The closest thing a retail can do is:
1. Find a solution that can connect yourself to multiple brokers. Expect to use FIX.
2. Find a solution that will enable to manage the multiple feeds. If you're provided with Solution 1, usually firms offer a solution for this.
3. Find a CEP/ESP solution that allows you to run algos. within the managed datas. There's plenty of CEP/ESP packages out there...
Rather than looking for a single solution, divide-and-conquer.
If you can program:
Get QuickFIX.
Get ESPer. (Actually, I prefer hard-coding the algos in the QuickFIX interface...)
