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Depends on what skills you already have. I can't tell just from knowing you have BS Physics. It depends on your programming ability more than anything else. You just cannot do any meaningful work with data these days without serious programming.

Actually, I work in a Chicago market maker now.

Well, I have taken courses in C++ and Java, and I have also done computational research in Fortran and macros in Excel. I wouldn't say I have exceptional programming skill, but I can hold my own. Do I need to be an exceptional programmer in order to find work? How should I showcase my ability, and is there anything I can do before I start applying for jobs to help bolster my resume?