Library / microstructure

Market microstructure

Spreads, liquidity, sessions and execution concepts.

• Bid-Ask SpreadThe difference between the highest price a buyer will pay (bid) and the lowest price a seller will accept (ask). Your immediate transaction cost.
• SlippageThe difference between the expected price of a trade and the price at which it actually executes. Worse fills happen on market orders, in fast tape, or thin liquidity.
• Defending MT5 Signals Against Tick Noise, Latency Artefacts & Microstructure ShockLayered gating — spread anomalies, jitter budgets, EWMA volatility guards and session hygiene for robust Experts.
• VPIN-Style Toxic Flow Proxies — Microstructure Alerts for Venue QualityBulk volume clock, PIN intuition, imbalance buckets, VPIN bursts as stress flags — institutional vs retail data limits.
• A-Book vs B-Book Broker Models — Retail Order Routing and Incentive GeometryStraight-through hedging vs internalisation, KPI conflicts & why execution quality disclosures matter for discretionary traders.
• Dark Pools Among LPs — Non-Displayed Liquidity vs Lit Price FormationMid-match venues, signalling reduction upside, critiques on visible depth starvation & regulatory dialogue.
• Short-Sale Constraints & Bans — Microstructure Costs to Price DiscoveryLocate scarcity, degraded two-sided liquidity proxies, divergence between borrow-constrained equities & indices.

Educational glossary content only — not investment advice.