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feat(sql): volume-weighted exponential moving average (VWEMA) window function#6651

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bluestreak01 merged 3 commits intomasterfrom
vi_vwema
Jan 15, 2026
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feat(sql): volume-weighted exponential moving average (VWEMA) window function#6651
bluestreak01 merged 3 commits intomasterfrom
vi_vwema

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@bluestreak01 bluestreak01 commented Jan 15, 2026

Summary

  • Adds Volume-Weighted Exponential Moving Average (VWEMA) as a new window function
  • New avg(price, kind, param, volume) signature for computing VWEMA
  • Supports three smoothing modes:
    • 'alpha': Direct smoothing factor (0 < α ≤ 1)
    • 'period': EMA-style period (α = 2/(period+1))
    • Time units ('second', 'minute', 'hour', 'day'): Time-weighted decay with tau parameter

VWEMA Formula

numerator   = α × price × volume + (1-α) × prev_numerator
denominator = α × volume + (1-α) × prev_denominator
VWEMA       = numerator / denominator

For time-weighted mode: α = 1 - exp(-Δt / τ)

Test plan

  • Comprehensive unit tests covering all modes and edge cases
  • Explain plan tests for all function variants
  • Tests for invalid inputs (NaN price, NaN volume, zero volume, same timestamps)
  • Partitioned and non-partitioned queries

🤖 Generated with Claude Code

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coderabbitai bot commented Jan 15, 2026 •
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Walkthrough

This PR introduces a VWEMA (Volume-Weighted Exponential Moving Average) window function implementation with alpha-based, period-based, and time-weighted modes. Supporting changes include keyword detection utilities, window context API extension with timestamp type tracking, and comprehensive test coverage.

Changes

Cohort / File(s) Summary
VWEMA Window Function Implementation
core/src/main/java/io/questdb/griffin/engine/functions/window/VwemaDoubleWindowFunctionFactory.java, core/src/main/resources/function_list.txt		 Adds new VWEMA factory (~742 lines) supporting three modes: alpha (direct smoothing), period (N+1 formula), and time-weighted (tau-based). Includes partitioned/unpartitioned variants with separate function implementations. Validates window context, parses arguments, handles NaN/invalid inputs, and manages internal state via column types. Registers factory in function list.
Window Context API Extension
core/src/main/java/io/questdb/griffin/engine/window/WindowContext.java, core/src/main/java/io/questdb/griffin/engine/window/WindowContextImpl.java		 Adds getTimestampType() method to both interface and implementation to expose timestamp type information required by time-weighted VWEMA calculations.
SQL Keywords
core/src/main/java/io/questdb/griffin/SqlKeywords.java		 Adds two case-insensitive keyword detectors: isAlphaKeyword() and isWeeksKeyword() following existing pattern of length checks and per-character bitwise comparisons.
VWEMA Test Suite
core/src/test/java/io/questdb/test/griffin/engine/window/VwemaWindowFunctionTest.java		 Comprehensive test class (~1103 lines) covering alpha, period, and time-weighted modes across unpartitioned and partitioned windows; includes NaN/zero volume handling, multiple time units (seconds, days, hours, microseconds, milliseconds, minutes, weeks), explain-plan validation, and error condition assertions.

Estimated code review effort

🎯 4 (Complex) | ⏱️ ~45 minutes

Possibly related PRs

Suggested labels

New feature, SQL

Suggested reviewers

  • puzpuzpuz
  • kafka1991
🚥 Pre-merge checks | ✅ 2 | ❌ 1
❌ Failed checks (1 warning)
Check name Status Explanation Resolution
Docstring Coverage ⚠️ Warning Docstring coverage is 3.74% which is insufficient. The required threshold is 80.00%. Write docstrings for the functions missing them to satisfy the coverage threshold.
✅ Passed checks (2 passed)
Check name Status Explanation
Title check ✅ Passed The title clearly and specifically describes the main change: adding a new VWEMA (volume-weighted exponential moving average) window function to the SQL engine.
Description check ✅ Passed The description is detailed and directly related to the changeset, covering the new VWEMA window function, supported modes, formula, and test coverage.

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@bluestreak01 bluestreak01 mentioned this pull request Jan 15, 2026
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bluestreak01 commented Jan 15, 2026

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glasstiger commented Jan 15, 2026

[PR Coverage check]

😍 pass : 295 / 301 (98.01%)

file detail

path covered line new line coverage
🔵 io/questdb/griffin/engine/functions/window/VwemaDoubleWindowFunctionFactory.java 280 286 97.90%
🔵 io/questdb/griffin/SqlKeywords.java 12 12 100.00%
🔵 io/questdb/griffin/engine/window/WindowContextImpl.java 3 3 100.00%

@bluestreak01 bluestreak01 merged commit a04b64e into master Jan 15, 2026
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@bluestreak01 bluestreak01 deleted the vi_vwema branch January 15, 2026 22:45
@bluestreak01 bluestreak01 mentioned this pull request Jan 16, 2026
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