mininal_table.sql

CREATE TABLE ticks(
  ts DateTime64(3), ex LowCardinality(String), symbol LowCardinality(String),
  kind LowCardinality(String), side Nullable(String),
  price Float64, size Nullable(Float64),
  best_bid Nullable(Float64), best_ask Nullable(Float64),
  funding_rate Nullable(Float64), funding_ts Nullable(DateTime64(3)),
  open_interest Nullable(Float64), mark_price Nullable(Float64), index_price Nullable(Float64)
) ENGINE=MergeTree ORDER BY (symbol, ts);

CREATE MATERIALIZED VIEW spread_1s TO spread_1s AS
SELECT symbol, ex, toStartOfSecond(ts) t,
  anyLast(best_ask - best_bid) spread,
  anyLast((best_ask + best_bid)/2) mid
FROM ticks WHERE kind='ticker' GROUP BY symbol, ex, t;