postgres query

pg-size-wt-avg-query.sql

@@ -0,0 +1,30 @@
+SELECT hr,
+       bmex / gdax AS ratio
+FROM
+  (SELECT hr,
+          max(gdax) "gdax", -- max(..) necessary to grab the non-NULL row from two returned
+          max(bmex) "bmex"  -- rows for each hr
+   FROM
+     (SELECT hr,
+             (CASE
+                  WHEN exch=3 THEN wt_avg
+              END) "gdax",
+             (CASE
+                  WHEN exch=6 THEN wt_avg
+              END) "bmex"
+      FROM
+        (SELECT hr,
+                exch,
+                w_sum / sum_w AS wt_avg
+         FROM
+           (SELECT date_trunc('hour', "time") AS hr,
+                   exch,
+                   sum(price * amount) AS w_sum,
+                   sum(amount) AS sum_w
+            FROM trades
+            WHERE base=1             -- btc=1 usd=100
+              AND quote=100
+              AND (exch=3 OR exch=6) -- gdax=3, bmex=6
+            GROUP BY 1, 2
+            ORDER BY 1, 2) a) b) c
+   GROUP BY hr) d;