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OHLC - Bids - 5secs - (EURUSD)

Candlestick chart summarizing price action using the best bid from the order book, aggregated into 5-second intervals. Each candlestick shows the open, high, low, and close bid price, along with traded volume. Ideal for visualizing price trends, volatility, and market regime changes over time. Data is queried from a live table and aggregated on the fly.

select
    timestamp,
    first(bids[1,1]) open,
    max(bids[1,1]) high,
    min(bids[1,1]) low, 
    last(bids[1,1]) close,
    sum(bids[2,1]) total_volume
from market_data
where  dateadd('m', -5, now()) < timestamp and symbol = 'EURUSD'
sample by 5s;
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Market Depth - EURUSD

Visualizes the order book snapshot for the selected currency pair, showing the price and cumulative volume at each bid and ask level. The area under the green (bids) and red (asks) lines represents market liquidity on both sides, with the mid-price and top volume “walls” highlighted for quick identification of major support and resistance.

WITH snapshot AS (
  SELECT timestamp, bids, asks
  FROM market_data
  WHERE dateadd('m', -1, now()) < timestamp and  symbol = 'EURUSD'
  ORDER BY timestamp DESC
  LIMIT 1
)
SELECT timestamp, bids[1] as bprices, bids[2] as bvolumes, array_cum_sum(bids[2]) as bcumvolumes,asks[1] as aprices, asks[2] as avolumes, array_cum_sum(asks[2]) as acumvolumes from snapshot;
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VWAP - RSI 12h - Bollinger Bands (20,2) (EURUSD)

Multi-layered chart, overlaid on OHLC candles, combining three technical indicators for the selected symbol: • VWAP: Shows the Volume-Weighted Average Price, a key benchmark for execution quality. • RSI (12h): The Relative Strength Index, computed over 12-hour rolling windows, highlights overbought/oversold conditions and price momentum. • Bollinger Bands (20,2): Plots a 20-period moving average with ±2 standard deviations, indicating price volatility and potential breakout/reversal zones. Each period is 15 minutes, so the simple moving average (SMA) covers a 6-hour window.

WITH sampled AS (
    SELECT
          timestamp,  symbol,
          total_volume,
          ((open+close)/2) * total_volume AS traded_value
     FROM market_data_ohlc_1m
     WHERE date_trunc('day', now()) < timestamp
      AND 
      symbol IN 'EURUSD'     
), cumulative AS (
     SELECT timestamp, symbol,
           SUM(traded_value)
                OVER (ORDER BY timestamp) AS cumulative_value,
           SUM(total_volume)
                OVER (ORDER BY timestamp) AS cumulative_volume
     FROM sampled
), vwap as (
SELECT timestamp, cumulative_value/cumulative_volume AS vwap FROM cumulative
)    
SELECT * FROM vwap;
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select timestamp, open, high, low,  close, total_volume
        from market_data_ohlc_15m
        where  date_trunc('day', now()) < timestamp and symbol = 'EURUSD';
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WITH price_changes AS (
    SELECT
        timestamp,    
        symbol,    
        bid,
        bid - prev_bid price_change
    FROM (    
      SELECT 
          timestamp,
          symbol,
          bid,
          LAG(bid) OVER (PARTITION BY symbol ORDER BY timestamp) AS prev_bid
      FROM bbo_1h
      WHERE  date_trunc('day', now()) < timestamp
      AND symbol = 'EURUSD'
    )  
),
gains_losses AS (
    SELECT 
        timestamp,
        symbol,
        bid,
        CASE WHEN price_change > 0 THEN price_change ELSE 0 END AS gain,
        CASE WHEN price_change < 0 THEN ABS(price_change) ELSE 0 END AS loss
    FROM price_changes
),


avg_gains_losses AS (
    SELECT 
        timestamp,
        symbol,
        bid,
        AVG(gain) OVER (PARTITION BY symbol ORDER BY timestamp ROWS BETWEEN 11 PRECEDING AND CURRENT ROW) AS avg_gain,
        AVG(loss) OVER (PARTITION BY symbol ORDER BY timestamp ROWS BETWEEN 11 PRECEDING AND CURRENT ROW) AS avg_loss
    FROM gains_losses
)


SELECT 
    timestamp,    
    --Bid,
    CASE 
        WHEN avg_loss = 0 THEN 100
        ELSE 100 - (100 / (1 + (avg_gain / NULLIF(avg_loss, 0))))
    END AS RSI_12h
FROM avg_gains_losses
ORDER BY timestamp;
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WITH stats AS (
  SELECT
    timestamp,
    close,
    AVG(close) OVER (
      ORDER BY timestamp
      ROWS BETWEEN 19 PRECEDING AND CURRENT ROW
    ) AS sma20,
    AVG(close * close ) OVER (
      ORDER BY timestamp
      ROWS BETWEEN 19 PRECEDING AND CURRENT ROW 
    ) AS avg_close_sq
  FROM market_data_ohlc_15m -- 20 periods of 15 minutes = SMA 6h
   WHERE  date_trunc('day', now()) < timestamp
      AND symbol IN 'EURUSD'
), bollinger AS (
SELECT
  timestamp,
  sma20,
  -- sqrt(avg_close_sq - (sma20 * sma20)) as stdev20,
  sma20 + 2 * sqrt(avg_close_sq - (sma20 * sma20)) as upper_band,
  sma20 - 2 * sqrt(avg_close_sq - (sma20 * sma20)) as lower_band
FROM stats
ORDER BY timestamp )
select * from bollinger;
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Spread and Volume per second - EURUSD

Displays a rolling table of the most recent seconds for the selected currency pair, summarizing the current average spread (difference between best ask and best bid) along with the aggregated bid and ask volumes. Use this to monitor how liquidity and price tightness evolve in real time, and spot sudden widening or bursts in traded volume.

SELECT
  timestamp AS Time,
  avg(asks [ 1, 1 ] - bids [ 1, 1 ]) AS Spread,
  sum(bids [ 1, 1 ] * bids [ 2, 1 ]) AS Bid_Volume,
  sum(asks [ 1, 1 ] * asks [ 2, 1 ]) AS Ask_Volume
FROM market_data
WHERE dateadd('m', -1, now()) < timestamp AND symbol = 'EURUSD'
SAMPLE BY 1s
ORDER BY timestamp DESC
LIMIT 9;
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Bid vs Ask Volume (30s) - BBO (1s) - (EURUSD)

Time series chart comparing the aggregated bid and ask volumes over 30-second intervals, alongside the best bid and offer (BBO) price at 1-second granularity. Useful for monitoring shifts in market pressure, liquidity imbalances, and rapid changes in top-of-book pricing.

SELECT
  timestamp time,
  symbol,
  sum(bids [ 1, 1 ] * bids [ 2, 1 ]) AS bid,
  -1 * sum(asks [ 1, 1 ] * asks [ 2, 1 ]) AS ask
FROM
  market_data
WHERE dateadd('m', -30, now()) < timestamp AND symbol IN 'EURUSD'
SAMPLE BY 30s;
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SELECT timestamp as Time,  Symbol, Bid, Ask, (bid+ask)/2 as Mid
 FROM "bbo_1s" 
WHERE dateadd('m', -30, now()) < timestamp
and symbol IN 'EURUSD';
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Top-of-book Levels vs Core Price - EURUSD

Compares the best bid in the order book (from L2 market data) using an ASOF JOIN against the corresponding “core” quote price from upstream sources (e.g., ECNs). Then it finds at which level we could trade the core price bid volume. If no matching level is found, Level and Price will be empty. This table helps detect price alignment issues, latency, or anomalies between your live order book and reference prices provided by liquidity venues.

WITH p AS (
  SELECT
    timestamp,
    bid_price,
    bid_volume,
    symbol,
    ecn
  FROM core_price
  WHERE dateadd('m', -1, now()) < timestamp AND symbol = 'EURUSD'
  LIMIT -9
), levels AS (
  SELECT
    market_data.timestamp AS md_timestamp,
    insertion_point(bids [ 2 ], bid_volume) AS level,
    bids [ 1 ] [ insertion_point(bids [ 2 ], bid_volume) ] AS price,
    bids [ 2 ] [ insertion_point(bids [ 2 ], bid_volume) ] AS volume,
    p.timestamp,
    p.bid_price,
    p.bid_volume AS bid_volume,
    p.ecn
  FROM p ASOF JOIN market_data ON symbol
)
SELECT
  md_timestamp AS MarketData_Time,
  CASE WHEN price IS null THEN null ELSE level end AS Level,
  Price,
  Volume,
  timestamp AS CorePrice_Time,
  bid_price AS Bid_Price,
  bid_volume1 AS Bid_Volume,
  ecn AS ECN
FROM levels;
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