This is a linkpost for https://www.complexsystemspodcast.com/episodes/teaching-trading-ricki-heicklen/
For longtime readers of patio11 or even just his new blog, I think most of this will not be new, except for the discussion of Stockfighter: patio11 discusses how he generated realistic stock price histories for the simulated stock market (he copied real histories - I would've done something similar, but phrased it as a 'block bootstrap' or something), and also the final level of Stockfighter, which turns out to be 'detect the inside trader' and quizzes Ricki on how to do it both with and without the intended approach of 'hacking' the simulated stock market to get IDs for traders' trades & find the trader with excessive returns.
(If you are interested in Jane-Street-esque discussions of trading & adverse selection and this is too entry-level, possibly LeBron's 2019 The Laws of Trading might be a better use of reading time.)
There's also Byrne Hobart's article Understanding Jane Street (5.5k words), although pitched at an even lower level maybe. He recommends The Laws of Trading as further reading, alongside:
This interview with Yaron Minsky is a great look at their decision to use Ocaml. If you're interested in more about the mechanics of exchanges and trading, the Hide not Slide Substack is good. As a starting point, here's their writeup on Jane Street. Max Dama on Automated Trading is old, but a very helpful overview of the industry for technical people. If you want to learn Ocaml, Jane Street's Yaron Minsky has coauthored a good book on it.
In Patrick's words, above the fold:
The link has 1.7hr of audio and 23k words of transcript. Patrick is on Twitter, writes his newsletter, and has written on the EA Forum; Ricki is iiuc Lightcone staff, and writes on LessWrong, Twitter, and her own blog.