[tiffani]

Hadn't started implementing any systems yet, but earlier this year I ordered these and they've been ultra-educational at least for figuring out how to get started, vocabulary, etc.:

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems http://www.amazon.com/gp/product/0470563761

Inside the Black Box: The Simple Truth About Quantitative Trading http://www.amazon.com/gp/product/0470432063

Quantitative Trading: How to Build Your Own Algorithmic Trading Business http://www.amazon.com/gp/product/0470284889

[astroguy]

Add to the list http://helwr.posterous.com/trading-354

[chollida1]

For what it's worth....

I really liked Inside the Black Box.

I didn't find I learned or enjoyed High-Frequency trading that much though.