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Validate order book data across multiple databases

Jane StreetSoftware Engineer · Onsite
EasySoftware EngineerOnsiteSystem Design

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This question evaluates a candidate's competency in designing data-validation and reconciliation systems for financial order books, including defining invariants, ensuring cross-database consistency, and handling edge cases like partial fills, cancels, out-of-order events, duplicates, and replayed messages.

Assume your organization stores order book–related data in multiple databases (e.g., one for raw exchange messages, one for normalized orders, one for trades/executions, one for analytics).

You suspect data quality issues and want to validate that all stored data follows order-book logic.

Design a validation approach that answers:

  1. What invariants must always hold for orders, executions, and the resulting order book?
  2. How do you validate within one database (table-level constraints, batch checks)?
  3. How do you validate across databases (reconciliation) when they may be eventually consistent?
  4. How do you handle edge cases: partial fills, cancels, replaces, out-of-order events, duplicates, and reconnect replays?

Be explicit about what you would compute and compare, and how you’d operationalize it (alerts, dashboards, backfills).