SQL Server 2019

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    CREATE TABLE #Test
        (SetName nvarchar(100),
        [Timestamp] datetime,
        Value smallint)

    INSERT INTO #Test VALUES('Alpha', GETDATE(), 1)
    WAITFOR DELAY '00:00:00.01';
    INSERT INTO #Test VALUES('Alpha', GETDATE(), 0)
    WAITFOR DELAY '00:00:00.01';
    INSERT INTO #Test VALUES('Alpha', GETDATE(), 1)
    WAITFOR DELAY '00:00:00.01';
    INSERT INTO #Test VALUES('Beta', GETDATE(), 1)
    WAITFOR DELAY '00:00:00.01';
    INSERT INTO #Test VALUES('Beta', GETDATE(), 1)
    WAITFOR DELAY '00:00:00.01';
    INSERT INTO #Test VALUES('Beta', GETDATE(), 1)
    WAITFOR DELAY '00:00:00.01';
    INSERT INTO #Test VALUES('Gamma', GETDATE(), 1)
    WAITFOR DELAY '00:00:00.01';
    INSERT INTO #Test VALUES('Gamma', GETDATE(), 0)
    WAITFOR DELAY '00:00:00.01';
    INSERT INTO #Test VALUES('Gamma', GETDATE(), 1);

    SELECT * FROM #Test


SetName
Timestamp
Value


Alpha
2022-05-24 04:09:36.110
1

Alpha
2022-05-24 04:09:36.127
0

Alpha
2022-05-24 04:09:36.143
1

Beta
2022-05-24 04:09:36.157
1

Beta
2022-05-24 04:09:36.173
1

Beta
2022-05-24 04:09:36.190
1

Gamma
2022-05-24 04:09:36.203
1

Gamma
2022-05-24 04:09:36.220
0

Gamma
2022-05-24 04:09:36.237
1


--To track the changes at SetName level
WITH CTE AS
(
SELECT 
   SetName, [Timestamp], Value, Lag(Value, 1, -1) OVER (PARTITION BY SetName ORDER BY [Timestamp]) AS LastValue
FROM #Test
) 

SELECT 
    SetName, [Timestamp], [Value]
FROM
    CTE
where Value<>LastValue
and LastValue<>-1


SetName
Timestamp
Value


Alpha
2022-05-24 04:09:36.127
0

Alpha
2022-05-24 04:09:36.143
1

Gamma
2022-05-24 04:09:36.220
0

Gamma
2022-05-24 04:09:36.237
1


--To track the changes at whole dataset
WITH CTE AS
(
SELECT 
    SetName, [Timestamp], Value, Lag(Value, 1, -1) OVER (ORDER BY [Timestamp]) AS LastValue
FROM #Test
) 

SELECT 
    SetName, [Timestamp], [Value]
FROM
    CTE
where value<>Lastvalue
and lastvalue<>-1


SetName
Timestamp
Value


Alpha
2022-05-24 04:09:36.127
0

Alpha
2022-05-24 04:09:36.143
1

Gamma
2022-05-24 04:09:36.220
0

Gamma
2022-05-24 04:09:36.237
1

SetName	Timestamp	Value
Alpha	2022-05-24 04:09:36.110	1
Alpha	2022-05-24 04:09:36.127	0
Alpha	2022-05-24 04:09:36.143	1
Beta	2022-05-24 04:09:36.157	1
Beta	2022-05-24 04:09:36.173	1
Beta	2022-05-24 04:09:36.190	1
Gamma	2022-05-24 04:09:36.203	1
Gamma	2022-05-24 04:09:36.220	0
Gamma	2022-05-24 04:09:36.237	1