This page collects high-quality resources that I personally consult while learning about high-frequency trading and the structure of modern electronic markets. These are not endorsements, but trusted starting points for deeper understanding.

Books

• The Science of Algorithmic Trading and Portfolio Management
  Robert Kissell – A practical guide with strong quantitative and execution focus.
  ISBN: 9780124016897

• Market Microstructure Theory
  Maureen O’Hara – A more academic and theoretical perspective on order flow and information.
  ISBN: 9780631207610

• Trading and Exchanges: Market Microstructure for Practitioners
  Larry Harris – A detailed, accessible breakdown of market design and order types.
  ISBN: 9780195144703

Protocol specifications

• Nasdaq TotalView-ITCH Specification
  Download (PDF)

• FIX Protocol Online Specification
  FIX Trading Community

Technical articles and whitepapers

• High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems
  Irene Aldridge – Includes system-level thinking and implementation tradeoffs.
  ISBN: 9780470563762

Open-source and community content

• lobsterdata.com – Access to research-grade order book data.
• GitHub – Parsing ITCH/FIX feeds – Code examples and feed simulators.