This is OK as a book, I read much of it many years ago: The Complete Guide to Capital Markets for Quantitative Professionals (McGraw-Hill Library of Investment

This is OK as a book, I read much of it many years ago: The Complete Guide to Capital Markets for Quantitative Professionals (McGraw-Hill Library of Investment & Finance) Hardcover – 1 Dec 2006 by Alex Kuznetsov A book on trading is prob more useful. There are many public specs of exchanges. For example: http://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Dissemination http://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3... The main thing to learn is orderbook building mechanics