Retrieve aggregates for arbitrary time intervals

Question

This is the query I have so far, to create daily bars:

SELECT DISTINCT date_trunc(\'hour\',t) AS date,
min(price) OVER w,
max(price) OVER w,
first_value(pric         


        

Answer 1

For 15-minute intervals, building on your example:

SELECT DISTINCT
     , date_trunc('hour', t) AS h
     , floor(EXTRACT(minute FROM t) / 15) AS m15
     , min(price) OVER w
     , max(price) OVER w
     , first_value(price) OVER w
     , last_value(price) OVER w
FROM   ticker
WINDOW w AS (PARTITION BY date_trunc('hour', t)
                        , floor(extract(minute FROM t) / 15));

Works for 5 minutes, too.

---

A more generic solution for any regular time intervals, across any period of time:

WITH x AS (
    SELECT t1, t1 + interval '5min' AS t2
    FROM   generate_series(timestamp '2012-07-18 00:00'
                         , timestamp '2012-07-18 23:55'
                         , interval '5 min') AS t1
    )
SELECT DISTINCT ON (1)
       x.t1
     , min(price)         OVER w
     , max(price)         OVER w
     , first_value(price) OVER w
     , last_value(price)  OVER w
FROM   x
JOIN   ticker y ON y.t >= x.t1  -- use LEFT JOIN to include empty intervals
               AND y.t <  x.t2  -- don't use BETWEEN
WINDOW w AS (PARTITION BY x.t1)
ORDER  BY x.t1;

Related answers with more explanation:

• Best way to count records by arbitrary time intervals in Rails+Postgres
• Select first row in each GROUP BY group?