How to create a custom windowing function for PostgreSQL? (Running Average Example)

Question

I would really like to better understand what is involved in creating a UDF that operates over windows in PostgreSQL. I did some searching about how to create UDFs in genera

Answer 1

According to the documentation "Other window functions can be added by the user. Also, any built-in or user-defined normal aggregate function can be used as a window function." (section 4.2.8). That worked for me for computing stock split adjustments:

CREATE OR REPLACE FUNCTION prod(float8, float8) RETURNS float8
  AS 'SELECT $1 * $2;'
  LANGUAGE SQL IMMUTABLE STRICT;

CREATE AGGREGATE prods ( float8 ) (
  SFUNC = prod,
  STYPE = float8,
  INITCOND = 1.0
);

create or replace view demo.price_adjusted as
  select id, vd,
    prods(sdiv) OVER (PARTITION by id ORDER BY vd DESC ROWS UNBOUNDED PRECEDING) as adjf,
    rawprice * prods(sdiv) OVER (PARTITION by id ORDER BY vd DESC ROWS UNBOUNDED PRECEDING) as price
  from demo.prices_raw left outer join demo.adjustments using (id,vd);

Here are the schemas of the two tables:

CREATE TABLE demo.prices_raw (
  id VARCHAR(30),
  vd DATE,
  rawprice float8 );

CREATE TABLE demo.adjustments (
  id VARCHAR(30),
  vd DATE,
  sdiv float);