For the love of all that is holy go to Amazon right now and buy a copy of Trading and Exchanges: Market Microstructure for Practioners by Larry Harris.

I'm not a trader, or an exchange, but I've been forced to get very, very intimate with the technological plumbing of both, and I've interviewed many of their developers, and you'll find the architects of match engines, order routing systems, and clearing backends recommending this book just as much as I do.

It is exceedingly well written, too.

Investing strategy? Stick with Malkiel, like everyone here is (and is going to) recommend.

Another suggestion: you can download the recordings of Schiller's Yale Financial Markets class from iTunes (and from Yale); I listened to it on the way to/from a client in the suburbs for a couple weeks and enjoyed it, particularly the guest speakers.