I always recommend "Trading and Exchanges" by Larry Harris. If you want a slower mathematical introduction, I recommend the Stochastic Calculus for Finance books by Steven Shreve.
I'd second the Harris book - very good intro to trading and markets.
I couldn't tell from your comments, strongvigilance, but do you code as well? I'm interested finding who on HN code but also show a deeper understanding of finance beyond just passing interest.
To an extent - I'm a trader first, programmer second - learnt the latter to help with the former.
Another endorsement of the Harris Book here. The technology is all out of date (hello SuperDot), but otherwise it's a great introduction to modern financial markets.