I finally sat down and put some effort into this thing. There is now a pretty comprehensive list on my website of all the resources shared here. <a href="http://coreyhoffstein.com/?page_id=24">Automated Trading Resources</a> I would like to keep this thread open and keep taking input. I added a short description of each entry (normally just stolen from the website). Ideally, I would like to allow users to post comments and/or vote on each library, but we'll start with this...
Good thread .... Historical futures data http://www.tradingblox.com/tradingblox/free-historical-data.htm http://www.turtletrader.com/hpd.html
Thank Corey, blog looks good. It is already probably the most comprehensive of such lists available on the Internet. Might want to add a "last reviewed" date to each item as these lists get out-of-date quite quickly. As for future, adding reviews etc. good idea. Might need to look at some PHP directory software etc. - there's a few decent ones around. Regarding the broker APIs, i'm interested in expanding that section too to develop a kind of matrix with the following columns: Broker | API Language(s) | Platforms | Client Software needs to be running? | FIX Supported | API Costs | Co-location Offered | Forced daily API log-out? | Equities, Futures, Options? e.g. <b>Broker:</b> MB Trading <b>API Languages:</b> <b>Client Software Needs to be running?:</b> For Navigator API, yes, Navigator Software needs to be running. For FIX connectivity, no. Direct TCP/IP connection to FIX servers possible. <b>FIX Supported:</b>Yes <b>API Costs:</b> For FIX, $250 setup, $50 p/month after that (once testing finished) <b>Co-location Offered:</b> Server renting is offered (e.g. $100 p/m for basic Windows XP box). Not sure if can co-locate own server. <b>Forced daily API logout?:</b>Yes, for FIX server. <b>Equities, Futures, Options?:</b>Yes, all three. <b>Broker:</b> Interactive Brokers <b>API Languages:</b> Many. Any language that can make socket connection should work. <b>Client Software Needs to be running?:</b> For TWS API, yes, TWS needs to be running. For FIX, other "gateway" software needs to be running. TWS does not. <b>FIX Supported: </b>Yes, separate FIX API available. <b>API Costs: </b>For TWS API, no extra costs. FOR FIX API, $100 p/m??? <b>Co-location Offered:</b>Not sure <b>Forced daily API logout?:</b>Yes. <b>Equities, Futures, Options?:</b>Yes, all three. NB. Don't quote me on the above for information accuracy, it's meant for illustration purposes. Suppose, should also add links to support forums, and subjective reviews of customer service, reliability etc. of each broker. The broker reviews here on ET aren't specific enough for ATS-oriented aspects to cover it. What do you think? Perhaps I should start a separate thread for this one. I found another thread on ET that attempted to rate the various APIs but the information wasn't collated and obviously isn't up to date. BMe.
For Brokerage APIs you might also want to add: <b>Lime Brokerage</b> http://www.limebrokerage.com They allegedly do 75million orders a day. Java and C++ API as well as FIX available. Clear through Goldman Sachs. Not sure of account minimums required. <b>Lightspeed Trading</b> http://www.lightspeedtrading.com via HUBB Automated Trading Solutions http://www.hubbsolutions.com/ Other than what's on website, I know nothing much about the outfit. Trying to get access to API now.
Forgot, there is also: <b>Aegisoft, LLC</b> http://www.aegisoft.com/ Recommended by someone else here on ET that seems to know what they are talking about.
Larry Harris' about Zero Sum game is a old one but nevertheless gives the concept: http://www.turtletrader.com/pdfs/zerosum.pdf People may find Andrew Lo's papers interesting: http://web.mit.edu/alo/www/articles.html