Algorithmic trading & DMA
by Barry Johnson · first published 2010
73% recommend27% neutral
Why HN recommends it
Explains how direct market access and algorithmic order execution work, with a thorough, clear treatment of trading strategies. Serves as a technical primer for quants and engineers entering electronic trading.
Summarised by Claude from recommending comments
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Mentions per year
What Hacker News says
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Those are the only ones I know of that do "narrative" non-fiction. If you are interested in technical books, Trading & Exchanges by Harris is good (if dated) and Algorithmic Trading & DMA by Johnson.
on “Spoofers Tricked High-Speed Traders by Hitting Keys Fast” ↗For blog post style reading 'yummyfajitas' series on HFT is good: https://www.chrisstucchio.com/blog/2012/hft_apology.html For technical books: - Trading & Exchanges by Harris (a little out of date) - Algorithmic Trading & DMA by Johnson. On the narrative non-fiction side Dark Pools is basically it.
on “Online Algorithms in High-Frequency Trading” ↗This is utterly the wrong way to learn finance for quantitative trading. That would be an unproductive use of time. Read Options, Futures and Other Derivatives and Algorithmic Trading and DMA and you basically know everything you'll get from public sources that could be meaningful for trading. If he knows how to code and is looking for "mathematics of finance" he should start with those,…
on “Python For Finance: Algorithmic Trading” ↗…This is a bit separate from the actual execution in the market, which is called smart order routing, and that just focuses on speed. The best book on this still seems to be the now almost 10 year old "Algorithmic Trading and DMA" by Barry Johnson. If you want to get a feel for the strategies involved, this is your best bet: https://www.amazon.com/Algorithmic-Trading-DMA-introduction-... As for job titles, they tend to be generic…
on “Ask HN: Ex-FAANG developers, where are you now and why?” ↗…of financial markets, pricing/measuring risk of specific instruments, etc.) or are you interested in programming systems for the financial industry (trading/risk/compliance/banking/etc)? This book, "Algorithmic Trading and DMA: An introduction to direct access trading strategies" (http://www.amazon.com/Algorithmic-Trading-DMA-introduction-s...) is pretty darn good if you are a programmer. However, if you really meant "quant…
on “Good books for hackers interested in quant finance?” ↗Trading & Exchanges by Harris Algorithmic Trading & DMA by Johnson Both are dated now but still good foundational books.
on “Ask HN: Algorithmic trading for hackers” ↗The best book that I've read on order execution was "Algorithmic Trading and DMA". [0] The book is kind of old now, but it was written by Barry Johnson, who worked at Morgan Stanley on their algo trading team. The book is kind of dry, but very thorough and clear on its concepts.…
on “Algorithmic Trading: A Practitioner’s Guide” ↗I don't know very much about HFT, and these books are old, so take this with a cow lick of salt, but I've seen these mentioned on a blog I found here on HN (by 'yummyfajitas), and I found them illuminating: Algorithmic Trading & DMA by Barry Johnson Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris You might also be interested in 'yummyfajitas blog: https://www.chr
on “Ask HN: I am interested in reading about techniques HFT firms use” ↗…Microstructure for Practitioners". It's a bit old, but still largely relevant and gives you a lot of the history. I really wish they would update this book, because I would buy it again. Another decent book is "Algorithmic Trading and DMA".
on “Good books for hackers interested in quant finance?” ↗…might recommend for others that are interested are: Trading and Exchanges: Market Microstructure for Practitioners (cost of this on Amazon seems to have more than doubled since I bought it 11 years ago) Algorithmic Trading and DMA: An introduction to direct access trading strategies
on “Statement of SEC Regarding Recent Market Volatility” ↗/r/algotrading - Trading Evolved, Andreas F. Clenow - Systematic Trading, Robert Carver - Developing & Backtesting Systematic Trading Strategies, Brian Peterson - Algorithmic Trading, Ernest P. Chan - Algorithmic Trading and DMA, Barry Johnson - Trading Systems, Emilio Tomasini & Urban Jaekle - Evidence-Based Technical Analysis, David R. Aronson - Machine Learning for Algorithmic Trading, Stefan Jansen
on “Show HN: I discovered a trading algorithm that returns ~24.85% annually” ↗It's a tough question because most of what I learned was on the job and I don't really remember books specifically on the topic. It also depends on what product and market you are trading, and on what channels (on exchange, over the counter etc.) I would say it starts with knowing the product you trade and their dynamics inside out. How to make a price for it, what dynamics can change that price
on “Making a trading Gameboy: A pocket exchange and algo trading platform” ↗Any suggestions on what to read to get up on these details? I've started "Trading and Exchanges", "Algorithmic Trading and DMA", and "Market Microstructure in Practise". Does that sound like a good path?
on “Developing in Stockfighter with No Trading Experience” ↗