Window Functions in SQL (2013)

Re:Window Functions in SQL (2013) by thom on Thursday October 06, 2016 @04:35AM (#12650994)

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).

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Re:Window Functions in SQL (2013) by jnordwick on Thursday October 06, 2016 @11:23AM (#12653243)

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.

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Re:Window Functions in SQL (2013) by lukaseder on Thursday October 06, 2016 @04:13PM (#12655695)

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...

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Re:Window Functions in SQL (2013) by jnordwick on Thursday October 06, 2016 @09:06PM (#12657414)

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.

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Re:Window Functions in SQL (2013) by lukaseder on Friday October 07, 2016 @04:55AM (#12659121)

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...

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