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Order book & market microstructure: what every trading system builder needs to know

Cross-post. Original: stellarbytecapital.com/blog/order-book-market-microstructure Most people building a trading system think in terms of one number: the price .

  • Order book consists of bids and asks, each sorted by price and depth
  • Market order crosses spread, consuming liquidity from top down
  • Backtesting with close prices ignores slippage and depth

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