Market Microstructure

How orders interact with the order book and produce price.

Difficulty advanced

Reading order

1. Order Book Dynamics — depth, imbalance, queue position
2. Tick Data Analysis — trades, quotes, sequencing
3. High-Frequency Data — handling, storage, aggregation
4. Price Impact — square-root law, temporary vs permanent
5. Exchange Protocols — FIX, ITCH, OUCH
6. Dark Pools — off-exchange venues
7. Latency Arbitrage — speed-driven strategies

What you should walk away with

• A mental model of the limit-order book and what each level represents.
• An understanding of why your fill price differs from the screen price.
• Awareness of the engineering constraints that shape modern liquidity.

Next section

Asset Classes →