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Markets & trading
Market Microstructure
Spreads, inventory, adverse selection
Overview
About market microstructure questions in quant interviews
Bid-ask spread economics, inventory risk, adverse selection, and the dynamic pricing problems that sit at the core of any market-making desk.
How to study this topic
A path that works
- 1
Start with the easy set
Warm up with the 8 easy market microstructure questions. Quick wins build pattern recognition before complexity ramps.
- 2
Drill the medium tier next
36 medium questions sit in the sweet spot where most interview questions cluster. Time yourself, then redo any you missed two days later.
- 3
Stress-test on hard problems
20 hard questions simulate the on-site round. Skip looking at solutions for at least 20 minutes, then write up your approach.
The library
All 64 market microstructure questions
mediumSlippage & Transaction Cost ModelingmediumEffective vs. Quoted SpreadmediumOrder Book Imbalance AlphamediumTWAP Execution SimulationhardAlmgren-Chriss Optimal ExecutionhardTrade Classification (Lee-Ready)hardPOV Execution with Market ImpacthardKyle's Lambda EstimationeasyMarket-Wide Circuit BreakerseasyGram Matrix Positive Semi-DefinitenesseasyMarket Buy Execution PriceeasyHitting Probability of Brownian MotioneasyCovariance Matrix ValidityeasyMidpoint Peg OrdereasyCo-Location Latency SavingseasyMid-Price CalculationmediumDrunkard's Ruin on the EdgemediumDice Sum Modulo 5mediumMarket Making and VolatilitymediumFutures Basis CalculationmediumRebate Capture StrategymediumOrder Book Imbalance PredictionmediumToxic Fill ProbabilitymediumAdverse Selection in Limit OrdersmediumDice Sum DivisibilitymediumThe Three Envelopes GamemediumQuarter Placement GamemediumMaker-Taker vs. Inverted Fee StructuresmediumImplementation Shortfall DecompositionmediumSquare Root Market ImpactmediumDark Pool vs. Lit Market ExecutionmediumMicro-Spoofing Signal DetectionmediumLatency Arbitrage MechanicsmediumTick Size and Spread CompressionmediumQueue Priority: Price-Time vs Pro-RatamediumRealized Spread at MidpointmediumLee-Ready Trade ClassificationmediumOpening Auction MechanicsmediumFIX Protocol Message TypesmediumPayment for Order Flow and Conflict of InterestmediumDark Pool Midpoint FillmediumAsian vs. European Call Option PricingmediumRussian Roulette StrategymediumCalendar Cube Day ProbabilitymediumRoll's Spread EstimatormediumHigh VPIN InterpretationmediumHFT Liquidity During Flash CrashmediumOptimal Coin WeighinghardCorrelation of X and Max(X,Y)hardExpected Real RootshardVWAP Execution VariancehardThe Impatient Market MakerhardBeyond VPIN: Toxicity MetricshardGlosten-Milgrom Informed TradinghardAvellaneda-Stoikov Inventory AdjustmenthardZipf Distribution in Order FlowhardAlmgren-Chriss Optimal Execution TradeoffhardTWAP vs VWAP Execution ChoicehardKyle's Lambda and Informed TradinghardAnts on a Stick: Maximum TimehardHasbrouck Information SharehardIceberg Order Detection and Trading StrategyhardOptimal Egg Drop StrategyhardCountably Infinite Hats
View all 64 market microstructure questionsRelated topics