Applied to job on school career website. On campus interview was a standard behavioral interview. Got back to me less than a week later with a programming assignment that I was required to complete and send it within a week (relatively simpled program dealing with shortest path and storing data, with multithreading, in C++ or C#). I got it in, and got invited to a on-site interview. The interview itself was interesting, at the beginning of the day I was given a sample problem/request from one of the traders, and was given the entire day to ask questions of the interviewers and eventually code up (on paper) a solution. There were four interviewers, and other than letting you ask questions, they also asked behavioral and some technical questions. Interview also included informal lunch with several employees and the other candidates.