Monthly Price data: Open, High, Low and Close - sqlite

Question

I have a table that is built up as follows:
dpTicker dpDate dpOpen dpHigh dpLow dpClose dpVolume dpAdjClose dpCreated dpModified
GLE.PA 2016-02-01 35.39 35.455 34.375 34.785 2951300 34.785 2016-02-06 13:33:40 2016-02-06 13:33:40
GLE.PA 2016-02-02 34.515 34.565 32.165 32.575 7353600 32.575 2016-02-06 13:33:40 2016-02-06 13:33:40
GLE.PA 2016-02-03 32.4 32.495 30.885 31.6 7007000 31.6 2016-02-06 13:33:40 2016-02-06 13:33:40
GLE.PA 2016-02-04 32.075 32.38 30.67 31.98 8181000 31.98 2016-02-06 13:33:40 2016-02-06 13:33:40
GLE.PA 2016-02-05 32.55 33.0 31.86 32.11 7056700 32.11 2016-02-06 13:33:40 2016-02-06 13:33:40
The data is daily share price information and the table contains hundreds of tickers (eg GLE.PA). Each ticker (eg GLE.PA) has an entry for each "Business Day".
My objective is to query Monthly Price Summaries from this Daily Price data table. The monthly data is constructed as follows:
Month Open: dpOpen at the first business day of the month;
Month high: max(dpHigh) of the month;
Month Low: min(dpLow) of the month;
Month Close: dpClose at the last business date of the month.
I manage to query the data for a specific month by using the following query in SQLite3:
SELECT
strftime ('%Y-%m', dpDate) AS month,
(SELECT dpOpen
FROM DailyPrices
WHERE dpTicker = 'GLE.PA'
AND dpDate =
(SELECT min(dpDate)
FROM DailyPrices
WHERE strftime('%Y%m', dpDate) = '201509'
)
) AS Open,
max(dpHigh) AS High,
min (dpLow) AS Low,
(SELECT dpClose
FROM DailyPrices
WHERE dpTicker = 'GLE.PA'
AND dpDate =
(SELECT max(dpDate)
FROM DailyPrices
WHERE strftime('%Y%m', dpDate) = '201509'
)
) AS Close
FROM DailyPrices
WHERE dpTicker ='GLE.PA'
AND strftime('%Y%m', dpDate) = '201509';
The output of the query is as follows:
bash-3.2$ sqlite3 myShares < month.sql
month Open High Low Close
---------- ---------- ---------- ---------- ----------
2015-09 42.72 44.07 37.25 39.85
bash-3.2$
With the following query I manage to generate a monthly overview for the High and Low:
SELECT
strftime('%Y-%m', dpDate) AS Month,
max(dpHigh) AS High,
min(dpLow) AS Low
FROM DailyPrices
WHERE dpTicker ='GLE.PA'
GROUP BY strftime('%Y%m', update);
A snapshot of the output looks as follows:
bash-3.2$ sqlite3 myShares < monthly.sql
Month High Low
---------- ---------- ----------
2000-01 219.32 184.346
2000-02 206.43 181.977
2000-03 210.411 181.503
2000-04 221.405 197.805
2000-05 226.239 55.9199
...
With the following query, I manage to extract the correct Open and by analogy the correct Close data:
SELECT
strftime('%Y-%m', dpDate) AS Month,
dpOpen AS Open
FROM DailyPrices
WHERE dpTicker = 'GLE.PA'
AND dpDate IN
(SELECT min(dpDate)
FROM DailyPrices
WHERE dpTicker = 'GLE.PA'
GROUP BY strftime('%Y%m', dpDate)
);
A snapshot of the output is as follows:
bash-3.2$ sqlite3 myShares < Open.sql
Month Open
---------- ----------
2000-01 218.846
2000-02 200.269
2000-03 206.525
2000-04 201.312
2000-05 215.908
...
I am struggling to combine the queries, month.sql and open.sql, into one query to obtain the following output:
Month Open High Low Close
------- ----- ----- ----- -----
2015-01 42.79 42.79 33.69 35.18
2015-02 35.39 35.46 26.61 32.42
2015-03 32.32 37.65 31.93 32.48
...
Any help to solving this question would be highly appreciate.
Best Regards
Gam

Answer 1

There are three places where the first query refers to the specific month searched for. Let's remove the two occurences in the subqueries; this requires using aliases so that we can refer to other instances of the same table by name:
SELECT
strftime ('%Y-%m', dpDate) AS month,
(SELECT dpOpen
FROM DailyPrices
WHERE dpTicker = 'GLE.PA'
AND dpDate =
(SELECT min(dpDate)
FROM DailyPrices AS DP2
WHERE strftime('%Y%m', DP2.dpDate) = strftime('%Y%m', DP1.dpDate)
)
) AS Open,
max(dpHigh) AS High,
min (dpLow) AS Low,
(SELECT dpClose
FROM DailyPrices
WHERE dpTicker = 'GLE.PA'
AND dpDate =
(SELECT max(dpDate)
FROM DailyPrices AS DP2
WHERE strftime('%Y%m', DP2.dpDate) = strftime('%Y%m', DP1.dpDate)
)
) AS Close
FROM DailyPrices AS DP1
WHERE dpTicker ='GLE.PA'
AND strftime('%Y%m', dpDate) = '201509';
Now that only the outermost query needs to know the month, we can simply replace the filter with GROUP BY:
SELECT
strftime ('%Y-%m', dpDate) AS month,
(...) AS Open,
max(dpHigh) AS High,
min (dpLow) AS Low,
(...) AS Close
FROM DailyPrices
WHERE dpTicker ='GLE.PA'
GROUP BY strftime('%Y%m', dpDate);
Please note that the open/close subquery can be simplified by using ORDER BY/LIMIT:
(SELECT dpOpen
FROM DailyPrices
WHERE dpTicker = 'GLE.PA'
AND ... dpDate ...
ORDER BY dpDate ASC
LIMIT 1) AS Open

Answer 2

Thanks CL!! This is good learning for a SQLite newbie, especially for the use of ALIASES.
Your suggestions produce generally good results, however, when running a couple of test runs I noticed occasional errors of the following style:
bash-3.2$ sqlite3 myShares < tst.sql
month Open High Low Close
---------- ---------- ---------- ---------- ----------
2006-03 75.4675 76.5852 70.4136 74.4956
2006-04 75.0787 75.9048 70.5108 72.7948
2006-05 77.0225 68.5184 70.7538
2006-06 70.5594 73.4751 64.7767 72.7462
2006-07 72.5518 75.2245 68.2269 74.0582
bash-3.2$
As you can notice, the Open price for the month of May 2006 is missing. I verified that the data actually exists:
bash-3.2$ sqlite3 myShares < test.sql
dpTicker dpDate dpOpen dpHigh dpLow dpClose dpVolume dpAdjClose dpCreated dpModified
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ------------------- -------------------
BNP.PA 2006-04-26 72.0173 73.1835 72.0173 72.892 2623400 48.8861 2015-12-08 12:04:22 2015-12-08 12:04:22
BNP.PA 2006-04-27 73.8153 74.0096 72.5032 73.6209 6001400 49.375 2015-12-08 12:04:22 2015-12-08 12:04:22
BNP.PA 2006-04-28 73.4751 73.9611 72.6976 72.7948 4133300 48.8209 2015-12-08 12:04:22 2015-12-08 12:04:22
BNP.PA 2006-05-02 72.5518 73.5723 72.3574 73.2807 3085400 49.1468 2015-12-08 12:04:22 2015-12-08 12:04:22
BNP.PA 2006-05-03 73.8639 74.0096 72.5518 72.649 3290400 48.7231 2015-12-08 12:04:22 2015-12-08 12:04:22
BNP.PA 2006-05-04 72.892 73.5237 72.2602 73.3779 3640300 49.212 2015-12-08 12:04:22 2015-12-08 12:04:22
BNP.PA 2006-05-05 73.6209 74.8357 73.4751 74.7872 3255600 50.1572 2015-12-08 12:04:22 2015-12-08 12:04:22
bash-3.2$
For each of the tickers in the SQLite database, I have typically around 4 of those errors over a 16 year period.
As far as my SQLite newbie knowledge reaches, the data in the table is fine.
Any idea why occasionally, the query jumps a summary record? Generally, the descrepancy occurs on the Open Price, but from time to time also on the Close price.
Best regards,
GAM
For the record, the following is the query I have executed
SELECT
strftime ('%Y-%m', dpDate) AS month,
(SELECT dpOpen
FROM DailyPrices
WHERE dpTicker = 'BNP.PA'
AND dpDate =
(SELECT min(dpDate)
FROM DailyPrices AS DP2
WHERE strftime('%Y%m', DP2.dpDate) = strftime('%Y%m', DP1.dpDate)
)
ORDER BY dpDate ASC
LIMIT 1) AS Open,
max(dpHigh) AS High,
min (dpLow) AS Low,
(SELECT dpClose
FROM DailyPrices
WHERE dpTicker = 'BNP.PA'
AND dpDate =
(SELECT max(dpDate)
FROM DailyPrices AS DP2
WHERE strftime('%Y%m', DP2.dpDate) = strftime('%Y%m', DP1.dpDate)
)
) AS Close
FROM DailyPrices AS DP1
WHERE dpTicker ='BNP.PA'
AND strftime('%Y-%m', dpDate) > '2006-02'
AND strftime('%Y-%m', dpDate) < '2006-08'
GROUP BY strftime('%Y-%m', dpDate);