我需要查询 SQl server 2005 (SQL server management studio express)。我将数据存储为 1 分钟时间范围（每行 1 分钟），每个表的列是 ID、符号、日期时间、开盘价、高点、低点、收盘价、成交量。我需要转换（压缩）到每一个可能的多个时间框架，所以让我们说 10 分钟、13、15 等等。如果有人可以提供帮助，请提供完整的详细信息。谢谢阿尔贝托
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5 回答
3
Alberto, it looks like you need a "Group By" clause in SQL statements (as Leppie stated). So, you should better look for it.
First you should filter the rows that is subject for aggregation by using begin and end date/time and then group them by the mentioned clause.
Here is the first link when i search "sql group by" keywords via Google.
于 2010-10-18T12:47:30.860 回答
1
不简单的“分组依据” - 需要为组中的第一行和相应的最后一行获取打开和关闭值。或者至少对于外汇数据来说是这样:)
于 2010-10-18T13:02:38.763 回答
1
;WITH cte AS
(SELECT *,
(32 * CAST([DATETIME] AS INT)) + DATEPART(HOUR,[DATETIME]) + (DATEPART(MINUTE,[DATETIME])/15)/4.0 AS Seg
FROM prices
)
,cte1 AS
(
SELECT *,
ROW_NUMBER() OVER (PARTITION BY Symbol,Seg ORDER BY [DATETIME]) AS RN_ASC ,
ROW_NUMBER() OVER (PARTITION BY Symbol,Seg ORDER BY [DATETIME] DESC) AS RN_DESC
FROM cte
)
SELECT
Symbol,
Seg,
MAX(CASE WHEN RN_ASC=1 THEN [DATETIME] END) AS OpenDateTime,
MAX(CASE WHEN RN_ASC=1 THEN [OPEN] END) AS [OPEN],
MAX(High) High,
MIN(Low) Low,
SUM(Volume) Volume,
MAX(CASE WHEN RN_DESC=1 THEN [CLOSE] END) AS [CLOSE],
MAX(CASE WHEN RN_DESC=1 THEN [DATETIME] END) AS CloseDateTime
FROM cte1
GROUP BY Symbol,Seg
ORDER BY OpenDateTime
或者另一种可能值得测试的方法，看看它是否更快。
DECLARE @D1 DATETIME
DECLARE @D2 DATETIME
DECLARE @Interval FLOAT
SET @D1 = '2010-10-18 09:00:00.000'
SET @D2 = '2010-10-19 18:00:00.000'
SET @Interval = 15
;WITH
L0 AS (SELECT 1 AS c UNION ALL SELECT 1),
L1 AS (SELECT 1 AS c FROM L0 A CROSS JOIN L0 B),
L2 AS (SELECT 1 AS c FROM L1 A CROSS JOIN L1 B),
L3 AS (SELECT 1 AS c FROM L2 A CROSS JOIN L2 B),
L4 AS (SELECT 1 AS c FROM L3 A CROSS JOIN L3 B),
Nums AS (SELECT ROW_NUMBER() OVER (ORDER BY (SELECT 0)) AS i FROM L4),
Ranges AS(
SELECT
DATEADD(MINUTE,@Interval*(i-1),@D1) AS StartRange,
DATEADD(MINUTE,@Interval*i,@D1) AS NextRange
FROM Nums where i <= 1+CEILING(DATEDIFF(MINUTE,@D1,@D2)/@Interval))
,cte AS (
SELECT
*
,ROW_NUMBER() OVER (PARTITION BY Symbol,r.StartRange ORDER BY [DateTime]) AS RN_ASC
,ROW_NUMBER() OVER (PARTITION BY Symbol,r.StartRange ORDER BY [DateTime] DESC) AS RN_DESC
FROM Ranges r
JOIN prices p ON p.[DateTime] >= r.StartRange and p.[DateTime] < r.NextRange )
SELECT
Symbol,
MAX(CASE WHEN RN_ASC=1 THEN [DateTime] END) AS OpenDateTime,
MAX(CASE WHEN RN_ASC=1 THEN [Open] END) AS [Open],
MAX(High) High,
MIN(Low) Low,
SUM(Volume) Volume,
MAX(CASE WHEN RN_DESC=1 THEN [Close] END) AS [Close],
MAX(CASE WHEN RN_DESC=1 THEN [DateTime] END) AS CloseDateTime
FROM cte
GROUP BY Symbol,StartRange
ORDER BY OpenDateTime
于 2010-10-18T13:37:09.650 回答
0
使用存储过程首先提取 MIN(datetime) 会更漂亮，但这里有一个草图：
WITH quarters(q) AS (
SELECT DISTINCT
15*CAST(DATEDIFF("n",'2000/01/01',dataora) / 15 as Int) AS primo
FROM
Prezzi
)
SELECT
simbolo, DATEADD("n",q,'2000/01/01') AS tick,
MIN(minimo) AS minimo, MAX(massimo) AS massimo,
(SELECT
TOP 1 apertura FROM Prezzi P
WHERE
P.simbolo = simbolo AND
P.dataora >= DATEADD("n",q,'2000/01/01')
ORDER BY
P.dataora ASC
) as primaapertura,
(SELECT
TOP 1 chiusura FROM Prezzi P
WHERE
P.simbolo = simbolo AND
P.dataora < DATEADD("s",14*60+59,DATEADD("n",q,'2000/01/01'))
ORDER BY
P.dataora DESC
) as ultimachiusara,
SUM(volume) / COUNT(*) AS volumemedio
FROM
quarters INNER JOIN Prezzi
ON dataora BETWEEN DATEADD("n",q,'2000/01/01')
AND DATEADD("s",14*60+59,DATEADD("n",q,'2000/01/01'))
GROUP BY
simbolo, DATEADD("n",q,'2000/01/01')
ORDER BY
1, 2
WITH 子句在您的数据集中获取一个包含 15 分钟间隔的列表（四舍五入）（假设在 2000 年之前没有任何内容）。然后使用这些间隔按 14:59 间隔分组。对于音量，您必须决定是要平均值还是总数。
语法可能有点过时，但你应该明白。
编辑：调整 MIN(open)、MIN(close) 以获取 FIRST 和 LAST。实际上，这不会有太大变化，因为开盘和收盘的概念取决于了解报价来源的交易所与收集数据的计算机时钟之间的时差。
此外，除非 OP 有权获得所有交易所的实时反馈，否则所有报价都会延迟 20 分钟。
编辑（2）：非常正确，FIRST 和 LAST 是我 IBM 时代的遗留物>;-)
解决方案现在使用带有 ASC/DESC 的 TOP 在间隔期间选择第一个和最后一个引号。
于 2010-10-18T15:18:28.060 回答
0
Declare @tbl1MinENI Table
(ID int identity,
Simbolo char(3),
DataOra datetime,
Apertura numeric(15,4),
Massimo numeric(15,4),
Minimo numeric(15,4),
Chiusura numeric(15,4),
Volume int)
Insert Into @tbl1MinENI ( Simbolo, DataOra, Apertura, Massimo, Minimo, Chiusura, Volume)
Values
('ENI', '2010/10/18 09:00:00', 16.1100, 16.1800, 16.1100, 16.1400, 244015),
('ENI', '2010/10/18 09:01:00', 16.1400, 16.1400, 16.1300, 16.1400, 15692 ),
('ENI', '2010/10/18 09:02:00', 16.1400, 16.1500, 16.1400, 16.1500, 147035),
('ENI', '2010/10/18 09:03:00', 16.1500, 16.1600, 16.1500, 16.1600, 5181 ),
('ENI', '2010/10/18 09:04:00', 16.1600, 16.2000, 16.1600, 16.1900, 5134 ),
('ENI', '2010/10/18 09:05:00', 16.1900, 16.1900, 16.1800, 16.1800, 15040 ),
('ENI', '2010/10/18 09:06:00', 16.1900, 16.1900, 16.1600, 16.1600, 68867 ),
('ENI', '2010/10/18 09:07:00', 16.1600, 16.1600, 16.1600, 16.1600, 7606 ),
('ENI', '2010/10/18 09:08:00', 16.1500, 16.1500, 16.1500, 16.1500, 725 ),
('ENI', '2010/10/18 09:09:00', 16.1600, 16.1600, 16.1600, 16.1600, 81 ),
('ENI', '2010/10/18 09:10:00', 16.1700, 16.1800, 16.1700, 16.1700, 68594 ),
('ENI', '2010/10/18 09:11:00', 16.1800, 16.1800, 16.1800, 16.1800, 6619 )
Declare @nRowsPerGroup int = 3
;With Prepare as
(
Select datediff(minute, '2010/10/18 09:00:00', DataOra)/@nRowsPerGroup as Grp,
Row_Number() over (partition by datediff(minute, '2010/10/18 09:00:00', DataOra)/@nRowsPerGroup order by dataora) as rn,
*
From tbl1MinENI
), b as
(
Select a.Grp,
Min(a.DataOra) as GroupDataOra,
Min(ID) AperturaID,
max(a.Massimo) as Massimo,
Min(a.Minimo) as Minimo,
max(id) ChiusuraID,
sum(a.Volume) as Volume
From Prepare a
Group by Grp
)
Select b.grp,
b.GroupDataOra,
ta.Apertura,
b.Massimo,
b.Minimo,
tc.Chiusura,
b.Volume
From b
Inner Join tbl1MinENI ta on ta.ID=b.AperturaID
Inner Join tbl1MinENI tc on tc.ID=b.ChiusuraID
;
于 2010-10-19T12:27:44.203 回答