I would start with learning the basics about the primary forces that move markets (examples are earnings expectations, macroeconomic health indicators, and sentiment measurement via VIX and TA). The hard part is identifying legitimate leading indicators / patterns of combinations of these that have lasting and tradeable impact, i.e. building your trading strategy with as little overfitting of noise as possible. Actually automating that strategy is the relative easy part, though still a pain the ass because brokerage APIs are garbage and often you'll find no API exists for a particular set of data you want so you have to settle for brittle scraping. I would also check out videos from a couple respectable algotraders on Youtube such as Kevin Davey and Jacob Amaral.