I've been getting into Greek history and read Thucydides' Histories and most of the way through Xenephon's Hellenika: have been backing these up with some wider contextual books (e.g. https://www.amazon.co.uk/Creators-Conquerors-Citizens-History-Ancient/dp/0198727887 and https://www.amazon.co.uk/Oxford-History-Greece-Hellenistic-World/dp/0192801376/ref=sr_1_2?s=books&ie=UTF8&qid=1535711094&sr=1-2&keywords=oxford+guide+ancient+greece) and watching Donald Kagan's lecture series (https://oyc.yale.edu/classics/clcv-205)
I am obviously massively spoilt by having had Thucydides and Xenephon for the period so far, but not sure the best sources for the period between them and Arrian's Anabasis. Are there any good (not horrendously expensive university library only) books, lectures etc. on this period I should check out? Feels like there's a relative gap here (and I suspect I'll hit another one between the death of Alexander and Polybius, but that's a problem for a few months hence!)
There is indeed a gap in terms of surviving contemporary historical accounts. In Antiquity, those interested in the later 4th century BC were spoiled for choice, with the universal history of Ephoros as well as the accounts of Theopompos and Kallisthenes (the latter being mentor and personal historian of Alexander the Great), alongside Timaios and Philistos for the history of Sicily, and the works of many other local historians. All of these are lost.
What we have is a distillation/patchwork of this whole historical tradition in the form of Diodoros of Sicily's Library of History. This was written in the 1st century BC as a universal history from the Trojan War to the rise of Julius Caesar, and often explicitly cites earlier authorities and the scope of their works. To make a sweeping generalisation, it is not great, especially with regard to the history of Old Greece (since Diodoros' interests were often focused on Sicily). Its account is patchy, its chronology confused, and its narrative overtly moralising. Even so, it is the backbone of our understanding of the 4th century BC, and often even provides information that Xenophon doesn't. Book 15 continues roughly down to the end of Xenophon's Hellenika; Book 16 traces the rise of Philip; Book 17 constitutes one of the 5 surviving biographies of Alexander. Diodoros narrates the wars of the Successors for three more books but the surviving manuscripts break off in 300 BC.
In addition to this, there are a few other (pseudo-)historical sources that help us flesh out the period, such as Justin's Epitome (a summary of a universal history by Pompeius Trogus, which does not survive), Plutarch's Lives of Dion, Timoleon and Phokion, and Cornelius Nepos' biographies of those three figures plus Timotheos, Chabrias and Iphikrates.
For a lot of the detail, however, we are surprisingly and sadly reliant on the corpus of the Attic orators, and particularly the rich palette of historical information that Aischines, Demosthenes, Lykourgos and Hypereides used to beat each other upside the head with. These details are about as reliable as you'd imagine, but they can often contain in a single remark all that we know for certain about an entire decade's history in a particular part of the Aegean.