The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. This book provides an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to a discussion of the theoretical and empirical model of market miscrostructure. The material is intended for PhD and Masters (MSc or MPhil) students in economics or finance. Readers are expected to have some background in microeconomic theory, basic finance and some statistics. The aim is to provide the student with the tools to be able to read and appreciate academic papers on market microstructure.