High–Frequency Trading + Website, Second Edition – A Practical Guide to Algorithmic Strategies and Systems

This book gives the reader a broad introduction to the controversial and highly-competitive world of high-frequency trading. It is written in language clear enough for non-technical readers to benefit while dipping sufficiently deep into information technology and trading mathematics to satisfy those seeking more detail on the methods and mechanics involved in HFT. On the other hand, based on comments by other reviewers, it does not appear to satisfy the demands of the top technologists in the field for a magnum opus on the transmutation of C# code into gold. The book is well organized and illustrated with numerous graphs, tables and formulas that facilitate comprehension of the subject matter. Speculators familiar with algorithmic trading may see direct application to their current strategies as implemented on available commercial trading platforms. Professional money managers get a glimpse behind the smokescreen that that shrouds HFT enabling development of risk-mitigation strategies suited to the evolving world of high-frequency trading. Regulatory personnel can familiarize with the terminology, technologies and strategies to ask better informed questions leading the way to effective policies that limit market manipulation while minimizing harmful unintended consequences. As a private speculator with experience programming and operating algorithmic trading systems on somewhat longer timeframes than microseconds, I find Irene Aldridge's "High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems" an informative and useful reference book on the subject. Whether or not the shortcomings noted by other reviewers are technically correct they do not detract from the overall value of the material towards a better understanding of the field of high-frequency trading. I rate this book five stars on the basis that it should be on every trader's bookshelf.

An excellent book and the writer is a very knowledgeable and experienced

This book describes in a deep mode the High Frequency Trading Systems. Includes many references to others sources where you can find more specific information.

Imagine buying a $80 book (compare to US Federal min wage of $7.25/hour) about HFT and getting "insights" like "Return = (Price_today-Price_yesterday)/Price_yesterday" in return. I have read this book till the end hoping that it will get better. But no. Maximum superficial with little value. It's like another amazon user said "it's looks like an MBA thesis". That's definitely right.

I am a computer engineer and have used this book to improve my trading software. The sections on minimizing market impact and exchange microstructure are invaluable when implementing large scale trading operations. Aldridge does a great job extracting ideas from advanced research papers and making them more digestible. This book is essential for any quant, even if it's just for quick-references. Many of the concepts in this book can also be applied to various asset classes (e.g. commodities, stocks, crypto, etc).