This chapter introduces the real behaviour at trading venues. The real or digital locations where traders place orders and other traders accept that orders. The matching of two fitting orders generates a transaction and produces a price. The last mile of a trading process cannot be studied by investigating time series of prices. Prices are the final product of the trading process. We propose an innovative description of order’s placing and matching. At the end of that chapter is a short comparison of mean variance modelling versus real decision making: the one developed to handle decisions under risk und the other developed to handle decisions under uncertainty. We vote for the decision-making under uncertainty and explain the tool proposed in the next chapter.