Calculate the true range using SQL Server 2014

问题

I am trying to calculate the true range from the table below.

TIME                    BID-OPEN    BID-HIGH    BID-LOW BID-CLOSE 
1993-05-09 21:00:00.000 1.5786      1.5786      1.5311  1.5346
1993-05-10 21:00:00.000 1.5346      1.5551      1.5326  1.5391
1993-05-11 21:00:00.000 1.5391      1.5521      1.5299  1.5306
1993-05-12 21:00:00.000 1.5306      1.5451      1.5106  1.5256
1993-05-13 21:00:00.000 1.5256      1.5416      1.5211  1.5361

So far I have managed to do this:

SELECT 
   t.Time, 
   Round([BID-HIGH]-[BID-LOW],5) 
   AS [H-L], 
   Abs(Round([BID-HIGH]-[prev_BID-CLOSE],5)) 
   AS [H-Cp], 
   Abs(Round([BID-LOW]-[prev_BID-CLOSE],5))
   AS [L-Cp]
  FROM (SELECT t.*, 
       (select top 1 [BID-CLOSE] 
        from [GBP-USD].[dbo].[tbl_GBP-USD_1-Day] t2 
        where t2.[TIME] < t.[TIME] order by t2.[TIME] desc) 
  AS [prev_BID-CLOSE] 
  FROM [GBP-USD].[dbo].[tbl_GBP-USD_1-Day] AS t)  AS t;

Which gives me:

Time                    H-L     H-Cp    L-Cp
1993-05-09 21:00:00.000 0.0475  NULL    NULL
1993-05-10 21:00:00.000 0.0225  0.0205  0.002
1993-05-11 21:00:00.000 0.0222  0.013   0.0092
1993-05-12 21:00:00.000 0.0345  0.0145  0.02
1993-05-13 21:00:00.000 0.0205  0.016   0.0045
1993-05-16 21:00:00.000 0.0216  0.0173  0.0043
1993-05-17 21:00:00.000 0.0208  0.009   0.0118

I now need the MAX value from [H-L] [H-Cp] [L-Cp] fields which would give a query table like this:

Time                    H-L     H-Cp    L-Cp   TR
1993-05-09 21:00:00.000 0.0475  NULL    NULL   0.0475
1993-05-10 21:00:00.000 0.0225  0.0205  0.002  0.0225
1993-05-11 21:00:00.000 0.0222  0.013   0.0092 0.0222
1993-05-12 21:00:00.000 0.0345  0.0145  0.02   0.0345
1993-05-13 21:00:00.000 0.0205  0.016   0.0045 0.0205
1993-05-16 21:00:00.000 0.0216  0.0173  0.0043 0.0216
1993-05-17 21:00:00.000 0.0208  0.009   0.0118 0.0208

The data above is only a very small snipping, so in this example the MAX value is always the [H-L] field, however this does change.

I need a way of querying the query, but within the same query : )

(SELECT MAX(v)
  FROM (VALUES([H-L]),([H-Cp]),([L-Cp])) AS value(v)) AS [TR]

回答1:

You could use CROSS APPLY:

SELECT 
    t.[Time]
   ,[H-L]    = Round([BID-HIGH]-[BID-LOW],5) 
   ,[H-Cp]   = Abs(Round([BID-HIGH]-[prev_BID-CLOSE],5)) 
   ,[L-Cp]   = Abs(Round([BID-LOW]-[prev_BID-CLOSE],5))
   ,[TR]
FROM (SELECT t.*, 
       (select top 1 [BID-CLOSE] 
        from [tbl_GBP-USD_1-Day] t2 
        where t2.[TIME] < t.[TIME] order by t2.[TIME] desc) 
  AS [prev_BID-CLOSE] 
FROM [tbl_GBP-USD_1-Day] AS t)  AS t
CROSS APPLY (
    SELECT MAX(v) AS v
    FROM ( VALUES (Round([BID-HIGH]-[BID-LOW],5)) 
                  ,(Abs(Round([BID-HIGH]-[prev_BID-CLOSE],5)))
                  ,(Abs(Round([BID-LOW]-[prev_BID-CLOSE],5)))
   ) AS value(v)
) AS sub([TR]);

LiveDemo

(select top 1 [BID-CLOSE] 
        from [tbl_GBP-USD_1-Day] t2 
        where t2.[TIME] < t.[TIME] order by t2.[TIME] desc)

Looks like a great candidate for LAG function.

WITH cte AS
(
  SELECT 
    t.[Time]
   ,[H-L]    = Round([BID-HIGH]-[BID-LOW],5) 
   ,[H-Cp]   = Abs(Round([BID-HIGH]-[prev_BID-CLOSE],5)) 
   ,[L-Cp]   = Abs(Round([BID-LOW]-[prev_BID-CLOSE],5))
  FROM (SELECT *, 
               [prev_BID-CLOSE]  = LAG([BID-CLOSE]) OVER(ORDER BY [Time])
        FROM [#tbl_GBP-USD_1-Day]) AS t
)
SELECT *
FROM cte
CROSS APPLY (SELECT MAX(v) AS v
             FROM ( VALUES ([H-L]),([H-Cp]),([L-Cp])) AS value(v)
) AS sub([TR]);

LiveDemo2

Output:

╔═════════════════════╦════════╦════════╦════════╦════════╗
║        Time         ║  H-L   ║  H-C   ║  L-C   ║   TR   ║
╠═════════════════════╬════════╬════════╬════════╬════════╣
║ 1993-05-09 21:00:00 ║ 0.0475 ║        ║        ║ 0.0475 ║
║ 1993-05-10 21:00:00 ║ 0.0225 ║ 0.0205 ║ 0.002  ║ 0.0225 ║
║ 1993-05-11 21:00:00 ║ 0.0222 ║ 0.013  ║ 0.0092 ║ 0.0222 ║
║ 1993-05-12 21:00:00 ║ 0.0345 ║ 0.0145 ║ 0.02   ║ 0.0345 ║
║ 1993-05-13 21:00:00 ║ 0.0205 ║ 0.016  ║ 0.0045 ║ 0.0205 ║
╚═════════════════════╩════════╩════════╩════════╩════════╝

来源：https://stackoverflow.com/questions/35956703/calculate-the-true-range-using-sql-server-2014

标签

sql

sql-server

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subquery