I would like to connect somewhere to be able to code my own trading platform that will receive market data in real-time, analyse it, and place orders in real time. So I need to find a broker/service/exchange that will allow me to do that, in other words, it will allow me to connect to them somehow electronically (FIX, FastFix, Tcp, Udp, protocol XXX) to get market data and place orders.
Of course I am talking about Forex.
Has anyone done this or can shed a light on this? I am not asking if I should do that or not. I am asking how to get started.
In short, i need an affordable and simple service that will allow me to receive market data and place orders electronically through my own platform.