High Frequency Primer

For those who have been search far and away for some good introduction to high-frequency trading, here is something that you should read. It covers a wide array of topics and should help get you started in understanding the basics:

High Frequency Primer - Gomber Arndt et all

Hope you enjoy this delectable bed-time reading material. If you find this paper interesting, feel free to comment on any other topics you might want to hear about in the future...