The Voice
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I've always been exceedingly interested in stocks. I developed a stock charting application about 2 years ago for a client and while doing so the process made me want to do so much more.
I'd like to apply more advanced mathematics to the idea of projecting a stock, but in real time using simulation models. From those models, I'd like to develop an algorithmic trading platform similar to the proprietary ones used by the largest trading firms. An automated day trading system that made profit from both volatility and projected (small) changes in valuation (can't get more into how this is calculated).
The problems are these, and if anybody knows the answer that'd be fantastic:
1) Where to get the best realtime data feed. This data needs to be comprehensive, and somewhat inexpensive.
2) I know very large trading institutions do very high-frequency trading. Looking at the math, to minimize risk, that's exactly what my analysis shows to be the best option. However, I've been seeing Congress talk about cracking down on high-frequency trading. Also, what is available for someone moving only $100k or less that does not have prohibitive fees? If you're making hundreds of small trades within a single day, most of these trading companies would eat the average person alive would they not?
3) Going back to number 2, whatever trading company would allow high-frequency trading (without prohibitively expensive fees) would also have to provide a trading API for automation (this would of course be computerized).
Again, I'm not a trader and never have been. But some of you guys seem to have a firm grasp on this so maybe you folks can point me in the right direction before I would start coding.
This has already been done, look up black rock financial (if I remember correctly)