Crypto Market Microstructure

"Crypto Market Microstructure: AMMs, DEXs, and Centralized Order Books"

Crypto trading is often framed as charts and narratives, but your real edge-and your biggest risks-live in the mechanics of how trades actually get filled. This book is written for active crypto traders, quant-minded investors, and builders who need a clear, practical mental model of execution across the two dominant venue designs: centralized limit order books (CEXs) and on-chain automated market makers (DEXs). If you've ever wondered why "the same price" produces different results across venues, this is the missing layer.

You'll learn the end-to-end lifecycle of a trade and a unified cost model that includes spreads, impact, fees, funding, gas, and MEV. On the CEX side, the book breaks down order book anatomy, order types, matching priority, latency and queue position, and why real fills diverge from naïve backtests. On the DEX side, it explains block-level execution, constant-product AMM slippage, concentrated liquidity behavior, LP economics, and MEV as an execution tax. The final chapters turn these mechanics into practice: transaction cost analysis across venues, sizing and scheduling, routing and arbitrage, and defenses against failure modes and manipulation.

No advanced math is required, but comfort with trading basics helps. The differentiator is consistency: every concept is tied to measurable execution outcomes so you can choose venues, design systems, and trade with fewer surprises.