Linear interpolation
Instead of interpolating data points based on the last seen value (Constant interpolation), linear interpolation is where Vertica interpolates values in a linear slope based on the specified time slice.
The query that follows uses linear interpolation to place the input records in 2-second time slices and return the first bid value for each symbol/time slice combination (the value at the start of the time slice):
=> SELECT slice_time, TS_FIRST_VALUE(bid, 'LINEAR') bid FROM Tickstore
TIMESERIES slice_time AS '2 seconds' OVER(PARTITION BY symbol ORDER BY ts);
slice_time | bid
---------------------+------
2009-01-01 03:00:00 | 10
2009-01-01 03:00:02 | 10.2
2009-01-01 03:00:04 | 10.4
(3 rows)
The following figure illustrates the previous query results, showing the 2-second time gaps (3:00:02 and 3:00:04) in which no input record occurs. Note that the interpolated bid price of XYZ changes to 10.2 at 3:00:02 and 10.3 at 3:00:03 and 10.4 at 3:00:04, all of which fall between the two known data inputs (3:00:00 and 3:00:05). At 3:00:05, the value would change to 10.5.
Note
The known data points above are represented by a red dot, and the interpolated values are represented by blue stars.The following is a side-by-side comparison of constant and linear interpolation schemes.
| CONST interpolation | LINEAR interpolation |
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