How to pull current and past month data SQL Server

Question

I need to list the trade dates, and stock closing prices for the each month of the year (which I will refer to as the 'current' month) and the stock closing price for the month preceding the 'current' month.

The StockData table I am using has has columns for date, Stock high, low, opening, closing, and volume for each trade date and ticker symbol.

Initially, I used AVG :

SELECT 
    YEAR(TradeDate) AS Year, 
    MONTH(TradeDate) AS Month, 
    TickerSymbol, 
    AVG(ST_Close) AS CurrentClose,
    LAG (AVG(ST_Close), 1, 0) OVER (ORDER BY TickerSymbol, YEAR(TradeDate), MONTH(TradeDate), TickerSymbol) AS PreviousMonthClose,
FROM 
    StockData
WHERE
    TradeDate >= '2000-01-01' AND ST_Close IS NOT NULL
GROUP BY 
    YEAR(TradeDate), MONTH(TradeDate), TickerSymbol
ORDER BY 
    YEAR(TradeDate), MONTH(TradeDate), TickerSymbol;

But instead of using the average, I'd like to pull the stock closing price from the last day of each month, and the previous last day of the last month (for April 2010, I want to show the Stock Closing price on April 30th, 2010 and March 31st, 2010)

Any ideas on how to do this?

Answer 1

You can use window functions and conditional aggregation:

SELECT sd.*
FROM (SELECT sd.*, 
             ROW_NUMBER() OVER (PARTITION BY TickerSymbol, YEAR(TradeDate), MONTH(TradeDate)
                                ORDER BY TradeDate DESC) as seqnum
      FROM StockData sd
      WHERE TradeDate >= '2000-01-01' AND ST_Close IS NOT NULL
     ) sd
WHERE seqnum = 1
ORDER BY TradeDate, TickerSymbol;

This gets all the information from the last record for each month.

ORDER BY YEAR(TradeDate), MONTH(TradeDate), TickerSymbol;

Answer 2

Below is one method, which assumes the previous close value you need is from the date the stock last traded during the previous month.

WITH
    daily_close AS (
        SELECT  
            TradeDate
          , TickerSymbol
          , ST_Close
          , ROW_NUMBER() OVER(PARTITION BY TickerSymbol, EOMONTH(TradeDate) ORDER BY TradeDate DESC) AS day_num
        FROM    dbo.StockData
        WHERE   TradeDate >= '2012-01-01'
                AND ST_Close IS NOT NULL
    )
SELECT
        YEAR(curr.TradeDate) AS Year
      , MONTH(curr.TradeDate) AS Month
      , curr.TickerSymbol
      , curr.ST_Close AS CurrentMonthClose
      , prev.ST_Close AS PriorMonthClose
FROM daily_close AS curr
LEFT JOIN daily_close AS prev ON
            prev.TickerSymbol = curr.TickerSymbol
            AND prev.TradeDate < DATEADD(month, -1, DATEADD(day, 1, curr.TradeDate))
            AND prev.TradeDate >= DATEADD(month, -2, DATEADD(day, 1, curr.TradeDate))
            AND prev.day_num = 1
WHERE 
    curr.day_num = 1
ORDER BY
      Year
    , Month
    , TickerSymbol;