Trading and Exchanges

What Hacker News says

1. koliberNov 2025
   # Books

   ## *Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris*

   - comprehensive overview written in an accessible way

   ## *The Microstructure of Financial Markets by Frank de Jong and Barbara Rindi*

   - 1st 1/4 of the book is generally useful. Then the math starts. This math is not needed to get a basic overview.

   These are two books I wish someone gave to me when I started my first capital markets software engineering job. I recommend them to all the people I place in financial system engineering roles.

   This is my passion. Message me if you want to talk more about this — see HN profile for contact info.

   Show morethread
2. clusterhacksOct 2023
   Totally agree it was a blast. I learned a ton about trading just reading various recommended resources (Harris Trading and Exchanges was a solid intro) and then solving the levels.

   I don't think very many players did all the Starfighter trading challenges. patio11 or tptacek might be able to confirm, but I vaguely recall being one of like 100 or so to do all six levels of out of 10,000 that started. But I also had free time for playful coding and was nerding out on online challenges back then.

   When Starfighter came out, I was energized and hopeful that hiring would go in this direction for programmers or that it would open doors to me as a job seeker that I couldn't every push through. No such luck.

   From the hiring side, I have been on two hiring committees this year. Most applicants lacked any meaningful programming projects they could use to demonstrate skills. Something like completing a series of online challenges would be a difference maker.

   That said, one candidate mentioned doing HackerRank challenges to learn Python and SQL, but totally flamed out on being able to even talk through a for loop in Python or come up with a simple select against a table in the in-person interview. Maybe nerves, but it also felt like the candidate's experience was 100% as just a warm body in various cubicle farms. It was very awkward. Several non-developers on the hiring committee felt like the candidate had actively lied about previous experience . . .

   Show morethread
3. maxbondJul 2023
   I don't know very much about HFT, and these books are old, so take this with a cow lick of salt, but I've seen these mentioned on a blog I found here on HN (by 'yummyfajitas), and I found them illuminating:

   Algorithmic Trading & DMA by Barry Johnson

   Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris

   You might also be interested in 'yummyfajitas blog:

   https://www.chrisstucchio.com/blog/2012/hft_apology.html

   If people have up to date replacements for these books, I'd be super interested.

   If you keep asking around, people are gunnuh recommend Reminiscences of a Stock Operator, and it's an enjoyable book but keep in mind that it's basically the fictionalized biography of a problem gambler who happened to operate in the stock market, he traded recklessly and died destitute (by suicide - when you reread it, you start to notice how he never mentions enjoying anything, or talks about the people in his life in more than passing). Don't take it too seriously.

   Show morethread
4. romanhnJul 2021
   Check out Larry Harris' Trading and Exchanges: Market Microstructure for Practitioners. Might be somewhat dated by now, but I bet still very relevant.
   thread
5. 92eandsa9aApr 2021
   "Trading and Exchanges: Market Microstructure for Practitioners" is a good introductory book that covers how markets work on a high level. It doesn't teach you how to build profitable systems. That you won't find anywhere anyway.
   thread
6. wjJan 2021
   Two books that I might recommend for others that are interested are:

   Trading and Exchanges: Market Microstructure for Practitioners (cost of this on Amazon seems to have more than doubled since I bought it 11 years ago)

   Algorithmic Trading and DMA: An introduction to direct access trading strategies

   thread