Book Reference/Recommendation for Order Types & Algo's

Discussion in 'Order Execution' started by big_premium, Nov 21, 2020 at 1:58 PM.

  1. The US Exchanges & brokers (like IB) offer many different order types.

    Some of them are <<exotic>> like Funari, Iceberg, Crossfinder, Dark Seek etc.

    Which is the best book -ONLY FOR ORDERS & EXECUTION?

    Please don't recommend day-trading, technical analysis, trading for dummies books or IB's manual.
    christielowe likes this.
  2. Not sure if this is what you need but you might check out:

  3. May i ask reason as why you don't want use IB documentation ?

    Because for each order type there is a trade example from entry to exit point .
    christielowe and comagnum like this.
  4. I've spent the last couple months on (live) testing a bunch of them and didn't find any execution advantage to using simple market or marketable limit orders once a buy/sell condition was triggered on highly liquid stocks/etfs
    comagnum likes this.
  5. I am sorry not, this book is from 2002, and contents like: Specialists, Floor Vs ATS, Insider trading, I need 100% specialized book on orders, dark, algos etc
  6. the IB's videos & IB's documentation are sometimes written very <<synoptically>>
  7. For exact details of specific algos you can and should look at the brokers materials, but you need to understand what they are talking about.

    Harris book is dated, of course, but it's required reading before you can move to understanding what is what in the modern trading scene. Barry Johnsons book is where I'd go next and the rest is best covered by various sell-side introductory papers.
    eternaldelight likes this.
  8. can you recommend to me some of these introductory papers?
    christielowe likes this.