by Ali Fathi, Sammy Assefa, Samuel Atkins
Continue on SelfMadeQuant
Suggested foundations for market microstructure and execution and rates and fixed income. Specialist prerequisites vary by paper.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Build a consistent discount curve.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.