I did some tests myself on a 22MB SQL file and it turns out:
* 7za -m0=PPMd produced the smallest file being faster than bzip2
* bzip2 turned out to be way faster than both lz (684%) and xz (644%) and produced a smaller file
* xz is marginally faster than lz, compressed sizes are about the same with the xz file being a tad smaller
* without any switches 7za produces an archive a bit bigger than xz and lzip in about the same amount of time
* gzip and zst produce about the same compressed size, only zstd is a lot faster (517%) than gzip
The 7z file was produced using the -m0=PPMd switch. For the other files no command line switches were supplied. Here are the file sizes:
23668150 file.sql
3899477 file.sql.7z
4149962 file.sql.bz2
5954982 file.sql.gz
4540628 file.sql.lz
4506720 file.sql.xz
5961291 file.sql.zst