Curriculum·Sophomore·S201
Market Structure and Price Formation
Mango Markets, 11 October 2022. Roughly $4M was used to buy MNGO across three venues, moving the oracle-reported price by around 2,300 percent by Solidus Labs' count; the CFTC put the oracle price rise at over 13-fold in a 30-minute span.
Lesson 1 opens on
The liquidation cascade of 10 October 2025
Following President Trump's announcement of a 100 percent tariff on Chinese imports, crypto markets sold off into perpetual futures open interest of about $217B, near a record, by CoinDesk's figures. More than $19B of leveraged positions were liquidated within 24 hours by Coinglass data, the largest single-day liquidation event on record.5 percent was forced selling.
The lessons
- S201-01Order booksRead a book as inventory at prices rather than as a price, and estimate the fill of a given sizeabout 41 min · opens on The liquidation cascade of 10 October 2025
- S201-02Who is on the other sideName the five participant types you trade against and what each one is optimizing forabout 32 min · opens on Alameda's exemption from the FTX liquidation engine
- S201-03AMMs vs order booksExplain how a constant-product pool sets a price without anybody quoting oneabout 31 min · opens on The $220,764 sandwich, March 2025
- S201-04Price across venuesExplain why one asset has many prices, and what has to be true for them to convergeabout 31 min · opens on The USDe dislocation on Binance, October 2025
- S201-0524/7 marketsExplain what continuous trading removes, and why the absence of a close is not the same as more liquidityabout 32 min · opens on The weekend of the Silicon Valley Bank failure, March 2023
Labs
S201-L
Walk the same notional through a deep book and a thin one as a market order and as a laddered limit, record the four realized prices and the spread between them, and reprice the market order on a crisis book with a third of the depth.