Has anyone ever tried to interface to the TD Ameritrade API and obtain realtime level II data or even execute trades? This would be some interest for me.
Another approach, suitable at least for passive applications, is to monitor real time market data within Excel using the RTD("tos.rtd", ...) function. "tos" is an acronym for Think Or Swim, an option trading subsidiary of TDAmeritrade. The market data, once in Excel, can be accessed from Mathematica using NetLink.
TraderXL sounds interesting.
I contacted TD Ameritrade to get access to their API. They told me that Wolfram is not listed as a business partner of TDA (or at least they couldn't find it). Anyway, you need to have an account of $500k+ or trade more than 30 times/quarter to get access to the API.
I would love to see TDA added to the ServiceConnect, ServiceExecute etc.functions or similar
I am just getting started into this, but my strategy at the moment is going to be pass through to Excel via TraderXL for the actual trade executions. Their macro works (confirmed) and it's free. I was looking for a more elegant way to do it just now until I stumbled on your post.