MySQL self-join optimization while calculating move averages - mysql

Question

I have created a mysql query to calculate moving averages of data by using multiple self-joins as shown below. This is consuming lot of time and the data rows are in 100k per query. Any way to further optimize it to reduce time please?
select a.rownum,a.ma_small_price, b.ma_medium_price from
(SELECT t3.rownum, AVG(t.last_price) as 'ma_small_price'
FROM temp_data t3
left JOIN temp_data t ON t.rownum BETWEEN ifnull(t3.rownum,0) - #psmall AND t3.rownum
GROUP BY t3.rownum)
inner join
(SELECT t3.rownum, AVG(t.last_price) as 'ma_medium_price'
FROM temp_data t3
left JOIN temp_data t ON t.rownum BETWEEN ifnull(t3.rownum,0) - #pmedium AND t3.rownum
GROUP BY t3.rownum) b on a.rownum = b.rownum

Answer 1

OVER ( ... ) is disappointingly slow -- in both MySQL 8.0 and MariaDB 10.x.
I like "exponential moving average" as being easier to compute than "moving average". The following is roughly equivalent to what Nick proposed. This runs faster, but has slightly different results:
SELECT rownum,
#small := #small + 0.5 * (last_price - #small) AS mae_small_price,
#med := #med + 0.2 * (last_price - #med) AS mae_med_price
FROM ( SELECT #small := 10, #med := 10 ) AS init
JOIN temp_data
ORDER BY rownum;
The coefficient controls how fast the exponential moving average adapts to changes in the data. It should be greater than 0 and less than 1.
The "10" that I initialized the EPA to was a rough guess of the average -- it biases the first few values but is gradually swamped as more values are folded in.

Answer 2

Since you're running MySQL 8 you should be able to use window functions to get the same result more efficiently. Without seeing sample data it's hard to be 100% certain but this should be close. Note that to use variables in a window frame, you need to use a prepared statement:
SET #sql = '
SELECT rownum,
AVG(last_price) OVER (ORDER BY rownum ROWS BETWEEN ? PRECEDING AND CURRENT ROW) AS ma_small_price,
AVG(last_price) OVER (ORDER BY rownum ROWS BETWEEN ? PRECEDING AND CURRENT ROW) AS ma_medium_price
FROM temp_data';
PREPARE stmt FROM #sql;
EXECUTE stmt USING #psmall, #pmedium;
Demo on dbfiddle