# Capital Markets Recipes

SQL recipes for financial analysis including technical indicators, volatility metrics, volume analysis, and risk measurement in QuestDB.

This section contains SQL recipes for financial market analysis. All recipes use the
[demo dataset](/docs/cookbook/demo-data-schema/) available in the QuestDB web console.

## Price-Based Indicators

Foundation recipes for price analysis and trend identification.

| Recipe | Description |
|--------|-------------|
| [OHLC Aggregation](ohlc.md) | Aggregate tick data into candlestick bars |
| [VWAP](vwap.md) | Volume-Weighted Average Price |
| [TWAP](twap.md) | Time-Weighted Average Price |
| [Bollinger Bands](bollinger-bands.md) | Price channels based on standard deviation |
| [Bollinger BandWidth](bollinger-bandwidth.md) | Measure band expansion and contraction |

## Momentum Indicators

Measure the speed and strength of price movements.

| Recipe | Description |
|--------|-------------|
| [RSI](rsi.md) | Relative Strength Index for overbought/oversold conditions |
| [MACD](macd.md) | Moving Average Convergence Divergence |
| [Stochastic Oscillator](stochastic.md) | Compare closing price to price range |
| [Rate of Change](rate-of-change.md) | Percentage price change over N periods |

## Volatility Indicators

Quantify market uncertainty and price variability.

| Recipe | Description |
|--------|-------------|
| [ATR](atr.md) | Average True Range |
| [Rolling Std Dev](rolling-stddev.md) | Moving standard deviation of returns |
| [Donchian Channels](donchian-channels.md) | High/low price channels |
| [Keltner Channels](keltner-channels.md) | EMA-based volatility channels |
| [Realized Volatility](realized-volatility.md) | Historical volatility from returns |

## Volume & Order Flow

Analyze trading activity and order flow dynamics.

| Recipe | Description |
|--------|-------------|
| [OBV](obv.md) | On-Balance Volume |
| [Volume Profile](volume-profile.md) | Volume distribution by price level |
| [Volume Spike](volume-spike.md) | Detect abnormal volume |
| [Aggressor Imbalance](aggressor-volume-imbalance.md) | Buy vs sell pressure |
| [VPIN](vpin.md) | Volume-synchronized informed trading probability |

## Risk Metrics

Portfolio risk measurement and drawdown analysis.

| Recipe | Description |
|--------|-------------|
| [Maximum Drawdown](maximum-drawdown.md) | Peak-to-trough decline |

## Market Microstructure

Analyze market quality and trading costs.

| Recipe | Description |
|--------|-------------|
| [Bid-Ask Spread](bid-ask-spread.md) | Spread metrics and analysis |
| [Gamma Scalping Signal](gamma-scalping-signal.md) | Vol-spread ratio for gamma scalping conditions |
| [Liquidity Comparison](liquidity-comparison.md) | Compare liquidity across instruments |

## Post-Trade Analysis

Measure execution quality, fill performance, and trading costs. Also available as a [top-level sidebar section](/docs/cookbook/sql/finance/) for quick access.

| Recipe | Description |
|--------|-------------|
| [Slippage](slippage.md) | Measure execution slippage per fill |
| [Slippage (aggregated)](slippage-aggregated.md) | Compare slippage across venues and counterparties |
| [Markout analysis](markout.md) | Post-trade price reversion and adverse selection |
| [Last look detection](last-look.md) | Millisecond-granularity markout for last-look analysis |
| [Implementation shortfall](implementation-shortfall.md) | Cost decomposition into spread, permanent, and temporary impact |
| [Implementation shortfall (order)](implementation-shortfall-order.md) | Total IS per order vs arrival mid |
| [ECN scorecard](ecn-scorecard.md) | Dashboard-style venue comparison combining spread, slippage, and fill metrics |

## Market Breadth

Measure overall market participation and sentiment.

| Recipe | Description |
|--------|-------------|
| [TICK & TRIN](tick-trin.md) | Market breadth indicators |

## Math Utilities

General-purpose financial calculations.

| Recipe | Description |
|--------|-------------|
| [Compound Interest](compound-interest.md) | Interest and growth calculations |
| [Cumulative Product](cumulative-product.md) | Running product for returns |
| [Log Returns](log-returns.md) | Compute log returns from consecutive prices |