Well, if your programming language is java i can help you a bit. I am having account with
www.icicidirect.com and i am using java program to interact with this site, hence getting market data as well as sending orders (using httpclient from apache and parsing html page).
But before that :
I am struggling to get right algorithm. Can some one chip some idea around this, "how does a day trader take decision" at any instance of time. I have created a small "test bed" that can test any strategy on past six month of data (1 min tick data for nifty stocks from bse).
Here is simple java program
HttpClient httpClient = new HttpClient();
HostConfiguration hostConfiguration = httpClient.getHostConfiguration();
hostConfiguration.setHost("secure.icicidirect.com", 443, "https");
String DATA_URL = "/trading/equity/trading_stock_quote.asp?Symbol=";
String url = DATA_URL + symbol.getSymbol();
PostMethod getMethod = new PostMethod(url);
int statusCode = httpClient.executeMethod(getMethod);
byte[] bytes = getMethod.getResponseBody();
String response = new String(bytes);
now you can parse the html and get data. Similarly you can simulate any post request. e.g. for log in to icici site
String url = "/customer/validlogon.asp?nFile=tradehome";
PostMethod method = new PostMethod(url);
method.addParameter("FML_USR_ID", user);//view source of html page
method.addParameter("FML_USR_USR_PSSWRD", password);
method.addParameter("startin", "1");
byte[] bytes = method.getResponseBody();