如何计算最后一个值与 X 时间前的值之间的百分比？

Question

今天我试着玩了一下货币，给了 PostgreSQL 一个机会来帮助我。

我在 PostgreSQL 数据库中有一个 table，它有三个字段：

CREATE TABLE IF NOT EXISTS binance (
     date TIMESTAMP,
     symbol VARCHAR(20),
     price REAL
)

此 table 更新时间为 10 秒到 10 秒，约 250 行。间隔之间的符号始终相同。例如数据：

+----------------------------+--------+-------+
|            date            | symbol | price |
+----------------------------+--------+-------+
| 2018-01-18 00:00:00.000000 | x      |    12 |
| 2018-01-18 00:00:00.000120 | y      |    15 |
| 2018-01-18 00:00:00.000200 | z      |    19 |
| 2018-01-18 00:00:10.080000 | x      |    14 |
| 2018-01-18 00:00:10.123000 | y      |    16 |
| 2018-01-18 00:00:10.130000 | z      |    20 |
+----------------------------+--------+-------+

现在，我想要做的是获取每个符号在过去 5 分钟内增长了多少（百分比）。

我们以符号为例(ETHBTC)。该交易品种在过去 5 分钟内的数据如下所示：

+----------------------------+--------+----------+
|            date            | symbol |  price   |
+----------------------------+--------+----------+
| 2018-01-19 22:59:10.000000 | ETHBTC |  0.09082 |
| 2018-01-19 22:58:59.000000 | ETHBTC |   0.0907 |
| 2018-01-19 22:58:47.000000 | ETHBTC | 0.090693 |
| 2018-01-19 22:58:35.000000 | ETHBTC | 0.090697 |
| 2018-01-19 22:58:24.000000 | ETHBTC | 0.090712 |
| 2018-01-19 22:58:11.000000 | ETHBTC | 0.090682 |
| 2018-01-19 22:57:59.000000 | ETHBTC | 0.090774 |
| 2018-01-19 22:57:48.000000 | ETHBTC | 0.090672 |
| 2018-01-19 22:57:35.000000 | ETHBTC |  0.09075 |
| 2018-01-19 22:57:24.000000 | ETHBTC | 0.090727 |
| 2018-01-19 22:57:12.000000 | ETHBTC | 0.090705 |
| 2018-01-19 22:57:00.000000 | ETHBTC | 0.090707 |
| 2018-01-19 22:56:49.000000 | ETHBTC | 0.090646 |
| 2018-01-19 22:56:37.000000 | ETHBTC | 0.090645 |
| 2018-01-19 22:56:25.000000 | ETHBTC | 0.090636 |
| 2018-01-19 22:56:13.000000 | ETHBTC | 0.090696 |
| 2018-01-19 22:56:00.000000 | ETHBTC | 0.090698 |
| 2018-01-19 22:55:48.000000 | ETHBTC | 0.090693 |
| 2018-01-19 22:55:37.000000 | ETHBTC | 0.090698 |
| 2018-01-19 22:55:25.000000 | ETHBTC | 0.090601 |
| 2018-01-19 22:55:13.000000 | ETHBTC | 0.090644 |
| 2018-01-19 22:55:01.000000 | ETHBTC |   0.0906 |
| 2018-01-19 22:54:49.000000 | ETHBTC |   0.0906 |
| 2018-01-19 22:54:37.000000 | ETHBTC |  0.09062 |
| 2018-01-19 22:54:25.000000 | ETHBTC | 0.090693 |
+----------------------------+--------+----------+

为了 select 此数据，我使用以下查询：

SELECT *
FROM binance
WHERE date >= NOW() AT TIME ZONE 'EET' - INTERVAL '5 minutes'
      AND symbol = 'ETHBTC'
ORDER BY date DESC;

我想做的是找出每个符号：

最后一个值与 10 秒前的值之间的百分比
最后一个值与 1 分钟前的值之间的百分比
最后一个值与 5 分钟前的值之间的百分比

现在，我对这样的查询应该是什么样子感到困惑。更重要的是，IDK 是否重要，但查询是 Python 中的运行，所以我可能无法利用完整的 PostgreSQL 功能。

Answer 1

排名百分比:

此查询给出查询中行的 0 到 1 的百分比，第一行为 0，最后一行为 1。

例如：

date       |symbol  |price | percentage
-----------+--------+------+-------------
2017-01-05 | 1      | 0.5  | 1
2017-01-04 | 1      | 1.5  | 0.5
2017-01-03 | 1      | 1    | 0
2017-01-05 | 2      | 1    | 1
2017-01-04 | 2      | 3    | 0.5
2017-01-03 | 2      | 2    | 0

这是查询：

SELECT *,
-- this makes a column with the percentage per row
percent_rank() OVER (PARTITION BY symbol ORDER BY date) AS percent
FROM binance
WHERE date >= NOW() AT TIME ZONE 'EET' - INTERVAL '5 minutes'
ORDER BY symbol,date DESC;

相对百分比：

此查询显示数据集价格的最旧值的百分比。

例如：

date       | symbol |price | percentage
-----------+--------+------------
2017-01-05 | 1      | 0.5  | 50
2017-01-04 | 1      | 1.5  | 150
2017-01-03 | 1      | 1    | 100
2017-01-05 | 2      | 1    | 50
2017-01-04 | 2      | 3    | 150
2017-01-03 | 2      | 2    | 100

查询是：

SELECT *,
-- Formula to get the percentage taking the price from the oldest date:
100*price/last_value(price) OVER (PARTITION BY symbol ORDER BY date DESC rows between unbounded preceding and unbounded following) AS percentage
FROM binance
WHERE date >= NOW() AT TIME ZONE 'EET' - INTERVAL '5 minutes'
ORDER BY symbol,date DESC;

Answer 2

要获得连续三个不同时间的相对百分比，您必须每次都加入每个案例，在本例中为 10 秒/1 分钟/5 分钟。

这是查询，注意 JOIN 是 ON id。您需要主键或唯一值才能使此 JOIN 正常工作：

-- Overall SELECT, '*' includes 5min
SELECT a.*,b."1min",c."10sec"
FROM
-- First we select the group with most rows, that are <=5min
    (SELECT *,
    -- Formula for the percentage
    100*price/last_value(price)
        OVER (PARTITION BY symbol
             ORDER BY date DESC rows between unbounded preceding and
             unbounded following) AS "5min"
    FROM test
    WHERE date >= NOW() AT TIME ZONE 'EET' - INTERVAL '5 minutes'
    ORDER BY symbol,date DESC)a
LEFT JOIN
-- Join with 1 minute query
    (SELECT *,
    -- Formula for the percentage
    100*price/last_value(price)
        OVER (PARTITION BY symbol
             ORDER BY date DESC rows between unbounded preceding and
             unbounded following) AS "1min"
    FROM test
    WHERE date >= NOW() AT TIME ZONE 'EET' - INTERVAL '1 minutes'
    ORDER BY symbol,date DESC)b
-- join with id (primary or unique)
ON a.id = b.id
-- Join with 30 seconds query
LEFT JOIN
    (SELECT *,
    -- Formula for the percentage
    100*price/last_value(price)
        OVER (PARTITION BY symbol
             ORDER BY date DESC rows between unbounded preceding and
             unbounded following) AS "10sec"
    FROM test
    WHERE date >= NOW() AT TIME ZONE 'EET' - INTERVAL '30 seconds'
    ORDER BY symbol,date DESC)c
-- join with id (primary or unique)
ON a.id=c.id

在此查询中，您可以根据需要更改百分比和时间的公式。如果您希望百分比相对于另一个值，如 主价格 ，则必须将其包含在每个查询中并添加到公式中，而不是 last_value(price) OVER...。请记住，实际公式获取的是相对于查询中最旧行的百分比。

Answer 3

演示

Rextester 在线演示：http://rextester.com/QNVGU31219

SQL

下面是SQL最新价格与1分钟前的价格对比：

WITH cte AS
(SELECT price,
        ABS(EXTRACT(EPOCH FROM (
                    SELECT date - (SELECT MAX(date) - INTERVAL '1 minute' FROM binance))))
        AS secs_from_prev_timestamp
 FROM binance
 WHERE symbol = 'ETHBTC')
SELECT price /
       (SELECT price FROM binance 
        WHERE symbol = 'ETHBTC' AND date = (SELECT MAX(date) FROM binance))
       * 100.0 AS percentage_difference
FROM cte
WHERE secs_from_prev_timestamp = (SELECT MIN(secs_from_prev_timestamp) FROM cte);

可以简单地更改以上内容以与不同时间间隔之前的价格进行比较，例如通过更改为 INTERVAL '5 minutes' 而不是 INTERVAL '1 minute'，或者通过将对 'ETHBTC' 的两个引用更改为不同的符号来给出不同符号的结果。

说明

棘手的一点是获取以前的价格。这是通过使用常见的 table 表达式 (CTE) 来完成的，该表达式列出了所有价格和距离所需时间戳的秒数。使用了绝对值函数(ABS)所以无论是大于还是小于目标时间戳，都会找到最近的一个。

结果

在上面的一个例子中，查询给出了 99.848...% 的结果。这是根据 0.090682 / 0.09082 * 100.0 制定的，其中 0.09082 是最新价格，0.090682 是一分钟前的价格。

以上是基于对 "percentage difference" 含义的假设，但也有可以计算的替代百分比 - 例如0.09082 比 0.090682 高 0.152%。 （如果我对百分比差异的解释不是您想要的，请在评论中回复，我会相应地更新答案。）

更新 - "do it all" 查询

在阅读了您对 Dan 的回答的评论后，您希望使用单个查询获得所有这些结果，我在下面发布了一个应该满足要求的结果。 Rextester 演示在这里：http://rextester.com/QDUN45907

WITH cte2 AS
(WITH cte1 AS
 (SELECT symbol,
         price,
         ABS(EXTRACT(EPOCH FROM (
                   SELECT date - (SELECT MAX(date) - INTERVAL '10 seconds' FROM binance))))
         AS secs_from_latest_minus_10,
         ABS(EXTRACT(EPOCH FROM (
                   SELECT date - (SELECT MAX(date) - INTERVAL '1 minute' FROM binance))))
         AS secs_from_latest_minus_60,
         ABS(EXTRACT(EPOCH FROM (
                   SELECT date - (SELECT MAX(date) - INTERVAL '5 minutes' FROM binance))))
         AS secs_from_latest_minus_300
  FROM binance)
 SELECT symbol,
        (SELECT price AS latest_price
         FROM binance b2
         WHERE b2.symbol = b.symbol AND date = (SELECT MAX(date) FROM binance)),
        (SELECT price AS price_latest_minus_10
         FROM cte1
         WHERE cte1.symbol = b.symbol AND secs_from_latest_minus_10 =
               (SELECT MIN(secs_from_latest_minus_10) FROM cte1)),
        (SELECT price AS price_latest_minus_60
         FROM cte1
         WHERE cte1.symbol = b.symbol AND secs_from_latest_minus_60 = 
               (SELECT MIN(secs_from_latest_minus_60) FROM cte1)),
        (SELECT price AS price_latest_minus_500
         FROM cte1
         WHERE cte1.symbol = b.symbol AND secs_from_latest_minus_60 = 
               (SELECT MIN(secs_from_latest_minus_60) FROM cte1))
 FROM binance b
 GROUP BY symbol)
SELECT symbol,
       price_latest_minus_10 / latest_price * 100.0 AS percentage_diff_10_secs_ago,
       price_latest_minus_60 / latest_price * 100.0 AS percentage_diff_1_minute_ago,
       price_latest_minus_500 / latest_price * 100.0 AS percentage_diff_5_minutes_ago
FROM cte2;

如何计算最后一个值与 X 时间前的值之间的百分比？

How to calculate the percentage between the last value and the value from X time ago?

sql

database

postgresql

percentage