Microstructure and Execution

The Order Book

1. 1 The Limit Order Book 8 solved exercises
2. 2 Order Types and Their Uses 8 solved exercises
3. 3 Empirical Facts of Order Books 8 solved exercises
4. 4 Why There Is a Spread 8 solved exercises
5. 5 Decomposing the Spread 8 solved exercises
6. 6 Tick Size, Queues and Priority 8 solved exercises
7. 7 Fees, Rebates and Venue Economics 8 solved exercises
8. 8 Fragmentation and Routing 8 solved exercises
9. 9 Dark Pools and Blocks 8 solved exercises
10. 10 Auction Mechanics and Theory 8 solved exercises

Market Impact

1. 11 The Empirics of Price Impact 8 solved exercises
2. 12 Transient Impact and Propagator Models 8 solved exercises
3. 13 Metaorders, Latent Liquidity and Cross-Impact 8 solved exercises

Optimal Execution

1. 14 The Almgren–Chriss Framework 8 solved exercises
2. 15 Beyond Almgren–Chriss 8 solved exercises
3. 16 Benchmark Algorithms 8 solved exercises
4. 17 Child-Order Placement 8 solved exercises
5. 18 Smart Order Routing 8 solved exercises
6. 19 Transaction-Cost Analysis 8 solved exercises
7. 20 The Buy-Side Trading Desk and Its Brokers 8 solved exercises
8. 21 Execution Beyond Equities 8 solved exercises
9. 22 Portfolio Trades and Risk Bids 8 solved exercises

Dealer Markets and Market Quality

1. 23 Request for Quote and Dealer Markets in Theory 8 solved exercises
2. 24 Market Quality and Regulation 8 solved exercises
3. 25 Circuit Breakers and Halts 8 solved exercises

Builds

1. 26 Build: A Matching Engine and Exchange Simulator 8 solved exercises
2. 27 Build: an Agent-Based Market 8 solved exercises
3. 28 Build: an Execution Algorithm 8 solved exercises

28 chapters — 28 online so far, and more publishing regularly. The complete book is already available as a free PDF you can read online.