Interactive brokers is probably the cheapest around.... They may not have tools to develop strategies / etc. However, there are MANY third part tools that tie in. TradeStation is a decent compromise. Plus, if you have any kind of volume at all, it is basically free.
IB is excellent. I've been using them now for years with no complaints. They have the best commissions, the best execution I have seen around, and if you trade high enough volume, excellent support. Let me know if anyone has any specific questions, I can try to help.
I was following this for a while, but it had periods of extensive draw downs. I'd do some good due diligence before attempting to trade with real money.