Convert Tick-by-tick Stock Price Time Series Data Grouped As High, Low, Open And Close Prices

Dec 3, 2006

I am working on a stock price analysis project. Stock prices are stored in SQL Server as tick by tick data (that means in a high frequency) and need to be grouped by minutes in order to display them as as high, low, open and close prices in a candlestick or similar chart.

The fields in the table are:

Time (for every stock price tick)
Price (stock price)
Symbol (of the stock)

A sample time series would look like this:

11:45:01 $22.11 MSFT
11:45:02 $22.10 MSFT
11:45:04 $22.25 MSFT
...
...
...
11:45:58 $22.45 MSFT
11:46:03 $22.22 MSFT
11:46:08 $22.25 MSFT
...
...
...
11:46:59 $22.45 MSFT

The result of the SQL query should be:

Symbol Time Open High Low Close
MSFT 11:45 $22.11 $22.45 $22.10 $22.45
MSFT 11:46 $22.22 $22.45 $22.22 $22.45

This is the SQL statement I came up with but obviously doesn't work:

SELECT DATEPART(Minute,Time), MIN(Price), MAX(Price) FROM dbo.TimeSales WHERE Symbol='MSFT' GROUP BY DATEPART(Minute,Time)


I would appreciate any suggestions.

Thank you!


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