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.

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.

linear interpolation with ts_first_value

The following is a side-by-side comparison of constant and linear interpolation schemes.

CONST interpolation LINEAR interpolation
constant interpolation linear interpolation