Classic
Trading and Exchanges
Market microstructure for practitioners
Larry Harris · 2002 · Oxford University Press
Institutional view of trading mechanics and market design.
- Market microstructure
Market Structure and Execution
Microstructure, venues, and algorithmic execution.
4 books in order
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Classic
Market Microstructure Theory
Maureen O'Hara · 1998 · John Wiley & Sons
Foundational microstructure theory.
- Market microstructure
Classic
Algorithmic Trading & DMA
Barry Johnson · 2010 · John Wiley & Sons
Execution, algorithms, and market access mechanics.
- Market microstructure
- Quantitative finance
High-Frequency Trading
Irene Aldridge · 2013 · John Wiley & Sons
HFT strategies and infrastructure overview.
- Market microstructure
- Quantitative finance