BackQuant Glossary
Taker
A trader who removes liquidity from the order book by hitting an existing bid or lifting an existing offer. Takers pay the spread and (typically) higher fees than makers. Aggressive taker flow is the input to CVD.
Related terms
Order Book
The list of all current resting buy and sell orders at every price level. Depth, imbalance, and refresh patterns are the core inputs to microstructure analysis. The order book tells you how much liquidity exists at each level before slippage.
Theta
The Greek measuring how much an option loses per day from time decay, all else equal. Theta is highest for at-the-money options near expiry and is the dominant Greek for options in their final 24–48 hours.
Trend
A persistent directional move with successive higher highs (uptrend) or lower lows (downtrend). Trends are most common in negative-gamma environments where dealer hedging amplifies moves rather than damping them.
TWAP
Time-Weighted Average Price. The average price of an asset over a defined time window, weighted equally across time intervals. Settlement on Deribit uses a TWAP of the index over the half hour before expiry to prevent last-second manipulation.
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