Best Books on Execution and Market Making for Prop Firms

"Trade like a pro, think like a market maker."

In prop trading, execution isn’t just about clicking the buy or sell button. It’s about precision, timing, and knowing how to move in and out of markets without tipping your hand. Market making is another beast entirely — it’s the art of providing liquidity while managing your risk in a fast-moving environment. For traders working in proprietary firms—whether you’re in forex, equities, crypto, options, commodities, or indices—the right knowledge is your sharpest weapon.

Some traders pick up this expertise through years of screen time; others shortcut the learning curve by absorbing the insights from books written by seasoned professionals. The best books go beyond theory—they give you frameworks, tactics, and the mindset to thrive in a competitive, high-speed environment.

Why Execution and Market Making Matter in Prop Trading

You can have the sharpest market view in the room, but if your execution is sloppy, your edge evaporates. In prop firms, a well-timed execution can mean the difference between capturing a ten-tick move and sitting on an idea that the market never lets you in on.

Market making is where execution blends into strategy. Take a forex desk: you’re quoting tight spreads, juggling client flow, and still managing your inventory risk in seconds. In crypto, the volatility magnifies everything—your spread selection, your hedging, your algorithm’s latency. The ability to operate fluidly across multiple asset classes isn’t an optional skill; it’s how modern prop firms stay profitable while competitors are fighting for the same scraps of volume.

Key Reads That Deliver the Goods

1. “Trading and Exchanges” by Larry Harris

This is the playbook for understanding how markets function at the micro level. Harris walks you through order types, execution venues, and the role of liquidity providers—perfect for framing how market makers fit into the bigger ecosystem.

2. “Market Microstructure Theory” by Maureen O’Hara

Dense, but worth the effort. O’Hara’s exploration of the mechanics between buyers, sellers, and intermediaries cuts straight to the DNA of execution quality. For prop firm traders, this becomes a roadmap for anticipating flow and positioning yourself advantageously.

3. “Algorithmic Trading and DMA” by Barry Johnson

Direct Market Access (DMA) transforms your execution speed and flexibility. Johnson’s writing helps bridge the gap between human strategy and machine-driven execution, essential reading for traders who want to blend manual discretion with automation.

4. “Option Volatility and Pricing” by Sheldon Natenberg

Even if you’re not a pure options trader, learning volatility behavior helps with market making across every product. Natenberg’s breakdown of risk management is invaluable for prop desks juggling multiple exposures.

Learning Across Asset Classes

A sharp prop trader today often touches multiple markets in one day—spot forex early morning, index futures over the US open, crypto over the Asian session. The advantage of mastering execution and market making is that it scales.

• Forex: Tight spreads, deep liquidity; execution hinges on understanding the interbank flow and news spikes.
• Stocks: Regulatory nuance and fragmented liquidity pools mean venue selection can make or break trade performance.
• Crypto: 24/7 trading with fragmented exchanges; latency and smart order routing become critical.
• Indices & Options: Hedging and spread trading is where market-making skill turns into risk-adjusted returns.
• Commodities: Seasonal demand, geopolitical factors, and logistics constraints add complexity to execution.

Navigating Current Trends

The rise of DeFi has brought a new stage for market making—smart contracts acting as automated liquidity pools, algorithms adjusting spreads without human intervention. This decentralization unlocks opportunities for traders with coding and risk skills, but comes with challenges: fragmented liquidity, volatile underlyings, and smart contract vulnerabilities.

Meanwhile, AI-driven trading is moving from backtesting novelty to real-time decision-making. Execution algorithms now learn and adapt to changing market microstructure, optimizing fill quality and slippage in milliseconds.

Strategy & Reliability Advice

• Latency Is Currency: Whether you’re in forex or crypto, technology infrastructure is as valuable as capital.
• Flow Anticipation Beats Prediction: Sell-side flow awareness often edges out pure directional calls.
• Multi-Venue Liquidity Hunting: Don’t park yourself on one exchange; spreads and fees vary by venue.
• Risk Offloading Is an Art: In market making, holding inventory too long can erase an entire day’s profit.

Prop Trading Outlook

Prop firms are no longer just about fast fingers and gut calls—they are tech-heavy, data-rich environments where execution is fine-tuned like a Formula 1 pit stop. Expect more hybrid traders: part discretionary, part quant, equally fluent in trading a soybean futures contract and providing liquidity in a decentralized crypto exchange.

"If liquidity is the lifeblood of markets, execution is the heartbeat." For traders chasing consistency in volatile markets, sharpening these two skills is the most durable investment you’ll make in your career.