I do all my own coding in R, I never really got on with Python, I found R so much easier to set up and it had all the libraries I needed. There is also a really nice IDE to work in which wasn't really available in Python back then.
In terms of the API there is already a library to do most of what you want, you can place orders, amend, cancel etc. You can collect all the price/volume data and all the metadata too.
I start collecting data from 8am each day and then at increments which get shorter up to the time the race starts, this data feeds straight into my predictive model which was also developed in R so I get near real time predictions. It's not even that much code because R is very functional so a lot of the work is done for you, it's also very very fast if you use the correct libraries.
If you have large data or complex models running things in parallel is also quite easy and some libraries do it straight out the box.
If you want to get started you just go to here for R
https://mran.microsoft.com/
and here for the IDE
https://rstudio.com/
I would use Linux so you can connect to R on local host from say your windows laptop or something similar.
It's a great thing to get into, even as a hobby but it can really transform what you do and open up many more doors in terms of strategies you are able to test/deploy etc.