我有一个表,用于存储一分钟内价格变动的数据。每条记录包含最后一分钟的开放,高,低,关闭&体积
CREATE TABLE TimeBar (
Instrument varchar(20),
BarTimeStamp datetimeoffset(7),
Open decimal(18, 5),
High decimal(18, 5),
Low decimal(18, 5),
Close decimal(18, 5),
Volume int
)
我要做的是创建一个查询,我可以将数据聚合到更高的时间范围,例如我希望能够显示开放,高,低和...每小时关闭一次。
以下是我的查询到目前为止,我已经设法获得了High和The Low,但是你如何得到Open和The Close?
SELECT MIN(BarTimeStamp) AS TimeStamp,
MAX(High) AS High,
MIN(Low) AS Low,
SUM(Volume) AS Volume
FROM TimeBar
WHERE Instrument = 'XYZ'
GROUP BY DATEPART(YEAR, BarTimeStamp), DATEPART(MONTH, BarTimeStamp), DATEPART(DAY, BarTimeStamp), DATEPART(HOUR, BarTimeStamp)
答案 0 :(得分:1)
使用主查询作为子查询,为每个记录采用最小时间戳和最大时间戳,因此,采用它们各自的开盘价和收盘价。
SELECT x.*, TI.Open, TE.Close
FROM
(
SELECT Instrument,
MIN(BarTimeStamp) AS TimeStampIni,
MAX(BarTimeStamp) AS TimeStampEnd,
MAX(High) AS High,
MIN(Low) AS Low,
SUM(Volume) AS Volume
FROM TimeBar
GROUP BY Instrument, DATEPART(YEAR, BarTimeStamp), DATEPART(MONTH, BarTimeStamp), DATEPART(DAY, BarTimeStamp), DATEPART(HOUR, BarTimeStamp)
) x
inner join TimeBar TI on ti.Instrument = x.Instrument AND TI.BarTimeStamp = x.TimeStampIni
inner join TimeBar Te on te.Instrument = x.Instrument AND Te.BarTimeStamp = x.TimeStampEnd
答案 1 :(得分:1)
首先要做的是按时间范围分组:
SELECT MIN(BarTimeStamp) AS StartTimeStamp,
MAX(BarTimeStamp) AS EndTimeStamp
FROM #TimeBar
WHERE Instrument = 'TEST'
GROUP BY DATEPART(YEAR, BarTimeStamp), DATEPART(MONTH, BarTimeStamp), DATEPART(DAY, BarTimeStamp), DATEPART(HOUR, BarTimeStamp)
之后,这是一个问题:
我喜欢使用公用表表达式来简化:
;WITH times as (
SELECT MIN(BarTimeStamp) AS StartTimeStamp,
MAX(BarTimeStamp) AS EndTimeStamp
FROM #TimeBar
WHERE Instrument = 'TEST'
GROUP BY DATEPART(YEAR, BarTimeStamp), DATEPART(MONTH, BarTimeStamp), DATEPART(DAY, BarTimeStamp), DATEPART(HOUR, BarTimeStamp)
)
SELECT
StartTimeStamp as TimeStamp
,MIN([first].[Open]) as [Open]
,MAX(ranged.High) as High
,MAX(ranged.Low) as Low
,MIN([last].[Close]) as [Close]
,SUM(ranged.Volume) as Volume
FROM times
INNER JOIN #TimeBar ranged ON times.StartTimeStamp <= ranged.BarTimeStamp AND times.EndTimeStamp >= ranged.BarTimeStamp
INNER JOIN #TimeBar [first] ON times.StartTimeStamp = [first].BarTimeStamp
INNER JOIN #TimeBar [last] ON times.EndTimeStamp = [last].BarTimeStamp
GROUP BY [times].StartTimeStamp
这是我的测试数据:
CREATE TABLE #TimeBar (
Instrument varchar(20),
BarTimeStamp datetimeoffset(7),
[Open] decimal(18, 5),
High decimal(18, 5),
Low decimal(18, 5),
[Close] decimal(18, 5),
Volume int
)
insert into #TimeBar values ('TEST', '2011-11-21 1:00', 5, 6, 4, 8, 100)
insert into #TimeBar values ('TEST', '2011-11-21 1:10', 1, 7, 3, 4, 100)
insert into #TimeBar values ('TEST', '2011-11-21 2:10', 15, 16, 17, 18, 100)
insert into #TimeBar values ('TEST', '2011-11-21 2:30', 12, 16, 17, 19, 100)
insert into #TimeBar values ('TEST', '2011-11-21 2:50', 13, 14, 15, 20, 100)
结果是:
TimeStamp Open High Low Close Volume
---------------------------------- --------------------------------------- --------------------------------------- --------------------------------------- --------------------------------------- -----------
2011-11-21 01:00:00.0000000 +00:00 5.00000 7.00000 4.00000 4.00000 200
2011-11-21 02:10:00.0000000 +00:00 15.00000 16.00000 17.00000 20.00000 300
注意,我为此使用了临时表,只需将#TimeBar更改为TimeBar即可为真实表更改它。
除此之外,我不希望将Instrurment varchar
视为字段定义。您应该使用surrogate key。