If you are considering a platform that runs on Citrix, try out that demo extensively. I've used Hammer over Citrix (and worked in IT using Citrix and other "remote control" applications for a number of years), and I can tell you it IS NOT exactly the same as running a "local" application.
For most people, it probably won't matter, but if you scalp and need ultra fast responsiveness from hitting keys, it may be an issue.
Andover's Citrix/Hammer people seemed very knowledgeable and this is not an issue specific to them, but in any "remote control" application, it is not exactly the same and running the app directly on your PC.