lots and lots of postgresql queries

pg-size-wt-avg-query.sql

@@ -6,12 +6,8 @@ FROM
           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"
+             (CASE WHEN exch=3 THEN wt_avg END) "gdax",
+             (CASE WHEN exch=6 THEN wt_avg END) "bmex"
       FROM
         (SELECT hr,
                 exch,
@@ -28,3 +24,310 @@ FROM
             GROUP BY 1, 2
             ORDER BY 1, 2) a) b) c
    GROUP BY hr) d;
+
+SELECT hr,
+       base,
+       quote,
+       bmex / gdax AS bmex_gdax,
+       bmex / btfx AS bmex_btfx,
+       bmex / bits AS bmex_bits,
+       bmex / bnce AS bmex_bnce,
+       bmex / okex AS bmex_okex,
+       bmex / plnx AS bmex_plnx
+FROM
+  (SELECT hr,
+          base,
+          quote,
+          max(gdax) "gdax", -- max(..) necessary to grab the non-NULL row from two returned
+          max(bmex) "bmex", -- rows for each hr
+          max(btfx) "btfx",
+          max(bnce) "bnce",
+          max(okex) "okex",
+          max(plnx) "plnx",
+          max(bits) "bits"
+   FROM
+     (SELECT hr,
+             base,
+             quote,
+             (CASE WHEN exch=1 THEN wt_avg END) "plnx",
+             (CASE WHEN exch=3 THEN wt_avg END) "gdax",
+             (CASE WHEN exch=5 THEN wt_avg END) "bits",
+             (CASE WHEN exch=6 THEN wt_avg END) "bmex",
+             (CASE WHEN exch=7 THEN wt_avg END) "btfx",
+             (CASE WHEN exch=8 THEN wt_avg END) "bnce",
+             (CASE WHEN exch=9 THEN wt_avg END) "okex"
+      FROM
+        (SELECT hr,
+                exch,
+                base,
+                quote,
+                w_sum / sum_w AS wt_avg
+         FROM
+           (SELECT date_trunc('hour', "time") AS hr,
+                   exch,
+                   base,
+                   quote,
+                   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 IN (1,3,5,6,7,8,9)
+            GROUP BY 1, 2, 3, 4
+            ORDER BY 1, 2, 3, 4) a) b) c
+   GROUP BY hr, base, quote) d;
+
+
+SELECT tm,
+       bmex / gdax AS ratio
+FROM
+  (SELECT tm,
+          max(gdax) "gdax", -- max(..) necessary to grab the non-NULL row from two returned
+          max(bmex) "bmex"  -- rows for each tm
+   FROM
+     (SELECT tm,
+             (CASE WHEN exch=3 THEN wt_avg END) "gdax",
+             (CASE WHEN exch=6 THEN wt_avg END) "bmex"
+      FROM
+        (SELECT tm,
+                exch,
+                w_sum / sum_w AS wt_avg
+         FROM
+           (SELECT 
+                   -- date_trunc('minute', "time") AS tm,
+                   date_trunc('minute', "time") - (CAST(EXTRACT(MINUTE FROM "time") AS integer) % 10) * interval '1 minute' AS tm,
+                   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 tm) d;
+
+
+select tm from generate_series('2019-01-01T00:00:00Z'::timestamptz, '2019-02-01T00:00:00Z'::timestamptz, interval '1 second') as tm;
+
+
+select tm,
+       sum(d1.price * d1.amount) / sum(d1.amount) as d1_wt_avg_price,
+       sum(d1bmex.price * d1bmex.amount) / sum(d1bmex.amount) as d1bmex_wt_avg_price,
+       sum(d5.price * d5.amount) / sum(d5.amount) as d5_wt_avg_price,
+       sum(d5bmex.price * d5bmex.amount) / sum(d5bmex.amount) as d5bmex_wt_avg_price
+from
+    (select tm::timestamptz from generate_series(
+        (select date_trunc('second', min("time")) from trades) + '20 minutes'::interval,
+        -- (select date_trunc('second', max("time")) from trades),
+        (select date_trunc('second', min("time")) from trades) + '21 minutes'::interval,
+        interval '1 second'
+    ) as tm
+) a
+
+left join trades d1 on (d1.time between a.tm - '1 minute'::interval and a.tm and d1.base=1 and d1.quote=100 and d1.exch=3)
+left join trades d1bmex on (d1bmex.time between a.tm - '1 minute'::interval and a.tm and d1bmex.base=1 and d1bmex.quote=100 and d1bmex.exch=6)
+left join trades d5 on (d5.time between a.tm - '5 minute'::interval and a.tm and d5.base=1 and d5.quote=100 and d5.exch=3)
+left join trades d5bmex on (d5bmex.time between a.tm - '5 minute'::interval and a.tm and d5bmex.base=1 and d5bmex.quote=100 and d5bmex.exch=6)
+group by a.tm
+order by a.tm;
+-- left join lateral (
+--     select sum(price * amount) as wsum, sum(amount) as w
+--     from trades
+--     where base=1 and quote=100
+--     group by exch
+
+--inner join (select "time", price, amount from trades where base=1 and quote=100 and exch=3) d1
+--    on (d1."time" between a.tm - '1 minute'::interval and a.tm)
+-- on 1
+-- inner join (select "time", sum(price * amount) as w_sum, sum(amount) as sum_w from trades group by exch) d5
+-- inner join (select sum(price * amount) as w_sum, sum(amount) as sum_w from trades where "time" between a.tm - '5 minute'::interval and a.tm and base=1 and quote=100 and exch in (3,6) group by exch) d5
+--     on 1
+    -- on (d5."time" between a.tm - '5 minutes'::interval and a.tm)
+
+-- where
+-- d1.base = 1
+-- and d1.quote = 100
+-- and d5.base = 1
+-- and d5.quote = 100
+-- and d1.exch in (3,6)
+-- and d5.exch in (3,6)
+
+;
+
+select 
+    tm,
+    bmex_d15_wt_avg_price / gdax_d15_wt_avg_price as ratio_15,
+    bmex_d60_wt_avg_price / gdax_d60_wt_avg_price as ratio_60
+from (
+    select tm,
+           sum(gdax_d15.price * gdax_d15.amount) / sum(gdax_d15.amount) as gdax_d15_wt_avg_price,
+           sum(bmex_d15.price * bmex_d15.amount) / sum(bmex_d15.amount) as bmex_d15_wt_avg_price,
+           sum(gdax_d60.price * gdax_d60.amount) / sum(gdax_d60.amount) as gdax_d60_wt_avg_price,
+           sum(bmex_d60.price * bmex_d60.amount) / sum(bmex_d60.amount) as bmex_d60_wt_avg_price
+    from
+        (select tm::timestamptz from generate_series(
+            (select date_trunc('second', min("time")) from trades) + '2 hours'::interval,
+            (select date_trunc('second', min("time")) from trades) + '2 hours'::interval + '10 second'::interval,
+            -- (select date_trunc('second', max("time")) from trades),
+            interval '1 second'
+        ) as tm
+    ) a
+
+    join trades gdax_d15 on (gdax_d15.time > a.tm - '15 minutes'::interval and gdax_d15.time <= a.tm and gdax_d15.base=1 and gdax_d15.quote=100 and gdax_d15.exch=3)
+    join trades bmex_d15 on (bmex_d15.time > a.tm - '15 minutes'::interval and bmex_d15.time <= a.tm and bmex_d15.base=1 and bmex_d15.quote=100 and bmex_d15.exch=6)
+    join trades gdax_d60 on (gdax_d60.time > a.tm - '60 minutes'::interval and gdax_d60.time <= a.tm and gdax_d60.base=1 and gdax_d60.quote=100 and gdax_d60.exch=3)
+    join trades bmex_d60 on (bmex_d60.time > a.tm - '60 minutes'::interval and bmex_d60.time <= a.tm and bmex_d60.base=1 and bmex_d60.quote=100 and bmex_d60.exch=6)
+    group by a.tm
+    order by a.tm
+) b;
+
+
+SELECT tm,
+       bmex / gdax AS ratio
+FROM
+  (SELECT tm,
+          max(gdax) "gdax", -- max(..) necessary to grab the non-NULL row from two returned
+          max(bmex) "bmex"  -- rows for each tm
+   FROM
+   GROUP BY tm) d;
+
+
+     SELECT 
+        tm,
+        max(gdax_w_sum) "gdax_w_sum",
+        max(gdax_sum_w) "gdax_sum_w",
+        max(bmex_w_sum) "bmex_w_sum",
+        max(bmex_sum_w) "bmex_sum_w"
+      FROM
+        (SELECT tm,
+                (CASE WHEN exch=3 THEN w_sum END) "gdax_w_sum",
+                (CASE WHEN exch=3 THEN sum_w END) "gdax_sum_w",
+                (CASE WHEN exch=6 THEN w_sum END) "bmex_w_sum",
+                (CASE WHEN exch=6 THEN sum_w END) "bmex_sum_w"
+         FROM
+           (SELECT date_trunc('second', "time") AS tm,
+                   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
+    GROUP BY tm
+    ORDER BY tm
+    ;
+
+SELECT a."time", avg(b.price)  
+FROM trades a
+JOIN trades b ON b.time >= a.time - interval '1 minute'  
+  AND b.time <= a.time
+GROUP BY a.time  
+ORDER BY a.time
+limit 10;
+
+select 
+    tm,
+    bmex_d15_wt_avg_price / gdax_d15_wt_avg_price as ratio_15,
+    bmex_d5_wt_avg_price / gdax_d5_wt_avg_price as ratio_5
+from (
+    select tm,
+           sum(gdax_d15.price * gdax_d15.amount) / sum(gdax_d15.amount) as gdax_d15_wt_avg_price,
+           sum(bmex_d15.price * bmex_d15.amount) / sum(bmex_d15.amount) as bmex_d15_wt_avg_price,
+           sum(gdax_d5.price * gdax_d5.amount) / sum(gdax_d5.amount) as gdax_d5_wt_avg_price,
+           sum(bmex_d5.price * bmex_d5.amount) / sum(bmex_d5.amount) as bmex_d5_wt_avg_price
+    from
+        (select tm::timestamptz from generate_series(
+            (select date_trunc('second', min("time")) from trades limit 1), -- + '2 hours'::interval,
+            -- (select date_trunc('second', min("time")) from trades) + '2 hours, 2 seconds'::interval,
+            (select date_trunc('second', max("time")) from trades limit 1),
+            interval '1 second'
+            ) as tm
+        ) a
+
+    join trades gdax_d15 on (gdax_d15.time > a.tm - '15 minutes'::interval and gdax_d15.time <= a.tm and gdax_d15.base=1 and gdax_d15.quote=100 and gdax_d15.exch=3)
+    join trades bmex_d15 on (bmex_d15.time > a.tm - '15 minutes'::interval and bmex_d15.time <= a.tm and bmex_d15.base=1 and bmex_d15.quote=100 and bmex_d15.exch=6)
+    join trades gdax_d5 on (gdax_d5.time > a.tm - '5 minutes'::interval and gdax_d5.time <= a.tm and gdax_d5.base=1 and gdax_d5.quote=100 and gdax_d5.exch=3)
+    join trades bmex_d5 on (bmex_d5.time > a.tm - '5 minutes'::interval and bmex_d5.time <= a.tm and bmex_d5.base=1 and bmex_d5.quote=100 and bmex_d5.exch=6)
+    group by a.tm
+    order by a.tm
+) b;
+
+
+select "time", avg(price) filter(where "time" > "time" - interval '10 seconds' and "time" <= "time") over( order by "time" ) from trades order by "time" limit 10; 
+
+
+select 
+"time",
+-- (bmex_wsum_5  / bmex_w_5) as bmex_5min,
+-- (gdax_wsum_5  / gdax_w_5) as gdax_5min,
+(bmex_wsum_5  / bmex_w_5)  / (gdax_wsum_5  / gdax_w_5 ) as r5,
+-- (bmex_wsum_15 / bmex_w_15) / (gdax_wsum_15 / gdax_w_15) as r15,
+-- (bmex_wsum_60 / bmex_w_60) / (gdax_wsum_60 / gdax_w_60) as r60
+from
+    (select
+        "time",
+
+        sum(price * amount) filter(where "time" > "time" - interval  '5 minutes' and "time" <= "time" and exch=3) over( order by "time" ) "gdax_wsum_5",
+        -- sum(price * amount) filter(where "time" > "time" - interval '15 minutes' and "time" <= "time" and exch=3) over( order by "time" ) "gdax_wsum_15",
+        -- sum(price * amount) filter(where "time" > "time" - interval '60 minutes' and "time" <= "time" and exch=3) over( order by "time" ) "gdax_wsum_60",
+
+        sum(amount) filter(where "time" > "time" - interval  '5 minutes' and "time" <= "time" and exch=3) over( order by "time" ) "gdax_w_5",
+        -- sum(amount) filter(where "time" > "time" - interval '15 minutes' and "time" <= "time" and exch=3) over( order by "time" ) "gdax_w_15",
+        -- sum(amount) filter(where "time" > "time" - interval '60 minutes' and "time" <= "time" and exch=3) over( order by "time" ) "gdax_w_60",
+
+        sum(price * amount) filter(where "time" > "time" - interval  '5 minutes' and "time" <= "time" and exch=6) over( order by "time" ) "bmex_wsum_5",
+        -- sum(price * amount) filter(where "time" > "time" - interval '15 minutes' and "time" <= "time" and exch=6) over( order by "time" ) "bmex_wsum_15",
+        -- sum(price * amount) filter(where "time" > "time" - interval '60 minutes' and "time" <= "time" and exch=6) over( order by "time" ) "bmex_wsum_60",
+
+        sum(amount) filter(where "time" > "time" - interval  '5 minutes' and "time" <= "time" and exch=6) over( order by "time" ) "bmex_w_5"
+        -- sum(amount) filter(where "time" > "time" - interval '15 minutes' and "time" <= "time" and exch=6) over( order by "time" ) "bmex_w_15",
+        -- sum(amount) filter(where "time" > "time" - interval '60 minutes' and "time" <= "time" and exch=6) over( order by "time" ) "bmex_w_60"
+
+    from trades
+    order by "time") a
+;
+
+
+
+with seconds as (
+    select tm::timestamptz from generate_series(
+        (select date_trunc('second', min("time")) from trades limit 1), -- + '2 hours'::interval,
+        -- (select date_trunc('second', min("time")) from trades) + '2 hours, 2 seconds'::interval,
+        (select date_trunc('second', max("time")) from trades limit 1),
+        interval '1 second'
+        ) as tm
+)
+select 
+tm,
+(bmex_wsum_5  / bmex_w_5)  / (gdax_wsum_5  / gdax_w_5 ) as r5,
+(bmex_wsum_15 / bmex_w_15) / (gdax_wsum_15 / gdax_w_15) as r15,
+(bmex_wsum_60 / bmex_w_60) / (gdax_wsum_60 / gdax_w_60) as r60
+from
+    (select
+        seconds.tm,
+
+        sum(price * amount) filter(where "time" > seconds.tm - interval  '5 minutes' and "time" <= seconds.tm and exch=3) over( order by "time" ) "gdax_wsum_5",
+        sum(price * amount) filter(where "time" > seconds.tm - interval '15 minutes' and "time" <= seconds.tm and exch=3) over( order by "time" ) "gdax_wsum_15",
+        sum(price * amount) filter(where "time" > seconds.tm - interval '60 minutes' and "time" <= seconds.tm and exch=3) over( order by "time" ) "gdax_wsum_60",
+
+        sum(amount) filter(where         "time" > seconds.tm - interval  '5 minutes' and "time" <= seconds.tm and exch=3) over( order by "time" ) "gdax_w_5",
+        sum(amount) filter(where         "time" > seconds.tm - interval '15 minutes' and "time" <= seconds.tm and exch=3) over( order by "time" ) "gdax_w_15",
+        sum(amount) filter(where         "time" > seconds.tm - interval '60 minutes' and "time" <= seconds.tm and exch=3) over( order by "time" ) "gdax_w_60",
+
+        sum(price * amount) filter(where "time" > seconds.tm - interval  '5 minutes' and "time" <= seconds.tm and exch=6) over( order by "time" ) "bmex_wsum_5",
+        sum(price * amount) filter(where "time" > seconds.tm - interval '15 minutes' and "time" <= seconds.tm and exch=6) over( order by "time" ) "bmex_wsum_15",
+        sum(price * amount) filter(where "time" > seconds.tm - interval '60 minutes' and "time" <= seconds.tm and exch=6) over( order by "time" ) "bmex_wsum_60",
+
+        sum(amount) filter(where         "time" > seconds.tm - interval  '5 minutes' and "time" <= seconds.tm and exch=6) over( order by "time" ) "bmex_w_5",
+        sum(amount) filter(where         "time" > seconds.tm - interval '15 minutes' and "time" <= seconds.tm and exch=6) over( order by "time" ) "bmex_w_15",
+        sum(amount) filter(where         "time" > seconds.tm - interval '60 minutes' and "time" <= seconds.tm and exch=6) over( order by "time" ) "bmex_w_60"
+
+    from seconds, trades
+    -- order by seconds.tm) a
+) a
+limit 1000;