-It's never ok to take proprietary code with you after quitting. I don't know anybody that would have thought that was OK, especially with the amount of money people were making off this IP in 2008. Of course that's true in any industry, but especially in trading.
-That said, you can't just walk out the door of Goldman on Friday and be trading on Monday, even if you had their entire codebase. The infrastructure needed to be a world-class HFT player at Goldman scale is insanely complicated and prohibitively expensive to all but the most well-funded folks these days. You're going to need colo space and power at tens of trading venues, low-latency WAN infrastructure to ship production quotes and data around the world, expensive exchange gateway connectivity, quant research platforms and a giant compute cluster, significant devops and monitoring infrastructure to run and monitor it all, and smart people evolve the stategies, models, and code as it decays while you're setting all this stuff up.