Start here: how markets actually work
Trading and Exchanges: Market Microstructure for Practitioners
The standard practitioner introduction: who trades and why, order types, market structures, and where spreads and liquidity come from. Read first if you are new to market plumbing.
Market microstructure: A survey
Compact survey of price formation, market structure and transparency. The best short paper to start the academic literature.
Continuous Auctions and Insider Trading
Introduces Kyle's lambda: an informed trader hides in noise flow and prices move linearly with net order flow. The root of most impact models.
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
Spreads exist even with zero costs because market makers lose to informed traders. The core intuition behind adverse selection and toxic flow.
High frequency market microstructure
Argues classic microstructure must be rethought for HFT: orders, not trades, now carry the information.
Limit order books
The best single survey of LOB mechanics, stylized facts and models. Start here for anything order-book related.