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Yes, especially coming from a tax background as it will show your willingness to learn new skills on your own while working.
It will also be a great talking point during interviews. I would even look into either CFIs or Wall Street Preps financial modeling courses alongside learning SQL.
Lastly, look for people in your network or LinkedIn that made a similar transition and get their insight. It will be tough coming from tax but keep pushing and doing these things and you'll have the role you are seeking!
The course I did was part of the $49 monthly subscription model at the time which was maybe 3 years ago.
Not sure if the prices changed but it's pretty cool that you can pay one monthly price and have so many options to choose from.
They do have full-time time MBA and certificate options which typically cost more than the monthly option but for me personally I felt the better option to learn SQL was just to take one of the training courses.
SQL can be intimidating but trust me once you build your foundation it gets real easy if you keep up with it obviously.