the_information_nexus/tech_docs/database/sql_roadmap.md

Here's a streamlined 8-week roadmap focused purely on practical SQL skills for forex bid/ask analysis, structured for immediate application in cron jobs:

Week 1-2: Core Foundations for Tick Data

Goal: Process raw ticks into usable formats
Key Skills:

1. Basic filtering

   -- Isolate specific currency pairs/time windows
   SELECT * FROM ticks 
   WHERE symbol = 'EUR/USD' 
     AND timestamp BETWEEN '2024-01-01 00:00' AND '2024-01-01 23:59'
   

2. Candlestick generation

   -- 1-minute OHLC candles
   SELECT 
     symbol,
     DATE_TRUNC('minute', timestamp) AS minute,
     FIRST(bid) AS open,
     MAX(bid) AS high,
     MIN(bid) AS low,
     LAST(bid) AS close
   FROM ticks
   GROUP BY symbol, minute
   

3. Spread metrics

   -- Average spread by hour
   SELECT 
     symbol,
     EXTRACT(HOUR FROM timestamp) AS hour,
     AVG(ask - bid) AS avg_spread
   FROM ticks
   GROUP BY symbol, hour
   

Week 3-4: Session Analysis & Basic Signals

Goal: Identify trading opportunities
Key Skills:

1. Session volatility

   -- London vs. NY session comparison
   SELECT 
     CASE 
       WHEN EXTRACT(HOUR FROM timestamp) BETWEEN 7 AND 15 THEN 'London'
       WHEN EXTRACT(HOUR FROM timestamp) BETWEEN 13 AND 21 THEN 'NY'
       ELSE 'Other' 
     END AS session,
     STDDEV((bid+ask)/2) AS volatility
   FROM ticks
   GROUP BY session
   

2. Rolling spreads

   -- 30-minute moving spread
   SELECT 
     timestamp,
     AVG(ask - bid) OVER (
       ORDER BY timestamp 
       ROWS BETWEEN 29 PRECEDING AND CURRENT ROW
     ) AS rolling_spread
   FROM ticks
   WHERE symbol = 'GBP/USD'
   

3. Basic alerts

   -- Spread widening alert
   SELECT symbol, timestamp, (ask - bid) AS spread
   FROM ticks
   WHERE (ask - bid) > 3 * (
     SELECT AVG(ask - bid) 
     FROM ticks 
     WHERE timestamp > NOW() - INTERVAL '1 day'
   )
   

Week 5-6: Advanced Pattern Detection

Goal: Build automated signal detectors
Key Skills:

1. Microprice calculation

   -- Weighted mid-price
   SELECT 
     timestamp,
     (bid*ask_size + ask*bid_size)/(bid_size + ask_size) AS microprice
   FROM ticks
   

2. Order flow imbalance

   -- Bid/ask size ratio
   SELECT 
     timestamp,
     (bid_size - ask_size)/(bid_size + ask_size) AS imbalance
   FROM ticks
   WHERE ABS((bid_size - ask_size)/(bid_size + ask_size)) > 0.7
   

3. Consecutive moves

   -- 5+ consecutive bid increases
   WITH changes AS (
     SELECT *,
       CASE WHEN bid > LAG(bid) OVER (ORDER BY timestamp) THEN 1 ELSE 0 END AS is_up
     FROM ticks
   )
   SELECT timestamp, bid
   FROM changes
   WHERE is_up = 1
   ORDER BY timestamp
   LIMIT 5
   

Week 7-8: Optimization & Productionization

Goal: Make scripts robust and efficient
Key Skills:

1. Indexing for time-series

   CREATE INDEX idx_symbol_time ON ticks(symbol, timestamp);
   

2. CTEs for complex logic

   WITH 
   london_ticks AS (
     SELECT * FROM ticks 
     WHERE EXTRACT(HOUR FROM timestamp) BETWEEN 7 AND 15
   ),
   spreads AS (
     SELECT symbol, AVG(ask - bid) AS avg_spread
     FROM london_ticks
     GROUP BY symbol
   )
   SELECT * FROM spreads WHERE avg_spread > 0.0005;
   

3. Partitioning large tables

   CREATE TABLE ticks_partitioned (
     -- schema
   ) PARTITION BY RANGE (timestamp);
   

Daily Practice Structure

1. Morning (5 min): Run basic monitoring query

   -- Current spread status
   SELECT symbol, AVG(ask - bid) AS spread 
   FROM ticks 
   WHERE timestamp > NOW() - INTERVAL '15 minutes'
   GROUP BY symbol;
   

2. Evening (15 min): Build one new analysis query

   • Monday: Session comparisons
   • Tuesday: Rolling metrics
   • Wednesday: Alert conditions
   • Thursday: Optimization tweaks
   • Friday: Backtest old queries

Key Mindset Shifts

1. Think in ticks, not hours: Your queries should process milliseconds efficiently
2. Pre-compute everything: Generate candlesticks/aggregates in SQL, not Python
3. Log everything: Every cron job should write results to a logging table

Want the condensed 1-page cheat sheet version of this roadmap? Or should we focus next on building your first complete cron-ready SQL script?