I've used Datadog but if you need per query tracing from the database logs, I think the only way is to embed a trace ID in a SQL comment (or in an no-op column) like the grandparent showed.

Datadog is tracing the request from the application akin to something like

    openTrace("Query Name", queryStr)
    db.Query(queryStr)
    closeTrace()

The gap with that style of application-level tracing is that the database logs give no indication of where a query came from, hence the need for embedding a comment in the query with the trace ID.

I would love for a better mechanism than SQL comments for distributed tracing all the way to the database.