计算 Vertica 中所有股票的移动平均线答案

【问题标题】：Calculating the moving average in Vertica for all stocks计算 Vertica 中所有股票的移动平均线
【发布时间】：2021-12-30 07:47:35
【问题描述】：

例如，我有一个股票表：

CREATE TABLE Ticks 
(
    ts TIMESTAMP, 
    Stock varchar(10), 
    Bid float
);

INSERT INTO Ticks VALUES('2011-07-12 10:23:54', 'abc', 10.12);
INSERT INTO Ticks VALUES('2011-07-12 10:23:58', 'abc', 10.34);
INSERT INTO Ticks VALUES('2011-07-12 10:23:59', 'abc', 10.75); 
INSERT INTO Ticks VALUES('2011-07-12 10:25:15', 'abc', 11.98); 
INSERT INTO Ticks VALUES('2011-07-12 10:25:16', 'abc'); 
INSERT INTO Ticks VALUES('2011-07-12 10:25:22', 'xyz', 45.16); 
INSERT INTO Ticks VALUES('2011-07-12 10:25:27', 'xyz', 49.33); 
INSERT INTO Ticks VALUES('2011-07-12 10:31:12', 'xyz', 65.25); 
INSERT INTO Ticks VALUES('2011-07-12 10:31:15', 'xyz'); 

COMMIT;

我想在 Vertica 中通过一次查询计算所有股票的移动平均线。

这是只针对一只股票的方法（根据 Vertica 网站）：

SELECT 
    ts, bid, 
    AVG(bid) OVER (ORDER BY ts
                   RANGE BETWEEN INTERVAL '40 seconds' PRECEDING AND CURRENT ROW)
FROM 
    ticks 
WHERE 
    stock = 'abc' 
GROUP BY 
    bid, ts 
ORDER BY 
    ts;

输出：

         ts          |  bid  |     ?column?
---------------------+-------+------------------
 2011-07-12 10:23:54 | 10.12 |            10.12
 2011-07-12 10:23:58 | 10.34 |            10.23
 2011-07-12 10:23:59 | 10.75 | 10.4033333333333
 2011-07-12 10:25:15 | 11.98 |            11.98
 2011-07-12 10:25:16 |       |            11.98
(5 rows)


DROP TABLE Ticks CASCADE;

如果我尝试选择所有股票：

SELECT 
    stock, ts, bid, 
    AVG(bid) OVER (ORDER BY ts
                   RANGE BETWEEN INTERVAL '40 seconds' PRECEDING AND CURRENT ROW)
FROM 
    ticks 
GROUP BY 
    stock, bid, ts 
ORDER BY 
    stock, ts;

我得到一个错误的结果。

我该如何解决这个问题？

【问题讨论】：

标签： sql vertica moving-average

【解决方案1】：

在您对AVG() 的调用中添加PARTITION BY 子句：

SELECT ts, bid,
       AVG(bid) OVER (PARTITION BY stock ORDER BY ts
                      RANGE BETWEEN INTERVAL '40 seconds' PRECEDING AND
                      CURRENT ROW)
FROM ticks
ORDER BY ts;

【讨论】：