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Just curious. Automated trading using computer software. Parse market data and place orders automatically through a computer program running in your machine. Is it possible to do that as an individual or you have to launch a full blow company? What exchanges will provide easy network connectivity (FIX, TCP, UDP, etc) for a mere mortal to trade using his computer algorithms? Forget Equities and go Forex?

You should assume the person doing that would have technical expertise with computers and software. Still without connectivity to exchanges nothing can be done.

Again: I don't want to use somebody else's trading tools. I want to connect to exchange for market data and order routing and do everything myself. Maybe that's impossible to an individual so I would have to reach the exchange through a third-party company. Still, I want RAW connectivity, meaning, I want a way to through a socket place and cancel orders and trough another socket (UDP or TCP) receive live market-data. I understand it will not be "real-time" but I am willing to pay a millisecond penalty. I don't plain to do arbs from my room, at least not in the conventional way that the whole world is doing. :)

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Your question is incredibly broad and is not something someone in the profession would ask, and is therefore off-topic. That said, yes, it's possible. Look at Interactive Brokers. – Joshua Ulrich Jun 7 '12 at 21:30
Question is broad but you and two other people answered. – HFT Trader Jun 8 '12 at 18:42

closed as off topic by Joshua Ulrich, Ryogi, wburzyns, Alexey Kalmykov, chrisaycock♦ Jun 8 '12 at 2:38

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2 Answers

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People do, but the necessary cross section of expertise required to do it well is quite rare.

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I did NOT say to do automated trading successful. :) I want to trade using software. If I will make money or not is another story. :) I do have the technical expertise from a technical (software) point-of-view. I know basic strategies and that's it. I want to play and learn. That will at least let me fine-tune my own trading platform and framework. – HFT Trader Jun 8 '12 at 0:45
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The initial connection cost and further time and effort to clean data would be excessive and unnecessary. If your looking to split parent orders into simple child orders or use simple execution algo's such as VWAP or With Volume then there are several strong platforms, IB for example. If you want to code more advanced execution algo's such as PWP or a simple pairs strategy then these enviroments usually have an R, Matlab, C interface.

Best of luck - its a serious undertaking!

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