This round took about an hour overall. It started with a quick self-introduction and "why trading", and the main part was an interactive trading game together with the interviewer. At the end there was a debrief and time for my questions. None of the parts were timed, and the game and the discussion took up most of the hour.
The format felt a bit like trading poker: there is public information and also private information that each side holds, a few bots give you quotes, and you choose whether to trade, whether to buy or sell, and how much. As the information is revealed step by step, you have to keep updating your valuation, and also keep track of your own position and P&L.
The interviewer kept asking follow-ups the whole way through, mainly about: how I got my current valuation, why the new information changed my view, why I chose to trade with that particular bot, why I picked that size, and whether my existing position would affect my next move. Later it also touched on the value of information and estimating P&L.
The most embarrassing part for me was that I had to explain my reasoning for almost every single choice 😂 Computing an expectation on its own feels fine, but when you are making a series of moves and also have to juggle information updates, your position, and bookkeeping, the moment you get questioned you realize you hadn't thought it all the way through.
For preparation, I'd suggest getting really comfortable with conditional expectation, mental probability math, and P&L calculation, and also practicing explaining your reasoning while you calculate.
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