LearnLibrary
Library
333 sources, each one placed in the module that uses it. 108 videos · 18 playlists · 16 courses · 43 books · 33 papers · 32 reports · 4 PDFs · 15 newsletters · 9 sites · 3 regulators · 31 data sets · 21 tools. Links were checked when the library was built, except 13 sites that block automated checks. Papers carry a DOI where one exists.
Type
Track
333 sources. Ordered as the curriculum uses them.
Auction Market Theory Explained in 20 Minutes (How Pros Read Market Context)
Video · Trader Drysdale · 19:00
Value area, balance and imbalance in twenty minutes. This is the mental model the rest of the track builds on.
Lecture 6: Limit Order Book Markets (Financial Markets Microstructure)
Video · economification · 1:20:36
A university lecture that builds the limit order book from first principles: priority rules, spread and depth.
What are HFTs and How Do They Make Money? | In The Money by Zerodha
Video · In The Money by Zerodha · 24:54
Who sits on the other side of your order in India, and how high-frequency firms earn the spread.
Book
Trading and Exchanges: Market Microstructure for Practitioners
Larry Harris
The standard practitioner text. Read the chapters on order types, market structures and the taxonomy of traders.
Paper
Limit order books
Gould, Porter, Williams et al. · 2013 · Quantitative Finance · doi:10.1080/14697688.2013.803148 · free copy
A survey of what real order book data show. Use it as a map of the stylised facts before reading individual papers.
Book
Mind Over Markets
James F. Dalton
Market Profile from its best teacher. Shows how to read a whole session as an auction.
Book
Markets in Profile
James F. Dalton, Robert Bevan Dalton, Eric Thomas Jones
Extends profile to longer timeframes and to how different participants behave around value.
Paper
High frequency trading and the new market makers
Menkveld · 2013 · Journal of Financial Markets · doi:10.1016/j.finmar.2013.06.006
Evidence that the modern market maker is a high-frequency trader, with numbers on how it manages inventory.
Paper
The Price Impact of Order Book Events
Cont, Kukanov, Stoikov · 2013 · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbt003 · free copy
Shows that short-term price changes are driven by order flow imbalance at the best bid and ask. Read the abstract and section 2 first.
Paper
Continuous Auctions and Insider Trading
Kyle · 1985 · Econometrica · doi:10.2307/1913210
The founding model. An informed trader hides in noise and the market maker sets price from net order flow.
Paper
How Markets Slowly Digest Changes in Supply and Demand
Bouchaud, Farmer, Lillo · 2008 · doi:10.2139/ssrn.1266681 · free copy
Why order flow is highly persistent yet prices stay close to unpredictable. Introduces the square-root impact law.
Where market making meets market microstructure
Video · Sasha Stoikov · 1:19:42
How a market maker thinks about inventory, adverse selection and fair value, from the researcher who formalised the micro-price.
Paper
Flow Toxicity and Liquidity in a High-frequency World
Easley, López de Prado, O'Hara · 2012 · Review of Financial Studies · doi:10.1093/rfs/hhs053
VPIN, a measure of flow toxicity in volume time. Read it with some scepticism. The result is debated.
Paper
The micro-price: a high-frequency estimator of future prices
Stoikov · 2018 · Quantitative Finance · doi:10.1080/14697688.2018.1489139
A better fair-value estimate than the mid price, built from book imbalance.
Book
Trades, Quotes and Prices
Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier
The book-length treatment, with data. Best single source on impact.
Stochastic Market Microstructure Models of Limit Order Books
Video · INFORMS · 1:28:22
A research talk on queueing models of the book. For the mathematically inclined.
Order Flow First Steps
Video · Jigsaw Trading · 42:17
The gentlest correct introduction. Watch this before any tool-specific video.
What The Price Ladder Shows You That A Chart Can't
Video · Axia Futures · 4:13
Four minutes on what a price ladder shows that a chart hides.
VOLUME PROFILE: The Ultimate Day Trading Guide for 2026 (Full Training – Chapters 1–10)
Video · Trader Dale · 2:09:01
A full course on volume profile in one sitting. Take notes on the three profile shapes.
Introduction to Order Flow Analysis for Day Trading - 2014
Video · Jigsaw Trading · 1:44:37
A long, practical session on reading order flow for intraday trades.
Order Flow - Keeping it Simple, Practical & Effective
Video · Jigsaw Trading · 1:03:56
Strips order flow down to a few repeatable observations. Good antidote to indicator overload.
How To Read the Depth of Market (DOM)
Video · Jon Watkins · 36:45
How to read the depth of market, from a professional futures trader.
Depth of Market for Trading: Tutorial
Video · TradingView · 15:11
The same ideas shown on a platform you may already use.
Order Flow Analysis: How to use Absorption & Delta to Confirm Trade Entry
Video · Trader Dale · 8:06
Absorption and delta used to confirm an entry at a level chosen in advance.
Cumulative Volume Delta - One Of The Best Orderflow Trading Tools
Video · Price Action Volume Trader · 21:35
Cumulative volume delta explained with examples of divergence.
How does a Liquidity Heatmap work
Video · Bookmap · 3:09
What a liquidity heatmap displays and how to read resting size.
An Important Lesson on Reading the Tape
Video · SMB Capital · 41:03
A prop firm's lesson on tape reading with a real trade review.
Top 4 Tape Reading Mistakes (& How Scalping Can Save You!)
Video · SMB Capital · 34:35
Common tape-reading errors. Worth it once you have screen time.
Course
Course
Learning Center: A Practical Guide to Trading
Bookmap
A practical library on heatmaps, absorption and iceberg orders.
FOOTPRINT TRADING TUTORIALS
Playlist · Axia Futures · 42 videos
Forty-two short footprint tutorials. Use as a reference, not a binge.
PRICE LADDER TRADING TUTORIALS
Playlist · Axia Futures · 84 videos
Eighty-four ladder drills from a futures prop firm.
Tool
GoCharting: NSE and MCX order flow charting
GoCharting
The tool to use for NSE and MCX. Footprint, delta and profile on Indian instruments.
Tool
ATAS order flow and volume analysis platform
ATAS
A dedicated order flow platform, strongest on futures.
Tool
Tool
Scalping Series
Playlist · In The Money by Zerodha · 6 videos
What very short-term trading on NSE demands in practice, including what costs do to it.
Course
Varsity Module 7: Markets and Taxation
Zerodha Varsity
Charges and tax on Indian trades. Know the exact cost of a round trip before sizing a scalp.
Paper
Optimal execution of portfolio transactions
Almgren, Chriss · 2001 · The Journal of Risk · doi:10.21314/jor.2001.041
The classic framework for trading a large order: the efficient frontier between impact cost and timing risk.
Book
Algorithmic and High-Frequency Trading
Álvaro Cartea, Sebastian Jaimungal, José Penalva
The mathematics of execution and market making.
What Happens After the Market Closes? | In The Money by Zerodha
Video · In The Money by Zerodha · 25:59
What happens between the closing bell and the next open: settlement, clearing and obligations.
SEBI's new Closing Auction Session (CAS): What's changing and how the closing price is set
Video · Zerodha · 6:20
How the new closing auction session sets the closing price.
Explained: Why Sebi barred US trading giant Jane Street from Indian markets | Stock market news
Video · Business Standard · 2:59
The Jane Street matter in three minutes.
SEBI's Shocking Ban on Jane Street Explained
Video · Groww · 10:10
A longer walk through the alleged strategies.
Regulator
Interim Order in the matter of Index manipulation by Jane Street Group
SEBI · 2025
The primary source. Read the sections describing the two strategies. Skim the rest.
New F&O Closing Auction Rules Explained | How SEBI's New Norms Will Impact Traders
Video · NDTV Profit · 2:04
The closing auction rules for the derivatives segment.
SEBI Algo Trading Changes — April 2026: Static IPs & More
Video · In The Money by Zerodha · 21:34
The retail algo trading framework and what changed in April 2026.
Regulator
Circular: Measures to Strengthen Equity Index Derivatives Framework
SEBI · 2024
The circular that reshaped index derivatives. Primary source for contract size, expiry and margin changes.
Course
Varsity Module 5: Options Theory for Professional Trading
Zerodha Varsity
The best free written course on options, with Indian examples. Skim the early chapters and slow down at the Greeks.