High Frequency Trading Documentary : The Wall Street Code
This is an incredibly well done piece of the inner workings of order flow and how executions take place today. This is a far cry from the day when stocks were traded via a human specialist and there was often 1/4pt or 1/2 pt spreads. This shows how the current system is rigged and engineered. It is really eye opening and shows the courage of one man, Haim Bodek, opening up the unsavory inter-workings of High Frequency Trading.