Most of the exchange APIs are pretty dreadful to work with. Shameless plug, but I've had to a build a unified library to deal with this at Tradewave[1] and it has been challenging.
Some of the newer, more professionally managed exchanges support FIX but those are at very low volumes right now.
Do you provide any access to raw tick-by-tick event data or just bars?
How do you secure your users' scripts so they don't worry about you stealing their ideas or front-running them?
It might be useful to provide FX rates as a feed so users could come up with a synthetic price for non-USD pairs.
For guys who want to work passive orders, an API where they can pass a dictionary of prices/sizes they're willing to buy/sell at into a goal seeking algorithm that handles canceling/placing individual orders might be a better match and more convenient.
> Do you provide any access to raw tick-by-tick event data or just bars?
The minimum granularity is 1-minute candles, where the latest candle becomes available at the close of each clock minute (e.g. 02:00:01 if we're fast enough).
> How do you secure your users' scripts so they don't worry about you stealing their ideas or front-running them?
There's certainly an element of trust here. There's a clause in our license agreement stating that we'll never access user strategies unless you ask us to, or it's needed for some kind of maintenance.
We don't trade on user strategies. That's not the model here.
>It might be useful to provide FX rates as a feed so users could come up with a synthetic price for non-USD pairs.
More generally I'll be adding a way to load in arbitrary data via HTTP requests within a strategy.
> For guys who want to work passive orders, an API where they can pass a dictionary of prices/sizes they're willing to buy/sell at into a goal seeking algorithm that handles canceling/placing individual orders might be a better match and more convenient.
These kinds of features (e.g. VWAP orders) are in the pipeline. There's certainly a need for tools like that.
Some of the newer, more professionally managed exchanges support FIX but those are at very low volumes right now.
[1] https://tradewave.net