I'm not that impressed with the 'real' market to be honest, I prefer to have 99.99% of my orders filled at the price I asked for, fixed spreads, no partial fills or slippage without the option to accept/decline a requote, and the opportunity to trade even when there is very little liquidity. Sounds like a reasonable deal to me. I can't see the attraction of the real market, bucketshops are fine for me and my style of trading but of course they may not suit everyone.
"This might be a good option for me, it's just that I have zero experience with prime brokers and don't really know what to expect in terms of market/execution, pricing of their service/financing and also what their minimums are. I think both IB and HSFX offer give-ups to a prime broker - does this mean that you can yourself establish a relationship with various ECNs and then get the trades cleared/consolidated at your prime broker? Are they good at handling the backoffice stuff for managed accounts?" Yes for give ups you can trade at one firm and "give up" the trade to your primary clearing prime broker. Its a little more complicate then this but not much. Currenex utilizes Triana Harmony for this.