Finance functions
This page contains functions useful for finance use-cases.
l2price
l2price(target_quantity, quantity_0, price_0, quantity_1, price_1, quantity_n, price_n, ...)
Calculates the level two order book price, based on an order target quantity, and a variable number of available orders.
The function aggregates orders until the target size is reached, then returns the average price per unit for the trade to be fulfilled.
It also:
-
takes a variable number of
quantity/pricepairs, each representing a specific order -
expects all values to be convertible to doubles
Parameters
target_quantity: The target_size to be fulfilled by the trades.quantity*: The size of the trade.price*: The price of the trade.
Return value
Return value type is double, representing the average price per unit to fulfill the trade.
Returns null if the price not calculable. For example, if the target quantity can't be fulfilled, or there is incomplete data in the set (nulls).
Examples
SELECT l2price(35, 8, 5.2, 23, 9.3, 42, 22.1);
| l2price |
|---|
| 9.825714285714286 |