I'd suggest maybe look at algo trading rather than HF, it's much more accesible to outsiders, plus you can use the algorithms on places like betfair and stand a decent chance of actually making money.
Optionshouse has a nice one that has a XML ajax interface.
VSE from marketwatch is a bit older but can also be done.
I've wrote APIs for both.
edit: i'm refering to algorithmic trading v gambling not HFT.
You're right that potential returns are much higher on real markets, purely because there's far more money traded on real markets. On the other hand entry to "real markets" is much more expensive, Betfair is fairly cheap to enter and don't charge a per-trade commission. Plus there are more market inefficiency on Betfair that don't exist in more developed markets.
You are saying that any sport event, in particular those that are in play actually have some statistical mineable property with profitably exploitable strategies? If this is the case, with such a low barrier should this not be a game with zero expectation in the long run (maybe negative if there are minimum bet rules)? Whatever distribution that can be learned would have much higher variance than your typical intra day trades no? And while these techniques may be similar in spirit, do the fundamentals map sufficiently? As they say, the devil is in the details. but I speak from ignorance.
I think the fundamentals are close enough that it's a useful place to learn. You're not going to be able to take a method that works on Betfair and apply it to a real market, but a lot of the statistical mining/predictions techniques you can use of betfair are exactly the same as those used in real markets.