Trading and Exchanges (Harris)

The standard text on market microstructure: how an order reaches a book, why the spread is what it is, and what every venue rule is actually for. Read before any market-making or execution interview.

Trading and Exchanges

This book covers trading, the participants who trade securities and contracts, the marketplaces where they operate, and the governing rules. It describes the roles of investors, brokers, dealers, arbitrageurs, retail traders, day traders, rogue traders, and gamblers.

The text examines various trading venues, including exchanges, boards of trade, dealer networks, electronic communications networks (ECNs), crossing markets, and pink sheets. It also explains market structures such as single price auctions, open outcry auctions, and brokered markets.

Readers will find information on order types, including limit orders, market orders, and stop orders. The author also discusses specific trading practices: program trades, block trades, short trades, price priority, time precedence, public order precedence, and display precedence.