Brokers & Automated Trading

So as I get closer to building an automated trading system, my choice in brokers leaves me quite a bit to be desired. As I see it there are two ways to go. One is with a traditional broker who provides a simple type API for making trades. The other is a bit more complex using FIX protocol.

There is also a seperate issue of data provider, as some of these brokers don't provide the best of data feeds.

Here are a few of the choices that I have:

1) Interactive Brokers: Pro's - Great fees, wide range of markets, TWS api and FIX available. Cons: I've read lots of negative things about the TWS api. I've read terrible things about there customer service. I've read terrible things about there data feed & trade executions. Also there is a fee per cancelation (could be high for me since I will be canceling orders often enough).

2) MB trading: Very similiar to IB, but not quite as good on market availability and fees. Quite a bit smaller than IB. I have also read about problems with this broker similiar to the same comments I hear about IB.

3) Fidelity: Fees are much higher than IB's, however my accounts are already there. Haven't looked in to this much, but could write some custom code to interface with Wealth-Lab pro to do automated orders from my own proprietary system. Wealth lab has an order execution module built in, presumbaly integrated well with fidelity. Lacks the markets to trade that IB and MB offer. I can say that I am pretty happy at this point in time with Fidelity , the rates are reasonable for a "premium" broker.

4) A few others that are out there: Think or Swim gets good reviews as a broker, API is unavailable at this time. Tradestations... too proprietary, but hear the backtesting software is decent. Lime brokerage: don't know much about them, except they have some relation to the p2p limewire software and a FIX based API. Nice website says they are catering to automated traders.



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