Market-Microstructure

A trading system that quotes a price is not the same as a trading system that executes at that price. Between the quote and the execution lies a gap — measured in time, measured in pips, measured in rejected orders — that engineering choices directly affect. Understanding slippage and rejection from the systems perspective is not just finance knowledge. It shapes how you design price feeds, order routing, and latency measurement. ...

When I joined the trading firm straight out of university, I could write Java, profile a JVM, and argue about data structures. I had no idea how currency markets worked. My tech lead gave me one piece of advice: “Read everything you can about how the market actually works before you write any code. It’ll save you from building the wrong thing twice.” This is what I wish someone had explained to me on day one. ...