SQL Server - group and number matching contiguous values - sql

Question

I have a list of stock transactions and I am using Over(Partition By) to calculate the running totals (positions) by security. Over time a holding in a particular security can be long, short or flat. I am trying to find an efficient way to extract only the transactions relating to the current position for each security.
I have created a simplified sqlfiddle to show what I have so far. The cte query generates the running total for each security (code_id) and identifies when the holdings are long (L), short (s) or flat (f). What I need is to group and number matching contiguous values of L, S or F for each code_id.
What I have so far is this:
; WITH RunningTotals as
(
SELECT
*,
RunningTotal = sum(qty) OVER (Partition By code_id Order By id)
FROM
TradeData
), LongShortFlat as
(
SELECT
*,
LSF = CASE
WHEN RunningTotal > 0 THEN 'L'
WHEN RunningTotal < 0 THEN 'S'
ELSE 'F'
END
FROM
RunningTotals
)
SELECT
*
FROM
LongShortFlat r
I think what I need to do is create a GroupNum column by applying a row_number for each group of L, S and F within each code_id so the results look like this:
id code_id qty RunningTotal LSF GroupNum
1 1 5 5 L 1
2 1 2 7 L 1
3 1 7 14 L 1
4 1 -3 11 L 1
5 1 -5 6 L 1
6 1 -6 0 F 2
7 1 5 5 L 3
8 1 5 10 L 3
9 1 -2 8 L 3
10 1 -4 4 L 3
11 2 5 5 L 1
12 2 3 8 L 1
13 2 -4 4 L 1
14 2 -2 2 L 1
15 2 -2 0 F 2
16 2 6 6 L 3
17 2 -5 1 L 3
18 2 -5 -4 S 4
19 2 2 -2 S 4
20 2 4 2 L 5
21 2 -5 -3 S 6
22 2 -2 -5 S 6
23 3 5 5 L 1
24 3 2 7 L 1
25 3 1 8 L 1
I am struggling to generate the GroupNum column.
Thanks in advance for your help.

Answer 1

[Revised]
Sorry about that, I read your question too quickly. I came up with a solution using a recursive common table expression (below), then saw that you've worked out a solution using LAG. I'll post my revised query anyway, for posterity. Either way, the resulting query is (imho) pretty ugly.
;WITH cteBaseAgg
as (
-- Build the "sum increases over time" data
SELECT
row_number() over (partition by td.code_id order by td.code_id, td.Id) RecurseKey
,td.code_id
,td.id
,td.qty
,sum(tdPrior.qty) RunningTotal
,case
when sum(tdPrior.qty) > 0 then 'L'
when sum(tdPrior.qty) < 0 then 'S'
else 'F'
end LSF
from dbo.TradeData td
inner join dbo.TradeData tdPrior
on tdPrior.code_id = td.code_id -- All for this code_id
and tdPrior.id <= td.Id -- For this and any prior Ids
group by
td.code_id
,td.id
,td.qty
)
,cteRecurse
as (
-- "Set" the first row for each code_id
SELECT
RecurseKey
,code_id
,id
,qty
,RunningTotal
,LSF
,1 GroupNum
from cteBaseAgg
where RecurseKey = 1
-- For each succesive row in each set, check if need to increment GroupNum
UNION ALL SELECT
agg.RecurseKey
,agg.code_id
,agg.id
,agg.qty
,agg.RunningTotal
,agg.LSF
,rec.GroupNum + case when rec.LSF = agg.LSF then 0 else 1 end
from cteBaseAgg agg
inner join cteRecurse rec
on rec.code_id = agg.code_id
and agg.RecurseKey - 1 = rec.RecurseKey
)
-- Show results
SELECT
id
,code_id
,qty
,RunningTotal
,LSF
,GroupNum
from cteRecurse
order by
code_id
,id

Answer 2

Sorry for making this question a bit more complicated than it needed to be but for the sake of closure I have found a solution using the lag function.
In order to achieve what I wanted I continued my cte above with the following:
, a as
(
SELECT
*,
Lag(LSF, 1, LSF) OVER(Partition By code_id ORDER BY id) AS prev_LSF,
Lag(code_id, 1, code_id) OVER(Partition By code_id ORDER BY id) AS prev_code
FROM
LongShortFlat
), b as
(
SELECT
id,
LSF,
code_id,
Sum(CASE
WHEN LSF <> prev_LSF AND code_id = prev_code
THEN 1
ELSE 0
END) OVER(Partition By code_id ORDER BY id) AS grp
FROM
a
)
select * from b order by id
Here is the updated sqlfiddle.