Market Microstructure
a.k.a. Microstructure
The study of the nuts and bolts of trading: how orders meet, how prices form and who gets filled when.
Market microstructure zooms right in on the machinery of a market. Forget whether the economy is strong; microstructure asks how an order actually gets matched, why the spread is wider at some hours, how dealers manage the risk on their books, and how news turns into a new price in milliseconds.
It is the world of order books, top of book, latency and market impact. Forex has an unusual microstructure because it has no single central exchange, just many dealers and venues stitched together.
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