Algorithmic Trading: A Practitioner's Guide

A couple of points 1. It covers everything from the basics, so this is perfect for beginners 2. On the flip side, the concepts are covered concisely which means it doesn't go into depth 3. Applicable regulation e.g. MiFiD RTS 6 is not covered much in the book.

Dont buy this book if you think it will have code examples of automated trading systems. It doesnt. For retail traders it has interest as it clearly shows that you are placed at a huge disadvantage against proffesional firms. Page 132 is damming indeed for retail traders as you fit that description. Very well written and explained from a leading figure.

Excellent overview of execution algo concepts. This book is not a book for experienced quants developing execution algos themselves but an overview for those who use them. Highly recommended.

Die Art und Weise wie das Buch strukturiert ist und die Informationen (hab nur kurz reingelesen) waren nicht überzeugend. Der Druck ist auch eher von schlechter Qualität. Mein Eindruck ist, das es einfach ein Buch ist mit dem schnell Geld verdient werden soll. Nicht zu empfehlen.

First of all, I must say that I personally found this book very useful for me as a researcher at a hedge fund. It covers a lot of important topics people don't typically even mention in traditional quant courses. However, it must be said that the title is very much misleading. "Algorithmic Trading" is a wide topic and here only one very narrow aspect of it (which isn't even that important for smaller traders) is covered. The whole book is exclusively dedicated to (large) order execution strategies. Unless you're planning to execute big orders which can potentially impact the market, then this book isn't really for you as vast majority of it is dedicated to working big orders over long time frames, routing orders to multiple venues including dark pools etc. Secondly, this isn't a "practitioner's guide" really, it is more of an overview. It was extremely useful for me to grasp some important ideas and pick up buzzwords for things I need to look up later, but it isn't something you just can quickly implement in practice. Now, "Efficient Order Execution: An Overview" isn't a very catchy title, but would fit much better. And if that was the title of the book, I'd give it 4 stars I reckon. Another problem I found is that towards the end it felt like the author was striving to reach a certain page count and some sections could have been summarized in literally one sentence instead of stretching them for 1-2 pages... I mean, some of this stuff felt embarrassing to go through. I.e., do you really need 2 pages to explain that sum of consecutive differences is the same as total difference or that negative edge would be what we call cost? Who is this book for - a sophisticated professional who will go code up dynamic programming optimization of his trade execution algo or a person who only has rudimentary understanding of basic math? Talking about basic math, towards the end there is quite a silly mistake which makes me a bit sceptical of author's competence in practical matters. The author says that in order to maintain the same mean when treating outliers, it's necessary do it in a symmetrical manner, i.e., 1% top and 1% bottom. This obviously is not only not always true, but something financial markets are notorious for - being very much skewed in one direction... So it might easily be the case that your 1% bottom outliers are huge and 1% top are barely above everything else, which obviously will affect the mean. In any case, I found the last chapter to be honestly all over the place and pretty much useless anyway... So, well, if you're looking for "Efficient Order Execution: An Overview", then I think it should be good... I have nothing to compare with though, so take with a grain of salt.

This book is a quick read and a great high-level introduction to the world of algorithmic trading. The author covers order types, venue types, trading algorithms, order routers, and trading performance evaluation. The resources at the end of the book provide the reader with plenty of material should they want to learn more. This book is the perfect introduction for early career traders as well as analysts and PMs or people in leadership roles that need to understand how to evaluate and improve trading performance.

This is the best book that I’ve ever found on this subject

Great summary and refresher of everything I learned in my years at ITG analyzing algorithm performance. Wish I had this book from the beginning!