Query speed of insert/ update SMA (simple moving average) - mysql

Question

I would like to include a column in my table with the simple moving average of stock data. I have been able to create several queries which successfully do so, however the query speed is slow. My goal is to improve the query speed.
I have the following table:
CREATE TABLE `timeseries_test` (
`timeseries_id` int(11) NOT NULL AUTO_INCREMENT,
`stock_id` int(10) NOT NULL,
`date` date NOT NULL,
`open` decimal(16,8) NOT NULL,
`high` decimal(16,8) NOT NULL,
`low` decimal(16,8) NOT NULL,
`close` decimal(16,8) NOT NULL,
`adjusted_close` double(16,8) NOT NULL,
`volume` int(16) NOT NULL,
`dividend` double(16,8) NOT NULL,
`split_coefficient` double(16,15) NOT NULL,
`100sma` decimal(16,8) NOT NULL,
PRIMARY KEY (`timeseries_id`),
KEY `stock` (`stock_id`),
KEY `date` (`date`),
KEY `date_stock` (`stock_id`,`date`)
) ENGINE=InnoDB AUTO_INCREMENT=5444325 DEFAULT CHARSET=latin1
I have tried many different query formats, but they all take about 25 seconds per 5000 rows. The select query only takes less than a second. Below an example query:
UPDATE stock.timeseries_test t1 INNER JOIN (
SELECT a.timeseries_id,
Round( ( SELECT SUM(b.close) / COUNT(b.close)
FROM timeseries_test AS b
WHERE DATEDIFF(a.date, b.date) BETWEEN 0 AND 99 AND a.stock_id = b.stock_id
), 2 ) AS '100sma'
FROM timeseries_test AS a) t2
ON t1.`timeseries_id` = t2.`timeseries_id`
SET t1.100sma = t2.100SMA
WHERE t2.100sma = null
Below the explain query:
1 PRIMARY <derived2> NULL ALL NULL NULL NULL NULL 10385 10.00 Using where
1 UPDATE t1 NULL eq_ref PRIMARY PRIMARY 4 t2.timeseries_id 1 100.00 NULL
2 DERIVED a NULL index NULL date_stock 7 NULL 10385 100.00 Using index
3 DEPENDENT SUBQUERY b NULL ref stock,date_stock stock 4 stock.a.stock_id 5192 100.00 Using where
Any help is appreciated.

Answer 1

If you are running MySQL 8.0, I recommend window functions with a range specification; this avois the need for a correlated subquery.
update stock.timeseries_test t1
inner join (
select timeseries_id,
avg(close) over(
partition by stock_id
order by date
range between interval 99 day preceding and current row
) `100sma`
from timeseries_test
) t2 on t1.timeseries_id = t2.timeseries_id
set t1.`100sma` = t2.`100sma`
It is quite unclear what the purpose of the original, outer where clause is, so I removed it:
WHERE t2.`100sma` = null
If you do want to check for nullness, then you need is null; but doing so would pretty much defeat whole logic of the update statement. Maybe you meant:
WHERE t1.`100sma` is null

Answer 2

Functions are not sargable. Instead of
DATEDIFF(a.date, b.date) BETWEEN 0 AND 99
use
a.date BETWEEN b.date AND b.date + INTERVAL 99 DAY
(or maybe a and b should be swapped)
I suspect (from the column names) that the pair (stock_id,date) is unique and that timeseries_id is never really used. If those are correct, then
PRIMARY KEY (`timeseries_id`),
KEY `date_stock` (`stock_id`,`date`)
-->
PRIMARY KEY(`stock_id`,`date`)
The ON(timestamp_id would need to be changed to testing both those columns.
Also, toss this since there is another index that starts with the same column(s):
KEY `stock` (`stock_id`),