High-Frequency Trading From the Ground Up

A market where buyers and sellers exchange assets. Learn about exchanges, order books, bids, asks, and how prices are discovered.

Limit orders vs market orders, how they fill, and how the order book depth works.

Visual map of an order book showing bids, asks, spread, and depth at multiple price levels.

Follow a market order as it arrives at the exchange, matches against the top of the order book, and produces a trade.

Given a sequence of market orders and an order book state, determine which orders fill at which prices.

The difference between taking and making liquidity, why latency matters in microseconds, and the concept of marketable vs non-marketable orders.