How electronic markets really work: limit order books, order flow, toxicity, price discovery and the mechanics behind every fill.
Market microstructure studies how trading rules, order types and participant behaviour turn orders into prices. For an institutional desk it explains why a quote is where it is, why it moves and what each fill really costs.
Our microstructure coverage starts from the limit order book and works outward: order flow and its information content, toxicity metrics such as VPIN, queue dynamics, market impact and the way fragmentation across lit, dark and internalised venues changes execution quality.
The rules, order types and participants that turn orders into prices — explained for trading desks, with the key models and formulas, the metrics that matter and the 2025–2026 changes reshaping market structure.
Research roadmap
Our editorial plan for this section. Published guides are linked; the rest are in research.
