Dear ETers, I have several day trading systems I want to put them into live actions and I need some advice on the platform/broker/programming language. The systems are trading very liquid ETFs and futures and I may further develop systems for FOREX. The time frame is from 1min to 1hr depending on the securities. I cleaned up 5 year tick data in python to make minutes bars and I built the original systems in R since I like their statistical libraries. So far I have tested some of the systems using quantconnect.com minute resolution and they generally agree with my R backtest results. I can put some of the systems in quantconnect.com for live trading with IB or tradier but I prefer something I have better control and more reliable. I would also like to get live index option quotes so I can do my option model computation in R if that is possible (If using python I can either write my quant option codes in python or export the data to excel and call my old R functions). I have seen so many trading platforms and I want to pick up one which I can use for longer time and could potentially handle more money if I can successfully scale up. I have been thinking about using python/R for IB but I have not found practical guidelines about day trading using IB and standalone python/R. I guess a simple hourly bar SMA cross live trading code example would be sufficient for me to get a better understanding about all the interfaces. As for my background, I am more towards the quantitative finance side using R/Python/Matlab for strategy development but I can also handle not so complicated c++/c# programming. Any suggestion is appreciated. Thanks.
If you really want something that can scale, perhaps FIX would be the way to go, although it's not the easiest thing to implement at first -- it would probably take a beginner a fair amount of time to get completely running. On the positive side, it helps handle concurrency issues that you may not even realize exist. FIX is an industry standard, and is more or less "broker neutral"; it doesn't require a "platform" as it uses sockets. There are various free "FIX engine" codebases out there.