I got a lot out of http://shop.oreilly.com/product/9781565923126.do but it's . not specific to finance and HFT

i'm an average programmer but reading "High Performance Computing" http://shop.oreilly.com/product/9781565923126.do made a huge difference for me even when writing more efficient CRUD apps. A big issue is understanding the cost of the operations in the stack you are using and the overheads caused by your stack.