http://www.youtube.com/watch?v=4e9CkhBb18E <object style="height: 390px; width: 640px"><param name="movie" value="http://www.youtube.com/v/4e9CkhBb18E?version=3&feature=player_detailpage"><param name="allowFullScreen" value="true"><param name="allowScriptAccess" value="always"><embed src="http://www.youtube.com/v/4e9CkhBb18E?version=3&feature=player_detailpage" type="application/x-shockwave-flash" allowfullscreen="true" allowScriptAccess="always" width="640" height="360"></object> ;-)))
Maybe using the FIX interface is the answer. Openquant sort of represents the professional level of software to me, they implement the full fix interface on every simulated trade. It slows their software significantly but they have the simulated annealing feature which makes a backtest with lots of variables and lots of data pretty doable with regard to the time involved... edit: I'm looking at IB's website, if you set up a VPN connection rather than the Gateway it does not have to be authenticated every day. If I ever automate and am trading more than just a single futures instrument I'll probably go with the VPN and Openquant... the dream for me is running a grid applicaton like Tradestation's Radarscreen trading thousands of instruments..
Openquant is not open source, despite the name. If you build on that, you are building a dependency since they could raise their licensing cost arbitrarily, discontinue the product, etc. By the way, on another point, the IBController package can be used to stay logged on to TWS indefinitely. I stay logged on all week.
there's an opportunity out there for a data only no brokerage service for testers. no problem finding sponsers, what brokerage firm wouldn't want to advertise there? a real commitment to accurate data. you pay a fee, yes it would be more than you would pay at the broker, but it would be an enterprise dedicated to testers.
there may be one out there, but they are not doing a very good job of marketing, because I don't know them and they are not mentioned on ET. markettestingservice.com realtime and accurate historical data for market testers
Openquant is just a gateway product to the rest of their services. You get your stuff working on openquant and then you have a path in case you get into the bigtime... What's wrong with dependencies? If platform costs are a deal killer then there is something wrong with your business plan. Data, platforms, etc., they are necessary. Roll-ur-own guys don't have a relationship with IB other than "hey, good luck there buddy" so they can't deal with the changes in the API, developers might have a good enough head's up about what is going on with IB's coding department that they can deal with the dysfunctionality... so pay them to be the psychiatric techs and the platform development people and work on your strategy. Openquant costs peanuts compared to the work and headaches of rolling your own stuff...
It's funny, because what would save the most resources of all would be to have no clients. I guess there are 2 approaches - "How can we do more for our customers", and "How can we do the least for our customers". Completely different mindset depending on where you start.