Add liquidity comparison and OHLC recipes

documentation/cookbook/sql/finance/liquidity-comparison.md

@@ -0,0 +1,92 @@
+---
+title: Liquidity comparison across instruments
+sidebar_label: Liquidity comparison
+description: Compare liquidity across multiple instruments using L2Price to calculate effective spreads at different order sizes
+---
+
+Compare liquidity across instruments by calculating the effective spread at a given order size. The effective spread measures the actual cost of executing a round-trip trade (buy then sell) using Level 2 order book data.
+
+## The problem
+
+You have order book snapshots for multiple instruments and want to compare which ones offer better liquidity for a target order size. The quoted spread (best bid vs best ask) does not tell the full story. Larger orders eat through multiple price levels.
+
+## Solution: Use L2Price to calculate effective spread
+
+`L2Price` calculates the average execution price when filling an order against multiple price levels. The effective spread is the difference between the buy and sell execution prices for a given size.
+
+```questdb-sql demo title="Compare effective spread across instruments"
+WITH latest_books AS (
+  SELECT timestamp, symbol, bids, asks
+  FROM market_data
+  WHERE timestamp IN today()
+  LATEST ON timestamp PARTITION BY symbol
+)
+SELECT
+  symbol,
+  L2PRICE(100_000, asks[2], asks[1]) AS buy_price,
+  L2PRICE(100_000, bids[2], bids[1]) AS sell_price,
+  L2PRICE(100_000, asks[2], asks[1]) - L2PRICE(100_000, bids[2], bids[1]) AS effective_spread,
+  (L2PRICE(100_000, asks[2], asks[1]) - L2PRICE(100_000, bids[2], bids[1])) /
+    ((L2PRICE(100_000, asks[2], asks[1]) + L2PRICE(100_000, bids[2], bids[1])) / 2) * 10_000 AS spread_bps
+FROM latest_books
+ORDER BY spread_bps;
+```
+
+This query:
+1. Gets the latest order book snapshot for each symbol using `LATEST ON`
+2. Calculates the average execution price for buying and selling 100,000 units
+3. Computes the effective spread in absolute terms and basis points
+4. Ranks instruments by liquidity (lowest spread = most liquid)
+
+## Effective spread over time
+
+Track how liquidity changes throughout the trading day:
+
+```questdb-sql demo title="Effective spread time-series"
+SELECT
+  timestamp,
+  symbol,
+  last((L2PRICE(100_000, asks[2], asks[1]) - L2PRICE(100_000, bids[2], bids[1])) /
+    ((L2PRICE(100_000, asks[2], asks[1]) + L2PRICE(100_000, bids[2], bids[1])) / 2)) * 10_000 AS spread_bps
+FROM market_data
+WHERE timestamp IN today()
+  AND symbol IN ('EURUSD', 'GBPUSD', 'USDJPY')
+SAMPLE BY 1h
+ORDER BY timestamp, symbol;
+```
+
+## Compare liquidity at different order sizes
+
+See how execution costs scale with order size:
+
+```questdb-sql demo title="Liquidity depth analysis"
+WITH latest_books AS (
+  SELECT symbol, bids, asks
+  FROM market_data
+  WHERE timestamp IN today()
+  LATEST ON timestamp PARTITION BY symbol
+)
+SELECT
+  symbol,
+  L2PRICE(10_000, asks[2], asks[1]) - L2PRICE(10_000, bids[2], bids[1]) AS spread_10k,
+  L2PRICE(100_000, asks[2], asks[1]) - L2PRICE(100_000, bids[2], bids[1]) AS spread_100k,
+  L2PRICE(500_000, asks[2], asks[1]) - L2PRICE(500_000, bids[2], bids[1]) AS spread_500k,
+  L2PRICE(1_000_000, asks[2], asks[1]) - L2PRICE(1_000_000, bids[2], bids[1]) AS spread_1m
+FROM latest_books
+ORDER BY symbol;
+```
+
+Instruments with similar spreads across sizes have deeper liquidity.
+
+## Interpreting results
+
+- **Lower spread_bps** = better liquidity, lower trading costs
+- **Spread widening with size** = shallow order book, higher market impact
+- **NULL values** = insufficient liquidity to fill the target size
+
+:::info Related documentation
+- [L2Price function](/docs/query/functions/finance/#l2price)
+- [LATEST ON](/docs/query/sql/latest-on/)
+- [spread_bps function](/docs/query/functions/finance/#spread_bps)
+- [Demo data schema](/docs/cookbook/demo-data-schema/)
+:::

documentation/cookbook/sql/finance/ohlc.md

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+---
+title: OHLC bars
+sidebar_label: OHLC bars
+description: Generate OHLC (Open, High, Low, Close) bars from tick data using SAMPLE BY
+---
+
+Generate OHLC bars from raw trade data. OHLC summarizes price action within each time period: the first trade (open), highest price (high), lowest price (low), and last trade (close).
+
+## The problem
+
+You have tick-level trade data and need to aggregate it into standard candlestick bars for charting or technical analysis.
+
+## Solution: Use SAMPLE BY with first, max, min, last
+
+```questdb-sql demo title="Generate 1-minute OHLC bars"
+SELECT
+  timestamp,
+  symbol,
+  first(price) AS open,
+  max(price) AS high,
+  min(price) AS low,
+  last(price) AS close,
+  sum(quantity) AS total_volume
+FROM fx_trades
+WHERE timestamp IN today()
+SAMPLE BY 1m;
+```
+
+This query:
+1. Groups trades into 1-minute intervals using `SAMPLE BY`
+2. Uses `first()` and `last()` to capture opening and closing prices
+3. Uses `max()` and `min()` to capture the price range
+4. Sums volume for each bar
+
+## Pre-compute bars with a materialized view
+
+If you query OHLC bars frequently, such as for a dashboard, create a materialized view to pre-compute the aggregation:
+
+```questdb-sql title="Materialized view for 1-minute OHLC"
+CREATE MATERIALIZED VIEW 'fx_trades_ohlc_1m' WITH BASE 'fx_trades' REFRESH IMMEDIATE AS (
+  SELECT
+    timestamp,
+    symbol,
+    first(price) AS open,
+    max(price) AS high,
+    min(price) AS low,
+    last(price) AS close,
+    sum(quantity) AS total_volume
+  FROM fx_trades
+  SAMPLE BY 1m
+) PARTITION BY HOUR TTL 2 DAYS;
+```
+
+QuestDB automatically refreshes the view as new trades arrive. Queries against the view return instantly regardless of the underlying data volume.
+
+:::info Related documentation
+- [SAMPLE BY](/docs/query/sql/sample-by/)
+- [Materialized Views](/docs/concepts/materialized-views/)
+- [Demo data schema](/docs/cookbook/demo-data-schema/)
+:::

documentation/sidebars.js

@@ -755,6 +755,8 @@ module.exports = {
                     "cookbook/sql/finance/volume-profile",
                     "cookbook/sql/finance/volume-spike",
                     "cookbook/sql/finance/rolling-stddev",
+                    "cookbook/sql/finance/liquidity-comparison",
+                    "cookbook/sql/finance/ohlc",
                   ],
                 },
                 {