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.
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 .
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
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
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.
Actually, this is now out there: https://www.amazon.com/dp/0578715236/ref=cm_sw_r_cp_awdb_imm_t1_SSqVFbZ7N2AGV I have not read it, but will in the near future
1. Algorithmic Trading and DMA: An Introduction to Direct Access Trading Strategies written by Barry Johnson 2. High-frequency trading written by Maureen O'Hara 3. Trades, Quotes Prices: Financial Markets under the Microscope written by Jean-Philippe Bouchaud