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퀀트 리서치 및 전략
Algorithmic Core: A holographic glossary mapping the interconnected terminology of high-frequency quantitative systems.
Core Components
Trading Entities
- Exchange - a platform for trading cryptocurrencies (e.g., Binance, Kraken)
- Market - a specific market on an exchange, such as futures or spot
- Pair - an abstract pair of traded assets, e.g., BTC/USDT, not tied to a specific exchange
- Instrument - a specific trading pair tied to a specific market (and therefore a specific exchange)
Analytical Components
- Portfolio - a virtual wallet with assets, tracks balance and positions
- Metric - a component for generating metrics. Example: difference between opening and closing prices
- Signal - a component for generating signals based on metrics. Example: if open > close, then buy; if open < close, then sell
Trading Components
- Strategy - takes a signal as input and outputs instructions for the bot
- Bot - code that knows how to trade based on a signal or without one
- Bot Instance - an instance of a bot that takes a strategy and portfolio as input and generates trading orders
Basic Definitions
Exchange
A platform for trading assets that enables buying and selling. Examples include "binance", "bybit", and "okx".
Market Type
Types of markets that can be represented on exchanges. Example: "spot" (spot market), "futures" (futures market).
Market
A specific type of market on an exchange, such as spot, futures, or margin trading. Example: "binance/spot"
Pair (Trading Pair)
A trading pair consists of two parts: baseId/quoteId
- baseId - base currency (what is bought/sold)
- quoteId - quote currency (in which the price is denominated)
Examples:
- BTC/USDT: baseId=BTC, quoteId=USDT (price in USDT)
- TON/BTC: baseId=TON, quoteId=BTC (price in BTC)
- LTC/BNB: baseId=LTC, quoteId=BNB (price in BNB)
For calculating wall volume in USDT:
- If quoteId is USDT - volume is calculated directly (price * amount)
- For any pair baseId/quoteId:
- Take bestBid from the baseId/USDT orderbook
- Volume in USDT = (price * amount) * bestBid_baseId_USDT
After calculating the volume in USDT, we can compare it with min_usdt to find significant walls.
Instrument
A specific trading pair tied to a market. Example: "BTC/USDT/binance/spot" (BTC/USDT on Binance Spot Market).
Portfolio
A virtual wallet containing assets that can be used for trading.
Metric
A component that generates metrics based on market data (e.g., the difference between opening and closing prices).
Signal
A signal is a discrete event or state that has:
- A clear start (timestampStart)
- A possible end (timestampEnd)
- Specific parameters
Examples of signals:
- Trading signal: "Buy BTC/USDT now at a price of 40000"
- Trend signal: "BTC/USDT is in a sideways movement from 12:00 to 14:00"
Important: do not confuse signals with metrics. A metric is a continuous series of data (e.g., a price chart or indicator), while a signal is a specific event or state at a particular moment or period of time.
Signals can:
- Be generated based on metric analysis
- Be converted into metrics for visualization
- Form a history for subsequent analysis
Strategy
Takes signals as input and outputs instructions for the trading bot.
Bot
Code that knows how to perform trading operations based on signals or other predefined logical rules.
Bot Instance
A running instance of a bot that generates trading orders based on a strategy and portfolio.
Density (alternative: Wall)
In the context of an orderbook, "density" or "wall" is the volume of orders at a specific price level.
Examples:
- Buy wall (bids density) - a large volume of buy orders at a certain price level. For example, if there are buy orders for BTC at a price of 40000 USDT with a total volume of 1000000 USDT, this is a large "wall" of buyers. To break through this wall downward (for the price to fall below 40000), one would need to sell BTC worth more than 1000000 USDT.
- Sell wall (asks density) - a large volume of sell orders at a certain price level.
Calculating the maximum wall:
- Take midPrice as the base price
- Define the search range: midPrice ± (midPrice * look_in_percent)
- Within this range, search for:
- For bids: the first order from midPrice downward where the volume in USDT > min_usdt
- For asks: the first order from midPrice upward where the volume in USDT > min_usdt
- For each wall found, record:
- The wall volume in USDT from the orderbook
- At what percentage from midPrice it is located (e.g.: -0.5% for bids or +0.7% for asks)
Notes
- One Exchange can have multiple Markets
- One Market can contain multiple Instruments
- One Pair can be represented on different Markets as different Instruments
- Signal uses Metric for market analysis
- Strategy uses Signal for decision making
- Bot Instance uses Strategy to generate specific trading actions
Metrics and Signals in Trading Systems
Metrics
A metric is a continuous series of data tied to a timeline (timeseries). Each metric point has a timestamp.
Types of metrics:
- Simple boolean metrics - buy/sell signals
[
[1623456789, true], # buy
[1623456790, false], # no signal
[1623456791, false], # no signal
[1623456792, true] # buy
]
- Numeric state metrics - e.g., market trend
[
[1623456789, 0], # flat
[1623456790, -1], # down trend
[1623456791, 1], # up trend
[1623456792, 0] # flat
]
- Complex metrics - e.g., OHLCV data
[
[1623456789, {open: 100, high: 105, low: 98, close: 103, volume: 1000}],
[1623456790, {open: 103, high: 107, low: 102, close: 106, volume: 1200}]
]
Signals
A signal is an event or state that has:
- A clear start (timestampStart)
- A possible end (timestampEnd)
- Specific parameters
Examples of signals:
- Trading signal
{
"id": "uuid-1",
"type": "trade",
"action": "buy", # buy now
"price": 100.50,
"timestampStart": 1623456789,
"active": true
}
- Trend signal
{
"id": "uuid-2",
"type": "trend",
"direction": "flat", # sideways trend
"timestampStart": 1623456789,
"timestampEnd": 1623456999,
"minMaxs": 3, # found 3 maximums
"minMins": 3, # found 3 minimums
"active": true
}
Relationship between metrics and signals
-
Metrics can be used to generate signals
- Analysis of OHLCV metrics can generate a trend signal
- Analysis of volume metrics can generate a signal about high activity
-
Signals can be converted into metrics for visualization
- A trend signal can be converted into a spline for display on a chart
- Trading signals can be converted into points on a chart
-
Signal history can form a metric
- A sequence of buy/sell signals forms a boolean metric
- A sequence of trend signals forms a market state metric
Trading Charts and Data Analysis
Candles and OHLCV
Candles (candlesticks) are a visualization tool that displays price movements over a specific period. Each candle contains OHLCV data:
- O (Open) - opening price of the period
- H (High) - maximum price reached during the period
- L (Low) - minimum price reached during the period
- C (Close) - closing price of the period
- V (Volume) - total trading volume during the period
Candles aggregate individual trades that occurred during a specific time interval into a single visual element, simplifying price movement analysis. The candle structure includes:
- Candle body - a rectangle showing the difference between opening and closing prices
- Color - typically green (or white) for bullish candles (close > open) and red for bearish candles (close < open)
- Shadows/Wicks - lines extending above and below the body, showing maximum and minimum prices
- Upper shadow - line from the top of the body to the maximum price
- Lower shadow - line from the bottom of the body to the minimum price
Timeframes
The time interval for which candles and OHLCV data are formed. Common timeframes include:
- m1, m5, m15, m30 - 1, 5, 15, 30 minutes
- h1, h4 - 1, 4 hours
- d1 - 1 day
- w1 - 1 week
- M1 - 1 month
Timeframes allow traders to view market data with different resolutions. Shorter timeframes (e.g., m1, m5) show more details but may contain more market noise, while longer timeframes (e.g., d1, w1, M1) display broader market trends.
Candlestick Patterns
Specific combinations of candles that may indicate potential trend reversals or continuation:
- Bullish Engulfing - a reversal pattern where a bullish candle completely engulfs the previous bearish candle
- Hammer - a potential signal for a downtrend reversal, characterized by a small body and a long lower shadow
- Doji - a candle with a very small body, indicating market indecision
Order Types and Positions
Order Types
- Market Order - an order to buy or sell an asset at the current market price, executed immediately
- Limit Order - an order to buy or sell an asset at a specified price or better
- Stop Order - an order that activates when a certain price is reached
- Stop-Limit Order - a combination of stop and limit orders
- Take Profit - an order to close a position with profit when a certain price is reached
- Stop Loss - an order to close a position with a loss to limit potential losses
- Trailing Stop - a dynamic stop loss that follows the price when it moves in a favorable direction
- OCO (One Cancels Other) - a pair of linked orders where execution of one automatically cancels the other
- Iceberg Order - a large order split into a series of smaller ones to minimize market impact
- Conditional Orders - orders that activate when certain conditions besides price are met
Positions
- Long Position - buying an asset with the expectation of its price increasing
- Short Position - selling an asset with the expectation of its price decreasing
- Position Size - the number of units of an asset in a position
- Margin - collateral required to open a position with leverage
- Leverage - the ratio between position size and a trader's own funds
Deal
A Deal is an aggregated entity that combines trades, open positions, and open orders. If only trades remain in a deal (with no open positions or orders), such a deal is considered completed/closed.
Key parameters tracked for each deal:
- Deal ID — unique identifier
- Open Time — date and time of the first trade within the deal
- Close Time — date and time of the last trade within the deal (if the deal is closed)
- Holding Period — duration of the deal (from opening to closing)
- Status — open / closed / partially closed / canceled
- Deal Type — long / short / arbitrage / spread / other
- Strategy — which bot initiated the deal
- User — which user initiated the deal
- Asset(s) — symbol(s) of traded instruments (e.g., BTC/USDT)
- List of trades, positions, and orders — all trades, positions, and orders included in the deal (including canceled ones)
Financial parameters:
- Input — amount of invested funds (in USDT and base currency)
- Output — amount of withdrawn funds (in USDT and base currency)
- Realized PnL
- In absolute terms (USDT, BTC, etc.)
- In percentage (relative to input)
- Unrealized PnL
- In absolute terms (USDT, BTC, etc.)
- In percentage (relative to input)
- Estimated at current market price
- Expected PnL
- Projected final profit/loss (e.g., if there are open positions/orders)
- Final PnL
- Final profit/loss after the deal is fully closed
- Commissions
- Total commissions (for each currency)
- As a percentage of turnover
- Slippage
- Difference between expected and actual execution price
- Turnover
- Total buy/sell volume within the deal
- ROI (Return on Investment)
- Ratio of profit to invested funds
- Maximum Drawdown
- Maximum decrease in deal value relative to its peak
Additional parameters:
- Comment — free-form notes
- Tags — for filtering and analytics
- Related deals — e.g., if part of a strategy or series of deals
- Platform/Broker — where the deal was executed
Technical Analysis Indicators
- Moving Average - an indicator that smooths price fluctuations to identify trends
- RSI (Relative Strength Index) - an oscillator measuring the speed and change of price movements
- MACD (Moving Average Convergence/Divergence) - an indicator showing the relationship between two moving averages
- Bollinger Bands - a volatility indicator consisting of a moving average and two standard deviations
- Volume Indicators - OBV (On-Balance Volume), Volume Profile, CVD (Cumulative Volume Delta)
- Momentum Indicators - Momentum, Rate of Change (ROC)
- Fibonacci Levels - a technical analysis tool based on Fibonacci numbers
- Elliott Waves - a theory of market cycle analysis through wave patterns
- Harmonic Patterns - geometric price patterns based on Fibonacci numbers
Market Analysis Types
- Technical Analysis - a method of forecasting future price movements based on studying past price changes and trading volumes. Uses charts, patterns, indicators.
- Fundamental Analysis - a method of assessing an asset's intrinsic (fair) value by examining economic, financial, and other qualitative and quantitative factors. In cryptocurrencies, this may include analyzing the project, team, technology, tokenomics, community, and overall market conditions.
- Sentimental Analysis - the assessment of the overall mood or attitude of market participants towards a specific asset or the market as a whole. Sources can include social media, news articles, forums, and surveys. Helps to understand if the market is "bullish" or "bearish" from a crowd psychology perspective.
Market Concepts
Market Participants
- Market Maker - a market participant who provides liquidity by simultaneously placing buy and sell orders. Main functions:
- Providing market liquidity
- Narrowing the spread between buy and sell prices
- Stabilizing the market during periods of volatility
- Generating profit primarily from the spread
- Balancing the orderbook and maintaining market depth
- Market Manipulator - a market participant who deliberately influences an asset's price to profit from price changes. Main strategies:
- Self-Trading - creating an illusion of activity through transactions between related addresses; used to trade against copy traders (forcing them to copy losing trades)
- Price-Setting - placing large orders without intending to fully execute them to create a false impression of supply/demand
- Pump-and-Dump - sequential accumulation of tokens, artificial price increase, then mass selling at an inflated price
- Spoofing - placing and quickly canceling large orders to create a false impression of market movement
- Washing - creating the appearance of trading activity through self-deals without an actual change in ownership
- Maker - a trader who places limit orders, thereby adding liquidity to the orderbook. Usually receives lower fees on exchanges.
- Taker - a trader who executes existing orders in the book, thereby removing liquidity from the market. Usually pays higher fees.
- Institutional Trader - a financial organization (bank, hedge fund, investment fund) trading in large volumes. Has significant resources, information, and can influence the market.
- Retail Trader - an individual investor trading in relatively small volumes. Usually has limited resources and information.
- Arbitrageur - a market participant who profits from price differences of the same asset on different markets or exchanges. Contributes to price efficiency.
- Scalper - a trader who makes many short-term trades to get small profits from minor price movements. Often uses technical analysis and automated systems.
- Whale - a market participant with extremely large funds who can significantly influence the price of an asset with their operations.
Liquidity and Volume
- Liquidity - a measure of how easily an asset can be bought or sold without significantly affecting its price
- Volume - the number of units of an asset traded during a specific period
- Market Depth - the market's ability to absorb large orders without significant price changes
Price Levels
- Support - a price level where demand is strong enough to prevent further price decline
- Resistance - a price level where supply is strong enough to prevent further price increases
- Price Gap - a sharp price change between two consecutive periods when there is no trading between them
Volatility and Trends
- Volatility - a measure of an asset's price fluctuations
- Trend - the general direction of an asset's price movement:
- Uptrend - a series of rising highs and lows
- Downtrend - a series of falling highs and lows
- Sideways/Flat Trend - price moves in a horizontal range
Spreads and Quotes
- Bid - the maximum price at which a trader is willing to buy an asset
- Ask/Offer - the minimum price at which a trader is willing to sell an asset
- Spread - the difference between bid and ask prices
- Quote - the current price of an asset on an exchange
- Mid Price - the average value between bid and ask prices
Risk Management
- Risk-Reward Ratio - the ratio of potential profit to potential loss in a trade
- Drawdown - the decline in portfolio value from peak to trough before a new peak
- Position Sizing - determining the optimal number of asset units to trade considering risk
- Diversification - distributing capital among various assets to reduce risk
- Value at Risk (VaR) - a statistical measure of the maximum potential loss of a portfolio over a specific period with a given confidence level (e.g., a 95% VaR of 1000 within one day).
- Hedging - using financial instruments or market strategies to reduce the risk of adverse price movements in an asset. An example is opening a short futures position to hedge a long spot asset position.
- Stress Testing - an analysis method where a portfolio or strategy is evaluated under hypothetical extreme but plausible market scenarios (e.g., a sharp market crash, liquidity crisis) to understand potential losses and resilience.
Technical Aspects of Trading Systems
API and Integration
- API (Application Programming Interface) - an interface allowing programmatic interaction with an exchange
- Websocket - a protocol for receiving real-time data from an exchange
- Rate Limit - the maximum number of API requests to an exchange over a specific period
Backtesting and Optimization
- Backtesting - the process of testing a trading strategy on historical data
- Optimization - the process of adjusting strategy parameters to improve results
- Overfitting - excessive optimization of a strategy to historical data, which may lead to poor results in the real market
Algorithmic Trading
- Algorithmic Trading - using computer algorithms to automatically execute trading operations
- High-Frequency Trading - algorithmic trading with very high speed and a large number of trades
- Latency - the time between sending an order and its execution on an exchange
Trading Types
- Arbitrage - a strategy using price differences of the same asset on different exchanges or markets to obtain risk-free profit
- Scalping - a short-term trading strategy aimed at making multiple small profits over short time intervals
- Swing Trading - a medium-term strategy where positions are held from several days to several weeks
- Position Trading - a long-term strategy where positions are held from several weeks to several months or even years
- Trend Trading - using trends and recurring movements on price charts to analyze the general direction of assets
- Day Trading - buying and selling assets within one trading day, positions are not carried over to the next day
- Execution Algorithms - special algorithms for optimal execution of large orders (TWAP, VWAP, Iceberg)
Derivatives Trading
Futures Contracts
- Perpetual Futures - a type of futures contract without an expiration date, which mimics the spot market but with the possibility of using leverage. The price is pegged to the spot price index through a funding rate mechanism.
- Funding Rate - regular payments between holders of long and short positions in perpetual futures. If the rate is positive, longs pay shorts; if negative, shorts pay longs. This helps keep the futures price close to the spot price.
- Initial Margin - the minimum amount of funds a trader must deposit to open a leveraged position. Calculated as a percentage of the total position size.
- Maintenance Margin - the minimum margin level that must be maintained in an account after opening a position. If the account balance falls below this level, a margin call or liquidation occurs.
- Liquidation - the forced closure of a trader's position by the exchange when their margin falls below the maintenance margin level. This is done to prevent further losses that could exceed the trader's account funds.
Options Contracts
- Call Option - a contract giving the buyer the right (but not the obligation) to buy the underlying asset at a specified price (strike price) within a certain period or on a specific date (expiration date).
- Put Option - a contract giving the buyer the right (but not the obligation) to sell the underlying asset at a specified price (strike price) within a certain period or on a specific date (expiration date).
- Strike Price - the price at which the option holder can buy (for a call option) or sell (for a put option) the underlying asset.
- Expiration Date - the date after which the option contract becomes invalid.
- Greeks - a set of metrics used to measure various aspects of an option position's risk:
- Delta - measures the sensitivity of an option's price to a $1 change in the price of the underlying asset.
- Gamma - measures the rate of change of an option's delta as the price of the underlying asset changes.
- Theta - measures the decrease in an option's value over time (time decay).
- Vega - measures the sensitivity of an option's price to changes in the implied volatility of the underlying asset.
Market Microstructure Analysis
- Order Flow - analysis of the sequence of orders entering the market
- Orderbook Imbalance - the ratio of volumes on the buy and sell sides
- Market Impact - price change resulting from the execution of a large order
- Cluster Analysis - studying trading volumes at different price levels
Risk Management and Trading Psychology
- Expected Return - the mathematical expectation of a trading strategy's result
- Maximum Drawdown - the largest percentage decrease in capital from peak to trough
- Sharpe Ratio - a measure of investment efficiency considering risk
- Sortino Ratio - a risk-adjusted return ratio that considers drawdowns
- Alpha Indicator - a measure of trading strategy effectiveness
- Beta Indicator - a measure of trading strategy sensitivity to a market index
- Calmar Ratio - the ratio of profit to maximum drawdown
- Kelly Criterion - the optimal proportion of capital for trading
- Cognitive Biases - psychological biases affecting trading decisions. Examples:
- FOMO (Fear Of Missing Out) - an irrational fear of missing out on a potentially profitable opportunity, often leading to impulsive and ill-considered trades at price peaks.
- FUD (Fear, Uncertainty, and Doubt) - the spread of negative, often unconfirmed information to cause panic and lower an asset's price for subsequent purchase at a lower price or to discredit a competitor.
- Confirmation Bias - the tendency to search for, interpret, favor, and recall information in a way that confirms or supports one's preexisting beliefs or hypotheses.
- Overconfidence - a cognitive bias in which a person's subjective confidence in their judgments and abilities is greater than their objective accuracy, which can lead to taking excessive risks.
- Trading Journal - a systematic record of all trades and their analysis
Technical Aspects and Infrastructure
- Colocation - placing trading servers in close proximity to exchange servers
- Latency Arbitrage - utilizing the time difference in receiving market data
- Network Infrastructure - optimizing network connections to minimize delays
- Monitoring Systems - tools for tracking the operation of trading algorithms in real-time
Cryptocurrency-Specific Terms
- DEX (Decentralized Exchange) - a decentralized exchange operating without a central intermediary
- AMM (Automated Market Maker) - an automated market maker used in DEXs
- Liquidity Pool - a pool of liquidity in decentralized protocols
- Impermanent Loss - temporary value loss when providing liquidity in AMMs
DeFi (Decentralized Finance)
- Yield Farming - the process of earning rewards (often in the form of additional tokens) for providing liquidity or staking cryptocurrencies in DeFi protocols.
- Staking - the process of holding cryptocurrency in a wallet or on a special platform to support blockchain operations (e.g., validating transactions in Proof-of-Stake networks) and earn rewards.
- Liquidity Mining - a type of yield farming where users receive protocol governance tokens in exchange for providing liquidity.
- Wrapped Assets - tokens that represent an asset from another blockchain. For example, Wrapped Bitcoin (wBTC) is an ERC-20 token whose value is pegged to Bitcoin, allowing BTC to be used in the Ethereum DeFi ecosystem.
- Oracles - services that supply smart contracts with real-world data (e.g., currency exchange rates, sports event outcomes) necessary for their correct operation.
- Flash Loans - a special type of uncollateralized loans in DeFi that must be borrowed and repaid within a single blockchain transaction. Used for arbitrage, refinancing, and other complex operations.
- MEV (Miner Extractable Value / Maximum Extractable Value) - the maximum value that miners (in Proof-of-Work networks) or validators (in Proof-of-Stake networks) can extract from block production beyond the standard block reward and transaction fees, by including, excluding, or reordering transactions within a block.
Tokenomics
- Minting - the process of creating new tokens. This can occur according to a predefined algorithm (e.g., in Proof-of-Stake during staking) or by the decision of the project team.
- Vesting - the process of gradually unlocking tokens distributed to the project team, advisors, or early investors. Usually occurs on a specific schedule to prevent a sharp drop in token price.
- Token Burn - the process of permanently removing a certain number of tokens from circulation. Used to reduce the total supply of tokens, which can potentially increase their value.
Citation
@software{soloviov2025tradingterminology, author = {Soloviov, Eugen}, title = {Trading System Terminology Dictionary}, year = {2025}, url = {https://marketmaker.cc/en/blog/post/trading-terminology}, version = {0.1.0}, description = {A comprehensive dictionary of trading system terms: from exchanges and pairs to metrics, signals, and risk management. Essential reference for algorithmic trading and research.} }