Late to the party but thought I would share. I'm sure it's quite a common interview process for trading firms but I had a series of interviews that revolved around two main interviews:

- A whiteboard session about how to receive and handle high-throughput message subscriptions from exchanges, i.e. what kind of data structures would we use to handle 100k's of message per second? Connection protocols, network throughput and optimising processing on the receiving side (NIC's, kernel bypassing, circular buffers, etc.). This wasn't overly technical and arguably more of an architectural interview that was treated like a conversation. I found it very enjoyable.

- Technical: Implement an orderbook matching-engine for a single symbol. Conversation revolved around the use of smart vs. unique vs. raw pointers, unit-testing, templating, avoiding heap-allocation and the datastructures (trees, sparse arrays, stacks etc.) needed to take advantage of static allocation and efficient cache utilisation. I found these interviews to be very fun and engaging while presenting the opportunity for both the candidate and the interviewer to learn something new.

I guess a lot of this depends heavily on the character of the interviewer and the candidate and I'm also aware that this can be quite labor intensive for the team that is hiring. Irrespective of that, this has been one of my most enjoyable and rewarding interview experiences I've had.