If I would want to make my own Level 2, Time and sales and Charts, would I have to make my own trading platform or is there a platform that allows me to do this? What would be the process of making a trading platform? First buy a datafeed....then? Does each data feed have its own codes? Like or example, if I wanted to show the number of shares on the Ask, the sterling data feed code would be "nAskSize", but if I was using for example Esignal, would the code for the ask size be different? Then I would need to somehow hook up to my brokers account...
people who do to do what you want generally use an open source platform, like tradelink or marketcetera.
Or you can start from your broker's API (or FIX) and build up on the sample applications they provide. Some examples of platforms that come with good sample applications are Interactive Brokers and CTS T4. You can abstract and architect your own code as a separate layer so that it can be generalized later to other platforms. I prefer this approach because I found that most of the open source implementations are lacking in functionality, poorly architected, and end up being an albatross. You spend all of your time trying to re-engineer around their quirks and you are building on a licensing quicksand anyway because they often change the terms of their open-source licenses and start charging for certain connectors etc. I am not speaking here of all of the open-source platforms. I do like ActiveQuant but decided to go to the other approach completely.