How to Build Market Depth Charts from Order Book Data with QuestDB

Market depth charts are essential tools for understanding financial markets by visualizing the layers of buy and sell orders at various price levels. This article explains the process of efficiently storing and transforming order book data into these visualizations using QuestDB and SQL. Order books, likened to a continuous two-sided auction, capture the live supply and demand of a financial instrument, with price levels organized for buyers (bid side) and sellers (ask side). The best bid and ask prices form the bid-ask spread, a critical liquidity indicator. Market makers play a pivotal role by quoting buy and sell prices to maintain liquidity, placing orders at multiple price levels to create market depth. The article details how to store order book data as 2D arrays in QuestDB, maximizing efficiency in terms of storage and retrieval, and demonstrates how to compute cumulative order volumes with SQL functions like array_cum_sum(). Visualization of this data using tools like Grafana and Plotly can reveal insights into liquidity, market sentiment, and execution costs, providing a dynamic view of market conditions. The use of QuestDB's advanced features, including array operations and nanosecond precision, enables high-frequency querying and real-time dashboard updates, offering powerful solutions for financial data analysis and trading infrastructure development.