Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris. While the entire book will serve you, Chapters 5 (Market Structures), 8 (Why People Trade), 13) (Dealers), 24-26 (market structures:specialists, internalization/preferencing, competition within markets).

You cannot make a market without understanding what your role will be... E. G. What product you are making, what side you will be on, etc.

Also the chapters on the other type of speculators (arbitrageurs, value traders, etc) and the difference between informed trading vs uninformed trading.

There is an ALGO arbitrage trading software that makes great returns of your investment.

Not big but consistent....

This more for people that have no time to trade on their own...

You need a trusted broker to use this software..but the broker I use use this software as one of their own systems...

Its free, and it will connect to your trading account after you opened an account from that broker...

For me this is the ideal trading method that small investors can use if they don't have time to trade on their own....it has an amazing low DD and a great W/L ratio

It would be great helpful if someone could also recommend papers/publications on the specific topic of Option Market Making Strategies. Thanks in advance.

@Jiabei Ma

There are allot of strategies you can use, but there are rules you need to make or follow

1. Patience,Greed,Emotions

2. Money management

3. What kind of trader are U?

4.W/L ratio

5. R/R ratio

6. plan your trade, trade your plan

1. when you have these problems, work on that first...

2. It is very important to know what your Loss and profit will be before you place any order. Nobody can tell what you like to loose its all yours to decide..

3. You need to know what kind of trader you are, Price Action, Elliot waves, Fibonacci tools trader, Swingtrader, ABCD trader, Quants trader, ETC....

4. Win/Loss ratio is important to people when they are trading in seconds, although there are traders who trade with R/R and still call them self Scalpers..

5. Risk/Reward ratio traders are more patience traders because they trade at least 1:2, which means that they risk 1 to win 2 units..

6. I think this is clear right...

I use a software that trades for me...no emotions...and I love it

Johan Leusink : Can you give more info about the ALGO trading software you mention in your comment. I'm interest to learn more about it and see whether it can serve my need or not. Thank you in advance for your help.

What kind of information are U searching for Chaiyakorn Yingsaeree ?

these are the last weeks trade....

http://www.rebeltravelmoneymaker.com/arbitrage-trading-software-last-weeks-trades/

let me know if you need more information Sir

@Johan Leusink

Thank you for explanations, you are giving key points.

1. Larry Harris' book mentioned by Jon above

2. Paper: Dealing with inventory risk

https://arxiv.org/pdf/1105.3115.pdf

3. Paper: Optimal high frequency trading with limit and market orders.

https://arxiv.org/abs/1106.5040

4. Here's another article you should definitely read.

https://www.orie.cornell.edu/engineering2/customcf/iws_events_calendar/files/shorttermsignaldevusage-sotiropoulos.pdf

5. I know traders use some empirical methods, and probably for good reason, but anything published based on those techniques will be extremely difficult to find.

Here is a great book on the subject: https://www.amazon.co.uk/Algorithmic-High-Frequency-Trading-Mathematics-Finance/dp/1107091144/ref=sr_1_1?ie=UTF8&qid=1466425886&sr=8-1&keywords=cartea+jaimungal

Absolutely Awesome!