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It's easier than you think.
Interactive Brokers has an API.

The hard part is that this is like the ultimate in software challenges.
Bugs cost real money, be it increased commissions or uncontrolled losses.
If there's a way to set a max loss circuit breaker, I'd be all for it.

They would know that people who execute a lot of trades get big discounts. HUGE discounts. If you are doing more than 20,000 or 100,000 trades a month, you start to trade at a fraction of the cost of a normal investor.
http://www.interactivebrokers.com/en/index.php?f=commission&p=futures3

With this fee structure, a HFT can get in and out and make money. A normal trader would lose money on the exact same trade. For the average guy, the trade might be profitable, but the trade commission is greater than the profit. Exchanges give a lot of incentives to traders who bring big volume.

I have a major issue with a system where two different traders make the exact same trade, but one loses money while the other makes a profit.
I'm not suggesting eliminating the lower fees for more active traders. I would like to see the gap between the highest commission and the lowest commission close. This simple change would work wonders to level the playing field. If the highest commission was limited to 130% of the lowest commission, the high frequency traders would lose most of their advantage.

You could try your hand at various programming competitions such as those offered on TopCoder or Kaggle. Some of the prizes in these competitions amount to serious dough.

Alternatively, you could try algorithmic trading. Several online brokerages offer an API, such as Interactive Brokers and TradeStation.

Here's a proper worked out example, I was sloppy before. The easiest way to get a margin call without trading on margin is to run into the minimum requirements to maintain an account. Open an account at Interactive Brokers (using them simply because that's where my last margin call came from) using $2500. Buy 25 shares of a stock at $100/share. Maintenance margin is $2000 on this position, you have slightly under $2500 (transaction fees) to cover it.

There's a crash in that stock and the price closes at $75/share one day. Your account now is worth $1875, but the maintenance margin is still $2000. The broker can now liquidate some of that position at $75/share via margin call unless you deposit more money. Let's say you don't respond to that in time. Even if the recovers to its original price of $100 per share, your account won't be back to $2500. You'll have sold some shares at the bottom instead.

This example is admittedly a bit forced, but even the simplest long position can hit this sort of margin call in the face of a large enough artificial price crash. The maintenance minimums can change on you after a transaction is made too. Normally they only drop from what it takes to execute a trade in the first place, but there are edge cases that can kill you. Let's say you open an account with $20,000 and make $10,000 of long trades. One day you make some new trades just as the market turns sour, so you immediately sell them. Make too many trades in a short period, and you can suddenly be a Pattern day trader. Your minimum account number goes up to $25,000, and you can face a margin call potentially forcing a bad liquidation trade as part of that, again without having ever traded on margin directly. I did that once, too, and it's no fun to resolve. That rule you can avoid if you open a strictly cash account, without even the possibility of margin.

I am a big fan of Interactive Brokers - while their desktop app is pretty cool, the API is what makes them truly outstanding: http://www.interactivebrokers.com/en/p.php?f=programInterface&p=guide-default

Trading in securities and options is mentally challenging and (potentially) profitable. You can spend as much or as little time on it as you like, and when you come across someone who doesn't understand the market, instead of tolerating them and repeating yourself, you can make money from their ignorance. There are brokerages that allow software developers to automate their trading too, such as Interactive Brokers and TradeStation.

Look into interactivebrokers.com. You do need to open an account there (which IMHO isn't too much to ask. A roth IRA can be opened for $3k I think) but when you do, they'll give you (on request) a test/paper trade account with $1,000,000 in it and access to the real time functions.

Areed. I spent 3 months trying to find a good solution. If you've got buckets of money, NxCore ( http://www.nanex.net/NxCore/NxCore.htm - prices start at $500/month) and any of the brokers that support a FIX API (for which you can expect to pay a hefty fee, too; Interactive Brokers (IB - http://www.interactivebrokers.com/ ) for example charge a one time $500 fee, OANDA ( http://www.oanda.com/ ) charge $600 for the first two months then an ongoing subscription fee if you trade $12mil/month or something).

For those people not wanting to pour money into it, as good as you can get is Interactive Broker's Trader Workstation (TWS), and JBookTrader (http://code.google.com/p/jbooktrader/) or a custom trading platform that talks to their API. TWS is a pain that lacks automated login (for security reasons) and auto-exits every 24 hours (for... err... security reasons?), but it gets the job done. Data feed can be an issue still, though; IB offer up to 100 symbols at a time, and a basic historical data service, but some people dislike the fact they drop price ticks during busy market times (over 10 prices per second) and the historical data service is paced so you can only do a limited of number of requests (about one every ten seconds I believe).

In short though, AC is right; use Windows, it may well be less painful. Really.

I have not seen any open source projects that you can use as a platform for building a trading system.

I have built an intraday (within one day) trading system in Java. I'm afraid that this system is not open source either. This system runs one or more models that look for intraday trading signals. The Java software submits buy and sell orders. It is multi-threaded and runs one thread per stock. I have been very happy with the software performance. A long running "server" like this seems to benefit from Sun's HotSpot compiler. The system is web services based (e.g., it runs on Tomcat).

I used Interactive Brokers for my market data and order infrastructure. I was concerned about the quality of the Interactive Brokers tick data (the trade by trade data). Interactive Brokers consolidates their tick data feed so you get a consolidated tick about ever 250 msec. For my system this has been adequate. If you want to run on Linux or use Java there are few inexpensive options for real time data feeds. Information may way to be free, but market data is expensive.

I have some web pages on the alternatives that I explored as platforms for a Java/Linux based trading system. These notes can be found on my web page Software for Constructing a Market Trading System

Interactive Brokers has a Java-based
Trader Workstation ("TWS") and they explicitly support Linux. They offer almost anything you can get anywhere, including mutual funds, stocks, options, futures (commodity & financial), currency, and foreign stocks. Commissions are 10x lower than Charles Schwab if you trade often (if you don't then a minimum monthly commission kicks in).

TWS is a large, cumbersome Java applet, but it works tolerably well on a fast machine (and there's not much alternative on Linux)

One annoyance is that they only support jdk 1.5.0_x (not the current 1.6.x), I think because of some concurrency bugs in their code (they claim the newer Java is buggy). However TWS generally does work with the latest jdk, but they won't support it.

IB's telephone support is sometimes rude, the opposite of "hand holding". I guess they have only a few over-worked support people to keep costs down. Also, they only provide on-line statements and never send physical mail except for annual 1099 tax forms. So, be sure your spouse/executor knows you have an IB account, because if you die there will be no monthly statements to clue them!

In summary, IB is good, despite their warts. If you trade a few times a month or more, it's worth the hassles.

Interactive Brokers has a Java-based
Trader Workstation ("TWS") and they explicitly support Linux. They offer almost anything you can get anywhere, including mutual funds, stocks, options, futures (commodity & financial), currency, and foreign stocks. Commissions are 10x lower than Charles Schwab if you trade often (if you don't then a minimum monthly commission kicks in).

TWS is a large, cumbersome Java applet, but it works tolerably well on a fast machine (and there's not much alternative on Linux)

One annoyance is that they only support jdk 1.5.0_x (not the current 1.6.x), I think because of some concurrency bugs in their code (they claim the newer Java is buggy). However TWS generally does work with the latest jdk, but they won't support it.

IB's telephone support is sometimes rude, the opposite of "hand holding". I guess they have only a few over-worked support people to keep costs down. Also, they only provide on-line statements and never send physical mail except for annual 1099 tax forms. So, be sure your spouse/executor knows you have an IB account, because if you die there will be no monthly statements to clue them!

In summary, IB is good, despite their warts. If you trade a few times a month or more, it's worth the hassles.

You might be thinking about Interactive Brokers - http://www.interactivebrokers.com/en/software/high lights/apiHighlights.php?ib_entity=llc Every year they hold a university challenge where the winner gets something like $100,000 and a job with them for creating the most successful automated trading application.

Add futures and commodities to the mix: Risk/reward ratios, anyone?

http://www.interactivebrokers.com/en/main.php

Thanks for thinkorswim - bookmarked it.

I don't have to pay a fee-hungry broker. After all, brokers just make you broker. :p

I use the discount direct access Interactive Brokers (developer note: they have a great API for hooking into their flexible trading platform. Even Python bindings.)

And yes, "constantly trading on these things" is a great idea. It's called active trading. Stocks fluctuate, rise and fall through the day. I can take immediate advantage of multiple momentum movements within the day, instead of waiting (and tying up capital) for months or years for a stock to slowly wind its way up on the long term. And that $500 profit is in my pocket at the end of the day, outside the risk of bad after-market news wiping out my profits during the next morning panic. Plus, compounding daily accelerates my wealth.

Talking about news, I take it with a grain of salt. Usually the market has already corrected from rumours and early birds well ahead of the official press being released. Sometimes a stock will drop on the release of "good" news as the early birds dump the stock and run to the bank with their profits.

Anyway, getting to the article. I use the TraderZone trading system. Full disclosure: I work for TraderZone. Instead of a black box computer generating many complicated rules, we developed the system using the opposite approach. The president of TraderZone, a human being, observed, experimented, and used real money to discover very specific repeatable buy and sell signals. For example, moving average crosses and support and resistance zones are strong indicators. These rules were automated into a computer program, since a computer can scan thousands of stocks in real-time. a little faster than a human. Score one for the computer. Coloured indicators and green arrows show the status of the formulas and make "trading at a glance" possible. The more green on a line, the better the pick. When it's red, it's time to sell. It's not automated trading yet, but when you do what the computer tell you, you WILL make money. These formulas have been market tested since 2003.

TraderZone also provide longer term stock picks, called the BuyZone Review, which are generated by a human-tweaked computer formula.

I still have to glance at the intraday charts to confirm the computer's results and time entry and exit points. But our vision is to change the future of trading.

This has happened to my accounts, *twice*. TDAmeritrade and Interactive Brokers have both compromised my one off email addresses for their systems to stock touts - not once, but TWICE. I changed the two one off email's in their systems after noticing the stock tout scum spam scams, only to have the two newly generated emails compromised yet again within weeks. I ask, what other information have they sold/stolen??? These clowns are protecting my life's savings in brokerage accounts, but can't even keep my email account locked down?! Try complain - I did... what a farce. Wasted my breath and insult to my intelligence the complaint process was...

But, If you want to jump into it really soon some things to think about; Do you have enough (6 figures+ ?) money (you don't have to if pro shop finances some of it)? By that I mean do you really have enough staying power for 1-2 years, i.e. making 2k one day or 10k-20k one month, then loosing 5-50k a month for 2-3 months in a row?

But, the best option regardless is to start and read up on using proper money management (portfolio position sizing) techniques, thus hopefully avoiding above scenarios. Better yet if you do not jump right into a pro shop (maybe one year from now) is to start slowly and read as much as you can and start to papertrade. Will you be programing your own system or use something more professional like eSignal, Tradestation, or cheap good begginers program (so I've heard) Amibroker? Do you want to backtest and keep all the data on your hard drive or rely on downloading bits and pieces from an online software company?

Being a successful institutional trader involves a number of skills and personal characteristics. The more you can learn about it going in, the better I think your chances will be. As far as which market: focus on the area that you're most interested in. There is one caution: really understanding the process of valuing options and other derivative securities takes a non-trivial level of math understanding.

Yes, exactly.

However, as (BengalsUF) stated: It doesn't sound like you have talked to anybody that would actually be your boss if you made the move to the trading floor. Having worked in the same environment, if you had asked them you would know exactly what you need to do to move into that area.

Have to agree here, but read on.

Taking the day trading route, commisions will eat at you. You can still make money, but should be the last thing to jump into with a lot of money. Maybe the best way to test out day trading is to try Forex with one of those firms that allow you to trade $1 or so per trade, like papertrading but real (except for liquidation). I would also recommend looking into Interactive Brokers for an online brokerage.

A couple of beggining books I can recommend to get you started are Come Into My Trading Room, Trade Your Way to Financial Freedom, Give you a headstart and you'll also want to check out some trading forums, EliteTrader is a good one and Trade2Win

Good Luck.

ps If you get steered into really looking at Forex (still not fully regulated), really look into the broker that you choose (Refco FX Asscociates)!! Not to worry if you try "papertrading" with $50 or so.

Also worth a check-out is Interactive Brokers. They're who I use and the cheapest around afaik.

One strategy I've found does fairly well for me in options is selling call and put spreads. You need a bit of knowledge in statistics but there's a wealth of information out there on how to do it. I've never been big on long option positions though. They seldom have worked for me.

Generally, Firefox is significantly better at rendering pages as they are intended as it complies much better with the CSS standard than IE.

You say that as though the two are synonymous. They're not. People don't design websites to comply with standards, they design websites to look right in the web browsers.

If all web browsers followed web standards and good design practices we would have just a small fraction of the problems we hae today.

If all web browsers always followed web standards we probably wouldn't have a web today. Where do you think we'd be if the makers of Mosaic had waited for the official adoption of the div tag before they implemented center?

Linux is inferior at games compared to Windows, and "we live in a Windows world" so should we just give up on Linux, sit back and deal with a virus infested, poorly architected system like Windows?

Of course not. We should work toward a better system, but in the mean time we have to live with the fact that Linux is not a complete solution.

Firefox is almost there. There are still a few sites which won't work in it, though. I just recently disabled IE on my system, and I'm about to re-enable it, because the brokerage firm I just switched to (Interactive Brokers) doesn't support anything but IE. I'll try getting my agent string to lie, but if that doesn't work I'm gonna have to re-enable IE.

For slashdotters in the USA who like to pick up a few shares of foreign companies that look interesting, check out InteractiveBrokers.
They'll let you trade securities on foreign exchanges for less $$ than most brokers let you trade domestic stocks.

When I start seeing a slashdot effect on the stock market I'll be seriously impressed.

On non-windows platforms you're pretty much limited to MyTrack Java SDK and Interactive Brokers (Doesn't play nice with mozilla) for retail services.

MyTrack offers pretty good data although it can lag a good bit behind the marked (5-20 sec) and seems to be mostly unsupported.

IB's data is, well, you wouldn't want to trade off it alone. However the executions are great and their fee schedule is very competitive. Their Java TWS, which runs very well on Linux/UNIX, is somewhat programmable via either a socket interface or Java API.

I haven't worked with the MyTrack SDK for years so I can't comment on MyTrack's performance recently, but their executions were not comparable with other EDAT brokers and barely up to web broker standards when I used them. IB offers pretty good market coverage especially in commodities and options. Currently their API limits executions to their proprietary routing system, the client offers direct access routing to various exchanges. They also offer a much richer API to pro customers although their fees aren't as competitive in that area.

It's also worth mentioning that IB's platform is a bare-bones, no handholding, execution platform. If you want support and fancy tools go elsewhere but their executions and margin policies are pretty good (exchange min. on most contracts). When there is a problem however, you'll be happy to have a backup broker to hedge the positions you hold with IB. They require this in their customer agreement

See ibusers Yahoo group and EliteTrader Direct Access forum for more information. I only mention options that are available on Linux/UNIX for retail brokers because thats all I've investigated for my own use. I may post a better summary when I recover from last night..