Every trading desk wants to know whether its executions are any good. That's what transaction cost analysis is for, and it usually means paying for a separate, proprietary system to do it. You don't need one. If your ticks already sit in #QuestDB, the analysis is just a few SQL queries. We wrote up the whole pipeline, from capturing live ticks through to the summary tables a desk head would read. It captures live BTC-USDT ticks, simulates a TWAP order against them, and measures what that execution cost three ways: Whether the fills beat the market VWAP over the same window. Arrival slippage, fill by fill. An ASOF JOIN matches each execution back to the quote that was live the moment it was scheduled, so you see how far the price had already moved. The markout curve: where the mid went in the seconds and minutes after each fill. This is a HORIZON JOIN, a dozen time offsets per fill in one parallel pass, and it's the part most databases make painful. QuestDB does the SQL, Polars takes the per-fill results into summary tables.
Transaction Cost Analysis in QuestDB with SQL
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