My 2 cents: Learn how to trade first; since you are a programmer, you can then architect your trading engine. You will end up wasting your time if you start working on your trading system without understanding what it feels like to trade live. You should atleast be break even with a good working trading plan before you want to venture into algo trading. I myself being a software engineer went through that route years back and realized that I wasted all my time developing something without having a clue about price action. I know, it takes time, but thats the way to go based on my experience; of course this is my opinion. Good luck.
Not the answer you were looking for, but...
Just wanted to reiterate as others have done that this is about the most pertinent and valuable advice I could have received when, as a programmer I started out developing strategies. If heeded it could have saved a great deal of frustration.
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