Here are some notes and web locations I've come across that appear to be relevant to Active Day Traders and Automated Trading Strategies.
I've recently opened an account with Genesis Securities and have downloaded their Laser
trading software. There is a great deal of trading flexibility in that software. It also
introduces some trading subtlties I've not dealt with before. There is flexibility in which
markets to which orders can be sent, and the types of orders to be sent.
Routing
Guide is a useful guide to ECN's, what markets they cover, how to grade with them, and a
few helpful hints on order placement.
Electronic Communication Network (ECN) are important sources of liquidity.
Here are some more articles from Answers.com on Scalping and Day Trading.
A forum post at Elite Trader mentioned Bull Investors. They have some various
live feeds and intra-day trading notes.
An older ebook on Nasdaq trading.
ShortSqueeze