As an engineer I marvel at what has been achieved. As an fx trader I lament the lack of volatility. The trading platform I use has an internal latency of about 100 ms these guy are sub 1 ms.by modifying kernels, router firmware and using FPGA’s.
Barbarians at the Gateways – A former engineer/trader gives a tour of the HFT technology stack.
Online Algorithms in High-frequency Trading – Explore the use of one pass algorithms in HFT.