I assume you're all talking mid frequency since your asking on HC.
Your size and target universe / instruments may determine whats most suitable for you. Also the languages you code may drive the decision somewhat.
For vanilla Aus equities, Interactive Brokers (IB) & Open Markets (OM) offer API.
From memory IB offers leverage/shortside to company accounts only.
IRess has an excel add-in although I haven't used to place orders.
For under 10K pa you can set-up a terminal and obtain feeds direct from the exchanges if your size warrants the expense.
Iguana's another data provider with limited L3
Things to watch out for are:
1. Can you choose the exchange your order is sent too or are you governed by the brokers best execution
2. Do you receive chess certs at the end of month
3. Can you connect syncronously or do yo need to poll for a response then extract your portfolio to validate if an order was executed.
4. How does the broker handle market integrity conflicts (i.e. do you need to physically acknowledge)
