Motivation – Despite the intersection between naturalistic decision making (NDM) and the environments in which day traders operate, little research has applied NDM theory and methods to the study of day trading practices. Research approach – In-depth interviews using applied cognitive task analysis (ACTA) were conducted with eight UK-based day traders. Findings – Nine cognitively complex elements of expertise were identified, highlighting the inextricable link between day traders’ cognition, the trading floor in which they operate and computer technology with which they interact. Research limitations/Implications – Despite limitations associated with the generalisability of findings, it is hoped the research will demonstrate the utility of applying qualitative methods such as ACTA to the field of behavioural finance. Originality/Value – This work is original in its application of a ‘naturalistic’ mode of enquiry and macrocognitive theory to what has been coined a microcognitive domain. Take away message – ‘Interactional expertise’ is a useful concept for understanding day traders’ decision-making.