Question

I have some intraday stock data saved into a MySQL table which looks like this:

+----------+-------+
| tick     | quote |
+----------+-------+
| 08:00:10 |  5778 |
| 08:00:11 |  5776 |
| 08:00:12 |  5778 |
| 08:00:13 |  5778 |
| 08:00:14 |  NULL |
| 08:00:15 |  NULL |
| 08:00:16 |  5779 |
| 08:00:17 |  5778 |
| 08:00:18 |  5780 |
| 08:00:19 |  NULL |
| 08:00:20 |  5781 |
| 08:00:21 |  5779 |
| 08:00:22 |  5779 |
| 08:00:23 |  5779 |
| 08:00:24 |  5778 |
| 08:00:25 |  5779 |
| 08:00:26 |  5777 |
| 08:00:27 |  NULL |
| 08:00:28 |  NULL |
| 08:00:29 |  5776 |
+----------+-------+

As you can see, there are some points where no data is available (quote is NULL). What I would like to do is a simple step interpolation. This means each NULL value should be updated with the last value available. The only way I managed to do this is with cursors, which is pretty slow due to the large amount of data. I’m basically searching something like this:

UPDATE table AS t1
SET quote = (SELECT quote FROM table AS t2 
             WHERE t2.tick < t1.tick AND 
                   t2.quote IS NOT NULL 
             ORDER BY t2.tick DESC 
             LIMIT 1)
WHERE quote IS NULL

Of course this query will not work, but this is how it should look like.

I would appreciate any ideas on how this can be solved without cursors and temp tables.

Answer 1

This should work:

SET @prev = NULL;

UPDATE   ticks
SET      quote= @prev := coalesce(quote, @prev)
ORDER BY tick;

BTW the same trick works for reading:

SELECT   t.tick, @prev := coalesce(t.quote, @prev)
FROM     ticks t
JOIN     (SELECT @prev:=NULL) as x -- initializes @prev
ORDER BY tick