from Hacker News

Market Structure Primer (2019)

by firloop on 1/8/25, 6:26 PM with 20 comments

• by mrngm on 1/11/25, 12:02 PM

  You can also find a [PDF] export of this document, a bit more recent (2022) than most of the webpages (2019). From page 67 onwards, there seem to be various notes for future expansion. I hope they also update the website as the document improves.

  [PDF] https://primer.prooftrading.com/assets/pdf/Proof-Market-Stru...

• by HolyLampshade on 1/11/25, 11:40 AM

  As often as these things are wildly incorrect or out of date, I need to applaud this effort. Seems pretty damn spot on as a description of US Equities. My compliments to the team that put this together.

• by paphillips on 1/11/25, 12:15 PM

  The svg infographic on page 'Life Cycle of an Order' > 'Overview' is outstanding. Source indicates Adobe Illustrator as the generator.

  Oddly, the direct hyperlink to this page doesn't seem to work properly though: https://primer.prooftrading.com/lifecycle-of-order/

• by Animats on 1/11/25, 8:44 PM

  "The ratio of cancellations to trades varies widely by date and by venue, but something like 20/1 is somewhat typical. This gives us a general sense that there is on average a lot of nimble maneuvering of quotes around each trade."

  That's striking. Trades that are cancelled happen in bunches - after a trade completes, there will be orders placed in the next few milliseconds to re-probe the market, then relative quiet.

• by rkagerer on 1/12/25, 8:40 AM

  This ended way too early. I'd hoped all the fundamentals it laid down would lead to some more advanced topics (including the mechanics of sophisticated products like options, futures, derivatives, etc) and commentary about how the intertwined and competing interests of the various parties the article introduced play out in practice.