Software to Calculate/Chart Correlation from Streaming Data?

[maxplanck 10]

I'm looking for software and a data feed that will allow me to calculate and chart the price correlation between two securities.

 

Currently I use Interactive Brokers, but I cannot do this w/ their Trader Workstation.

 

I'd like to do this w/ as high frequency data as is possible on a solo day trader's budget.

 

Generally, I'm trying to find the best combination of broker, data feed, software and API that provides fast execution, fast data, can calculate and display charts of price correlations, and will allow me to write my own algorithms for processing streaming data and charting these custom algorithms' output.

 

I'd like to be able to get very detailed w/ custom algorithms.. For example, I'd like to experiment w/ custom algorithms to calculate probabilities from streaming data along w/ historical data, using both price and volume as inputs.

 

I'm hoping to find the best, most full featured system(s) now, so that I don't spend my time learning a system that I will outgrow, then have to learn an entirely different system in order to progress further.

 

Thanks, any info is much appreciated

 

-Max

 

PS- I mainly trade the major ETFs: SPY, EEM, GLD, TLT, commodity ETFs, and eur.usd

[JohnTaylorHK 10]

I have implemented this in MetaTrader. The correlation was actually from the same price series, trying to find patterns that repeated and then capitalising on what came next. Results were inconclusive, mainly due to the other external factors you mention.