Equity Market Microstructure: Taking Stock of What We Know

For over three decades, the microstructure literature has grown and trading systems around the world have been reengineered into modern electronic platforms. In this article, the authors consider these developments, concentrating on microstructure issues that are germane to equity market architecture, and focus on the design of one trading facility, Deutsche B?'s Xetra. Important insights were gained from the microstructure literature during Xetra's planning period (1994?1997), and Xetra's implementation has marked a huge step forward for Germany's equity markets. Nevertheless, academic research and the design of a real-world marketplace remain works in progress.