Anyone know what the legal/logistic hurdles are to writing directly to exchange API's? Please work from the assumption that supporting the overhead of working with multiple Exchange Fix Implemations/API's is doable. I'm more interested in how clearing/risk/etc work from this standpoint. Is this even doable? Reasons: Relying on broker API's for the type of trading I do is mediocrity at best. Bugs, no or slow implementation of specific routes or route strategies, messaging limitations, etc, etc. If you've worked with broker API's you know what I'm talking about. Ideal: I write directly to the FIX or custom Exchange API and clear my trades at a broker or clearing house. Thanks for any input.
http://cmegroup.com/globex/resources/testing-and-certification-documentation.html Give a call to Advantage Futures... They have great IT infrastructure at Equinox and can walk you through the certification process for CME.
Thanks PocketChange... really appreciate the response. I guess I should've specified this if for equities. I'm guessing though it might be a similar process. Certification, etc...
I'm not saying its impossible to do for equities if you're just an individual investor... but its nearly impossible. Your best bet is going to be to write to some BD's API IMHO. The big problem is that unlike futures, there are tons of trading venues you'd have to write to... aside from the primary exchange... you have the regionals and tons of ECN's... all of which you'd have to maintain connections to and write to separate API's.
Join TT's developers program... trim the fat off using their API. You should end up with a custom robust application that has all exchange connectivity maintained by TT and a large network of brokers and clearing firms you can trade through.
exchange direct isn't the best if you're looking to go to many ENC's and exchanges. Plus, as far as compliance goes, are you really "Checking" to see if you're long/short/located if you're exchange direct at different market centers?? You do need to go to a broker, really...hub/spoke model seems to be the best way to not only be ready for all markets/ECN's/dark pools, but let's say another BATS gets "created"....or one goes up in smoke - how do you react? I'd assume you'd rather just do it all via one interface/API. Exchange direct is great if just going to INEt, for example, but direct access may be coming under greater scrutiny, I'd assume, from the SEC at some point. Forewarned is fore something'ed....