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This link shows real time order book position for any symbol, and is helpful in giving an idea of how orders are matched. It is updated every second. If you are not familiar with order matching process, looking at the book viewer window for like half an hour will give you an idea of how prices are determined

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blog on quantitative trading by Max Dama

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blog by Ernie Chan
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Nice overview presentations on trading system architecture/technologies involved for quantitative trading - by Khader Vali
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Unfortunately only available for forex, but might be useful to test setup for back testing
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book
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just came across this interesting link.
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For those who want to start learning Quantitative trading without paying hefty broker fees, I would recommend free services like Yahoo Finance or Google Finance.
There is a nice comprehensive list created by Cliff Ngan, I thought it will be useful in this thread. Hats off to Cliff for creating this smart cheat sheet!
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JEFFREY OWEN KATZ, Ph.D.
DONNA MCCORMICK
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trading strategies book
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blog maintained by Matt Davey, who is director of Lab49. lots of interesting posts to find for implementing UI and ideas on architecture for trading applications
eg., check out the cool statistical arbitrage UI in http://mdavey.wordpress.com/2011/01/11/statarb-user-experience-ux-part-8/
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capital markets and derivatives intorudciton
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interview of a trader
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for the techies
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examples
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tips and exs.
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a doc by sun
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A set of 8 tutorials by Jeremy Klein
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an interesting site, with actual videos of trading
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if you are curious about what and how it goes inside hedge fund
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a useful video if you plan to trade for your PA.
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this thread discusses some ideas on using colocation with interactive brokers and costs, etc.
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