define "ultra high frequency". if you have the same definition as me (sub 10ms) then I would question whether it is possible via retail due to network / internet latencies etc. also, you'd need an ultra-low latency data-feed which no retail broker is gonna give you free. of course, your definition may be different - HFreq and UHFreq are terms thrown around generically to mean sub 1-min, sub 1-sec, etc by various people.
For ultra high frequency (sub milli) you have basically 3 access models: 1) Go direct p2p into Nasdaq's trading facility checkout extranet providers like BTRadianz, Yipes, Savvis etc.. 2) Colocate your servers with Nasdaq 3) Use one of the big boys (GS, LEH, UBS, CS etc..) and connect to thier DMA platform via sponsored access trading. Each access model will run you easily a few G's a month nothing else will give you sub milli access to the markets. Best of luck.
There are loads of providers for millisecond sensitive strategies around. I'd do a search, as threads like this have popped up over and over, and there are some strong businesses in the space. I'd look long and hard before going to the big boys, so to speak, as they're in the business of asset gathering, and the millisecond crowd isn't always swimming in enough cash to attract the likes of these guys. Plenty of options, but I assumed this thread would be full of ideas. I still have hope though....
For a grade or two (and cost) below the options WallstYouth suggests, you could use Genesis. Or Lime or Lightspeed or IB, but keep in mind that the latter three are owned by entities that may have ultra-high-frequency vehicles that trade on their own behalf. There are probably a number of other options in this space.
Genesis. They are the kinds in high-frequency C++ on NASDAQ. search some threads on the reviews (our fund uses it also). I suggest to speak with Alex Kravets there or Serge Pustelnik (if you can find him). He knows more than anyone on automation there... well except the CEO of course.
The big guys (GS, etc) are only useful if you're planning to get leveraged and if you want to trade accross multiple markets and have access to closed markets. Or need for a good prime broker if you are trading with the street a lot and have a lot of investors Leverage is tough now with them anyway. But if your looking to specialize - go to a firm that specializes in this. There is no real reason to connect directly to NASDAQ if you are planning to trade on ARCA, BATS, EDGE, etc. Better to use a broker that is connected to all of them with minimal latency. They do all the hard work for you.
I really dont see how anyone can do HF trading today and not go direct or use on of the big guys like GS or LEH who have their systems cross connected into the exchanges/ECN networks. There really is no other option. Geneisis? Are you fucking serious? Our DMA platform at Lehman use to handle about 2 to 6% of the daily NYSE volume mostly from stat/arb hedgefund clients.