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.
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.