In finance there are so many trade-offs that this approach is most sensible. At some point, I was trying to get a project going while working with a partner PM. He was a perfectionist programmer and literally obsessed over things like "we gong to have a script sending emails in this format" etc. Guess what, after about a year, as we went live we discovered that the idea was non-viable (for non-algorithmic reasons). This was something that we should have found out in the early stages, maybe even by trying to trade the strategy manually.
In China futures market, people use CTP api most from SHFE and some with POBO Quant platform http://www.pobo.net.cn/products.html