Post-trade analysis recipes, HORIZON JOIN reference, and VPIN#369
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bluestreak01 wants to merge 4 commits intomainfrom
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Post-trade analysis recipes, HORIZON JOIN reference, and VPIN#369bluestreak01 wants to merge 4 commits intomainfrom
bluestreak01 wants to merge 4 commits intomainfrom
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Add 9 new documentation pages covering post-trade/TCA workflows: - Slippage per fill and aggregated slippage (by venue, counterparty, size bucket, time of day, daily P&L) - Post-trade markout analysis with HORIZON JOIN (curves, by side, counterparty toxicity, passive/aggressive) - Last look detection (millisecond-granularity markout) - Implementation shortfall decomposition (by symbol with PIVOT, per order) - ECN scorecard (venue comparison, markout curves, toxicity by hour/passive/composite, pivoted) - VPIN (volume-synchronized informed trading probability, per ECN) - HORIZON JOIN SQL reference (RANGE/LIST syntax, pseudo-table, interval units, mixed-precision timestamps) Reorganize sidebar with sub-categories under Capital Markets and top-level Post-Trade Analysis entry. Add mixed-precision timestamp docs to ASOF JOIN, WINDOW JOIN, and HORIZON JOIN reference pages. Add cookbook cross-links from ASOF JOIN reference and cookbook overview. Fix remote-repo-example plugin crash on 404 (warn instead of throw). Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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🚀 Build success! Latest successful preview: https://preview-369--questdb-documentation.netlify.app/docs/ Commit SHA: 88a0330
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- New landing page for Post-Trade Analysis sidebar section with audience context, key concepts glossary, recipe progression, and QuestDB value prop - Add Overview as explicit sidebar item under Post-Trade Analysis - Add VPIN to Post-Trade Analysis sidebar - Remove "requires local instance" disclaimers for HORIZON JOIN recipes (shipping together with this documentation) Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- Replace bids[1][1]/asks[1][1] with best_bid/best_ask across all post-trade recipes and HORIZON JOIN reference - Fix ECN toxicity by hour and composite toxicity score queries: add h.offset to SELECT to satisfy HORIZON JOIN GROUP BY requirement - Fix hourly slippage query: remove invalid GROUP BY after SAMPLE BY - Update post-trade overview to document best_bid/best_ask columns
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Preview:
https://preview-369--questdb-documentation.netlify.app/docs/cookbook/sql/finance/slippage/ also check sidebar
https://preview-369--questdb-documentation.netlify.app/docs/query/sql/horizon-join/
Summary
New recipe pages (
documentation/cookbook/sql/finance/)slippage.mdslippage-aggregated.mdmarkout.mdlast-look.mdimplementation-shortfall.mdimplementation-shortfall-order.mdecn-scorecard.mdvpin.mdNew reference page
horizon-join.mdModified files
sidebars.jscookbook/sql/finance/index.mdcookbook/index.mdquery/sql/asof-join.mdquery/sql/window-join.mdplugins/remote-repo-example/index.jsthrowtoconsole.warn+continuefor 404 on individual remote code filesTest plan
yarn start)demo-tagged queries only appear on ASOF-JOIN / window-function recipes (not HORIZON JOIN ones)🤖 Generated with Claude Code