Read "Flash Boys" for a better insight into how much difference variable latency between exchanges and clients makes to the profitability of fast execution of trades.
Patterson's _Dark Pools_ which tells the story of Island and the ECNs and the advent of automated trading. Patterson is more ambivalent about HFT than Kovacs, and does a good job of explaining the Core Wars phenomenon of modern trading from '98 to the mid-'00s.
tptacek|10 years ago
Kovacs' _Flash Boys: Not So Fast_ which in the best possible way reads like a long-form ELI5 Reddit post about modern trading and all the WTFWAT moments in Lewis' book: http://www.amazon.com/Flash-Boys-Insiders-Perspective-High-F...
Patterson's _Dark Pools_ which tells the story of Island and the ECNs and the advent of automated trading. Patterson is more ambivalent about HFT than Kovacs, and does a good job of explaining the Core Wars phenomenon of modern trading from '98 to the mid-'00s.
Donch|10 years ago