Algorithmic Trading and DMA: An introduction to direct access trading strategies

Algorithmic trading and Direct Market Access (DMA) are important tools helping both buy and sell-side traders to achieve best execution (Note: the focus is on institutional sized orders not those of individuals/retail traders).

This book starts from the ground up to provide detailed explanations of both these techniques:

An introduction to the different types of execution is followed by a review of market microstructure theory. Throughout the book examples from empirical studies bridge the gap between the theory and practice of trading.
Orders are the fundamental building blocks for any strategy. Market,limit,stop,hidden,iceberg,peg,routed & immediate-or-cancel orders are all described with illustrated examples.
Trading algorithms are explained and compared using charts to show potential trading patterns. TWAP,VWAP,Percent of Volume,Minimal Impact, Implementation Shortfall,Adaptive Shortfall,Market On Close and Pairs trading algorithms are all covered, together with common variation.