limit order book introduction

[martingaletrader]

I was looking at how the limit order book works and couldn't find a suitable introduction book or tutorial that explains this stuff from the ground up. Basics of limit order books and dynamics.

I did see some papers but they are kind of advanced.

Any ideas?

 

[tfors]

I am not sure there is enough to say about this topic to write an entire book on it. Maybe exchanges have some publications. Every market may work slightly differently.

Dynamics: Prof. Harris markets and exchanges probably has a chapter or two o it.

 

[Polter]

You can look into literature on market microstructure.

For instance, "Empirical Market Microstructure" by Joel Hasbrouck (not the newest one, but may work as an intro):
http://people.stern.nyu.edu/jhasbrou/EMM Book/EMM Home.htm
In particular, see the sample chapters: Introduction, Trading mechanisms.

Also "from the scratch" are notes on the "Securities Trading: Procedures and Principles" -- e.g., Chapters 3, 8 may be of help:
http://people.stern.nyu.edu/jhasbrou/TeachingMaterials/MarketsAll04.pdf
http://people.stern.nyu.edu/jhasbrou/Teaching/2014 Winter Markets/PDFHandouts/STPP030405W.pdf
http://people.stern.nyu.edu/jhasbrou/Teaching/2014 Winter Markets/PDFHandouts/STPP080910W.pdf