Three independent sources — a video course and two reference textbooks — each progressing at its own pace. Every lesson is built from the real transcript or chapter text, not a summary of the title, and traces its concepts forward to how they'd apply inside an actual trading algorithm.
Sources aren't merged into one storyline — a book chapter and a video lecture may cover related ground, but each stands on its own.
Financial Markets Microstructure — Egor Starkov, University of Copenhagen
Market Liquidity: Theory, Evidence, and Policy — Foucault, Pagano & Röell
An Arbitrage Guide to Financial Markets — Robert Dubil