I've been looking for as direct connection to the exchanges as possible. I don't want to use any software like Ninjatrader, CQG, TT Trader etc. I just need to have direct connection which I can use with my own custom trading software. Does anyone have suggestions what would be the best way to get such connectivity? I'm not looking to pay too much for it because I could as well then lease CQG IC or TT X-Trader for example and use their API instead. I'm also a little bit confused what is the difference between TT API or CQG API for example. Do I always need to have some middle hand software in between like those that only slows things down? Are those APIs some kind of wrappers over the direct exchange connections or something else?
I already have one "free" API from Interactive Brokers. I think the quality of data is not good enough on that one and I hate the fact that Trader Workstation closes itself every day automatically not to talk about the strict historical data download limitations. I don't think I want to rely on that API... Also IB's commissions are quite high.