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Sometimes you'll want to do some sort of validation on a field, but form_alter hooks may not work for you. (i.e. when creating a new entity.)

Here we will be checking for a unique value. Though this is already in core, we are creating our own validation classes so we can customize the output.

You'll start with a hook_entity_bundle_field_info_alter in your .module file.

/**
 * Implements hook_entity_bundle_field_info_alter().
 */
function YOUR_MODULE_entity_bundle_field_info_alter(&$fields, EntityTypeInterface $entity_type, $bundle) {
  // Create a constraint to prevent duplicate field values.
  if ($entity_type->id() === 'node' && $bundle === 'CONTENT_TYPE') {
    $fields['field_my_field']->addConstraint('MyUniqueFieldConstraint', []);
  }
}

From there you will add two files to your modules /src/Plugin/Validation/Constraint folder.

MyCustomFieldConstraint.php

<?php

namespace Drupal\YOUR_MODULE\Plugin\Validation\Constraint;

use Symfony\Component\Validator\Constraint;

/**
 * Checks if the field has a unique value.
 *
 * @Constraint(
 *   id = "MyUniqueField",
 *   label = @Translation("My Unique Field constraint", context = "Validation"),
 * )
 */
class MyUniqueFieldConstraint extends Constraint {

  public $message = 'A @entity_type with @field_name %value already exists. See <a target="_blank" href="@existing_url">@existing_name</a>';

  /**
   * {@inheritdoc}
   */
  public function validatedBy() {
    return '\Drupal\YOUR_MODULE\Plugin\Validation\Constraint\MyCustomFieldValidator';
  }

}

and

MyCustomFieldValidator

<?php

namespace Drupal\YOUR_MODULE\Plugin\Validation\Constraint;

use Symfony\Component\Validator\Constraint;
use Symfony\Component\Validator\ConstraintValidator;

/**
 * Validates that a field is unique for any given node.
 */
class MyCustomFieldValidator extends ConstraintValidator {

  /**
   * {@inheritdoc}
   */
  public function validate($items, Constraint $constraint) {
    if (!$item = $items->first()) {
      return;
    }
    $field_name = $items->getFieldDefinition()->getName();
    /** @var \Drupal\Core\Entity\EntityInterface $entity */
    $entity = $items->getEntity();
    $entity_type_id = $entity->getEntityTypeId();
    $id_key = $entity->getEntityType()->getKey('id');

    $query = \Drupal::entityQuery($entity_type_id);

    // @todo Don't check access. http://www.drupal.org/node/3171047
    $query->accessCheck(TRUE);

    $entity_id = $entity->id();
    // Using isset() instead of !empty() as 0 and '0' are valid ID values for
    // entity types using string IDs.
    if (isset($entity_id)) {
      $query->condition($id_key, $entity_id, '<>');
    }

    $value_taken = (array) $query
      ->condition($field_name, $item->value)
      ->range(0, 1)
      ->execute();

    if(!empty($value_taken)) {
      // We do this so we can add some extra information to the message
      $entity_storage = \Drupal::entityTypeManager()->getStorage($entity_type_id);
      $existing = $entity_storage->load(reset($value_taken));
      $this->context->addViolation($constraint->message, [
        '%value' => $item->value,
        '@entity_type' => 'Person',
        '@field_name' => mb_strtolower($items->getFieldDefinition()->getLabel()),
        '@existing_url' => $existing->toLink()->getUrl()->toString(),
        '@existing_name' => $existing->label(),
      ]);
    }

  }

}

Clear your cache and try to create 2 nodes with the same values for your field designated in the .module file.