How the market works
What an institutional desk takes for granted: how a price forms, who sits on the other side, and why a small edge survives or dies depending on where you trade.
·11 min readThe uninformed trader loses, whichever way they tradeMarket microstructure proves that anyone trading without an informational edge loses through both of the only two doors that exist: a limit order suffers adverse selection, and a market order pays a penalty for risk that other people create. There is no third door, and finding that out late costs an entire account.·9 min readWho sets your price: central order book versus counterparty modelThe question that decides whether a small edge survives is not what you trade but who quotes you. When the price comes out of a public order book you compete against the market; when your own counterparty sets it, you compete against someone who can also see your resting orders.