Quote from 2rosy:
Not sure if linux or C helps but you're basically looking for event based programming. That's how most trading and market data APIs are structured for use.
Openquant has the best event based programming. I can't use their platform because my programming skills won't quite cut it, it takes more than some scripting to make things work there but I dearly miss the event based structure they have going, it's the best. Ninja has a little bit of it, I mentioned it on the sierrachart forum and they referred me to mouse events or some s%^t, I actually don't think they know about it yet.