Gave them my resume at university career fair and got a phone call to schedule a phone interview with their market data team a week later.
Phone Interview:
The interviewer was a senior software engineer who had been with FactSet with more than 6 years. He asked me to describe some important projects on my resume and then went on to ask basic data structures and C++ related questions, no coding at all only concepts. The interview went well and I got a request for on-site interview at their Norwalk office.
On-site interview:
The on site interview started with a "light" breakfast and demo of their product and a small executive talk. First round was C++ code review (1:1). They gave me 5 pages of poorly written (but compilable) C++ code and asked me to find mistakes. Typical mistakes I found were memory leaks, infinite loops, poorly designed functions, poorly designed class interface etc. The interviewer seemed reasonably happy with my review.
Second round was about design (again 1:1). I was expecting an object oriented game design type question but he picked up a project from my resume and asked me to extend the design to meet certain security requirements. The problem was quite open and I was not sure what he was expecting. But, I thought I did okay in this one.
Then came the data structures and algorithms round (this was 2:1). They asked me to code atoi function and finding lowest common ancestor of tow nodes in a tree. I did the first problem pretty quickly. And presented an algorithm for the second one. But, they wanted a more efficient solution. I was able to come up with few improvements but before I could improve it further to their satisfaction they said the time was over and that I had to call it quits. While leaving the two guys said "good luck" to me and I knew that was a bad sign. I think this round hurt me the most.
Then there was 45 min lunch with another engineer. Casual, "get to know", kind of affair.
Fourth round was 1:1 interview with director of the team. He asked me resume related questions and was basically trying to gauge my attitude/skills , where I would fit in the team etc.
Fifth round was typical HR interview.
All in all, it was a good experience. They paid for all the travel and living expenses and were generally nice/friendly.
Got a thank you email after a week.