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Re:Ask HN: Any high frequency trading hackers by tiffani on Saturday November 27, 2010 @08:27PM (#1946360)
Hadn't started implementing any systems yet, but earlier this year I ordered these and they've been ultra-educational at least for figuring out how to get started, vocabulary, etc.:

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems http://www.amazon.com/gp/product/0470563761

Inside the Black Box: The Simple Truth About Quantitative Trading http://www.amazon.com/gp/product/0470432063

Quantitative Trading: How to Build Your Own Algorithmic Trading Business http://www.amazon.com/gp/product/0470284889

Re:Ask HN: Any high frequency trading hackers by astroguy on Saturday November 27, 2010 @08:29PM (#1946366)
Re:Ask HN: Any high frequency trading hackers by chollida1 on Saturday November 27, 2010 @09:10PM (#1946439)
For what it's worth....

I really liked Inside the Black Box.

I didn't find I learned or enjoyed High-Frequency trading that much though.