The market data glossary every Indian trader should know

Every field has a vocabulary that insiders use without explaining. Trading has more than most, and a lot of it is used loosely even by people who should know better. This is the working set — the forty or so terms you will actually meet, in roughly the order you will meet them.

Terms about the price itself

LTP — last traded price. The price at which the most recent trade executed. Not the price you will get; simply the price somebody else just got. On an illiquid stock the LTP might be twenty minutes old.

Bid. The highest price a buyer is currently willing to pay. If you sell right now at market, this is roughly what you receive.

Ask (or offer). The lowest price a seller is currently willing to accept. Buy at market and this is roughly what you pay.

Spread. The gap between bid and ask. It is a cost you pay on every round trip whether you notice it or not. A two-paisa spread on a liquid future is trivial; a two-rupee spread on a thin stock will quietly eat a strategy alive.

Market depth (or order book). The queue of resting orders at each price level on both sides. Depth tells you not just the best price but how much is available before the price moves.

OHLC. Open, high, low, close — the four prices that define a candle over any period.

Tick. Confusingly, two things. A single executed trade, or the minimum price increment of a contract. Context usually decides which.

Circuit limit (or price band). The maximum a security may move in a session before trading halts. Circuits exist to stop panics compounding, and they are the reason a stock can be “locked” with no trading at all.

Terms about activity

Volume. Quantity traded over a period. The single most useful number after price, and the one most beginners ignore. A move on thin volume and the same move on heavy volume are different events.

Cumulative volume. Total traded so far today. Most Indian feeds deliver this rather than per-trade size, so you subtract consecutive values to get individual trade quantity. Getting this wrong produces analysis that looks plausible and is wrong.

Open interest (OI). For futures and options: how many contracts are currently open, not yet closed or expired. Unlike volume, it does not reset daily. It is the best available proxy for whether money is entering or leaving a position.

Delivery volume. In the cash segment, the portion of traded volume actually taken to delivery rather than squared off intraday. A high delivery percentage suggests genuine investment rather than day trading.

VWAP — volume weighted average price. The average price of the day weighted by volume at each level. Institutions are frequently measured against VWAP, which is why price often reacts around it.

Terms about derivatives

Futures. An agreement to buy or sell at a set price on a set date. In India, index and stock futures dominate volume.

Lot size. Derivatives trade in fixed quantities, not single units. The exchange sets and periodically revises this.

Expiry. The date a contract ceases to exist. India runs weekly index expiries and monthly stock expiries, which makes expiry behaviour a recurring feature rather than an occasional event.

Rollover. Closing a position in the expiring contract and opening the equivalent in the next one. Rollover percentage is watched as a sentiment indicator.

Continuous contract. A synthetic series that stitches successive futures contracts into one long history, so you can chart years rather than weeks. How the joins are handled — and whether prices are adjusted at each roll — changes what your backtest sees.

Strike price. The price at which an option may be exercised.

Call and put. The right to buy, and the right to sell, respectively.

Premium. What the option costs. It is not the strike; it is the price of the right.

Intrinsic and time value. Premium splits into the part that would be worth something if exercised now (intrinsic) and the part that is purely the value of remaining time. Time value decays to zero at expiry, always.

ITM, ATM, OTM. In, at, or out of the money — whether the strike is favourable, level with, or unfavourable versus the current price.

The Greeks

Option prices move for several reasons at once. The Greeks separate those reasons.

Delta. How much the option price moves per one-point move in the underlying. Also loosely read as the probability of finishing in the money.

Gamma. How fast delta itself changes. High gamma means your exposure is shifting quickly beneath you — the reason near-expiry positions can feel unstable.

Theta. Time decay. What the position loses per day simply from time passing.

Vega. Sensitivity to changes in implied volatility.

Implied volatility (IV). The volatility the market's pricing implies. Not a forecast, not history — a number derived from what people are currently paying.

Terms about the session

Pre-open. The call auction before continuous trading, where a single opening price is discovered.

Call auction. A mechanism that collects orders and matches them all at one price, rather than continuously. Used for the pre-open and for illiquid securities.

Closing price. Not the last trade — a weighted average of trades in the final window. This is why the official close often differs from the close of your last candle. Both are correct; they measure different things.

Settlement price. The price used to settle derivative contracts. It need not equal the closing price of the underlying.

Muhurat trading. A short ceremonial session on Diwali, on a day that is otherwise a holiday.

Terms about the data itself

Real time. Delivered as it happens. Worth asking what a vendor means by it — some feeds are “real time” with a snapshot every few seconds, which is a different product from tick by tick.

Snapshot. A periodic picture rather than every event. Cheaper, lighter, and unusable for volume-at-price work.

Backfill. History delivered on connection, so your chart has a past as soon as it opens.

Reprint or restatement. When historical values change after the fact. A feed where closed candles can change later makes reproducible backtesting impossible.

Corporate action adjustment. Restating historical prices after a split, bonus or dividend so the series remains comparable. Whether adjustment reaches your intraday data as well as the daily series is a question worth asking explicitly.

Symbol format. The convention a vendor uses to name instruments. Sounds trivial until an expiry format changes and every watchlist breaks at once.

None of this makes anyone a better trader by itself. But a great deal of bad analysis comes from using one of these words to mean something slightly different from what the exchange means by it, and that is a cheap mistake to stop making.