Validate order book data across multiple databases
Overview
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:
- What invariants must always hold for orders, executions, and the resulting order book?
- How do you validate within one database (table-level constraints, batch checks)?
- How do you validate across databases (reconciliation) when they may be eventually consistent?
- 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).
Solution
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