http://www.opentick.com is cross platform. You will need to evaluate the reliability for yourself. There are various libraries for C++, Java etc and I believe the protocol spec is also published so you could use it on any platform. Free aside from exchange fees.
Thank you. Yes, it's unbelievable the best provider (in terms of compatibility etc) is free. I will indeed test but I'm not sure this will be reliable enough for me in the longer run, which is why I asked. For everyone's information: I'm not looking for the very cheapest option and I don't mind paying a few hundred dollars per month if it's actually worth it, but I don't need institutional packages and their pricing.
The reason most traders have windows machines is .... because thats where there is a large range of compatible solutions. And as Cisco proved with window telephony ... if you control the application environment, windows 2000 and windows xp are rock solid. If you don't have an anti-windows bigotry thing going why not use windows?
I did of course, but I can't justify the pricing at this moment, their direct data feed is meant for redistributors, not sole traders.
I'm used to working with linux and freebsd servers. The financial world seems to be sort of an exception when it comes to the choice of operating system. Windows is okay and the compatibility range is enormous indeed, but it's just not as stable as unix-based systems.
But how much stability do you need? The cisco example is quite relevant because the cisco boys were all linux heads. The surprise was that "as long as you controlled the applications" windows could be extremely reliable. It doesn't manage the app environment like unix but if you choose your apps its not a problem.
Possible example of windows problems: IB has to reset their servers daily. Why? Memory leaks? If they are on windows, they should move to *nix. Another consideration: some *nix, example Solaris, have realtime schedulers, which is an important consideration in financial apps. Even a payroll program should be realtime.
I think you will find that IB uses Solaris and Linux. Plently of opportunity for memory leaks in any environment, even Java and other "managed" languages.