After reading Liar’s Poker, I was in NYC bookstore and I couldn’t resist to buy this book.
I’m not an expert on the field, even I do not consider myself an amateur, just a surprised citizen that was around.
I knew what was HFT, the importance of latency, that the market volume was high for HFTs…
But concepts as dark pools, running-front,…. have been a great discovery for me. And anecdotes about real things that have happened to the different flash boys, is some of my prefer parts of the book.
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From the book Quantitative Trading, by Ernie Change:
I trade through Goldman Sachs’s REDIPlus trading
platform, whose Sigma X execution engine routes orders to both its
internal crossing network as well as to external liquidity providers.
I have found that it often improves my execution price by more than
a few cents per share over execution on Interactive Brokers: more
than enough to offset its higher commissions.
http://joapen.com/blog/2017/09/20/quantitative-trading-ernie-chang/