It's hard. I've come back wanting to investigate it again. The closest I'm getting is aftermarket data backtesting. Im Backtesting in quantconnect.
I was thinking about making a quantconnect brokerage, but that is a massive undertaking and it still requires polling and scraping data from the brokers web console.
We're still in the stone age. ASX and providers want to charge an arm and a leg for streaming data and APIs. We need some innovation. OpenMarkets seem to be trying, but paritechs API still isn't pleasant.
