if you're just starting out, and want to educate* yourself, take the time with these two.
http://amzn.com/B003ZSHIPE
(being published in 2002 makes it a bit dated, but at 700 pages, a very comprehensive and particularly readable benchmark text)
-and-
http://amzn.com/B006OFHLG6
(gives a fun romp through of the rise of HFT, from the 80s to the present day. readable by the layperson, while remaining accurate)
GLTA,
R.
* -- no. repeatedly watching the torrent rip you found of WallStreet (the original, the sequel, or the recent thing with DiCaprio) is NOT "education".