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Market Microstructure

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Category – Market Microstructure

Market microstructure is the study of how markets operate and the mechanisms through which trades occur, including order types, execution speed, and price formation. In trading, market microstructure influences the efficiency and transparency of markets. Understanding microstructure helps traders optimize order execution, avoid slippage, and minimize transaction costs. Factors like liquidity, bid-ask spreads, and market depth are essential components of microstructure analysis, which aids in improving trading strategies and market interactions.

VWAP Made Simple: A Fair-Price Guide for Better Entries and Exits

VWAP is just the average price weighted by volume. Use it to pick direction, buy pullbacks instead of chasing, and place stops where your idea is clearly wrong—on both stocks and crypto, across any session.

MARKET MAKER

Market maker is a firm or individual who actively quotes two-sided markets in a security, providing bids and offers.

TICK SIZE

Tick size is the minimum price movement of a trading instrument.

OVER-THE-COUNTER (OTC)

Over-the-counter (OTC) is trading done directly between two parties, without the supervision of an exchange.

LIMIT ORDER

Limit order is an order to buy or sell a stock at a specific price or better.

CROSS TRADE

Cross trade is a practice where buy and sell orders for the same asset are offset without recording the trade on the exchange.

VOLUME WEIGHTED AVERAGE PRICE (VWAP)

Volume weighted average price (VWAP) is a trading benchmark calculated by dividing the total dollar value of trades by the total trading volume over a particular time period.

MARKET ORDER

Market order is an order to buy or sell a stock immediately at the best available current price.

ORDER EXECUTION QUALITY (OEQ)

Order Execution Quality (OEQ) measures how effectively trades are executed in terms of speed, price, and accuracy. It assesses how close the executed price is to the intended price, impacting overall trading efficiency.

ARBITRAGE

Arbitrage is the simultaneous purchase and sale of an asset to profit from a difference in the price, exploiting price differences of identical or similar financial instruments on different markets or in different forms.