← Back to Curriculum

Advanced

Understanding Market Microstructure and Liquidity

An advanced, India-specific course on how orders actually become trades on NSE and BSE, and why liquidity, not just price, decides what you really pay. Built for experienced retail investors, active traders and HNI portfolios who have moved beyond stock picking and now need to understand the order book, price-time priority, pre-open and closing auctions, impact cost, slippage, and the hidden footprint of algos, FIIs and block deals. Covers how to read market depth on Zerodha, measure liquidity with NSE impact cost and delivery data, execute large orders without moving the price, and build a liquidity-aware plan for smallcaps and volatile sessions.

MODULES

6

DURATION

4 Hours

TRACK

Stock Market Basics

Access Level

LEARNER

Start Learning Now →Sign in to resume

Everything included

Full Text Playbooks

Actionable Exercises

Mobile Reading Mode

Lifetime Updates

Curriculum Breakdown

Chapter 1: How Orders Become Trades

3 Lessons

The Order Book: Reading Market Depth on NSE14 min read

Order Types That Matter: Limit, Market, Stop Loss, IOC and Disclosed Quantity14 min read

Price-Time Priority: How the NSE Matching Engine Decides Who Gets Filled12 min read

Chapter 2: Measuring Liquidity

3 Lessons

Bid-Ask Spread and Impact Cost: The Real Price of Trading14 min read

Depth, Resilience and Market Impact: Three Dimensions of Liquidity14 min read

Turnover, Delivery Percentage and Free Float: Liquidity Beyond the Spread12 min read

Chapter 3: Who Provides Liquidity

3 Lessons

Market Makers, Prop Desks and Algos: The Invisible Counterparties14 min read

FII and DII Flows, Block Deals and Bulk Deals14 min read

Retail Order Flow: How Small Orders Move Big Stocks12 min read

Chapter 4: Auctions and Special Sessions

3 Lessons

The Pre-Open Call Auction: How the Opening Price Is Discovered14 min read

The Closing Price: VWAP, Post-Close and the Case for a Closing Auction12 min read

Periodic Call Auctions and Trading in Illiquid Scrips12 min read

Chapter 5: Execution and Transaction Costs

3 Lessons

Slippage and Implementation Shortfall: Measuring What You Actually Paid14 min read

Execution Algorithms: VWAP, TWAP and Iceberg Orders for Large Positions14 min read

The Full Cost Stack: STT, Brokerage, Exchange Charges, Stamp Duty and GST14 min read

Chapter 6: Liquidity Risk in Your Portfolio

3 Lessons

Smallcap Liquidity Traps: Why Exit Is Harder Than Entry14 min read

Liquidity Events: Index Rebalancing, Expiry Days and Crash Sessions14 min read

Building a Liquidity-Aware Trading and Position-Sizing Plan14 min read