I'd like to start automating my trading strategies. I'm not looking for a fast and easy solution, therefore the programming language is not important for me, I am ready to spend an extra year to master the required technologies if needed. I'm very good with R, VBA and SQL, used Python a bit, but don't know any C++/C#/Java.
I'm looking for a recommendation on what framework and related programming language to learn. I can't afford any expensive solutions, a free open-source framework would be ideal. I trade futures and stocks with IB and my trading strategies mostly use a combination of simple technical rules. However, sometimes I really need to get some extra data to generate an entry or exit signal, e.g. check if today's date is present in some list of dates in the database, or generate a custom breadth indicator (like at the moment some condition is true for at least X% of stocks from certain list of stocks). I can fairly easily backtest such strategies in R with my own backtester, but I have no idea if ready frameworks for automated trading allow that. Having read some articles and forum posts I realized that I probably need CEP to program such rules. If so, then as far as I know I'm limited to AlgoTrader among free solutions. However, I've read opinions that AlgoTrader is extremely complicated to understand even with a solid background in Java, which I lack at the moment, and that it lacks proper documentation. Is there anyone, who uses AlgoTrader, in here? Are there any alternatives that allow to program algos similar to what I described above?
In theory I can send trading signals from R, but I'd like to get more reliability, speed (I don't need HFT, but recalculating custom breadth indicators for several systems takes time) and some ready framework that can be used to both backtest and trade using the same code to generate signals. In addition, there are probably other good reasons that I'm not aware of why hardly anyone uses R for automated trading.