Please help me get started in the right direction

First off, if you don't have anything constructive to post, please don't. I don't need to hear a word against what I'm doing, how it won't work, and how I'm just a lowly wanna be fund manager day trader noob. I would however greatly appreciate any guidance in the right direction to achieve my goals. Thanks in advance.

I have a trading strategy, it is programmable mathematically, it is simple, and it works. I would like to implement this into a program. I am fully willing to put the time into learning the best language to achieve this. I took a basic C++ course in University years ago, so I understand the level of undertaking at hand.

Things I need help with:

What language to use. - Right now I'm leaning towards c#. Based off some research it seemed like the best choice. I read that programmed properly it can be as fast as C++ and it is more robust, and sort of the language to prosper going forward. Java seemed like another logical choice, but I was deterred by some things I read. I also read that R is a popular choice amongst the financial world.

Where to get Data. - Do I need to incorporate an API? I am lost in this whole area here.. I could really use like a diagram or something with arrows >>> or whatever showings the flow of things. Can I write a code in C# (or whatever), have it process the data feed (from IB ? an exchange? ) Does C# receive data from anything? Or is it like SQL stuff, or do I need to integrate with FIX or something? You can probably see I need some direction here. I realize a lot of the people that do this are programmers, or financial engineers or something, but I am fully dedicated to learn whatever is necessary, I just need to be told what to learn.

Order execution. - Can I do this through a connection to an ECN? Or my broker? or do I have to use something like IB's TWS with an the use of API?


What is the most efficient way to organize it all? A separate program that handles the data processing, then sends signals to an order execution program that is connected to the broker server?

I know I'm asking for alot here, basically asking for someone that has all this programming knowledge to help me save all the time it took them to learn it by telling me exactly what to learn to save me time.

Thanks in advance for any help,

Wayne

Anyone? I've started learning C# to at least try and get indicator portion coded... but I'm still fairly lost as this is a daunting task lol.

language
if not latency-sensitive, C# or Java. Object-oriented language are not easy to learn for a beginner, they take time to master. A bug could cost you a lot. It will take you a lot of time to develop a good piece of code... Believe me, you will struggle.
I'd strongly recommend finding a partner, somebody you know and trust, who already knows how to program. Your friend from school, ex colleague, cousin, nephew, neighbour...

trading platform or API ?
You need to decide if you want to use an off-the-shelf trading platform, or if you want to implement the API of your broker. The first solution can be very cheap, and much faster time to market. The drawback is you may be limited with what the platform has to offer. Just a few Trading platforms : AmiBroker, NinjaTrader, TradeStation, RightEdge systems, openquant... These trading platform actually implement the broker API, so you "just" have to worry about the trading part : signals, risk management... Even with no coding skills, it will be easier to code this "trading part" than to code a whole system.
You mentioned math functions, try to find a trading platform which is math-oriented (maybe openquant, not sure)

I recommend C# or Java trading platform, rather than "proprietary scripting language" trading platform, with the later, you're limited with what the platform allow...

Implementing yourself the API of your broker (if it offers one) would be very time consuming, you need to code everything, from scratch. More powerful in the long
term, no limitation, you can do everything your broker allow.
check IB API: http://www.interactivebrokers.com/en/software/api/api.htm

Where to get Data
Do you mean price feed or historical data ?
I suppose Price feed, then if you use a trading platform, you need to make sure it supports your broker, if yes, you will directly get the price feed.
If you implement the API yourself, that's indeed part of the job to get the price feed.

Execution
straightforward if use a trading platform, otherwise, if you implement the API, you also have to implement that yourself.

Conclusion
list the products you want to trade, find a broker (IB ?), list the most important features you're looking for : math, technical indicator, backtesting, charting...
Then, my advice, find a trading platform which supports all that. They usually cost a few hundreds dollars a year, sometime even less. And implement your algo inside that platform.

Step 1) Ignore everything you've read on T2W in the past three years
Step 2) Go to Wilmott forums

I know what you need and its not found here