You might find it interesting to look at this site, which gives you a lot of the infrastructure for testing your FX strategies with real time data (although not

You might find it interesting to look at this site, which gives you a lot of the infrastructure for testing your FX strategies with real time data (although not direct access to the data). http://preview.collective2.com/ http://preview.collective2.com/ Strategies are independently monitored and ranked on the site, and can be switched from simulations to real accounts when you're ready. If your strategy performs well, it will be noticed and you can get paid commissions on it (potentially helpful for raising capital). For FX and equity data, you might as well use Yahoo finance. I run a Slicehost server that scrapes it once every minute with no problem. It's not ultra high frequency but you can't hope to compete in that space anyway, as others have pointed out. You should start building a historical database now before you do anything else, so that you'll have something ready when you need it. You probably don't need years and years of it. I worked as a quant for a while and would support the other comments that standard ML techniques are unlikely to outperform, but you might be the exception.