Market Structure Primer (2019)

1/11/2025 at 12:02:07 PM

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...

by mrngm

1/11/2025 at 11:40:45 AM

As often as these things are wildly incorrect or out of date, I need to applaud this effort.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.

by HolyLampshade

1/11/2025 at 12:46:53 PM

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.

by bboygravity

1/11/2025 at 1:36:06 PM

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.

by OnlineGladiator

1/15/2025 at 6:20:18 PM

Random recent example: Page 8, Paragraph 37: describing how Robin Hood was engaged in Naked shorting. I could give you a long list of such SEC documents/fines for RH as well as other major market participants. But that's a lottt of work, I hope this triggers people's curiosity. https://www.sec.gov/files/litigation/admin/2025/34-102170.pd...

A more general one about how the markets (don't) work: Naked, Short and Greedy Wall Street's Failure to Deliver - Susanne Trimbath (book)

by bboygravity

1/15/2025 at 7:54:46 PM

Nobody is denying naked shorting exists. What I want to hear is why your beloved GME is going to go up as a result of something that happened 4 years ago.

So your thesis is that the market is rigged, and has always been rigged, but this time it's going to work out for you when it never has before and after 4 years of being wrong?

by OnlineGladiator

1/16/2025 at 5:14:55 PM

What? I wasn't even talking about GME at all before you brought it up. I definitely didn't claim that it was going to go up, so why should I find arguments for your statement?

by bboygravity

1/16/2025 at 6:09:58 PM

You are repeating all the talking points of GME holders, including obscure things almost nobody knows about, and it's just a coincidence? At least have the decency to be straight-forward with your arguments.

by OnlineGladiator

1/11/2025 at 6:00:30 PM

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).

by loxias

1/11/2025 at 6:35:08 PM

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.

by OnlineGladiator

1/15/2025 at 6:28:56 PM

SEC report on GME since you want to talk about that. Page 25: Some institutional accounts had significant short interest in GME prior to January 2021.61 GME short interest (as a percent of float) in January 2021 reached 122.97% https://www.sec.gov/files/staff-report-equity-options-market...

No biggy, (naked) shorting to the tune of more than every share every issued by the company?

What is the point you're trying to make? That FTD's don't exist?

Or that not delivering stock that investors have purchased (not at all or not on time) is super obviously not a big deal in any market?

That margin requirements cannot be waved?

by bboygravity

1/15/2025 at 7:55:57 PM

My point is you're a bag holding conspiracy theorist who brings up irrelevant talking points as though it's a viable investment strategy.

Yes, the markets are poorly regulated. Everybody knows that. You've been consistently wrong for years and have been losing money but are incapable of learning from your mistakes.

by OnlineGladiator

1/16/2025 at 5:19:46 PM

You asked for substantiation. I gave you that. Your reply is totally off-topic.

Where is the conspiracy theory in what I shared and why?

Why are you so angry?

by bboygravity

1/16/2025 at 6:08:31 PM

I'm angry because apes are the most obnoxious people on the internet and you never shutup about your stupid conspiracy theories.

So you're just pointing out that markets are poorly regulated and it's a total coincidence you're repeating all the talking points that apes never shutup about?

by OnlineGladiator

1/16/2025 at 11:13:58 PM

facepalm

Wow, I had no idea. Thank you for providing the valuable additional context of the above being potentially from one of those "GME to the moon"... pauses ... people.

I had it totally completely backwards.

by loxias

1/11/2025 at 4:00:21 PM

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.

by HPsquared

1/11/2025 at 4:41:04 PM

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.

by OnlineGladiator

1/11/2025 at 12:15:34 PM

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/

by paphillips

1/11/2025 at 8:44:06 PM

"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.

by Animats

1/12/2025 at 8:40:59 AM

This ended way too early. I'd hoped all the fundamentals it laid down would lead to some more advanced topics (including the mechanics of sophisticated products like options, futures, derivatives, etc) and commentary about how the intertwined and competing interests of the various parties the article introduced play out in practice.

by rkagerer