Excuse me, if an employer is buying your services (eg by paid salary) they have bought and are entitled to the work you do for them, whether or not you regard it as 'intellectual property'.
If you are capable of coming up with systems worth using, you will make a lot more using it for yourself than by working for some outfit that has a lot of overhead and is only going to share with you some small percentage of the results. Therefore, if you REALLY have any ability, programming for yourself to make money for yourself is the way to go. To do it you need a system that really works, faith in your abilities, and some seed capital.
omgdallas, the people on this thread have painted a pretty ridiculously pessimistic view of your options at this point, in my opinion. (For what it's worth, I'm currently employed by a trading firm, who has quite a number of programmer's on staff.) I'd say you have two routes to go. If you want to program for a trading company, then you can try to get a job right now, and you'll probably be able to do it if you're willing to move to Chicago. However, you'll get offered more money and have a better chance if you get a Master's in CS. The other route is to apply for a rookie trading position at a company that focuses on automated trading. This will give you a chance to leverage your programming skills to learn about the markets. I'd really advise against you going back to school for a business degree or MBA. PM me your resume, and perhaps I can give you some more specific advice.
Check your PM....Please keep the contact/name off the board. He's one of our top people. Thanks.. And, omgdallas, feel free to call me anytime. Don
Check on Jump Trading in Chicago, their traders are heavy into C++. I believe they pay an extremely competitive salary w/ benefits. www.jumptrading.com