Market Structure Primer (2019)
primer.prooftrading.com95 points by firloop 5 days ago
95 points by firloop 5 days ago
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...
As often as these things are wildly incorrect or out of date, I need to applaud this effort.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.
It's a nice description of how things should work, not how they actually work.
No mention of FTDs, the DRS/transfer agents, SEC scandals, the possibility of waving of margin requirements at the whim of 1 person at the FTC (making margin requirements essentially meaningless for some participants), etc.
Are you able to succinctly explain how it works, with meaningful references (not posts in a controversial subreddit)? Because if you can't do that, you're never going to convince anyone and it seems you care more about being "right" than having a conversation.
We're not all optimizing for the same thing. :)
A comment containing a few terms I can google and educate myself on, if I'm curious, has far more value to me than "having a conversation" (or whatever engagement metrics you're optimizing for).
He's regurgitating all the GME holder talking points. I'm challenging him to present his conspiracy theory because I know it is full of loopholes, inconsistencies, and is built on almost no evidence at all.
Or better yet I'm wrong and he can tell me why GME is going to moon soon and will explain why with data instead of numerology.
What if it doesn't actually "work" in any meaningful way and it's just a chaotic mess? Then it would be hard to produce a coherent narrative.
Then provide evidence of how the chaos functions. And if you can't do that, then you don't actually know that chaos is the correct answer.
Any evidence at all is an improvement over throwing out a buzzword salad with no explanation how it works.
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/
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.
"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.