Glosario
Glosario de trading algorítmico
67+ términos definidos en inglés sencillo. Se actualiza a medida que aparecen nuevos términos en las conversaciones con clientes.
A
- Algorithmic trading
- The use of computer programs to execute trades automatically based on predefined rules, without continuous human intervention. Also called algo trading or automated trading.
- Alpha
- The portion of a strategy's return that exceeds a relevant benchmark, attributable to the strategy itself rather than market exposure.
- Arbitrage
- Exploiting a price discrepancy of the same or related instruments across venues, instruments or time horizons, ideally with bounded risk.
- Ask
- The lowest price at which a seller is currently willing to sell an instrument. Also called the offer.
B
- Backtest
- The process of testing a trading strategy on historical data to estimate how it would have performed. Backtests can be misleading because of overfitting, survivorship bias and unrealistic slippage assumptions.
- Basis point
- One hundredth of a percentage point. 25 basis points = 0.25%.
- Beta
- The sensitivity of an instrument's returns to a benchmark's returns. Beta of 1.0 means the asset moves one-for-one with the benchmark.
- Bid
- The highest price at which a buyer is currently willing to buy an instrument.
- Bid-ask spread
- The difference between the best bid and best ask. The spread is the immediate cost of crossing the book.
C
- Candlestick
- A chart symbol that encodes open, high, low and close prices for a fixed time interval. Used for visual pattern reading and as feature input for ML models.
- CFD
- Contract for difference. A derivative that pays the difference between entry and exit prices of an underlying asset. Banned for retail use in several jurisdictions.
D
- Dark pool
- A private trading venue where orders are not displayed before execution, typically used by institutional desks to reduce market impact.
- Drawdown
- The percentage decline from a strategy's peak equity to a subsequent trough. Max drawdown is the worst observed decline.
E
- EA
- Expert Advisor. A trading bot written in MQL5 that runs inside MetaTrader 5 and executes orders automatically based on the strategy logic.
- Equity curve
- The chart of a strategy's portfolio value over time. Read alongside drawdown to assess steadiness.
- ETF
- Exchange-traded fund. A pooled investment vehicle that trades like a stock and typically tracks an index, sector or basket of assets.
- Expectancy
- Average expected profit or loss per trade for a strategy, weighted by win rate and average win/loss size.
F
- FIX protocol
- Financial Information eXchange. The standard electronic messaging protocol for order routing and trade reporting between brokers, exchanges and institutional clients. Versions 4.2 and 4.4 are most common.
- Forex
- The market for currency trading, also called FX. Quotes are pairs like EUR/USD; spreads are typically expressed in pips.
- Funding rate
- Periodic payment between long and short holders of a perpetual futures contract that tethers its price to the underlying spot price.
- Futures
- A standardised contract obliging the holder to buy or sell an asset at a predetermined price and date. Traded on regulated exchanges with daily mark-to-market settlement.
H
- Hedge
- A position taken to offset risk in another position. Hedges reduce exposure but also typically cap upside.
- HFT
- High-frequency trading. Trading strategies that rely on very low latency, high message rates and short holding periods, often making millions of small trades per day.
- HMM
- Hidden Markov Model. A probabilistic model that infers unobserved (hidden) market regimes from observed price or feature series. Used for regime classification and signal gating.
I
- ib_insync
- Python wrapper around the Interactive Brokers TWS / Gateway API that exposes synchronous and asynchronous interfaces. Popular for IBKR bots.
- ITCH protocol
- A binary market-data protocol used by exchanges (notably Nasdaq) to broadcast order-book updates. Lower overhead than FIX and used where latency matters.
K
- Kelly criterion
- A formula for position sizing that maximises long-run growth given a known edge and odds. Many practitioners use a fraction of full Kelly to reduce drawdown.
L
- Latency
- The time elapsed between an event and the system's response. In trading, latency is measured end-to-end (market-data tick → decision → order ack).
- LightGBM
- Gradient-boosted decision-tree library that is popular for tabular features and large datasets. Common choice for trading signal classifiers.
- Limit order
- An order to buy or sell at a specified price or better. Sits passively in the book until matched or cancelled.
- Liquidity
- The depth of buy and sell interest available at or near current prices. Liquid markets allow large orders to fill with low slippage.
- Long
- Holding an asset expecting its price to rise. Opposite of short.
- Lot
- A standardised quantity of a financial instrument. In forex, one standard lot = 100,000 units of the base currency.
M
- MACD
- Moving Average Convergence Divergence. A momentum indicator computed from short- and long-term exponential moving averages and their difference.
- Margin
- Collateral required to open or maintain a leveraged position. Margin calls happen when collateral falls below the maintenance threshold.
- Market maker
- A participant that continuously quotes both bids and offers, profiting from the spread while managing inventory risk.
- Market order
- An order to buy or sell immediately at the best available price. Fills are fast but exposed to slippage.
- MetaTrader
- A retail trading platform suite (MT4 and MT5) widely used by forex and CFD brokers. Hosts Expert Advisors written in MQL4 / MQL5.
- MFE / MAE
- Maximum Favourable Excursion and Maximum Adverse Excursion. Per-trade measures of best unrealised profit and worst unrealised drawdown, used for stop and target tuning.
- MQL5
- Programming language used by MetaTrader 5 for Expert Advisors, custom indicators and scripts. C-like syntax with a built-in trading API.
N
- NautilusTrader
- Open-source, Rust-core trading engine with Python bindings designed for low-latency multi-venue execution. Common choice for institutional and crypto market-making builds.
- NinjaTrader
- A trading and charting platform popular for US futures. Strategies are written in NinjaScript (C#) and run inside NinjaTrader 8.
O
- OMS
- Order Management System. The component responsible for the order lifecycle: creation, routing, modification, fill reporting and audit.
- Order book
- The list of outstanding buy and sell orders for an instrument, organised by price level. Top of book is the best bid / best ask.
- OTC
- Over-the-counter. Trades negotiated bilaterally rather than executed on a centralised exchange.
P
- Paper trading
- Simulated trading using live market data but no real money. The stage between backtesting and live deployment.
- Pine Script
- TradingView's domain-specific language for custom indicators and strategies. Version 6 is the current generation.
- Pip
- The smallest standard price move in a forex pair. For most pairs one pip = 0.0001 of the quote currency.
- Prop firm
- Proprietary trading firm. A company that trades its own capital, often via traders who pass an evaluation challenge.
- Python
- General-purpose programming language widely used in quantitative research and trading, especially with ib_insync, NautilusTrader and ML libraries.
Q
- Quant
- Quantitative analyst or quantitative developer. A practitioner who designs and implements mathematical or statistical trading strategies.
- QuantConnect
- A cloud-based quantitative research and live-trading platform built on the open-source Lean engine. Supports Python and C#.
R
- Regime
- A market state defined by characteristic volatility, trend or correlation behaviour. Regime detection (often via HMM or clustering) gates strategies that work only in specific environments.
- RSI
- Relative Strength Index. A momentum oscillator that ranges 0–100, measuring the speed and change of recent price moves.
S
- Short
- Holding a position that profits when the asset's price falls, typically by borrowing the asset and selling it with the intent to repurchase later.
- Slippage
- The difference between expected and actual execution price. Slippage is a function of liquidity, order size and speed.
- Spread
- See bid-ask spread. Also used to describe the price difference between two related instruments traded as a pair.
- Stop loss
- An order that closes a position when price hits a specified adverse level, capping the loss on the trade.
T
- Take profit
- An order that closes a position at a specified favourable level, locking in the gain.
- Tick
- The smallest allowable price increment for an instrument, or a single market-data update.
- TradingView
- A web-based charting and social platform. Hosts Pine Script strategies and can route alerts to webhooks that execute on a broker.
- Trailing stop
- A stop order whose level follows price by a fixed distance, locking in gains while leaving room to ride further moves.
- TWAP
- Time-Weighted Average Price. An execution algorithm that slices an order evenly across a time window, regardless of volume.
V
- VWAP
- Volume-Weighted Average Price. A benchmark and execution algorithm that slices an order to match the day's intraday volume distribution.
W
- Walk-forward analysis
- A robustness check where a strategy is repeatedly re-fitted on a rolling in-sample window and tested on the following out-of-sample window. Reduces overfitting risk versus a single backtest.
X
- XGBoost
- Open-source gradient-boosted decision-tree library widely used for trading signal classification and regression on tabular features.