Ideally by minute or by second.

Here is one approach for regularizing data into time "bars" that I found, posted on dbformus: http://www.dbforums.com/microsoft-sql-server/1660120-regularizing-time-intervals.html#post6478463

It runs very slowly however due to all the "group by" activity.

DECLARE...

One wouldn't want the average of 20 prices to be represented the same as say 3 prices, but one might very well want the average of 20 seconds worth of...

I'd be interested to know whether anyone has an approach to calculate time-based moving averages where the time stamps are irregularly spaced. This is how financial data is often...