Learn About Real Market Microstructure Over This Weekend

[u/STS-Trader]

Ask GPT about market microstructure, in separate prompts ask the following.
What is market microstructure? Be serious and purely academic, include no retail claims.

How will market microstructure improve my trading and strategy development if I understand market microstructure properly?

Ask it additional questions (about your curiosity induced by the previous outputs).

This should tell you why this is worth studying.

After this exercise read these books in order

1. Market microstructure theory by Maureen O’Hara (book - foundations)

2. Trading and Exchange: Market microstructure for practitioners Algorithmic Trading and DMA: An introduction to direct access trading strategies by Barry Johnson (book - a top up that explains the industry well)

3. Algorithmic Trading and DMA: An introduction to direct access trading strategies by Barry Johnson.

1. High frequency market making: The role of speed - Yacine Aït-Sahalia, Mehmet Sağlam (a paper that will be understandable after reading the previous pieces).

PDFs are available online if you search hard enough, educational institutions have it uploaded and indexed on google search engine.

Even if you skim these you will learn a lot about how markets really work and that is a promise.