I know it's a broad question, but I'm curious as to the current state of microstructure analysis, specifically whether there's anything 'actionable' that people have discovered. Would also be interested in relevant literature on the subject.
A lot of people are working on this and at this time a lot of money and investment is chasing this. As a result market microstructure is changing a lot. Liquidity is becoming much less visible. You have stocks that might trade a 100 million shares a day but the sizes you will see in the book at any time in a lit exchange like Nasdaq might not be more than 1000! Almost everything learnt about microstructure two years ago is irrelevant now!