Build a small project and start working up.

Here's a simple example, and I and some of my compatriots would be willing to pay for someone to build, maintain, and possibly open-source it:

Build a parser that can read logs in the NASDAQ OUCH 4.1 format (http://www.nasdaqtrader.com/content/technicalsupport/specifi...) and generate compliance logs. One example is OATS format (http://www.finra.org/Industry/Compliance/MarketTransparency/...). I currently use a unmaintainable perl regex-happy monstrosity, and would like a clean python version with which I could quickly make changes.

The python workflow should be straightforward and this should not require any esoteric or nonstandard module (but since this is a learning exercise, I won't spoil it)