I don't know very much about HFT, and these books are old, so take this with a cow lick of salt, but I've seen these mentioned on a blog I found here on HN (by

I don't know very much about HFT, and these books are old, so take this with a cow lick of salt, but I've seen these mentioned on a blog I found here on HN (by 'yummyfajitas), and I found them illuminating: Algorithmic Trading & DMA by Barry Johnson Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris You might also be interested in 'yummyfajitas blog: https://www.chrisstucchio.com/blog/2012/hft_apology.html https://www.chrisstucchio.com/blog/2012/hft_apology.html If people have up to date replacements for these books, I'd be super interested. If you keep asking around, people are gunnuh recommend Reminiscences of a Stock Operator, and it's an enjoyable book but keep in mind that it's basically the fictionalized biography of a problem gambler who happened to operate in the stock market, he traded recklessly and died destitute (by suicide - when you reread it, you start to notice how he never mentions enjoying anything, or talks about the people in his life in more than passing). Don't take it too seriously.