计算维度
数据集字段如下：
1. [CurClose]，当前收盘价；
2. [TradePrice]，大宗交易成交价；
3. [FluctRange3]，近3日波动幅度（中途发现波动幅度太大，止损点不好定，所以把最近3天波动幅度超过15%的都去掉了）；
4. [Volume]，大宗交易成交量
5. [Amount]，大宗交易金额
6. [Discount]，折扣率 = [TradePrice]/[CurClose] - 1
7. [BuyerCount]，买家席位数；
8. [SellerCount]，卖家席位数；
9. [TradeToSelf]，是否存在同席位交易；
10. [Capital]，流通股本；
11. [VolumeToCapital]，交易量占流通股本比值 = [Volume]/[VolumeToCapital]
12. [LastDZJYDays]，上一次大宗交易距今有多少个交易日，停盘时间不计；
13. [ClosedDays]，累计停盘时长（交易日）；
14. [ZSCloseToMA5]，上证指数（大盘）当前收盘价相对于5日线的的涨幅 = 当前收盘价/MA5 - 1；
15. [ZSCloseToMA20]，上证指数（大盘）当前收盘价相对于20日线的的涨幅 = 当前收盘价/MA20 - 1；
16. [CloseToMA5]，股票当前收盘价相对于其5日线的的涨幅 = 当前收盘价/MA5 - 1；
17. [CloseToMA20]，股票当前收盘价相对于其20日线的的涨幅 = 当前收盘价/MA20 - 1；
18. [BuyRK]，股价低于大宗交易价时，所处的天数。例如大宗交易发生在2018-1-1，当前是2018-1-3，则该字段为2，表示大宗交易这个事件发生后的第2天，这种情况视为有买入的机会；
19. [SellRK]，如果买入后，股价相对于买入价（或大宗交易价）上涨了3%，则记录当天所处的天数为SellRK。
主要代码如下：
if exists(select * from sysobjects where id=object_id('DZJY_TradeByDay') and OBJECTPROPERTY(id, 'IsTable')=1)
drop table DZJY_TradeByDay
go
if object_id('tempdb..#BaseTradeInfo') is not null drop table tempdb..#BaseTradeInfo
go
if object_id('tempdb..#bsrk') is not null drop table tempdb..#bsrk
go
if exists(select * from sysobjects where id=object_id('MultiDimDataSet') and OBJECTPROPERTY(id, 'IsTable')=1)
drop table MultiDimDataSet
go
--基础交易信息，每天只有一条大宗交易数据
select distinct TradeDate, StockCode into DZJY_TradeByDay from DZJY
--TradeToSelf用来记录是否存在同席位交易，有则为1，无则为0
select (StockCode+convert(varchar(10),TradeDate, 112))as TradeKey,d.TradeDate, d.StockCode,
(select PriceClose from TradeByDay where TradeDate=d.TradeDate and StockCode = d.StockCode) as CurClose,
round(sum(d.TradePrice * d.Volume)/sum(d.Volume),2) as TradePrice,
sum(d.Volume) as Volume,
round(sum(d.TradePrice * d.Volume),2) as Amount,
count(distinct d.Buyer) as BuyerCount,
count(distinct d.Seller) as SellerCount,
max(TradeToSelf) as TradeToSelf
into #BaseTradeInfo
from (
select StockCode, TradeDate, TradePrice, Volume, Buyer, Seller,
TradeToSelf = case when Buyer = Seller then 1 else 0 end
from DZJY
)d
group by d.TradeDate, d.StockCode
--买卖天数
select b1.TradeKey, b1.StockCode, b1.TradePrice, b1.CurClose, b1.FluctRange3, b1.RK, b1.BuyRK,
--未来5天内最高价大于交易价的1.03倍，确定卖出的天数
SellRK = case when b1.BuyRK is NULL then NULL
else (select TOP 1 RK from StockMA
where StockCode = b1.StockCode and
RK between b1.BuyRK+1 and b1.BuyRK+5 and
PriceMax>(1.03*b1.TradePrice) order by TradeKey)
end,
round(b1.CurClose/s1.MA20-1,4) as CloseToMA20,
round(b1.CurClose/s1.MA5-1,4) as CloseToMA5
into #bsrk
from (
select b.TradeKey, b.StockCode, b.TradePrice, b.CurClose, s.FluctRange3, s.RK,
--未来5天内最低价小于大宗交易价，确定买入的天数
(select TOP 1 RK from StockMA
where StockCode = b.StockCode and
RK between s.RK+1 and s.RK+5 and
PriceMin<b.TradePrice order by TradeKey) as BuyRK
from #BaseTradeInfo b left outer join StockMA s on b.TradeKey = s.TradeKey
)b1 left outer join StockMA s1 on b1.TradeKey = s1.TradeKey
--抽取维度
select t.TradeKey, t.TradeDate, t.StockCode, t.CurClose, t.TradePrice, rk.FluctRange3, t.Volume, t.Amount,
round(t.TradePrice/t.CurClose-1,3) as Discount, t.BuyerCount, t.SellerCount,t.TradeToSelf,
s.Capital, round(t.Volume/s.Capital,4) as VolumeToCapital,
df.LastDZJYDays, (df.LastTradeDays-df.LastDZJYDays) as ClosedDays,
round(zs.CurSHClose/zs.SHMA20-1,4) as ZSCloseToMA20,
round(zs.CurSHClose/zs.SHMA5-1,4) as ZSCloseToMA5,
rk.RK, isnull(rk.BuyRK,0) as BuyRK, isnull(rk.SellRK,0) as SellRK, rk.CloseToMA20, rk.CloseToMA5
into MultiDimDataSet
from #BaseTradeInfo as t left outer join Stockinfo s on t.StockCode = s.StockCode
left outer join DZJY_TradeFreq df on t.TradeKey = df.TradeKey
left outer join SHZSMA zs on t.TradeDate = zs.TradeDate
left outer join #bsrk rk on t.TradeKey = rk.TradeKey查询的优化
计算买卖天数时，对于上百万行的数据，检索速度实在比较拙计。因此通过了一些手段来提高查询速度，譬如索引。这里展示部分表在计算时加的索引：
IF EXISTS(SELECT * FROM sysobjects WHERE id = object_id('gupiao.dbo.StockRanK') and OBJECTPROPERTY(id, 'IsTable')=1)
DROP TABLE gupiao.dbo.StockRanK
GO
IF EXISTS(SELECT * FROM sysobjects WHERE id = object_id('gupiao.dbo.StockMA') and OBJECTPROPERTY(id, 'IsTable')=1)
DROP TABLE gupiao.dbo.StockMA
GO
SELECT (StockCode+CONVERT(VARCHAR(8),TradeDate,112)) AS TradeKey,
TradeDate, StockCode, PriceOpen, PriceClose, PriceMin, PriceMax, Volume, Amount,
RANK() OVER(PARTITION BY StockCode ORDER BY TradeDate) AS RK
INTO gupiao.dbo.StockRanK
FROM TradeByDay
GO
--增加索引
CREATE CLUSTERED INDEX [ClusteredIndex-1] ON gupiao.dbo.StockRanK
(
[StockCode] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, SORT_IN_TEMPDB = OFF, DROP_EXISTING = OFF, ONLINE = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [PRIMARY]
GO
CREATE NONCLUSTERED INDEX [NonClusteredIndex-1] ON gupiao.dbo.StockRanK
(
[TradeDate] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, SORT_IN_TEMPDB = OFF, DROP_EXISTING = OFF, ONLINE = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [PRIMARY]
GO
--FluctRange3最近3个交易日的波动幅度
SELECT s.TradeKey, s.StockCode, s.TradeDate,PriceOpen, PriceClose, PriceMin, PriceMax, RK,
MA5 = ROUND((SELECT CASE WHEN SUM(Volume)=0 THEN NULL ELSE SUM(Amount)/SUM(Volume) END
FROM StockRanK WHERE StockCode = s.StockCode AND (RK BETWEEN (s.RK-4) AND s.RK)),3),
MA20 = ROUND((SELECT CASE WHEN SUM(Volume)=0 THEN NULL ELSE SUM(Amount)/SUM(Volume) END
FROM StockRanK WHERE StockCode = s.StockCode AND (RK BETWEEN (s.RK-19) AND s.RK)),3),
FluctRange3 = ROUND((SELECT CASE WHEN Min(PriceMin)=0 THEN NULL ELSE Max(PriceMax)/Min(PriceMin)-1 END
FROM StockRanK WHERE StockCode = s.StockCode AND (RK BETWEEN (s.RK-2) AND s.RK)),4)
INTO StockMA
FROM StockRanK AS s
CREATE CLUSTERED INDEX [ClusteredIndex-1] ON gupiao.dbo.StockMA
(
[StockCode] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, SORT_IN_TEMPDB = OFF, DROP_EXISTING = OFF, ONLINE = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [PRIMARY]
GO
CREATE NONCLUSTERED INDEX [NonClusteredIndex-1] ON gupiao.dbo.StockMA
(
[TradeDate] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, SORT_IN_TEMPDB = OFF, DROP_EXISTING = OFF, ONLINE = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [PRIMARY]
GO