Starts out like any prestigious job interview in this industry: screener test, phone interview, and onsite. The technicals are very advanced getting into nitty gritty stuff that not everyone uses, I'd rate it at a slightly lower level than my current job at a top-tier trading firm. Preparing for this job interview should get you in good shape for top-tier firms.
Look at interview questions at other big shops to get an idea. I made it to the onsite, I did very well, met with 6+ people before meeting the boss. All of these poeple focused on technical aspects. Did not click well with the boss and that was pretty much the end of it. Our discussion was very non-technical, he was looking for something in particular, looking at glassdoor I think it was salary and also my other personal commitments that turned him off.
Like any interviewee who thinks about his future, I am also interviewing the company to see if it was a good match. My overall impression of the company is that they do not invest in their people, I can tell just by looking at the office. Very plain, looks like an 80's style arrangement with cheap carpet and drywall and plain fluorescent lighting. Did not have that "aura" where you immediate realize there is some serious stuff going on here. Maybe 100 people in there but only 2 toilets good luck. Long drive to the middle of nowhere too, residential area, not much chance to network with people at other companies. I would've taken the job at the time given the circumstances, but I didn't feel that bad that I didn't get it. Much happier with where I am now. Also, contrary to the name, they do not appear to do any actual trading, so their P/L and hence compensation is bounded.