http://www.openecry.com OEC has been great for me. I came from using T4. Worthwhile to get a demo and see if it has what you are looking for.
I am sorry Arcanine but I will use your thread cause I need some explainations (hope it will help you too) I spent a lot of time searching on websites but I cannot trust my bad english for this kind of matters When I see things like "you should use IB/Zen" Does it mean that IB is the broker and Zen the interface ? Do You have to pay fees for the interface? Last Question, let's say I want to deal only ES and I just need level 2, do I have to pay something else than the 4.8 RT commission ? Annual Fees ? Last Last one, What is the best combination to scalp ES (100/150 contracts a day) Thanks for your time. Olivier
* IB/Zen: yes. IB as broker, Zen-Fire as feed (it is FAR superior than what IB has). Sadly, Zen-FIre does not like that * Depends. Not for Zen-Fire (you can get the API), and the IB api is public, too, IIRC. * Only RT. * Best combination? Hm- depends... Forget 100/150 contracts per day, that is totally useless as parameter. The question is mostly what you understand under scalp. How long are your trades? How much delay can you handle? 100 contrats can be 1 lot (100 trades) or 25 lots (4 trades). Scalping can range from minutes to half an hour.... and naturally in that case you dont really care too much about sub second data. Personally I would go with any Zen-Fire / Rithmic broker - the platform is nice. Ninja is a pretty good manual order entry tool, not so nice for automated strategies. They have some nice semi-automatism, though (they call it advanced trade management - you call the trade, but the robot does things like trailing stops).
Oh, i actually tried the ThinkorSwim demo, and I was charged 3.5$ for one contract and 7$ for two contracts. By scalp I mean that I take from 2 to 4 ticks with a 8 tick stop loss (plz do not judge my plan). I trade 1 contract, use a second one 3 ticks behind but I need a third one if I see swing trading opportunity. (How much would you advise me to put in the account ?)
I wont judge your strategy No worry. Ok, you play small ticks - still, I think you are ok with most API's. The data feed from IB sucks (due to the fact oyu may miss high and low there), but API wise you should be fine with basically everything.