Dark Pools: The Rise of the Machine Traders and the Rigging of the U.S. Stock Market by Scott Patterson.
A bit of a misnamed book, mostly this is about the rise of electronic trading markets, with a good discussion of role of high frequency trading in these new markets, and not solely focused on dark pools. The book focuses in particular on the ideals of the early creators of these electronic markets in contrast to how they eventually ended up catering to the high liquidity provided by many high frequency traders. The one thing I would have liked more of was to understand in more detail the authors claims about how particular order types in these markets cause an unfair advantage over other market players. Another area that would have been interesting would have been to better understand the claim that high frequency market makers disappear during times of high volatility. The book is definitely well written, but I did find myself wanting more info at exactly the place where the author seemed to get a bit out of their depth (in particular the AI section towards the end really doesn’t do a good job delineating different machine learning techniques.) All in all, though, this is a good read, with a lot of entertain real world characters, so I recommend it to those interested in learning a bit about this part of the financial world.