Real life trading API

AFAIK, TradeStation is the most famous of the lot. Most other trading softwares provide APIs (NinjaTrader, MetaStock etc). FWIW, there are even competitions of automated trading systems -- see this.

Also, this is something that the exchange has to support and your broker has to allow. Most exchanges I know of, do not allow automated trading without prior permission.

There are many brokers who will give you access to an API which lets you trade. Obviously you will be paying commissions to them as well as the bid/ask spread which may be wider than the direct markets. They will all differ in the types of instrument that they allow you to trade.

If you want an easy way in, you can use shrink-wrapped software such as Tradestation (horrible proprietary language), NinjaTrader (a little better, C#-based), or SmartQuant (better, C#-based). These generally have pre-built interfaces to a number of brokerages who will actually execute the trades. InteractiveBrokers also has a direct API but they have a reputation for being a pain to deal with.

I would recommend checking alternative forums, such as EliteTrader which has a wealth of information on the relative merits of different brokerages. There are also plenty of folks on there trading through APIs.

Try TD Ameritrade - they have a nice API, relatively low trading fees, and a good help forum . Link to their API offering overview.