Currently, I have automated system (now in test stage - not live trading yet, but soon to be) and use MyTrack SDK for live emini data. Today, I got an email from Mytrack telling me that effective in November, ALL SDK users are required to Open an account with Mytrack, and place 15 trades a month in order to use their SDK. Very mad. Out of the question for me to route orders through them. Their API is poor, and it troubles me to even consider having them handle my orders. Why am I mad? They sold the SDK as a standalone - not tied in with opening an account! I had spent time on this programming, and now feel I wasted it (time && effort). I had already been planning a backup to this MyTrack datafeed. So, I am going to be doing work I was going to do anyway - but by ridding myself of mytrack, I will require two data feeds (APIs) primary and backup. So, my question is what is a good emini / nq data feed (stocks, if possible also) and another (2 - need to use C++ with their API). And, as a caveat, MyTrack is awful, BASED on my experience. The quotes are reliable, though. Just there have been poor API to work with, poor support (less then no frills) and many API calls fail, spent much time with their poor support to find out why, only to be told they discontiued it. Thanks to all in advance.
IB supposedly has a decent API and would work with C++. I am at the way beginning of the same type of project, so I am still not the best person to answer here, but I wanted to give you a lead. IB is a real time feed right now - so you need to be up to gather data, you would need another source to backfill historicals, if that is a problem/issue.
Good luck on your endeavor - I can tell you it is very time consuming, but very rewarding, as far as the experience goes. I looked into IB, but I am hesitant. I think that the TWS (their front end) needs to be up in order to use them, even if I write to them. This is not something I want. Also, then, like you say, to retain data, I need to run and write somewhere else, or have app running all day - this is also not ideal for me. I last night looked into http://www.iqfeed.net and they seem to have a good sales pitch. My problem with them, is I need to front a $300 API annual fee before I can see there API specs. If I think about it, its not too bad - NOTHING can be worse then the docs for mytrack. But, I have been wrong before! I hope not. So i may order them today. Now all I need is a backup (cheaper though!) Anybody else have thoughts?
What you say is so true about all the software for trading. You can't find out much without using it/paying for something, same for data feeds. You need to examine data in detail before you get the picture on how bad some of it really is. I did that with Excel and a little VBA programming, which BTW is the extent of the languages I ever want to learn. The thing is though, all the software already exists to auto trade. TS2000 can be fed by a number of data providers, Dynaorder will interface quite a few trading packages with IB, and they say they are working to add other brokers (Mytrack is specifically not one of them, big surprise, huh?) etc., TS7 will autotrade through TRAD's brokerage. If I might ask, what are you doing that requires proprietary software? Esignal is fairly well thought of, there have been lots of threads on data providers here on ET I'm sure, never saw one on data providers with API's though.
What i am doing is nothing Sophisticated. I could probably use TS7 to do it (my "money making secret!"). But, I have intrest in markets (i work in the business, also) and love to program. Also, being able to custom tailor a product to MY need is nice. Especially when auto trading it, I know all of the ins and outs. I asked IQFeed question about their architeture through email (they offer Sockets and COM) and wondering why the two? And what is more commonly used.
Oh - this DynaOrder - I did hear good things about them. I may investigate them with my automation trade part.
The nice thing is that it is bug tested by a lot of people already, probably pretty much good to go. Good fortune with your endeavours.
Yes, I have taken a long time to get canned software to fit to MY need as well, had to abandon nearly all of it's features and generate pseudo data from tick in arrays and go from there. I'm using it to gather data basically and display results of backtesting. It was a long time before I could be assured that backtesting was even close to what would have happened in real time. I had a trial with IQfeed at one point but never learned much about it. With data providers you have to first determine the quality of data versus your system's tolerance to bad data, then from that point learn how to work with them. PM me for some more info regarding quality of data.
IQFeed is alright but has some annoying issues that they are still promising to work out. One is that the timestamps they send out with the ticks only have resolution to one minute. Have you looked at http://www.mechtrading.com/developers/index.htm? Lets you connect to eSignal or Quote.com, stores data files on your computer. Only lets you update every five seconds but very simple interface.