Counting ordered data - sql

Question

I have the following problem to solve and I can't seem to be able to come up with an algorithm yet, nevermind an actual solution.
I have a table of similar structure/data as the following, where IDs are not always in sequence for the same Ticker/QuouteType:
ID Ticker PriceDateTime QuoteType OpenPrice HighPrice LowPrice ClosePrice
------- ------ ---------------- --------- --------- --------- -------- ----------
2036430 ^COMP 2012-02-10 20:50 95/Minute 2901.57 2905.04 2895.37 2901.71
2036429 ^COMP 2012-02-10 19:15 95/Minute 2909.63 2910.98 2899.95 2901.67
2036428 ^COMP 2012-02-10 17:40 95/Minute 2905.9 2910.27 2904.29 2909.64
2036427 ^COMP 2012-02-10 16:05 95/Minute 2902 2908.29 2895.1 2905.89
2036426 ^COMP 2012-02-09 21:00 95/Minute 2926.12 2928.01 2925.53 2927.21
The information I need to extract from this data is the following:
How many consecutive rows are there? Counting downwards from the most recent (as recorded in PriceDateTime), looking at ClosePrice?
IE: For the current example the answer should be 2. ClosePrice (row 1) = 2901.71 which is greater than ClosePrice (row 2) = 2901.67 but lower than ClosePrice (row 3) = 2909.64. As such, looking back from the most recent price, we have 2 rows that "go in the same direction".
Of course I have to do this across a lot of other names, so speed is quite important.
PS: Thank you all for your help, I've drawn inspiration from all your answers when building the final procedure. You're all very kind!

Answer 1

Try this: (I have simplified the test data I'm using as it only requires 2 columns to demonstrate the logic).
CREATE TABLE #Test (PriceDateTime DATETIME, ClosePrice DECIMAL(6, 2))
INSERT #Test VALUES
('20120210 20:50:00.000', 2901.71),
('20120210 19:15:00.000', 2901.67),
('20120210 17:40:00.000', 2900.64),
('20120210 16:05:00.000', 2905.89),
('20120209 21:00:00.000', 2927.21)
-- FIRST CTE, JUST DEFINES A VIEW GIVING EACH ENTRY A ROW NUMBER
;WITH CTE AS
( SELECT *,
ROW_NUMBER() OVER(ORDER BY PriceDateTime DESC) [RowNumber]
FROM #Test
),
-- SECOND CTE, ASSIGNES EACH ENTRY +1 OR -1 DEPENDING ON HOW THE VALUE HAS CHANGED COMPARED TO THE PREVIOUS RECORD
CTE2 AS
( SELECT a.*, SIGN(a.ClosePrice - b.ClosePrice) [Movement]
FROM CTE a
LEFT JOIN CTE b
ON a.RowNumber = b.RowNumber - 1
),
-- THIRD CTE, WILL LOOP THROUGH THE DATA AS MANY TIMES AS POSSIBLE WHILE THE PREVIOUS ENTRY HAS THE SAME "MOVEMENT"
CTE3 AS
( SELECT *, 1 [Recursion]
FROM CTE2
UNION ALL
SELECT a.PriceDateTime, a.ClosePrice, a.RowNumber, a.Movement, b.Recursion + 1
FROM CTE2 a
INNER JOIN CTE3 b
ON a.RowNumber = b.RowNumber - 1
AND a.Movement = b.Movement
)
SELECT MAX(Recursion) + 1 -- ADD 1 TO THE RECORD BECAUSE THERE WILL ALWAYS BE AT LEAST TWO ROWS
FROM CTE3
WHERE RowNumber = 1 -- LATEST ENTRY
DROP TABLE #Test
I've tried to comment the answer to explain as I go. If anything is not clear from the comments let me know and I will try and explain further

Answer 2

Solution below should be efficient enough, but it will fail if there are gaps in ID sequence.
Please update your topic, if it is the point.
DECLARE #t TABLE (
ID INT,
ClosePrice DECIMAL(10, 5)
)
INSERT #t (ID, ClosePrice)
VALUES (2036430, 2901.71), (2036429, 2901.67), (2036428, 2909.64), (2036427, 2905.89), (2036426, 2927.21)
;WITH CTE AS (
SELECT TOP 1 ID, ClosePrice, 1 AS lvl
FROM #t
ORDER BY ID DESC
UNION ALL
SELECT s.ID, s.ClosePrice, CTE.lvl + 1
FROM #t AS s
INNER JOIN CTE
ON s.ID = CTE.ID - 1 AND s.ClosePrice < CTE.ClosePrice
)
SELECT MAX(lvl) AS answer
FROM CTE

Answer 3

I'd join your data on itself (with +1 on your primary key / ordering key) then use a simple CASE to track the change (assuming i've understood your question properly).
For example:
SET ANSI_NULLS ON
GO
SET QUOTED_IDENTIFIER ON
GO
CREATE TABLE [dbo].[tbl_NumericSequence](
[ID] [int] NULL,
[Value] [int] NULL
) ON [PRIMARY]
GO
INSERT [dbo].[tbl_NumericSequence] ([ID], [Value]) VALUES (1, 1)
GO
INSERT [dbo].[tbl_NumericSequence] ([ID], [Value]) VALUES (2, 2)
GO
INSERT [dbo].[tbl_NumericSequence] ([ID], [Value]) VALUES (3, 3)
GO
INSERT [dbo].[tbl_NumericSequence] ([ID], [Value]) VALUES (4, 2)
GO
INSERT [dbo].[tbl_NumericSequence] ([ID], [Value]) VALUES (5, 1)
GO
INSERT [dbo].[tbl_NumericSequence] ([ID], [Value]) VALUES (6, 3)
GO
INSERT [dbo].[tbl_NumericSequence] ([ID], [Value]) VALUES (7, 3)
GO
INSERT [dbo].[tbl_NumericSequence] ([ID], [Value]) VALUES (8, 8)
GO
INSERT [dbo].[tbl_NumericSequence] ([ID], [Value]) VALUES (9, 1)
GO
WITH RawData ( [ID], [Value] )
AS ( SELECT [ID] ,
[Value]
FROM [Test].[dbo].[tbl_NumericSequence]
)
SELECT RawData.ID ,
RawData.Value ,
CASE WHEN RawDataLag.Value = RawData.Value THEN 'No Change'
WHEN RawDataLag.Value > RawData.Value THEN 'Down'
WHEN RawDataLag.Value < RawData.Value THEN 'Up'
END AS Change
FROM RawData
LEFT OUTER JOIN RawData RawDataLag ON RawData.ID = RawDataLag.iD + 1
ORDER BY RawData.ID ASC

Answer 4

I would approach it with recursive common table expressions:
CREATE TABLE #MyTable (ID INT, ClosePrice MONEY)
INSERT INTO #MyTable ( ID, ClosePrice )
VALUES (2036430,2901.71),
(2036429,2901.67),
(2036428,2909.64),
(2036427,2905.89),
(2036426,2927.21)
WITH CTE AS (
SELECT TOP 1 id, closeprice, 1 Consecutive
FROM #MyTable
ORDER BY id DESC
UNION ALL
SELECT A.id, A.closeprice, CASE WHEN A.ClosePrice < B.ClosePrice THEN Consecutive+1 ELSE 1 END
FROM #MyTable A INNER JOIN cte B ON A.ID=B.id -1
)
SELECT * FROM cte
--OR to just get the max consecutive
--select max(Consecutive) from cte
DROP TABLE #MyTable