Financial Data Access With SQL, Excel & VBA: Guy Yollin

Computational Finance and Risk Management
Financial Data Access

with SQL, Excel & VBA
Guy Yollin
Instructor, Applied Mathematics
University of Washington
Guy Yollin (Copyright 2012)
Data Access with SQL, Excel & VBA
Introduction to SQL
1 / 58
Outline
Introduction to SQL
SQLite and sample databases
Simple queries
Queries with additional clauses
Querying multiple tables with subqueries
Querying multiple tables with join
Introduction to SQL
2 / 58
Lecture references
Ben Forta
Sams Teach Yourself SQL in 10 Minutes
Sams, 1999
Chapter 1-12
sqlzoo.net
SQL ZOO: Interactive SQL Tutorial
http://sqlzoo.net/
sqlite.org
SQL As Understood By SQLite
http://www.sqlite.org/lang.html
Introduction to SQL
3 / 58
Outline
Introduction to SQL
Simple queries
Introduction to SQL
4 / 58
SQL
SQL
SQL (pronounced squeal) stands for Structured Query Language, a
special-purpose programming language designed for managing data in
relational database management systems (RDBMS)
SQL has both an ANSI and ISO standard but minor compatibility
issues are commonn
frequent updates to the standards
vendor-specific procedural extensions
vendor-specific deviations
http://en.wikipedia.org/wiki/SQL
MS Access SQL has many proprietary incompatibilities
Introduction to SQL
5 / 58
Importance of SQL
Why SQL?
Knowledge of SQL is critical because the vast majority of real data owned
by the mast majority of real companies is maintained in an SQL
compatible database
Common databases that support SQL
Microsoft SQL Server
Oracle Database
IBM DB2
Sybase
Microsoft Access
MySQL
PostgreSQL
SQLite
A stylized fact
Introduction to SQL
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Relational Database
Relational Database
A relational database is a collection of data items organized as a set of
formally described tables from which data can be accessed easily
Relational database theory uses a set of mathematical terms, which are
roughly equivalent to SQL database terminology:
Relational Term
SQL equivalent
relation, base relvar
table
derived relvar
view, query result, result set
tuple
row
attribute
column
http://en.wikipedia.org/wiki/Relational_database
Introduction to SQL
7 / 58
Outline
Introduction to SQL
Simple queries
Introduction to SQL
8 / 58
SQLite
SQLite is a self-contained,
serverless, zero-configuration
SQL database engine
SQLite is the most widely
deployed SQL database engine
in the world
SQLite is open-source
Introduction to SQL
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Chinook sample database

The Chinook data model represents a digital media store, including tables
for artists, albums, media tracks, invoices and customers.
Introduction to SQL
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Chinook sample database
Introduction to SQL
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SQLite Manager for Firefox
Introduction to SQL
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SQLite Manager for Firefox
Introduction to SQL
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SQL and SQLite data types
SQLite storage mode

TEXT
INTEGER
REAL
NUMERIC
NONE
SQL datatype
TEXT
CHAR
NCHAR
NVARCHAR
INTEGER
SMALLINT
TINYINT
REAL
FLOAT
NUMERIC
DECIMAL
BOOLEAN
DATE
DATETIME
BLOB
Description
variable length text
fixed length string (size specified at create time)
like CHAR but support Unicode characters
like text but with Unicode support
4-byte signed integer
2-byte signed integer
1-byte unsigned integer
4-byte floating point
floating point
fixed or floating point with specified precision
fixed or floating point with specified precision
true or false
date value
date time value
binary data
http://www.sqlite.org/datatype3.html
Introduction to SQL
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Database keys
The relationships between columns located in different tables are usually
described through the use of keys
Primary Key
A column (or set of columns) whose values uniquely

identify every row in a table
Foreign Key
A column in a table which is also the Primary Key in

another table
http://www.atlasindia.com/sql.htm
Introduction to SQL
15 / 58
Outline
Introduction to SQL
Simple queries
Introduction to SQL
16 / 58
SELECT statement
The most common operation in SQL is the query which is performed with
the SELECT statement
SELECT retrieves data from one or more tables
returned data is called a resultset or recordset
Standard SELECT queries just read from the database and do not
change any underlying data
Notes about the SQL language:
SQL is not case-sensitive
SQL is ignores whitespace
strings must use single quotes
Introduction to SQL
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SELECT/FROM wildcard
SQL: SELECT/FROM wildcard syntax
SELECT FROM tableName
The * character is a wildcard meaning all columns

Introduction to SQL
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SELECT/FROM wildcard
SQL: SELECT/FROM wildcard syntax
SELECT FROM tableName
Introduction to SQL
19 / 58
SELECT/FROM
SQL: SELECT/FROM syntax
SELECT columnName ( s ) FROM tableName
multiple columns are separated with commas

Introduction to SQL
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SELECT/FROM
SQL: SELECT/FROM syntax
SELECT columnName ( s )
FROM tableName
Introduction to SQL
21 / 58
SELECT/FROM/WHERE
SQL: SELECT/FROM/WHERE syntax
FROM tableName
WHERE someCondition
Introduction to SQL
22 / 58
SELECT/FROM/WHERE
FROM tableName
WHERE someCondition
Introduction to SQL
23 / 58
WHERE clause operators

Operator
Description
=
<>
!=
<
<=
!<
>
>=
!>
BETWEEN
IS NULL
equality
non-equality
non-equality
less than
less than or equal to
not less than
greater than
greater than or equal to
not greater than
non-equality
is a NULL value
WHERE clause can also include AND, OR, and NOT

parenthesis are used for complex logic
Introduction to SQL
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SELECT/FROM/WHERE
SELECT columnName ( s ) FROM tableName WHERE someCondition
WHERE clause with arithmetic and logical operators

Introduction to SQL
25 / 58
WHERE clause with IN

SQL: WHERE clause with IN
FROM tableName
WHERE someColumn IN listOfValues
list for WHERE IN is in parenthesis with items separated with commas

Introduction to SQL
26 / 58
WHERE clause with NOT IN

SQL: WHERE clause with NOT IN
FROM tableName
WHERE someColumn NOT IN listOfValues
Introduction to SQL
27 / 58
Partial matching with WHERE LIKE

The LIKE keyword is used in SQL expression to perform partial matching
by including wildcard characters:
_
represents a single unspecified character
represents a series of one or more unspecified character
SQL: WHERE clause with LIKE
FROM tableName
WHERE someColumn LIKE wildcardSting
Introduction to SQL
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FROM tableName
Introduction to SQL
29 / 58

FROM tableName
Introduction to SQL
30 / 58
Outline
Introduction to SQL
Simple queries
Introduction to SQL
31 / 58
ORDER BY clause
SQL: ORDER BY clause
FROM tableName
WHERE someCondition
ORDER BY columnName
Introduction to SQL
32 / 58
ORDER BY clause
SQL: ORDER BY clause
SELECT columnName ( s ) FROM tableName

WHERE someCondition ORDER BY columnName
use DESC with ORDER BY to sort in descending order

Introduction to SQL
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SQL aggregate functions

SQL supports the use of arithmetic formulas and it also provides a number
of aggregate functions
Function
Description
COUNT
SUM
AVG
MAX
MIN
counts the number of rows in the resultset

sums a column of the resultset
take the average of a column of the resultset
finds the maximum value in a column of the resultset
finds the maximum value in a column of the resultset
The results of an arithmetic operation are usually assigned an alias

with the AS keyword
Aggregate functions are frequently used with the GROUP BY clause
of the SELECT statement
Introduction to SQL
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COUNT function
SQL: COUNT function
SELECT COUNT ( columnName ) FROM tableName
total count of the number of rows in the Track table

Introduction to SQL
35 / 58
COUNT function
SQL: COUNT function
SELECT COUNT ( columnName ) FROM tableName
count of the number of non-NULL Composers

Introduction to SQL
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COUNT function with DISTINCT clause

SQL: COUNT function
SELECT COUNT ( DISTINCT columnName ) FROM tableName
number of unique composers

Introduction to SQL
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AVG function
SQL: COUNT function
SELECT AVG ( columnName ) FROM tableName
average invoice amount

Introduction to SQL
38 / 58
MAX function
SQL: COUNT function
SELECT MAX ( columnName ) FROM tableName
maximum invoice amount

Introduction to SQL
39 / 58
GROUP BY clause
SQL: GROUP BY clause
SELECT AggFunc ( columnName ) . . . GROUP BY columnName
Introduction to SQL
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GROUP BY and HAVING clause

SQL: GROUP BY and HAVING clause
SELECT AggFunc ( columnName ) . . .

GROUP BY columnName HAVING someCondition
Introduction to SQL
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Outline
Introduction to SQL
Simple queries
Introduction to SQL
42 / 58
Input data from 2 tables, output from 1 table

Problem:
Find all songs belonging to a particular genre of music
Solution:
Find the GenreId of the desired style (from the Genre table)
then select all of the tracks that match the GenreID (from the
Track table)
Introduction to SQL
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Manually running 2 queries
Introduction to SQL
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Subquery
SQL: Subquery syntax
SELECT columnNames
FROM tableName
WHERE someColumn IN ( SELECT / FROM / WHERE statement )
Subquery provides the list used in the top-level WHERE IN clause

Introduction to SQL
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Problem:
Find all the albums containing songs belonging to a particular

genre of music
Solution:
Find the GenreId of the desired style (from the Genre table)
then select all of the Tracks that match the GenreID (from the
Track table) then select all of the Titles that match the
AlbumId (from the Album table)
Introduction to SQL
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Nested subquery
Lowest-level query provides a list of GenreIds

Mid-level query provides a list of AlbumIds
Top-level query returns the album names
Introduction to SQL
47 / 58
Outline
Introduction to SQL
Simple queries
Introduction to SQL
48 / 58

Problem:
Display a list of all songs and their genre
Solution:
Create a new table with the name of the song (from the Track
table) and the name of the songs genre (from the Genre table)
Introduction to SQL
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Join 2 tables with FROM/WHERE syntax

SQL: JOIN WHERE syntax
SELECT tableName1 . columnName , tableName2 . columnName

FROM tableName1 , tableName2
WHERE tableName1 . keyColumn=tableName2 . keyColumn
WHERE clause connects the keys from the two different tables
Introduction to SQL
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Join 2 tables with JOIN/ON syntax

SQL: JOIN ON syntax
SELECT tableName1 . columnName , tableName2 . columnName

FROM tableName1 JOIN tableName2
ON tableName1 . keyColumn=tableName2 . keyColumn
ON clause connects the keys from the two different tables

Introduction to SQL
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SQL: JOIN WHERE syntax
SELECT tableName1 . columnName , tableName2 . columnName ,

tableName3 . columnName
FROM tableName1 , tableName2 , tableName3
WHERE tableName1 . keyColumn=tableName2 . keyColumn
AND tableName1 . keyColumn=tableName3 . keyColumn
Introduction to SQL
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SQL: JOIN ON syntax
SELECT tabName1 . columnName , tabName2 . columnName ,

tabName3 . columnName
FROM tabName1
JOIN tabName2 ON tabName1 . keyCol=tabName2 . keyCol
JOIN tabName3 ON tabName1 . keyCol=tabName3 . keyCol
Introduction to SQL
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WHERE clause can contain additional constraints as well as

specifying table linkages
Introduction to SQL
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Can add WHERE clause to specify additional constraints

Introduction to SQL
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Join operation with aggregates by group

Who are the largest customers?
Introduction to SQL
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Join operation with aggregates by group

What countries produce the most sales other than the US?
Introduction to SQL
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Computational Finance and Risk Management
http://depts.washington.edu/compfin
Introduction to SQL
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Financial Data Access With SQL, Excel & VBA: Guy Yollin

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Computational Finance and Risk Management

Financial Data Access

Data Access with SQL, Excel & VBA

SQLite and sample databases

Queries with additional clauses

Querying multiple tables with subqueries

Querying multiple tables with join

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

SQLite and sample databases

Queries with additional clauses

Querying multiple tables with subqueries

Querying multiple tables with join

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

relation, base relvar

view, query result, result set

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

SQLite and sample databases

Queries with additional clauses

Querying multiple tables with subqueries

Querying multiple tables with join

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Chinook sample database

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Chinook sample database

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

SQLite Manager for Firefox

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

SQLite Manager for Firefox

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

SQL and SQLite data types

SQLite storage mode

Data Access with SQL, Excel & VBA

A column (or set of columns) whose values uniquely

A column in a table which is also the Primary Key in

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

SQLite and sample databases

Queries with additional clauses

Querying multiple tables with subqueries

Querying multiple tables with join

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

Guy Yollin (Copyright 2012)

Data Access with SQL, Excel & VBA

SELECT FROM tableName

The * character is a wildcard meaning all columns

Data Access with SQL, Excel & VBA