Abstract: The liquidity aspect of Kuala Lumpur foreign exchange market continues to be a puzzle to researchers. Most of microstructure literatures focused on developed and matured markets such as England, US, Japan, Europe and Australia. However, conceptual studies on the Kuala Lumpur foreign exchange market are often neglected by most researchers due to the smallest trading size and Malaysian Ringgit is not being one of active currencies traded in the international market. The purpose of this study is to provide an overview, structure and liquidity in Kuala Lumpur foreign exchange market which will distinguish this study from most of the literatures. This study focuses on a particular blend of Malaysia ingredients USD/MYR that have the potential to put Malaysia at the forefront of this research. Furthermore, this study provides the historical background of Malaysian Ringgit for a better understanding of the development and growth of the foreign exchange market in Malaysia. This study provides an overview of Kuala Lumpur foreign exchange market from microstructure perspectives.