last and first value from group - sql

Question

I have a task: get first, last, max, min from each group (by time) of data. My solution works but it is extremely slow because row count in table is about 50 million.
How can i improve performance of this query:
SELECT
date_trunc('minute', t_ordered."timestamp"),
MIN (t_ordered.price),
MAX (t_ordered.price),
FIRST (t_ordered.price),
LAST (t_ordered.price)
FROM(
SELECT t.price, t."timestamp"
FROM trade t
WHERE t."timestamp" >= '2016-01-01' AND t."timestamp" < '2016-09-01'
ORDER BY t."timestamp" ASC
) t_ordered
GROUP BY 1
ORDER BY 1
FIRST and LAST are aggregate functions from postgresql wiki
Timestamp column indexed.
explain (analyze, verbose):
GroupAggregate (cost=13112830.84..33300949.59 rows=351556 width=14) (actual time=229538.092..468212.450 rows=351138 loops=1)
Output: (date_trunc('minute'::text, t_ordered."timestamp")), min(t_ordered.price), max(t_ordered.price), first(t_ordered.price), last(t_ordered.price)
Group Key: (date_trunc('minute'::text, t_ordered."timestamp"))
-> Sort (cost=13112830.84..13211770.66 rows=39575930 width=14) (actual time=229515.281..242472.677 rows=38721704 loops=1)
Output: (date_trunc('minute'::text, t_ordered."timestamp")), t_ordered.price
Sort Key: (date_trunc('minute'::text, t_ordered."timestamp"))
Sort Method: external sort Disk: 932656kB
-> Subquery Scan on t_ordered (cost=6848734.55..7442373.50 rows=39575930 width=14) (actual time=102166.368..155540.492 rows=38721704 loops=1)
Output: date_trunc('minute'::text, t_ordered."timestamp"), t_ordered.price
-> Sort (cost=6848734.55..6947674.38 rows=39575930 width=14) (actual time=102165.836..130971.804 rows=38721704 loops=1)
Output: t.price, t."timestamp"
Sort Key: t."timestamp"
Sort Method: external merge Disk: 993480kB
-> Seq Scan on public.trade t (cost=0.00..1178277.21 rows=39575930 width=14) (actual time=0.055..25726.038 rows=38721704 loops=1)
Output: t.price, t."timestamp"
Filter: ((t."timestamp" >= '2016-01-01 00:00:00'::timestamp without time zone) AND (t."timestamp" < '2016-09-01 00:00:00'::timestamp without time zone))
Rows Removed by Filter: 9666450
Planning time: 1.663 ms
Execution time: 468949.753 ms
Maybe it can be done by window functions? I have tried but i do not have enough knowledge to use them

Answer 1

Creating a type and adequate aggregates will hopefully work better:
create type tp as (timestamp timestamp, price int);
create or replace function min_tp (tp, tp)
returns tp as $$
select least($1, $2);
$$ language sql immutable;
create aggregate min (tp) (
sfunc = min_tp,
stype = tp
);
The min and max (not listed) aggregate functions will reduce the query to a single loop:
select
date_trunc('minute', timestamp) as minute,
min (price) as price_min,
max (price) as price_max,
(min ((timestamp, price)::tp)).price as first,
(max ((timestamp, price)::tp)).price as last
from t
where timestamp >= '2016-01-01' and timestamp < '2016-09-01'
group by 1
order by 1
explain (analyze, verbose):
GroupAggregate (cost=6954022.61..27159050.82 rows=287533 width=14) (actual time=129286.817..510119.582 rows=351138 loops=1)
Output: (date_trunc('minute'::text, "timestamp")), min(price), max(price), (min(ROW("timestamp", price)::tp)).price, (max(ROW("timestamp", price)::tp)).price
Group Key: (date_trunc('minute'::text, trade."timestamp"))
-> Sort (cost=6954022.61..7053049.25 rows=39610655 width=14) (actual time=129232.165..156277.718 rows=38721704 loops=1)
Output: (date_trunc('minute'::text, "timestamp")), price, "timestamp"
Sort Key: (date_trunc('minute'::text, trade."timestamp"))
Sort Method: external merge Disk: 1296392kB
-> Seq Scan on public.trade (cost=0.00..1278337.71 rows=39610655 width=14) (actual time=0.035..45335.947 rows=38721704 loops=1)
Output: date_trunc('minute'::text, "timestamp"), price, "timestamp"
Filter: ((trade."timestamp" >= '2016-01-01 00:00:00'::timestamp without time zone) AND (trade."timestamp" < '2016-09-01 00:00:00'::timestamp without time zone))
Rows Removed by Filter: 9708857
Planning time: 0.286 ms
Execution time: 510648.395 ms