Books for Learning Algorithmic Trading and Market Microstructure

Summary

The note recommends four books for learning algorithmic trading: one practical guide to execution and direct market access, two analytical treatments of market microstructure and liquidity, and a historical narrative that illustrates enduring trading concerns. Together, the selections span applied trading practice, formal theory, and historical perspective.

The recommendations come from an experienced algorithmic trader and teacher, but the document offers no comparative review, performance evidence, or detailed reading sequence. It gives only brief descriptions, so readers must consult the books themselves to judge their depth and fit. The historical book is presented as useful for its references to liquidity, order splitting, and off-exchange activity; those parallels are illustrative rather than a substitute for modern technical material.

Key ideas

• The reading list combines a practical guide with theoretical books on market microstructure and liquidity.
• A historical trading narrative can offer perspective on enduring issues such as liquidity and order splitting.
• The document recommends sources but provides little detail for comparing their coverage or suitability.

Tags

# Textbooks on algorithmic trading


# Textbooks on algorithmic trading












What are good sources and textbooks covering the theory and models behind algorithmic trading and strategies?

## Answer by kurtosis (score 5, accepted)

https://quant.stackexchange.com/a/55896

Having traded algorithmically for a couple of decades and taught on the subject, I'm going to recommend four books: one practical, two theoretical (but important), and one that is light -- a "beach read" that still touches on many important topics.

The practical book is Barry Johnson's Algorithmic Trading & DMA. It is self-published and superb.

The theoretical books are very good at helping you look at algorithmic trading problems with a proper perspective. The two books I would suggest are Joel Hasbrouck's Empirical Market Microstructure and Market Liquidity: Theory, Evidence, and Policy by Thierry Foucault, Marco Pagano, and Alisa Röell.

Finally: the beach read. Go grab a copy of Lefèvre's Reminiscences of a Stock Operator. Many modern issues surrounding liquidity, order splitting, off-exchange trading and more are referenced in some way there. Prescient for a book written in 1923.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.