Earlier quoted context omitted.
Not the person you asked, but I might be able to help - what are you hoping to learn? How to build automated strategies, how execution algos work, how the market works, etc?
I suppose the problem really is that I don't know, just that it interests me and that the field I do know more about does actually have quite an overlap, but pretty much none of my knowledge is in the intersection, st least as far as I know. On the financial side I've only ever read things like the Economist, FT, consumer investment stuff. I'm keen to try a more quantitative/engineering textbook, but I'm naïve even o…
* https://www.goodreads.com/en/book/show/7346602-algorithmic-t... Really dry (and thick) book, but it's comprehensive in its treatment of execution algos. This was written by a guy who worked on the sellside, so this is written in the context of receiving large orders from buyside clients and trying to execute them efficiently and with minimal market impact. There's an overview here: http://www.algo-dma.com/2007/12/overview.html
Main criticism is that it's kind of a dated book, but the fundamentals (how to benchmark, dealing with multiple venues) are still relevant.
* Robert Carver's books and blog: https://qoppac.blogspot.com/p/about-me.html His background is a buyside algo trader whos' now retired. Mostly focuses on futures, still trades on his own account. I'd say his books are entry-level, but they have one big useful rule - keep your system simple and be paranoid about overfitting your parameters.
* Not algo stuff, but more financial, Matt Levine's Money Stuff column in bloomberg is a joy to read: https://www.bloomberg.com/opinion/authors/ARbTQlRLRjE/matthe...
* AQR's Asness writes some interesting stuff: https://www.aqr.com/Insights/Perspectives The main caveat there is that he has a vested interest in pushing for smart beta, as that is AQR's bread-and-butter. Still, clever guy making interesting points.
For relaxed (and arguably information-free) reading, you can look at: Flash Boys - Main criticism here is that the book is arguably PR for the IEX, so they paint HFTs in an almost exclusively negative light. So take that with a big grain of salt. Still, nice book to get some context about the HFT world. More Money Than God - super naff title, but ok read; covers the stories of various successful fund managers, especially in the algo space.
As a final thought, I'd say, the quant space is really opaque (and still changing fast even today) and largely misunderstood by outsiders. I find that academics, reporters and pop-culture authors usually get things quite wrong. Insiders, like Asness and Carver know more, but sometimes have vested interests in selling you something. There are a lot of books on Amazon about "systematic investing" and most of them are thin on substance or, even worse, just wrong.