Do you know an API that lets you trade with real life stock or currency?
If so, please describe your experience:
AFAIK, TradeStation is the most famous of the lot. Most other trading softwares provide APIs (NinjaTrader, MetaStock etc). FWIW, there are even competitions of automated trading systems -- see this.
Also, this is something that the exchange has to support and your broker has to allow. Most exchanges I know of, do not allow automated trading without prior permission.