We introduce a new measure notion on small complexity classes (called F-measure), based on martingale families, that gets rid of some drawbacks of previous measure notions: it can be used to define dimension because martingale families can make money on all strings, and it yields random sequences with an equal frequency of 0’s and 1’s. On larger complexity classes ( and above), F-measure is equivalent to Lutz resource-bounded measure. As applications to F-measure, we answer a question raised in [E. Allender, M. Strauss, Measure on small complexity classes, with application for BPP, in: Proc. of the 35th Ann. IEEE Symp. on Found. of Comp. Sci., 1994, pp. 807–818] by improving their result to: for almost every language A decidable in subexponential time, . We show that almost all languages in  do not have small non-uniform complexity. We compare F-measure to previous notions and prove that martingale families are strictly stronger than Γ-measure [E. Allender, M. Strauss, Measure on small complexity classes, with application for BPP, in: Proc. of the 35th Ann. IEEE Symp. on Found. of Comp. Sci., 1994, pp. 807–818], we also discuss the limitations of martingale families concerning finite unions. We observe that all classes closed under polynomial many-one reductions have measure zero in  iff they have measure zero in . We use martingale families to introduce a natural generalization of Lutz resource-bounded dimension [J.H. Lutz, Dimension in complexity classes, in: Proceedings of the 15th Annual IEEE Conference on Computational Complexity, 2000, pp. 158–169] on , which meets the intuition behind Lutz’s notion. We show that -dimension lies between finite-state dimension and dimension on . We prove an analogue of a Theorem of Eggleston in , i.e. the class of languages whose characteristic sequence contains 1’s with frequency α, has dimension the Shannon entropy of α in .