Cookbook refresh: lookbacks, named windows, schema

documentation/cookbook/demo-data-schema.md

@@ -92,7 +92,9 @@ CREATE TABLE 'market_data' (
     timestamp TIMESTAMP,
     symbol SYMBOL CAPACITY 16384 CACHE,
     bids DOUBLE[][],
-    asks DOUBLE[][]
+    asks DOUBLE[][],
+    best_bid DOUBLE,
+    best_ask DOUBLE
 ) timestamp(timestamp) PARTITION BY HOUR TTL 3 DAYS;
 ```
 
@@ -102,6 +104,8 @@ CREATE TABLE 'market_data' (
 - **`symbol`** - Currency pair (e.g., EURUSD, GBPJPY)
 - **`bids`** - 2D array containing bid prices and volumes: `[[price1, price2, ...], [volume1, volume2, ...]]`
 - **`asks`** - 2D array containing ask prices and volumes: `[[price1, price2, ...], [volume1, volume2, ...]]`
+- **`best_bid`** - Best (highest) bid price. Equivalent to `bids[1][1]` but preferred when only the top-of-book price is needed, as it scans much less data
+- **`best_ask`** - Best (lowest) ask price. Equivalent to `asks[1][1]` but preferred when only the top-of-book price is needed, as it scans much less data
 
 The arrays are structured so that:
 - `bids[1]` contains bid prices (descending order - highest first)

documentation/cookbook/sql/finance/atr.md

@@ -15,7 +15,7 @@ You want to measure volatility to set appropriate stop-losses or position sizes.
 ```questdb-sql demo title="Calculate 14-period ATR"
 DECLARE
   @symbol := 'EURUSD',
-  @lookback := '$now - 1M..$now'
+  @lookback := '$now - 2d..$now'
 
 WITH with_prev AS (
   SELECT

documentation/cookbook/sql/finance/donchian-channels.md

@@ -15,26 +15,22 @@ You want to identify breakout levels and trading ranges. Moving averages smooth
 ```questdb-sql demo title="Calculate 20-period Donchian Channels"
 DECLARE
   @symbol := 'EURUSD',
-  @lookback := '$now - 1M..$now'
+  @lookback := '$now - 2d..$now'
 
 WITH channels AS (
   SELECT
     timestamp,
     symbol,
     close,
-    max(high) OVER (
-      PARTITION BY symbol
-      ORDER BY timestamp
-      ROWS BETWEEN 19 PRECEDING AND CURRENT ROW
-    ) AS upper_channel,
-    min(low) OVER (
-      PARTITION BY symbol
-      ORDER BY timestamp
-      ROWS BETWEEN 19 PRECEDING AND CURRENT ROW
-    ) AS lower_channel
+    max(high) OVER w AS upper_channel,
+    min(low) OVER w AS lower_channel
   FROM market_data_ohlc_15m
   WHERE symbol = @symbol
     AND timestamp IN @lookback
+  WINDOW w AS (
+    PARTITION BY symbol ORDER BY timestamp
+    ROWS BETWEEN 19 PRECEDING AND CURRENT ROW
+  )
 )
 SELECT
   timestamp,

documentation/cookbook/sql/finance/keltner-channels.md

@@ -15,7 +15,7 @@ You want volatility bands that adapt to market conditions but are smoother than
 ```questdb-sql demo title="Calculate Keltner Channels (20-period EMA ± 2× ATR)"
 DECLARE
   @symbol := 'EURUSD',
-  @lookback := '$now - 1M..$now'
+  @lookback := '$now - 2d..$now'
 
 WITH with_prev AS (
   SELECT
@@ -49,9 +49,10 @@ with_indicators AS (
     timestamp,
     symbol,
     close,
-    avg(close, 'period', 20) OVER (PARTITION BY symbol ORDER BY timestamp) AS ema20,
-    avg(tr, 'period', 20) OVER (PARTITION BY symbol ORDER BY timestamp) AS atr
+    avg(close, 'period', 20) OVER w AS ema20,
+    avg(tr, 'period', 20) OVER w AS atr
   FROM with_tr
+  WINDOW w AS (PARTITION BY symbol ORDER BY timestamp)
 )
 SELECT
   timestamp,

documentation/cookbook/sql/finance/macd.md

@@ -15,18 +15,19 @@ You want to identify trend changes and momentum shifts. Simple moving averages l
 ```questdb-sql demo title="Calculate MACD with signal line and histogram"
 DECLARE
   @symbol := 'EURUSD',
-  @lookback := '$now - 1M..$now'
+  @lookback := '$now - 2d..$now'
 
 WITH ema AS (
   SELECT
     timestamp,
     symbol,
     close,
-    avg(close, 'period', 12) OVER (PARTITION BY symbol ORDER BY timestamp) AS ema12,
-    avg(close, 'period', 26) OVER (PARTITION BY symbol ORDER BY timestamp) AS ema26
+    avg(close, 'period', 12) OVER w AS ema12,
+    avg(close, 'period', 26) OVER w AS ema26
   FROM market_data_ohlc_15m
   WHERE symbol = @symbol
     AND timestamp IN @lookback
+  WINDOW w AS (PARTITION BY symbol ORDER BY timestamp)
 ),
 macd_line AS (
   SELECT

documentation/cookbook/sql/finance/maximum-drawdown.md

@@ -17,7 +17,17 @@ DECLARE
   @symbol := 'EURUSD',
   @lookback := '$now - 1M..$now'
 
-WITH with_peak AS (
+WITH ohlc AS (
+  SELECT
+    timestamp,
+    symbol,
+    last(price) AS close
+  FROM fx_trades
+  WHERE symbol = @symbol
+    AND timestamp IN @lookback
+  SAMPLE BY 15m ALIGN TO CALENDAR
+),
+with_peak AS (
   SELECT
     timestamp,
     symbol,
@@ -27,9 +37,7 @@ WITH with_peak AS (
       ORDER BY timestamp
       ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW
     ) AS running_peak
-  FROM market_data_ohlc_15m
-  WHERE symbol = @symbol
-    AND timestamp IN @lookback
+  FROM ohlc
 ),
 with_drawdown AS (
   SELECT
@@ -56,9 +64,10 @@ ORDER BY timestamp;
 ```
 
 The query:
-1. Tracks the running maximum (peak) price using `max() OVER (... UNBOUNDED PRECEDING)`
-2. Calculates current drawdown as percentage from peak
-3. Tracks the minimum (worst) drawdown seen so far
+1. Aggregates raw trades into 15-minute bars using the last trade price as close
+2. Tracks the running maximum (peak) price using `max() OVER (... UNBOUNDED PRECEDING)`
+3. Calculates current drawdown as percentage from peak
+4. Tracks the minimum (worst) drawdown seen so far
 
 ## Interpreting results
 
@@ -69,14 +78,22 @@ The query:
 
 ## Finding drawdown periods
 
-```questdb-sql title="Identify significant drawdown periods"
-DECLARE @symbol := 'EURUSD'
+```questdb-sql demo title="Identify significant drawdown periods"
+DECLARE
+  @symbol := 'EURUSD',
+  @lookback := '$now - 1M..$now'
 
-WITH with_peak AS (
+WITH ohlc AS (
+  SELECT timestamp, symbol, last(price) AS close
+  FROM fx_trades
+  WHERE symbol = @symbol
+    AND timestamp IN @lookback
+  SAMPLE BY 15m ALIGN TO CALENDAR
+),
+with_peak AS (
   SELECT timestamp, symbol, close,
     max(close) OVER (PARTITION BY symbol ORDER BY timestamp ROWS UNBOUNDED PRECEDING) AS running_peak
-  FROM market_data_ohlc_15m
-  WHERE symbol = @symbol
+  FROM ohlc
 ),
 with_drawdown AS (
   SELECT timestamp, symbol, close, running_peak,

documentation/cookbook/sql/finance/obv.md

@@ -17,20 +17,30 @@ DECLARE
   @symbol := 'EURUSD',
   @lookback := '$now - 1M..$now'
 
-WITH with_direction AS (
+WITH ohlc AS (
+  SELECT
+    timestamp,
+    symbol,
+    last(price) AS close,
+    sum(quantity) AS volume
+  FROM fx_trades
+  WHERE symbol = @symbol
+    AND timestamp IN @lookback
+  SAMPLE BY 15m ALIGN TO CALENDAR
+),
+with_direction AS (
   SELECT
     timestamp,
     symbol,
     close,
-    total_volume AS volume,
+    volume,
     CASE
-      WHEN close > lag(close) OVER (PARTITION BY symbol ORDER BY timestamp) THEN volume
-      WHEN close < lag(close) OVER (PARTITION BY symbol ORDER BY timestamp) THEN -volume
+      WHEN close > lag(close) OVER w THEN volume
+      WHEN close < lag(close) OVER w THEN -volume
       ELSE 0
     END AS directed_volume
-  FROM fx_trades_ohlc_1m
-  WHERE symbol = @symbol
-    AND timestamp IN @lookback
+  FROM ohlc
+  WINDOW w AS (PARTITION BY symbol ORDER BY timestamp)
 )
 SELECT
   timestamp,
@@ -47,9 +57,10 @@ ORDER BY timestamp;
 ```
 
 The query:
-1. Compares each close to the previous close
-2. Assigns positive volume if price went up, negative if down, zero if unchanged
-3. Calculates cumulative sum of directed volume
+1. Aggregates raw trades into 15-minute bars with closing price and total volume
+2. Compares each bar's close to the previous close
+3. Assigns positive volume if price went up, negative if down, zero if unchanged
+4. Calculates cumulative sum of directed volume
 
 ## Interpreting results
 

documentation/cookbook/sql/finance/rate-of-change.md

@@ -15,7 +15,7 @@ You want a simple momentum indicator that shows how fast price is changing. Raw
 ```questdb-sql demo title="Calculate 12-period Rate of Change"
 DECLARE
   @symbol := 'EURUSD',
-  @lookback := '$now - 1M..$now'
+  @lookback := '$now - 2d..$now'
 
 WITH with_lag AS (
   SELECT

documentation/cookbook/sql/finance/rolling-stddev.md

@@ -22,10 +22,11 @@ WITH stats AS (
     timestamp,
     symbol,
     price,
-    AVG(price) OVER (PARTITION BY symbol ORDER BY timestamp) AS rolling_avg,
-    AVG(price * price) OVER (PARTITION BY symbol ORDER BY timestamp) AS rolling_avg_sq
+    AVG(price) OVER w AS rolling_avg,
+    AVG(price * price) OVER w AS rolling_avg_sq
   FROM fx_trades
   WHERE timestamp IN '$yesterday' AND symbol = 'EURUSD'
+  WINDOW w AS (PARTITION BY symbol ORDER BY timestamp)
 )
 SELECT
   timestamp,

documentation/cookbook/sql/finance/rsi.md

@@ -15,7 +15,7 @@ You want to identify when an asset may be overbought or oversold based on recent
 ```questdb-sql demo title="Calculate 14-period RSI with EMA smoothing"
 DECLARE
   @symbol := 'EURUSD',
-  @lookback := '$now - 1M..$now'
+  @lookback := '$now - 2d..$now'
 
 WITH changes AS (
   SELECT
@@ -41,9 +41,10 @@ smoothed AS (
     timestamp,
     symbol,
     close,
-    avg(gain, 'period', 14) OVER (PARTITION BY symbol ORDER BY timestamp) AS avg_gain,
-    avg(loss, 'period', 14) OVER (PARTITION BY symbol ORDER BY timestamp) AS avg_loss
+    avg(gain, 'period', 14) OVER w AS avg_gain,
+    avg(loss, 'period', 14) OVER w AS avg_loss
   FROM gains_losses
+  WINDOW w AS (PARTITION BY symbol ORDER BY timestamp)
 )
 SELECT
   timestamp,

documentation/cookbook/sql/finance/stochastic.md

@@ -15,26 +15,22 @@ You want to identify overbought and oversold conditions based on where price is
 ```questdb-sql demo title="Calculate Stochastic %K and %D"
 DECLARE
   @symbol := 'EURUSD',
-  @lookback := '$now - 1M..$now'
+  @lookback := '$now - 2d..$now'
 
 WITH ranges AS (
   SELECT
     timestamp,
     symbol,
     close,
-    min(low) OVER (
-      PARTITION BY symbol
-      ORDER BY timestamp
-      ROWS BETWEEN 13 PRECEDING AND CURRENT ROW
-    ) AS lowest_low,
-    max(high) OVER (
-      PARTITION BY symbol
-      ORDER BY timestamp
-      ROWS BETWEEN 13 PRECEDING AND CURRENT ROW
-    ) AS highest_high
+    min(low) OVER w AS lowest_low,
+    max(high) OVER w AS highest_high
   FROM market_data_ohlc_15m
   WHERE symbol = @symbol
     AND timestamp IN @lookback
+  WINDOW w AS (
+    PARTITION BY symbol ORDER BY timestamp
+    ROWS BETWEEN 13 PRECEDING AND CURRENT ROW
+  )
 ),
 with_k AS (
   SELECT