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Interesting thread, thanks.

As a Direct Market Access developer myself, I wonder what is your environment (target exchange(s), api/transport/codec stack, market data provider) and how time-costly it is for you to 'just connect' to the market (aka, having a platform ready to trade, without the algo stuff).

Could you elaborate a little please?

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Currently just the CME, all of it was written in house, with the exception of Quickfix for Java for sending orders and OpenFast for CME marketdata. We'd like to replace Quickfix in the near future as it has too much static singleton state for our liking. It takes a few months to a year to write the exchange connectivity pieces depending on how many times you've done it before. We've done it several times so we are pretty comfortable in that area. Subsequent exchanges are a lot easier once you have the basic infrastructure in place.

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