How to self-join table in a way that every record is joined with the “previous” record?

Question

I have a MS SQL table that contains stock data with the following columns: Id, Symbol, Date, Open, High, Low, Close.

I would like to self-join the table

Answer 1

Index on (symbol, date)

SELECT *
FROM quotes q_curr
CROSS APPLY (
  SELECT TOP(1) *
  FROM quotes
  WHERE symbol = q_curr.symbol
    AND date < q_curr.date
  ORDER BY date DESC
) q_prev

Answer 2

What you had is fine. I don't know if translating the sub-query into the join will help. However, you asked for it, so the way to do it might be to join the table to itself once more.

select *
from quotes t1
inner join quotes t2
   on t1.symbol = t2.symbol and t1.date > t2.date
left outer join quotes t3
   on t2.symbol = t3.symbol and t2.date > t3.date
where t3.date is null

Answer 3

You can use option with CTE and ROW_NUMBER ranking function

 ;WITH cte AS
 (
  SELECT symbol, date, [Open], [High], [Low], [Close],
         ROW_NUMBER() OVER(PARTITION BY symbol ORDER BY date) AS Id
  FROM quotes
  )
  SELECT c1.Id, c1.symbol, c1.date, c1.[Open], c1.[High], c1.[Low], c1.[Close], 
         ISNULL(c2.[Close] / c1.[Close], 0) AS perc
  FROM cte c1 LEFT JOIN cte c2 ON c1.symbol = c2.symbol AND c1.Id = c2.Id + 1
  ORDER BY c1.symbol, c1.date

For improving performance(avoiding sorting and RID Lookup) use this index

CREATE INDEX ix_symbol$date_quotes ON quotes(symbol, date) INCLUDE([Open], [High], [Low], [Close])

Simple demo on SQLFiddle

Answer 4

One option is to use a recursive cte (if I'm understanding your requirements correctly):

WITH RNCTE AS (
  SELECT *, ROW_NUMBER() OVER (PARTITION BY symbol ORDER BY date) rn
        FROM quotes
  ),
CTE AS (
  SELECT symbol, date, rn, cast(0 as decimal(10,2)) perc, closed
  FROM RNCTE
  WHERE rn = 1
  UNION ALL
  SELECT r.symbol, r.date, r.rn, cast(c.closed/r.closed as decimal(10,2)) perc, r.closed
  FROM CTE c 
    JOIN RNCTE r on c.symbol = r.symbol AND c.rn+1 = r.rn
  )
SELECT * FROM CTE
ORDER BY symbol, date

SQL Fiddle Demo

If you need a running total for each symbol to use as the percentage change, then easy enough to add an additional column for that amount -- wasn't completely sure what your intentions were, so the above just divides the current closed amount by the previous closed amount.

Answer 5

You could do something like this:

DECLARE @Today DATETIME
SELECT @Today = DATEADD(DAY, 0, DATEDIFF(DAY, 0, CURRENT_TIMESTAMP))

;WITH today AS
(
    SELECT  Id ,
            Symbol ,
            Date ,
            [OPEN] ,
            High ,
            LOW ,
            [CLOSE],
            DATEADD(DAY, -1, Date) AS yesterday 
    FROM quotes
    WHERE date = @today
)
SELECT *
FROM today
LEFT JOIN quotes yesterday ON today.Symbol = yesterday.Symbol
    AND today.yesterday = yesterday.Date

That way you limit your "today" results, if that's an option.

EDIT: The CTEs listed as other questions may work well, but I tend to be hesitant to use ROW_NUMBER when dealing with 100K rows or more. If the previous day may not always be yesterday, I tend to prefer to pull out the check for the previous day in its own query then use it for reference:

DECLARE @Today DATETIME, @PreviousDay DATETIME
SELECT @Today = DATEADD(DAY, 0, DATEDIFF(DAY, 0, CURRENT_TIMESTAMP));
SELECT @PreviousDay = MAX(Date) FROM quotes  WHERE Date < @Today;
WITH today AS
(
    SELECT  Id ,
            Symbol ,
            Date ,
            [OPEN] ,
            High ,
            LOW ,
            [CLOSE]
    FROM quotes 
    WHERE date = @today
)
SELECT *
FROM today
LEFT JOIN quotes AS previousday
    ON today.Symbol = previousday.Symbol
    AND previousday.Date = @PreviousDay

Answer 6

Something like this w'd work in SQLite:

SELECT ..
FROM quotes t1, quotes t2
WHERE t1.symbol = t2.symbol
    AND t1.date < t2.date
GROUP BY t2.ID
    HAVING t2.date = MIN(t2.date)

Given SQLite is a simplest of a kind, maybe in MSSQL this will also work with minimal changes.