Also check out the Forex markets. Brokerages like IBFX.com use MT4 which has an open API of sorts. (I am just beginning to look at this myself... For similar reasons to the OP). Some nice things about Forex is that most brokers use the spread for their fees, no other fees or commissions. Also, forex has some nice margins. (50:1 leverage). Together, this means that you can trade for much lower investment than in markets like NASDAQ.
Disclaimer: as I mentioned, I am just now beginning to look into / learn about forex, so I may have completely mangled things.