How to create covering Index to fix performance Issue

We had a performance issue, where we had to create  covering index to solve the problem, as we were querying many columns in the table in a single query. 

Problem Statement:

we are having a table with 10 columns. We have 9 columns in a query, for getting clustering key (identity column here). 

1:  SELECT IdentityValue FROM TableWithIdentity   
2:  WHERE col1 = @col1 , col2 = @col2, col3 = @col3, col4 = @col4, col5 = @col5, col6 = @col6, col7 = @col7, col8 = @col8, col9 = @col9  

It is a SQL Server 2012 database. We had to create a covering index with 10 columns. How do I decide the order of columns in the covering index for efficient index ?

Solution Adopted:

1. Get the statistics names associated with table columns. 

1:  SELECT s.stats_id StatsID,  
2:   s.name StatsName,  
3:   sc.stats_column_id StatsColID,  
4:   c.name ColumnName  
5:  FROM sys.stats s  
6:   INNER JOIN sys.stats_columns sc  
7:    ON s.object_id = sc.object_id AND s.stats_id = sc.stats_id  
8:   INNER JOIN sys.columns c  
9:    ON sc.object_id = c.object_id AND sc.column_id = c.column_id  
10:  WHERE OBJECT_NAME(s.object_id) = 'TableWithIdentity'  
11:  ORDER BY s.stats_id, sc.column_id;  

2. Get the statistics for each column and note down the density of each column in the first result of the SHOW_STATISTICS. 

1:  DBCC SHOW_STATISTICS('dbo.TableWithIdentity',IndexColumnName1');  
2:  DBCC SHOW_STATISTICS('dbo.TableWithIdentity',IndexColumnName2');  
3:  DBCC SHOW_STATISTICS('dbo.TableWithIdentity',Column3Statistics');  
4:  DBCC SHOW_STATISTICS('dbo.TableWithIdentity',Column4Statistics');  
5:  DBCC SHOW_STATISTICS('dbo.TableWithIdentity',Column5Statistics');  
6:  DBCC SHOW_STATISTICS('dbo.TableWithIdentity',IndexColumn6Statistics');  
7:  DBCC SHOW_STATISTICS('dbo.TableWithIdentity',Column7Statistics');  
8:  DBCC SHOW_STATISTICS('dbo.TableWithIdentity',Column8Statistics');  
9:  DBCC SHOW_STATISTICS('dbo.TableWithIdentity',Column9Statistics');  

3. Now, we know the density of each column. We have to choose the column with least density (meaning more unique column) and followed the next least density etc. 

0.00	column1
0.00	column2
0.01	column3
0.10	column4
0.33	column5
2.09	column6
3.09	column7
5.55	column8
6.46	column9

4. Now, we created covering index based on the uniqueness of the columns order

1:  CREATE INDEX IDX_TableWithIndentity_covering on dbo.TableWithIdentity(column1, column2,column3, column4, column5, column6, column7, column8, column9)   
2:  WITH  
3:  (  
4:  SORT_IN_TEMPDB = ON,  
5:  DROP_EXISTING = OFF  
6:  )  
7:  ON [PRIMARY]  

5. Now, the index is very helpful for fixing the performance Issue.