Strasmore Research

Educational explainers, recurring market-structure breakdowns, and historical deep-dives — every number sourced from a stored query against real market data.

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Deep Dives 2026-07-03

Microstructure Deep-Dive: June 29, 2026, Tick by Tick

Under the hood of June 29, 2026: the full trade and quote tape, a dictionary-derived volume correction, nanosecond receipts, and a truncated FINRA file.

#microstructure #deepdive #spy #nbbo #condition codes