Glossary term

Market Microstructure

The mechanics of how trades actually happen.

Market microstructure covers bid-ask spreads, order books, liquidity, market makers, and execution rules. It matters most for fast strategies where small costs can erase the edge.

Example: A daily reversal signal can look profitable before microstructure costs and unprofitable after them.

Where this appears

Short-term reversal: real but hard to trade The retail liquidity edge over hedge funds