在QuestDB中计算累积Tick和Trin以进行市场情绪分析

Question

我正在尝试计算tick和trin，如Databento的这个python脚本所示，但使用QuestDB的SQL。

下面的 sql 工作正常（创建表 SQL 和下面的演示行），但只给我总的 Tick 和 Trin。我希望获得当天每一行的累积值。

WITH tick_vol AS (
    SELECT 
        SUM(CASE WHEN side = 'sell' THEN 1 END)  as downtick,
        SUM(CASE WHEN side = 'buy' THEN 1 END)  as uptick,
        SUM(CASE WHEN side = 'sell' THEN amount END)  as downvol,
        SUM(CASE WHEN side = 'buy' THEN amount END)  as upvol
    FROM trades
    where timestamp in '2023-12-01'
)
SELECT 
    *, 
    uptick::double / downtick as tick, 
    (uptick::double / downtick) / (upvol::double / downvol) as trin 
FROM tick_vol;

CREATE TABLE 'trades' (
  symbol SYMBOL capacity 256 CACHE,
  side SYMBOL capacity 256 CACHE,
  price DOUBLE,
  amount DOUBLE,
  timestamp TIMESTAMP
) timestamp (timestamp) PARTITION BY DAY WAL;

INSERT INTO trades (timestamp, side, amount)
VALUES 
('2023-12-01T10:00:00.000Z', 'sell', 100),
('2023-12-01T10:01:00.000Z', 'buy', 50),
('2023-12-01T10:02:00.000Z', 'sell', 150),
('2023-12-01T10:03:00.000Z', 'buy', 100),
('2023-12-01T10:04:00.000Z', 'buy', 200);

Answer 1

我们可以将已有的

SUM

 重新用作窗口函数，并且它可以工作。请注意，我已经将 downtick/uptick 设置为 1.0，因此它将被解释为 double，我们不再需要进行任何显式转换

WITH tick_vol AS (
    SELECT 
        timestamp, 
        side, 
        amount,
        SUM(CASE WHEN side = 'sell' THEN 1.0 END) OVER (ORDER BY timestamp) as downtick,
        SUM(CASE WHEN side = 'buy' THEN 1.0 END) OVER (ORDER BY timestamp) as uptick,
        SUM(CASE WHEN side = 'sell' THEN amount END) OVER (ORDER BY timestamp) as downvol,
        SUM(CASE WHEN side = 'buy' THEN amount END) OVER (ORDER BY timestamp) as upvol
    FROM trades
    where timestamp in '2023-12-01'
)
SELECT 
    *, 
    uptick / downtick as tick, 
    (uptick / downtick) / (upvol / downvol) as trin 
FROM tick_vol;

查询返回滚动刻度和 trin，并且正如预期的那样，最后一行与初始查询具有相同的结果

"timestamp","side","amount","downtick","uptick","downvol","upvol","tick","trin"
"2023-12-01T10:00:00.000000Z","sell",100.0,1.0,,100.0,,,
"2023-12-01T10:01:00.000000Z","buy",50.0,1.0,1.0,100.0,50.0,1.0,2.0
"2023-12-01T10:02:00.000000Z","sell",150.0,2.0,1.0,250.0,50.0,0.5,2.5
"2023-12-01T10:03:00.000000Z","buy",100.0,2.0,2.0,250.0,150.0,1.0,1.666666666666
"2023-12-01T10:04:00.000000Z","buy",200.0,2.0,3.0,250.0,350.0,1.5,1.071428571428