Hi
I'm putting together a robo trader that will work on live (+15 minutes) feed security data. I'll be pulling in this data from various places on the internet where it's free.
My intention is to focus on arbitrage only. However, the program will be monitoring many arbitrage opportunities. It will buy and sell based on a decision strategy within the program and it will pay a fee from it's capital for these simulated transactions to properly simulate arbitrage.
I intend putting a front end that allows live monitoring of the simulators activities. When I have a working version together I will be putting it on the internet.
To start with it is going to be very basic but I've got a framework together already which contains plug in strategies for any trading algorthims used. So once I get the whole thing together I'll be working on trading strategies and I'll simply do a new xyzTradingStrategy() and add it to a polymorphic pointer, kick off a new thread and off it goes concurrently along with the other strategies.
I have all my pricing algorithms done (at least the ones I need for the moment) I will be looking for arbitrage based on given prices of instruments and parallel to this I will be calculating the price of these instruments too to determine if they are mispriced.

My background is in programming instrument pricing and basic strategies like value at risk, optimisiation etc. I do all my pricing in C++ and the front end using Java (JBoss/Hibernate/DAO/Servlets etc). I'm doing this alone for my own enjoyment. Bernard Madoff has seen to it that I have time for a while to persue this  ;).

Anyway. I have a few (nieve) questions.
How would one connect up to an/multiple exchange(s)? I mean getting live data and being able to trade electronically. What kind of money is involved in this?
What kind of money does someone like Goldman Sachs pay in trasaction charges for their robo trading application charges?
No space left....

I have been working along the same lines. I am using python as a language of choice. Have you had any success so far?

Yes, Interactive Brokers API is the best way to do this. They have a couple of pricing plans that are pretty good. Free EOD data is available at Yahoo and Google. Yahoo data is better. You will need to make adjustments(http://blog.kilotrader.com/2010/11/adjusting-yahoo-data.html) to this data to make is useful.

I would be VERY INTERESTED in collaborating, if such an opportunity exists

Hi,

I just read your post and I will be happy to discuss your requirements,
obviously if you are still looking for a skilled programmer.

Regards

R.