From 02b1de949e5082bfd203d541c5c5859f41f4a349 Mon Sep 17 00:00:00 2001
From: medusa <newton214@gmail.com>
Date: Wed, 18 Jun 2025 04:41:48 +0000
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+Here's a structured **Technical Guide & Roadmap for Forex Tick Data Analysis with SQL**, designed as a progressive learning path with clear milestones and reference examples:
+
+---
+
+# **Forex Tick Data Analysis: SQL Learning Roadmap**
+*A step-by-step guide from beginner to advanced techniques*
+
+## **Phase 1: Foundations**
+### **1.1 Understanding Your Data**
+- **Structure**: Forex ticks typically contain:
+  ```sql
+  symbol (e.g., 'EUR/USD'), 
+  timestamp (precision to milliseconds), 
+  bid price, 
+  ask price, 
+  volume
+  ```
+- **Key Metrics**:
+  - **Spread**: `ask - bid` (liquidity measure)
+  - **Mid-price**: `(bid + ask) / 2` (reference price)
+
+### **1.2 Basic SQL Operations**
+```sql
+-- Sample data inspection
+SELECT * FROM forex_ticks 
+WHERE symbol = 'EUR/USD' 
+LIMIT 100;
+
+-- Count ticks per pair
+SELECT symbol, COUNT(*) 
+FROM forex_ticks 
+GROUP BY symbol;
+
+-- Time range filtering
+SELECT MIN(timestamp), MAX(timestamp) 
+FROM forex_ticks;
+```
+
+---
+
+## **Phase 2: Core Analysis**
+### **2.1 Spread Analysis**
+```sql
+-- Basic spread stats
+SELECT 
+  symbol,
+  AVG(ask - bid) AS avg_spread,
+  MAX(ask - bid) AS max_spread
+FROM forex_ticks
+GROUP BY symbol;
+```
+
+### **2.2 Time Bucketing**
+```sql
+-- 5-minute candlesticks
+SELECT 
+  symbol,
+  DATE_TRUNC('5 minutes', timestamp) AS time_bucket,
+  MIN(bid) AS low,
+  MAX(ask) AS high,
+  AVG((bid+ask)/2) AS close
+FROM forex_ticks
+GROUP BY symbol, time_bucket;
+```
+
+### **2.3 Session Analysis**
+```sql
+-- Volume by hour (GMT)
+SELECT 
+  EXTRACT(HOUR FROM timestamp) AS hour,
+  AVG(volume) AS avg_volume
+FROM forex_ticks
+WHERE symbol = 'GBP/USD'
+GROUP BY hour
+ORDER BY hour;
+```
+
+---
+
+## **Phase 3: Intermediate Techniques**
+### **3.1 Rolling Calculations**
+```sql
+-- 30-minute moving average
+SELECT 
+  timestamp,
+  symbol,
+  AVG((bid+ask)/2) OVER (
+    PARTITION BY symbol 
+    ORDER BY timestamp 
+    ROWS BETWEEN 29 PRECEDING AND CURRENT ROW
+  ) AS 30min_MA
+FROM forex_ticks;
+```
+
+### **3.2 Pair Correlation**
+```sql
+WITH hourly_prices AS (
+  SELECT 
+    DATE_TRUNC('hour', timestamp) AS hour,
+    symbol,
+    AVG((bid+ask)/2) AS mid_price
+  FROM forex_ticks
+  GROUP BY hour, symbol
+)
+SELECT 
+  a.symbol AS pair1,
+  b.symbol AS pair2,
+  CORR(a.mid_price, b.mid_price) AS correlation
+FROM hourly_prices a
+JOIN hourly_prices b ON a.hour = b.hour
+WHERE a.symbol < b.symbol
+GROUP BY pair1, pair2;
+```
+
+---
+
+## **Phase 4: Advanced Topics**
+### **4.1 Volatility Measurement**
+```sql
+WITH returns AS (
+  SELECT 
+    symbol,
+    timestamp,
+    (ask - LAG(ask) OVER (PARTITION BY symbol ORDER BY timestamp)) / 
+    LAG(ask) OVER (PARTITION BY symbol ORDER BY timestamp) AS return
+  FROM forex_ticks
+)
+SELECT 
+  symbol,
+  STDDEV(return) AS hourly_volatility
+FROM returns
+GROUP BY symbol;
+```
+
+### **4.2 Event Impact Analysis**
+```sql
+-- Compare 15-min pre/post NFP release
+SELECT 
+  AVG(CASE WHEN timestamp BETWEEN '2023-12-01 13:30' AND '2023-12-01 13:45' 
+      THEN (bid+ask)/2 END) AS post_NFP,
+  AVG(CASE WHEN timestamp BETWEEN '2023-12-01 13:15' AND '2023-12-01 13:30' 
+      THEN (bid+ask)/2 END) AS pre_NFP
+FROM forex_ticks
+WHERE symbol = 'EUR/USD';
+```
+
+---
+
+## **Study Roadmap**
+### **Weekly Learning Plan**
+| Week | Focus Area | Key Skills |
+|------|-----------|------------|
+| 1 | SQL Basics | `SELECT`, `WHERE`, `GROUP BY` |
+| 2 | Time Handling | `DATE_TRUNC`, `EXTRACT`, timezones |
+| 3 | Aggregations | `AVG`, `STDDEV`, `CORR` |
+| 4 | Window Functions | `OVER`, `PARTITION BY`, rolling calcs |
+| 5 | Optimization | Indexes, query planning |
+| 6 | Advanced Patterns | Volatility modeling, microstructure |
+
+---
+
+## **Cheat Sheet**
+### **Essential Functions**
+| Function | Purpose | Example |
+|----------|---------|---------|
+| `DATE_TRUNC` | Bucket timestamps | `DATE_TRUNC('hour', timestamp)` |
+| `EXTRACT` | Get time parts | `EXTRACT(HOUR FROM timestamp)` |
+| `CORR` | Correlation | `CORR(price1, price2)` |
+| `AVG() OVER` | Moving average | `AVG(price) OVER (ORDER BY time ROWS 30 PRECEDING)` |
+
+### **Common Patterns**
+```sql
+-- Get latest price per pair
+SELECT DISTINCT ON (symbol) symbol, bid, ask
+FROM forex_ticks
+ORDER BY symbol, timestamp DESC;
+
+-- Detect stale data
+SELECT symbol, MAX(timestamp) AS last_update
+FROM forex_ticks
+GROUP BY symbol
+HAVING MAX(timestamp) < NOW() - INTERVAL '5 minutes';
+```
+
+---
+
+## **Next Steps**
+1. **Practice Dataset**: Download free forex tick data from [Dukascopy Bank](https://www.dukascopy.com/) 
+2. **Sandbox Setup**: Install PostgreSQL + TimescaleDB for time-series optimizations
+3. **Projects**:
+   - Build a volatility dashboard
+   - Analyze London vs. NY session spreads
+   - Track correlation breakdowns during crises
+
+---
+
+**Pro Tip**: Bookmark this guide and revisit each phase as your skills progress. Start with Phase 1 queries, then gradually incorporate more complex techniques.
+
+---
+
 # **The Ultimate SQL Getting Started Guide**
 
 This guide will take you from absolute beginner to SQL proficiency, with a focus on practical data analysis and EDA applications.