Quant book suggestion for how stock trading order book works
hi quantlabs, can you recommend any good literature or tutorials or anything that explains in detail how the order book works? So things like how trading the order book in an aggressive or passive manner works? How your order is placed in the order book depending on what you do? I basically am really interested in learning how the order book works when you interact with it as a trader of any sort.
Algorithmic Trading and DMA: An introduction to direct access trading strategies
http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!