Obtenha todas as janelas entre as datas de início e término

Aqui está o SQL Fiddle para minha pergunta: https://sqlfiddle.com/sql-server/online-compiler?id=ab1634d7-fec7-4918-ac1c-3f4fcac8dc92

Eu tenho os seguintes dados de amostra:

DROP TABLE IF EXISTS #Price
CREATE TABLE #Price (DataId INT IDENTITY(1,1), NameOfWidget VARCHAR(50), Price MONEY, PriceScheduleId INT, 
                     StartEffectiveWhen DATE, EndEffectiveWhen DATE)

INSERT INTO #Price (NameOfWidget, Price, PriceScheduleId, StartEffectiveWhen, EndEffectiveWhen)
VALUES
    ('CoolWidget', 3.51, 1, '2015-1-1', '2021-12-31'),
    ('CoolWidget', 2.00, 2, '2017-1-1', '2022-12-31'),
    ('CoolWidget', 4.23, 1, '2021-1-1', '2100-12-31'),
    ('CoolWidget', 2.00, 2, '2021-1-1', '2100-12-31'),
    ('OtherWidget', 13.24, 1, '2014-1-1', '2100-12-31')

Agora preciso colocar esses dados no seguinte formato:

NameOfWidget    StartEffectiveWhen  EndEffectiveWhen
CoolWidget      2015-01-01          2016-12-31
CoolWidget      2017-01-01          2021-12-31
CoolWidget      2021-01-01          2022-12-31
CoolWidget      2023-01-01          2100-12-31
OtherWidget     2015-01-01          2100-12-31

Isso segue a seguinte lógica, agrupado por NameOfWidget:

1. Encontra o mais baixo StartEffectiveWhen.
2. Encontra o próximo valor mais baixo StartEffectiveWhenou EndEffectiveWhen. Essa data se torna a próxima EndEffectiveWhen. Mas se fosse um EndEffectiveWhen, então subtraímos um dia dele.
3. Em seguida, repete as etapas acima, exceto que exclui os dados já utilizados.

O objetivo é ter uma linha para cada "janela" do período de tempo.

O código abaixo faz o que preciso, mas usa um loop para fazer isso.

Como sempre, meus dados reais são muito mais complexos. Ele também possui 56 milhões de linhas. (O código abaixo leva 3 horas para ser executado em meus dados reais)

Estou esperando uma maneira de fazer o que tenho abaixo sem precisar fazer um loop.

Meu código (lento, baseado em loop)

DROP TABLE IF EXISTS #EffectiveRange
CREATE TABLE #EffectiveRange (EffectiveDateId INT IDENTITY(1,1), StartEffectiveWhen DATE, EndEffectiveWhen DATE, EndWhenOfRowsThatMatchStartDate DATE, SecondStartWhen DATE, NameOfWidget VARCHAR(50), CalculationRound INT)

DECLARE @CalculationRound INT = 1

-- This is < 15 in my real code
WHILE (@CalculationRound < 5)
BEGIN

    -- Find the first/next range in source price table.
    INSERT INTO  #EffectiveRange(StartEffectiveWhen, EndWhenOfRowsThatMatchStartDate, SecondStartWhen, NameOfWidget, CalculationRound)
    SELECT  MIN(price.StartEffectiveWhen) StartWhen, NULL, NULL, price.NameOfWidget, @CalculationRound
    FROM    #Price price            
    WHERE   price.StartEffectiveWhen > 
            (SELECT MAX(maxValue.StartWhen) 
             FROM 
                (SELECT MAX(rangesSub.StartEffectiveWhen) AS StartWhen
                 FROM   #EffectiveRange AS rangesSub
                 WHERE  rangesSub.NameOfWidget = price.NameOfWidget
                 UNION ALL
                 SELECT CAST('1/1/1900' AS DATE) AS StartWhen) AS maxValue)
    GROUP BY price.NameOfWidget 

    -- Find the end date for the rows that match the start date we just found.
    UPDATE  #EffectiveRange SET
       EndWhenOfRowsThatMatchStartDate = calc.EndWhenOfRowsThatMatchStartDateCalc
    FROM 
        (
            SELECT  MIN(price.EndEffectiveWhen) AS EndWhenOfRowsThatMatchStartDateCalc, price.NameOfWidget
            FROM    #Price price
                    JOIN #EffectiveRange ranges
                        ON ranges.NameOfWidget = price.NameOfWidget
                        AND ranges.CalculationRound = @CalculationRound
            WHERE   price.StartEffectiveWhen = ranges.StartEffectiveWhen
            GROUP BY price.NameOfWidget
        ) AS calc
        JOIN #EffectiveRange ranges
            ON ranges.NameOfWidget = calc.NameOfWidget
            AND ranges.CalculationRound = @CalculationRound

    -- Find the next largest start date for the calculation round.        
    UPDATE  #EffectiveRange SET
        SecondStartWhen = calc.SecondStartWhen
    FROM 
        (
            SELECT  MIN(price.StartEffectiveWhen) SecondStartWhen, price.NameOfWidget
            FROM    #Price price
                    JOIN #EffectiveRange ranges
                        ON ranges.NameOfWidget = price.NameOfWidget
                        AND ranges.CalculationRound = @CalculationRound
            WHERE   price.StartEffectiveWhen > ranges.StartEffectiveWhen
            GROUP BY price.NameOfWidget
        ) AS calc
        JOIN #EffectiveRange ranges
            ON ranges.NameOfWidget = calc.NameOfWidget
            AND ranges.CalculationRound = @CalculationRound

    -- Send the EndWhen to be the lesser of EndWhenOfRowsThatMatchStartDate and secondStartDate.  
    -- This will define our window of effectiveness for this round of the test. (once we have all of the windows (aka each time a change was made),
    -- we will caclulate the price for each window.
    UPDATE #EffectiveRange SET
        EndEffectiveWhen = IIF((EndWhenOfRowsThatMatchStartDate < SecondStartWhen) OR SecondStartWhen IS NULL, EndWhenOfRowsThatMatchStartDate, DATEADD(DAY, -1, SecondStartWhen))
    WHERE   CalculationRound = @CalculationRound

    SET @CalculationRound = @CalculationRound + 1
END

-- Show the final result
SELECT  ranges.NameOfWidget, ranges.StartEffectiveWhen, ranges.EndEffectiveWhen
FROM    #EffectiveRange ranges
ORDER BY ranges.NameOfWidget, ranges.StartEffectiveWhen


DROP TABLE IF EXISTS #EffectiveRange
DROP TABLE IF EXISTS #Price

Atualizar

Este SQL Fiddle mostra o que acabei fazendo:

https://sqlfiddle.com/sql-server/online-compiler?id=b0d81632-b14d-4374-a80e-0835750f48bc

@Akina me fez pensar sobre meu problema na direção certa. (Obrigado @Akina!)

Por precaução, aqui está a consulta que acabei usando:

DROP TABLE IF EXISTS #Price
CREATE TABLE #Price (DataId INT IDENTITY(1,1), NameOfWidget VARCHAR(50), Price MONEY, PriceScheduleId INT, StartEffectiveWhen DATE, EndEffectiveWhen DATE)

INSERT INTO #Price (NameOfWidget, Price, PriceScheduleId, StartEffectiveWhen, EndEffectiveWhen)
VALUES
    ('CoolWidget', 3.51, 1, '2015-1-1', '2021-12-31'),
    ('CoolWidget', 2.00, 2, '2017-1-1', '2022-12-31'),
    ('CoolWidget', 4.23, 1, '2021-1-1', '2100-12-31'),
    ('CoolWidget', 2.00, 2, '2021-1-1', '2100-12-31'),
    ('OtherWidget', 13.24, 1, '2014-1-1', '2018-5-4'),
    ('OtherWidget', 13.24, 1, '2018-5-6', '2019-12-31'),
    ('OtherWidget', 13.24, 1, '2020-1-1', '2100-12-31')

;WITH OrderedDates AS 
(
    SELECT  priceStart.NameOfWidget, priceStart.StartEffectiveWhen AS DateWhen, 1 AS IsStartDate, 0 AS IsEndDate
    FROM    #Price priceStart

    UNION 

    SELECT  priceStart.NameOfWidget, priceStart.EndEffectiveWhen AS DateWhen, 0 AS IsStartDate, 1 AS IsEndDate
    FROM    #Price priceStart
    
)
SELECT  OrderedDates.NameOfWidget,
        CASE 
            WHEN LAG(OrderedDates.DateWhen) OVER (PARTITION BY OrderedDates.NameOfWidget ORDER BY OrderedDates.DateWhen) IS NULL THEN '1900-1-1'
            WHEN LAG(OrderedDates.IsStartDate ) OVER (PARTITION BY OrderedDates.NameOfWidget ORDER BY OrderedDates.DateWhen) = 1 
                THEN  LAG(OrderedDates.DateWhen) OVER (PARTITION BY OrderedDates.NameOfWidget ORDER BY OrderedDates.DateWhen)
            ELSE DATEADD(DAY, 1, LAG(OrderedDates.DateWhen) OVER (PARTITION BY OrderedDates.NameOfWidget ORDER BY OrderedDates.DateWhen))
        END AS StartEffectiveWhen, 
        
        CASE
            WHEN OrderedDates.IsEndDate = 1 THEN OrderedDates.DateWhen
            ELSE DATEADD(DAY, -1, OrderedDates.DateWhen)
        END AS EndEffectiveWhen
FROM    OrderedDates
ORDER BY OrderedDates.NameOfWidget