Try doing a VWAP in a group by 5000 stock symbol over a LAG of last 30000 - basically a sample every 10 millis for 5 minutes. This is the simple case where you can actually use LAG of a fixed amount.

(When the query returns tomorrow morning you realize that LAG was actually useless because your observation arrivals weren't periodic and you need to deal with / bucket for that to actually get usable results).

We used to run a lot of LEAD/LAG queries on a very, very large Oracle install could never get the performance we wanted out of it. Basically turned it into a very expensive file server that spat out HDF that we then processed by a mix of shell and python. Should not have been faster than the overpriced heater in the corner we called a database but was.

Just to clarify, when you say LEAD/LAG here, do you actually mean ROWS/RANGE? So, approximately:

    sum(price * quantity) over w / sum(quantity) over w as VWAP
    ⋮
    window w as (partition by stock order by time range 30000 preceding)

Totally willing to believe first-hand experience, but surprised and disappointed if it's impossible to make that fast. (Apologies if I'm totally misunderstanding the use case).

Is there really that much of a difference between LEAD/LAG and OVER+RANGE when using an aggregation function? I'm sure there is, but it has been a few years since I had to deal with some of this.

There are probably also difference between OVER when used in TSQL and PLSQL.

Last time I had to do this was actually with real-time advertising bidding, and it was across keywords, not ticker symbols (many more, much sparser). We had a 20 millisecond budget, and had to break the queries up to at least get partial results to push out bid even if we didn't have all the results back in from the database that we wanted.

We used OVER+RANGE for average price, but needed LAG for first derivative (is the price trending up or down). We had to start doing roll ups of the data hourly and be constantly trimming to keep the real-time performance high enough, but that meant we needed to have have a separate off-line analytical system. Common to do, but still I think it can be done without it if you use the correct tech stack.

What you're doing certainly doesn't sound like an easy job for window functions, although it might be possible with RANGE + interval - at least in Oracle 12c.

How about Oracle 12c's MATCH_RECOGNIZE, though?

http://www.oracle.com/ocom/groups/public/@otn/documents/webc...

Thanks. That was very interesting. Overall, a total band-aid of course, but still better than nothing. I can completely see doing ad hoc queries with that (and I can't wait to try it out) but I fear the performance hit of trying to build a system around it :)

It didn't give any examples of queries going both directions, e.g. the down-up V first example. You probably often also want the up-down ^ shapes too. It would be nice if the PATTERN had alternation too "STRT (DOWN+ UP+)|(UP+ DOWN+)" so you didn't need to double your queries. Or else you're probably better off creating a temp on CUR-LAG(1) to give you the sign and then pattern match the sign (if that makes sense).

Oracle really does go out of their way to keep SQL modern though. I remember the first time I saw a "CONNECT BY". lol. I had an interview a few months later and was asked to write an SQL query to basically traverse a tree (the gist of it). I being a young smart ass gave the correct answer (you can't) and proceeded to write the START / CONNECT just to show off a little.

Yes, it's a band-aid. But perhaps it will feel less so, if you're looking at the original invention by Esper Tech (I have no experience with it, just know that I've seen MATCH_RECOGNIZE there first): http://www.espertech.com/esper/release-5.1.0/esper-reference...

Hah, yeah CONNECT BY is great for simple recursion, but for more complex (probably less performing) cases, I prefer the standard approach with CTEs...