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@kennyxcao
Created October 28, 2017 02:37
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SELECT
date_trunc('hour', dt) dt,
((array_agg(bid ORDER BY dt ASC))[1] +
(array_agg(ask ORDER BY dt ASC))[1])/2 o,
(MAX(bid) + MAX(ask))/2 h,
(MIN(bid) + MIN(ask))/2 l,
((array_agg(bid ORDER BY dt DESC))[1] +
(array_agg(ask ORDER BY dt DESC))[1])/2 c,
SUM(bid_vol) bid_vol,
SUM(ask_vol) ask_vol,
COUNT(*) ticks
FROM EURUSD
WHERE dt >= '2017-07-01'
GROUP BY date_trunc('hour', dt)
ORDER BY dt DESC
LIMIT 5;
dt | o | h | l | c | bid_vol | ask_vol | ticks
------------------------+------------------------+------------------------+------------------------+------------------------+-------------+-------------+-------
2017-10-24 23:00:00-07 | 1.17646000000000000000 | 1.17659500000000000000 | 1.17580500000000000000 | 1.17601500000000000000 | 3305130000 | 3114120000 | 1416
2017-10-24 22:00:00-07 | 1.17638000000000000000 | 1.17701000000000000000 | 1.17636500000000000000 | 1.17646500000000000000 | 3559260000 | 3777400000 | 1901
2017-10-24 21:00:00-07 | 1.17611500000000000000 | 1.17654500000000000000 | 1.17606500000000000000 | 1.17637500000000000000 | 4837150000 | 4910810000 | 3194
2017-10-24 20:00:00-07 | 1.17599500000000000000 | 1.17659000000000000000 | 1.17593500000000000000 | 1.17613000000000000000 | 4272990000 | 5269880000 | 2104
2017-10-24 19:00:00-07 | 1.17852500000000000000 | 1.17928500000000000000 | 1.17581500000000000000 | 1.17600500000000000000 | 19965819993 | 19465699999 | 7968
(5 rows)
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