above the previous day's high or below its low.

### [ICT macro times](https://hadalinstruments.com/glossary/ict-macro-times/)

Short windows on the New York clock, twenty to thirty minutes long, which ICT teaching singles out as the minutes price is most expected to run for liquidity or turn.

### [ICT unicorn model](https://hadalinstruments.com/glossary/ict-unicorn-model/)

An ICT entry setup in which a breaker block and a fair value gap, both left by the same move through structure, overlap; the entry zone is only the prices they share. Named for how rarely the two line up.

### [ICT weekly profiles](https://hadalinstruments.com/glossary/ict-weekly-profiles/)

Templates for when in the trading week the week's high and low form, such as a Tuesday low in a bullish week or a Thursday reversal after a quiet start. ICT teaching uses them to anticipate the rest of a week from its first days.

### [Implementation Shortfall](https://hadalinstruments.com/glossary/implementation-shortfall/)

The difference between the return of a paper portfolio traded instantly at the decision price and the return actually realised, including the cost of the quantity that never filled at all.

### [Inducement](https://hadalinstruments.com/glossary/inducement/)

A minor liquidity pool swept shortly before a move toward a larger opposing pool — the taxonomy's name for the small raid that precedes the real one, cast as bait for early entries.

### [Information Coefficient (IC)](https://hadalinstruments.com/glossary/information-coefficient/)

The correlation between a forecast and the outcome it predicted — the standard scalar summary of how accurate a signal was, measured across a cross-section or through time.

### [Inverse fair value gap (IFVG)](https://hadalinstruments.com/glossary/inverse-fair-value-gap/)

A fair value gap that price has closed through decisively, after which the taxonomy expects the zone to act in its flipped role — a failed bullish gap treated as resistance, a failed bearish gap as support.

### [IPDA (interbank price delivery algorithm)](https://hadalinstruments.com/glossary/ipda/)

ICT's name for the premise that price is delivered by an interbank algorithm between pools of liquidity and imbalances, and for the part of it that can be computed: the highs and lows of the last 20, 40 and 60 trading days, treated as the levels that delivery references.

## J

01

### [Judas swing](https://hadalinstruments.com/glossary/judas-swing/)

A session-open counter-move: the first directional push after a declared open that sweeps a resting pool and then gives way to a move the other way — named for the betrayal.

## K

02

### [Kill Ledger](https://hadalinstruments.com/glossary/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.

### [Kill zones (ICT)](https://hadalinstruments.com/glossary/ict-kill-zones/)

Named intraday time windows — Asian, London open, New York open, London close — defined on the New York wall clock, inside which the ICT methodology concentrates its setups.

## L

06

### [Last Look](https://hadalinstruments.com/glossary/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 heatmap](https://hadalinstruments.com/glossary/liquidity-heatmap/)

A time-history of the order book rendered as colour — resting size at each price, frame by frame — so the ladder's usually-invisible past becomes a picture of where depth sat, moved and vanished.

### [Liquidity Provider](https://hadalinstruments.com/glossary/liquidity-provider/)

A participant that quotes two-sided prices and stands ready to trade against incoming orders, compensated by the spread for carrying inventory risk and adverse-selection risk.

### [Liquidity sweep](https://hadalinstruments.com/glossary/liquidity-sweep/)

Price trading through a prior swing high or low — or a cluster of equal highs or lows — and then closing back inside the old range, read as a run on the stop and entry orders resting beyond the level.

### [Liquidity Void](https://hadalinstruments.com/glossary/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](https://hadalinstruments.com/glossary/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.

## M

05

### [Market Impact](https://hadalinstruments.com/glossary/market-impact/)

The adverse price movement caused by an order's own execution — the difference between the prices that existed before the order began and the prices it had to reach in order to complete.

### [Market maker model (MMXM)](https://hadalinstruments.com/glossary/market-maker-model/)

ICT's map of a price campaign in two halves: price moves away from an original consolidation in stages to a higher-timeframe array, turns there in a smart money reversal, and returns through the same stages. The buy model runs down then up; the sell model up then down.

### [Market profile](https://hadalinstruments.com/glossary/market-profile/)

A histogram of time spent at each price, built from half-hour TPO brackets into a distribution whose value area and point of control describe where the session found acceptance.

### [Market structure shift (MSS)](https://hadalinstruments.com/glossary/market-structure-shift/)

A counter-trend break at an intermediate or higher swing tier — the change-of-character event graded up by the significance of the swing it takes, often required to arrive with displacement before it counts.

### [Mitigation block](https://hadalinstruments.com/glossary/mitigation-block/)

A failed order block reborn in the opposite role after a failure swing — the same flip construction as a breaker block, minus the liquidity sweep that defines the breaker's origin.

## N

03

### [New day opening gap (NDOG)](https://hadalinstruments.com/glossary/new-day-opening-gap/)

The price range between the close before a daily trading halt and the open after it — in ICT teaching, the 17:00 close and the 18:00 reopen in New York time that futures markets take on weekday evenings.

### [New week opening gap (NWOG)](https://hadalinstruments.com/glossary/new-week-opening-gap/)

The price range between a market's last close before the weekend and its first open after it — in ICT teaching, Friday's 17:00 close and Sunday's 18:00 open in New York time — kept on the chart with its midpoint for weeks.

### [Non-Farm Payrolls (NFP)](https://hadalinstruments.com/glossary/non-farm-payrolls/)

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.

## O

05

### [Opening range gap (ORG)](https://hadalinstruments.com/glossary/opening-range-gap/)

The price range between one day's regular-session close and the next day's 09:30 open on United States index products, measured in regular-session prices while the futures keep trading overnight; ICT teaching marks its edges and midpoint for the New York session.

### [Optimal trade entry (OTE)](https://hadalinstruments.com/glossary/optimal-trade-entry/)

The retracement band between 62% and 79% of a reference leg — with 70.5% as its midline — where the ICT methodology stages entries in the direction of that leg.

### [Order block](https://hadalinstruments.com/glossary/order-block/)

The last candle closing against the direction of a subsequent qualifying move — taught as the footprint of positions built before the move, and drawn as a zone expected to react on revisit.

### [Order flow](https://hadalinstruments.com/glossary/order-flow/)

The stream of orders arriving at a market — aggressive orders consuming resting size and passive orders posting it — and, by extension, the discipline of reading that stream from book and tape data.

### [Order Flow Imbalance (OFI)](https://hadalinstruments.com/glossary/order-flow-imbalance/)

A measure of net buying pressure constructed from changes at the top of the order book — additions, cancellations and executions on each side, netted over an interval.

## P

06

### [PD array](https://hadalinstruments.com/glossary/pd-array/)

Short for premium and discount array: any of the reference zones ICT reads as places price may react, sorted by which half of the dealing range it sits in. Arrays in the discount half are read as buying areas, and arrays in the premium half as selling areas.

### [Point-in-Time Data](https://hadalinstruments.com/glossary/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](https://hadalinstruments.com/glossary/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)](https://hadalinstruments.com/glossary/probability-of-backtest-overfitting/)

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.

### [Propulsion block](https://hadalinstruments.com/glossary/propulsion-block/)

An order block that forms while price is trading back into an earlier order block: the candle that revisits the older zone, holds it and drives price away. ICT treats it as a continuation zone whose midpoint is expected to hold.

### [Purged Cross-Validation](https://hadalinstruments.com/glossary/purged-cross-validation/)

A cross-validation scheme for time-dependent data in which any training observation whose information horizon overlaps the test window is removed, so that no label can leak across the split.

## Q

02

### [Quote Fade](https://hadalinstruments.com/glossary/quote-fade/)

The withdrawal or repricing of a displayed quote in the moment an order arrives against it, so that the liquidity a trader aimed at is not the liquidity that is there on arrival.

### [Quote Staleness](https://hadalinstruments.com/glossary/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.

## R

04

### [Regime Shift](https://hadalinstruments.com/glossary/regime-shift/)

A change in the data-generating process itself — the distribution of returns, volatility or liquidity moving to a new persistent state rather than fluctuating within the old one.

### [Rejection block](https://hadalinstruments.com/glossary/rejection-block/)

A zone drawn from the wick of a candle at a swing high or low, between the candle's body and the tip of its wick, where price reached and was refused, and where the ICT method expects it to be refused again.

### [Requote](https://hadalinstruments.com/glossary/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](https://hadalinstruments.com/glossary/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.

## S

08

### [Sharpe Ratio](https://hadalinstruments.com/glossary/sharpe-ratio/)

The ratio of a return series' mean excess return to its standard deviation — how much return was earned per unit of volatility borne, expressed as a single scalar.

### [Slippage](https://hadalinstruments.com/glossary/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.

### [Smart money concepts (SMC)](https://hadalinstruments.com/glossary/smart-money-concepts/)

A retail methodology label for reading charts through claimed institutional behaviour — market structure, liquidity pools, imbalances and premium-discount ranges — largely systematised from the ICT teachings.

### [SMT divergence](https://hadalinstruments.com/glossary/smt-divergence/)

A disagreement between correlated instruments at time-aligned swings: one takes out its prior high or low and the other does not, a refusal the ICT method reads as a sign that price is about to turn.

### [Soft Breach](https://hadalinstruments.com/glossary/soft-breach/)

A rule breach whose stated consequence is something other than ending the account — a warning, a suspension pending review, a requirement of further trading, or a constraint on what may be withdrawn.

### [Spread Regime](https://hadalinstruments.com/glossary/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](https://hadalinstruments.com/glossary/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](https://hadalinstruments.com/glossary/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.

## T

05

### [The Two Lenses](https://hadalinstruments.com/glossary/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](https://hadalinstruments.com/glossary/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.

### [Time-Weighted Average Price (TWAP)](https://hadalinstruments.com/glossary/time-weighted-average-price/)

The average of an instrument's price sampled at equal intervals over a window — used both as an execution benchmark and as the schedule for an order that trades evenly through time.

### [Trailing Drawdown](https://hadalinstruments.com/glossary/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.

### [Turtle soup](https://hadalinstruments.com/glossary/turtle-soup/)

A fade of a failed breakout: price trades beyond a prior multi-period high or low, the break fails to hold, and the trade is taken back the other way. Named for the Turtle traders, whose breakout entries it bets against.

## V

02

### [Volume imbalance](https://hadalinstruments.com/glossary/volume-imbalance/)

A gap between the bodies of two consecutive candles whose wicks still overlap: the second candle opens beyond the first candle's close, so the band between that close and that open traded only inside the candles' wicks. Bullish when the second candle opens above; bearish in mirror.

### [Volume profile](https://hadalinstruments.com/glossary/volume-profile/)

A histogram of traded volume by price level over a chosen window — where the trading happened on the price axis, rather than when it happened on the time axis.

## W

01

### [Walk-Forward Validation](https://hadalinstruments.com/glossary/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.