Customer Reviews: All About High-Frequency Trading (All About Series)
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3.9 out of 5 stars
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HALL OF FAMEon March 2, 2011
Like many other titles in the "All About" series, this book is *not* about how to do things, but rather a perfunctory introduction to the topic at hand. Everything is discussed in general terms, with hypothetical examples used in the simpliest manners.

The biggest problem with the book as a sort of a primer is, it just does a very poor job at explaining all the different things involved in high-frequency trading, from the actual roles (profit and otherwise) of the exchanges to examples of broker-dealers and market-makers to why certain conditions exist for high-frequency trading. Sometimes the author takes the reader to be a "fool" who has to be explained the most basic concepts in finance, yet other times he assumes the reader is familiar with certain esoteric concepts.

For example, here's an excerpt from the only place where VWAP is mentioned: "For example, in our 1.00 x 1.10 market, a broker may guarantee an execution at $1.05 or $1.06 or some other midmarket price to their customer, confident he can use strategies like our investor strategies to trade at that price." Huh? What customer? What investor strategies? What is this "guarantee"? How is it achieved? No explanation before or after.

The book is filled with typos, some of which concern the numbers in an order book and which can throw the reader off. It's obvious the book was hastily written and edited.

In the end, the book does a poor job explaining exactly what high-frequency trading does and how (even in general terms) high-frequency traders make money. In a book that claims to be "all about" the topic, it falls far short of that goal.
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on October 3, 2010
Durbin's work provides a great foundation to better understand the exciting and exotic world of high frequency trading (HFT). In addition, for you IT fans (like me), he provides an interesting description of the IT requirements to build a successful HFT platform. Finally, in the last section of the book, Durbin covers some of the commonly debated pros and cons of HFT and its affect on market quality.

Durbin readily admits throughout the work that he isn't advertising the book as the 'secret sauce' to HFT. But that's ok: as an experienced industry player in the area of institutional trading on the 'buyside', you're getting a lot of bang for your buck and would offer that he is outlining the issues correctly and all the while keeping the reader engaged in the material. Did I need to read this book? Nope, this is part of my day job, but I like the topic and found little nuggets along the way that made it worth the read. Also, there is a whole section on IT that I have not been directly exposed to which I really enjoyed.

Finally, Durbin's background at Citadel, among other places, makes him a very credible author and in better postion to write a book on this topic than others I've seen around.

Bottom line? I think there is something in this book for everyone who is interested in the topic.
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on October 23, 2010
As a long-time quant trader / software engineer myself, I have to warn that this is not a practitioner's book. Another choice might be "Algorithmic Trading & DMA" by Barry Johnson.
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on June 1, 2013
The author introduces high-frequency trading in this book, including strategies and system set-up. The author keeps the book at the level that is every easy to follow and does not require any background on mathematics or finance. On the other hand, this is also not a book that reveals much insight you do not see from newspapers already.
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on November 7, 2013
"This book, a flyover of the high-frequency trading landscape, is written and organized for the reader with little or no prior knowledge of, well, anything to do with trading".
(from the Preface).
Measured by this standard the book is an excellent one. The author has a sound journalistic style of writing. One has also the impression that he knows what he is talking about. At least I have found only a minor glitch (the flash-crash did not happen on March 6th but May 6th 2010). The generell view on HFT is also balanced. Durbin states first that there is little scientific knowledge about the exact mechanism of markets. Every claim is at the end speculative. This is inline with my own view (see the review of [1]). He presents in a neutral way the most common pro- and contra-arguments for HFT.
One can't expect from this book deep insider information. It is a flyover, a journalistic book. But I learned much more from Durbin than from the "scientific" book of Irene Aldridge. Aldridge is a clueless MBA-gal. Durbin seems to have smelled already real trading air. In any case his book is a nicer read.

[1] Irene Aldridge: High Frequency Trading.
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on November 19, 2010
I have an MBA but I don't work in finance. This book provides a fantastic overview of high frequency trading, starting with a nice introduction of market structure. Some knowledge of trading and options will let you get more out of this book. Fortunately, I've been reading up on hedge funds lately. Just the section on trading strategies is worth the price, though please realize that those strategies are very difficult for individual investors to pursue.
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on June 29, 2014
I got this book because it was recommend by my professor. If you are into high frequency trading, this book is for you. It theaches about theory and concepts.
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on February 12, 2015
Fantastic book and a great, easy, simple introduction to HFT.

Eagerly awaiting for next edition....
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on February 21, 2012
You will not be able to create your own strategies by reading this book but you will know the basics of HFT.
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on January 10, 2011
The book is a good description of some of the issues involved in high frequency trading. It is a bit dry (you expected maybe Oliver Twist?) and is certainly not meant for a very sophisticated reader (the kind who would be reading, say, Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (no judgement on the quality of the two books), but one has to start somewhere. The only way to REALLY learn the subject is to work at an HFT shop, since this is not the sort of thing that you can do on your laptop from the den, unless you have a lot of money to burn competing with Getco.
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