Exclude nulls from postgres window function - sql

Question

For each row, I want to take average of last 20 non-null values using.
The window function is taking 20 rows below including the null ones and calculating average, while I want average of last 20 non null rows.
What I have tried?
WITH adv_calculated AS (
SELECT security_id AS sec_id,
date AS pd,
AVG(volume)
OVER (PARTITION BY (security_id) ORDER BY date ROWS BETWEEN 20 PRECEDING AND CURRENT ROW) AS adv
FROM tbl_financial_index_data
WHERE volume IS NOT NULL
GROUP BY security_id, date
)
UPDATE tbl_financial_index_data
SET adv = amc.adv
FROM adv_calculated amc
WHERE amc.sec_id = security_id
AND amc.pd = date
This solution works good for all rows where volume is NOT null but it does not calculate the adv/average for the rows where volume is NULL.
Then for the null adv and volume rows, I have to run this query which is really slow
UPDATE tbl_financial_index_data
SET average_daily_volume =
(SELECT avg(t.volume)
FROM (
SELECT a.volume
FROM tbl_financial_index_data a
WHERE a.security_id = tbl_financial_index_data.security_id
AND a.date::date <= tbl_financial_index_data.date::date
AND a.volume IS NOT NULL
ORDER BY a.date DESC
LIMIT 21
) t)
WHERE volume IS NULL;
I want to avoid using the second query and calculate ADV for all rows using first query (because it is much faster).

Answer 1

Simply omit the WHERE condition WHERE volume IS NOT NULL, then you should get what you want.
You can nest the query in an outer query to remove the undesired values later:
WITH adv_calculated AS (
SELECT ...
FROM (SELECT AVG(volume) OVER (... ROWS BETWEEN ... AND ...),
...
FROM tbl_financial_index_data
GROUP BY security_id, date
) AS subq
WHERE volume IS NOT NULL
)
SELECT ...

Answer 2

This is just a work around
Okay, so I found the solution.
If the volume is null for some row then the adv for that row is going to be equal to the previous non-null volume row's adv, so I had to find some way to carry forward previous non-null adv for rows where it is null.
I was able to find a way to do that from this answer.
Here's the code to carry forward the non-null value:
WITH temp_adv_filled_values AS (
SELECT security_id,
date,
FIRST_VALUE(adv) OVER W AS adv
FROM (
SELECT security_id,
date,
adv,
SUM(CASE WHEN volume IS NULL THEN 0 ELSE 1 END)
OVER (PARTITION BY security_id ORDER BY date ) AS value_partition
FROM tbl_financial_index_data
) AS q
WINDOW W AS (PARTITION BY security_id, value_partition ORDER BY date)
)
UPDATE tbl_financial_index_data tfid
SET adv = tmcfv.adv
FROM temp_adv_filled_values tmcfv
WHERE tmcfv.security_id = tfid.security_id
AND tmcfv.date = tfid.date;