Kinda like Trade Ninja and how it allows you to play the stock market with fake money?
Would it use the actual live data from mtgox?
Yes on both questions - it would mix live orders from mtgox and the other smaller exchanges, plus whatever orders were placed on the site itself.
Even better, make a test bitcoinica platform. I really need to learn how to play around with margin.
That would be cool, but I still have a hard time figuring out exactly how Bitcoinica works, much less trying to actually code it
Would this just be for bitcoin exchanges or for stock markets like GLBSE?
Would just be for bitcoin exchanges. There are lots of other "fantasy stock market" like sites out there, although I suppose there are none around GLBSE.