I have only tried one algo trading platform, Interactive Brokers. API documentation: http://interactivebrokers.github.io/tws-api/index.html#gsc.tab=0 http://int

I have only tried one algo trading platform, Interactive Brokers. API documentation: http://interactivebrokers.github.io/tws-api/index.html#gsc.tab=0 http://interactivebrokers.github.io/tws-api/index.html#gsc.t... Their live market data is gated at 250 ms, so definitely not for HFT. Market data subscriptions are only $5 / month (US Equities, and others I don't remember), and commissions are low. You can program in C#, Java, VB, C++, or Python. I use their C++ platform. It is not particularly pretty, but it seems well-tested and works. Perhaps most importantly, they have an awesome support phone number. They are responsive and very helpful.