Right now, I am writing a trading system using Trading Technologies' API. In my MSFE program we use XTrader to do a lot of our simulated trading. I thought it would be interesting challenge to create a black box to bone up on my C# skills.

EDIT: As for the GUI comment, I am actually trying to stay away from a bloated GUI as speed is key in this business.

Also, when we, as a program, went to Chicago during late October, so many people said that C# was becoming an important language to know if you plan on doing quant work. Up until that point, I had been focused primarily on C and C++. I thought it would be wise to do some work with C# if people at quant shops were telling me this is something I need to know.

Not all automated trading or quantitative finance is high-frequency. A bank trading exotic derivatives OTC could use C# to generate quotes without a problem. There are at least a couple reputable prop groups I know of that use C# in real-time trading systems, but both are running more quantitative long-term strategies in options.