During the last few decades, market microstructure has become an important discipline within the field of finance. The market microstructure literatures have been enriched by theoretical, empirical and experimental studies relating to other areas of finance such as assets pricing, corporate finance, international finance and welfare. The processes and rules of exchanging securities are considered an important issue since they affect the way in which trades are determined, prices are formed and scope of asymmetric information. However, the ways of describing how exchange process occurs in the markets are varied. This paper determines the components of the market microstructure black-box in terms of trading mechanisms and regulations governing various aspects of trading process. Determining the components of the black-box allows researchers to identify and compare the themes in market microstructure and issues facing the process of trading securities. Thus, this paper may be used as a source for future research ideas in comparing the market microstructure of exchanges. It also provides necessary input to the regulatory bodies to enhance the design of better markets. Furthermore, understanding how markets work and how it regulated can improve the investors trading strategies and they can better manage the brokers who work for them as well as the investors will be able to predict how various rules affect price efficiency, liquidity, and trading profits.