Core terminology

It is 10:46:40 ET (Eastern Time, New York; 21:46 ICT in Vietnam during US summer time) on 21 October 2026, inside the regular session (phiên chính, RTH, 09:30–16:00 ET). NQ, the E-mini Nasdaq-100 future, trades near 29,885. Within one millisecond the tape prints four buy trades at 29,885.25 and two sell trades at 29,885.00. Same instant, two prices, a quarter point apart.

Which one is “the price”? This lesson gives you the six words that make a quote screen readable: bid, ask, spread, tick, aggressor and R.

Key terms

Bid (giá mua cao nhất): the highest price at which a waiting buyer offers to buy right now Definition. Ask or offer (giá bán thấp nhất): the lowest price at which a waiting seller offers to sell. Spread (chênh lệch giá): ask minus bid Definition.

Tick (bước giá): the smallest price step a contract can move—0.25 index points for NQ, ES, MNQ and MES Definition.

Long (vị thế mua) means buying first to profit if price rises; short (vị thế bán) means selling first to profit if price falls Definition. A limit order (lệnh giới hạn) waits in the queue at your chosen price (passive); a market order (lệnh thị trường) trades immediately at the other side’s best waiting price Definition.

Aggressor (bên chủ động): the side that arrived with an order to trade now at the other side’s price. A buyer paying the ask “lifts the offer”; a seller accepting the bid “hits the bid” Definition.

Stop (lệnh dừng lỗ): an order that exits your position automatically if price reaches your loss limit. Slippage (trượt giá): getting a worse fill price than expected when an order executes Definition.

R (đơn vị rủi ro): the dollars you lose on one trade if your stop is hit (before slippage and fees), used as the unit for every result: a win of twice that amount is +2R Definition.

Term you need: delta. Delta is buyer-initiated volume minus seller-initiated volume, in a bar or at a price (Row Δ in the figure below; taught in M3.04).

Chart first: five seconds of real tape

How it works

The quote: two prices, not one

The exchange keeps resting limit orders on each side; the best of them form the quote. Here are eight prints from the first second of the scene above (starting at 10:46:40.143), from our lab’s NQ tick data:

Buyers traded at 29,885.25 and sellers at 29,885.00, so the trades imply a one-tick spread of 29,885.00 bid, 29,885.25 ask (our lab’s tick history stores trades without separate quote updates). Last is the most recent trade price; it bounces between bid and ask as the two sides take turns (bid–ask bounce), which is noise, not movement. Size is the number of contracts resting at the bid or ask.

Ticks, points and dollars

Four ticks make one point. The dollar value per tick is fixed by CME Definition:

In the five seconds above NQ moved 13 ticks: $65 per NQ contract, $6.50 per MNQ. Contract sizes, margin and dollar risk per stop are covered in M0.05.

The aggressor: who crossed the spread

Every trade has one passive limit order waiting in the queue and one aggressive order that crosses the spread to take it. Because every contract has one buyer and one seller, “more sellers than buyers” cannot explain a fall. A fall means sellers accepted lower and lower bids while buyers lowered their bids. The aggressor label tells you who paid for immediacy, nothing more (M0.03).

Volume and open interest

Volume (khối lượng) counts contracts traded in a period Definition. Open interest (hợp đồng mở) counts contracts still open at the end of the day, published by the exchange after the session. Rising open interest means both new longs and new shorts added positions.

Myth / hypothesis: “Price up with open interest up means fresh buyers are in control; price up with open interest down is only short covering and will fade.” Lore Widely taught; our lab has not tested it on NQ: not yet measured.

R: measuring risk in units of your stop

The distance from entry to stop, times the dollar value per point, times your contracts, is 1R Definition. A loss at the stop is −1R; a gain of three times that distance is +3R. R lets you compare 1 MNQ with 2 NQ and turns costs into a fraction: a one-tick spread on a 40-tick stop is 1/40 = 0.025R (see M6.08).

What the data says

Worked example: long 1 MNQ, in R

Historical NQ prints from our lab’s data, scaled to MNQ (illustrative fills, showing bookkeeping rather than a signal):

• Entry. At 10:46:40 ET you buy 1 MNQ at market, lifting the ask at 29,885.25.
• Stop. 29,875.25 (10 points = 40 ticks × $0.50 = $20 = 1R).
• Target. 2R above entry: 20 points, 29,905.25.
• Costs. The 1-tick entry spread ($0.50 = 0.025R) is already inside your 29,885.25 fill price; assumed round-trip commissions and fees of $1.50 take another 0.075R.
• Outcome. Price reached 29,905.75 at 10:47:46 without touching the stop: +$40.00 (+2R) from fills, or +$38.50 (+1.925R) after $1.50 fees.

The mirror and the failure

Short side. At 10:46:40 ET you sell 1 MNQ at market, hitting the bid at 29,885.00, with a stop at 29,895.00 (40 ticks = $20 = 1R) and a target at 29,865.00 (2R).

The failure. NQ traded 29,895.00 at 10:46:54, fourteen seconds later: −1R plus fees and any stop slippage. A second failure is setting 1R too tight: on a 2-point stop (8 ticks = $4 on MNQ), 1 tick of spread is 0.125R and $1.50 of fees is 0.375R before NQ even moves.

Do it on the platform

Prop-firm note. Evaluation accounts limit losses in dollars, per day and in total. Once each trade’s risk is written in R, you can count how many full losses those limits allow. The Prop Firm course covers the firm’s dated rules.

Common mistakes

Common mistake: Reading “more sellers than buyers” into a red bar or a fall. Every contract has one buyer and one seller; the aggressor share only says who crossed the spread, and in our lab’s NQ data it stayed near 50% even on a 5% down day.

Common mistake: Treating the measured 50/50 split as a signal in either direction. A session at 50.5% buyer-initiated is a description of what happened, not a forecast and not an edge.

Drill: label the tape

Open ATAS X in replay or live during the regular session and watch two minutes of the NQ or MNQ tape.

1. Write down ten consecutive prints: time, price, contracts, and the tape’s buy or sell colour.
2. From them, infer the bid and the ask at that moment, and the spread in ticks.
3. Pick an entry at the ask and a stop 30 ticks away. Write 1R in dollars for 1 MNQ and 1 NQ, and the spread as a fraction of R.

What we don’t know yet

• How often the NQ spread is wider than one tick, by time of day. Our lab’s historical ticks carry trades but no quotes: not yet measured.
• Whether the history feed’s aggressor side equals the exchange’s aggressor flag on every print: not yet checked.
• Whether the open-interest four-box reading adds anything on NQ: not yet measured.

Recap

• The quote has two prices: the bid (best waiting buyer) and the ask (best waiting seller); the spread is ask minus bid, and “last” bounces between them.
• One tick is 0.25 points: $5 on NQ, $0.50 on MNQ, $12.50 on ES, $1.25 on MES.
• The aggressor is the side that crossed the spread; every contract still has one buyer and one seller.
• On 60 NQ sessions in our lab, buyer-initiated volume stayed between 47.7% and 51.2%, even on a 5.2% down day.
• 1R is the loss at your stop; write results, spread and costs in R.

Further reading

• CME Group, E-mini Nasdaq-100 and Micro E-mini Nasdaq-100 contract specifications.
• Larry Harris (2003), Trading and Exchanges: Market Microstructure for Practitioners, Oxford University Press: orders, quotes and the spread.
• Lee and Ready (1991), “Inferring Trade Direction from Intraday Data”, Journal of Finance 46(2): classifying trades when no aggressor flag exists.
• Van K. Tharp (2007), Trade Your Way to Financial Freedom, 2nd ed., McGraw-Hill: R-multiples.
• Our lab: across 60 NQ regular sessions (17 Aug – 6 Nov 2026), buyer- and seller-initiated volume stayed between 47.7% and 51.2% (M0.07 compares the feed’s side label against the price-change tick rule).

Prerequisite: M0.01 What trading really is. Next: M0.03 Order types and order matching shows the queue behind the bid and the ask, and what decides which waiting order gets filled first.

Educational content only. Not financial advice. Futures trading involves substantial risk of loss. Not affiliated with Topstep; firm rules change; check the Topstep help center.