我需要一些关于单个查询的帮助或指针，它可以根据下面附加的数据集上的 FIFO（先进先出）原则为每笔股票交易建立利润/亏损。应与 SQL Server 2016+ 和 Azure SQL 兼容。
示例数据如下所示：
| 股票名称 | 交易日期 | 转码 | 数量 | 价格美元 | TotalAmountUSD |
|---|---|---|---|---|---|
| StockABC | 2017-12-11 11:16:11.000 | 购买 | 2364,444444 | 0,114323 | 270,310382 |
| 股票XYZ | 2017-12-11 11:16:11.000 | 购买 | 2364,444444 | 0,114323 | 270,310382 |
| StockABC | 2017-12-14 14:16:24.000 | 卖 | 1000 | 0,158849 | 158,849 |
| 股票XYZ | 2017-12-14 14:16:24.000 | 卖 | 1000 | 0,158849 | 158,849 |
| StockABC | 2017-12-14 19:38:46.000 | 卖 | 700 | 0,198934 | 139,2538 |
| 股票XYZ | 2017-12-14 19:38:46.000 | 卖 | 700 | 0,198934 | 139,2538 |
| StockABC | 2017-12-15 09:38:09.000 | 卖 | 664,4444444 | 0,207171 | 137,65362 |
我需要一个计算，计算每笔交易的利润。
例如如果我以 5 价买入 10 股股票，然后再买入 10 股至 6 价，我以 9 价卖出所有 15 股，我需要计算利润，考虑买入的价格。
我曾尝试使用 CTE 的光标等，但我只能找到有关数量总计的帮助。
整体数据量较少（总共> 50000行），所以不要太在意性能。
可以从下面插入测试数据：
CREATE TABLE dbo.Stock
(
Currency VARCHAR(50),
TransactionDate DATETIME,
TranCode VARCHAR(5),
Quantity NUMERIC(38,18),
Price NUMERIC(38,18),
CostBasis NUMERIC(38,18)
)
INSERT INTO dbo.Stock (Currency, TransactionDate, TranCode, Quantity, Price, CostBasis)
SELECT *
FROM
(SELECT
'StockABC' AS Currency,
'Dec 11 2017 11:16AM' AS TransactionDate,
'BUY' AS TranCode,
'2364.444444440000000000' AS Quantity,
'0.114323000000000000' AS Price,
'270.310382000000000000' AS CostBasis
UNION
SELECT
'StockABC' AS Currency,
'Dec 14 2017 2:16PM' AS TransactionDate,
'SELL' AS TranCode,
'1000.000000000000000000' AS Quantity,
'0.158849000000000000' AS Price,
'158.849000000000000000' AS CostBasis
UNION
SELECT
'StockABC' AS Currency,
'Dec 14 2017 7:38PM' AS TransactionDate,
'SELL' AS TranCode,
'700.000000000000000000' AS Quantity,
'0.198934000000000000' AS Price,
'139.253800000000000000' AS CostBasis
UNION
SELECT
'StockABC' AS Currency,
'Dec 15 2017 9:38AM' AS TransactionDate,
'SELL' AS TranCode,
'664.444444440000000000' AS Quantity,
'0.207171000000000000' AS Price,
'137.653620000000000000' AS CostBasis
UNION
SELECT
'StockABC' AS Currency,
'Dec 18 2017 11:34AM' AS TransactionDate,
'BUY' AS TranCode,
'1334.531919170000000000' AS Quantity,
'0.489515000000000000' AS Price,
'653.273392000000000000' AS CostBasis
UNION
SELECT
'StockABC' AS Currency,
'Dec 21 2017 9:02PM' AS TransactionDate,
'SELL' AS TranCode,
'334.531919170000000000' AS Quantity,
'0.473771000000000000' AS Price,
'158.491522000000000000' AS CostBasis
UNION
SELECT
'StockABC' AS Currency,
'Dec 26 2017 10:44AM' AS TransactionDate,
'BUY' AS TranCode,
'400.000000000000000000' AS Quantity,
'0.440974000000000000' AS Price,
'176.389600000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Dec 26 2017 10:45AM' AS TransactionDate, 'SELL' AS TranCode, '399.000000000000000000' AS Quantity, '0.438398000000000000' AS Price, '174.920802000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Dec 30 2017 11:34AM' AS TransactionDate, 'SELL' AS TranCode, '500.000000000000000000' AS Quantity, '0.633751000000000000' AS Price, '316.875500000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Jan 3 2018 5:45PM' AS TransactionDate, 'SELL' AS TranCode, '20.000000000000000000' AS Quantity, '1.056470000000000000' AS Price, '21.129400000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Jan 10 2018 8:48AM' AS TransactionDate, 'BUY' AS TranCode, '292.310860920000000000' AS Quantity, '0.750911000000000000' AS Price, '219.499441000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Mar 6 2018 6:51PM' AS TransactionDate, 'BUY' AS TranCode, '700.495360820000000000' AS Quantity, '0.283468000000000000' AS Price, '198.568019000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Mar 21 2018 3:42PM' AS TransactionDate, 'SELL' AS TranCode, '1472.806221740000000000' AS Quantity, '0.217339000000000000' AS Price, '320.098231000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Apr 11 2018 6:03PM' AS TransactionDate, 'BUY' AS TranCode, '910.127737230000000000' AS Quantity, '0.164000000000000000' AS Price, '149.260949000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Apr 16 2018 7:53AM' AS TransactionDate, 'SELL' AS TranCode, '450.000000000000000000' AS Quantity, '0.235482000000000000' AS Price, '105.966900000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Apr 24 2018 8:15PM' AS TransactionDate, 'SELL' AS TranCode, '460.127737230000000000' AS Quantity, '0.297748000000000000' AS Price, '137.002114000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Jul 13 2018 8:08PM' AS TransactionDate, 'BUY' AS TranCode, '1500.009200180000000000' AS Quantity, '0.133000000000000000' AS Price, '199.501224000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Jul 22 2018 5:08PM' AS TransactionDate, 'SELL' AS TranCode, '500.000000000000000000' AS Quantity, '0.174302000000000000' AS Price, '87.151000000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Aug 5 2018 5:34PM' AS TransactionDate, 'SELL' AS TranCode, '1000.009200180000000000' AS Quantity, '0.127404000000000000' AS Price, '127.405172000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Sep 22 2018 1:29PM' AS TransactionDate, 'BUY' AS TranCode, '1810.263568330000000000' AS Quantity, '0.082654000000000000' AS Price, '149.625525000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Nov 25 2018 2:55AM' AS TransactionDate, 'BUY' AS TranCode, '3000.000000000000000000' AS Quantity, '0.035000000000000000' AS Price, '105.000000000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Feb 11 2019 9:07AM' AS TransactionDate, 'BUY' AS TranCode, '1782.043635700000000000' AS Quantity, '0.042000000000000000' AS Price, '74.845833000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Mar 9 2019 2:19PM' AS TransactionDate, 'BUY' AS TranCode, '4190.000000000000000000' AS Quantity, '0.043930000000000000' AS Price, '184.066700000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Apr 25 2019 5:41PM' AS TransactionDate, 'BUY' AS TranCode, '2261.000000000000000000' AS Quantity, '0.075000000000000000' AS Price, '169.575000000000000000' AS CostBasis
UNION
SELECT 'StockABC' AS Currency, 'Sep 9 2019 5:06PM' AS TransactionDate, 'BUY' AS TranCode, '2200.000000000000000000' AS Quantity, '0.045927000000000000' AS Price, '101.039400000000000000' AS CostBasis ) A
答案 0 :(得分：1)
这是一种简单的方法（有点），它使用名为 dbo.fnTally 的 tally function 为每个项目或数量的“份额”生成 1 行。 'buy_cte' 和 'sell_cte' 都使用 CROSS APPLY dbo.fnTally(1, s.Quantity) 来扩展每个数量项目的行。此外，CTE 都分配了一个名为“trans_rn”的序数 row_number。通过将 'trans_rn' 上的两个 CTE 连接起来，只需将价格相加即可计算出 FIFO 盈利能力。像这样
dbo.fnTally
CREATE FUNCTION [dbo].[fnTally]
/**********************************************************************************************************************
Jeff Moden Script on SSC: https://www.sqlservercentral.com/scripts/create-a-tally-function-fntally
**********************************************************************************************************************/
(@ZeroOrOne BIT, @MaxN BIGINT)
RETURNS TABLE WITH SCHEMABINDING AS
RETURN WITH
H2(N) AS ( SELECT 1
FROM (VALUES
(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
,(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1),(1)
)V(N)) --16^2 or 256 rows
, H4(N) AS (SELECT 1 FROM H2 a, H2 b) --16^4 or 65,536 rows
, H8(N) AS (SELECT 1 FROM H4 a, H4 b) --16^8 or 4,294,967,296 rows
SELECT N = 0 WHERE @ZeroOrOne = 0 UNION ALL
SELECT TOP(@MaxN)
N = ROW_NUMBER() OVER (ORDER BY N)
FROM H8;
;with
buy_cte(Currency, TransactionDate, Price, trans_rn) as (
select Currency, TransactionDate, Price,
row_number() over (partition by Currency order by TransactionDate)
from #Stock s
cross apply dbo.fnTally(1, s.Quantity) fn
where TranCode='BUY'),
sell_cte(Currency, TransactionDate, Price, trans_rn) as (
select Currency, TransactionDate, Price,
row_number() over (partition by Currency order by TransactionDate)
from #Stock s
cross apply dbo.fnTally(1, s.Quantity) fn
where TranCode='SELL')
select s.Currency, s.TransactionDate,
cast(sum(b.price) as decimal(14,2)) buy_sum,
cast(sum(s.price) as decimal(14,2)) sell_sum,
cast(sum(s.price-b.price) as decimal(14,2)) profit_sum,
count(*) q_sold
from buy_cte b
join sell_cte s on b.Currency=s.Currency
and b.trans_rn=s.trans_rn
and b.TransactionDate<s.TransactionDate
group by s.Currency, s.TransactionDate
order by TransactionDate;
Currency TransactionDate buy_sum sell_sum profit_sum q_sold
StockABC 2017-12-14 14:16:00.000 114.32 158.85 44.53 1000
StockABC 2017-12-14 19:38:00.000 80.03 139.25 59.23 700
StockABC 2017-12-15 09:38:00.000 75.91 137.56 61.65 664
StockABC 2017-12-21 21:02:00.000 163.50 158.24 -5.26 334
StockABC 2017-12-26 10:45:00.000 195.32 174.92 -20.40 399
StockABC 2017-12-30 11:34:00.000 244.76 316.88 72.12 500
StockABC 2018-01-03 17:45:00.000 9.79 21.13 11.34 20
StockABC 2018-03-21 15:42:00.000 633.45 319.92 -313.53 1472
StockABC 2018-04-16 07:53:00.000 73.92 105.97 32.05 450
StockABC 2018-04-24 20:15:00.000 75.44 136.96 61.52 460
StockABC 2018-07-22 17:08:00.000 66.53 87.15 20.62 500
StockABC 2018-08-05 17:34:00.000 133.00 127.40 -5.60 1000
答案 1 :(得分：0)
感谢您的反馈，让我做一些更改。
SELECT Currency,TransactionDate,
SUM(CASE WHEN TranCode = 'SELL' THEN CostBasis * (-1) ELSE CostBasis END )OVER(PARTITION BY Currency ORDER BY TransactionDate ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) AS TOTAL
FROM #Stock
GROUP BY Currency, TransactionDate, CostBasis, TranCode