Glossary
The words you meet in AlgoDesk and in this manual, in alphabetical order. Each entry says what the word means in AlgoDesk and links to the page that explains it.
A
| Term | Meaning |
|---|---|
| Account | Where orders go. Each connection gives you its accounts while it is connected: Local paper, Server paper or Broker. A connection that carries several accounts at its venue gives one Broker account per account, named as the venue names it. See Accounts. |
| After a reconnect | The setting in Options that decides what live strategies do when a lost connection comes back: Sync with the venue and carry on, or Stop the strategy. See Options. |
| Anchored | A walk-forward in which every in-sample part starts on the same day and grows from period to period. The opposite of rolling. See Walk-forward periods. |
| Apply to all instruments | The switch on a Backtester list. On, the list's strategy runs on every instrument in it with the same parameters. Off, each instrument runs a strategy of its own. See Setting up a backtest. |
| Ask, bid and spread | In the Book Trader, asks are the offers to sell, at the top of the ladder in red; bids are the offers to buy, at the bottom in green. The spread is the gap between the best ask and the best bid. See Book Trader. |
B
| Term | Meaning |
|---|---|
| Backtester | The window that runs a strategy over price history and shows what it would have traded. See Setting up a backtest. |
| Bar size | How much time each bar covers, such as 15 minutes (15m) or one day (1d). You choose it in Format in the Data series window. History is stored separately for each bar size. See Opening a chart. |
| Broker | The account name for your real account at a broker or exchange. Its orders cost real money. You get it from a connection whose Connection type is Real; Bybit and TopstepX also need your API key. A connection that carries several accounts at its venue gives you one Broker account per account. See Accounts. |
C
| Term | Meaning |
|---|---|
| Candidate | One of the parameter combinations an optimisation period keeps, best score first, as many as Keep best strategy allows. They are listed on the period's Best strategies tab. See Reading the results. |
| Catching up | What a live strategy does while its connection's line is down and AlgoDesk reconnects: it keeps calculating, but every order it tries is refused. The connection icon is yellow meanwhile, and the strategy's tooltip on the Strategies tab reads "Catching up: the connection is down". See Running strategies. |
| Chart Trader | The order panel on the right of a chart. It places orders in the chart's instrument and draws your working orders and position on the chart. On a futures chart its quantity starts at the contract's minimum lot, or 1. See Chart Trader. |
| Combination | One set of values for the parameters you optimise. The Default Optimizer tries every combination; Combination count: says how many that is in each period. See Setting up the Optimizer. |
| Commission | A script that works out what each trade costs. Backtest and optimisation results are after commission. Every new strategy starts with No commission. See Commissions. |
| Compile | Turning your scripts into code AlgoDesk can run. Compile after every change to a script; the cube on the toolbar shows whether the scripts are compiled. See Compiling. |
| Connection | AlgoDesk's link to a provider of prices or a place to trade: dxFeed, Interactive Brokers, Bybit, Tradovate or TopstepX, or a Static data connection holding bars you import. You add connections in Connections > Configure... and turn them on from the toolbar; AlgoDesk never connects by itself, except for Static data, which is always ready. See Setting up a connection. |
| Connection type | Real or Paper, a setting of an Interactive Brokers or Tradovate connection. Real gives you a Broker account; Paper gives you a Server paper account, your IB paper login or your Tradovate Demo account. Real and Paper keep separate price history. dxFeed, Bybit and TopstepX connections are always Real and do not show it. See The settings. |
| Continue Out of Sample Up to Current Date | An option in Tools > Options > Preferences. With it on, each period's selection keeps trading after its out-of-sample part, up to today. Those continued trades appear on the period's HSim tab and are never part of the walk-forward total. See Continuing to today. |
| Continuous future | A dxFeed instrument of type PRODUCT, such as /MES:XCME, that strings single contracts together and moves to the next contract as one nears expiry. AlgoDesk shows it as dxFeed sends it, unadjusted. See dxFeed. |
| Control Center | The window below the toolbar with the Accounts, Assets, Strategies, Positions, Orders and Log tabs. Closing it only hides it. See A tour of AlgoDesk. |
| Custom project | Your scripts folder, Documents\AlgoDesk\bin\Custom unless you set another Path to Custom Project in Options. The cube's tooltip reads, for example, "Custom project — compiled". See How scripts work. |
D
| Term | Meaning |
|---|---|
| Data series | What a chart shows: the instrument, its connection, the bar size and how much history to load. You set it in the Data series window. See Opening a chart. |
| Debug window | The window that shows the lines your scripts print. Open it with New > Debug. See How scripts work. |
| Default | Three things share the name: the built-in workspace that holds no windows (Workspaces); the folder that holds the built-in strategies and indicators (Built-in scripts); and the instrument lists a connection makes when it connects: two for Bybit, one each for Tradovate and TopstepX (Instrument lists). |
| Default Optimizer | The Optimizer's full search: it tries every combination of the values you set. The same setup on the same history always gives the same candidates. See Full and genetic search. |
| Book Trader | The window that shows the live order book of one instrument as a price ladder, with your working orders beside it. You place, move and cancel orders by clicking on the ladder. See Book Trader. |
| Drawdown | A fall of equity from a peak to a low. Max Drawdown counts closed trades only; Max Open Drawdown also counts open positions. See Backtest results. |
| DrawDown level | An Optimizer filter, an amount in your account currency. A combination whose largest open drawdown went deeper is dropped. 0 turns it off. See Filters and Keep best. |
E
| Term | Meaning |
|---|---|
| Emptied by the filters | The state of an optimisation period in which Min trades IS or DrawDown level removed every combination. The walk-forward total leaves the period out. See Period states. |
| Enabled | The switch that starts and stops a strategy on a chart, on the Strategies tab and in the chart's Strategies window. See Enable and disable. |
F
| Term | Meaning |
|---|---|
| Finishing on paper | What a strategy does when its history run ends with a position or working orders: it finishes them on a private paper book before it trades your account. Its row on the Strategies tab is amber meanwhile. See What happens when you enable it. |
| Fitness function | A script that gives each combination's in-sample result one score, so the Optimizer can rank them. You choose it in Optimize on. A higher score is better. See Fitness functions. |
| Free month | The first 30 days of a new account, with no card needed. Each computer gets one free month. See Your account and licence. |
| Full search | Trying every combination of the values you set, the whole grid. The Default Optimizer does this. |
G
| Term | Meaning |
|---|---|
| Genetic Optimizer | The Optimizer's guided search. It tests random combinations, then breeds new ones from the best and tests those, until the results stop improving or it reaches Iterations max. It can miss the best combination. See Full and genetic search. |
| Global Performance | Tools > Global Performance: results of everything AlgoDesk has recorded on your accounts, rebuilt from the filled orders, without commission. See Backtest results. |
H
| Term | Meaning |
|---|---|
| Hand-picked | An optimisation period whose selection is not rank 1, because you or Claude chose another candidate. The period list shows Hand-picked under the period's dates. A total with hand-picked periods is not a walk-forward result. See Reading the results. |
| History run | The first step when you enable a strategy on a chart: it works through the chart's history as in a backtest. Its fills are simulated and nothing is sent anywhere. See What happens when you enable it. |
| HSim | The tab of an optimisation period that shows its selection's continued trades, when the run had Continue Out of Sample on. See Continuing to today. |
I
| Term | Meaning |
|---|---|
| In-sample (IS) | The part of a walk-forward period in which the Optimizer searches for the best parameter values. See Walk-forward periods. |
| Indicator | A script that calculates values from the bars and draws them on a chart, over the bars or in a pane of its own. See Indicators. |
| Instrument | A market you have added to AlgoDesk from a connection, such as /MES:XCME on dxFeed or BTCUSDT on Bybit. AlgoDesk charts, backtests and trades only the instruments you have added. See Finding and adding instruments. |
| Instrument list | A named group of instruments of one type from one connection, kept under Tools > Instrument Lists. A Backtester's own lists are a different thing, though you can fill one from an instrument list. See Instrument lists. |
| Instrument map | A link between an instrument on one connection and the same instrument on another, so that you can watch prices from a data connection such as dxFeed and send orders to a broker. See Instrument map. |
K
| Term | Meaning |
|---|---|
| Keep best strategy | The Optimizer setting that says how many candidates each period keeps, ranked by the fitness function. It starts at 10. See Filters and Keep best. |
L
| Term | Meaning |
|---|---|
| Level 2 | Market depth: the size waiting at each price in the order book. The Book Trader needs it, and your data plan must include it for the market you open. See Book Trader. |
| Licence | What your plan at algo-desk.com allows. AlgoDesk checks it each time you sign in, and Help > About shows it. See Your account and licence. |
| Live | A strategy is live once its orders go to its account, after its history run. Claude's limits apply to a live chart: one whose connection is connected and gives you a Broker account, or whose strategy trades a Broker account on a connected connection. See Running a strategy live and What Claude will not do. |
| Live period | The last walk-forward period, made live with Last live period. It is searched in-sample only and has no out-of-sample result: its selection is the parameter set to trade next. It is not part of the walk-forward total. See Walk-forward periods. |
| Local paper | The practice account inside AlgoDesk that every connection except Static data has. Its orders fill against the connection's live prices and never reach your broker. A new strategy on a chart starts on its own connection's Local paper account; AlgoDesk never picks a Broker account for you. See Accounts. |
| Log | The Control Center tab where AlgoDesk, your connections and your scripts report what happens, also written to files in Documents\AlgoDesk\Log. See Troubleshooting. |
M
| Term | Meaning |
|---|---|
| Machine ID | The identity of your computer, worked out from its hardware. Your account runs on one Machine ID at a time. Help > About shows it. See Moving to another computer. |
| Mainnet and Testnet | The folders of stored price history: Mainnet for Real connections, Testnet for Paper ones. You see them in Options > Historical Data. See Historical data. |
| Market depth | See Level 2. |
| Matrix | An optimisation tab with one row per parameter and one column per period, showing the values each period's selection used. It shows the first 30 periods. See Reading the results. |
| Max Open Drawdown | The largest fall of equity including open positions, measured on the high and low of every bar. The Min Draw Down fitness function and the DrawDown level filter use it. See Max Open Drawdown. |
| Min trades IS | An Optimizer filter that drops combinations with fewer in-sample trades than this. 0 turns it off. See Filters and Keep best. |
| Multiplier | The value of a one-point move for one contract. A trade's profit is the price move times the quantity times the multiplier. See Instrument details. |
N
| Term | Meaning |
|---|---|
| Notice | A short message at the bottom-right corner of the screen, for example when an order is rejected or a strategy stops. It goes away by itself after a few seconds; click it to dismiss it sooner. See Notices. |
O
| Term | Meaning |
|---|---|
| Optimizer | The window that searches a strategy's parameters for the values that did best on one stretch of history, then tests them on the stretch that followed. See Setting up the Optimizer. |
| Order type | Market fills at the market. Limit waits at your price or better. Stop Market sends a market order when the market reaches the trigger price. Stop Limit sends a limit order then. See Chart Trader. |
| Out of sync | After a reconnect, the positions of the strategies on an instrument do not add up to the position your broker or exchange reports. Those strategies stop without sending anything, their rows turn red, and a notice "Out of sync with the venue on …" names them. See Running strategies. |
| Out-of-sample (OS) | The part of a walk-forward period that starts the day after the in-sample part. The best candidate trades it unchanged, on history the search never saw. See Walk-forward periods. |
P
| Term | Meaning |
|---|---|
| Paper | Practice trading. AlgoDesk has two kinds of paper account, Local paper and Server paper; Paper is also one of the two values of Connection type. |
| Period | One step of a walk-forward: an in-sample part and the out-of-sample part that follows it, listed as IS1 and OS1, IS2 and OS2 and so on. See Walk-forward periods. |
| Period constructor | The window that shows every walk-forward period on one timeline and builds rolling periods. See The Period constructor. |
| Preset | A set of settings saved under a name: an indicator's or strategy's parameters, an instrument list, or a whole Backtester or Optimizer setup. You reach presets by right-clicking and choosing Presets. See Presets. |
| Profit factor | Gross profit divided by gross loss. Above 1, the strategy made money; ∞ means it had no losing trades. See Backtest results. |
R
| Term | Meaning |
|---|---|
| Rank | A candidate's place in its period's list, by its fitness score. Rank 1, the highest score, is at the top and becomes the period's selection. See Reading the results. |
| Roll | The moment a continuous future moves from the expiring contract to the next. dxFeed decides when. Prices are not adjusted, so the chart can jump, and a position held across the roll books the jump as profit or loss. See Historical data. |
| Rolling | A walk-forward in which the in-sample part keeps its length and moves forward from period to period. The Period constructor builds rolling periods. See Walk-forward periods. |
| Root | Claude's word for a list row at the top of the Backtester's tree, with instruments under it. Claude asks you to name each root it sets up. See Claude and the Backtester. |
S
| Term | Meaning |
|---|---|
| Saved run | An optimisation's results kept with Save results, or kept automatically when Claude ran it. You open saved runs from the Database window. See Saved runs and PDF reports. |
| Script | A small C# program in your scripts folder: a strategy, an indicator, a commission or a fitness function. See How scripts work. |
| Seed | The number that starts the random draws of a Genetic Optimizer search. The same seed repeats the same search. See Repeat a genetic search. |
| Selection | The candidate whose results an optimisation period shows and whose out-of-sample trades go into the walk-forward total. After a run it is rank 1; clicking another candidate makes that one the selection. See The selection. |
| Server paper | Your Interactive Brokers paper account or your Tradovate Demo account. You get it from an Interactive Brokers or Tradovate connection whose Connection type is Paper. See Accounts. |
| Sharpe | Average monthly net profit divided by how much it varies from month to month, scaled to a year. Sortino is the same, but only losing months count as variation. See Backtest results. |
| Single contract | One futures contract with an expiry, such as /MESZ26:XCME on dxFeed (type FUTURE). Its history covers only its own life. See dxFeed. |
| Starting capital | The account size that percentage figures in results assume, set in Options > Preferences. It changes no figure in money. See Options. |
| Static data | A connection that holds price bars you import from files. It is always ready, has no live prices and takes no orders. See Static data. |
| Stop live strategies | The question AlgoDesk asks before it stops a strategy that has a position or working orders at its account: Close position, Cancel orders, keep position, Keep everything working or Don't stop. See Stop a strategy. |
| Strategy | A script that decides when to buy and sell and places the orders. It runs on a chart, in the Backtester and in the Optimizer. See How scripts work. |
T
| Term | Meaning |
|---|---|
| Tick size | The smallest price step of an instrument, the Price increments field. It sets how many decimals prices show, on the chart and in the Ruler and Risk Reward drawings. See Instrument details. |
| Time in Force | How long an order stays at your broker: GTC (good till cancelled), IOC (immediate or cancel) or FOK (fill or kill). Set in Chart Trader's Trading options. See Trading options. |
| Total | In the Optimizer, usually the walk-forward total. A period's Total tab is different: its selection's in-sample, out-of-sample and continued trades together. See The selection. |
| TWS and IB Gateway | Interactive Brokers' own programs. AlgoDesk reaches Interactive Brokers through one of them, logged in and running on your computer. See Interactive Brokers. |
| Type | The kind of instrument, as the provider sorts them: for example STOCK, FUTURE and PRODUCT on dxFeed, or SPOT and FUTURE on Bybit. You choose it before you search or pick an instrument. See Finding and adding instruments. |
W
| Term | Meaning |
|---|---|
| Walk-forward | Optimising a strategy on one stretch of history, trading the result on the stretch that follows, then moving forward and doing it again. See Walk-forward periods. |
| Walk-forward total | The out-of-sample trades of every period's selection joined into one result. It leaves out the live period and any period that failed, was emptied by the filters or was cancelled, and it never holds continued trades. See The walk-forward total. |
| Working order | An order waiting in the market, in the state Working. You can cancel it from the Orders tab, Chart Trader or the Book Trader. See Orders. |
| Workspace | A saved layout: your open charts, Book Traders, Backtesters and Optimizers, where each one sits and what it shows, and whether the Control Center is open. AlgoDesk opens the one you used last. See Workspaces. |