Best quant book for direct market access and stock market exchange order book understanding?

(Last Updated On: August 1, 2012)
Best quant book for direct market access and stock market exchange order book understanding?
This was from a visitor on my Youtube channel at
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´╗┐


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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at