How to apply adjustment factor to stock prices in SQL? - sql

Question

I have 2 tables - Table A(Stock prices with date and symbols) and Table B(Adjustment factor and the effective date *adjustment factor is applicable for all dates before the effective date)
Table A -
date
symbol
price
2021-07-23
IRCON
45
2021-07-23
TIDEWATER
14891
2021-07-22
TIDEWATER
15309
2021-07-22
IRCON
45
2020-04-03
IRCON
91
2020-04-03
TIDEWATER
3182
2020-04-01
IRCON
393
2020-04-01
TIDEWATER
3171
2020-03-31
IRCON
381
2020-03-31
TIDEWATER
3207
Table B -
symbol
effective_date
adjustment_factor
TIDEWATER
2021-07-26
3
IRCON
2021-07-26
2
IRCON
2020-04-03
5
Requirement is -
The adjustment_factor of symbol needs to be applied(as a divisor) to Prices of symbol for all the dates less than effective_date of that adjustment_factor
E.g- For IRCON and adjustment_factor of 2 dated 2021-07-26, all prices of IRCON in Table A earlier than 2021-07-26 need to be divided by 2.
Similarly, for IRCON, adjustment_factor of 5 dated 2021-04-03,all prices of IRCON in Table A earlier than 2021-04-03 need to be divided by 5
(so, effectively all prices of IRCON before 2021-04-03 need to be divided by 2x5=10)
Desired output -
date
symbol
price
adjustment_factor
adjusted_price
2021-07-23
IRCON
45
2
22.38
2021-07-23
TIDEWATER
14891
3
4963.75
2021-07-22
TIDEWATER
15309
3
5103.00
2021-07-22
IRCON
45
2
22.58
2020-04-03
IRCON
91
2
45.43
2020-04-03
TIDEWATER
3182
3
1060.50
2020-04-01
IRCON
393
10=2x5
39.30
2020-04-01
TIDEWATER
3171
3
1057.13
2020-03-31
IRCON
381
10=2x5
38.10
2020-03-31
TIDEWATER
3207
3
1069.13
I have been trying using INNER JOIN, however, I am stuck for prices that need to be divided multiple times. There are some prices that need to be adjusted/divided with 5-6 factors combined/multiplied together. Is it possible to write some query for this in Postgres, maybe using Windows functions? Is there any scalable query to do this?

Answer 1

I am pretty sure there must be a better solution, But till the time you are not finding a better solution, You may try below solution -
SELECT A.date, A.symbol, A.price,
(SELECT COALESCE((SELECT adjustment_factor
FROM B B2
WHERE B1.symbol = B2.symbol
AND B1.effective_date < B2.effective_date), 1)*B1.adjustment_factor adjustment_factor
FROM B B1
WHERE A.symbol = B1.symbol
AND A.date < B1.effective_date
ORDER BY B1.effective_date
LIMIT 1),
ROUND(A.price :: DECIMAL / (SELECT COALESCE((SELECT adjustment_factor
FROM B B2
WHERE B1.symbol = B2.symbol
AND B1.effective_date < B2.effective_date), 1)*B1.adjustment_factor
FROM B B1
WHERE A.symbol = B1.symbol
AND A.date <= B1.effective_date
ORDER BY B1.effective_date
LIMIT 1), 2) adjusted_price
FROM A;
Fiddle Demo.

Answer 2

You can use a lateral join. The real trick is that Postgres (and SQL in general) does not offer a product() aggregation function. However, you can implement one using logs and exponentiation:
select a.*,
b.net_adjustment_factor,
a.price / coalesce(b.net_adjustment_factor, 1)
from a left join lateral
(select exp(sum(ln(adjustment_factor)) over (partition by symbol order by effective_date)) as net_adjustment_factor
from b
where b.symbol = a.symbol and
b.effective_date >= a.date
) b
on 1=1;
Here is a db-fiddle.