Trading and Exchanges: Market Microstructure for Practitioners. http://www.amazon.com/Trading-Exchanges-Market-Microstructur... (http://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/0195144708/ref=sr_1_1?ie=UTF8&qid=1320079747&sr=8-1) I'm finding this a more interesting and detailed read than _Capital Markets for Quantitative Professionals_. For instance, the book traces through everything that happens when placing, executing, and settling typical trades. On the other hand, I've taken the Canadian Securities Course, so perhaps Capital Markets is a better introduction for total beginners.
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