7 lessons · 14 min · quiz
⚙️ Microstructure
How orders actually become trades — ticks, queues, order types, hidden liquidity and the data feed in between.
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Auction market theory explains why price moves. Market microstructure explains how: the rules of the matching engine, the price grid, the queue at each level, and the data that reaches your screen. You can't read a DOM, a footprint or the tape properly without this layer.
Key Insight
Price only changes when someone is willing to cross the spread and use up the liquidity at the best price. Everything else is people waiting.
Questions this module helps you answer
- What actually has to happen for price to tick up or down?
- Why does my limit order sometimes not fill when price touches it?
- What's the difference between what I see in the book and what's really there?
- Why can two platforms show slightly different volume for the same bar?
Core Pillars
- The price grid — prices move in fixed ticks; the spread is the gap between best bid and best offer.
- Makers and takers — limit orders provide liquidity, market orders consume it.
- Queue priority — at each price, earlier orders generally fill first.
- Visible vs hidden — not all intent is displayed, and displayed orders can vanish.
- Data is a model — your chart is built from an aggregated feed with its own choices and delays.
Lessons
- How a tick moves
- Ticks & spread
- Order types
- Queue position
- Hidden liquidity
- Opens, closes & halts
- Market data & latency
- Quiz