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I often read small one-liners here and there about circuit-breakers or IPO pipeline mechanics, but I have not found a comprehensive guide that unpacks all the moving parts of an exchange or its immediate ecosystem. Particularly interesting would be a quick historical backdrop for some of the major items (i.e. circuit breakers first introduced in 1987 from a crash). Or even a cross-geography comparison (i.e. Chinese exchanges have a maximum trade threshold, preventing the market from extreme up/downturns).

Some market pieces seemed to be for financial stability, others seem to be for efficiency / convenience (i.e. decimalization).

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Is there an introductory-level book that has a large focus on market infrastructure / mechanics?

  • By "market" I mean equity exchanges, but if that's too specific, we can include tangent industries: In the case of fund management, mechanisms like side-pocket accounts and fund gating come to mind.
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Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris is a good place to start.

Worth noting its a fast moving and reflexive environment so lots of the best books on this type of stuff become dated quickly - requires a blend of this type of reading alongside checking latest exchange rules/changes etc.

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  • Trading and Electronic Markets: What Investment Professionals Need to Know is another book by Larry Harris. It is available for free at the CFA Institute's website.
    – Flux
    May 1, 2021 at 15:47

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