Today I ended upon Coding The Markets because of the name. Perhaps this would be a kindred soul who would offerup all sorts of pearls of wisdom.
The author doesn't get quite as deep as I would like. He obliquely refers to playing with
his 600kloc crafted in MS VC++/MFC. No meat there though. He does spend some time
reviewing sections from Larry Harris' book Trading & Exchanges: Market Microstructure for
Practitioners. That book does indeed explain a lot of what goes on behind the scenes in the
operations of pricing and exchanges.
I managed to get side-tracked to Andrew Gelman's Statistical
Modeling, Causal Inference, and Social Science. A lot of the stuff I'm developing is
based upon statistics and sampling. Andrew presents the human side of statistics.
Just to match the statistics side with probability, here is the Oddhead Blog.
Continuing to be side tracked, I see an article about scalping at trade-ideas software. Sunday was
the first in a series on scalping. There is to be second Wednesday.
Getting back to what was supposed to be my second submission, Alea is a blog that crosses many
economic a nd market boundaries, but stays mostly with the derivatives markets. If one were
to spend some time with the site, I think there are many potential meaningful tidbits.
And yes, I know, I havn't described the sites in the same order they are presented in the
title. Just seeing if you were paying attention. Anyway, the third entry is interfluidity. I think he is talking
about the fluidity of the markets from one place to the other and the liquidity (or lack
thereof) of the flows thereof.