Group OHLC-Stockmarket Data into multiple timeframes - Mysql

Question

I need to group stockmarket \"1min\" data with {Name, DateTime, Open, High, Low, Close, Volume} into different timeframes ie. \"5mins/15mins/60mins\" on MYSQL. Schema built

Answer 1

I know this is an old question, but look at this much "simpler" solution. There is a trick for open and close price. You might like it.

SELECT
  FLOOR(MIN(`timestamp`)/"+period+")*"+period+" AS timestamp,
  SUM(amount) AS volume,
  SUM(price*amount)/sum(amount) AS wavg_price,
  SUBSTRING_INDEX(MIN(CONCAT(`timestamp`, '_', price)), '_', -1) AS `open`,
  MAX(price) AS high,
  MIN(price) AS low,
  SUBSTRING_INDEX(MAX(CONCAT(`timestamp`, '_', price)), '_', -1) AS `close`
FROM transactions_history -- this table has 3 columns (timestamp, amount, price)
GROUP BY FLOOR(`timestamp`/"+period+")
ORDER BY timestamp  

period is in seconds

Answer 2

Finally resolved the issue with the following mysql query:

select min(a.mydate),max(a.myhigh) as high,min(a.mylow) as low, 
min(case when rn_asc = 1 then a.myopen end) as open,
min(case when rn_desc = 1 then b.myclose end) as close

from( 

select 
@i := if((@lastdate) != (Floor(unix_timestamp(mydate)/300 )), 1, @i + 1) as rn_asc,
          mydate, myhigh, mylow, myopen, myclose,
          @lastdate := (Floor(unix_timestamp(mydate)/300 ))

from
  onemindata_1,
  (select @i := 0) vt1,
  (select @lastdate := null) vt2 order by mydate

) a

inner join(

select 
@j := if((@lastdate1) != (Floor(unix_timestamp(mydate)/300 )), 1, @j + 1) as rn_desc,
          mydate,myclose,
          @lastdate1 := (Floor(unix_timestamp(mydate)/300 ))

from
  onemindata_1,
  (select @j := 0) vt1,
  (select @lastdate1 := null) vt2 order by mydate desc

)b
on a.mydate=b.mydate
group by (Floor(unix_timestamp(a.mydate)/300 ))

Toughest part was to get the Open and Close for the "Specific Time Intervals". I am doing an inner join of 'high,low,open' with 'close' on 'date'. I can switch the time intervals by changing the denominator in (Floor(unix_timestamp(mydate)/300 )). Currently not worried about the performance as long as it works :).

Answer 3

Query has error, change MIN to MAX for Close price:

SELECT
  FLOOR(MIN(`timestamp`)/"+period+")*"+period+" AS timestamp,
  SUM(amount) AS volume,
  SUM(price*amount)/sum(amount) AS wavg_price,
  SUBSTRING_INDEX(MIN(CONCAT(`timestamp`, '_', price)), '_', -1) AS `open`,
  MAX(price) AS high,
  MIN(price) AS low,
  SUBSTRING_INDEX(MAX(CONCAT(`timestamp`, '_', price)), '_', -1) AS `close`
FROM transactions_history -- this table has 3 columns (timestamp, amount, price)
GROUP BY FLOOR(`timestamp`/"+period+")
ORDER BY timestamp  

Answer 4

I found that the solution of @Ruslan doesn't work in latest versions of MySQL so posting a version that works:

select 
date_add(str_to_date(date_format(ev.startdatetime, '%Y-%m-%d'),'%Y-%m-%d'), interval 
 hour(ev.startdatetime)*60 + floor(minute(ev.startdatetime)/5)*5 minute) timeframe
 , sum(ev.volume) volume
 , min(ev.startdatetime) mintime
 , substring_index(group_concat(open),',',1) open
 , max(high) as high 
 , min(low) as low
 , substring_index(group_concat(close),',',-1) close
from es1min_v ev
group by 
date_add(str_to_date(date_format(ev.startdatetime, '%Y-%m-%d'),'%Y-%m-%d'), interval 
 hour(ev.startdatetime)*60 + floor(minute(ev.startdatetime)/5)*5 minute)