I've lived my entire life in Chicago and drove daily to the CBOT.
For one, Chicago is convertible weather about 120 days a year. If you MUST get a convertible, then get one with a retractable hard top. (if you were a REAL trader you'd have TWO cars). The SLK fits the bill but it's sort of a chick's car. Also, even with traction control, RWD cars are a bitch in Chicago winters. Particularly 3 series BMW's that have too much weight distribution in the front.
Personally I'd opt for the G35 (Coupe). I've spent the past few months in SoFla and I'm noticing that the G35 is the hot car among drivers who would have opted for a 330i a few years back. If you need more "status" then see if a 5 series is within your budget. But honestly I think it's weird to see a young guy driving a 50k car. I'd start out easy and pop for the 335i Coupe that's going to be released in the States next year. It should look like a smaller 645.