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Re:Barbarians at the Gateways: High-frequency Trading and Ex... by sseveran on Thursday October 17, 2013 @02:05PM (#6567066)
The worlds of HFT and the rest of algorithmic trading are very far apart. For HFT pickup the exchange documentation for each exchange. Memorize how order types. Get a copy of RegNMS. Memorize that as well. To be effective an HFT needs to exploit the market structure. Learn how processors work. How do you avoid a pipeline stall or a cache miss? Become an expert in c++. Maybe pickup some verilog for those pesky FPGAs.

The rest of algorithmic trading offers a lot more flexibility. In either case read 'Trading and Exchanges'. It will give you a good overview of the mechanics of all different venue types. Then its thinking about how to build better algorithms then the next guy, or get better data.

Re:Barbarians at the Gateways: High-frequency Trading and Ex... by shogunmike on Thursday October 17, 2013 @02:09PM (#6567101)
I second the recommendation of 'Trading and Exchanges'. It's a great book to get insight into how the underlying exchanges work and how to exploit certain architecture to produce profitable strategies.