Ignore los valores nulos cuando use la función Last_Value() de SQL Server 2012

No estoy seguro de que puedas hacerlo con LAST_VALUE, a menos que quizás agregues un PIVOT.

Además, debe tratar Tamaño y Precio por separado porque provienen de filas diferentes. Entonces, esto logra lo que quieres desglosarlo.

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;

La otra forma es mantener una tabla separada a través de activadores o algún ETL que haga el resumen por usted.