Most of the exchange APIs are pretty dreadful to work with. Shameless plug, but I've had to a build a unified library to deal with this at Tradewave[1] and it has been challenging.
Some of the newer, more professionally managed exchanges support FIX but those are at very low volumes right now.
Some of the newer, more professionally managed exchanges support FIX but those are at very low volumes right now.
[1] https://tradewave.net