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on 4 October 2013
I am disappointed with this book since I expected fewer topics but more in depth coverage regarding the subject. Instead, the book just scratches on the surface on many different areas, like computer and network hardware/architecture, portfolio performance measurement, an overview of regulations in different regions and some scenarios where you could apply HFT techniques. They are presented more for executives and you would never be able to implement a HFT system based solely on the information presented in this book. Furthermore, I believe, it is not necessary to describe certain (network) protocols, as this sort of information is publicly available anyway and thus does not add any value to the book. The last third of the book becomes more interesting as it addresses actual HFT strategies, the risks involved with HFT and some public misconceptions regarding HFT. On a second thought though, you probably cannot really expect in depth information since nobody in this industry would want to share such potentially profitable knowledge.

People who have yet to learn everything how markets or exchanges work might profit most from this book.
I still gave it three stars because the book is definitely useful for the right audience.
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on 17 May 2015
The practitioners will probably find this book lacking depth but it provides a good overview of high frequency strategies/trading. I would recommend this book for people willing to learn about HFT but have no real experience in the field.
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on 20 March 2017
This book is an excellent resource for a field with limited information. High frequency trading lacks a large, formal body of work, and Aldridge contributes quite nicely to the small corpus. It's a good read for anyone who is an academic, a practitioner, or even someone just interested in the topic.

As some of the other reviewers have mentioned, this book does tend to provide a "top down" view of high-frequency topics, though I think that works in the book's favor. It covers a handful of popular strategies and how to deal with live data (something I knew absolutely nothing about!) as well as understandable explanations of some sophisticated market microstructure concepts.

It's an insightful read, and provides a good basis from which to expand either your research if you are an academic, or where to put your resources if you are a practitioner.
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