Market Microstructure: Where a Price Comes From

No exchange quotes a price. It sorts other people's orders and matches them, and every number on a trading screen is the residue of that process. This path builds the limit order book and its matching rules, then answers the question the mechanism leaves open: why competition does not compress the spread to zero. The answer, that a trade is evidence, then explains price impact, the capacity ceiling on any strategy, and why market design decides who profits.