Outer table reference in sub-select - sql

Question

I have two tables, one that represents stock trades:
Blotter
TradeDate Symbol Shares Price
2014-09-02 ABC 100 157.79
2014-09-10 ABC 200 72.50
2014-09-16 ABC 100 36.82
and one that stores a history of stock splits for all symbols:
Splits
SplitDate Symbol Factor
2014-09-08 ABC 2
2014-09-15 ABC 2
2014-09-20 DEF 2
I am trying to write a report that reflects trades and includes what their current split adjustment factor should be. For these table values, I would expect the report to look like:
TradeDate Symbol Shares Price Factor
2014-09-02 ABC 100 157.79 4
2014-09-10 ABC 200 72.50 2
2014-09-16 ABC 100 36.82 1
The first columns are taken straight from Blotter - the Factor should represent the split adjustments that have taken place since the trade occurred (the Price is not split-adjusted).
Complicating matters is that each symbol could have multiple splits, which means I can't just OUTER JOIN the Splits table or I will start duplicating rows.
I have a subquery that I adapted from https://stackoverflow.com/a/3912258/3063706 to allow me to calculate the product of rows, grouped by symbol, but how do I only return the product of all Splits records with SplitDates occurring after the TradeDate?
A query like the following
SELECT tb.TradeDate, tb.Symbol, tb.Shares, tb.Price, ISNULL(s.Factor, 1) AS Factor
FROM Blotter tb
LEFT OUTER JOIN (
SELECT Symbol, EXP(Factor) AS Factor
FROM
(SELECT Symbol, SUM(LOG(ABS(NULLIF(Factor, 0)))) AS Factor
FROM Splits s
WHERE s.SplitDate > tb.TradeDate -- tb is unknown here
GROUP BY Symbol
) splits) s
ON s.Symbol = tb.Symbol
returns the error "Msg 4104, Level 16, State 1, Line 1 The multi-part identifier "tb.TradeDate" could not be bound."
Without the inner WHERE clause I get results like:
TradeDate Symbol Shares Price Factor
2014-09-02 ABC 100 157.79 4
2014-09-10 ABC 200 72.50 4
2014-09-16 ABC 100 36.82 4
Update The trade rows in Blotter are not guaranteed to be unique, so I think that rules out one suggested solution using a GROUP BY.

Answer 1

One way without changing the logic too much is to put the factor calculation into a table valued function:
create function dbo.FactorForDate(
#Symbol char(4), #TradeDate datetime
) returns table as
return (
select
exp(Factor) as Factor
from (
select
sum(log(abs(nullif(Factor, 0)))) as Factor
from
Splits s
where
s.SplitDate > #TradeDate and
s.Symbold = #Symbol
) splits
);
select
tb.TradeDate,
tb.Symbol,
tb.Shares,
tb.Price,
isnull(s.Factor, 1) as Factor
from
Blotter tb
outer apply
dbo.FactorForDate(tb.Symbol, tb.TradeDate) s;
To do it in a single statement is going to be something like:
select
tb.TradeDate,
tb.Symbol,
tb.Shares,
tb.Price,
isnull(exp(sum(log(abs(nullif(factor, 0))))), 1) as Factor
from
Blotter tb
left outer join
Symbol s
on s.Symbol = tb.Symbol and s.SplitDate > tb.TradeDate
group by
tb.TradeDate,
tb.Symbol,
tb.Shares,
tb.Price;
This will probably perform better if you can get it to work.
Apologies for any syntax errors, don't have access to SQL at the moment.