Holy thread necromancy, Batman!
I just wanted to wrap this thread up; I have eventually given up. While my attempts at automated trading are seemingly improving, this mostly means I'm losing money less quickly. However, given that I have no invested nearly 3 years work into this, with no sign of a pay-off at any point in the foreseeable future, I have to give up. My free time is also under substantially increased pressure (I have gone from being half of a team developing research software used by around a quarter of the institution I work for, to leading that team and reporting directly to the CIO, with plans to expand to other institutions).
Interactive Brokers and IQFeed have been fantastic, and I would highly recommend both to anyone following this path. I would also not recommend anyone follows this path. That should help confuse a few people.
Long term, I suspect I may end up trying to do a similar job for a financial institution, and I hope I can at least salvage some of the investment through experience gained.
Good luck to you all!
Edit: Oh, just realised I hadn't posted at all in the interim. Essentially, I've now lost all my profits to date, and have made a minor loss before costs (and a more serious loss after).
