It's hard to underestimate the impact that working in a secretive industry has on your career and tools you can build on (points 4 and 8). Trading technology is driven by a really fantastic set of challenges. There are only a few other problem domains where you are forced to react semi-intelligently to millions of messages each second with microsecond latency. So there's some real innovation going on. But what Jason says about the closed culture is spot on.

Information only flows from one firm to another through hires. There is little open dialog between developers at different firms. For most of the last decade that I've been in the industry, the sheer scale of the technical challenges we were facing kept most of us innovating ahead of the consumer web (in terms of infrastructure tech -- don't ask us about UI). But now that the consumer web is going real-time, I expect that edge to evaporate quickly. Unless you want to play the high frequency game (and have access to the requisite large amount of capital), I would recommend a web start-up over a trading firm. Your salary will likely be lower, but you'll be happier, and may even have more upside.

- Ben

Disclaimer: I haven't fully made the leap myself yet. But I'm doing my best to spin out a real-time web start-up from our trading firm.