A blog post I keep around because I was tired of writing the same things on HFT threads:<p><a href="http:&#x2F;&#x2F;kc.my-junk.info&#x2F;hft-books&#x2F;" rel="nofollow">http:&#x2F;&#x2F;kc.my-junk.info&#x2F;hft-books&#x2F;</a><p>Of particular note if you are interested in the mechanics of exchanges is &quot;Trading And Exchanges&quot; By Harris.  It is a little old at this point (and thus doesn&#x27;t deal with RegNMS which is of particular importance to HFT) but a very good book on the basics.