Lots of good books on system trading... Trading Systems That Work - Stridsdman Trading Systems and Money Management - Stridsman Design, Testing, and Optimization of Trading Systems - Pardo Trade Your Way to Financial Freedom - Tharp They're all good in their own way and each will help you avoid the common pitfalls of system design. Try searching for "trading systems" rather than "automated trading" at Amazon.
thanks for the tip. i already have a pretty good system, but i have two problems 1, how to mathematically define my system, because a lot of time, my system depend on tape reading, -- reading how fast bid ask goes and how fast a passive order is taken... and i don't know even know how to define a TREND, even though i can use my eyes to find trends. 2 even if i have the mathematically definded system, it still requires a lot of work to be turned to programmings, so i want to find demos, simplied programmed system, then i can add my own stuffs to it.