Books
- Numerical methods in Finance with C++ very concise and programming-oriented. You have to be familiar with the methods before reading it (binomial method, finite difference, implied volatility with Black Sholes...)
- All About High Frequency Trading very unpretentious book, easy to read. Gives practical tips about the physical architecture of an automated trading platform.
- C# for Financial Markets very dense. Not much prose, many bullet points. Describes patterns for bond pricing, binomial method, finite difference method, interaction with Excel, C++/CLI...
- Financial Instrument Pricing using C++ (review by QuantStart)
- Top 5 Essential books for algorithmic trading (QuantStart)
- Paul Willmot on quantitative finance
- Architects of Electronic Trading (SafariOnlineBooks)
- Encyclopaedia of Financial Models (SafariOnlineBooks)
- Large reading list from QuantStart
- NumericalMethod courses the slides give a rough overview of the tools/strategies used for algorithmic trading.
- Cheat sheet for algorithm trading (PDF) Deals with margin accounts.
- Quantopian algorithmic trading platform: web app that allows you to create algorithms and back-test them using historical data.
- Quantstart has a list of free resources here.
Open Source Projects
- Algo Trader: written in Java, there is a an open source version and full featured enterprise version. The architecture diagram is interesting.
Technology
- Trading floor architecture diagram from Cisco
- Large file storage: HDF5
- High speed time series databases: kdb, OneTick, Reuters Velocity Analytics (formerly Vhayu)
- Big data in banking: how four financial giants crunch big data.
Courses
- Computational investing 8-week online course on coursera.
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