Validate order book data across multiple databases

Q: Validate order book data across multiple databases

This is a System Design interview question from Jane Street for Software Engineer roles. View the full question and solution on PracHub.

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Question

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).

Validate order book data across multiple databases

Solution

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