Through a referral, I was contacted by a recruiter to do an on-site interview in the Chicago office. This consisted of 4 in person interviews and some younger staff members took me out to lunch after. The whole process lasted from about 8:30AM-1:00PM. I was very pleased with the interview process overall, and everybody seemed to be very cordial and accommodating. The interviews themselves seemed to be segmented by "category" - the first was a general interview, second was more sales oriented, third was numbers, excel, financial, and the fourth was strictly personality and who you are outside of work.
I would say recommend to have a pretty solid knowledge base of the financial industry and what's going on right now. Also know about excel because they're likely to ask questions about your familiarity with excel.