I'm currently using TOS and after getting my feet wet with some of the strategies, I want to setup some strategy driven trading. I primarily trade futures, GC, ES and CL. I started checking out different vendors and looks like most of the reasonably prices futures brokers use the same set of vendors, namely: CQG, CTS, TT, Rithmic which provide C# APIs and FIX gateways. The only reasonably priced historical market data provider, DTN has Java API but it is really a wrapper around their C# library and works on Windows. Are there any vendors out there that would provide reasonably priced real-time and historical market data and allow to trade through either Java or FIX APIs? My target environment for backtesting and trade execution is Java/Linux and eventually perhaps Python. I would appreciate any recommendations and suggestions in this space. The retail vendors seemed to be Microsoft shops. Thanks, - Dominik
Interactive Brokers has a Java API and supports Windows and Linux. They also have a FIX CTCI API. There is a Yahoo group for IB API discussion. http://groups.yahoo.com/neo/groups/TWSAPI/info There is a 3rd party Python hook to the IB API. Look at IbPy: https://pypi.python.org/pypi/ib Historical data is limited to one year for most users. Basic real time data is free if you pay at least $30 a month in commissions. The main problem with the IB API is that they sometimes break things when they update the API. IB real time data and API will not work for HFT.