SQL query group by nearby timestamp - sql

Question

I have a table with a timestamp column. I would like to be able to group by an identifier column (e.g. cusip), sum over another column (e.g. quantity), but only for rows that are within 30 seconds of each other, i.e. not in fixed 30 second bucket intervals. Given the data:
cusip| quantity| timestamp
============|=========|=============
BE0000310194| 100| 16:20:49.000
BE0000314238| 50| 16:38:38.110
BE0000314238| 50| 16:46:21.323
BE0000314238| 50| 16:46:35.323
I would like to write a query that returns:
cusip| quantity
============|=========
BE0000310194| 100
BE0000314238| 50
BE0000314238| 100
Edit:
In addition, it would greatly simplify things if I could also get the MIN(timestamp) out of the query.

Answer 1

From Sean G solution, I have removed Group By on complete Table. In Fact re adjected few parts for Oracle SQL.
First after finding previous time, assign self parent id. If there a null in Previous Time, then we exclude giving it an ID.
Now based on take the nearest self parent id by avoiding nulls so that all nearest 30 seconds cusip fall under one Group.
As There is a CUSIP column, I assumed the dataset would be large market transactional data. Instead using group by on complete table, use partition by CUSIP and final Group Parent ID for better performance.
SELECT
id,
sub.parent_id,
sub.cusip,
timestamp,
quantity,
sum(sub.quantity) OVER(
PARTITION BY cusip, parent_id
) sum_quantity,
MIN(sub.timestamp) OVER(
PARTITION BY cusip, parent_id
) min_timestamp
FROM
(
SELECT
base_sub.*,
CASE
WHEN base_sub.self_parent_id IS NOT NULL THEN
base_sub.self_parent_id
ELSE
LAG(base_sub.self_parent_id) IGNORE NULLS OVER(
PARTITION BY cusip
ORDER BY
timestamp, id
)
END parent_id
FROM
(
SELECT
c.*,
CASE
WHEN nvl(abs(EXTRACT(SECOND FROM to_timestamp(previous_timestamp, 'yyyy/mm/dd hh24:mi:ss') - to_timestamp
(timestamp, 'yyyy/mm/dd hh24:mi:ss'))), 31) > 30 THEN
id
ELSE
NULL
END self_parent_id
FROM
(
SELECT
my_table.id,
my_table.cusip,
my_table.timestamp,
my_table.quantity,
LAG(my_table.timestamp) OVER(
PARTITION BY my_table.cusip
ORDER BY
my_table.timestamp, my_table.id
) previous_timestamp
FROM
my_table
) c
) base_sub
) sub
Below are the Table Rows
Input Data:
Below is the Output
RESULT

Answer 2

Following may be helpful to you.
Grouping of 30 second periods stating form a given time. Here it is '2012-01-01 00:00:00'. DATEDIFF counts the number of seconds between time stamp value and stating time. Then its is divided by 30 to get grouping column.
SELECT MIN(TimeColumn) AS TimeGroup, SUM(Quantity) AS TotalQuantity FROM YourTable
GROUP BY (DATEDIFF(ss, TimeColumn, '2012-01-01') / 30)
Here minimum time stamp of each group will output as TimeGroup. But you can use maximum or even grouping column value can be converted to time again for display.

Answer 3

Looking at the above comments, I'm assuming Chris's first scenario is the one you want (all 3 get grouped even though values 1 and 3 are not within 30 seconds of eachother, but are each within 30 seconds of value 2). Also going to assume that each row in your table has some unique ID called 'id'. You can do the following:
Create a new grouping, determining if the preceding row in your partition is more than 30 seconds behind the current row (e.g. determine if you need a new 30 second grouping, or to continue the previous). We'll call that parent_id.
Sum quantity over parent_id (plus any other aggregations)
The code could look like this
select
sub.parent_id,
sub.cusip,
min(sub.timestamp) min_timestamp,
sum(sub.quantity) quantity
from
(
select
base_sub.*,
case
when base_sub.self_parent_id is not null
then base_sub.self_parent_id
else lag(base_sub.self_parent_id) ignore nulls over (
partition by
my_table.cusip
order by
my_table.timestamp,
my_table.id
) parent_id
from
(
select
my_table.id,
my_table.cusip,
my_table.timestamp,
my_table.quantity,
lag(my_table.timestamp) over (
partition by
my_table.cusip
order by
my_table.timestamp,
my_table.id
) previous_timestamp,
case
when datediff(
second,
nvl(previous_timestamp, to_date('1900/01/01', 'yyyy/mm/dd')),
my_table.timestamp) > 30
then my_table.id
else null
end self_parent_id
from
my_table
) base_sub
) sub
group by
sub.time_group_parent_id,
sub.cusip