I learned most of it on the job, from the masters. So I don't really know about the literature. The non-finance part of it involves alot of real-time stuff, which is found in game programming, and also audio software. Also, you could read up on networking, TCP/IP, etc.
As for risk control (by risk I mean bugs) I often wonder if there are lessons from eg. the nuclear industry, on how to keep complex, highly-strung systems on track. That's another thing I learned on the job, and not always the easy way :-)
The problem with using nuclear industry systems lessons is that the nuclear industry moves exceedingly slowly (for good reason) but trading needs to move fast. Opportunities exist for a very short time, so being able to find them, exploit them, and not blow yourself up in the process is the trick.
A trick not many folks have proven they can do over the long haul.
Cool, how'd you get into the industry if you don't mind me asking? Math background and/or degree I'm guessing by the username? Thanks for the response.
No it doesn't. Everyone I know with HFT industry experience that has read it (including myself) has panned it. It is possibly the worst thing you can read if you are interested in how HFT works. "Dark Pools" has it's own faults but for narrative non-fiction it is the only game in town.
