Question

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＆amp;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)

Answer 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

Answer 2

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：

进行连接以获取范围，
进行联接以开始
进行加入以获得最小值
按原始范围分组以选择所有内容

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。

SQL Server获得第一＆amp;构成聚合的最后一行

2 个答案: