Quote from Davdse:
Yes, but please show me what data providers and/or retail brokers offer a true socket connection, that is not in fact handled by their windows based API.
TT talk of FIX support, which in fact boils down to a (Windows-based) adapter.
http://www.opentick.com is cross platform. You will need to evaluate the reliability for yourself. There are various libraries for C++, Java etc and I believe the protocol spec is also published so you could use it on any platform. Free aside from exchange fees.