Market Microstructure & High-Frequency Trading
Market Microstructure & High-Frequency Trading: Building Latency-Optimized Strategies for Modern Markets: Order Book Dynamics, Smart Order Routing, and Low-Latency Execution for Quant Traders by James Preston, Hayden Van Der Post, Danny Munrow
English | September 16, 2025 | ISBN: N/A | ASIN: B0FRCR81YX | 736 pages | EPUB | 0.65 Mb
English | September 16, 2025 | ISBN: N/A | ASIN: B0FRCR81YX | 736 pages | EPUB | 0.65 Mb
Reactive Publishing
In modern markets, speed is alpha. Market Microstructure & High-Frequency Trading is your step-by-step guide to understanding how liquidity really works, and how to exploit it with precision.
This book takes you beyond academic theory, giving you a practitioner’s view of market microstructure, order book dynamics, and latency-optimized strategy design. Learn to engineer systems that operate at the speed of modern markets, from smart order routing to high-frequency execution algorithms.
Inside, you’ll master:
- Order Book Analytics, Model depth-of-book data, bid-ask dynamics, and hidden liquidity.
- Market Impact & Slippage Control, Minimize footprint with optimal execution algorithms and liquidity-aware sizing.
- Smart Order Routing, Navigate fragmented exchanges with routing logic that optimizes fills and minimizes cost.
- Latency Engineering, Design systems that achieve microsecond response times using co-location, low-latency networking, and efficient data pipelines.
- Backtesting & Simulation, Build realistic market simulators to stress-test strategies before live deployment.
If your goal is to capture alpha before the rest of the market reacts, this is the blueprint.