The most popular brokers supporting API access in the traditional stock and futures markets include TradeStation, TDAmeritrade, and InteractiveBrokers, but many smaller brokers have expanded access over time.
Unfortunately, Plus500 does not offer APIs and automated trading on their platform.
I vote for IB(Interactive Brokers). I've used them in the past as was quite happy. Pinnacle Capital Markets trading also has an API (pcmtrading.com) but I haven't used them.
Interactive Brokers:
https://www.interactivebrokers.com/en/?f=%2Fen%2Fsoftware%2Fibapi.php
Pinnacle Capital Markets:
http://www.pcmtrading.com/es/technology/api.html
Looks like E*Trade has an API now.
For access to historical data, I've found EODData to have reasonable prices for their data dumps. For side projects, I can't afford (rather don't want to afford) a huge subscription fee just for some data to tinker with.
As of this posting it looks like TradeKing is working on an API. Not sure what the future of it is though.
I've been using parts of the marketcetera platform. They support all kinds of marketdata sources and brokers and you should easily be able to add more brokers and/or data providers. This is not a direct broker API of course, but that helps you avoid vendor lock-in so that might be a good thing. And of course all the tools they use are open source.
openecry.com is a broker with plenty of information on an API and instructions on how to do yours. There are also other brokers with the OEC platform and all the bells and whistles a pro could ask for.
There are a few. I was looking into MBTrading for a friend. I didn't get too far, as my friend lost interest. Seemed relatively straigt forward with a C# and VB.Net SDK. They had some docs and everything. This was ~6 months ago, so it may be better (or worse) by now.
IIRC, you can create a demo account for free. I don't remember all the details, but it let you connect to their test server and pull quotes and make fake trades and such to get your software fine tuned.
Don't know much about cost for an actual account or anything.
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