I would like to know about books which give practical market insight. Preferably non-geeky books written by practitioners and experienced traders. Topics of interest for me: What are the main features of different markets and financial instruments. How do different markets and instruments interrelate and impact each other. The historical behavior and do's and dont's of trading different securities. Pits and falls of simple trading strategies.. I'm not looking for philosophy, economics or math books, rather I am interested to gain a better and in-depth understanding of the financial markets. Any advice would be much appreciated.

I would not say that there are no such books, but books generally do not convey what you call "practical market insight", for a number of reasons.First of all experienced traders and practitioners are no good at writing books, and are not motivated to write them. When they do write a books it tends to be a list of personal anecdotes.Second "practical market insight", if it exists at all, is far more tenuous and perishable than you seem to assume. You ask "how do different markets and instruments interrelate and impact each other", the answer is that it changes all the time and by the time one figures it out it has changed once again. Right now stocks and bonds move in opposite directions, but a few years ago they were positively correlated, and at other times the correlation has been near zero. In the 80's the japanese yen was highly affected by the price of oil, and OPEC announcements, then these did not matter any more and interest rate differentials became important in the 90's for trading the yen. In the Volcker era the most important announcement for bond traders used to be the Friday money supply numbers, today nobody pays any attention to them whatsoever. Etc. Etc. There is little or nothing that can be said once and for all about market interrelationships. A good trader seems to discover for themselves what matters and to have a intuition about these things.The same is true for trading strategies, most books that tell you specific "secrets"of trading are worthless in my experience (and yes, I have browsed a lot of them). It would be nice if you could make a lot of money with some simple "do's and dont's" and by avoiding pits and falls but the financial markets do not seem to work that way. (If you want a "don't" I could tell you "never buy CDO squareds" but that advice is too late to have value, isn't it? And nobody knows what will be the case going forward).If I am too pessimistic I am sure other Wilmott readers will respond with lists of books they find useful.