Interpolate missing values in a MySQL table

Question

I have some intraday stock data saved into a MySQL table which looks like this:

+----------+-------+
| tick     | quote |
+----------+-------+
| 08:00:10 |           


        

Answer 1

I would create a (temporary) table with the same layout as your table and run the following two queries:

Insert all interpolations into the temp_stock table

INSERT INTO temp_stock (tick, quote) 
  SELECT s2.tick
         , (s1.quote + s3.quote) /2 as quote
  FROM stock 
  INNER JOIN stock s1 ON (s1.tick < s2.tick) 
  INNER JOIN stock s3 ON (s3.tick > s2.tick) 
  WHERE s2.quote IS NULL
  GROUP BY s2.tick
  HAVING s1.tick = MAX(s1.tick), s3.tick = MIN(s3.tick)  

Update the stock table with the temp values

  UPDATE stock s 
  INNER JOIN temp_stock ts ON (ts.tick = s.tick) SET s.quote = ts.quote

It does use a temp table (make sure it's a memory table for speed), but it doesn't need a cursor.