MySQL - Time Series Sliding Window - mysql

Question

I have a MySQL table containing financial market prices.
+------------+------+--------+--------+--------+--------+
| date | pair | open | high | low | close |
+------------+------+--------+--------+--------+--------+
| 12/9/2009 | 1 | 1.4703 | 1.4783 | 1.4668 | 1.4727 |
| 12/9/2009 | 2 | 1.6287 | 1.6378 | 1.6167 | 1.6262 |
| 12/9/2009 | 3 | 0.9038 | 0.9116 | 0.9015 | 0.9086 |
| 12/9/2009 | 4 | 88.435 | 88.71 | 87.36 | 87.865 |
| 12/9/2009 | 5 | 1.064 | 1.0664 | 1.0515 | 1.0545 |
| 12/10/2009 | 1 | 1.4725 | 1.4761 | 1.4683 | 1.4732 |
| 12/10/2009 | 2 | 1.6261 | 1.6348 | 1.6214 | 1.6279 |
| 12/10/2009 | 3 | 0.9086 | 0.9192 | 0.908 | 0.9166 |
| 12/10/2009 | 4 | 87.87 | 88.47 | 87.73 | 88.2 |
| 12/10/2009 | 5 | 1.0546 | 1.0584 | 1.0479 | 1.0517 |
| 12/11/2009 | 1 | 1.4733 | 1.4778 | 1.4586 | 1.4615 |
| 12/11/2009 | 2 | 1.6278 | 1.634 | 1.6197 | 1.6262 |
| 12/11/2009 | 3 | 0.9164 | 0.9197 | 0.909 | 0.9128 |
| 12/11/2009 | 4 | 88.2 | 89.82 | 88.195 | 89.115 |
| 12/11/2009 | 5 | 1.0517 | 1.0624 | 1.0483 | 1.0602 |
+------------+------+--------+--------+--------+--------+
I want to get something like this. This is filtered by pair (where pair = 1). Every row consists of two consecutive rows.
+--------+--------+--------+--------+--------+--------+--------+--------+
| open1 | high1 | low1 | close1 | open2 | high2 | low2 | close2 |
+--------+--------+--------+--------+--------+--------+--------+--------+
| 1.4703 | 1.4783 | 1.4668 | 1.4727 | 1.4725 | 1.4761 | 1.4683 | 1.4732 |
| 1.4725 | 1.4761 | 1.4683 | 1.4732 | 1.4733 | 1.4778 | 1.4586 | 1.4615 |
+--------+--------+--------+--------+--------+--------+--------+--------+
I tried this query from https://stackoverflow.com/a/5084722/1487781 to get two consecutive dates.
select (
select max(t1.date)
from data as t1
where t1.date < t2.date
and t1.pair = 1
) as date1,
t2.date as date2
from data as t2
It worked but I can't rewrite it to suit my need as I need values and I can't just use max() to do that. Also I need to know how to generalize the solution. For example how if I need three or four consecutive rows.

Answer 1

Try this query:
SELECT d1.date date1,
d2.date date2,
d1.pair,
d1.open open1,
d1.high high1,
d1.low low1,
d1.close close2,
d2.open open2,
d2.high high2,
d2.low low2,
d2.close close2
FROM table1 d1
JOIN table1 d2
ON d1.pair = d2.pair
AND d1.date = d2.date - interval 1 day
Demo: http://www.sqlfiddle.com/#!2/f490d/2
Here is a version with a subquery that determines a next date for given pair number (next date = lowest date that is greater than given date):
SELECT d1.date date1,
d2.date date2,
d1.pair,
d1.open open1,
d1.high high1,
d1.low low1,
d1.close close2,
d2.open open2,
d2.high high2,
d2.low low2,
d2.close close2
FROM table1 d1
JOIN table1 d2
ON d1.pair = d2.pair
AND d2.date = (
SELECT min(date)
FROM table1 t
WHERE t.date > d1.date
AND t.pair = d1.pair
)
demo: --> http://www.sqlfiddle.com/#!2/f490d/9