What are the best books on automated trading systems?

There are several excellent books on automated trading systems that provide valuable insights into designing, developing, and implementing algorithmic trading strategies. Here are some highly regarded books on the subject:

1. "Algorithmic Trading: Winning Strategies and Their Rationale" by Ernie Chan: This book offers a comprehensive introduction to algorithmic trading and provides practical guidance on developing and implementing quantitative trading strategies. It covers topics such as backtesting, risk management, and market microstructure.

2. "Building Winning Algorithmic Trading Systems: A Trader's Journey from Data Mining to Monte Carlo Simulation to Live Trading" by Kevin J. Davey: This book takes a practical approach to designing and building algorithmic trading systems. It covers various aspects of strategy development, including data mining, backtesting, optimization, and live trading. The author shares his experiences and provides valuable insights into the process.

3. "Quantitative Trading: How to Build Your Own Algorithmic Trading Business" by Ernie Chan: In this book, Ernie Chan explores quantitative trading strategies and walks readers through the entire process of building a quantitative trading business. It covers topics such as strategy development, portfolio construction, risk management, and execution.

4. "Trading Systems: A New Approach to System Development and Portfolio Optimization" by Urban Jaekle and Emilio Tomasini: This book provides a comprehensive guide to system development and portfolio optimization for automated trading. It covers topics such as system design, testing, and evaluation, as well as risk management and money management techniques.

5. "Algorithmic Trading and DMA: An Introduction to Direct Access Trading Strategies" by Barry Johnson: This book provides a solid introduction to algorithmic trading and direct market access (DMA). It covers topics such as order types, execution algorithms, market impact, and trading strategies. It offers insights into the practical aspects of implementing and executing automated trading systems.

6. "High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems" by Irene Aldridge: This book focuses on high-frequency trading (HFT) and provides a practical guide to developing and implementing HFT strategies. It covers topics like market microstructure, order book dynamics, and execution strategies specific to high-frequency trading.

These books offer valuable insights into the design, development, and implementation of automated trading systems. They cover a wide range of topics, from strategy development and backtesting to risk management and execution. Consider selecting the books that align with your specific interests and trading goals to gain a comprehensive understanding of automated trading systems.