(Last Updated On: January 23, 2012)

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:

http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207/ref=sr_1_1?s=books&ie=UTF8&qid=1327329939&sr=1-1

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

http://www.amazon.com/Quantitative-Trading-Build-Algorithmic-Business/dp/0470284889/ref=ntt_at_ep_dpt_1

 

 

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