I believe WA has a group that interfaces directly with large institutions. Try contacting https://www.wolfram.com/finance-platform/

John, thank you for the information. I did speak with the Wolfram people. The only additional information I obtained is that a link to Reuters might be in the works. No real assistance with regard to a usable API to link to a brokerage such as IB for individual investors at this time. This will have to come from the Mathematica users coimmunity.

I know this doesn't directly answer your question, but Mathematica users often also use either Python or Matlab, which could answer your needs, since they both have IB connectors.

Yair, in lieu of an appropriate API linking Mathematica to a brokerage I've been using the Quantopian website which utilizes Python. The Quantopian API allows for a connection to IB. I would still much prefer to use Mathematica as opposed to having to learn Python from the ground up.

did one for matlab, but always liked wolfram's owner he is very charismatic.

I understand the concerns about speed when compared to lower level languages such as C++ however Mathematrica does allow one to directly utilize the GPU with CUDA which in and of itself provides a tremendous computational speed up. From Wolfram: Every calculation is scalable to large dimension arrays using parallelization across CPUs and GPUs. See also http://www.wolfram.com/broadcast/video.php?sx=GPU&v=923

and

http://www.wolfram.com/broadcast/video.php?sx=GPU&v=1026

Also see this article from JonathanKinlay.com Quantitative Research and Trading:

A Comparison of Computer Languages posted on February 24, 2015.

http://jonathankinlay.com/index.php/2015/02/comparison-programming-languages/

A few of his conclusions were:

C++ and Fortran are still considerably faster than any other alternative, although one needs to be careful with the choice of compiler.

Mathematica is only about three times slower than C++, but only after a considerable rewriting of the code to take advantage of the peculiarities of the language. The baseline version of the algorithm in Mathematica is considerably slower.

Mathematica’s syntax is just as demanding and uncompromising as C++ – a missed comma or incorrectly placed bracket is just as critical. But, the point is, while in C++ the syntactical rigor is just annoying, in Mathematica it’s worth putting up with because the productivity is so much greater. A competent programmer can produce, in a single line of Mathematica code, a program that would require hundreds, if not thousands of lines of C++ code to accomplish. Sure, he might get the syntax wrong at first: but it’s only a single line of code and the interactive gui interface makes debugging very simple.

That said, while Mathematica can be very tedious to use for procedural programming, it excels in three areas:

1. Symbolic programming. Anything involving mathematical symbols and equations – Mathematica is #1

1. User interface. In Mathematica, it is trivial to build a sophisticated, dynamic gui in no time at all, again, often in 1-2 lines of code

1. Functional programming. Anything that can be thought of as a function, Mathematica handles extremely well. We are not talking about finding a square root here: I mean extremely complex functions that, again, might take hundreds of lines of code in another language.

It is also worth pointing out that Mathematica comes supplied with functionality that Matlab provides only through numerous, costly add-on packages.

I would add to his comments by stating that the current version of Mathematica also includes machine learning functionality which provides new avenues to explore with regard to algorithmic trading using all sorts of data in addition to numeric.

I think for an individual trader connecting with the home use license version to a brokerage for personal use ought to be allowable (admittedly I haven't read the details of the home use agreement) but if you're not selling your algorithms or work developed in Mathematica to anyone and your not trading on anyone's behalf for a fee using these algorithms then you're not using the product commercially for gain.