Jeg er ikke sikker på, at du kan gøre det med LAST_VALUE, medmindre du måske tilføjer en PIVOT.
Du skal også behandle størrelse og pris separat, fordi de kommer fra forskellige rækker. Så dette opnår det, du ønsker, ved at nedbryde det.
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;
Den anden måde er at vedligeholde en separat tabel via triggere eller en eller anden ETL, der gør det til oversigten for dig.