A professional grade HFT system ( http://en.wikipedia.org/wiki/High-frequency_trading ) takes teams of highly experienced programmers to accomplish and isn't something that a single programmer could accomplish (At least not on the professional scale) on his own. Though you can build a smaller scale one on your own it seems and it does seem like a fun project to try if you are interested in the field.
Here is a SO post on what you will need http://stackoverflow.com/questions/1457428/what-technical-skills-needed-for-algorithmic-trading-hft-etc
Or you can always try and ask Cubbi some questions since I believe he is in that field.
If you could develop a top of the line one on your own you would be pretty darn rich.
Don't forget that FINRA requires that you pony up 25k cash (well, equity) just to enter day trades. But yes, risking your own money is a great motivating factor to learn basics of trading, if that's what you want to do.
I thought I could just buy a handful of shares (say like £200) and whack in an algorythm to buy them when they seem to be growing comfortably and then buy something else that seems like it will grow, not so easy huh? might let it wait a few more years.