I applied through a recruiter. The process took 5 days. I interviewed at Bloomberg (New York, NY) in Jul 2010
Interview
Interview consisted of a telephonic first round, then was flown in for in person technical rounds. Fairly run of the mill interview process. Be prepared to write code on pen and paper though for fairly straighforward problems.
Interview focused on problem solving, basic algorithms and data structures. Then a bunch of questions on c++/c#.
I applied online. I interviewed at Bloomberg (New York, NY) in Mar 2012
Interview
They ask you what language are you most comfortable with. I said C and they can screw you in C, no matter how long and how good you are at C because they have been coding in C ever since they were born. C++ or Java might be a better option. But they love C, if you can excel in C you would have good chances of advancing in the interviews.
They love lower level stuff
Interview questions [1]
Question 1
when a shell program calls some program and the program return say value 42, where is this value stored ? Give a detailed description of what happens then ?