I use OQ (OpenQuant) on ATS, below is my comments : Pros: 1. You can build your own market data provider & execution provider. * I have successful to built my own market data provider (C#) to receive zen-fire data feed, and built an execution provider (C#) to send Combo order (multi-legs on Inter-commodity futures) to IB ** Moreover I made my own GUI (e.g. panic button) to make special command to my OQ ATS strategy 2. Support milliseconds level that storing DateTime to quotes, trades, bars * NinjaTrader support 1sec. only 3. OQ Database are very easy to maintain, there're 8 files (v2.9) to backup/restore Cons: 1. Weak in charting 2. Exception occurs caused by memory usage over 1.5GB when Backtesting (it may be solved in v3.0 or new 64-bit version as my own copy is v2.9.13)