I found Larry Harris' Trading and Exchanges: Market Microstructure for Practitioners a solid introduction to market making and trading. Terms and concepts are easy to pick up from the text. I was comfortable enough after reading it to skim stats journal papers talking about market making models. The Stockfighter team had mentioned it in older threads here. It's expensive, but I just borrowed it from the library at my university instead of buying.

I also like The Elements of Statistical Learning which is free from the authors (http://statweb.stanford.edu/~tibs/ElemStatLearn/download.htm...). Although it isn't specifically about economics or markets, you should at least read it.

I'm at a loss on general economics books.