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; 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;