QuickFIX (http://www.quickfixengine.org/) is the standard open source engine, there are a few others and several you can buy as well. It's certainly easier to program in the API especially if you're a basic (especially VB!) programmer, but if you're a proficient C++ dev then QuickFIX is pretty simple. Like anything you trade ease of use for more control over what you're doing.
Thanks a lot for your contribution, I must definitively check that out later. I wish I could have the formal training and time to program this as professional.
Well you're always dependent on something. But you're right about FIX. If I were going to set up a professional operation like a hedge fund I'd use FIX and subscribe to the data I needed. I've been using IB's API for 10+ years without problems and it meets my needs as a retail trader trading my own money.
FIX solution at IB has required minimums: https://www.interactivebrokers.com/en/index.php?f=4945&p=requiredminimums