I am writing an algorithmic trading program, and I would like to be able to place trades directly with the ASX as opposed to going through a broker for each buy/sell order, in an effort to save on brokerage fees. Is there an API provided by the ASX which allows me to interact directly with the ASX in this manner? If so, how can I access it, what are the fees like for such an API, and what features does it provide? I am looking at something like MarketSource but the information provided seems rather sparse. I am aware that the NASDAQ charges those looking to access its market data directly exorbitant fees - is this also the case for the ASX?
Yes you can become a trading participant on the ASX and/or ASX24 platforms.
Simple trading membership on ASX24 is free at the moment but you need to go through the application process. See http://www.asx.com.au/ebrochures/participant/index.html. Membership on the ASX platform is currently AUD 2500 p.a.
Obviously you need to find a clearing and settlement partner (and negotiate clearing/settlement fees with them) and connect to ASX Net Global which is only available in certain data centres (Equinix being one) which further adds to your bill.
Both ASX and ASX24 support the ITCH protocol, ASX additionally the OUCH protocol. Seeing as you're after a non-display solution you should have a chat with them about your licensing options. There most probably are additional fees for reference data services (corporate actions etc.).