Nejsem si jistý, jestli to dokážete s LAST_VALUE, pokud možná nepřidáte PIVOT.
Také je třeba zacházet s velikostí a cenou odděleně, protože pocházejí z různých řádků. Takže tím dosáhnete toho, co chcete, abyste to rozebrali.
DECLARE @source TABLE (FldType int, DateCol DateTime, Price int, Size int);
INSERT @source VALUES
(2, '2012-08-22 00:02:01', 9140, 1048),(0, '2012-08-22 00:02:02', 9140, 77),
(1, '2012-08-22 00:02:03', 9150, 281),(2, '2012-08-22 00:02:04', 9140, 1090),
(0, '2012-08-22 00:02:05', 9150, 1),(1, '2012-08-22 00:02:06', 9150, 324),
(2, '2012-08-22 00:02:07', 9140, 1063);
SELECT
S.DateCol, Xp0.Price0, Xs0.Size0, Xp1.Price1, Xs1.Size1, Xp2.Price2, Xs2.Size2
FROM
@source S
OUTER APPLY
(SELECT TOP 1 S0.Price AS Price0 FROM @source S0 WHERE S0.FldType = 0 AND S0.DateCol <= S.DateCol ORDER BY S0.DateCol DESC) Xp0
OUTER APPLY
(SELECT TOP 1 S1.Price AS Price1 FROM @source S1 WHERE S1.FldType = 1 AND S1.DateCol <= S.DateCol ORDER BY S1.DateCol DESC) Xp1
OUTER APPLY
(SELECT TOP 1 S2.Price AS Price2 FROM @source S2 WHERE S2.FldType = 2 AND S2.DateCol <= S.DateCol ORDER BY S2.DateCol DESC) Xp2
OUTER APPLY
(SELECT TOP 1 S0.Size AS Size0 FROM @source S0 WHERE S0.FldType = 0 AND S0.DateCol <= S.DateCol ORDER BY S0.DateCol DESC) Xs0
OUTER APPLY
(SELECT TOP 1 S1.Size AS Size1 FROM @source S1 WHERE S1.FldType = 1 AND S1.DateCol <= S.DateCol ORDER BY S1.DateCol DESC) Xs1
OUTER APPLY
(SELECT TOP 1 S2.Size AS Size2 FROM @source S2 WHERE S2.FldType = 2 AND S2.DateCol <= S.DateCol ORDER BY S2.DateCol DESC) Xs2
ORDER BY
DateCol;
Druhým způsobem je udržovat samostatnou tabulku pomocí spouštěčů nebo nějakého ETL, který to shrnuje za vás.