I trade equities, options, and index futures. I'm looking for a way to automate my trading algorithms. I write my own software (using Java or C++) - so I'm looking for a solution that allows me to "plug in" the algorithms that I've programmed to real-time prices and execution capabilities.
You may want to look at NeoTicker, http://www.tickquest.com/NeoTicker. You can write indicators or trading systems in most of the high level languages such as C++, or Java, even VBScript and Delphi. It support direct connection to several different brokers.
Thanks. I checked out NeoTicker. Looks like a powerful tool. Unfortunately, after reading some of the NeoTicker forums, it seems like it is not the right choice for programming in Java. In fact, Java is not officially supported. Are there any tools that are similar to NeoTicker that are more "Java friendly"?
interactivebrokers.com offers a nice Java interface that a lot of people use. (A large user base is good in trading API's, as I've found that I end up "beta testing" many of the less-used ones.) Just keep in mind that 4/5 of IB's revenue is from trading rather than brokerage, so there may be conflicts of interest with certain trading strategies with them, and the "fine print" of their pricing reflects this. That said, they are a very good overall choice and have done a lot for the "democritization" of algo trading. There are a large number of other places that offer their own API's for higher volume trading (Genesis, LightSpeed, Assent, etc.). Just Google search site:elitetrader.com and "automated trading" or something like that. In addition to that, various places allow trading with third-party algo add-ons to integrated trading environments such as eSignal, NinjaTrader, Omni Pro, etc. that may be best suited for lower-volume strategies. If you really want to start out big, go for FIX as it's supported by a lot of brokerages (FIX is a standardized interface used in the industry). FIX is the "top tier" interface, in my opinion, although beware that not all FIX interfaces are fully (or even remotely) compliant. FIX supports very high volumes/low latency, but you will be hard pressed to get a proper FIX gateway without committing to a high volume level from day 1.
Thanks. The IB platform/API looks like it might work for me. I'm not going to have super high volume - around 200 round trips per month, I think. So FIX is not necessary.