我有一个表,其中填充了在当天(基本上)随机点插入的带时间戳的行。
我需要生成每分钟 1 行的运行总计(因此一天中总会有 24 * 60 行),例如
Date Quantity Running Total
2009-10-29 06:30 1 1
2009-10-29 06:31 5 6
2009-10-29 06:32 10 16
2009-10-29 06:33 11 27
2009-10-29 06:34 22 49
... ...
关于执行此操作的最佳方法有什么想法吗? 一个 SQL 查询是理想的,但不是必需的,性能相当重要(在包含 500k 行的表上不到 5 秒,其中 70k 对此查询感兴趣)
我的最终解决方案(或多或少)。
实际场景是这样的。我有两个表,其中一个包含与 Fills 表具有 1:n 关系的 Orders。
我需要显示交易日每分钟的运行平均价格和累计总额
DECLARE @StartDate AS DATETIME, @EndDate AS DATETIME
SET @StartDate = '2009-10-28';
SET @EndDate = '2009-10-29';
-- Generate a Temp Table containing all the dates I'm interested in
WITH DateIntervalsCTE AS
(
SELECT 0 i, @StartDate AS Date
UNION ALL
SELECT i + 1, DATEADD(minute, i, @StartDate )
FROM DateIntervalsCTE
WHERE DATEADD(minute, i, @StartDate ) < @EndDate
)
SELECT DISTINCT Date
INTO #Dates
FROM DateIntervalsCTE
OPTION (MAXRECURSION 32767);
SELECT
d.Date
, mo3.symbol
, ISNULL(SUM(mf.Quantity),0) AS CumulativeTotal
, ROUND(ISNULL(SUM(mf.Quantity * mf.Price)/SUM(mf.Quantity),0),4) AS AveragePrice
FROM
#Dates AS d
CROSS JOIN (
SELECT DISTINCT mo2.Symbol, mo2.OrderID
FROM
Orders AS mo2
INNER JOIN Fills AS mf2 ON mo2.OrderID = mf2.OrderID
WHERE CONVERT(DATETIME,CONVERT(CHAR(10),mf2.FillDate,101)) = @StartDate
) AS mo3
LEFT JOIN Fills AS mf ON mo3.OrderID = mf.OrderID AND CONVERT(DATETIME,CONVERT(CHAR(16),mf.FillDate,120)) < = d.Date
WHERE
d.Date >= DATEADD(mi,390, @StartDate) -- 06:30
AND d.Date <= DATEADD(mi,780, @StartDate) -- 13:00
GROUP BY d.Date, mo3.symbol
ORDER BY mo3.Symbol, d.Date
我还没有完成所有测试,但这看起来确实有效,感谢您的帮助!
最佳答案
确保日期列上有索引并且性能应该合理。
SELECT t.Date,
COUNT(*) AS Quantity,
(SELECT COUNT(*) FROM Table WHERE Date < t.Date) AS RunningTotal
FROM Table t
GROUP BY t.Date
获取每分钟填充一行的表可以非常快速地完成,如下所示:
DECLARE @StartDate smalldatetime
DECLARE @EndDate smalldatetime
SET @StartDate = '1 jan 2009' --MIN(TimeStamp) FROM Table
SET @EndDate = '2 jan 2009' --MAX(TimeStamp) FROM Table
SET @StartDate = DATEADD(minute,-DATEPART(minute,@StartDate),@StartDate)
SET @EndDate = DATEADD(minute,-DATEPART(minute,@EndDate),@EndDate)
; WITH DateIntervalsCTE AS
(
SELECT 0 i, @startdate AS Date
UNION ALL
SELECT i + 1, DATEADD(minute, i, @startdate )
FROM DateIntervalsCTE
WHERE DATEADD(minute, i, @startdate ) <= @enddate
)
SELECT DISTINCT Date FROM DateIntervalsCTE
OPTION (MAXRECURSION 32767);
由于递归限制,您只需要 < ~22 天的数据。
您现在需要的就是合并两者,使用临时表来保存数据似乎是最快的
DECLARE @StartDate smalldatetime
DECLARE @EndDate smalldatetime
DECLARE @t TABLE (Date smalldatetime,Quantity int,RunningTotal int)
SET @StartDate = '1 jan 2009' --MIN(TimeStamp) FROM Table
SET @EndDate = '2 jan 2009' --MAX(TimeStamp) FROM Table
SET @StartDate = DATEADD(minute,-DATEPART(minute,@StartDate),@StartDate)
SET @EndDate = DATEADD(minute,-DATEPART(minute,@EndDate),@EndDate)
; WITH DateIntervalsCTE AS
(
SELECT 0 i, @startdate AS Date
UNION ALL
SELECT i + 1, DATEADD(minute, i, @startdate )
FROM DateIntervalsCTE
WHERE DATEADD(minute, i, @startdate ) <= @enddate
)
INSERT INTO @t (Date)
SELECT DISTINCT Date FROM DateIntervalsCTE
OPTION (MAXRECURSION 32767);
UPDATE t SET Quantity = (SELECT COUNT(d.TimeStamp) FROM Table d WHERE Date = t.date)
from @t t
update t2 set runningtotal = (SELECT SUM(Quantity) FROM @t WHERE date <= t2.date)
from @t t2
select * from @t
关于sql-server-2005 - 从稀疏填充的数据库表中每分钟生成一行,我们在Stack Overflow上找到一个类似的问题: https://stackoverflow.com/questions/1645274/