I have some sort of idea of the current market structure as it relates to equity markets. E.g. all the different exchanges, ECNs, alternative trading systems, some of the dark pools run by big institutions (e.g. SIGMA X), etc. But I learned most of that in fragments and the understanding pieced together and accrued over time. I was wondering where is a goto place to read up on and learn the current market structure as a review? Not only for equity markets but for options markets, and futures markets, at least for North American markets for now. I'd like to learn all the names of all the exchanges. All the dark pools. All the ATS's. Ideally, I'd see flow charts of how each is interlinked etc. It just seems like the market structure has gotten extremely complex overtime with more and more participants and trading venues that most traders don't even understand how the structure works at all. And perhaps you don't need to if you're all about taking the bid/offer or just being a trader but I think understanding market structure is beneficial. I don't even think they teach these specifics for CFA courses or at school. It seems you either learn on the job (HFT or you're a market maker, or system developer for a broker) or you won't know what's going on at all. It seems for most every other trader, the market structure is a "black box" where you put in the quote and let the "smart router" from your broker do the rest of the job for you. Is there a goto place to learn this stuff?
http://haimbodek.com/electronic_markets.html That's a decent start for the exchanges/ECNs. I'm not aware of a place that aggregates all the different dark pools execution rules. You're probably going to have to put it together yourself by looking at each pool/algo's documentation. Example: http://www.pdqats.com/platform/process/ Some you'll have to acquire through correspondence or as a customer. https://www.citadelsecurities.com/ces-institutional/
Dennis Dick who writes for the CFA magazine usually have an interesting perspective on how to adapt to a HFT world His latest article http://www.cfapubs.org/doi/pdf/10.2469/cfm.v25.n5.7