Top critical review
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Hastily put together, things not explained well
on 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.