Even though not quite open source - I'd also recommend checking out https://www.quantopian.com https://www.quantopian.com and their Pipeline API - https://www.q

Even though not quite open source - I'd also recommend checking out https://www.quantopian.com https://www.quantopian.com and their Pipeline API - https://www.quantopian.com/help#pipeline-title https://www.quantopian.com/help#pipeline-title. The data and the algorithms are only as good as what you can do with them and Quantopian is on to something IMHO.