I've used all, and 3/4 the most and 5 more recently.
Everybody seems to have very high opinions of takion. It's created by the same guys who created andover/anvil (before it was bought by sungard and then by LS before they shut it down). I think lightspeed is better than many of these...
there are people who do and packages for this (search r seek for quant/finance/etc), although for the most part they trade using daily data.
for larger volume stuff for the most part you're better off doing analysis of backtesting results or signals in R.
you could look at using qcollector, which i believe automates esignal data exporting.
might also check out iqfeed they have faster more flexible feed than esignal at comparable prices.
Sorry you took this the wrong way. I just find it humorous when one little piggy wants to reinvent the wheel. I'm used to little piggys going to market, but maybe the piggy bank is empty so the piggy stays home. Not sure I'm a little rusty on my piggy bank stories, but I thought the...
the built for a GUI makes somewhat sense, although there are other obscure "features" like this in the api that are not consistent with how TWS behaves (specifically order acks running on multiple machines) that suggests TWS is not built on it's own api (or not entirely).
actually IB has a known "feature" where you can get a fill ack either before or instead of an order acknowledgement. if the fill happens quickly enough they don't bother sending an order ack, although you can also see fill acks preceed order acks.
fyi....tradelink's ib connnector is...