I've had a discussions with a friend who has been looking into electronic trading for equities where systems try to buy shares as the best price for the day.He was trying to explains (without much success) how the process works.It seems that they have a very large systems doing some kind of historic analysis to predict the best times of the day to purchase sharesHe was using lots of terms that I'm not familiar with shares as volatility maps, dark pool, light pools, vectors, crossings and the concept of "falling behind the curve" (which is bad).I'd like to read round the topic, but there is not really much on the internet that I cannot find. I realise that a slot of shops will want to keeps their technology secret but i was expecting there to be some general information available. But I've not been able to find any. I was wondering if anyone knew of any suitable resources on the internet (or books to buy)Thanks in advance.

Sounds like he was talking about trading on the volume weighted average price as well as market making or stat arb in multiple exchanges.Personally I haven't seen any books focusing specifically on these topics in terms of strategies and details etc. but you could have a look at these as they should give a decent general overview for the areas and technology of electronic trading:

When he says "falling behind the curve" I think he means "falling behind the VWAP". He is comparing the average cost of what he has actually purchased up to time t, with the Volume Weighted Average Price at time t. [added 12:45]Also, while somewhat theoretical, the well known paper by Almgren and Chriss, Optimal Execution of Portfolio Transactions may be of interest to you and is pretty often cited. [added 20:45]On dark pools here is a Fishler lecture that describes what they are and gives some analysis of how to decide if you want to participate in one or not

I'd also recommend this ... then any papers by Almgren, Kissell, etc. There should be a few references to papers in that book. Also Madhavan from ITG has some nice papers explaining stuff as well. Eg. http://www.itg.com/news_events/papers/T ... dhavan.pdf