Can I get some recommendations for a book on market microstructure? I'm not looking for some author's questionable methods for trading, I'm just looking for a book that provides me with facts about how order books, closing auctions, order execution, etc. really works.
I'm also NOT looking for the type of depth that a HFT would be interested in. I know that whole books can be written about the various plumbing of a particular exchange. I'm simply looking for a general overview of how exchanges work.
Answer
I've not yet read it, but Lehalle's recent book is bound to be a goldmine of good micro-structure bits and pieces. Market Microstructure in Practice
EDIT: I'm reading the book now, so far it's quite good.
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