Efficient time series querying in Postgres

Question

I have a table in my PG db that looks somewhat like this:

id | widget_id | for_date | score |

Each referenced widget has a lot of these ite

Answer 1

First of all, you can have a much simpler generate_series() table expression. Equivalent to yours (except for descending order, that contradicts the rest of your question anyways):

SELECT generate_series('2012-01-01'::date, now()::date, '1d')::date

The type date is coerced to timestamptz automatically on input. The return type is timestamptz either way. I use a subquery below, so I can cast to the output to date right away.

Next, max() as window function returns exactly what you need: the highest value since frame start ignoring NULL values. Building on that, you get a radically simple query.

For a given widget_id

Most likely faster than involving CROSS JOIN or WITH RECURSIVE:

SELECT a.day, s.*
FROM  (
   SELECT d.day
         ,max(s.for_date) OVER (ORDER BY d.day) AS effective_date
   FROM  (
      SELECT generate_series('2012-01-01'::date, now()::date, '1d')::date
      ) d(day)
   LEFT   JOIN score s ON s.for_date = d.day
                      AND s.widget_id = 1337 -- "for a given widget_id"
   ) a
LEFT   JOIN score s ON s.for_date = a.effective_date
                   AND s.widget_id = 1337
ORDER  BY a.day;

->sqlfiddle

With this query you can put any column from score you like into the final SELECT list. I put s.* for simplicity. Pick your columns.

If you want to start your output with the first day that actually has a score, simply replace the last LEFT JOIN with JOIN.

Generic form for all widget_id's

Here I use a CROSS JOIN to produce a row for every widget on every date ..

SELECT a.day, a.widget_id, s.score
FROM  (
   SELECT d.day, w.widget_id
         ,max(s.for_date) OVER (PARTITION BY w.widget_id
                                ORDER BY d.day) AS effective_date
   FROM  (SELECT generate_series('2012-05-05'::date
                                ,'2012-05-15'::date, '1d')::date AS day) d
   CROSS  JOIN (SELECT DISTINCT widget_id FROM score) AS w
   LEFT   JOIN score s ON s.for_date = d.day AND s.widget_id = w.widget_id
   ) a
JOIN  score s ON s.for_date = a.effective_date
             AND s.widget_id = a.widget_id  -- instead of LEFT JOIN
ORDER BY a.day, a.widget_id;

->sqlfiddle