Market Making and Microstructure


Content related to market making and microstructure

For pros as well as amateurs this document is the most efficient intro to the US stock market microstructure. It was written by academic turned practitioner Allison Bishop to spare others the unnecessary pain of trying to organize complicated, evolving web that is the stock market.
From her interview on Growth From Failure:
I think also just having that prior experience of learning a jargon-heavy field, knowing that the fact that I didn’t know what the things were, didn’t mean I was stupid. And it didn’t mean it was going to be hard. It just meant that I had to ask, although I do think finance makes it unusually tough. I’ve also been documenting some of my process. Proof has put out a market structure primer, which is basically my writing down the things that I didn’t know, and therefore asked and putting that into a form that hopefully helps other people. Because we do think that, unlike cryptography, where there are textbooks and there are public facing things and surveys that are helpful, in finance, you’re piecing this together from different people’s memories. I’m in the middle of the trading floor asking “What does this four-letter code mean on this trade flag?” There are no public references for so much of this. So I do think as a field, we need to do a better job of giving people friendlier entry points.

Market Structure Primer (Proof Trading)

More Primers/Background

  • Market Makers in Financial Markets: Their Role, How They Function, Why They are Important (NYSE)
  • Where market making meets market microstructure (Sasha Stoikov presentation)
  • Market Making: Strategies, Algo Trading, Techniques, and More (QuantInsti)
  • Building a Futures Market Making Bot - Winning the UChicago Trading Competition, Part 1 (Tianyi (Austin) Liu)

Options Related

  • How Dealers’ Gamma impacts underlying stocks (BSIC)
  • Gamma Gravity: Negative Gamma is Not a Volatility Black Hole (Garrett DeSimone)
  • The appendix of Zero-Day Options (Verdad)


  • A Former Market Maker’s Perception of PFOF (Moontower)
  • Everything You Thought You Knew About Spoofing is Wrong! (Ari Pine)
  • Mark Phillips Writing at The Till (Substack)
  • Archive of HideNotSlide Writing at The Front Month (Substack)
  • Gaming Option Orders (Kris Abdelmessih interview on Pirates of Finance)