Here is my most recent and best reading list for learning or enhancing HFT trading knowledge for quant development
Just read and I personally rave about:
Brand new to do but looks very advanced on the math side:
http://www.lulu.com/product/hardcover/advances-in-high-frequency-strategies/18823205#
Still to re-read:
http://www.amazon.com/High-Frequency-Trading-Practical-Algorithmic-Strategies/dp/0470563761
Ernest Chan
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
