The closest thing a retail can do is: 1. Find a solution that can connect yourself to multiple brokers. Expect to use FIX. 2. Find a solution that will enable to manage the multiple feeds. If you're provided with Solution 1, usually firms offer a solution for this. 3. Find a CEP/ESP solution that allows you to run algos. within the managed datas. There's plenty of CEP/ESP packages out there... Rather than looking for a single solution, divide-and-conquer. If you can program: Get QuickFIX. Get ESPer. (Actually, I prefer hard-coding the algos in the QuickFIX interface...)
I agree with TS....Esper and QuickFIX are a good start. If you have the capital then GS Rediplus, CS AES, or Boomberg can access multiple brokers.