Hey folks, I’ve been learning quite a lot about the markets — I studied the CFT curriculum, which teaches classic (traditional) technical analysis, and I’ve got enough experience to analyze markets based on what I learned there. I’m also actively involved in trading futures contracts. But now I’ve reached a point where I feel like I need to go deeper and understand how markets actually work — like how exchanges operate, how orders are executed, and all those behind-the-scenes details, which (as far as I know) fall under the term market microstructure. So, I got a book called Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris. But here’s the thing — the book is pretty old and talks a lot about the days when trading happened over phone calls, so a lot (not all, but most) of the info feels outdated and has been replaced by more modern systems. I tried looking for other books on market microstructure, but most of them seem to mix in high-frequency trading (HFT) and dive straight into heavy math and complicated formulas. That’s not what I’m looking for — I don’t want to become a high-frequency trader, haha! I just want to understand how the market is run and operates today (or at least in a modern-enough context). I can dig into the rest on my own later. So, do any of you know any good books that fit what I’m looking for? Thanks a lot, everyone!
Yeah, I read Harris a decade back. It wasn't much use then and even less so now. There's very basic info in a couple of books but beyond understanding who the major players are in the chain of price discovery, it comes to a juddering halt. Short answer - not AFAIK. But, if ever there was a case for GPT this is it. I'm in FX, and detailed info on settlement beyond generic T+2 (usually) simply isn't out there, anywhere. But a few hours Q&A and you'll dig into CLS settlement windows, TWAP stops @ T-1 before heavy news and a whole manner of stuff that's actually tradeable. And unlike Harris you can adopt pragmatic questioning; you're trying to figure this out to spot structural edges and price impact. Additional bonus, you'll never fall victim to the endless stories online which divine all kinds of motives to price action. Knowing why is powerful.
Hey, thanks for sharing your thoughts, Yeah, Harris feels pretty basic and outdated now. It’s really hard to find good info on how markets actually work these days. Using GPT to ask specific questions sounds like a smart way to get real answers without all the complicated stuff. And I totally agree, knowing the real reasons behind price moves beats all the random stories out there. Really appreciate your input, and thanks again for taking the time to share.
How the markets run and operate is a very generic kind of question. Specific questions should get you specific answers right here on the forum. Most of the time.
Yeah I know “how the market works” is a super broad question, but I actually pointed out some stuff I’m interested in inside the thread — I just didn’t wanna throw in all the questions here because it’d turn into the longest thread ever written haha, so I just stuck to asking for some newer market microstructure books.
yeah i did that before but all the books i found use heavy math so i decided to just post a thread here. thanks man really appreciate it.