Depends on which Exchange you focus on, I guess NASDAQ. You also forgot the tell us in what language you want to develop.

First things first: You know that access to real-time data costs some money right? I mean a friend pays 3k/monthly (real-time incl. support). Paying upfront before you even have started doesn't make much sense. Don't get schocked by that price, he's doing it professionally and what he pays for his servers is n times more than that.

Some links to APIs:

http://www.nasdaqdod.com/

http://www.lmax.com/trading-tech/access

http://www.hotspotfx.com/technology/apifix.jsp

http://www.easy-forex.com/int/developers/

http://www.iqfeed.net/index.cfm?displayaction=developer&sect...

https://developers.tradeking.com/

http://www.turbotrade.com/content/category/9/61/95/

http://www.activetick.com/activetick/contents/ActiveTickPlat...

Keep me updated, ok?

What about E*TRADE?

If you're willing to share more from your income with them, sure. This is the API link: https://us.etrade.com/active-trading/api

Advice: Please contact a specialized lawyer before you put any algos into the market.

PS: Marc, that's a cool site that you have built at http://mashape.com/ !

Thanks, Mashape is what I'm passionately currently doing. HFT is more of a side project thing. If you are based in San Francisco, it would be cool to meet for a coffee (you can email me at: mark at mashape dot com)

When I wrote HFT bots for trading futures contracts a while back, I used Trading Technologies.

Their systems power something like 80% of all electronic futures orders and they have by far the best overall system I've ever tested. This includes the entire stack from networking to low level code.

It's windows only (.net) but incredibly powerful. Starting prices when I was using it was about 1500-2000 per month so it's not really designed for people wanting to dabble, but they have the lowest latency I've ever seen in both pricing data and order routing so if you're serious about trading futures there really isn't any alternative.

Thanks - I would like to start slow and then eventually upgrade to a more expensive service, as I am very new to the field. Two questions:

1) Have you ever had any experience with E*TRADE?

2) It would be awesome if you could point me to some resources/books about HFT

EDIT: The pricing seems to be $1,200/month now. https://www.tradingtechnologies.com/en/products/pricing/

80% of all electronic futures orders and the are .net? Call me skeptical (being that I'ved worked in the industry and still do for a very large player), but can't believe you can get a windows stack down to remotely the level of low low latency you can get a Linux stack. I find that statement as woefully wrong on so many different levels it makes me almost want to cry

@SEJeff Exactly, what I just wanted to post! I think SEJeff agrees with me, when I say that people in that business have no mercy, be prepared and learn yourself before accepting raw advices. Question what we say too.

Net and low-level code... well only if they have a fpga-cluster running the .Net code through a specialized compiler like http://www.mono-project.com/Mono_LLVM and then run some commercial optimizers to tune the assembly. Even then, the risk of malfunction due to "undefined behaviour" is too high to take the risk. You're better of with just Ada,Fortran,C or C++ Backends

This is just to illustrate how ridiculous a .Net ultra-low latency trading system sounds.

I recommend Interactive Brokers...and couple it with the ActiveQuant (open source) trading framework. (For some reason I am getting a malware warning by Google when accessing the ActiveQuant website...you may want to wait until they fix it).

E*Trade is what i used few months back. It works well