This appears to work. There may well be a less verbose way to do it.
--create test data
CREATE TABLE #t
(priceDate DATETIME
,price MONEY
,priceType CHAR(1)
)
INSERT #t
SELECT '20090101',100,'A'
UNION SELECT '20090102',500,'A'
UNION SELECT '20090103',20 ,'A'
UNION SELECT '20090104',25 ,'A'
UNION SELECT '20090105',28 ,'A'
UNION SELECT '20090131',150,'A'
UNION SELECT '20090201',501,'A'
UNION SELECT '20090203',21 ,'A'
UNION SELECT '20090204',26 ,'A'
UNION SELECT '20090205',29 ,'A'
UNION SELECT '20090228',151,'A'
UNION SELECT '20090101',100,'B'
UNION SELECT '20090102',500,'B'
UNION SELECT '20090103',20 ,'B'
UNION SELECT '20090104',25 ,'B'
UNION SELECT '20090105',28 ,'B'
UNION SELECT '20090131',150,'B'
UNION SELECT '20090201',501,'B'
UNION SELECT '20090203',21 ,'B'
UNION SELECT '20090204',26 ,'B'
UNION SELECT '20090205',29 ,'B'
UNION SELECT '20090228',151,'B'
--query
;WITH rangeCTE
AS
(
SELECT MIN(priceDate) minDate
,MAX(priceDate) maxDate
FROM #t
)
,datelistCTE
AS
(
SELECT CAST(CONVERT(CHAR(6),minDate,112) + '01' AS DATETIME) AS monthStart
,DATEADD(mm,1,CAST(CONVERT(CHAR(6),minDate,112) + '01' AS DATETIME)) -1 AS monthEnd
,1 AS monthID
FROM rangeCTE
UNION ALL
SELECT DATEADD(mm,1,monthStart)
,DATEADD(mm,2,monthStart) - 1
,monthID + 1
FROM datelistCTE
WHERE monthStart <= (SELECT maxDate FROM rangeCTE)
)
,priceOrderCTE
AS
(
SELECT *
,ROW_NUMBER() OVER (PARTITION BY monthID, priceType
ORDER BY priceDate
) AS rn1
,ROW_NUMBER() OVER (PARTITION BY monthID, priceType
ORDER BY priceDate DESC
) AS rn2
,ROW_NUMBER() OVER (PARTITION BY monthID, priceType
ORDER BY price DESC
) AS rn3
,ROW_NUMBER() OVER (PARTITION BY monthID, priceType
ORDER BY price
) AS rn4
FROM datelistCTE AS d
JOIN #t AS t
ON t.priceDate BETWEEN d.monthStart AND d.monthEnd
WHERE monthStart <= (SELECT maxDate FROM rangeCTE)
)
SELECT o.MonthStart
,o.priceType
,o.Price AS opening
,c.price AS closing
,h.price AS high
,l.price AS low
FROM priceOrderCTE AS o
JOIN priceOrderCTE AS c
ON c.priceType = o.PriceType
AND c.monthID = o.MonthID
JOIN priceOrderCTE AS h
ON h.priceType = o.PriceType
AND h.monthID = o.MonthID
JOIN priceOrderCTE AS l
ON l.priceType = o.PriceType
AND l.monthID = o.MonthID
WHERE o.rn1 = 1
AND c.rn2 = 1
AND h.rn3 = 1
AND l.rn4 = 1