I use Interactive Brokers. They're probably the best retail brokerage out there. They're cheap -- the best rates on commissions and by far the best rates for ma

I use Interactive Brokers. They're probably the best retail brokerage out there. They're cheap -- the best rates on commissions and by far the best rates for margin. And they have a reasonably well-documented and supported API which you can write your programs against. The API is actually pretty much industry-standard so if you're interested in a third-party program, they probably support it. If there's any downside, it's their data. You can't get that much of it historically (1 year max on the minute bars, far less on the second bars, and it takes forever to download it because of the throttling). It's also not...I'm going to say correct...historically. I mean, it is a correct record of what trades happened when. But it includes trades that you won't see when they happen, making it less useful if you're looking for a stream of events as they are happening. Also compared to a broker like Lightspeed (who I haven't tried) their data is expensive. The software is a big mess, but it's usable. It's always in this weird state where it's 50-75% of the way to being completely awesome, but there's just a few things missing that stop it from being so. Also if I have one nitpicky complaint it's that I can't direct route complex options orders.