FIFO match first stock buys to first sells sql - sql

Question

I have data that looks like this:
Stock buys and sells
I need a query to apply the FIFO method to the Buys and Sells so I get a table that looks like this:
FIFO Buys and Sells
I want to be able to match the first buy/s to the first sells with buys on the left and sells on the right. If there is no sell then Nulls should be applied on the right and if there is no buy then nulls should be applied on the left. The brokerage transaction key can be used as the order in which the trades occurred. This is what I've tried so far. Any help would be much appreciated!
SELECT a.ACCT_ID, a.Trade_Date_Key, a.Brokerage_Transaction_Key, a.Buy_Sell_Code, a.Principal_Amt, a.Security_Quantity
, (a.Security_Quantity + b.Security_Quantity) CUMULATIVE_POSITION
, a.SHARE_PRICE
, (A.Principal_Amt + B.Principal_Amt) CUMULATIVE_VALUE
from #TRANSACTIONS_WITH_RANK a
left join #TRANSACTIONS_WITH_RANK b
on a.acct_id = b.acct_id and a.rank = b.rank + 1
ORDER BY BROKERAGE_TRANSACTION_KEY

Answer 1

In your question you mention matching the first buy(s) with the first sell(s), but your example output seems to ignore that part. Here's an example of how to do if you want to match the first buy(s) to first sell(s) based on the Acct_ID and Trade_Date
SELECT buy.*, sell.*
FROM #TRANSACTIONS_WITH_RANK buy
INNER JOIN (
SELECT MIN(Trade_Date) Trade_Date
FROM #TRANSACTIONS_WITH_RANK
WHERE Buy_Sell_Code = 'B'
GROUP BY Acct_ID
) TDateBuy
ON buy.Trade_Date = TDateBuy.Trade_Date
FULL OUTER JOIN #TRANSACTIONS_WITH_RANK sell
INNER JOIN (
SELECT MIN(Trade_Date) Trade_Date
FROM #TRANSACTIONS_WITH_RANK
WHERE Buy_Sell_Code = 'S'
GROUP BY Acct_ID
) TDateSell
ON sell.Trade_Date = TDateSell.Trade_Date
ON buy.Acct_ID = sell.Acct_ID
EDIT: after seeing OP's comment I have changed the query
SELECT
buy.Acct_ID, buy.Trade_Date, buy.Brokerage_Transaction_Key, buy.Buy_Sell_Code, buy.Principal_Amt, buy.Security_Quantity,
sell.Acct_ID, sell.Trade_Date, sell.Brokerage_Transaction_Key, sell.Buy_Sell_Code, sell.Principal_Amt, sell.Security_Quantity
FROM (
SELECT wr.*, MIN(TransKey) TransKey -- This is the value of the Sell to be joined
FROM #TRANSACTIONS_WITH_RANK wr
LEFT OUTER JOIN (
SELECT MIN(Brokerage_Transaction_Key) TransKey, Acct_ID
FROM (
SELECT
tr.*,
(
SELECT MAX(Brokerage_Transaction_Key) --Purpose is to give outer query value to GROUP on
FROM #TRANSACTIONS_WITH_RANK
WHERE Buy_Sell_Code = 'B'
AND Acct_ID = tr.Acct_ID
AND Brokerage_Transaction_Key < tr.Brokerage_Transaction_Key
) MaxLesserKey
FROM #TRANSACTIONS_WITH_RANK tr
) data
WHERE Buy_Sell_Code = 'S'
GROUP BY Acct_ID, MaxLesserKey
) MinSell
ON wr.Acct_ID = MinSell.Acct_ID
AND wr.Brokerage_Transaction_Key < MinSell.TransKey
WHERE Buy_Sell_Code = 'B'
GROUP BY wr.Acct_ID, Trade_Date, Brokerage_Transaction_Key, Buy_Sell_Code, Principal_Amt, Security_Quantity
) buy
FULL OUTER JOIN (
SELECT wr.*, MIN(MinBuy.TransKey) TransKey -- This is the value of the Buy to be joined
FROM #TRANSACTIONS_WITH_RANK wr
LEFT OUTER JOIN (
SELECT MIN(Brokerage_Transaction_Key) TransKey, Acct_ID
FROM (
SELECT
tr.*,
(
SELECT MAX(Brokerage_Transaction_Key) --Purpose is to give outer query a value to GROUP on
FROM #TRANSACTIONS_WITH_RANK
WHERE Buy_Sell_Code = 'S'
AND Brokerage_Transaction_Key < tr.Brokerage_Transaction_Key
) MaxLesserKey
FROM #TRANSACTIONS_WITH_RANK tr
) data
WHERE Buy_Sell_Code = 'B'
GROUP BY Acct_ID, MaxLesserKey
) MinBuy
ON wr.Acct_ID = MinBuy.Acct_ID
AND wr.Brokerage_Transaction_Key < MinBuy.TransKey
WHERE Buy_Sell_Code = 'S'
GROUP BY wr.Acct_ID, Trade_Date, Brokerage_Transaction_Key, Buy_Sell_Code, Principal_Amt, Security_Quantity
) sell
ON buy.TransKey = sell.Brokerage_Transaction_Key
OR sell.TransKey = buy.Brokerage_Transaction_Key
Basically what this does is grab all Buy(s) and their matching Sell Brokerage_Transaction_Key (TransKey) and does a FULL OUTER JOIN (NULLs out the Buy or Sell side when there are no opposite matching transactions) to the set of Sell(s) and their matching Buy Brokerage_Transaction_Key (TransKey).
The TransKey is the smallest Brokerage_Transaction_Key of the opposite Buy_Sell_Code for each group of Buy(s)/Sell(s). This will give you first Sell to first Buy(s) or first Buy to first Sell(s) per group of transactions for a particular Acct_ID. The MaxLesserKey field is there to just to give the TransKey query a value to GROUP on