[kasey_junk]

If what you are looking for is "narrative" non-fiction, Flash Boys and Dark Pools sort of own the corner. Of the two, Dark Pools is much better. In general, it is hard to tell a good narrative around HFT because it is so technical.

Trading & Exchanges by Harris is dated but will give you an introduction into market microstructure, keep in mind it was written before RegNMS.

If you want a good set of blog posts, Chris Stucchio (yummyfajitas) has an intro series that is great on his blog: http://www.chrisstucchio.com/blog/2012/hft_apology.html

[tptacek]

Reading TCP/IP Illustrated won't teach you how to configure BGP prefix filtering regexes on a Cisco router, but the background sure is helpful. Harris is similarly helpful (and in a bunch of weird ways, similarly constructed and written) for understanding financial technology. I do software security consulting for large financial technology companies, and if you ever want to get one of their developers head's nodding, mention an example from Harris.

It's weird that more nerds on HN haven't read it. It's a great book, and it's great in a very nerdy, systems-y way.