Problem: Order Book Data Validation Across Multiple Databases
Your organization manages order book-related data across several specialized databases. These include, but are not limited to, databases for raw exchange messages, normalized orders, trades/executions, and analytics.
There are suspicions of data quality issues, and the objective is to design a comprehensive validation approach to ensure that all stored data consistently adheres to order-book logic.
Your design should explicitly address the following:
- Invariants: Identify the fundamental invariants that must always hold true for orders, executions, and the resulting order book state.
- Intra-Database Validation: Detail methods for validating data within a single database, including table-level constraints and batch-processing checks.
- Cross-Database Validation: Describe how to perform reconciliation and validation across multiple databases, acknowledging that they may exhibit eventual consistency.
- Edge Case Handling: Explain strategies for managing complex scenarios such as partial fills, order cancellations, order replacements, out-of-order events, duplicate messages, and reconnect replays from data sources.
Be explicit about the computations and comparisons involved, and outline how this validation system would be operationalized, including mechanisms for alerts, dashboards, and backfills.
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Core dilemma
Balancing the need for strict data integrity and logical consistency in a high-throughput, low-latency financial domain against the inherent challenges of distributed, heterogeneous, and eventually consistent data stores.
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Unlock the interviewer X-Ray rubric, tradeoff matrix, stress tests, clarifying questions, and key concepts.
Problem: Order Book Data Validation Across Multiple Databases
Your organization manages order book-related data across several specialized databases. These include, but are not limited to, databases for raw exchange messages, normalized orders, trades/executions, and analytics.
There are suspicions of data quality issues, and the objective is to design a comprehensive validation approach to ensure that all stored data consistently adheres to order-book logic.
Your design should explicitly address the following:
- Invariants: Identify the fundamental invariants that must always hold true for orders, executions, and the resulting order book state.
- Intra-Database Validation: Detail methods for validating data within a single database, including table-level constraints and batch-processing checks.
- Cross-Database Validation: Describe how to perform reconciliation and validation across multiple databases, acknowledging that they may exhibit eventual consistency.
- Edge Case Handling: Explain strategies for managing complex scenarios such as partial fills, order cancellations, order replacements, out-of-order events, duplicate messages, and reconnect replays from data sources.
Be explicit about the computations and comparisons involved, and outline how this validation system would be operationalized, including mechanisms for alerts, dashboards, and backfills.