Add documentation and CHANGELOG entry

Signed-off-by: Prem Saraswat <[email protected]>

Author: onprem

CHANGELOG.md

@@ -14,7 +14,7 @@ We use _breaking :warning:_ to mark changes that are not backward compatible (re
 
 ### Added
 
--
+- [#4292](https://github.com/thanos-io/thanos/pull/4292) Receive: Enable exemplars ingestion and querying.
 
 ### Fixed
 

docs/components/receive.md

@@ -12,12 +12,14 @@ We recommend this component to users who can only push into a Thanos due to air-
 
 Thanos Receive supports multi-tenancy by using labels. See [Multitenancy documentation here](../operating/multi-tenancy.md).
 
+Thanos Receive supports ingesting [exemplars](https://github.com/OpenObservability/OpenMetrics/blob/main/specification/OpenMetrics.md#exemplars) via remote-write. By default, the exemplars are silently discarded as `--tsdb.max-exemplars` is set to `0`. To enable exemplars storage, set the `--tsdb.max-exemplars` flag to a non-zero value. It exposes the ExemplarsAPI so that the [Thanos Queriers](./query.md) can query the stored exemplars. Take a look at the documentation for [exemplars storage in Prometheus](https://prometheus.io/docs/prometheus/latest/disabled_features/#exemplars-storage) to know more about it.
+
 For more information please check out [initial design proposal](../proposals/201812_thanos-remote-receive.md).
 For further information on tuning Prometheus Remote Write [see remote write tuning document](https://prometheus.io/docs/practices/remote_write/).
 
 > NOTE: As the block producer it's important to set correct "external labels" that will identify data block across Thanos clusters. See [external labels](../storage.md#external-labels) docs for details.
 
-# Example
+## Example
 
 ```bash
 thanos receive \