Suppose you trained a nifty classifier and also showed good results over a blind or live set, now should you start trading? While it is possible, it isn't so easy. The following are some reasons why:

• Historical analyses versus streaming data: This historical data is often cleansed and near perfect, but streaming data does not offer such benefits. You will need code to evaluate the stream of data and throw out potentially unreliable data.
• Bid-ask spread: This is the biggest surprise novice's face. There are actually two prices in the marketplace: the price at which you can buy and the one at which you can sell. You don't both buy and sell at the typical market price you see (that is just the last meeting point on the two, called the last price). Buying a holding and immediately selling it loses money because of this gap, so net-net, you are already at a loss.
• Transaction costs: This can be as small as a $1/trade, but it is still a hurdle and one that needs to be surpassed before a strategy can become profitable.
• Taxes: This is often forgotten, but probably because taxes indicate net gains, which is usually a good thing.
• Exit ability: Just because you can sell theoretically does not mean there is actually a market available to sell your holding, and, even if there is, possibly not for your entire holding. Guess what? Yet more coding is required. This time, look at bid prices, volumes on those prices, and the depth of the book.
• Volume and liquidity: Just because the signal tells you to buy doesn't mean there is sufficient volume in the market to purchase; you may be seeing just the top of the book with very little actual volume underneath. More coding is required!
• Integrations with trading APIs: Calling libraries is easy, but not so much when money is involved. You'll need trading agreements, API agreements, and the like. However, tens of thousands of individuals have done this and Interactive Brokers is the most popular brokerage for those seeking APIs to buy and sell holdings. Conveniently, they also have an API to provide market data.