Looking up value by another value - sql

Question

I am running SQL Server 2016 and have the following problem which seems quite basic but I cannot figure it out. I have a table Prices, which holds prices of different securities, with columns
idTag varchar(12) NOT NULL
ts datetime2 NOT NULL
price float NOT NULL
I also have another table Data with columns idTag and ts, where tags match exactly, but timestamps don't. I would like to find the corresponding prices for each row of the Data table (equivalent to constant interpolation in time).
For example, sample values in Prices may be
idTag | ts | price
=================================
IBM | 2020-01-01 13:00 | 100.23
IBM | 2020-01-01 13:05 | 100.34
IBM | 2020-01-01 13:10 | 100.45
IBM | 2020-01-01 13:15 | 100.29
IBM | 2020-01-01 13:20 | 100.31
and the sample values of the Data table may be
idTag | ts
========================
IBM | 2020-01-01 13:01
IBM | 2020-01-01 13:03
IBM | 2020-01-01 13:17
IBM | 2020-01-01 13:18
IBM | 2020-01-01 13:20
The expected output would be
idTag | ts | price
=================================
IBM | 2020-01-01 13:01 | 100.23
IBM | 2020-01-01 13:03 | 100.23
IBM | 2020-01-01 13:17 | 100.29
IBM | 2020-01-01 13:18 | 100.29
IBM | 2020-01-01 13:20 | 100.31
If the time stamps in both tables would match, I cuold write an INNER JOIN, but here, the timestamps don't match. I could also do this in code, e.q. Python or Java, but Prices has more than 150 million rows, I would rather not read that in.
Is there a way to do this in SQL?
Thank you very much

Answer 1

You can get the latest price for a date in a subquery.
select
idtag, ts,
(
select top(1) price
from prices p
where p.idtag = d.idtag
and p.ts <= d.ts
order by p.ts desc
) as price
from data d
order by idtag, ts;
(You could also move this subquery to the FROM clause and use CROSS APPLY).
Recommended index:
create index idx on prices(idtag, ts, price);

Answer 2

Sure, use an analytic to copy the next value of ts into the current row then use a ranged predicate:
select *
from
(select *, lead(ts) over(partition by idtag order by ts) as nextts from prices) p
inner join data d
on
d.idtag = p.idtag and
d.ts >= p.ts and
d.ts < p.nextts
where
idtag = 'IBM'
Might take a while to do on hundreds of millions of rows..