We explain the importance of Market Microstructure in the study of the Financial Markets; and then describe the Market Participants who collectively comprise the Financial Market. After a short history of capital markets, we describe the transition of the trading activities from the physical markets to computer enabled automated exchanges. We discuss how the investment community is related to the trading community; these we categorize as the Mainstream Market Participants. The providers of information about the market have emerged in many ways equally important market participants we call them Tertiary Market Participants. Lately automated trading and algorithmic trading have become the mainstay of the market. We have studied the rise of ‘Algo Trading’ in the equities and equity derivatives as well growth of ‘Algo Trading’ across other asset classes. News sentiment, social media sentiment (micro blogs) have gained importance in respect of how they affect the Market. This as well as recently emerging Alternative Data as influencer of Market activities have been considered in the final section of this Whitepaper.