Market Structure Primer (2019)
23 comments
·January 8, 2025HolyLampshade
As often as these things are wildly incorrect or out of date, I need to applaud this effort.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.
bboygravity
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.
OnlineGladiator
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.
bboygravity
Random recent example: Page 8, Paragraph 37: describing how Robin Hood was engaged in Naked shorting. I could give you a long list of such SEC documents/fines for RH as well as other major market participants. But that's a lottt of work, I hope this triggers people's curiosity. https://www.sec.gov/files/litigation/admin/2025/34-102170.pd...
A more general one about how the markets (don't) work: Naked, Short and Greedy Wall Street's Failure to Deliver - Susanne Trimbath (book)
loxias
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).
HPsquared
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.
paphillips
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/
Animats
"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.
rkagerer
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.
null
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...