/Markets from First Principles

An interactive guide · By Daniel and Mark

Markets from First Principles

How markets work, from a village market square to perpetual futures and the data behind them. Every figure is one you can play with.

Start with lesson 1 or read it all on one page

All lessons

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Part 1Beginner: No background needed

How a price is made

No finance needed. Works for any market.

1
From a square to a bookWhat happens when a crowd wants to trade, and they can't all be there at the same time?
Read
2
Why there's a gapWhy does buying cost more than selling at the same moment?
- spread in basis points
- weighted mid price
- imbalance at the best prices
Read

Part 2Trader: Knows a bid from an askQuant: Trades or models for a living

Pushing and paying

Who moves the price, and what it costs to move it.

3
Who's pushingEvery trade has a buyer and a seller. Which one moved the price, and was it a crowd or one big player?
Read
4
What the candle leaves outWhat does a five-minute candle throw away?
Read
5
Walking the bookWhat does it cost to buy more than the best ask holds?
Read
6
Every trade leaves a markAfter a big order, how much of the move stays?
- Kyle's lambda
- Amihud illiquidity
- large-trade reversal
Read

Part 3Trader: Knows a bid from an askQuant: Trades or models for a living

Today's markets

Perpetuals, stocks on crypto venues, many venues at once, and the data behind it all.

7
A contract that never expiresHow do you trade bitcoin without ever holding any, and what happens when everyone borrowed to do it?
Read
8
A stock that trades on SundayWhat is a Tesla perpetual, and what does it do while Nasdaq is closed?
- basis
- spread and depth on stock perpetuals
Read
9
Three numbers for any marketThe same asset trades on several venues. Where is it cheapest to trade, where is it deepest, and where is it hardest to move?
- the Cost, Depth and Impact indices
Read
10
Behind the numbersWhy is market data so hard to get right, and how does bad data make a backtest lie?A short version. The full course, Building market data, comes later.
Read

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