Concepts

Glossary.

Every instrument I build measures something this vocabulary names. These are the working definitions used across the methodology, the research write-ups and the instrument pages — 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 110 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.

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, backtest overfitting, tick data provenance and burned door — four of the ideas the rest of the site leans on hardest.

A

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.
Anchored VWAP

Anchored VWAP is 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.
Asian range

The high and low traded between 20:00 and midnight New York time in the convention this glossary uses, which ICT teaching carries into the London and New York sessions as levels the day is expected to trade through on one side before its main move; other guides start or end the window at other hours, and each window draws a different range.

B

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.
Backtesting

Backtesting is the replay of a trading rule over historical data to see what it would have done, under the assumptions the test declares.
Balanced price range (BPR)
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)
A break of structure is 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

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

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

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

Candle range theory (CRT)
Candle range theory is 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.
Candlestick patterns

Candlestick patterns are named arrangements of one or more candles — their bodies, wicks and closes — read as signs of what price may do next.
Carry-Forward Artefact

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 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)
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)
A change of character is 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)
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)
Consequent encroachment is 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

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

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

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

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.
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)
Depth of market is 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

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)
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

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

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

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

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.
Equal highs and lows

Two or more swing highs, or two or more swing lows, lying within a stated tolerance of each other; while price has not traded beyond them, ICT teaching marks the orders assumed above equal highs and below equal lows as the densest pools of resting liquidity.
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

Fair value gap (FVG)
A fair value gap is 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)
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

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

A footprint chart is 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

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

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

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

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

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 quarterly theory

A scheme built on ICT teaching that divides the New York clock into nested quarters, from the year to the 22.5-minute micro quarter, casts each cycle's four quarters as accumulation, manipulation, distribution and continuation or reversal, and treats the price at which its second quarter opens as the true open.
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

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

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

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)
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.
Internal and external range liquidity

ICT's names for liquidity by its place relative to a stated dealing range: external range liquidity is the resting orders assumed beyond the range's swing high and swing low, and internal range liquidity is the unfilled imbalances inside it, most often fair value gaps. The teaching reads price as travelling between the two in turn.
Inverse fair value gap (IFVG)
An inverse fair value gap is 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)
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

Judas swing

A judas swing is 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

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)
Kill zones are 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

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

A liquidity heatmap is 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

A liquidity provider is 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

A liquidity sweep is 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

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.

M

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)
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

Market profile is 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)
A market structure shift is 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

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

New day opening gap (NDOG)
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)
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)
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

One shot one kill (OSOK)
An ICT name used for two selection rules: in the guides that teach it, a weekly plan of one trade in the direction of the weekly bias, taken after an early-week move against that bias turns; in the detector campaign's claims ledger, a selector that keeps the single highest-grade composite event of each day.
Opening range gap (ORG)
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)
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

An order block is 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

Order flow is 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)
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

PD array

A PD array, short for premium and discount array, is 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

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.
Power of three (PO3)
ICT's reading of one candle, most often a day, from its opening price: price holds near the open, runs beyond it against the direction the candle will close in, then turns, reaches the opposite extreme and closes toward it. The three phases are named accumulation, manipulation and distribution, or AMD.
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.
Price action

Price action is the reading of a chart from price itself — highs, lows, closes and their patterns — without indicators derived from it.
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.
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

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

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

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

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

A rejection block is 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

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

Risk of ruin is 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

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

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)
Smart money concepts is 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.
Smart money reversal (SMR)
ICT's name for a turn at a higher-timeframe array: inside a zone such as a fair value gap or order block drawn on a larger timeframe, price sweeps a prior high or low and then shifts structure the other way. The market maker model turns at one. The name is a label; the chart does not show who traded.
SMT divergence

SMT divergence is 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

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

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.
Supply and demand zones

Supply and demand zones are price areas where a trader reads a past imbalance between buying and selling and expects a reaction when price returns.
Support and resistance

Support and resistance are price levels where falling price has tended to stop and rising price has tended to stall.
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

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.
Time-Weighted Average Price (TWAP)
The time-weighted average price is 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.
Trading journal

A trading journal is a record of each trade — its entry, exit, size, reason and result — kept so that the trader's own behaviour can be reviewed.
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

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

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

A volume profile is 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

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.