PostgreSQL - 如何创建具有条件的窗口框架？

Question

假设我有下表:

CREATE TABLE stock_prices (
  stock TEXT NOT NULL,
  date  DATE NOT NULL,
  price REAL NOT NULL,
  UNIQUE (stock, date)
);

我想计算每一天,前3个月窗口中每只股票的最高价格.

我不能做一个简单的自我加入,date - INTERVAL(3 'MONTH')因为我的stock_price桌子有假期和周末的一些"漏洞".同样,一个天真的窗口也不起作用:

SELECT
  stock,
  date,  
  LAST_VALUE(price) OVER (PARTITION BY stock ORDER BY date ROWS 90 PRECEDING)
FROM stock_prices

我几乎想要一个窗框,这里有一个基于当前行的条件.这可能在PostgreSQL中吗？

Answer 1

您可以使用该函数填充缺少行的表generate_series (),因此窗口函数将返回正确的数据.您可以选择指定开始日期和结束日期的报告周期generate_series ():

select
    stock, 
    date,
    price,
    max(price) over (partition by stock order by date rows 90 preceding)
from (
    select d::date as date, s.stock, sp.price
    from generate_series('2016-01-01'::date, '2016-07-28', '1d') g(d)
    cross join (
        select distinct stock
        from stock_prices
    ) s
    left join stock_prices sp on g.d = sp.date and s.stock = sp.stock
) s
order by 1, 2;

这个替代解决方案带有一个简单的子查询:

select 
    stock, 
    date,
    price,
    (
        select max(price)
        from stock_prices sp2
        where sp2.stock = sp1.stock
        and sp2.date >= sp1.date- interval '90days' 
        and sp2.date <= sp1.date
    ) highest_price
from 
    stock_prices sp1
order by 1, 2;

会贵得多.在这种情况下,您应该强制使用索引

create index on stock_prices (stock, date);