[robbrit]

Many trading platforms come with some sort of API, like Interactive Brokers, Amibroker, eSignal, TradeStation etc. The language used and types of scripts available (price based, level 1, level 2, etc.) depend on the platform, you'll have to figure out what you want in a script and then choose a platform based on that.

As far as strategies go, traders tend to be very secretive about their models since common knowledge of models usually means they lose their profitability. As far as coaching goes it is best to work with somebody who has done this a lot as a sort of apprenticeship just to get some wisdom about what might work, what doesn't, what is more risky, etc.

[gokuknows]

"common knowledge of models usually means they lose their profitability" what do you mean by that?

[JamesPeterson]

If you have a model that beats the market it some way, you'll profit by making deals that are only available because the market does not understand them as well as your model.

If the market understands your model, you may as well throw it into an index; all opportunity for such deals will be absorbed by the market if it knows of them.

Your aim is to be better than the market.