System Design · Jane Street · Hard
Assume your organization persists order-book lifecycle data in several independent stores: one for raw venue messages, one for normalized order records, one for execution and fill events, and one for analytics and reporting aggregates. You suspect some of these stores may contain records that violate legitimate market-microstructure behavior. Design a validation system that answers the following: Enumerate the properties that must always hold for valid orders, executions,…
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