Hi y'all, I am a advance programmer in C++ and I'm getting a job in an exchange. I was just wondering around and found this forum. Since I got my new job but I don't have any finance background, how does a ECN work? And is there any simple pseudo codes that I can learn to emulate what it does basically? I tried to find threads in this case, but I found none. Thanks for your help!
The interesting thing is that, at least for a long time, the ISLD ECN was run entirely on a single Dell desktop computer. What it boils down to is that all those thousands of stock traders trading thousands of stocks is still very slow compared to computers. The best way to get introduced to how ECNs work, I think, is to pick up an introduction to proprietary trading or "prop trading". Here's a couple I like on AMZN: http://www.amazon.com/One-Good-Trade-Competitive-Proprietary/dp/0470529407 and especially useful: http://www.amazon.com/The-Prop-Traders-Chronicles-Proprietary/dp/1118241088
This links to info on Josh Levine's original Island ECN, which is more or less the "ancestor" of all modern equity ECN's: http://www.josh.com/notes/island-ecn-10th-birthday/
Sounds like OP needs the basics. Like "what is an order" and such. http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207/ This is a good introduction.