Hi,
I've been working on a blackbox trading engine for a while. It actually yields quite a lot of profit and everything is perfect, except for the exchange BTC-e. Their API simply sucks. They block API keys for no reason. Sometimes the server cancels a given order immediately after it's given. Their customer support also sucks. I asked their technical team about the problem, showing my code and telling about what happened. All they said was that the code seems OK.
So, I am in search of a bitcoin exchange with a reliable trading API. Any advice?
PS. Liquidity is also a concern since I am planning to play big in the near future. So it must also be one of the biggest exchanges.
I have heard good things about Okcoin. I have heard they are much more geared towards algorithmic trading. I don't operate bots myself, so I can't really say more than that. But I've heard they are better than the western exchanges in that regard.
They are also MUCH more liquid than BTCE. (I recommend okcoin.cn, not okcoin.com)
Best of luck.