159 lines
7.6 KiB
Transact-SQL
159 lines
7.6 KiB
Transact-SQL
--exec USP_UTIL_CRT_Validation_5min '2016-12-13'
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CREATE procedure [dbo].[USP_UTIL_CRT_Validation_5min]
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(@checkDay datetime)
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as
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set nocount on
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declare @TableName sysname,@UnitDefinition varchar(15),@TimeUnit varchar(10),@TimeInterval varchar(10),@sql nvarchar(max),@minLastRun datetime
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create table #temp (CRTD_ID int,
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CRTD_Period datetime,
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CRTD_FirstQuote datetime,
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CRTD_LastQuote datetime,
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CRTD_PairSymbol varchar(15),
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CRTD_BidOpeningValue float ,
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CRTD_BidClosingValue float ,
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CRTD_BidLowValue float ,
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CRTD_BidHighValue float ,
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CRTD_MidOpeningValue float ,
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CRTD_MidClosingValue float ,
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CRTD_MidLowValue float ,
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CRTD_MidHighValue float,
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StartIntervalDate datetime,
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EndIntervalDate datetime)
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create index ix_StartIntervalDate on #temp(StartIntervalDate)
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create table #temp1 (StartPeriod datetime,
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EndPeriod datetime,
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First_Quote datetime,
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Last_Quote datetime,
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CRTD_PairSymbol varchar(15),
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BidMin_Value float,
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BidMax_Value float,
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MidMin_Value float,
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MidMax_Value float,
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Min_RowId int,
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Max_RowId int,
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BidOpen_Value float,
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BidClose_Value float,
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MidOpen_Value float,
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MidClose_Value float )
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create table #MismatchRecords
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(CRTD_Period datetime,
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CRTD_FirstQuote datetime,
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CRTD_LastQuote datetime ,
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CRTD_PairSymbol varchar(15),
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CRTD_BidOpeningValue float,
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CRTD_BidClosingValue float,
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CRTD_BidLowValue float,
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CRTD_BidHighValue float,
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CRTD_MidOpeningValue float,
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CRTD_MidClosingValue float,
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CRTD_MidLowValue float,
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CRTD_MidHighValue float)
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SELECT CRTD_PairSymbol ,max([CRTD_LastQuote]) as max_LastQuote
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into #LastQuote
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from [Knoks_Price].[dbo].[CRT_Data_1Minute](nolock)
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group by CRTD_PairSymbol
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insert into #temp(CRTD_Period,CRTD_FirstQuote,CRTD_LastQuote,CRTD_PairSymbol,CRTD_BidOpeningValue,CRTD_BidClosingValue,CRTD_BidLowValue,CRTD_BidHighValue,CRTD_MidOpeningValue,
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CRTD_MidClosingValue,CRTD_MidLowValue,CRTD_MidHighValue,StartIntervalDate,EndIntervalDate)
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SELECT CRTD_Period ,CRTD_FirstQuote ,CRTD_LastQuote ,CRTD_PairSymbol ,CRTD_BidOpeningValue ,CRTD_BidClosingValue
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,CRTD_BidLowValue ,CRTD_BidHighValue ,CRTD_MidOpeningValue ,CRTD_MidClosingValue ,CRTD_MidLowValue ,CRTD_MidHighValue,
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dateadd(minute, datediff(minute,0,CRTD_Period) /5 * 5, 0) as StartIntervalDate,
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dateadd(millisecond,-3,dateadd(minute,5, (dateadd(minute, datediff(minute,0,CRTD_Period) / 5* 5, 0)))) as EndIntervalDate
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from YB_Charts.dbo.CRT_Data_1Minute (nolock)
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where CRTD_Period BETWEEN CAST(@checkDay AS DATE) AND CAST(dateadd(millisecond,-3,@checkDay+1) AS DATEtIME)
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insert into #temp1
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(StartPeriod, EndPeriod, First_Quote, Last_Quote, CRTD_PairSymbol, BidMin_Value, BidMax_Value, MidMin_Value, MidMax_Value)
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select StartIntervalDate,
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EndIntervalDate,
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min(CRTD_FirstQuote) First_Quote, max(CRTD_LastQuote) Last_Quote,
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A.CRTD_PairSymbol,
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min(CRTD_BidLowValue) BidMin_Value, max(CRTD_BidHighValue) BidMax_Value,
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min(CRTD_MidLowValue) MidMin_Value, max(CRTD_MidHighValue) MidMax_Value
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from #temp A
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inner join #LastQuote B on A.CRTD_PairSymbol=B.CRTD_PairSymbol
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where A.EndIntervalDate<=B.max_LastQuote
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group by StartIntervalDate,EndIntervalDate,A.CRTD_PairSymbol
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update A
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set BidOpen_Value = B.CRTD_BidOpeningValue,
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MidOpen_Value = B.CRTD_MidOpeningValue
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FROM #temp1 A
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INNER JOIN (select StartIntervalDate,CRTD_PairSymbol,CRTD_BidOpeningValue,CRTD_MidOpeningValue,ROW_NUMBER() over (partition by CRTD_PairSymbol,StartIntervalDate order by crtd_period) as rownum
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from #temp) B ON A.CRTD_PairSymbol = B.CRTD_PairSymbol and A.StartPeriod=B.StartIntervalDate
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where B.rownum=1
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update A
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set BidClose_Value = B.CRTD_BidClosingValue,
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MidClose_Value = B.CRTD_MidClosingValue
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FROM #temp1 A
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INNER JOIN (select StartIntervalDate,CRTD_PairSymbol,CRTD_BidClosingValue,CRTD_MidClosingValue,ROW_NUMBER() over (partition by CRTD_PairSymbol,StartIntervalDate order by crtd_period desc) as rownum
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from #temp) B ON A.CRTD_PairSymbol = B.CRTD_PairSymbol and A.StartPeriod=B.StartIntervalDate
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where B.rownum=1
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insert into #MismatchRecords
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(CRTD_Period,CRTD_FirstQuote,CRTD_LastQuote,CRTD_PairSymbol,CRTD_BidOpeningValue,CRTD_BidClosingValue,CRTD_BidLowValue,CRTD_BidHighValue,
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CRTD_MidOpeningValue,CRTD_MidClosingValue,CRTD_MidLowValue,CRTD_MidHighValue)
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select StartPeriod, First_Quote, Last_Quote, CRTD_PairSymbol, BidOpen_Value, BidClose_Value, BidMin_Value, BidMax_Value,
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MidOpen_Value, MidClose_Value, MidMin_Value, MidMax_Value
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from #temp1
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except
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select CRTD_Period,CRTD_FirstQuote,CRTD_LastQuote,CRTD_PairSymbol,CRTD_BidOpeningValue,CRTD_BidClosingValue,CRTD_BidLowValue,CRTD_BidHighValue,
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CRTD_MidOpeningValue,CRTD_MidClosingValue,CRTD_MidLowValue,CRTD_MidHighValue
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from CRT_Data_5Minutes
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where CRTD_Period BETWEEN CAST(@checkDay AS DATE) AND CAST(dateadd(millisecond,-3,@checkDay+1) AS DATEtIME)
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if @@rowcount>0
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begin
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select 'There are mismatches in CRT_Data_5Minutes. Here are the mismatched records:'
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select * from
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(select 'Calculated' as Source,CRTD_Period,CRTD_FirstQuote,CRTD_LastQuote,CRTD_PairSymbol,CRTD_BidOpeningValue,CRTD_BidClosingValue,CRTD_BidLowValue,CRTD_BidHighValue,
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CRTD_MidOpeningValue,CRTD_MidClosingValue,CRTD_MidLowValue,CRTD_MidHighValue
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from #MismatchRecords
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union all
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select 'Saved' as Source,CRTD_Period,CRTD_FirstQuote,CRTD_LastQuote,CRTD_PairSymbol,CRTD_BidOpeningValue,CRTD_BidClosingValue,CRTD_BidLowValue,CRTD_BidHighValue,
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CRTD_MidOpeningValue,CRTD_MidClosingValue,CRTD_MidLowValue,CRTD_MidHighValue
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from CRT_Data_5Minutes A
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where CRTD_Period BETWEEN CAST(@checkDay AS DATE) AND CAST(dateadd(millisecond,-3,@checkDay+1) AS DATEtIME)
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and exists(select 1 from #MismatchRecords B where A.CRTD_Period=B.CRTD_Period and A.CRTD_PairSymbol=B.CRTD_PairSymbol))s
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order by CRTD_Period,CRTD_PairSymbol,Source
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end
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else
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begin
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insert into #MismatchRecords
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(CRTD_Period,CRTD_FirstQuote,CRTD_LastQuote,CRTD_PairSymbol,CRTD_BidOpeningValue,CRTD_BidClosingValue,CRTD_BidLowValue,CRTD_BidHighValue,
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CRTD_MidOpeningValue,CRTD_MidClosingValue,CRTD_MidLowValue,CRTD_MidHighValue)
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select CRTD_Period,CRTD_FirstQuote,CRTD_LastQuote,CRTD_PairSymbol,CRTD_BidOpeningValue,CRTD_BidClosingValue,CRTD_BidLowValue,CRTD_BidHighValue,
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CRTD_MidOpeningValue,CRTD_MidClosingValue,CRTD_MidLowValue,CRTD_MidHighValue
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from CRT_Data_5Minutes
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where CRTD_Period BETWEEN CAST(@checkDay AS DATE) AND CAST(dateadd(millisecond,-3,@checkDay+1) AS DATEtIME)
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except
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select StartPeriod, First_Quote, Last_Quote, CRTD_PairSymbol, BidOpen_Value, BidClose_Value, BidMin_Value, BidMax_Value,
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MidOpen_Value, MidClose_Value, MidMin_Value, MidMax_Value
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from #temp1
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if @@rowcount>0
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begin
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select 'There are mismatches in CRT_Data_5Minutes. Here are the mismatched records:'
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select * from
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(select 'Saved' as Source,CRTD_Period,CRTD_FirstQuote,CRTD_LastQuote,CRTD_PairSymbol,CRTD_BidOpeningValue,CRTD_BidClosingValue,CRTD_BidLowValue,CRTD_BidHighValue,
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CRTD_MidOpeningValue,CRTD_MidClosingValue,CRTD_MidLowValue,CRTD_MidHighValue
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from #MismatchRecords
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union all
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select 'Calculated' as Source,StartPeriod, First_Quote, Last_Quote, CRTD_PairSymbol, BidMin_Value, BidMax_Value, MidMin_Value, MidMax_Value,
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MidOpen_Value, MidClose_Value,BidOpen_Value, BidClose_Value
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from #temp1 A
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where exists(select 1 from #MismatchRecords B where A.StartPeriod=B.CRTD_Period and A.CRTD_PairSymbol=B.CRTD_PairSymbol))s
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order by CRTD_Period,CRTD_PairSymbol,Source
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end
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else
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select 'There are no mismatches in CRT_Data_5Minutes at '+convert(varchar(30),@checkDay,120)
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end
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drop table #temp
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drop table #temp1
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drop table #MismatchRecords
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drop table #LastQuote |