Hi Michael,
Finalisation for others interested.
We have been in email contact and you should now have enough information to get going.
I do not want to be in the position of supplying code and/or support services. I can only provide general guidance and advice.
These are the key books that have assisted me (ordered by increasing complexity):
Inside the Black Box. The Simple Truth of About Quantitative Trading by Rishi Narang
High Frequency Trading. A Practical Guide to Algorithmic Strategies and Trading Systems by Irene Aldridge
High Frequency Financial Econometrics by Bauwens, Pohlmeier and Veredas
There have been too many academic papers to list.
Steve
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