Chapter 18 References

Sources for Exchange Architecture, Order Types and Execution, Market Data Systems, Low-Latency Engineering and High-Frequency Trading, Risk Controls, Clearing and Settlement, Auction Mechanisms and Price Matching, Exchange System Design, and On-Chain Exchange Mechanics. Return to the Chapter 18 overview for chapter scope.

Books

• Trading and Exchanges: Market Microstructure for Practitioners, Larry Harris.
• The Mechanics of Exchange Trading: A Practitioner’s Guide to the Electronic Order Book, Peter T. Toomey.
• Algorithmic and High-Frequency Trading, Carsten A. Gruber.
• Market Microstructure: A Survey, Maureen O’Hara.
• The Settlement of Securities Transactions, Frank J. Fabozzi and Stefano G. Mortarini.

Websites

• FIX Trading Community
• FIX Protocol specification
• SEC market structure resources
• BIS market structure and FX global code
• CPMI-IOSCO Principles for financial market infrastructures
• DTCC settlement and clearing resources
• LMAX Disruptor
• Linux SO_TIMESTAMPING documentation
• Ethereum transaction types
• CoW Protocol documentation
• Uniswap documentation