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Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris
Date Finished: July 13th, 2017
Reading Time: A summer
T&E is the bible of market microstructure. It’s also a sobering reminder of why most people can’t even begin to imagine why they can’t compete in modern markets and why Flash Boys succeeded as a mass-market novel but failed as a criticism of the industry. Whether you care about regulation, making money, or the efficiencies of capitalistic societies (aren’t all of these the same thing?), this book has something for you.
I work in the industry and have finally completed reading the book from front to back. It’s important, nay, essential, in honing one’s mastery of the environment we’re in. As I glance back at the Wall Street novels I have enjoyed and the hundreds of Bloomberg articles I’ve now torn through, I really wish I had made an effort to read this book sooner. The breadth and depth of information are staggering. It’s outdated in some parts, but the core concepts are totally relevant and still very much foundational. When people call it outdated they are more than likely talking more about the Bernie Madoff sections.
It’s also dry, which is a good natural sleep aid. When you’re trying to fall asleep, that is. If I didn’t have industry experience I’d have found it hard to connect the dots in places, but whether a reference book or a primer for the newly-hired, it’s essential, your feelings about books termed bibles notwithstanding.
The topic of a rewrite is a difficult one to approach. All major players in the markets must be making their employees read this. Either that, or they maintain internal docs that paraphrase the most important parts and provide more insights. The point is that it’s still super usable even though it feels old. Would it be worth the author’s time to slim it down a little and update it? I’m not sure.