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The example in the doc is a little confusing.
It has:
SELECT TIMESTAMP '2001-02-16 20:38:40' AT TIME ZONE 'MST';
And the return of:
2001-02-16 19:38:40-08
This means the timezone of the cluster that executed this is 8 hours behind UTC. I'm assuming it is Pacific Daylight Savings time or PDT. MST is 6 hours behind UTC so the result is a subtraction of 2 hours.
In your cluster, the result is:
2001-02-17 03:02:40 +00
So your cluster is in UTC it has to add hours to get to the UTC timezone.
You can alter your user to specify the timezone you are in too. https://docs.aws.amazon.com/redshift/latest/dg/r_timezone_config.html
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MST is -05, not -08. What timezone is your example '2001-02-16 20:38:40' in? Is it in EST?
it is not my example, it is example from official AWS documentation - https://docs.aws.amazon.com/redshift/latest/dg/r_AT_TIME_ZONE.html. i presume it assumes UTC.