[dcnstrct]

Is it possible to bring in your own data sets? It seems the more interesting algorithms would be those that merge the pure financial volume data with outside sources like news, social data, weather patterns, or other predictors relevant to individual stock prices.

I do data mining work (not in finance) and often the best signal is the one missing. Often more prediction value is gained from additional feature construction and the layering of more interesting data sources onto the problem than simply a better algorithm on the data at hand.