求求你们了，赶紧上亚马逊买一本 Larry Harris 写的《Trading and Exchanges: Market Microstructure for Practitioners》吧。我既不是交易员，也不运营交易所，但我不得不深入到这两者的底层技术架构里，而且我面试过…
For the love of all that is holy go to Amazon right now and buy a copy of Trading and Exchanges: Market Microstructure for Practioners by Larry Harris. I'm not a trader, or an exchange, but I've been forced to get very, very intimate with the technological plumbing of both, and I've interviewed…
…那些蹭热词（比如 HFT）的书全是垃圾（想想看：你要真有赚钱的门道，干嘛要写书？除非像我一样脑子哪根筋搭错了 :P ）。如果你想看点实操层面的讨论，Larry Harris 写的《Trading and Exchanges》虽然有点年头了，但绝对无可替代。书里大部分描述放到今天依然管用（哪怕某些具体机制变了）。如果你想看更偏向于…
…buzzword (e.g. HFT) books are rubbish (think about it: if you have a profitable operation, why would you write a book? Unless, like me, you have a screw loose :P ) If you want some practical discussions, "Trading and Exchanges" by Larry Harris is a bit dated, but nothing comes close. Most of the descriptions are still valid today (even if some of the mechanics have changed) If you want something more along the lines of what…
在非大宗商品市场里，价格是由价值决定的，而不是成本。成本根本无关紧要。有的电子书哪怕卖 100 美元都值。Harris 的《Trading and Exchanges》就是个绝佳例子（尽管它的定价蠢到只有这个价格的一半左右）。它在 Kindle 格式下的价值显然比那个巨大无比的精装纸质版更高，但对他们来说边际成本却是 0 美元…
In a non-commodity market, price is determined by value, not cost. Cost is irrelevant. There are e-books worth $100. Harris' _Trading and Exchanges_ is a great example (although it's stupidly priced at roughly half that). It is clearly worth more in Kindle format than it is in giant-ass hardcover format. And yet it costs them $0 marginal dollars…
我一直都推荐 Larry Harris 的《Trading and Exchanges》。如果你想要一个节奏更慢一点的数学入门，我推荐 Steven Shreve 的《Stochastic Calculus for Finance》系列。
I always recommend "Trading and Exchanges" by Larry Harris. If you want a slower mathematical introduction, I recommend the Stochastic Calculus for Finance books by Steven Shreve.
…hiring process and find myself profoundly worried when no code gets discussed in tech interviews. I also really enjoyed stockfighter challenges. Between those six and my university's copy of Harris' Trading and Exchanges, I learned quite a bit. I bailed out on the AVR challenges though. From a purely selfish viewpoint, I also want to work at places where the hiring process isn't really just whiteboard or gotcha questions,…
…Bertsekas）- Convex Optimization（Boyd & Vandenberghe 著）- Nonlinear Control Systems（Isidori 著）- Visual Complex Analysis（Needham 著）- Lasers（Siegman 著）- Game Theory（Fudenberg & Tirole 著）- Trading and Exchanges（Harris 著），再加上一堆关于经典力学、相对论、量子力学、微分几何、实分析、代数、理论 CS、化学、生物化学、细胞生物学、进化的书，…
…Bertsekas) - Convex Optimization (by Boyd & Vandenberghe) - Nonlinear Control Systems (by Isidori) - Visual Complex Analysis (by Needham) - Lasers (by Siegman) - Game Theory (by Fudenberg & Tirole) - Trading and Exchanges (by Harris) Plus a bunch of books on Classical Mechanics, Relativity, Quantum Mechanics, Differential Geometry, Real Analysis, Algebra, Theoretical CS, Chemistry, Biochemistry, Cellular Biology, Evolution,…
求求你们了，赶紧上亚马逊买一本 Larry Harris 写的《Trading and Exchanges: Market Microstructure for Practitioners》吧。我既不是交易员，也不运营交易所，但我不得不深入到这两者的底层技术架构里，而且我面试过…
For the love of all that is holy go to Amazon right now and buy a copy of Trading and Exchanges: Market Microstructure for Practioners by Larry Harris. I'm not a trader, or an exchange, but I've been forced to get very, very intimate with the technological plumbing of both, and I've interviewed…
…那些蹭热词（比如 HFT）的书全是垃圾（想想看：你要真有赚钱的门道，干嘛要写书？除非像我一样脑子哪根筋搭错了 :P ）。如果你想看点实操层面的讨论，Larry Harris 写的《Trading and Exchanges》虽然有点年头了，但绝对无可替代。书里大部分描述放到今天依然管用（哪怕某些具体机制变了）。如果你想看更偏向于…
…buzzword (e.g. HFT) books are rubbish (think about it: if you have a profitable operation, why would you write a book? Unless, like me, you have a screw loose :P ) If you want some practical discussions, "Trading and Exchanges" by Larry Harris is a bit dated, but nothing comes close. Most of the descriptions are still valid today (even if some of the mechanics have changed) If you want something more along the lines of what…
在非大宗商品市场里，价格是由价值决定的，而不是成本。成本根本无关紧要。有的电子书哪怕卖 100 美元都值。Harris 的《Trading and Exchanges》就是个绝佳例子（尽管它的定价蠢到只有这个价格的一半左右）。它在 Kindle 格式下的价值显然比那个巨大无比的精装纸质版更高，但对他们来说边际成本却是 0 美元…
In a non-commodity market, price is determined by value, not cost. Cost is irrelevant. There are e-books worth $100. Harris' _Trading and Exchanges_ is a great example (although it's stupidly priced at roughly half that). It is clearly worth more in Kindle format than it is in giant-ass hardcover format. And yet it costs them $0 marginal dollars…
我一直都推荐 Larry Harris 的《Trading and Exchanges》。如果你想要一个节奏更慢一点的数学入门，我推荐 Steven Shreve 的《Stochastic Calculus for Finance》系列。
I always recommend "Trading and Exchanges" by Larry Harris. If you want a slower mathematical introduction, I recommend the Stochastic Calculus for Finance books by Steven Shreve.
…招聘流程，而且如果在技术面试里完全不聊代码，我会感到深深的担忧。我也非常喜欢 Stockfighter 的挑战。靠着那 6 个挑战加上从大学图书馆借来的 Harris 的《Trading and Exchanges》，我学到了不少东西。不过 AVR 的挑战我中途放弃了。纯从个人私心来说，我也希望能在那种招聘流程不只是考白板题或者脑筋急转弯陷阱题的地方工作，…
…hiring process and find myself profoundly worried when no code gets discussed in tech interviews. I also really enjoyed stockfighter challenges. Between those six and my university's copy of Harris' Trading and Exchanges, I learned quite a bit. I bailed out on the AVR challenges though. From a purely selfish viewpoint, I also want to work at places where the hiring process isn't really just whiteboard or gotcha questions,…