leaving almost everything out, it looks simple. here for IB all you need to do is implement the tickPrice() method and your done
Mutluit, Thanks. I think 2Rosy is using IBpy, just wanted to check if there was another api I was not aware of.
For those with big pockets and institutionals: IB offers also an API consulting service, ie. they also can write your automation project for you: http://www.interactivebrokers.com/en/p.php?f=programInterface#consulting-clear "[...] Pricing is on a per-project basis based on rates of $600/hr. Minimum project fee is $10,000. A quote will be provided before development begins. [...]"
I have built an open source API to TWS. You can create your own strategies. I have simple methods calls to create/update/cancel orders. When a strategy runs it kicks of the mkt data & 5sec update apis. The strategy is triggered every 5secs or when the mkt price falls outside the current bars range (bars are 30sec thru 60min your choice) Also there is a nice UI with charts to run the strategies. You just feed it the stocks you want to trade and assign them the strategies (1 or many) and let it run. Back testing is also available. Find all you need here http://code.google.com/p/trade-manager/ see the vids to get an idea of how it works fairly simple. There are a few examples of strategies but if yours is simple I can code it for you just email me the spec and I'll let you know if this app can handle it.