Any suggestions on what to read to get up on these details? I've started "Trading and Exchanges", "Algorithmic Trading and DMA", and "Market Microstructure in Practise". Does that sound like a good path?

This is still the best (Hollywood quality) depiction of what the trading pit looked like in reality. Trading Places, 1983: https://www.youtube.com/watch?v=RLySXTIBS3c

Sounds similar to the premise of the 1983 comedy film Trading Places (http://www.imdb.com/title/tt0086465).

"It reminds me of a 1990s movie..."

Maybe you mean Trading Places (1983) with Eddie Murphy.

The title has two meanings:

- 'Trading' as in stock trading

- 'Trading places' as in 'swapping places'

I didn't notice the second meaning at the time, as the phrase 'trade places' isn't common in the UK.

Let me state flat out that I don't think there are any good books about algorithmic trading all all.

Most will talk at surface level about what they are doing but non will give you a start to finish example that can be deployed with a brokerage like interactive brokers.

Trading & Exchanges I see was recommended. I'd skip it, most(All?) trading strategies that the average person will come up with won't be market micro structure related, and if it is then I'm going to flat out state that you've lost before you started.

If you really want to get into it, then please don't start with machine learning.

I've said this many times but ask your self

- "what machine learning techniques could I apply that 100 fresh PHD's haven't done on their first week at a hedge fund?"

- "What data source do you have that the average hedge fund doesn't have access to"?

- "What market insight do you have that someone whose done this for years doesn't have?"

If after all that you still want to get started then honestly your best bet is to start with quantopian. Don't look at market data changes at a granularity of less than 1 day until you can create a strategy on your own that makes money.

Quantopian can give you access to a backtesting platform and clean market data, which is the step most people get stuck on, and usually quit at.

Once you've found a strategy that makes money, put your money into an account with Interactive brokers, If after 3 months you still want to continue then start looking at market data slices of less than one day.

Tl/DR

- first step is don't

- second step is to focus on time slices of 1 day or more

- third, put your own money into action on you strategy for 3 months

- fourth step, there is a very small chance you'll make it this far, look at time slices of less than a day. At this point you can start to apply machine learning and build your own software. Even at this stage you are more likely to be an ATM for a hedge fund than you are to make money.

Good luck