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.

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.