開放，關閉，高，低的查詢改進

Question

我試圖找到貨幣對的開放，關閉，高，低價格。我得到了它的工作，但想知道是否有一個更簡單的方法來做到這一點。

我的源表看起來像這樣：

CREATE TABLE [dbo].[RATES](
    [SYSID] [bigint] IDENTITY(1,1) NOT NULL, 
    [Item] [nvarchar](255) NULL, 
    [Bid] [float] NULL, 
    [Ask] [float] NULL, 
    [Spread] [float] NULL, 
    [DT] [datetime] NULL 
) ON [PRIMARY] 

下面是一些樣本數據

INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04805,1.04828,0.000230000000000175,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04808,1.04832,0.000240000000000018,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04808,1.04831,0.000230000000000175,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04808,1.04832,0.000240000000000018,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04808,1.04833,0.000250000000000083,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04808,1.04832,0.000240000000000018,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04802,1.04827,0.000250000000000083,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04806,1.04831,0.000250000000000083,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04808,1.04833,0.000250000000000083,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04801,1.04827,0.000259999999999927,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04806,1.04831,0.000250000000000083,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04806,1.04832,0.000259999999999927,'8/29/2013 5:02') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04808,1.04832,0.000240000000000018,'8/29/2013 5:03') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04808,1.04833,0.000250000000000083,'8/29/2013 5:03') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04808,1.04829,0.000210000000000043,'8/29/2013 5:03') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04808,1.04833,0.000250000000000083,'8/29/2013 5:03') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04809,1.04833,0.000240000000000018,'8/29/2013 5:03') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04809,1.0483,0.000210000000000043,'8/29/2013 5:03') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04809,1.04833,0.000240000000000018,'8/29/2013 5:03') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04809,1.04832,0.000229999999999952,'8/29/2013 5:03') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04809,1.04833,0.000240000000000018,'8/29/2013 5:03') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04807,1.04833,0.000259999999999927,'8/29/2013 5:04') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04809,1.04828,0.000190000000000135,'8/29/2013 5:04') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04809,1.04833,0.000240000000000018,'8/29/2013 5:04') 
INSERT INTO dbo.RATES (ITEM,BID,ASK,SPREAD,DT) VALUE ('USD/CAD',1.04809,1.04829,0.000199999999999978,'8/29/2013 5:04') 

我的查詢看起來像這樣

DECLARE @OPENCLOSE AS TABLE (
    GRP INT, 
    TF DATETIME, 
    DT DATETIME, 
    ASK FLOAT 
) 

DECLARE @CLOSE_ID AS TABLE (
    TF DATETIME, 
    GRP INT 
) 

INSERT INTO @OPENCLOSE (GRP,TF,DT,ASK) 
select 
    ROW_NUMBER() OVER (PARTITION BY dateadd(mi, datediff(mi, 0, r.DT), 0) ORDER BY r.DT) AS GRP, 
    dateadd(mi, datediff(mi, 0, r.DT), 0) AS TF, 
    r.DT, 
    r.Ask 
from dbo.RATES r 
group by dateadd(mi, datediff(mi, 0, r.DT), 0), r.DT,r.Ask 
ORDER BY dateadd(mi, datediff(mi, 0, r.DT), 0) 

INSERT INTO @CLOSE_ID 
SELECT 
    TF, 
    MAX(GRP) AS CLOSE_ID 
FROM @OPENCLOSE 
group by TF 

SELECT X.TF,X.O,X.C,Y.HIGH,Y.LOW 
FROM (
    SELECT 
     oc1.TF, 
     oc2.ASK AS [O], 
     oc1.ASK AS [C] 
    FROM @OPENCLOSE oc1 
    JOIN @OPENCLOSE oc2 
     ON oc2.TF = oc1.TF 
AND oc2.GRP = 1 
JOIN @CLOSE_ID cid 
    ON cid.TF = oc1.TF 
AND cid.GRP = oc1.GRP 
GROUP BY oc1.TF,Oc2.ASK,oc1.ASK 
) x 
JOIN 
(
    SELECT 
     oc1.TF, 
     MAX(oc1.ASK) AS HIGH, 
     MIN(oc1.ASK) AS LOW 
    FROM @OPENCLOSE oc1 
    GROUP BY oc1.TF 
) y ON y.TF = x.TF 

Answer 1

這個怎麼樣？

;with z as (select 
    ROW_NUMBER() OVER (PARTITION BY dateadd(mi, datediff(mi, 0, r.DT), 0) ORDER BY r.DT) AS GRP, 
    dateadd(mi, datediff(mi, 0, r.DT), 0) AS TF, 
    r.DT, 
    r.Ask 
from dbo.RATES r 
) 
select 
    z.TF, 
    O=MAX(case when z.grp=1 then ask else 0 end), 
    C=MAX(case when z.grp=x.mx then ask else 0 end), 
    HIGH=MAX(ask), 
    LOW=MIN(ask) 
from z 
inner join (select tf,mx=max(grp) from z group by tf) x on x.tf = z.tf 
group by 
    z.TF 

Answer 2

可能是這個查詢會給你你在找什麼：

SELECT r.dt as TF, 
     r_o.ask AS O, 
     r_c.ask AS C, 
     max(r.ask) AS HIGH, min(r.ask) AS LOW 
FROM rates r 
INNER JOIN (SELECT item, dt, 
        min(SYSID) AS MINSYSID, max(SYSID) AS MAXSYSID 
       FROM rates 
      GROUP BY item, dt) r_id 
     ON r_id.item = r.item AND 
      r.dt = r_id.dt 
INNER JOIN rates r_o ON r_o.SYSID = r_id.MINSYSID 
INNER JOIN rates r_c ON r_c.SYSID = r_id.MAXSYSID 
GROUP BY r.dt, 
     r_o.ask,r_c.ask; 

見SQLFIDDLE

對有問及出價，看看下面這些查詢：

一天：

SELECT r.item, convert(varchar(10),r.dt, 101), 
     max(r.bid) AS bid_high, min(r.bid) AS bid_low, 
     max(r.ask) AS ask_high, min(r.ask) AS ask_low, 
     r_o.bid AS bid_open,r_o.ask AS ask_open, 
     r_c.bid AS bid_close,r_c.ask AS ask_close 
FROM rates r 
INNER JOIN (SELECT item, convert(varchar(10),dt, 101) AS dt, 
        min(SYSID) AS MINSYSID, max(SYSID) AS MAXSYSID 
      FROM rates 
      GROUP BY item, convert(varchar(10),dt, 101)) r_id 
     ON r_id.item = r.item AND 
      convert(varchar(10),r.dt, 101) = r_id.dt 
INNER JOIN rates r_o ON r_o.SYSID = r_id.MINSYSID 
INNER JOIN rates r_c ON r_c.SYSID = r_id.MAXSYSID 
GROUP BY r.item, convert(varchar(10),r.dt, 101), 
     r_o.bid,r_o.ask,r_c.bid,r_c.ask 

見SQLFIDDLE

併爲每分鐘，它看起來像這樣：

SELECT r.item, r.dt, 
     max(r.bid) AS bid_high, min(r.bid) AS bid_low, 
     max(r.ask) AS ask_high, min(r.ask) AS ask_low, 
     r_o.bid AS bid_open,r_o.ask AS ask_open, 
     r_c.bid AS bid_close,r_c.ask AS ask_close 
FROM rates r 
INNER JOIN (SELECT item, dt, 
        min(SYSID) AS MINSYSID, max(SYSID) AS MAXSYSID 
      FROM rates 
      GROUP BY item, dt) r_id 
     ON r_id.item = r.item AND 
      r.dt = r_id.dt 
INNER JOIN rates r_o ON r_o.SYSID = r_id.MINSYSID 
INNER JOIN rates r_c ON r_c.SYSID = r_id.MAXSYSID 
GROUP BY r.item, r.dt, 
     r_o.bid,r_o.ask,r_c.bid,r_c.ask 

見SQLFIDDLE

Answer 3

你可以試試這個解決方案：

SELECT d.Item, d.DT_HHMM, 

     FirstAsk= MAX(d.FirstAsk), 
     FirstBid= MAX(d.FirstBid), 
     LastAsk = MAX(d.LastAsk), 
     LastBid = MAX(d.LastBid), 

     MaxAsk = MAX(d.MaxAsk), 
     MaxBid = MAX(d.MaxBid), 
     MinAsk = MAX(d.MinAsk), 
     MinBid = MAX(d.MinBid) 
FROM 
(
SELECT c.Item, 
     c.DT_HHMM, 
     CASE WHEN c.RowNumASC = 1 THEN c.Ask END AS FirstAsk, 
     CASE WHEN c.RowNumASC = 1 THEN c.Bid END AS FirstBid, 
     CASE WHEN c.RowNumDESC = 1 THEN c.Ask END AS LastAsk, 
     CASE WHEN c.RowNumDESC = 1 THEN c.Bid END AS LastBid,  
     c.MinBid, c.MinAsk, 
     c.MaxBid, c.MaxAsk 
FROM 
(
    SELECT *, 
      RowNumASC = ROW_NUMBER() OVER(PARTITION BY b.Item, b.DT_HHMM ORDER BY b.DT ASC), 
      RowNumDESC = ROW_NUMBER() OVER(PARTITION BY b.Item, b.DT_HHMM ORDER BY b.DT DESC), 
      MinBid  = MIN(Bid) OVER(PARTITION BY b.Item, b.DT_HHMM), 
      MinAsk  = MIN(Ask) OVER(PARTITION BY b.Item, b.DT_HHMM), 
      MaxBid  = MAX(Bid) OVER(PARTITION BY b.Item, b.DT_HHMM), 
      MaxAsk  = MAX(Ask) OVER(PARTITION BY b.Item, b.DT_HHMM) 
    FROM 
    (
     SELECT *,DATEADD(MINUTE, DATEDIFF(MINUTE, 0, a.DT), 0) AS DT_HHMM 
     FROM dbo.RATES a 
    ) b 
) c 
WHERE c.RowNumASC = 1 OR c.RowNumDESC = 1 
) d 
GROUP BY d.Item, d.DT_HHMM