Finding the best broker for quantitative trading can be difficult, and the correct solution will be influenced largely by the nature of your strategy and the amount of capital you intend to trade with
I’m going to assume that you’re dealing with a retail sized amount of equity – $250k or less. Any more than this and you should probably start to investigate entry level institutional brokerage options and enjoy benefits such as collateral yield and high volume tier commissions.
For those of us applying quantitative trading techniques in a retail trading account then the primary consideration when comparing and choosing a broker will be the frequency with which the strategy trades. Higher frequency intraday strategies typically (though not always) require automated execution, in which case options such as TradeStation should be considered.
If your quant strategy trades end-of-day or even less often still, then you will be able to execute orders to open and close positions manually, so the algorithmic capabilities of the brokerage platform become less important, and you can focus on reducing costs. For ultra-low frequency trend-following strategies and end-of-month or quarterly re-balancing equity portfolios, then beware brokers who charge hefty inactivity fees on accounts.
When it comes to reducing fees, the bonus offers and commission rebates offered by many brokers can be useful. Take a look at the bestbrokerdeals.com website to compare brokers for stocks, options, forex and futures, and find the best broker discounts and deals. The site is also a great resource for market analysis and trading ideas, as well as broker reviews and industry news.
For those who plan to trade quantitative strategies in the forex markets, then you may well prefer to use an ECN broker, as your costs per trade will be known in advance rather than contingent upon a varying spread, and so will be much easier to realistically account for during the development and testing process. Another option is the use of forex futures rather than the spot forex market.
Quantitative Trading Tips 