There are two paths to getting a quant job in finance: (1) prove you can make money trading, (2) have connections.
I am in Ithaca and make it to NYC from time to attend free conferences of various sorts, some put on by vendors (Sun Microsystems, AWS) and others put on by industry associations (say American Institute of Certified Public Accountants) also there are all sorts of meetups.
Tell the guy pitching a system that it's not quite the bee's knees for main memory databases in 2005 and you might get a business card pushed into your hand from somebody who works at a really famous hedge fund.
If I were in NYC I would be going to those kind of events as much as I could and I'd be dressed as a goth corporate raider/vampire. To stick out at that kind of event takes a mindset similar to the person who "makes money trading" in that you need to be 90 degrees out of phase in the leading direction.
"Having a connection" thus works in a different modes, one of which is "I am a bright and bushy tailed ivy leaguer who was on the rowing team", another one is that you find out about opportunities before other people do, know the people who make the collection management software used at the Met, etc. That last one might take 6-18 months to pay off but it pays off handsomely.
Unless you really don't like NYC for some reason I wouldn't leave it.
I think most of the "data scientists" and organizations that employ data scientists are poseurs. I blew a really good opportunity because I didn't have the courage to say: you're going to have to make a big investment in building a training set which matches the business problem you're trying to solve. Instead I went ahead and did the same things that couldn't possibly work that everybody else did.
There is nothing like a good demo, my experience is that every side project I start and stick to seriously changes my life somehow in about 18 months.
Looking at your last round of job hunting I would say you should be focused equally on resume and interview, I would point you to this guy
https://job-interview-answers.com/job-interview-tips/about-b...
and take what he says seriously, he helped me get over my fear of job interviews and actually feel like they are fun and empowering instead of scary!