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This is the recommended reading if you
want a career in high frequency trading
9 September 2011

Sarah Butcher
Trading in investment banks is foundering due to the Volcker Rule.
Hedge funds are having a bad year due to bad markets. But high
speed trading is expected to grow.
Even though this weeks leaked MiFid II document suggests high
speed trading will be regulated in future, high speed trading remains a
growth market. A report this week from the Tabb Group predicted it
will shake up the options trading market in the same way thats
transformed equities trading.
If you know nothing about predatory algorithms and latency arbitrage
you can start by reading this from Tradeworx.
Anyone else may want to pay a long visit to Amazon.
Leading high frequency trading companies are keen on providing
extensive reading lists for their potential employees. These are the
books advocated by DRW, and Allston. Digest them all and you will
know about high frequency trading. You may even get a job.
Option Volatility & Pricing: Advanced Trading Strategies and
Techniques by Sheldon Natenberg
Options Markets by John C. Cox and Mark Rubinstein
Options, Futures, & Other Derivatives by John C. Hull
The Bond Market by Christina I. Ray
The Treasury Bond Basis: An in-Depth Analysis for Hedgers,
Speculators, and Arbitrageurs by Galen Burghardt and Terry Belton
The Eurodollar Futures and Options Handbook by Galen Burghardt
Volatility Trading by Euan Sinclair
The Business of Options: Time-Tested Principles and Practices by
Martin OConnell
The Visual Display of Quantitative Information by Edward R. Tufte
The Pragmatic Programmer by Andrew Hunt and David Thomas
Design Patterns by Erich Gamma
Refactoring by Martin Fowler
Clean Code: A Handbook of Agile Software Craftsmanship by Robert
C. Martin
Pragmatic Thinking and Learning: Refactor Your Wetware (Pragmatic
Programmers) by Andy Hunt
Elements of Programming by Alexander Stepanov and Paul
McJones
The C++ Programming Language by Bjarne Stroustrup
Effective C++ by Scott Meyers
Programming Pearls by Jon Bentley
Beautiful Code by Andy Oram and Greg Wilson
Coders at Work by Peter Seibel
Structure and Interpretation of Computer Programs by Harold
Abelson, Gerald Jay Sussman and Julie Sussman
Concepts, Techniques and Models of Computer Programming by
Peter Van Roy and Seif Haridi
The Art of Computer Programming Donald Knuth (1998)
Code Complete Steve McConnell (2004)
Coders at Work Peter Seibel (2009)
The Mythical Man-MonthFrederick P. Brooks (1995)
Refactoring Martin Fowler & Kent Beck (1999)

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Comments (9)
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Comments 1 - 9 of 9

Productive and socially uselful career path ......

Retail banker 09 Sep 2011
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SICP? the lisp text? Good book but about as relevant to high frequency trading as
Jane Eyre, my friends.
With all these IT books I would have expected at least one on multithreading.
Janet Austen 09 Sep 2011
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That's rich coming from a banker....

Trader, A 09 Sep 2011
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This list of books looks suspicious.

"Digest them all and you will know about high frequency trading"
What does "digest" mean in the above sentence?
It cannot be "attain a high level of proficiency": I challenge anybody to state they
are proficient in all the subjects treated by the long list above...
Any high frequency trader out there who can confirm/deny this?
@Sarah
The list is seems to be highly skewed towards programming. Perhaps this
misunderstanding comes from my limited knowledge of this type of trading (i.e. high
concentration of IT / Research working close to desk).
Can you confirm this is for trading roles only, or does it include trade support
functions, research, quant developers etc?
AQD
Average Quant Dev 09 Sep 2011
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@AQD - this is for all roles in high frequency trading, including developers.
Sarah, Editor, eFinancialCareers 09 Sep 2011
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Taken straight from an Australian prop trading firms website, the name of which has
slipped my mind. Must be tough compiling lists in efinancial.
Lovelists 09 Sep 2011
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@Lovelists - the article explains that the reading list is derived from two trading
firms. There's even a link to them in the article if you look very closely.
Sarah, Editor, eFinancialCareers 09 Sep 2011
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Just noticed "The Art of Computer Programming" in the list - has anybody actually
ever *read* all of it?
AQD 09 Sep 2011
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Nassim Taleb "Fooled by Randomness" to realise it is all a scam

BBG 12 Sep 2011
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