There are hundreds of books available on trading. Most cater to individual investors with more testosterone than brains. There are a few good books that cater to pros. Some are gems. One is a bible. This is the bible.

Harris explores the microstructure of markets and the roles that traders play—their purposes in trading, their strategies, the mistakes they make, how they minimize transaction costs. Dealers' role as liquidity providers is explored as well as the ways dealers can be exploited by market manipulators. We learn about the valuable role brokers play as well as the challenges they face in attracting and keeping clients. There are honest discussions of how brokers entertain or lavish gifts on clients as well as the financial arrangements they offer dealers and clients, including soft dollars, commission rebates and payments for order flow. The challenges institutional investors face in transacting in large blocks are detailed.

A lot of the tricks or strategies traders employ are explained: front running, splitting, penny jumping, gunning the market, squeezes. There is information on how dealers avoid getting picked off by better informed traders. Concepts are illustrated with plenty of historical examples. Many date back to the 1800's. They make for  wonderful reading. They also illustrate the timelessness of many strategies.

This is largely a theoretical book, but with a very practical bent. If one market is emphasized, it is equities, but all traded markets are addressed. Most of the material is not market-specific.