Just finished my Two Sigma data engineer loop last week. Sharing because the internet has way more SWE content about them than DE content and I had to piece this together from scraps.
First: they are very much a quant shop, but the DE role I interviewed for (their Systematic Trading infra team) was genuine engineering work. Not just writing queries for quants. So don't be scared off by the math-heavy reputation if you're coming from a traditional DE background.
The loop (NYC, 2026): Phone screen with recruiter, then 45min with an engineer. Mostly SQL. They gave me a schema for something like an order book with timestamps and asked me to write queries to compute rolling averages, identify gaps in time series, and do a self-join to find matching events. Nothing exotic but a few tricks in there. Window functions were essential. Virtual onsite: 4 rounds. One pure coding (Python, data manipulation, basically LeetCode medium with a Pandas flavor). One system design focused on pipeline architecture: I had to design an ingestion layer for market event streams. They cared a lot about latency guarantees, exactly-once semantics, and how you'd handle schema evolution. One SQL deep dive, more complex than the phone screen. One behavioral/cross-functional round.
What they pushed on in system design: They kept asking "what breaks first under load" and "what do you sacrifice when you can't have all three of consistency, availability, latency." This felt very quant-informed. They want people who have a mental model for tradeoffs, not people who just know the buzzwords.
For SQL, practice recursive CTEs and window functions until they're automatic. Also know the difference between RANK, DENSERANK, ROWNUMBER -- they asked about this explicitly.
Behavioral: Pretty standard STAR stuff. They wanted to hear about cross-functional work and times I pushed back on stakeholders. My interviewers were sharp and engaged, not phone-it-in energy.
Total timeline was about 5 weeks from recruiter reach-out to verbal offer.
Happy to answer specifics about the system design round if anyone's heading into it.