Window function to calculate On Balance Volume

Question

select a, b, Volume
case
    when lag(a, 1) over(order by b asc) < a then lag(c, 1) over(order by b asc) + Volume
    when lag(a, 1) over(order by b asc) > a then lag(c, 1) over(order by b asc) - Volume
end as c
from Table

So what I would like to achieve her is... if previous a row bigger/less then current a row then add/substract Volume from previous row c .

if a > previous ac = previous c + Volume if a < previous ac = previous c - Volume

But... There is no c row because this is what I am calculating (so row c 's initial value is 0 or NULL) ... there is no pre defined set of data in c . One data coming from another... kind of.

If I would have to write this in another language I would store the value of c in a separate variable like previousRow and would rewrite it with each iteration.

Can I achieve similar thing in TSQL?

Sample Data:

a	b	Volume	c
1	2020-01	10	0
2	2020-02	20	20
5	2020-03	40	60
3	2020-04	30	30
1	2020-05	10	20

Answer 1

column c pretty much boils down to a conditional rolling sum, unfortunately, sql server doesn't allow for nesting of window functions, so a derived table to establish the previous a value is necessary. After that, sum case when and you should have what you're looking for.

Try this (added additional test values to the set provided above):

SELECT
  T.*,
  SUM(
      (
      CASE
      WHEN T.LAG_A IS NULL
        THEN 0
      WHEN T.A > T.LAG_A 
        THEN T.VOLUME 
        ELSE (T.VOLUME*-1) 
      END
    ) 
  ) OVER (ORDER BY T.B ASC) AS C
FROM
  (
  SELECT                 
    MY_TABLE.A,
    LAG(MY_TABLE.A, 1) OVER (ORDER BY MY_TABLE.B ASC) AS LAG_A,
    MY_TABLE.B,
    MY_TABLE.VOLUME
  FROM
    (VALUES (1,CAST('1/1/2021' AS DATE),10),
            (2,CAST('1/2/2021' AS DATE),20),
            (5,CAST('1/3/2021' AS DATE),40),
            (3,CAST('1/4/2021' AS DATE),30),
            (1,CAST('1/5/2021' AS DATE),10),
            (8,CAST('1/6/2021' AS DATE),50),
            (4,CAST('1/7/2021' AS DATE),70)
    ) AS MY_TABLE(A,B,VOLUME)
  ) T