SQL Server 2017

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CREATE TABLE t(
    [Time] datetime,
    [Open] int,
    [Close] int,
    [High] int,
    [Low] int,
    [Volume] int
);

INSERT INTO t([Time], [Open], [Close], [High], [Low], [Volume]) VALUES
('2019-10-30 09:30', 5, 10, 15, 1, 125000),
('2019-10-30 09:31', 10, 15, 20, 5, 100000),
('2019-10-30 09:32', 15, 20, 25, 10, 120000),
('2019-10-30 09:33', 20, 25, 30, 15, 10000),
('2019-10-30 09:34', 20, 22, 40, 2, 13122),
('2019-10-30 09:35', 22, 30, 35, 4, 15000);
6 rows affected

WITH cte AS (
  SELECT clamped_time
       , [Open]
       , [Close]
       , [High]
       , [Low]
       , [Volume]
       , rn1 = ROW_NUMBER() OVER (PARTITION BY clamped_time ORDER BY [Time])
       , rn2 = ROW_NUMBER() OVER (PARTITION BY clamped_time ORDER BY [Time] DESC)
  FROM t
  CROSS APPLY (
      SELECT DATEADD(MINUTE, DATEDIFF(MINUTE, 0, time) / 5 * 5, 0)
  ) AS x(clamped_time)
)
SELECT clamped_time
     , MIN(CASE WHEN rn1 = 1 THEN [Open] END) AS [Open]
     , MIN(CASE WHEN rn2 = 1 THEN [Close] END) AS [Close]
     , MAX([High]) AS [High]
     , MIN([Low]) AS [Low]
     , AVG([Volume])
FROM cte
GROUP BY clamped_time


clamped_time
Open
Close
High
Low
(No column name)


2019-10-30 09:30:00.000
5
22
40
1
73624

2019-10-30 09:35:00.000
22
30
35
4
15000


Warning: Null value is eliminated by an aggregate or other SET operation.


WITH cte AS (
  SELECT clamped_time
       , FIRST_VALUE([Open]) OVER (PARTITION BY clamped_time ORDER BY [Time]) [Open]
       , FIRST_VALUE([Close]) OVER (PARTITION BY clamped_time ORDER BY [Time] DESC) [Close]
       , [High]
       , [Low]
       , [Volume]
  FROM t
  CROSS APPLY (
      SELECT DATEADD(MINUTE, DATEDIFF(MINUTE, 0, time) / 5 * 5, 0)
  ) AS x(clamped_time)
)
SELECT clamped_time
     , MIN([Open]) AS [Open]
     , MIN([Close]) AS [Close]
     , MAX([High]) AS [High]
     , MIN([Low]) AS [Low]
     , AVG([Volume])
FROM cte
GROUP BY clamped_time


clamped_time
Open
Close
High
Low
(No column name)


2019-10-30 09:30:00.000
5
22
40
1
73624

2019-10-30 09:35:00.000
22
30
35
4
15000
clamped_time	Open	Close	High	Low	(No column name)
2019-10-30 09:30:00.000	5	22	40	1	73624
2019-10-30 09:35:00.000	22	30	35	4	15000