II · Market architecture
Station II of The Quant Map: markets and wrappers. Spot, futures, perps, ETFs, CFDs, and the P&L each one hides. Reading order plus the free map PDF.
where edges live: underlying markets × instruments, two different axes
The market is the thing whose price you care about. The wrapper is the contract you hold: spot, forward, future, perpetual, ETF, CFD. Four ways to be long bitcoin are one view and four P&Ls. Spot has custody. A quarterly future makes you pay or earn the basis every roll. A spot ETF sleeps while bitcoin does not. A perpetual never expires, and the crowded side pays funding, about 11% a year when the 8-hour print is 0.01%, and much more in a mania. In April 2020, spot oil recovered from the negative print. Holders of the rolled-futures wrapper did not get that recovery back. Being right about the market and wrong about the wrapper still loses the money.
Architecture is two axes, markets times instruments, and most retail losses blamed on "the market" are the instrument: the roll, the funding, the swap on the retail wrapper. Learn the wrapper's cash flows before reading any signal on it.
The Quant Map PDF works this spine through example research: five full descents from observation to live rule, and a library of 835 strategy entries, each with a named payer and a named failure mode. Get the free PDF on the Start Here page.
Reading order
Top to bottom. Stop at the first article you cannot apply to a live trade; that is the one to read slowly.
| Article | Why it is on this row |
|---|---|
| How FX PnL Actually Works | The pair, the account currency, and the roll are three different numbers. The backtest on a clean mid misses two of them. |
| Market Orders vs Limit Orders in FX | The order type chooses who pays the spread. That choice belongs in the strategy. |
| Why Bid/Ask Bounce Matters for Intraday FX Systems | On a short horizon the bounce is a large fraction of the move you think you forecast. |
| Currency Quoting Conventions: Numerator, Denominator, and the Priority Order | Which currency is the price, and which is the thing priced, changes the sign of every feature you build. |
| Cross-Exchange Fair Value for Crypto Perps | The same coin on two wrappers. The gap is a basis, a funding stream, and a venue risk. |
| The 24-Hour Rolling-Return Artifact | A clock you imposed on a market that does not close will manufacture a return that is not there. |
| Using Ratios as Trading Signals | A ratio is a wrapper around two prices. Know which leg the position is betting. |
On the map: ← I · Foundations · The grand map · III · Market theory →