app/vmselect/promql: add range_zscore(q) and range_trim_zscore(z, q) functions

These functions may be useful for dropping outliers at https://github.com/VictoriaMetrics/VictoriaMetrics/issues/3759

app/vmselect/promql/exec_test.go

@@ -6525,6 +6525,28 @@ func TestExecSuccess(t *testing.T) {
 		resultExpected := []netstorage.Result{r}
 		f(q, resultExpected)
 	})
+	t.Run(`range_trim_zscore()`, func(t *testing.T) {
+		t.Parallel()
+		q := `range_trim_zscore(0.9, time())`
+		r := netstorage.Result{
+			MetricName: metricNameExpected,
+			Values:     []float64{nan, 1200, 1400, 1600, 1800, nan},
+			Timestamps: timestampsExpected,
+		}
+		resultExpected := []netstorage.Result{r}
+		f(q, resultExpected)
+	})
+	t.Run(`range_zscore()`, func(t *testing.T) {
+		t.Parallel()
+		q := `round(range_zscore(time()), 0.1)`
+		r := netstorage.Result{
+			MetricName: metricNameExpected,
+			Values:     []float64{-1.5, -0.9, -0.3, 0.3, 0.9, 1.5},
+			Timestamps: timestampsExpected,
+		}
+		resultExpected := []netstorage.Result{r}
+		f(q, resultExpected)
+	})
 	t.Run(`range_quantile(0.5)`, func(t *testing.T) {
 		t.Parallel()
 		q := `range_quantile(0.5, time())`
@@ -8341,8 +8363,10 @@ func TestExecError(t *testing.T) {
 	f(`running_sum(1, 2)`)
 	f(`range_mad()`)
 	f(`range_sum(1, 2)`)
-	f(`range_trim_spikes()`)
 	f(`range_trim_outliers()`)
+	f(`range_trim_spikes()`)
+	f(`range_trim_zscore()`)
+	f(`range_zscore()`)
 	f(`range_first(1,  2)`)
 	f(`range_last(1, 2)`)
 	f(`range_linear_regression(1, 2)`)

app/vmselect/promql/transform.go

@@ -99,6 +99,8 @@ var transformFuncs = map[string]transformFunc{
 	"range_sum":                  newTransformFuncRange(runningSum),
 	"range_trim_outliers":        transformRangeTrimOutliers,
 	"range_trim_spikes":          transformRangeTrimSpikes,
+	"range_trim_zscore":          transformRangeTrimZscore,
+	"range_zscore":               transformRangeZscore,
 	"remove_resets":              transformRemoveResets,
 	"round":                      transformRound,
 	"running_avg":                newTransformFuncRunning(runningAvg),
@@ -1277,6 +1279,64 @@ func transformRangeNormalize(tfa *transformFuncArg) ([]*timeseries, error) {
 	return rvs, nil
 }
 
+func transformRangeTrimZscore(tfa *transformFuncArg) ([]*timeseries, error) {
+	args := tfa.args
+	if err := expectTransformArgsNum(args, 2); err != nil {
+		return nil, err
+	}
+	zs, err := getScalar(args[0], 0)
+	if err != nil {
+		return nil, err
+	}
+	z := float64(0)
+	if len(zs) > 0 {
+		z = math.Abs(zs[0])
+	}
+	// Trim samples with z-score above z.
+	rvs := args[1]
+	for _, ts := range rvs {
+		values := ts.Values
+		qStddev := stddev(values)
+		avg := mean(values)
+		for i, v := range values {
+			zCurr := math.Abs(v-avg) / qStddev
+			if zCurr > z {
+				values[i] = nan
+			}
+		}
+	}
+	return rvs, nil
+}
+
+func transformRangeZscore(tfa *transformFuncArg) ([]*timeseries, error) {
+	args := tfa.args
+	if err := expectTransformArgsNum(args, 1); err != nil {
+		return nil, err
+	}
+	rvs := args[0]
+	for _, ts := range rvs {
+		values := ts.Values
+		qStddev := stddev(values)
+		avg := mean(values)
+		for i, v := range values {
+			values[i] = (v - avg) / qStddev
+		}
+	}
+	return rvs, nil
+}
+
+func mean(values []float64) float64 {
+	var sum float64
+	var n int
+	for _, v := range values {
+		if !math.IsNaN(v) {
+			sum += v
+			n++
+		}
+	}
+	return sum / float64(n)
+}
+
 func transformRangeTrimOutliers(tfa *transformFuncArg) ([]*timeseries, error) {
 	args := tfa.args
 	if err := expectTransformArgsNum(args, 2); err != nil {
@@ -1290,7 +1350,7 @@ func transformRangeTrimOutliers(tfa *transformFuncArg) ([]*timeseries, error) {
 	if len(ks) > 0 {
 		k = ks[0]
 	}
-	// Trim samples v satisfying the `abs(v - range_median(q)) > k*range_mad(q)`
+	// Trim samples satisfying the `abs(v - range_median(q)) > k*range_mad(q)`
 	rvs := args[1]
 	for _, ts := range rvs {
 		values := ts.Values

docs/CHANGELOG.md

@@ -24,7 +24,9 @@ The following tip changes can be tested by building VictoriaMetrics components f
 * FEATURE: [vmalert enterprise](https://docs.victoriametrics.com/vmalert.html): add ability to read alerting and recording rules from S3, GCS or S3-compatible object storage. See [these docs](https://docs.victoriametrics.com/vmalert.html#reading-rules-from-object-storage).
 * FEATURE: [MetricsQL](https://docs.victoriametrics.com/MetricsQL.html): add `mad_over_time(m[d])` function for calculating the [median absolute deviation](https://en.wikipedia.org/wiki/Median_absolute_deviation) over raw samples on the lookbehind window `d`. See [this feature request](https://github.com/prometheus/prometheus/issues/5514).
 * FEATURE: [MetricsQL](https://docs.victoriametrics.com/MetricsQL.html): add `range_mad(q)` function for calculating the [median absolute deviation](https://en.wikipedia.org/wiki/Median_absolute_deviation) over points per each time series returned by `q`.
-* FEATURE: [MetricsQL](https://docs.victoriametrics.com/MetricsQL.html): add `range_trim_outliers(k, q)` function for dropping outliers farther than `k*range_mad(q)` from the `range_median(q)`. This should removing outliers at query time at [this issue](https://github.com/VictoriaMetrics/VictoriaMetrics/issues/3759).
+* FEATURE: [MetricsQL](https://docs.victoriametrics.com/MetricsQL.html): add `range_zscore(q)` function for calculating [z-score](https://en.wikipedia.org/wiki/Standard_score) over points per each time series returned from `q`.
+* FEATURE: [MetricsQL](https://docs.victoriametrics.com/MetricsQL.html): add `range_trim_outliers(k, q)` function for dropping outliers located farther than `k*range_mad(q)` from the `range_median(q)`. This should help removing outliers during query time at [this issue](https://github.com/VictoriaMetrics/VictoriaMetrics/issues/3759).
+* FEATURE: [MetricsQL](https://docs.victoriametrics.com/MetricsQL.html): add `range_trim_zscore(z, q)` function for dropping outliers located farther than `z*range_stddev(q)` from `range_avg(q)`. This should help removing outliers during query time at [this issue](https://github.com/VictoriaMetrics/VictoriaMetrics/issues/3759).
 * FEATURE: [vmui](https://docs.victoriametrics.com/#vmui): show `median` instead of `avg` in graph tooltip and line legend, since `median` is more tolerant against spikes. See [this issue](https://github.com/VictoriaMetrics/VictoriaMetrics/issues/3706).
 
 * BUGFIX: prevent from possible data ingestion slowdown and query performance slowdown during [background merges of big parts](https://docs.victoriametrics.com/#storage) on systems with small number of CPU cores (1 or 2 CPU cores). The issue has been introduced in [v1.85.0](https://docs.victoriametrics.com/CHANGELOG.html#v1850) when implementing [this feature](https://github.com/VictoriaMetrics/VictoriaMetrics/issues/3337). See also [this issue](https://github.com/VictoriaMetrics/VictoriaMetrics/issues/3790).

docs/MetricsQL.md

@@ -809,12 +809,14 @@ See also [min_over_time](#min_over_time).
 
 #### zscore_over_time
 
-`zscore_over_time(series_selector[d])` is a [rollup function](#rollup-functions), which calculates returns [z-score](https://en.wikipedia.org/wiki/Standard_score)
+`zscore_over_time(series_selector[d])` is a [rollup function](#rollup-functions), which returns [z-score](https://en.wikipedia.org/wiki/Standard_score)
 for raw samples on the given lookbehind window `d`. It is calculated independently per each time series returned
 from the given [series_selector](https://docs.victoriametrics.com/keyConcepts.html#filtering).
 
 Metric names are stripped from the resulting rollups. Add [keep_metric_names](#keep_metric_names) modifier in order to keep metric names.
 
+See also [zscore](#zscore) and [range_trim_zscore](#range_trim_zscore).
+
 
 ### Transform functions
 
@@ -1267,18 +1269,28 @@ per each time series returned by `q` on the selected time range.
 #### range_trim_outliers
 
 `range_trim_outliers(k, q)` is a [transform function](#transform-functions), which drops points located farther than `k*range_mad(q)`
-from the `range_median(q)`. E.g., it is equivalent to the following query: `q ifnot (abs(q - range_median(q)) > k*range_mad(q))`.
+from the `range_median(q)`. E.g. it is equivalent to the following query: `q ifnot (abs(q - range_median(q)) > k*range_mad(q))`.
 
-The `phi` must be in the range `[0..1]`, where `0` means `0%` and `1` means `100%`.
-
-See also [range_trim_outliers](#range_trim_outliers).
+See also [range_trim_spikes](#range_trim_spikes) and [range_trim_zscore](#range_trim_zscore).
 
 #### range_trim_spikes
 
 `range_trim_spikes(phi, q)` is a [transform function](#transform-functions), which drops `phi` percent of biggest spikes from time series returned by `q`.
 The `phi` must be in the range `[0..1]`, where `0` means `0%` and `1` means `100%`.
 
-See also [range_trim_outliers](#range_trim_outliers).
+See also [range_trim_outliers](#range_trim_outliers) and [range_trim_zscore](#range_trim_zscore).
+
+#### range_trim_zscore
+
+`range_trim_zscore(z, q)` is a [transform function](#transform-functions), which drops points located farther than `z*range_stddev(q)`
+from the `range_avg(q)`. E.g. it is equivalent to the following query: `q ifnot (abs(q - range_avg(q)) > z*range_avg(q))`.
+
+See also [range_trim_outliers](#range_trim_outliers) and [range_trim_spikes](#range_trim_spikes).
+
+#### range_zscore
+
+`range_zscore(q)` is a [transform function](#transform-functions), which calculates [z-score](https://en.wikipedia.org/wiki/Standard_score)
+for points returned by `q`, e.g. it is equivalent to the following query: `(q - range_avg(q)) / range_stddev(q)`.
 
 #### remove_resets
 
@@ -1890,6 +1902,8 @@ See also [bottomk_min](#bottomk_min).
 per each `group_labels` for all the time series returned by `q`. The aggregate is calculated individually per each group of points with the same timestamp.
 This function is useful for detecting anomalies in the group of related time series.
 
+See also [zscore_over_time](#zscore_over_time) and [range_trim_zscore](#range_trim_zscore).
+
 ## Subqueries
 
 MetricsQL supports and extends PromQL subqueries. See [this article](https://valyala.medium.com/prometheus-subqueries-in-victoriametrics-9b1492b720b3) for details.

go.mod

@@ -12,7 +12,7 @@ require (
 	// like https://github.com/valyala/fasthttp/commit/996610f021ff45fdc98c2ce7884d5fa4e7f9199b
 	github.com/VictoriaMetrics/fasthttp v1.1.0
 	github.com/VictoriaMetrics/metrics v1.23.1
-	github.com/VictoriaMetrics/metricsql v0.54.0
+	github.com/VictoriaMetrics/metricsql v0.55.0
 	github.com/aws/aws-sdk-go-v2 v1.17.4
 	github.com/aws/aws-sdk-go-v2/config v1.18.13
 	github.com/aws/aws-sdk-go-v2/feature/s3/manager v1.11.53

go.sum

@@ -69,8 +69,8 @@ github.com/VictoriaMetrics/fasthttp v1.1.0/go.mod h1:/7DMcogqd+aaD3G3Hg5kFgoFwlR
 github.com/VictoriaMetrics/metrics v1.18.1/go.mod h1:ArjwVz7WpgpegX/JpB0zpNF2h2232kErkEnzH1sxMmA=
 github.com/VictoriaMetrics/metrics v1.23.1 h1:/j8DzeJBxSpL2qSIdqnRFLvQQhbJyJbbEi22yMm7oL0=
 github.com/VictoriaMetrics/metrics v1.23.1/go.mod h1:rAr/llLpEnAdTehiNlUxKgnjcOuROSzpw0GvjpEbvFc=
-github.com/VictoriaMetrics/metricsql v0.54.0 h1:dKAIJtWcSPKnMNhRY5MYpqC77ZyHtA1xuDRr1pJuN5Q=
-github.com/VictoriaMetrics/metricsql v0.54.0/go.mod h1:6pP1ZeLVJHqJrHlF6Ij3gmpQIznSsgktEcZgsAWYel0=
+github.com/VictoriaMetrics/metricsql v0.55.0 h1:GZMZ1dUKPMhKsSPtVTRHfMChwRZ4KrXBxnSQgr3mjSg=
+github.com/VictoriaMetrics/metricsql v0.55.0/go.mod h1:6pP1ZeLVJHqJrHlF6Ij3gmpQIznSsgktEcZgsAWYel0=
 github.com/VividCortex/ewma v1.1.1/go.mod h1:2Tkkvm3sRDVXaiyucHiACn4cqf7DpdyLvmxzcbUokwA=
 github.com/VividCortex/ewma v1.2.0 h1:f58SaIzcDXrSy3kWaHNvuJgJ3Nmz59Zji6XoJR/q1ow=
 github.com/VividCortex/ewma v1.2.0/go.mod h1:nz4BbCtbLyFDeC9SUHbtcT5644juEuWfUAUnGx7j5l4=

vendor/github.com/VictoriaMetrics/metricsql/optimizer.go

@@ -393,7 +393,7 @@ func getTransformArgIdxForOptimization(funcName string, args []Expr) int {
 	case "limit_offset":
 		return 2
 	case "buckets_limit", "histogram_quantile", "histogram_share", "range_quantile",
-		"range_trim_outliers", "range_trim_spikes":
+		"range_trim_outliers", "range_trim_spikes", "range_trim_zscore":
 		return 1
 	case "histogram_quantiles":
 		return len(args) - 1

vendor/github.com/VictoriaMetrics/metricsql/transform.go

@@ -84,6 +84,8 @@ var transformFuncs = map[string]bool{
 	"range_sum":                  true,
 	"range_trim_outliers":        true,
 	"range_trim_spikes":          true,
+	"range_trim_zscore":          true,
+	"range_zscore":               true,
 	"remove_resets":              true,
 	"round":                      true,
 	"running_avg":                true,

vendor/modules.txt

@@ -71,7 +71,7 @@ github.com/VictoriaMetrics/fasthttp/stackless
 # github.com/VictoriaMetrics/metrics v1.23.1
 ## explicit; go 1.15
 github.com/VictoriaMetrics/metrics
-# github.com/VictoriaMetrics/metricsql v0.54.0
+# github.com/VictoriaMetrics/metricsql v0.55.0
 ## explicit; go 1.13
 github.com/VictoriaMetrics/metricsql
 github.com/VictoriaMetrics/metricsql/binaryop