if your goal is to talk about fetishes and what to do with a free year of your life, then tradelink is probably not for you. if your goal is to trade or invest with max flexibility and minimal risk, open source offers better short and long term returns versus most alternatives. that said.... i feel like this post has gotten off topic from the subject, so google if you want more info on open source or tradelink. the original intent of our response was simply to provide a quick and dirty example to the owner that the platform itself shouldn't be much of an impediment to his goals. open source platforms are also good for benchmarking, since it's easy for anyone to replicate the example as per the scientific method. in any event, hopefully it was useful for the poster.
Baskets of 500+ instruments can be traded through IB systematically, by writing maybe 200 good lines of C#. I'd say that would take a couple of Saturday afternoons to code and test, if you're into that sort of thing. The order execution and management is not really that hard for anyone who's managed async events before. For anyone else .. no platform will help you imo. Not putting shit on tradelink specifically. Just reminding the OP that profitable strategies are never a function of IT architecture. There's a lot of nasty VBA out there that still kills it, strategy-wise.
For the OP: Not sure if this would help you since you need ranking and sorting. But I use Tradestation to automate 240+ charts with fairly complex code on each. I don't do ranking and sorting the way you probably do but the fact that it can handle this load tells me it's worth looking at if you can figure out how to rank and sort (there are numerous workarounds that folks have invented over the years to do that on TS). If you're automating 500 symbols, the platform would probably be free to you as long as you use TS for your primary broker. Heck, you can probably get 2 or 3 TS logins with any decent volume which would allow you to split the load up across multiple machines (if it wasn't for the pesky ranking/sorting/rotation thing). But, no point in looking at it if you're locked into using IB or some other broker. Anyway, I figured I'd throw this out there since I don't see anyone else mentioning it. (If you're willing to do the work to get some of the open-source stuff working then you're probably willing to do the work to get ranking/sorting/rotation working on TS which makes it an option worth looking at....)
More. But not necessarily a lot more. Realistic order handling, especially around partial fills can get complex. For the lazy man, you can always run stuff through the IB test market, as a short term "forward test".
you are a total dreamer!!! Coding up a trading system on couple Saturdays??? Are you a joker? Why do you think investment banks, high frequency trading houses and hedge funds hire hordes of programmers and pay them very handsomely? Because it takes a few days to come up with a system to manage risk properly and have all modules communicate efficiently with each other? I coded up my own systematic architecture and it took me alone 3 months to implement a messaging bus that can communicate in and out of process between different modules. I tested a lot of different open source solutions, coded parts up on my own, run extensive tests and ended up shipping 6.5 million price ticks per seconds over the bus on a 4 core machine (involving task async and task distributed work in .Net). So, don't suggest you are that much better that you come up with a full fledged systems in a few days of work, hilarious!!! 200 lines of code, you seriously start to piss me off, LOL. You are talking with your head in your ass, to say the least. Newbies, be warned coding up a full fledged systematic trading platform takes months at the very least and is definitely not recommended for a programming newbie. Even Tradelink does not implement everything, it would probably take several weeks - 2 or 3 months to get everything implemented to operate smoothly with IB and to code up custom pieces.
Tried to accomplish this with the IB's excel API but the VBA is a total mess for someone who is used to open source and linux. Turned to R and I am almost finished after 15 hours although I am an R noob.
please report back after you started live trading, everyone can setup a little here and there in 15 hours but please come back and issue a fair report of your experience once you run your wonder-engine that you coded up in 15 hours once it trades live and handled all partial fills, rejects, error messages, re-connects, logoffs, and any other contingencies. Only after that we will all declare you the new coding master.