Very cool! My question is, how do you use something like Zipline to actually execute trades.
Finally, live trading is something which we are working on to enable on Quantopian (which uses zipline for backtesting your algorithms). The syntax is very similar so you could just convert your zipline strategy to Quantopian (which is free to use).
Full disclosure - I used to run their developer platform.
Data: https://developer.etrade.com/ctnt/dev-portal/getDetail?conte...
There's also a call for data on option chains.
A downside is that they are between you and the exchanges at least when you use their SMART routing, so I get the impression your fills will be optimized for their benefit (via their Timber Hill subsidiary), not yours. Years ago, you could get filled substantially better than your limit order especially at the open for example, but no more.