SQL计算贸易利润的查询

Question

正在尝试构建一个 SQL 脚本来计算每笔交易的 profit/loss 百分比

下面是原文table

SELECT id, exchange, ticker, signal, time, price 
from trade_data 
ORDER BY exchange, ticker, time;

id	交换	代码	信号	时间	价格
3	BSE_DLY	UDAICEMENT	长	2021-08-05 22:00:43.800603	46.4
27	BSE_DLY	UDAICEMENT	关闭	2021-08-06 10:00:26.718044	47.1
24	NAS	TATAMOTORS	长	2021-08-06 05:45:16.384777	300.85
22	NAS	UDAICEMENT	长	2021-08-06 05:00:25.23066	47.75
4	NSE	国民	长	2021-08-05 22:00:43.996958	94.8
26	NSE	国民	关闭	2021-08-06 09:45:17.511157	93.65
2	NSE	NMDC	关闭	2021-08-05 22:00:43.600858	178.05
14	NSE	NMDC	长	2021-08-06 03:45:11.243861	179.45
5	NSE	航行	长	2021-08-05 22:00:44.197164	140.4
25	NSE	航行	关闭	2021-08-06 09:45:17.441593	140.5
1	NSE	TATACONSUM	关闭	2021-08-05 21:57:56.840043	761
13	NSE	TATACONSUM	长	2021-08-06 03:37:38.371882	773
15	NSE	TATAMOTORS	长	2021-08-06 03:45:12.891371	300.65

计算profit/loss百分比的公式

profit % =   (close_price-entry_price)   *  100
            ---------------------------
                 entry_price

Print profit as 0 if Trade Entry is not available

生成的数据集应如下所示

id	交换	代码	信号	时间	价格	利润百分比
3	BSE_DLY	UDAICEMENT	长	2021-08-05 22:00:43.800603	46.4
27	BSE_DLY	UDAICEMENT	关闭	2021-08-06 10:00:26.718044	47.1	1.5
24	NAS	TATAMOTORS	长	2021-08-06 05:45:16.384777	300.85
22	NAS	UDAICEMENT	长	2021-08-06 05:00:25.23066	47.75
4	NSE	国民	长	2021-08-05 22:00:43.996958	94.8
26	NSE	国民	关闭	2021-08-06 09:45:17.511157	93.65	-1.21
2	NSE	NMDC	关闭	2021-08-05 22:00:43.600858	178.05	0
14	NSE	NMDC	长	2021-08-06 03:45:11.243861	179.45
5	NSE	航行	长	2021-08-05 22:00:44.197164	140.4
25	NSE	航行	关闭	2021-08-06 09:45:17.441593	140.5	0.07
1	NSE	TATACONSUM	关闭	2021-08-05 21:57:56.840043	761	0
13	NSE	TATACONSUM	长	2021-08-06 03:37:38.371882	773
15	NSE	TATAMOTORS	长	2021-08-06 03:45:12.891371	300.65

Answer 1

我猜你可以使用 LAG 函数来实现这一点。想法是检查特定 exchange/ticker 组合的先前信号。如果当前信号等于 'close' 并且没有之前的记录（我猜应该是信号 = 'long'）那么我们输入 0 如果有之前的记录那么我们进行数学运算。对于 signal = 'long' 我们什么都不做。

请检查这是否可以接受。

select id, exchange, ticker, signal, time, price,
    case 
        when signal = 'close' and prev_signal is null then 0 
        when signal = 'close' then round(((price-prev_price)*100)/price, 2)
    end as profit
from (
    select id, exchange, ticker, signal, time, price, 
        lag(signal) OVER (PARTITION BY exchange, ticker ORDER BY time) as prev_signal,
        lag(price) OVER (PARTITION BY exchange, ticker ORDER BY time) as prev_price
    from trade_Data
) as t0

SQL计算贸易利润的查询

SQL Query for Calculating Trade Profits

sql

postgresql

algorithmic-trading

ticker

backtrader