Selecting the top n rows within a group by clause
CROSS APPLY is how you usually do this - http://msdn.microsoft.com/en-us/library/ms175156.aspx
EDIT - add example, something like this:
select bar1.instrument ,bar2.*from ( select distinct instrument from bar) as bar1cross apply ( select top 5 bar2.instrument ,bar2.bar_dttm ,bar2.bar_open ,bar2.bar_close from bar as bar2 where bar2.instrument = bar1.instrument) as bar2
Typically you would want to add an order by in there.
Edit - added distinct to the query, hopefully that gives you want you want.Edit - added missing 'select' keyword at top. copy & paste bug FTL!
Row_Number can also be used - http://msdn.microsoft.com/en-us/library/ms186734.aspx
WITH foo as (Select * ,ROW_NUMBER() OVER(PARTITION BY instrument ORDER BY bar_dttm desc) as rankfrom bar)select *from foowhere rank <= 5