ABSTRACT
We provide a brief introduction to market microstructure and trading from practitioners' point of view. The terms used in this chapter, all can be traced back to academic literature; but the discussion is kept simple and direct. The data, which is central to all the analyses and inferences, is then introduced. The complexity of using data that can arise at irregular intervals can be better understood with Level III data, as illustrated here. Finally, the last part of this chapter contains a brief academic review of market Microstructure-a topic about the mechanics of trading and how the trading can be influenced by market designs. This evolving field is of much interest to all: regulators, practitioners and academics.
