[momop]

fuzzypickle: The most successful companies in the trading business are the one's who don't trade! For example, thestreet.com makes most money with their recommendation systems (doubt if they even make a penny with their own trades). So if you are thinking of aggregating things and providing a service, it is a good idea - but if you are thinking of using it to your own algorithmic trading, it may be an overkill. Remember the trading world has some of the smartest people (doing machine learning, statistics etc) and you are competing with them in the zero-sum-game.

Also as full disclosure, I have setup a fully automated algorithmic trading (using IQFeed for realtime feed + IBAPI), but it wasn't HFT - but medium frequency intraday. I shut it down because it wasn't profitable. But if you are thinking algorithmic trading, you need to get into machine learning and statistics space (most of the info is just noise in this space). I have myself thought about the aggregation as a service, but never got around doing anything in that direction and would love to chat if interested.