In the realm of data analysis, particularly when dealing with time-series data, traditional joins often fall short. Imagine analyzing customer behavior throughout their purchasing history. You need to connect their actions (purchases) with relevant product information, but timestamps might not line up perfectly. This is where the ASOF join emerges as a powerful tool.

What is an ASOF Join?

Think of it as a “closest match” join. Unlike traditional joins that seek exact matches, ASOF joins pair records based on proximity in time. For each row in the left table (think purchases), it finds the closest (not necessarily equal) timestamped record in the right table (product information) that exists before or at the same time.

Essentially, ASOF allows you to ask questions like: “For each purchase, what was the product price as of the purchase date?”

Why Use ASOF Join?

Here are some compelling reasons to embrace ASOF joins:

  1. Time-series analysis: It’s tailor-made for analyzing sequences of data points over time.
  2. Imperfect timestamps: Real-world data often has inconsistencies in timestamps. ASOF joins handle these gracefully.
  3. Closest match scenarios: When exact matches aren’t available, finding the closest record is crucial for accurate analysis.
  4. Flexibility: ASOF joins offer various conditions like “closest before” or “closest within a range” for fine-grained analysis.

ASOF JOIN joins two different time-series measures. For each row in the first time-series, the ASOF JOIN takes from the second time-series a timestamp that meets both of the following criteria:

  1. The timestamp is the closest to the first timestamp.
  2. The timestamp is strictly prior or after or equal to the first timestamp.

ASOF JOIN can take the timestamp of from Table A and find an entry in Table B where the timestamp is closest to the timestamp of the event from Table A corresponding to the closest match condition. Equal timestamp values are the closest if available.

Example

Given the following tables:

stock_prices

SYMBOL PRICE STOCK_PRICE_ASOF
TSLA 9.93 2024-02-02 14:29:10.753
TSLA 9.62 2024-02-02 14:29:52.806
TSLA 9.61 2024-02-02 14:30:43.379
TSLA 9.93 2024-02-02 14:32:35.397
TSLA 9.68 2024-02-02 14:41:38.263
TSLA 9.05 2024-02-02 14:45:00.480
TSLA 9.06 2024-02-02 14:45:32.556
TSLA 9.88 2024-02-02 15:04:29.979
TSLA 9.72 2024-02-02 15:06:40.404
TSLA 9.44 2024-02-02 15:23:07.893
TSLA 9.13 2024-02-02 15:23:21.083

We have another table stock_portfolio containing portfolio holdings at various points in time:

stock_portfolio

SYMBOL NUMBER_OF_SHARES TRANSACTION_TIMESTAMP
TSLA 100.00 2024-02-02 14:29:20.264
TSLA 77.00 2024-02-02 14:30:51.040
TSLA 56.00 2024-02-02 14:45:41.192
TSLA 86.00 2024-02-02 15:06:48.475
TSLA 60.00 2024-02-02 15:23:12.587

Note that the transaction_timestamp from stock_portfolio does not align with the stock_price_asof in the stock_prices table.

SQL Query

An ASOF JOIN query can look like the following:

select 
  stock_portfolio.symbol
  , price as stock_price
  , number_of_shares
  , transaction_timestamp
  , stock_price_asof  
  , price * number_of_shares as value
from stock_portfolio
asof join stock_prices
  match_condition (stock_portfolio.transaction_timestamp >= stock_prices.stock_price_asof)
  on stock_prices.symbol = stock_portfolio.symbol ;

This is the JOIN result:

SYMBOL STOCK_PRICE NUMBER_OF_SHARES TRANSACTION_TIMESTAMP STOCK_PRICE_ASOF VALUE
TSLA 9.93 100.00 2024-02-02 14:29:20.264 2024-02-02 14:29:10.753 993.0000
TSLA 9.61 77.00 2024-02-02 14:30:51.040 2024-02-02 14:30:43.379 739.9700
TSLA 9.06 56.00 2024-02-02 14:45:41.192 2024-02-02 14:45:32.556 507.3600
TSLA 9.72 86.00 2024-02-02 15:06:48.475 2024-02-02 15:06:40.404 835.9200
TSLA 9.44 60.00 2024-02-02 15:23:12.587 2024-02-02 15:23:07.893 566.4000

The result has all rows from the stock_portfolio table joined with rows from the stock_prices table. For each timestamp from the stock_portfolio table, the query looks for a timestamp that is equal or prior to it from the stock_prices table. If no matching timestamp is found, NULL is inserted.

This query returns all rows from the bids table joined with records from the asks table that meet both the following criterion:

The stock column of the two tables has the same value The timestamp of the stock_prices record is prior to or equal to the timestamp of the stock_portfolio record.

Also see