Trading and Exchanges: Market Microstructure for Practitioners
Larry Harris served as chief economist of the SEC and wrote this book as the comprehensive practitioner's guide to market microstructure, the study of how prices actually form and trades actually get done. He walks through every category of market participant, from retail investors and mutual funds to dealers, block traders, and high-frequency arbitrageurs, and explains the mechanics of order books, auctions, dark pools, and cross markets. The writing is careful and neutral, closer to a graduate textbook than a market-color memoir, but Harris has a gift for using worked examples to show why each design choice has consequences for whose orders get filled first and at what price. The book is widely used in professional trading desk training, in regulatory offices, and by engineers building exchanges or payment systems who need to understand how trust and priority are actually implemented.
What you might want to know about Trading and Exchanges: Market Microstructure for Practitioners
The questions readers send us most often, answered without spoilers.
The standard reference on how modern financial markets actually work, from order types to market makers to the strategies that different participants use.
McKenzie has recommended Harris's book as the single best source for understanding how exchanges, order books, and market participants actually interact, and has drawn on it in his writing on payments infrastructure and financial systems.
No, though it is a serious textbook. Harris starts from first principles and defines every term, but the book rewards readers who are comfortable with detail and are willing to work through examples.
Trading and Exchanges: Market Microstructure for Practitioners was written by Larry Harris, published in 2002 by Oxford University Press.
Trading and Exchanges: Market Microstructure for Practitioners is 656 pages in standard print editions, though page counts vary slightly between hardcover, paperback, and large-print formats.
At an average reading pace of about 250 words per minute, Trading and Exchanges: Market Microstructure for Practitioners takes most readers 10 to 14 hours to finish.
Trading and Exchanges: Market Microstructure for Practitioners is available in hardcover, paperback, ebook, and audiobook formats from Amazon, Bookshop.org, ThriftBooks, and most major bookstores.