One last question for you, uexkuell, if you don't mind...do other offerings like OpenQuant, Tradelink, or Ninjatrader (which use a standard language like C#) have the same overhead issue? I suppose a best of both worlds alternative would be one where you could use existing code to avoid reinventing the wheel but without having include a bunch of stuff you'll never use along with it. I'm sure there is something out there like this (perhaps an opensource project) but at my level of understanding I'm not able to read between the lines of the marketing pitches/reviews to properly make that judgement.
1. Yes, every platform adds huge overhead. If they offer an internal language like C# this is far from generating machine executable code. 2. This ("not reinvent the wheel") is a linguistic image that is frequently used to attract people to high level platforms. Writing code for computation of a moving average in a true programming language may take 10 lines of code. Similar small effort is needed for other common tasks. On the other hand think about it: If you just stick together prefabricated "wheels" that are available to everybody with no effort how big is the probability that you find a strategy that has a true edge?
Thanks again...this kind of unambiguous answer is what I was hoping to hear. Agree on the point I've quoted above...the stuff that works for me tends to be unique (although not complex). The wheels I'm talking about are just basics of creating bars, storing data, sending orders, etc...for those type of things, I figure that it's better to borrow well-written code from more experienced programmers rather than code it up suboptimally myself.