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This page has links to materials useful in teaching or exploring market microstructure.
7EX is a light-weight interactive Excel spreadsheet that simulates trading in a securities market. It presents you with a trading screen where you can track the market and place market and limit orders. You can play scenarios of varying complexity and trade/price dynamics, using market and limit orders. The simulations are short (generally under two minutes), and suitable for quick in-class exercises. 7EX requires Microsoft Excel 2010 or 2013 on a Windows machine. The simulation is coded in Visual Basic for Applications (VBA), and macros must be enabled. The current version is 7EXv03 (August, 2013). Also see the 7EX Users Guide.
B/View is an interactive Java application to help you visualize a limit order book and the dynamics of the book. It is configured with a complete set of messages for one stock on one day, taken from Nasdaq's Inet system. Using the program, you can "play" the market like a video. You can also play it backwards, single-step forward (and backward), locate executions, and move around within the day.
SimpleSequentialTradeModel02.xls describes a basic Glosten-Milgrom sequential trade model. It displays the event tree, calculates all probabilities, and plots bids and asks for a given sequence of purchases and sales.