I am still using front-end applications (like Sterling, Lightspeed, etc.) to make money, but I want to push into exchange colocation and make incremental strides towards achieving an HFT infrastructure. The market-data side is straight-forward. It's the order-placement and associated technology I don't have full visibility into. Has anyone ever used their prop firm's existing relationships, but built their own direct connectivity into the exchange? What's involved on the back-end at a minimum to bypass front-ends and go direct? Are there pre-existing risk-management backends that can be plugged in, or does one have to build their own risk-check systems?