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Hi guys,what is the best way to learn algorithmic trading? Logically speaking it should start with reading some books and papers. Can you guys recommend some books or links on the subject? Are there any open source frameworks or a well known community which I could potentially become a member of? I am quite proficient in c# and c++ for your information.

In addition I must say I have a good knowledge of mathematical finance which means I have the necessary prerequisites for learning algorithmic trading.

Can I make a suggestion? Try to make the question more specific so it has a higher probability of being answered in a useful manner. For example "given that I am interested in algorithmic trading on the XYZ Exchange (NYSE, CME, CBOE, ...) how can I learn about the feeds (computer messages sent to and from the exchange) and the programming of that interface". Or whatever thing you are curious about. Otherwise it is like asking "how do I learn about French cuisine".

For a broad overview, two books have been mentioned before on Wilmott: "Inside the Black Box" and "Algorithmic Trading and DMA". (They are oriented more to the intelligent layman or the high level manager, while leaving out all the details that people working in the field have to know).