" how exactly the whole trading mechanism works." <-- different exchanges have different rules and restrictions, even within a country (for example, there are s

" how exactly the whole trading mechanism works." <-- different exchanges have different rules and restrictions, even within a country (for example, there are special parity rules in NYSE which violate NASDAQ's "price-time priority" rules). And different countries have different rules, such as the US stock markets with Regulation NMS. Can you be more specific about which exchanges you want to work with? "point to me any books/blogs" <-- Larry Harris Trading and Exchanges http://tradingandexchanges.com/ http://tradingandexchanges.com/, a little bit outdated but still my favorite