Financial markets are often called the Great Games. This book explores some microstructure characteristics of those great games, with focus on the behaviors of individual investors. The first part studies the retail investors in US equity market. The second part explains the trading mechanism of Chinese Equity market and pays special attention to its individual players. The third part investigates the microstructure characteristics of the Credit Default Swap (CDS) market. My study analyzes the trading mechanism of the various financial markets, and make suggestions for individual investors to survive in the mechanism.