I am currently working on an interest rates swaps desk mostly developing/implementing models and tools using C#/C++. I am looking to move forward and I think algorithmic trading would be a nice area for me as I have some quite strong IT skills, some decent mathematical knowledge about statistics and have been on a derivatives desk for almost 3 years. What would be the best way for me to move into this sector ?
build a system on your own. with your skills it might take you three to six months. get started on daily futures data, about fifty markets. program turtle systems and ma-cross overs. use tradesignal so you do not waste time building too much code early on. why futures? because the time series are unbiased. why daily trend following? because it is easiest and you get a feeling for money management and portfolio effect. then move intraday, five min data. here the game starts to get interesting. after about half a year your position is much stronger if you go and apply for a job. first you can better judge what the guys are doing and secondly they take you much more seriously. i would apply at a medium sized shop. within those you learn much more. in a real big shop you end up optimising slippage or cleaning data. hope this helps. good luck.