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How to get Started

Hello I am undergraduate computer science student.I do a lot of competitive programming and recently got interested in Algo-trading.I am looking at the tutorials on algo trading and all seem to be scattered and i am really confused.Please can somebody get me started.?
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If you don't know C# or a needed language you would start there. After that I would recommend using the University and looking through basic algorithms, cloning them, and then trying to recreate similar ones that you could verify by hand with yahoo data and excel. The hardest thing that I had to learn more than anything was the order in which things go
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i know c,c++,java,python,matlab ... so learning c# certainly wouldn't be a problem. BTW having explored things previously, the last statement you made is really important.Anyway Thanks for you advice.
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Hi Harshil, 

It’s easy to get overwhelmed with the amount of information available.  I’ve read a lot on this topic over the years and if I had to pick just a few resources to start, the following should give you a variety of ideas and basic framework. 

Reading is good, but is no substitute for what you’ll learn by just testing different ideas with backtests and building from there.  

Blogs: 

http://www.financial-hacker.com

http://epchan.blogspot.com

I did a recent interview with Ernie here and his CTO here.  

Books

Reminiscences of a Stock Operator 

Timeless classic with great insight into crowd psychology and the nature of the market.  Also a great cautionary tale on risk management. 

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