What would you recommend to start learning/practicing HFT?

Question

Fintech

In general, at the moment my interests are purely theoretical, there is no particular desire to play for real money. I just want to try to write an algorithm that would give a plus on historical data, taking into account real commissions of dealers and taxes. Maybe try it on a demo auction.
What would you recommend to start studying this issue?
What pitfalls have you encountered along the way?
What tools exist besides S#?
PS: I have already read quite a lot of articles on exchanges, so I'm more interested in the practical part.

Answer 1

I advise you to finish, not start. Not a joke.
The competition is big. Some players may have privileges. Don't beat them.
The development of robots for HFT is expensive, complex, and time-consuming.
The use of robots is expensive (servers on the exchange, fixed commission).
Support is expensive and problematic (you need unique specialists).
Exhaust is not to be expected.
There is a risk that the robot will also drain the deposit.
Is the game worth the candle?
I, for myself, decided that no.
PS Perhaps, for those who want to torture themselves or punish themselves for something, such a task with HFT will do.