The Financial Mathematics of Market Liquidity (Chapman and Hall/CRC Financial Mathematics Series) 1st Edition

a very nice book for introduction to algorithmic trading. It discusses both the mathematical framework and the practical considerations. Too many academic papers focus on the HJB framework, but seldom talk about the numerical solution. This book serves quants from the industry better.

Better than most, but still not great. The writing is very choppy (I know English is not the author's first language, but still) and explanations need significant improvement. Still a worthwhile buy if you're interested in the area.