In the past twenty years , market microstructure has grown so dramatically that it is now a recognized sub2 field within finance. Market microstructure research is valuable for illuminating the behavior of price and markets. This has immediate application in the regulation and design of new trading mechanisms. This paper systematically review the existent research on microstructure domestic and aboard. Then in term of market microstructure theory , we analyze the microstructure of the Chinese stock market , and bring forward some instructive proposals concerning the development of the Chinese stock market