[HN Gopher] Market Structure Primer (2019)
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Market Structure Primer (2019)
Author : firloop
Score : 76 points
Date : 2025-01-08 18:26 UTC (3 days ago)
(HTM) web link (primer.prooftrading.com)
(TXT) w3m dump (primer.prooftrading.com)
| HolyLampshade wrote:
| As often as these things are wildly incorrect or out of date, I
| need to applaud this effort. Seems pretty damn spot on as a
| description of US Equities. My compliments to the team that put
| this together.
| bboygravity wrote:
| It's a nice description of how things should work, not how they
| actually work.
|
| No mention of FTDs, the DRS/transfer agents, SEC scandals, the
| possibility of waving of margin requirements at the whim of 1
| person at the FTC (making margin requirements essentially
| meaningless for some participants), etc.
| OnlineGladiator wrote:
| Are you able to succinctly explain how it works, with
| meaningful references (not posts in a controversial
| subreddit)? Because if you can't do that, you're never going
| to convince anyone and it seems you care more about being
| "right" than having a conversation.
| HPsquared wrote:
| What if it doesn't actually "work" in any meaningful way
| and it's just a chaotic mess? Then it would be hard to
| produce a coherent narrative.
| OnlineGladiator wrote:
| Then provide evidence of how the chaos functions. And if
| you can't do that, then you don't actually know that
| chaos is the correct answer.
|
| Any evidence at all is an improvement over throwing out a
| buzzword salad with no explanation how it works.
| loxias wrote:
| We're not all optimizing for the same thing. :)
|
| A comment containing a few terms I can google and educate
| myself on, if I'm curious, has far more value to me than
| "having a conversation" (or whatever engagement metrics
| you're optimizing for).
| OnlineGladiator wrote:
| He's regurgitating all the GME holder talking points. I'm
| challenging him to present his conspiracy theory because
| I know it is full of loopholes, inconsistencies, and is
| built on almost no evidence at all.
|
| Or better yet I'm wrong and he can tell me why GME is
| going to moon soon and will explain why with data instead
| of numerology.
| mrngm wrote:
| You can also find a [PDF] export of this document, a bit more
| recent (2022) than most of the webpages (2019). From page 67
| onwards, there seem to be various notes for future expansion. I
| hope they also update the website as the document improves.
|
| [PDF] https://primer.prooftrading.com/assets/pdf/Proof-Market-
| Stru...
| paphillips wrote:
| The svg infographic on page 'Life Cycle of an Order' > 'Overview'
| is outstanding. Source indicates Adobe Illustrator as the
| generator.
|
| Oddly, the direct hyperlink to this page doesn't seem to work
| properly though: https://primer.prooftrading.com/lifecycle-of-
| order/
| Animats wrote:
| _" The ratio of cancellations to trades varies widely by date and
| by venue, but something like 20/1 is somewhat typical. This gives
| us a general sense that there is on average a lot of nimble
| maneuvering of quotes around each trade."_
|
| That's striking. Trades that are cancelled happen in bunches -
| after a trade completes, there will be orders placed in the next
| few milliseconds to re-probe the market, then relative quiet.
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(page generated 2025-01-11 23:01 UTC)