by Moritz Lenel, Rohan Kekre
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Suggested foundations for market microstructure and execution. Specialist prerequisites vary by paper.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.