Проблема с запросом - PullRequest
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Проблема с запросом

1 голос
/ 02 апреля 2010

У меня проблемы с запросом в SQL Server 2008 по некоторым данным о торговле на рынке Форекс. У меня есть таблица сделок и таблица заказов. Сделка должна состоять из 2 или более ордеров. Схема DDL и пример данных ниже.

Я хочу написать запрос, показывающий прибыль / убыток в пипсах для каждой сделки. Пипс равен 1/1000 валюты. Таким образом, разница между USD 1.3441 и 1.3442 составляет 1 пункт в форексе.

У сделки обычно есть один ордер на вход и несколько ордеров на выход. Например, если я куплю 3 лота валютной пары GBP / USD по курсу 1.6100, а затем продам 1 лот по 1.6150, 1 лот по 1.6200 и 1 лот по 1.6250, тогда прибыль составит (1.6150 - 1.6100) + (1.6200 - 1.6100) + (1.6250 - 1.6100) или 50 + 100 + 150 = 300 пунктов прибыли.

Торговля также может пойти другим путем (Shorting). Например, валютная пара может быть сначала продана, а затем выкуплена по более дешевой цене.

Я хотел бы запрос, который возвращает следующее: 

tradeId, currencyPair, profitInPips

Кажется, это довольно простой запрос, но он ускользает от меня прямо сейчас.

Вот мой DDL и пример данных: 

CREATE TABLE [dbo].[trades](
    [tradeId] [int] IDENTITY(1,1) NOT NULL,
    [currencyPair] [char](6) NOT NULL,
 CONSTRAINT [PK_trades] PRIMARY KEY CLUSTERED 
(
    [tradeId] ASC
)WITH (PAD_INDEX  = OFF, STATISTICS_NORECOMPUTE  = OFF, IGNORE_DUP_KEY = OFF, ALLOW_ROW_LOCKS  = ON, ALLOW_PAGE_LOCKS  = ON) ON [PRIMARY]
) ON [PRIMARY]
GO
SET ANSI_PADDING OFF
GO
SET IDENTITY_INSERT [dbo].[trades] ON
INSERT [dbo].[trades] ([tradeId], [currencyPair]) VALUES (1, N'GBPUSD')
INSERT [dbo].[trades] ([tradeId], [currencyPair]) VALUES (2, N'GBPUSD')
INSERT [dbo].[trades] ([tradeId], [currencyPair]) VALUES (3, N'GBPUSD')
INSERT [dbo].[trades] ([tradeId], [currencyPair]) VALUES (4, N'GBPUSD')
INSERT [dbo].[trades] ([tradeId], [currencyPair]) VALUES (5, N'GBPUSD')
INSERT [dbo].[trades] ([tradeId], [currencyPair]) VALUES (6, N'GBPUSD')
INSERT [dbo].[trades] ([tradeId], [currencyPair]) VALUES (7, N'GBPUSD')
INSERT [dbo].[trades] ([tradeId], [currencyPair]) VALUES (8, N'GBPUSD')
INSERT [dbo].[trades] ([tradeId], [currencyPair]) VALUES (9, N'GBPUSD')
INSERT [dbo].[trades] ([tradeId], [currencyPair]) VALUES (10, N'GBPUSD')
SET IDENTITY_INSERT [dbo].[trades] OFF
GO
CREATE TABLE [dbo].[orders](
    [orderId] [int] IDENTITY(1,1) NOT NULL,
    [tradeId] [int] NOT NULL,
    [amount] [decimal](18, 1) NOT NULL,
    [buySell] [char](1) NOT NULL,
    [rate] [decimal](18, 6) NOT NULL,
    [orderDateTime] [datetime] NOT NULL,
 CONSTRAINT [PK_orders] PRIMARY KEY CLUSTERED 
(
    [orderId] ASC
)WITH (PAD_INDEX  = OFF, STATISTICS_NORECOMPUTE  = OFF, IGNORE_DUP_KEY = OFF, ALLOW_ROW_LOCKS  = ON, ALLOW_PAGE_LOCKS  = ON) ON [PRIMARY]
) ON [PRIMARY]
GO
SET ANSI_PADDING OFF
GO
SET IDENTITY_INSERT [dbo].[orders] ON
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (1, 1, CAST(3.0 AS Decimal(18, 1)), N'S', CAST(1.606500 AS Decimal(18, 6)), CAST(0x00009CF40083D600 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (2, 1, CAST(3.0 AS Decimal(18, 1)), N'B', CAST(1.615500 AS Decimal(18, 6)), CAST(0x00009CF400A4CB80 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (3, 2, CAST(3.0 AS Decimal(18, 1)), N'S', CAST(1.608000 AS Decimal(18, 6)), CAST(0x00009CF500000000 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (4, 2, CAST(1.0 AS Decimal(18, 1)), N'B', CAST(1.603000 AS Decimal(18, 6)), CAST(0x00009CF50083D600 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (5, 2, CAST(2.0 AS Decimal(18, 1)), N'B', CAST(1.605500 AS Decimal(18, 6)), CAST(0x00009CF50107AC00 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (6, 3, CAST(3.0 AS Decimal(18, 1)), N'S', CAST(1.595500 AS Decimal(18, 6)), CAST(0x00009CF70083D600 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (7, 3, CAST(1.0 AS Decimal(18, 1)), N'B', CAST(1.590500 AS Decimal(18, 6)), CAST(0x00009CF700C5C100 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (8, 3, CAST(2.0 AS Decimal(18, 1)), N'B', CAST(1.594500 AS Decimal(18, 6)), CAST(0x00009CF701499700 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (9, 4, CAST(3.0 AS Decimal(18, 1)), N'B', CAST(1.611000 AS Decimal(18, 6)), CAST(0x00009CFB0083D600 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (10, 4, CAST(1.0 AS Decimal(18, 1)), N'S', CAST(1.616000 AS Decimal(18, 6)), CAST(0x00009CFB00A4CB80 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (11, 4, CAST(2.0 AS Decimal(18, 1)), N'S', CAST(1.611500 AS Decimal(18, 6)), CAST(0x00009CFB0107AC00 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (12, 5, CAST(3.0 AS Decimal(18, 1)), N'B', CAST(1.613000 AS Decimal(18, 6)), CAST(0x00009CFC0083D600 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (13, 5, CAST(1.0 AS Decimal(18, 1)), N'S', CAST(1.618000 AS Decimal(18, 6)), CAST(0x00009CFC0107AC00 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (14, 5, CAST(1.0 AS Decimal(18, 1)), N'S', CAST(1.623000 AS Decimal(18, 6)), CAST(0x00009CFC0083D600 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (15, 5, CAST(1.0 AS Decimal(18, 1)), N'S', CAST(1.628000 AS Decimal(18, 6)), CAST(0x00009CFD00C5C100 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (16, 6, CAST(3.0 AS Decimal(18, 1)), N'B', CAST(1.632000 AS Decimal(18, 6)), CAST(0x00009D020083D600 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (17, 6, CAST(1.0 AS Decimal(18, 1)), N'S', CAST(1.637000 AS Decimal(18, 6)), CAST(0x00009D0200A4CB80 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (18, 6, CAST(2.0 AS Decimal(18, 1)), N'S', CAST(1.630000 AS Decimal(18, 6)), CAST(0x00009D0200C5C100 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (19, 7, CAST(3.0 AS Decimal(18, 1)), N'B', CAST(1.634500 AS Decimal(18, 6)), CAST(0x00009D0201499700 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (20, 7, CAST(1.0 AS Decimal(18, 1)), N'S', CAST(1.639500 AS Decimal(18, 6)), CAST(0x00009D0300000000 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (21, 7, CAST(1.0 AS Decimal(18, 1)), N'S', CAST(1.644500 AS Decimal(18, 6)), CAST(0x00009D030083D600 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (22, 7, CAST(1.0 AS Decimal(18, 1)), N'S', CAST(1.637500 AS Decimal(18, 6)), CAST(0x00009D0300C5C100 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (23, 8, CAST(3.0 AS Decimal(18, 1)), N'S', CAST(1.625000 AS Decimal(18, 6)), CAST(0x00009D0400C5C100 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (24, 8, CAST(1.0 AS Decimal(18, 1)), N'B', CAST(1.620000 AS Decimal(18, 6)), CAST(0x00009D050083D600 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (25, 8, CAST(1.0 AS Decimal(18, 1)), N'B', CAST(1.615000 AS Decimal(18, 6)), CAST(0x00009D0500A4CB80 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (26, 8, CAST(1.0 AS Decimal(18, 1)), N'B', CAST(1.623000 AS Decimal(18, 6)), CAST(0x00009D050107AC00 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (27, 9, CAST(3.0 AS Decimal(18, 1)), N'S', CAST(1.618000 AS Decimal(18, 6)), CAST(0x00009D0600C5C100 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (28, 9, CAST(1.0 AS Decimal(18, 1)), N'B', CAST(1.613000 AS Decimal(18, 6)), CAST(0x00009D0600D63BC0 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (29, 9, CAST(1.0 AS Decimal(18, 1)), N'B', CAST(1.608000 AS Decimal(18, 6)), CAST(0x00009D0600E6B680 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (30, 9, CAST(1.0 AS Decimal(18, 1)), N'B', CAST(1.613300 AS Decimal(18, 6)), CAST(0x00009D0601391C40 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (31, 10, CAST(3.0 AS Decimal(18, 1)), N'B', CAST(1.614500 AS Decimal(18, 6)), CAST(0x00009D090083D600 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (32, 10, CAST(1.0 AS Decimal(18, 1)), N'S', CAST(1.619500 AS Decimal(18, 6)), CAST(0x00009D090107AC00 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (33, 10, CAST(1.0 AS Decimal(18, 1)), N'S', CAST(1.624500 AS Decimal(18, 6)), CAST(0x00009D0901499700 AS DateTime))
INSERT [dbo].[orders] ([orderId], [tradeId], [amount], [buySell], [rate], [orderDateTime]) VALUES (34, 10, CAST(1.0 AS Decimal(18, 1)), N'S', CAST(1.619000 AS Decimal(18, 6)), CAST(0x00009D0A0083D600 AS DateTime))
SET IDENTITY_INSERT [dbo].[orders] OFF
/****** Object:  ForeignKey [FK_orders_trades]    Script Date: 04/02/2010 15:05:31 ******/
ALTER TABLE [dbo].[orders]  WITH CHECK ADD  CONSTRAINT [FK_orders_trades] FOREIGN KEY([tradeId])
REFERENCES [dbo].[trades] ([tradeId])
GO
ALTER TABLE [dbo].[orders] CHECK CONSTRAINT [FK_orders_trades]
GO

Заранее спасибо за любую помощь!

1 Ответ

2 голосов
/ 02 апреля 2010

Похоже, что group by сделает свое дело: 

select
    t.tradeId
,   cast(SUM(case buySell 
        when 'S' then 1
        when 'B' then -1
        end * o.rate * o.amount) * 1000 as int) as pipsProfit
from trades t
join orders o on o.tradeId = t.tradeId
group by t.tradeId

В результате: 

tradeId pipsProfit
1   -27
2   10
3   7
4   6
5   30
6   1
7   18
8   3263
9   19
10  19
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