Data Aggregation

The example creates a schema named TradeSchema, which is referenced by an input window named TradeWindow. The example attaches a File CSV Input adapter to TradeWindow.

The example creates an output window named VwapWindow, which outputs the results of the volume-weighted average price of the trade values processed by TradeWindow. The results are grouped by Symbol.

CREATE output WINDOW VwapWindow
SCHEMA (Symbol STRING, vwap MONEY(4))
 PRIMARY KEY DEDUCED 
  AS 
	SELECT TradeWindow.Symbol AS Symbol, 
	  ((SUM(TradeWindow.Price*TradeWindow.Volume)) / (SUM(TradeWindow.Volume))) AS vwap
	FROM TradeWindow
	GROUP BY TradeWindow.Symbol;