Thanks for taking a look, and for the feedback. Zipline does model transaction costs, both commissions and price impact of your own trading (slippage). The commissions and slippage models are pluggable, so you can use what is there or roll your own.

Quantopian does not have data for stock borrowing costs or availability, and Zipline's slippage/cost model does not account for them either. We'll find a way to get that data and plug the hole. The challenge has been finding a clean way to get it from the brokers, or finding an aggregator with a reasonable price (any advice?). In the meantime, we've been open about this limitation, and the zipline code is opensource, so I think/hope anyone who cares to know does probably know.

Quantopian is building our live trading environment now, so we don't yet have comparisons between the backtest results and real trading.

Regarding your point about the epoch, I'm not sure I entirely follow you. Part of the point of zipline's design is to allow easy swapping of datasources, mainly to allow the transition from backtesting to paper trading and then to real trading to be seamless. One algo code can run either historically or live. Adjustments from splits and mergers are back-projected, so that current day prices need no adjustment. Dividends are dealt with as announce, ex, and pay events, meaning we do not smooth out the over-night drops, instead we increment/decrement cash.

I'm in NYC regularly to host the NYC Algorithmic Trading meetup - it would be awesome to talk to you about these issues in person, please consider coming: http://www.meetup.com/NYC-Algorithmic-Trading/