Quote from RedRat:
I use VelocityFutures, but it allows only Futures trading. I receive quotes via FIX protocol, this is TradingTechnology FIX adapter which is popular with several other brokers.
If you trade stocks then there are a number of data-feeds, like IQFeed, e-Signal, MarketDelta... (I heard good responces about IQFeed).
I wrote that system should be all-in-one. But here situation is different. You need good broker, good data-feed, good trading platform, good historical data simulator and so on. TWS data feed is good because of it does not lag, but if you want to receive every tick with low-latency then definitely you need to pay for the data feed.