MongoDB 聚合管道问题

Question

我是 mongoDB 的新手，很难理解聚合管道。

我已经创建了一个数据库来保存有关我的股票交易的信息。在精简版中，我投资组合中的一份文件看起来有点像这样

   {
   "date" : 2015-12-31T15:50:00.000Z,
   "time" : 1550,
   "aum"  : 1000000,
   "basket" :[
   {
     "_id" : "Microsoft",
     "shares" : 10,
     "price"  : 56.53,
     "fx"     : 1.0
   },
   .
   .
   .
   {
     "_id" : "GOOG.N",
     "shares" : 20,
     "price"  : 759.69,
     "fx"     : 1.0
   }

]

因此，对于每一天，我都会跟踪我管理的资产 (aum) 以及我以当前价格持有的所有头寸的列表。我需要做的是计算投资组合的每日净敞口和总敞口占 aum 的百分比。净曝光很简单：

sum(shares*price*fx)/aum

超过所有股票。总曝光量为：

abs(shares*price*fx)/aum

（负仓即为空仓）。我需要使用聚合框架将其作为单个查询来执行。我已经尝试了很多查询，但 none 似乎工作得如此清楚，我只是在黑暗中徘徊。谁能给点指导？

我的查询如下所示

db.strategy.aggregate(

  // Pipeline
  [
    // Stage 1
    {
      $project: {
        "_id": 0,
        "date":1,
        "time":1,
        "aum":1,
        "strategyName":1,
        "gExposure": {$divide: ["$grossExposure","$aum"]}
      }
    },

    // Stage 2
    {
      $group: {
        _id :{ date:"$date",time:"$time",strategyName:"$strategyName"},
        grossExposure: { $sum: { $abs: {$multiply: [ "$basket.sysCurShares","$basket.price","$basket.fx" ] } }}
      }
    },

    // Stage 3
    {
      $sort: {
      "_id.date": 1,  "_id.time": 1,  "_id.strategyName": 1 
      }
    }

  ]
);

查询运行但计算值为零。我的投影没有像我预期的那样工作，因为我希望将所有数据展平为二维 table.

Answer 1

由于篮子字段是一个数组，您需要使用 $unwind before running the $group aggregate operation. Also, create a new field in the $project that holds the exposure before the $group 管道将其展平。继续您之前的尝试，您可以尝试以下管道：

db.strategy.aggregate([
    { "$unwind": "$basket" },
    {
        "$project": {
            "date": 1,
            "time": 1,          
            "strategyName": 1,
            "exposure": { 
                "$multiply": ["$basket.sysCurShares", "$basket.price", "$basket.fx"] 
            }
        }
    },    
    {
        "$group": {
            "_id": { 
                "date": "$date",
                "time": "$time",
                "strategyName": "$strategyName"
            },
            "totalExposure": { "$sum": "$exposure" },
            "aum": { "$first": "$aum" }
        }
    },
    {
        "$project": {
            "_id": 0,
            "date": "$_id.date",
            "time": "$_id.time",         
            "strategyName": "$_id.strategyName",
            "netExposure": { "$divide": ["$totalExposure", "$aum"] },
            "grossExposure": {
                "$abs": { "$divide": ["$totalExposure", "$aum"] } 
            }
        }
    }, 
    { "$sort": { "date": 1,  "time": 1,  "strategyName": 1 } }
]);

Answer 2

您可以在单阶段对 mongodb 3.4 执行相同的操作

db.strategy.aggregate([
{
  $project:{
        "date": 1,
        "time": 1,          
        "strategyName": 1,   
        "netExposure":{ "$divide": [{"$reduce":{input:"$basket",initialValue:0,in:{$add:[{$multiply: ["$$this.fx","$$this.shares","$$this.price"]},"$$value"]}}}, "$aum"] },
        "grossExposure":{"$abs":{ "$divide": [{"$reduce":{input:"$basket",initialValue:0,in:{$add:[{$multiply: ["$$this.fx","$$this.shares","$$this.price"]},"$$value"]}}}, "$aum"] }}
}, 
{ "$sort": { "date": 1,  "time": 1,  "strategyName": 1 } }
]);

MongoDB 聚合管道问题

MongoDB Aggregation pipeline problems

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mongodb-aggregation