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I use Interactive Brokers and have been pretty pleased with them so far.  Their commisions are cheap cheap cheap!  Their Trader Workstation is written in Java, so you can pretty much run it on any OS you want... Windows, OS X, Linux, Irix, etc.  Also, you can write programs that tie into the Trader Workstation.  Again, this can be done in Java, C#, VB.NET, etc.  The only thing is that you have to meet their $10,000 account minimum.  I got in when it was still $5,000.


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