What are the APIs that can be used on Linux ? Ideally it should be a C/C++ one but Java or .Net are ok as long as they can be used on Linux. I found so far the following established APIs: 1. Rithmic Pros: seems fast, seems to have a C++ version. Reasonable price. Cons: it's very difficult to get hold of it. 2. CQG Pros: seems fast. Cons: seems to be native Windows (it's not clear if it can be used on Linux). Getting it seems easier than Rithmic but they still make you go through hoops. Also, the price for using it is unclear. 3. CTS T4 Pros: seems reasonably fast, seems very easy to get hold of : the documentation is online, and they offer a demo. Reasonable price. Cons: it is .Net native, it's not at all clear if it can be used on Linux. For me, Rithmic would be ideal, however if I cannot get it in a reasonable time, I'll go to another solution. Are there other APIs in the vicinity of $100/month that can be used on Linux ?
For market data or for sending orders? For sending orders, I think FIX is a pretty good choice, as it's got far more robustness than any API I've worked with (e.g. automated resending of lost messages), and it's more or less broker-neutral. However, FIX doesn't give you quotes.
which has the advantage of being - totally free - publicly available without special request or certification process - enabled for all users without special request - lots of popular tools already using it
I obviously need to receive market data and to send orders. The APIs mentioned above can do both but I can also use a combination of 2 separate APIs to do that. FIX is good but not many brokers accept it. If they accept it they charge much more than for one of the APIs previously mentioned.
Interactive Broker's Unix API is free, FIX is $100/month. You can also take a look at MB Trading. Their API is Windows only, however they offer free FIX, which I am using with Ubuntu. Their customer support is very responsive. I'd never consider MONO which would add another source for errors to ATS. http://www.mbtrading.com/developersMain.aspx?page=sdk
Thanks for the info. I looked at MB Trading's FIX and they require a certification process ? That's quite weird to say the least: it's not like my code is added to theirs.
The purpose of certification is to test that you can place orders correctly, and that your software can gracefully recover from the lost connection resending and receiving all lost messages. IB FIX also requires certification.
IB for ordering, DTN/IQFeed works on linux under wine (choose a 32bit linux distro) I use it for more than 14 months already without any problems.