Some good ones that I would check out are 1.) The Econometrics of Financial Markets (Campbell, Lo, MacKinlay) and 2.) Time Series Analysis (Hamilton). Note that I would check these out from a library before buying them as they are pretty advanced.

That said, it really depends on what types of assets you are looking to trade. At the risk of stating the obvious if you are doing any type of derivatives, you'll need pricers and data for those.

As a start, look for what is the easiest way to obtain a near complete data set and go from there. Good luck!