I've been considering trying HFT myself for a while. I'm competent with Machine Learning and am a Software Developer by day, so I can program and can sysadmin well enough to get something up and running without any trouble at all.

But, every time I've tried to actually get started, I've always found the amount of research required before being able to begin is just staggering.

It seems like the logical course of single-programmer HFT trading being:

- Find sample data

- Build your trading program using sample data

- When you're happy: connect to live API and set your trading program loose

- Iterate.

However, the first step and the third step seem like the ones which require the most research.

Is there somewhere which has a straightforward dump of timestamped market data available to download (free or not), in order to actually develop a working program?

Likewise, figuring out what to actually trade with, and which service to use is also pretty taxing.