PostgreSQL - how do I create a window frame with a condition?

Question

Let's say I have the following table:

CREATE TABLE stock_prices (
  stock TEXT NOT NULL,
  date  DATE NOT NULL,
  price REAL NOT NULL,
  UNIQUE (stock, date)
);

I want to calculate for each day, the highest price for each stock in the preceding 3-month window.

I can't do a simple self join with date - INTERVAL(3 'MONTH') since my stock_price table has some "holes" for holidays and weekends. Similarly a naive window also does not work:

SELECT
  stock,
  date,  
  LAST_VALUE(price) OVER (PARTITION BY stock ORDER BY date ROWS 90 PRECEDING)
FROM stock_prices

I almost want a window frame here with a condition based on the current row. Is that possible in PostgreSQL?

Answer 1

You can fill up the table with the missing rows using the function generate_series (), so a window function would return correct data. You can select the period of report specifying start and end dates in generate_series ():

select
    stock, 
    date,
    price,
    max(price) over (partition by stock order by date rows 90 preceding)
from (
    select d::date as date, s.stock, sp.price
    from generate_series('2016-01-01'::date, '2016-07-28', '1d') g(d)
    cross join (
        select distinct stock
        from stock_prices
    ) s
    left join stock_prices sp on g.d = sp.date and s.stock = sp.stock
) s
order by 1, 2;

This alternative solution with a simple subquery:

select 
    stock, 
    date,
    price,
    (
        select max(price)
        from stock_prices sp2
        where sp2.stock = sp1.stock
        and sp2.date >= sp1.date- interval '90days' 
        and sp2.date <= sp1.date
    ) highest_price
from 
    stock_prices sp1
order by 1, 2;

will be much more expensive. In this case you should obligatory use the index

create index on stock_prices (stock, date);