The Interactive Brokers (IB) API would probably be your best option for trading on the side. Here are a few words of advice regarding IB: - Thoroughly read an

The Interactive Brokers (IB) API would probably be your best option for trading on the side. Here are a few words of advice regarding IB: - Thoroughly read and understand the IB documentation. - Be sure that you never get close to any of IB’s risk limits that can result in the automatic liquidation of some, or all, of your positions. - If you don’t want to put up enough cash in your IB account for day trading, be sure you don’t exceed the trading limits that will get you classified as a day trader and thus prevent you from further trading until you add more cash. - Be aware that the IB market data can have significant inaccuracies and/or delays. Here are a few words of advice on automated trading: - Thoroughly understand the exchanges that handle the instruments you want to trade. Each exchange has online documentation explaining details of traded instruments, matching algorithms, pricing, and market data. Even though you won’t be accessing the exchanges directly, these details have an effect. - Thoroughly understand IB’s order routing and how they construct their market data (if you use it). - Just because your historical data says an instrument closed at a particular price, that does not mean you could have actually bought or sold at that price with IB or even with direct market access. The same is true of tick data constructed at 1 minute, 1 second, or even millisecond resolution. Trading simulations can be terribly inaccurate if you don’t have a reasonable approximation of the exchange order books, the exchange latencies, IB’s latencies, and your own trading system latency. To counter this, you need to be extremely conservative in your assumptions about getting an order filled at a particular price. - Even with accurate market data and exact latency measurements, predicting future profits by backtesting over historical data is perilous. I advise having a strong background in the statistical/machine learning methods for constructing and analyzing appropriate training, testing, and validation sets. - Don’t make a trade just because some analysis suggests the market will go in that direction. Doing this will probably get you hurt and it harms markets by pushing them to overshoot or undershoot the correct prices. The trend is your friend until he turns around and stabs you in the back. Make a trade because that’s where the market should go and probably will go eventually. My best advice for trading profitably is to do something to improve a market. Focus on areas that can benefit from your strongest personal advantages (mathematical, technical, domain knowledge, etc.). Gain an understanding of the exchanges and instruments that allows you to recognize ways to make prices more accurate. This improvement could be in an absolute sense for individual prices or it could be in a relative sense in terms of how instruments should be priced with respect to one another. It could also be in terms of adding liquidity (offering to buy or sell) where needed and justified. Improving markets improves our economy by helping it to better prioritize resources and limit risks. That is a valuable service and the market will pay you for it.