Seconding interactive brokers for this type of experiment. For a reasonably accessible, yet complete introduction to basic trade design, 'Pairs Trading' by Vid

Seconding interactive brokers for this type of experiment. For a reasonably accessible, yet complete introduction to basic trade design, 'Pairs Trading' by Vidyamurthy is quite solid. The strategy may well be picked clean, but the book does a commendable job in exposing the general process of finding edge and minimizing slippage.