https://blog.turboawesome.win/tags/market-microstructure/ Recent content in Market-Microstructure on Bits, Trades & Systems Hugo en-us Wed, 25 Jun 2014 14:08:00 +0000 https://blog.turboawesome.win/2014/06/slippage-spread-and-rejection-engineering-around-market-microstructure/ Wed, 25 Jun 2014 14:08:00 +0000 https://blog.turboawesome.win/2014/06/slippage-spread-and-rejection-engineering-around-market-microstructure/ The difference between a quoted price and the price you actually trade at is not a rounding error — it's a measurable, systematic cost with engineering-level causes and engineering-level mitigations. https://blog.turboawesome.win/2012/03/understanding-the-fx-spot-market-from-an-engineers-chair/ Wed, 21 Mar 2012 10:44:00 +0000 https://blog.turboawesome.win/2012/03/understanding-the-fx-spot-market-from-an-engineers-chair/ What actually happens when a currency is traded: the market structure, the participants, and the data flows that an engineer building FX systems needs to understand before writing a line of code.