A few thoughts. Consider range partitioning on "timestamp", it will reduce the amount of work your query have to do. Further optimization might be to calculate and store the agg for "closed" partitions. You will of course have to recalculate this when you modify historical information.
As a bonus it will be much easier to roll-out historical data that is no longer needed.
As mentioned this is just some thoughts and reflections, it may or it may not fit your situation. One pitfall may be the number of different intervals that you use for reporting. If larger intervals is not multiples of the partitioning interval this wont work well.
Edit: How is the plan affected by creating an temp table and an index on "timestamp"?
create index X on market_trades ( timestamp );
create temp table T ( time_range tsrange );
insert into T ( time_range )
WITH vals AS (
SELECT '2013-08-19 0:00'::timestamp AS frame_start,
'2013-08-26 0:00'::timestamp AS frame_end,
'17h'::interval AS interval_length
), intervals AS (
SELECT tsrange(start_time,
lead(start_time, 1, frame_end) OVER (ORDER BY start_time NULLS FIRST)) AS time_range
FROM (
SELECT generate_series(frame_start, frame_end, interval_length) AS
start_time, frame_end
FROM vals
) _
WHERE start_time < frame_end
)
SELECT time_range
FROM intervals i;
create index x on T ( time_range );
analyze t;
SELECT time_range, count(td.id) AS agg
FROM T
LEFT JOIN market_trades td
ON td.timestamp <@ T.time_range
GROUP BY T.time_range
ORDER BY T.time_range;
1st case
You seem to forget the valid_during range. As your third case suggests, there can be multiple entries per (rec_id, val), so you must select the right one:
UPDATE master m
SET valid_on = f_array_sort(m.valid_on || u.valid_on) -- sorted array, see below
FROM updates u
WHERE m.rec_id = u.rec_id
AND m.valid_during @> u.valid_on -- additional check
AND m.val = u.val
AND NOT m.valid_on @> ARRAY[u.valid_on];
I assume the whole possible date range is always covered for each existing rec_id and valid_during shall not overlap per rec_id, or you'd have to do more.
After installing the additional module btree_gist, add an exclusion constraint to rule out overlapping date ranges if you don't have one, yet:
ALTER TABLE master ADD CONSTRAINT EXCLUDE
USING gist (rec_id WITH =, valid_during WITH &&) -- disallow overlap
The GiST index this is implemented with is also a perfect match for the query. Details:
2nd / 3rd case
Assuming that every date range starts with the smallest date in the (now sorted!) array: lower(m.valid_during) = m.valid_on[1]. I would enforce that with a CHECK constraint.
Here we need to create one or two new rows
In the 2nd case it is enough to shrink the range of the old row and insert one new row
In the 3rd case we update the old row with the left half of array and range, insert the new row and finally insert the with the right half of array and range.
Helper functions
To keep it simple I introduce a new constraint: every array is sorted. Use this helper function
-- sort array
CREATE OR REPLACE FUNCTION f_array_sort(anyarray)
RETURNS anyarray LANGUAGE sql IMMUTABLE AS
$$SELECT ARRAY (SELECT unnest($1) ORDER BY 1)$$;
I don't need your helper function arraymin() any more, but it could be simplified to:
CREATE OR REPLACE FUNCTION f_array_min(anyarray)
RETURNS anyelement LANGUAGE sql IMMUTABLE AS
$$SELECT min(a) FROM unnest($1) a$$;
Two more to get the left and right half of an array split at a given element:
-- split left array at given element
CREATE OR REPLACE FUNCTION f_array_left(anyarray, anyelement)
RETURNS anyarray LANGUAGE sql IMMUTABLE AS
$$SELECT ARRAY (SELECT * FROM unnest($1) a WHERE a < $2 ORDER BY 1)$$;
-- split right array at given element
CREATE OR REPLACE FUNCTION f_array_right(anyarray, anyelement)
RETURNS anyarray LANGUAGE sql IMMUTABLE AS
$$SELECT ARRAY (SELECT * FROM unnest($1) a WHERE a >= $2 ORDER BY 1)$$;
Query
This does all the rest:
WITH u AS ( -- identify candidates
SELECT m.id, rec_id, m.val, m.valid_on, m.valid_during
, u.val AS u_val, u.valid_on AS u_valid_on
FROM master m
JOIN updates u USING (rec_id)
WHERE m.val <> u.val
AND m.valid_during @> u.valid_on
FOR UPDATE -- lock for update
)
, upd1 AS ( -- case 2: no overlap, no split
UPDATE master m -- shrink old row
SET valid_during = daterange(lower(u.valid_during), u.u_valid_on)
FROM u
WHERE u.id = m.id
AND u.u_valid_on > m.valid_on[array_upper(m.valid_on, 1)]
RETURNING m.id
)
, ins1 AS ( -- insert new row
INSERT INTO master (rec_id, val, valid_on, valid_during)
SELECT u.rec_id, u.u_val, ARRAY[u.u_valid_on]
, daterange(u.u_valid_on, upper(u.valid_during))
FROM upd1
JOIN u USING (id)
)
, upd2 AS ( -- case 3: overlap, need to split row
UPDATE master m -- shrink to first half
SET valid_during = daterange(lower(u.valid_during), u.u_valid_on)
, valid_on = f_array_left(u.valid_on, u.u_valid_on)
FROM u
LEFT JOIN upd1 USING (id)
WHERE upd1.id IS NULL -- all others
AND u.id = m.id
RETURNING m.id, f_array_right(u.valid_on, u.u_valid_on) AS arr_right
)
INSERT INTO master (rec_id, val, valid_on, valid_during)
-- new row
SELECT u.rec_id, u.u_val, ARRAY[u.u_valid_on]
, daterange(u.u_valid_on, upd2.arr_right[1])
FROM upd2
JOIN u USING (id)
UNION ALL -- second half of old row
SELECT u.rec_id, u.val, upd2.arr_right
, daterange(upd2.arr_right[1], upper(u.valid_during))
FROM upd2
JOIN u USING (id);
SQL Fiddle.
Notes
You need to understand the concept of data-modifying CTEs (writeable CTEs), before you touch this. Judging from the code you provided, you know your way around Postgres.
FOR UPDATE is to avoid race conditions with concurrent write access. If you are the only user writing to the tables, you don't need it.
I took a piece of paper and drew a timeline so not to get lost in all of this.
Each row is only updated / inserted once, and operations are simple and roughly optimized. No expensive window functions. This should perform well. Much faster than your previous approach in any case.
It would be a bit less confusing if you'd use distinct column names for u.valid_on and m.valid_on, which are related but different things.
I compute the right half of the split array in the RETURNING clause of CTE upd2: f_array_right(u.valid_on, u.u_valid_on) AS arr_right, because I need it several times in the next step. This is a (legal) trick to save one more CTE.
As for solutions that don't involve unnesting the master table: You have to unnest the array valid_on either way, to split it, at least as long as it's not sorted. Also, your helper function arraymin() is already unnesting it anyway.
Best Answer
I cannot think of a smarter way than a self-join with all nodes that have a
pathjust one element longer: