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Excuse me if I'm not descriptive enough, as I do not have much of a background when it comes to these things:

How would I go about coding a primitive trading strategy and link it to some sort of artificial trading environment? Where do I start, and what are some other essential questions I should be asking?

I am interested more in doing this because it interests me than making returns. Ideally it utilizes random/historical market data and doesn't actually execute any real trades.

My background: I'm almost done my undergrad degree in computer science, and have had intro finance and economic courses. Familiar mostly with C and Java.

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en.wikipedia.org/wiki/Bloomberg_L.P. has 13000 employees and 7 billion in revenue and they do not have a trading system yet (though they will soon). You work for Vanguard - you understand that it takes a lot of work to make something, right? –  Job Nov 27 '12 at 22:16
Are you thinking of building your own mini NASDAQ or intrade? or writing something that interfaces with an existing system and places trades? –  MichaelT Nov 27 '12 at 22:36
I guess I was unclear. I would like to build something that executes artificial trades based on automated trading strategies, and it interfaces with an existing system. Hopefully this is clearer? –  Rob Nov 27 '12 at 23:13
this is unrelated to the successful completion of your project, however I think you can benefit from it: odds are, if you try to use a system like that you will not make any money, regardless of how good you think it is. –  Jubbat Nov 27 '12 at 23:45
@Rob In a zero-sum game you have to discover an edge that everybody else has overlooked to earn money. If you think of the number of players involved and the resources deployed you will see that the odds are heavily stacked against that case. (IMO the only way to make money with a trading platform is to market it) –  Jubbat Nov 28 '12 at 19:51
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closed as not a real question by gnat, Walter, GlenH7, thorsten müller, Robert Harvey Nov 28 '12 at 22:51

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2 Answers

Check out the class Computational Investing, in Coursera. Its currently in week 5 of a planned 8 weeks, but you may be able to catch up.

The class uses Python, and a tool kit written by the professor. https://github.com/tucker777/QSTK

The tool kit pulls data from Yahoo (free) and has tools to generate and evaluate portfolios of stocks.

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If you want live up to date information you will have to pay for it through a vendor such as Telvent. If a 15 to 20 minute delay is acceptable then you can scrape information from Yahoo or Google finance.

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I recommend against scraping. Delayed APIs are available freely. –  Brian Nov 27 '12 at 22:54
@Brian It may be helpful to also include references/links to those API's. –  Aaron McIver Nov 27 '12 at 23:45
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