For 99% of the "system" there's no particular reason you'd have to connect to the NYSE and trade real stocks for real money. Looks like they're feeding from iqfeed, but I think it would be huge fun to create an imaginary competition exchange, convince about 100 algo writers to compete, and shove them up against each other purely for the fun of it, see who's a better algo writer.
With modern virtualization, it should be pretty easy to distribute a pack of images, including practice data, to replicate an entire financial system on a small scale in your basement, then once you think you have a decent algo, upload your image to the competition league. If your hft codewars league wants limits for storage or cpu cycles, virtualization is a pretty easy way to implement it.
Superficially the most obvious thing to do is totally make everything up, from top to bottom, but it would probably work just as well to use real live market data and overlay on top of it. Just as air traffic control simulation has very slowly moved over the decades from purely random to sorta realistic to actual airport data.
This could be quite a bit of fun.