If you open and fund an account at tradier.com they give you access to a REST API that includes some good stuff. I also pay $50/mo for some additional data from ycharts.com. But you can also use some free libraries that pull from yahoo and they sorta work.
>*What kind of trades do you do? Is it mostly buying and selling actual stocks, or do you go after more complicated trades like shorts/puts/options?
My algorithms are long-only and I buy stocks and hold them for at least one year. If the algorithm could exceed the high cost of short-term capital gains, I would hold for a shorter period.
You could also try quantopian.com for some super short term trading. I personally think that is a poor use of time.
I REALLY wish there was some place I could enter competitions and make my trades public. I'm using motifinvesting.com for now but would enter trades at other places if I could.
I played around with instavest.com (a YC company) which was promising for a while but it stopped working and I suspect they are on life support or something.