Reddit reviews Trading and Exchanges: Market Microstructure for Practitioners
We found 26 Reddit comments about Trading and Exchanges: Market Microstructure for Practitioners. Here are the top ones, ranked by their Reddit score.
The markets are complex. I recommend this book to everyone I dislike.
Probably start with something like:
And then you decide whether you are going to focus on one of the two primary trading strategies (mean reversion or momentum) and focus on that one for a bit.
And that's assuming you have the programming knowledge to implement a system that can handle this of course - otherwise I'd go start with C# or C++ until further notice.
Early on, I was in nasty drawdown period and I was having trouble figuring out what was off. I made the same mistake virtually all traders make, I caved to the vast collection of trading psychology books. When the guy mentoring me found out what I was reading, he gave me the following gem: Only pikers worry about psychology, either you have an edge and you exploit it, or you don't have one and you lose and chase every other excuse.
Trading and Exchanges
Options, Futures & Other Derivatives
Option Volatility & Pricing
Volatility Trading
Dynamic Hedging
99% of finance books are garbage, but those are the ones I thought helped me in some way or another. There's also plenty of interesting research papers if you've got access to some databases.
If you really want to learn about HFT and current US market structure, I would start by reading:
All of the papers reviewed in #2 can be found at http://papers.ssrn.com/
I would also highly recommend:
When reading any type of material remember how to critically evaluate information sources.
Looks like your questions and a lot more will be answered by reading the book Trading and Exchanges by Larry Harris. https://www.amazon.co.uk/Exchanges-Microstructure-Practitioners-Management-Association/dp/0195144708
The problem is that there really isn't a great way besides talking to people in the industry since it changes so often and sometimes even the exchange doesn't understand some of its nuances. The best book I can recommend is Trading and Exchanges
You can just use a reserve or hidden order, and so can anyone who wants to hide their true order size. I don't know exactly what you're looking for, but I don't think you'll find much advantage in order sizes.
The other thing you don't know is whether someone else is buying or a market maker is covering. Say a stock is at 4.40/4.41 and after many small orders at 4.41, a big order gets filled at 4.4024. That's likely a market maker buying at 4.4024 and selling them to retails at 4.41. So if you wanted to find some way to gain an advantage using this information, you'd have to remove that as well.
And then there's the issue of dark pools, which you can't see, and where (I think) a lot of the really big transactions take place.
Next, you don't know if someone is buying big or selling big. For every transaction, there's a buyer and a seller, right? So if there was just an order of 1 million shares, one person bought a lot of 1 million and one person sold a lot of 1 million. So which is more significant? Which is the market maker, if either? If you're somehow actually looking at the orders as they get to the exchange, you could see if it's a buyer or a seller I guess, but you're not going to see that.
IMO the real thing you could measure is spikes in trade volume, but again there's so much you'd need to filter out to have a good idea of whether it was a single trade that caused the spike. This is similar to looking at bid vs ask size, but they both don't necessarily mean one big order.
Lastly, I'm no expert, but I don't think the guy you quoted was either. As I understand it, there's generally not a human on the other side of the screen selling you the contracts, it's usually algorithms, with lower and upper bounds (bid-ask) based on black-scholes, which they won't cross For example, they may be willing to pay up to 3.20 for an option and sell it for down to 3.35, since their equation gives them a fair price of around 2.27. The spread may show up as 3.00 / 3.55, but if you put in a bid of 3.15 they'll all match you. They'll stop matching once you pass the threshold, so when you bid 3.25, and will probably fill once you bid 3.35. Now if a human crosses that spread on the other side, you can get a fill at 3.25 or 3.30. I really doubt many people care what size you put in though. And if they're all at the same time, I think they'll all show up together anyways on level 2. Again, maybe I'm totally wrong, but I don't think so. If you want to learn the facts (as I probably should), I believe this is the go-to textbook.
May not be exactly what you're looking for, but I've had Trading & Exchanges: Market Microstructure for Practitioners as a textbook for a course at my university.
It covers a lot of useful stuff (from amazon): "This book is about trading, the people who trade securities and contracts, the marketplaces where they trade, and the rules that govern it. Readers will learn about investors, brokers, dealers, arbitrageurs, retail traders, day traders, rogue traders, and gamblers; exchanges, boards of trade, dealer networks, ECNs (electronic communications networks), crossing markets, and pink sheets. Also covered in this text are single price auctions, open outcry auctions, and brokered markets limit orders, market orders, and stop orders. Finally, the author covers the areas of program trades, block trades, and short trades, price priority, time precedence, public order precedence, and display precedence, insider trading, scalping, and bluffing, and investing, speculating, and gambling."
It might be a bit dated by now, but it's still very nice to have. Link to book extract here, for evaluation purposes.
Algorithmic Trading: Winning Strategies and Their Rationale by Ernie Chan
Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris
Algorithmic Trading and DMA: An introduction to direct access trading strategies by Barry Johnson
I think it's doable.
If you do it, you HAVE to read this.
http://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/0195144708/ref=sr_1_1?ie=UTF8&qid=1377335426&sr=8-1&keywords=trading+and+exchanges
Trading and Exchanges by Larry Harris is probably the best. It tends to lean toward Equities, but many of the concepts (market participants; economics; etc) are universal to all assets. The market structure itself tends to deviate for other assets, but this should give you enough of a baseline to know what else to search for if you want to go deeper down the rabbit hole.
Second may be Empirical Market Microstructure by Joel Hasbrouck.
If you want something on more exotic asset types (STIRs or such) let me know.
Apparently I once bookmarked this book when I was looking to learn more about HFT: http://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/0195144708/ref=wl_it_dp_o_pC_nS?ie=UTF8&coliid=I2YK1ET4604N7S&colid=2UOSB6L07SJO4
I can't seem to locate the exact paper, but I'm pretty sure it was by this guy:
http://www-bcf.usc.edu/~lharris/
He touches on similar topics here:
Trading and Exchanges: Market Microstructure for Practitioners
It's a bit dated, and doesn't get into what modern quants do at all, but I would consider it required reading on the fundamentals of how markets actually work.
It is how I make my bread, day in and day out, so I can't complain. It'd be more helpful if you iterated what exactly you're interested in, but I'll list books/resources that I always give people to start out with. I think it's really important to get a solid understanding of how the entire system works before jumping straight in (which most people end up doing, and their performance shows it).
Personally I just search for papers. There are lots of good academic papers on market microstructure, specific strategies, I just had some pulled up too but I lost them, if I find any I'll post them
Just to make sure these are the books that are considered too old, because I still think they have a lot of good information:
Trading and Exchanges
Algorithmic Trading & DMA
That would actually be a high frequency trader. Traders buying and selling help provide liquidity - ie the ability of others to buy and sell as they want. There are many books about how markets and trading actually work. My favourite is Trading and Exchanges.
Your snide comment is mainly a distaste for what is known as front running. It is illegal.
Trading and Exchanges
Options, Futures, and Other Derivatives
Option Volatility & Pricing
Option Market Making
Trading Spreads and Seasonals
Algorithmic Trading and DMA
There are more advanced and quantitative resources out there but you will need to wrap your head around these concepts before you go further. I should mention that reading these things won't guarantee to make you a profitable trader but you will "get a better understanding of the field."
Online resources:
Investopedia
Elitetrader (most popular trading forum, lots of posters... mostly bad)
Nuclearphynance (smaller but more advanced community)
Those books but not Trading and Exchanges?
Let's say that the dev. has read
https://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/0195144708
cover to cover (like I have many years ago): then what?
which market/asset do you recommend for the quickest way to their hands "dirty"?
i am sure you would not recommend they pay USD 5000/m for the NYSE openbook ultra feed and start playing with that at home.
http://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/0195144708
Although a little old (and arguably outdated), I read this casually over the summer and found it insightful for getting a better understanding of how the markets function.
If you're a practitioner or academic, I recommend Trading and Exchanges by Larry Harris (USC). Joel Hasbrouck (NYU) also has a great set of lecture notes for his course, Securities Trading: Principles and Procedures. Finally, Eugene White at Rutgers has written extensively about the history of equities trading; his papers would be a great place to dive in.
For lighter reading, I don't have great recommendations for equities. On the derivatives side, I recommend The Futures by Emily Lambert and Zero-Sum Game by Erika Olson.
https://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/0195144708/ref=mp_s_a_1_3?keywords=trading+and+exchanges&qid=1572839166&sprefix=trading+and+ex&sr=8-3
Old but a classic
http://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/0195144708/ref=sr_1_1?ie=UTF8&qid=1458847184&sr=8-1&keywords=market+microstructure+tradings
Is probably a good starting point. I don't have anything like flash boys unfortunately thats an easy read.
read this book: http://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/0195144708
then talk about the market.
Around 20 or so. I think Harris' Trading & Exchanges is one of the best that I read in the beginning, if that's what you're looking for.
I don't trade off candlestick patterns.