For example, I remember one person telling me that their trading system only traded a certain currency pair, and another telling me that theirs only traded an S&P 500 ETF. My question is:

Can a trading system be programmed to trade many different stocks/instruments? For example, could it screen its conditions on all stocks in the Nasdaq 100 rather just focusing on one? Or, could it possibly screen all stocks with defined rules (regarding market cap, exchange for example)? How does this work?

Thanks for your help!

Answer
For index funds, currency pairs, futures or commodities, it tends to be a specialized program designed with that security in mind since each has their own behaviors.

Automated trading systems can be designed to trade many stocks at a time, but keep in mind that the complexity of such systems increases dramatically because money/risk management change. Normally there is a filtering mechanism for the strategy and then a money management technique based on the timeframe (daytrade, swing trade, long term).

The short of it: You can define a rule for anything you can get a reliable data feed on.

I recommend to join or visit this site as it contains a wealth of information (got to sort through people's opinions though, use your own judgement; it has a list of brokers with reviews also): http://www.elitetrader.com/

Often, proprietary brokers will put hard limits to protect from programming errors, for example: limit the dollar amount of all assets long or short to $100000. This can help when the system first goes live, especially if high margin is used. I recommend avoiding proprietary firms unless you have experience with them, as they can be risky if you don't know what you're getting into; I will not be listing any here.

If you are programming the system, then it's useful to have an API available. I personally use Visual Basic 6 and the broker's API for simplicity. Some brokers have their own scripting languages or interfaces.

These are some brokers that I've seen, but I haven't dont live trading in awhile so I cannot guarantee any specific results:

TradeStation (when you want all the bells and whistles, must have $30000, but well-supported scripting language and good interface) - http://www.tradestation.com/automated_trading/howitworks.shtm

Interactive Brokers (simpler platform, similar rates, splits forex spread and commission which makes it more transparent; API for Visual Basic 6; has lots of user-created 3rd party automation or assisted trading tools) -
http://individuals.interactivebrokers.com/en/p.php?f=programInterface&ib_entity=llc

MB Trading - heard it was a decent broker, don't know much about it. http://www.mbtrading.com/

Good rates for trading are $0.01/share (low volume) and $0.005/share (mid-high volume). Most use smart routing to ECNs and market makers (whoever has best price), for liquid instruments execution isn't really a deciding factor. Just make sure your automated trading strategy has a failsafe in case of a market crash (good money management strategy should mitigate the risks).

Do you know an open source electronic trading platform similar to MetaTrader?

I'm looking for an open source alternative to MetaTrader (http://www.metaquotes.net/metatrader/) that can run on the Linux platform.

Answer
It appears that the API is open source.
http://www.metaquotes.net/metatraderapi/

I'm not familiar with the program and can't seem to find an alternative with just a quick search.

Have you tried running it in WINE?
http://www.forexhowto.com/blog/linux_charting_application/

You may also want to check this forum discussion:
http://www.forex-tsd.com/general-discussion/2354-how-linux.html?highlight=linux

One of the posts there mentions crossover, which is basically the commercial version of WINE that includes proprietary code. But it appears that you should be able to run this with just the open source WINE.