Market microstructure has been a very popular study topic for the last half century, but a financial engineering approach in this area is relatively new. In this chapter, we review recent developments of market microstructure studies using financial engineering techniques. These includes general equilibrium in continuous time, modeling of market frictions such as liquidity risk and transaction cost, modeling of limit order book dynamics which directly compensates classical bid and ask spread studies, high frequency (tick by tick) price dynamics and microstructure noise, and news arrivals and information asymmetry.