There was a great post on HN fairly recently written by someone who used to work in HFT. He talked about how they tapped the incoming network cable to read the incoming prices on an FPGA faster than they could make it through the OS's network stack. I think they were sending out trades in response to the new prices before they would have even made it to userspace on an OS.
As a bit of context, that technology will not be any where near your most expensive investment for HFT. Years ago I was on a trade where we could rent that technology for 1500 per month. It can only have come down from there.
Your time is an order of magnitude more expensive than that. Other expenses besides your time include making sure you have the fee structure to be competitive & getting a clearing partner that is ok with letting you fire off enough orders to make it worth while.
