Back to Quantitative trading

Module 00 · Foundations

Market microstructure and order books

How trades happen: price-time priority, limit order book queues, cancellations, and order book imbalance.

3 lessons · 2 graded exercises·2 hours·beginner·No prerequisites

How markets match

Markets are not continuous curves. They are discrete queues of limit orders matched by deterministic exchange rules.

Limit order book

25 min · exercise

Build an in-memory limit order book with price-time priority, O(1) cancellations, and crossing market order execution.

Spread and order book imbalance

20 min · exercise

Measure market pressure using weighted multi-level order book imbalance and calculate effective spreads.