Source Map

No single reference is the authority for every layer of electronic markets. The book should use primary venue specifications and empirical papers where exact rules or claims matter, while relying on broader texts for durable models.

Market mechanics

Larry Harris’s Trading and Exchanges supplies the institutional vocabulary: participants, orders, market structures, liquidity, dealers, and trading problems. It belongs near the beginning because later models assume this language.

The working edition is Larry Harris, Trading and Exchanges: Market Microstructure for Practitioners, Oxford University Press, ISBN 978-0-19-514470-3. See the Harris reading map for the chapters assigned to each part of this book and the historical details that require newer primary sources.

Thierry Foucault, Marco Pagano, and Ailsa Röell’s Market Liquidity: Theory, Evidence, and Policy supplies the complementary theoretical and empirical treatment of liquidity, price discovery, order flow, trade size, limit order books, fragmentation, and transparency. See the Foucault–Pagano–Röell reading map.

Graduate microstructure models

The MTH9879 Market Microstructure Models materials provide exercises and models for order flow, spreads, inventory-based market making, impact, execution, latency, and routing. They are best treated as advanced laboratories after the mechanics are clear.

Realistic replay

hftbacktest is a practical laboratory for queue position, latency, L2/L3 books, fill assumptions, imbalance signals, and tick replay. Its results are conditional on its market, latency, queue, and impact models; those assumptions must remain visible.

Mathematical depth

Cartea, Jaimungal, and Penalva’s Algorithmic and High-Frequency Trading supports the later treatment of market making, optimal execution, stochastic models, and control.

Systems companions

CPU-performance, modern-hardware-algorithm, and Rust-performance references belong primarily to Computer Science from First Principles. They should be cited here only where implementation changes timestamps, queue position, experiment validity, or operational behavior.

Source rule

A repository is a laboratory, not proof that a market rule is universal or a model is realistic. Every experiment should identify:

• The venue and period represented by the data.
• The matching and priority rules assumed.
• The observable information available to the strategy.
• The latency, fill, fee, and impact models.
• The claim the experiment can and cannot support.

Edition rule

The working Foucault–Pagano–Röell file is the 2013 first edition, not the expanded 2023 second edition. Its foundational models remain useful, but claims about modern algorithms, venue structure, regulation, and empirical conditions require newer sources.