Market microstructure

A live, sorted record of every resting bid and ask. The best bid and offer form the touch; the gap between them is the spread. Market orders consume liquidity from the top down. It is the central data structure of every order-driven market.

Better-priced orders fill first; among orders at the same price, the earliest fills first (FIFO). That is why queue position is an asset: being early means you trade before the orders behind you.

Dealer markets quote you a price; order-driven markets match your order against a public book. Most modern venues (equities CLOBs, crypto exchanges, Polymarket) are order-driven, but the distinction decides who you trade against.

Continuous matching trades whenever orders cross; auctions batch orders and clear at one price. Opens, closes and volatility auctions exist for a reason, and they change the game for a fast trader.

Post liquidity and you are a maker (often paid a rebate); cross the spread and you are a taker (you pay a fee). The maker-taker fee model shapes who quotes, where, and why rebate capture exists at all.

Iceberg, hidden, pegged, conditional, IOC/FOK/post-only. Each order type exists for a reason, and HFTs both use them and detect them in others’ flow.

One instrument trades on a dozen venues at once. The consolidated best price (NBBO) is formed across them, and the brief disagreements between venues are exactly what latency arbitrage and smart order routing exist for.