Group timestamped record by 5, 10, 15 minutes block - sql

Question

I have minute to minute financial records stored in similar format in my table,
dt | open | high | low | close | vol
---------------------+----------+----------+----------+----------+-------
2018-05-04 15:30:00 | 171.0000 | 171.3000 | 170.9000 | 171.0000 | 42817
2018-05-04 15:29:00 | 170.8000 | 171.0000 | 170.8000 | 170.9500 | 32801
2018-05-04 15:28:00 | 170.8500 | 171.0000 | 170.8000 | 170.8000 | 22991
2018-05-04 15:27:00 | 170.8500 | 170.8500 | 170.7500 | 170.8000 | 40283
2018-05-04 15:26:00 | 170.9500 | 171.0000 | 170.8000 | 170.8500 | 46636
and so on.
I want to group them into blocks of 5 minutes, 10 minutes, 60 minutes just like candlesticks. Using date_trunc('hour', dt) is not possible as I want to group them as block of last 60 minutes, last 15 minutes etc.
I am using PostgreSQL.

Answer 1

You should use a GROUP BY with :
floor(extract('epoch' from dt) / 300)
to have your data grouped in 5 minutes intervals. 300 is the number of seconds in 5 minutes. Thus if you want 10 minutes, you'd divide by 600. If you want 1 hour, by 3600.
If you want your interval to begin at 00 05 10, use floor(). If you want them to finish at 00, 05, 10, use ceil()
In the SELECT clause, you should re-transform the Unix epoch used in the GROUP BY into a timestamp using
to_timestamp(floor((extract('epoch' from dt) / 300)) * 300) as ts
Its not clear if you want all the "block" results in the same query, I assumed yes if you want a candlestick graph. I have also logically deduced the right aggregate function (MIN, MAX, AVG, SUM) for each column, following their names . You might have to adapt this.
Here we go :
SELECT '5 minutes' as block,
to_timestamp(floor((extract('epoch' from dt) / 300)) * 300) as ts,
round(AVG(open),4) as avg_open,
round(MAX(high),4) as max_high,
round(MIN(low),4) as min_low,
round(AVG(close),4) as avg_close,
SUM(vol) as sum_vol
FROM mytable
GROUP BY floor(extract('epoch' from dt) / 300)
UNION ALL
SELECT '10 minutes' as block,
to_timestamp(floor((extract('epoch' from dt) / 600)) * 600) as ts,
round(AVG(open),4) as avg_open,
round(MAX(high),4) as max_high,
round(MIN(low),4) as min_low,
round(AVG(close),4) as avg_close,
SUM(vol) as sum_vol
FROM mytable
GROUP BY floor(extract('epoch' from dt) / 600)
UNION ALL
SELECT '1 hour' as block,
to_timestamp(floor((extract('epoch' from dt) / 3600)) * 3600) as ts,
round(AVG(open),4) as avg_open,
round(MAX(high),4) as max_high,
round(MIN(low),4) as min_low,
round(AVG(close),4) as avg_close,
SUM(vol) as sum_vol
FROM mytable
GROUP BY floor(extract('epoch' from dt) / 3600)
Results:
block ts avg_open max_high min_low avg_close sum_vol
5 minutes 04.05.2018 17:30:00 171 171,3 170,9 171 42817
5 minutes 04.05.2018 17:25:00 170,8625 171 170,75 170,85 142711
10 minutes 04.05.2018 17:20:00 170,8625 171 170,75 170,85 142711
10 minutes 04.05.2018 17:30:00 171 171,3 170,9 171 42817
1 hour 04.05.2018 17:00:00 170,89 171,3 170,75 170,88 185528
Test it on REXTESTER

Answer 2

You can use generate_series() to create any range you want
SQL DEMO:
SELECT dd as start_range, dd + '30 min'::interval as end_range
FROM generate_series
( '2018-05-05'::timestamp
, '2018-05-06'::timestamp
, '30 min'::interval) dd
;
Then check if your record fall on that range.