What is the best way to code this correlated query? (Select Prices that may contain NULL following a Priority)
Lets imagine you have a portfolio to value containing 4 assets that needs to be priced. The SourceID dictates the priority that the PriceSource should be given and the lowest SourceID should be retrieved. Where no price is available from the EODPrice table, then the AverageBookCost sho开发者_开发问答uld be retrieved (which resides in a different Table). I am using SQL Server 2005.
As an example, lets imagine that EODPrice table has the following data ('TEST004' is missing):
SourceID Date Ticker Price
0 2011-08-02 00:00:00 TEST001 104.50
1 2011-08-01 00:00:00 TEST001 100.00
1 2011-08-02 00:00:00 TEST001 105.00
1 2011-08-04 00:00:00 TEST001 115.00
2 2011-08-03 00:00:00 TEST001 109.38
2 2011-08-04 00:00:00 TEST001 114.24
1 2011-08-01 00:00:00 TEST002 9.99
1 2011-08-02 00:00:00 TEST002 9.89
1 2011-08-03 00:00:00 TEST002 9.79
1 2011-08-04 00:00:00 TEST002 9.69
0 2011-08-03 00:00:00 TEST003 0.42
2 2011-08-01 00:00:00 TEST003 0.33
2 2011-08-02 00:00:00 TEST003 0.38
2 2011-08-03 00:00:00 TEST003 0.28
2 2011-08-04 00:00:00 TEST003 0.45
Lets imagine that we would like to build a Select statement where we retrieve the EODPrice for the following assets ('TEST001','TEST002', 'TEST003', 'TEST004'). Note that 'TEST004' is a new asset that has just hit the Market and no price is available yet in the EODPrice table or the Market.
Further, lets imagine that ALL Tickers for any Date has a non-NULL AverageBookCost field from a RunningTotal Table. (i.e. SELECT AverageBookCost FROM RunningTotal WHERE Ticker = 'TEST004' AND Date = '2011-08-03' would return the value 0.15 say).
How do I build the most efficient 'Correlated' or 'COALESCE / ISNULL' Query:
SELECT Ticker, SourceID, Price
???
WHERE [Date] = '2011-08-03'
AND [Ticker] IN ('TEST001','TEST002', 'TEST003' and 'TEST004')
That would return the following Table: (Note as 'TEST004' Price is the AverageBookCost and not in the EODPrice table, then the SourceID is set to NULL to indicate that the Price is from the RunningTotal table:
Ticker SourceID Price
TEST1 2 109.38
TEST2 1 9.79
TEST3 0 0.42
TEST4 NULL 0.15
Many thanks, Bertie.
I most likely overcomplicated things but this might get you started.
In a nutshell, the reasoning goes like this
- In a subselect,
SELECT
all tickers for given date with their lowest SourceID. JOIN
the results of this subselect back with the original table. This step allows the price to be retrieved for each ticker with given date and lowest SourceID.FULL OUTER JOIN
the previous result with the average book cost. This step adds to each row the average price for that ticker and adds rows for tickers that don't have a record returned from Pricetable.SELECT
from these results the Price if available, otherwise select from the appended columns the average book cost.
SQL Statement
SELECT [Ticker] = ISNULL(pt.Ticker, pt_avg.Ticker)
, [SourceID] = pt.SourceID
, [Price] = ISNULL(pt.Price, pt_avg.AverageBookCost)
FROM EODPriceTable pt
INNER JOIN (
SELECT SourceID = MIN(SourceID), Ticker, Date
FROM EODPriceTable
WHERE Date = '2011-08-03 00:00:00'
GROUP BY
Ticker, Date
) pt_min ON pt_min.SourceID = pt.SourceID
AND pt_min.Ticker = pt.Ticker
AND pt_min.Date = pt.Date
FULL OUTER JOIN (
SELECT Ticker, AverageBookCost
FROM RunningTable
) pt_avg ON pt_avg.Ticker = pt.Ticker
WHERE ISNULL(pt.Ticker, pt_avg.Ticker) IN ('TEST001', 'TEST002', 'TEST003', 'TEST004')
Test script
;WITH EODPriceTable (SourceID, Date, Ticker, Price) AS (
SELECT 0, '2011-08-02 00:00:00', 'TEST001', 104.50
UNION ALL SELECT 1, '2011-08-01 00:00:00', 'TEST001', 100.00
UNION ALL SELECT 1, '2011-08-02 00:00:00', 'TEST001', 105.00
UNION ALL SELECT 1, '2011-08-04 00:00:00', 'TEST001', 115.00
UNION ALL SELECT 2, '2011-08-03 00:00:00', 'TEST001', 109.38
UNION ALL SELECT 2, '2011-08-04 00:00:00', 'TEST001', 114.24
UNION ALL SELECT 1, '2011-08-01 00:00:00', 'TEST002', 9.99
UNION ALL SELECT 1, '2011-08-02 00:00:00', 'TEST002', 9.89
UNION ALL SELECT 1, '2011-08-03 00:00:00', 'TEST002', 9.79
UNION ALL SELECT 1, '2011-08-04 00:00:00', 'TEST002', 9.69
UNION ALL SELECT 0, '2011-08-03 00:00:00', 'TEST003', 0.42
UNION ALL SELECT 2, '2011-08-01 00:00:00', 'TEST003', 0.33
UNION ALL SELECT 2, '2011-08-02 00:00:00', 'TEST003', 0.38
UNION ALL SELECT 2, '2011-08-03 00:00:00', 'TEST003', 0.28
UNION ALL SELECT 2, '2011-08-04 00:00:00', 'TEST003', 0.45
)
, RunningTable (Ticker, AverageBookCost) AS (
SELECT 'TEST004', 0.15
UNION ALL SELECT 'TEST003', 0.09
)
SELECT [Ticker] = ISNULL(pt.Ticker, pt_avg.Ticker)
, [SourceID] = pt.SourceID
, [Price] = ISNULL(pt.Price, pt_avg.AverageBookCost)
FROM EODPriceTable pt
INNER JOIN (
SELECT SourceID = MIN(SourceID), Ticker, Date
FROM EODPriceTable
WHERE Date = '2011-08-03 00:00:00'
GROUP BY
Ticker, Date
) pt_min ON pt_min.SourceID = pt.SourceID
AND pt_min.Ticker = pt.Ticker
AND pt_min.Date = pt.Date
FULL OUTER JOIN (
SELECT Ticker, AverageBookCost
FROM RunningTable
) pt_avg ON pt_avg.Ticker = pt.Ticker
WHERE ISNULL(pt.Ticker, pt_avg.Ticker) IN ('TEST001', 'TEST002', 'TEST003', 'TEST004')
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