Trading and Exchanges is recommended everywhere and I'm about a third of the way through it. Chollida is absolutely right when he says that any individual runni

Trading and Exchanges is recommended everywhere and I'm about a third of the way through it. Chollida is absolutely right when he says that any individual running strategies that are microstructure related is going to get robbed (the hardware, baseline software, and colo requirements are all massive). That said it's an interesting read and if you're willing to accept that the productivity per page for the immediate future is low it's enjoyable. Quantopian is the easy way to get into algo trading if you want to attempt to make money doing it solo. They seem pretty focused on long-short strategies (rank all stocks, buy top x, short bottom x) from what I've been reading but I don't know enough other kinds of strategies to know if they're more optimized for that. They have some really good videos and iPython notebooks on intro concepts including basic trading strategies as well as relevant statistical math. * I've never done algo trading professionally so this is a mix of "I read it online" and "my friend who works in it told me"