Hull is always the first recommendation. After that, it depends what area you're interested in. You could move on to Shreve for more hard core quantity material

Hull is always the first recommendation. After that, it depends what area you're interested in. You could move on to Shreve for more hard core quantity material, or go to Tsay (Analysis of Financial Time Series) for a time series primer. You could try Natenberg for options material or Grinld and Khan for portfolio management. Not too much useful material on HFT out there. Agreed that Harris is useful but out of date.