Querying: Aggregating and Projecting Time Series

In an RQL query, use the group by expression to aggregate time series (or ranges of time series entries) in groups by a chosen resolution. Use the select keyword to choose and project entries by a chosen criterion.

In LINQ, aggregations are performed using the GroupBy() method. It takes the time period over which to aggregate, either in the form of a string, or as an Action<ITimePeriodBuilder>.

var groupingAction = input switch //input is a string that represents some client input
{
    "year" => (Action<ITimePeriodBuilder>)(builder => builder.Years(1)),
    "month" => (Action<ITimePeriodBuilder>)(builder => builder.Months(1)),
    "day" => (Action<ITimePeriodBuilder>)(builder => builder.Days(1))
};

var stocks = session.Query<Company>()
    .Select(c => RavenQuery.TimeSeries(c, "StockPrices")
        .GroupBy(groupingAction)
        .Select(g => new
        {
            Min = g.Min(),
            Max = g.Max()
        })
        .ToList());

The ITimePeriodBuilder class just contains one property for each of the time period units from milliseconds to years.

public interface ITimePeriodBuilder
{
    ITimeSeriesAggregationOperations Milliseconds(int duration);
    ITimeSeriesAggregationOperations Seconds(int duration);
    ITimeSeriesAggregationOperations Minutes(int duration);
    ITimeSeriesAggregationOperations Hours(int duration);
    ITimeSeriesAggregationOperations Days(int duration);
    ITimeSeriesAggregationOperations Months(int duration);
    ITimeSeriesAggregationOperations Quarters(int duration);
    ITimeSeriesAggregationOperations Years(int duration);
}

See examples below.

• In this example, we group entries of users' HeartRates time series and project the lowest and highest values of each group.
  Each HeartRates entry holds a single value.

  from Employees as e
  select timeseries(
      from HeartRates
      group by '1 day'
      select min(), max()
  )

  • group by '1 day'
    We group each user's HeartRates time series entries in consecutive 1-day groups.
  • select min(), max()
    We project the lowest and highest values of each group.

• In this example, we group entries of companies' StockPrices time series in consecutive 7-day groups and project the highest and lowest values of each group.
  Each StockPrices entry holds five values, the query returns the Max and Min values of each:
  Values[0] - Open - stock price when the trade opens
  Values[1] - Close - stock price when the trade ends
  Values[2] - High - highest stock price during trade time
  Values[3] - Low - lowest stock price during trade time
  Values[4] - Volume - overall trade volume
  

  declare timeseries SP(c) 
  {
      from c.StockPrices 
      where Values[4] > 500000
          group by '7 days'
          select max(), min()
  }
  from Companies as c
  where c.Address.Country = 'USA'
  select c.Name, SP(c)

  • where Values[4] > 500000
    Query stock price behavior when the trade volume is high.
  • group by '7 days'
    Group each company's StockPrice entries in consecutive 7-day groups.
  • select max(), min()
    Select the highest (Max) and lowest (Min) values of each group and project them to the client.
    Since each entry holds 5 values, the query will project 5 Max values for each group (the highest Values[0], highest Values[1], etc.) and 5 Min values for each group (the lowest Values[0], lowest Values[1], etc.).
  • select c.Name, SP(c)
    Project the company's name along with the time series query results to make the results easier to read and understand.

• This example is similar to the one above it, except that time series entries are not aggregated, so the highest and lowest values are collected not from each group but from the entire result-set.
  

  declare timeseries SP(c) 
  {
      from c.StockPrices 
      where Values[4] > 500000
          select max(), min()
  }
  from Companies as c
  where c.Address.Country = 'USA'
  select c.Name, SP(c)

  • select max(), min()
    Since there is no aggregation, the entire result-set is queried and the results include only the all-time highest and lowest Open, Close, High, Low and Volume values.

• In the next two examples we group time series data by the entry tags in addition to the time unit aggregation.

• In this query we group stock prices by 1 month and then by the tags of the entries within each month.
  

  from Companies 
  select timeseries(
      from StockPrices
      group by '1 month', tag
      select min(), max()
  )

  • group by '1 month', tag
    We group each company's StockPrices time series entries by their month, and within each month we group by tag.
  • select min(), max()
    We project the lowest and highest values of each group.

• In this query, we first access the entry tags using load into a variable called employee. Because the tags in the StockPrices time series are the document IDs of actual employee entries, we can access the properties of the documents and filter according to their values. Then we group the results by 1 month, and finally we group by the tags:
  

  from Companies as c
  select timeseries(
      from StockPrices
      load Tag as employee
      where employee.Title == 'Sales Representative'
      group by '1 month', tag
      select min(), max()
  )

  • load Tag as employee The tags contain document IDs. This command loads the referenced documents into employee.
  • where employee.Title == 'Sales Representative' Filter the time series data according to the employee documents' Title field.
  • group by '1 month', tag
    We group each company's StockPrices time series entries by their month, and within each month we group by tag.
  • select min(), max()
    We project the lowest and highest values of each group.

• In this example we perform a LINQ query and group by 1 hour and by tag:

  var query = session.Query<User>()
      .Select(u => RavenQuery.TimeSeries(u, "HeartRates")
          .GroupBy(g => g
                  .Hours(1)
                  .ByTag()
                 )
          .Select(g => new
          {
              Max = g.Max(),
              Min = g.Min()
          }));

To aggregate time series entries, use GroupBy() in a LINQ query or group by in a raw RQL query.
To select time series values for projection, use Select() in a LINQ query or select in a raw RQL query.

• Here we express the query we've discussed above using LINQ and both RQL syntaxes.
  
  • LINQ
  • Raw-RQL-Select-Syntax
  • Raw-RQL-Declare-Syntax

  IRavenQueryable<TimeSeriesAggregationResult> query = session.Query<Company>()
      .Where(c => c.Address.Country == "USA")
      .Select(q => RavenQuery.TimeSeries(q, "StockPrice")
          .Where(ts => ts.Values[4] > 500000)
          .GroupBy(g => g.Days(7))
          .Select(g => new
          {
              Min = g.Min(),
              Max = g.Max()
          })
          .ToList());
  
  var result = query.ToList();

  IRawDocumentQuery<TimeSeriesAggregationResult> aggregatedRawQuery =
      session.Advanced.RawQuery<TimeSeriesAggregationResult>(@"
          from Companies as c
              where c.Address.Country = 'USA'
              select timeseries ( 
                  from StockPrices 
                  where Values[4] > 500000
                      group by '7 day'
                      select max(), min()
              )
          ");
  
  var aggregatedRawQueryResult = aggregatedRawQuery.ToList();

  IRawDocumentQuery<TimeSeriesAggregationResult> aggregatedRawQuery =
      session.Advanced.RawQuery<TimeSeriesAggregationResult>(@"
          declare timeseries SP(c) {
              from c.StockPrices
              where Values[4] > 500000
              group by '7 day'
              select max(), min()
          }
          from Companies as c
          where c.Address.Country = 'USA'
          select c.Name, SP(c)"
          );
  
  var aggregatedRawQueryResult = aggregatedRawQuery.ToList();

GroupBy() Function Evaluation

Starting in version 5.2, the LINQ method GroupBy() can take a switch statement or a method as an argument.

• In this example, we pass GroupBy() a switch statement.
  

  var groupingAction = input switch //input is a string that represents some client input
  {
      "year" => (Action<ITimePeriodBuilder>)(builder => builder.Years(1)),
      "month" => (Action<ITimePeriodBuilder>)(builder => builder.Months(1)),
      "day" => (Action<ITimePeriodBuilder>)(builder => builder.Days(1))
  };
  
  var stocks = session.Query<Company>()
      .Select(c => RavenQuery.TimeSeries(c, "StockPrices")
          .GroupBy(groupingAction)
          .Select(g => new
          {
              Min = g.Min(),
              Max = g.Max()
          })
          .ToList());

• In this example, we pass GroupBy() the method groupingFunction()

  var stocks = session.Query<Company>()
      .Select(c => RavenQuery.TimeSeries(c, "StockPrices")
          .GroupBy(g => GroupingFunction(g, input)) // input is a string that represents some client input
          .Select(g => new
          {
              Min = g.Min(),
              Max = g.Max()
          })
          .ToList());
  
  private static ITimeSeriesAggregationOperations GroupingFunction(ITimePeriodBuilder builder, string input)
  {
      if (input == "year")
      {
          return builder.Years(1);
      }
      else if (input == "month")
      {
          return builder.Months(1);
      }
      else
      {
          return builder.Days(1);
      }
  }