On the 20th of August my trading system bought a company I had never heard of, with real money, because two APIs disagreed about what four letters meant. It survived on luck. Here is what I got wrong, and the plumbing I would build first if I started again. Up front, because it changes how you should read this: none of what follows made me money. The strategy side is the hard part and mine is not solved. What is transferable is the data layer, which turns out to be most of the work...