clickhouse 下采样到 OHLC 时间条间隔

Question

对于包含日期、价格时间序列的表，例如每毫秒价格，如何将其下采样为具有时间间隔（例如分钟）的开高低收盘（ohlc）行组？

Answer 1

虽然带数组的选项可以工作，但这里最简单的选项是使用 group by timeintervals 与min, max, argMin,argMax聚合函数的组合。

SELECT 
  id,
  minute,
  max(value) AS high,
  min(value) AS low,
  avg(value) AS avg,
  argMin(value, timestamp) AS first,
  argMax(value, timestamp) AS last
FROM security
GROUP BY id, toStartOfMinute(timestamp) AS minute
ORDER BY minute