使用T-SQL将OHLC-Stockmarket数据归入多个时间范围 [英] Group OHLC-Stockmarket Data into multiple timeframes with T-SQL

问题描述

我正在使用SQL Server 2008 R2，并且需要创建按时间间隔分组的新表。

这些数据是来自股市指数的数据。我有1分钟的时间间隔的数据，现在我需要5,10,15,30,45,60分钟的时间间隔。我的主要关键是时间戳。

我的问题是：如何查询1分钟数据表以返回按特定时间间隔分组的数据，例如5分钟间隔。

查询必须返回该特定组中的最高，最低，最后和第一个值，最重要的还是组中时间戳的最后一个条目。

我对SQL语言非常陌生，并且尝试过在网络上发现大量代码，但是我无法完全返回想要的结果。 b
$ b

数据：

  TimeStamp |打开|高|低|关闭
 2012-02-17 15：15：0 | 102 | 110 | 100 | 105 
 2012-02-17 15：16：0 | 106 | 112 | 105 | 107 
 2012-02-17 15：17：0 | 2012-02-17 15：18：0 | 105 | 109 | 104 | 106 
 2012-02-17 15：19：0 | 107 | 112 | 107 | 112 
 2012-02-17 15：20：0 | 115 | 125 | 115 | 124 
  

<

 时间戳|打开|高|低|关闭
 2012-02-15：19：0 | 102 | 125 | 98 | 124 
 2012-02-15：24：0 | 115. | .... | ... | ... 
 2012-02-15：29：0 | .... | .... | ... | ... 
  

解决方案

c $ c>，你会得到很多天。如果你乘以 24 * 12 ，你会得到5分钟的间隔数。所以如果你分组：

  cast（cast（timestamp as float）* 24 * 12 as int）
  

您可以每五分钟完成一次汇总：

 选择min（timestamp）
，max（high）作为最高
，min（低）作为最低
从@t 
组
 cast（cast（timestamp as float）* 24 * 12 as int）
  

寻找第一个和最后一个行在SQL Server中很棘手。以下是使用 row_number 的一种方法：
$ b

  select min（timestamp）
，max（high）作为最高
，min（低）作为最低
，min（当rn_asc = 1，然后[open]结束时）作为第一个
，min（当rn_desc （
）通过cast（cast（timestamp as float）* 24 * 12 as int）
选择row_number（）（
分区）
按时间戳顺序排序）作为rn_asc 
，row_number（）over（
分区通过cast（cast（timestamp as float）* 24 * 12 as int）
 order by timestamp desc）as rn_desc 
，* 
 from @t 
）as SubQueryAlias 
 group by 
 cast（cast（timestamp as float）* 24 * 12 as int）
  code> 

以下是 SE Data的工作示例。

I'm using SQL Server 2008 R2 and need to create new tables grouped in Time intervals.

The data is data from a stock market index. I have the data in 1 minute intervals, now i need them in 5,10,15,30,45,60...minute intervals. My primary key is the time stamp.

My question is: how to query the 1 minute data table to return data that is grouped by a specific time interval for example 5 minute intervals.

The query must return the Highest, Lowest, Last and First values in that particular group and most importantly also the last entry of the time-stamp in the group.

I'm very new to the SQL language and have tried numerous code found on the net, but i cant get to exactly return the desired results.

Data:

TimeStamp          | Open | High | Low | Close
2012-02-17 15:15:0 | 102  | 110  |100  |105
2012-02-17 15:16:0 |106   |112   |105  |107
2012-02-17 15:17:0 | 106  |110   |98   |105
2012-02-17 15:18:0 |105   |109   |104  |106
2012-02-17 15:19:0 |107   |112   |107  |112
2012-02-17 15:20:0 |115   |125   |115  |124

Desired Query Result (5 minutes):

Timestamp       |Open|High|Low|Close
2012-02-15:19:0 |102 |125 |98 |124
2012-02-15:24:0 |115.|....|...|...
2012-02-15:29:0 |....|....|...|...

解决方案

When you convert a datetime to a float, you get a number of days. If you multiply that by 24 * 12, you get a number of 5 minute intervals. So if you group on:

cast(cast(timestamp as float) * 24 * 12 as int)

you can do aggregates per five minutes:

select  min(timestamp)
,       max(high) as Highest
,       min(low) as Lowest
from    @t
group by
        cast(cast(timestamp as float) * 24 * 12 as int)

Finding the first and the last row is tricky in SQL Server. Here's one way using row_number:

select  min(timestamp)
,       max(high) as Highest
,       min(low) as Lowest
,       min(case when rn_asc = 1 then [open] end) as first
,       min(case when rn_desc = 1 then [close] end) as Last
from    (
        select  row_number() over (
                    partition by cast(cast(timestamp as float) * 24 * 12 as int)
                    order by timestamp) as rn_asc
        ,       row_number() over (
                    partition by cast(cast(timestamp as float) * 24 * 12 as int)
                    order by timestamp desc) as rn_desc
        ,       *
        from    @t
        ) as SubQueryAlias
group by
        cast(cast(timestamp as float) * 24 * 12 as int)

Here's a working example at SE Data.

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