Re: ASOF join

On Fri, Jun 16, 2017 at 11:51:34AM +1200, Thomas Munro wrote:
> On Fri, Jun 16, 2017 at 4:20 AM, Konstantin Knizhnik
> <k(dot)knizhnik(at)postgrespro(dot)ru> wrote:
> > I wonder if there were some discussion/attempts to add ASOF join to Postgres
> > (sorry, may be there is better term for it, I am refereeing KDB definition:
> > http://code.kx.com/wiki/Reference/aj ).
>
> Interesting idea. Also in Pandas:
>
> http://pandas.pydata.org/pandas-docs/version/0.19.0/generated/pandas.merge_asof.html#pandas.merge_asof
>
> I suppose you could write a function that pulls tuples out of a bunch
> of cursors and zips them together like this, as a kind of hand-coded
> special merge join "except that we match on nearest key rather than
> equal keys" (as they put it).
>
> I've written code like this before in a trading context, where we
> called that 'previous tick interpolation', and in a scientific context
> where other kinds of interpolation were called for (so not really
> matching a tuple but synthesising one if no exact match). If you view
> the former case as a kind of degenerate case of interpolation then it
> doesn't feel like a "join" as we know it, but clearly it is. I had
> never considered before that such things might belong inside the
> database as a kind of join operator.

If you turn your head sideways, it's very similar to the range merge
join Jeff Davis proposed. https://commitfest.postgresql.org/14/1106/

Best,
David.
--
David Fetter <david(at)fetter(dot)org> http://fetter.org/
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