Market Microstructure Glossary: Key Terms and Definitions
- Best Execution
- Effective Spread
- Fundamental Value
- Iceberg Order
- Informed Trader
- Kyle's Lambda (λ)
- Latency
- Closing Auction
- Crossing Network
- Direct Feed
- Arbitrage
- Bid–Ask Spread
- Block Trade
- Continuous Auction
- Dealer
- Front-Running
- Grossman–Stiglitz Paradox
- Implementation Shortfall
- Liquidity
- Ask (Offer)
- Hasbrouck Information Share
- Latency Arbitrage
- Layering
- Access Rule (Rule 610)
- Algorithmic Trading
- Amihud Illiquidity Measure
- Depth
- Glosten–Milgrom Model
- Adverse Selection
- Bid
- Bid–Ask Bounce
- Immediacy
- Limit Order Book (LOB)
- Circuit Breaker
- Co-location
- Dark Pool
- Hidden Order
- Call Auction
- High-Frequency Trading (HFT)
- Internalization
- Inventory Risk
- Lee–Ready Algorithm
- Limit Order
- Lit Market
- Market Maker
- Order Imbalance
- Specialist
- Walking the Book
- Maker-Taker Fee Model
- Market Impact
- Price Discovery
- Price-Time Priority
- Resiliency
- Roll's Estimator
- Short Selling
- Stop Order
- Transitory Volatility
- Market Order
- Realized Spread
- Time-Weighted Average Price (TWAP)
- Noise Trader
- Opening Auction
- Reserve (Iceberg) Order
- Tick Test
- Time Precedence
- Volatility
- Volume-Synchronized Probability of Informed Trading (VPIN)
- Volume-Weighted Average Price (VWAP)
- Order-Driven Market
- Order-to-Trade Ratio
- Quote-Driven Market
- Uninformed Trader
- Value Trader
- Zero-Sum Game
- NBBO (National Best Bid and Offer)
- Order Protection Rule (Rule 611)
- Payment for Order Flow (PFOF)
- Price Priority
- Pro-Rata Matching
- Probability of Informed Trading (PIN)
- Quote Rule
- SIP (Securities Information Processor)
- Smart Order Routing (SOR)
- Spoofing
- Sub-Penny Rule (Rule 612)
- Width (Tightness)
- Quote Stuffing
- Regulation NMS
- Toxic Flow
- Upstairs Market
- Order Flow Toxicity
- Tick Size
- Spread Economics & Liquidity Measurement
- Exchange Function
- Market Microstructure Fundamentals