#market-microstructure

28 May 2026 · 31 min
Price Formation in the Order Book
The models built on the order book mechanism. The efficient price is a martingale, the bounce and adverse selection set spreads, queue position sets fills, imbalance sets the microprice, Kyle's lambda turns information into impact, and Almgren-Chriss solves execution.
27 May 2026 · 18 min
The Limit Order Book
How a limit order book works as a mechanism. Bids and asks, the price grid, every order type and time-in-force, price-time and pro-rata priority, matching, crossed and locked books, the opening and closing auction, hidden liquidity, and the message stream, with worked examples.