I love it, regardless of my level of success in it. My friend is a day trader, and he gave me one of his setups for trading. I didn't believe him, so I downloaded the data, wrote the code to simulate it across a few years, and then all of a sudden, this became a computer problem that I could try to solve through programming. I've been hooked ever since. There are a lot of much smarter people doing a lot more successful ventures than me, but for a hobby, I really do love it, and it completely reinvigorated my interests in programming.
It can be as easy as "buy at market open, sell at market close". Or it could be much more complicated, for example, the stuff that quants do. I'm much closer to the former than the latter. You can definitely pay for things like a real-time data feed (less than $100/month) and trade real time, or you can choose to expand your time frame and do swing-trades with daily data which you could probably get from Yahoo.
And believe me, it's very, very hard, to the point where I almost don't think it's possible. But I still love it.
http://www.amazon.com/Quantitative-Trading-Build-Algorithmic...
and that authors blog: