Question

我有一个过去12小时内加权交易总和的工作示例。现在，我添加了一个帐户列，并希望按组分别计算此加权金额。代码将按如下所示运行。取消注释以# account开头的行，将account列添加到df。 如何修改代码的倒数第二行，以便在每个rollapplyr上单独计算account？

library(zoo)
library(tidyverse)

创建示例数据：

set.seed(123)
randomDates <- function(N, st="2017-01-01 00:00:00", et="2017-02-01 23:59:59") {
     st <- as.POSIXct(st, tz = "UTC")

     et <- as.POSIXct(et, tz = "UTC")

     dt <- as.numeric(difftime(et,st,units="sec", tz="UTC"))
     ev <- sort(runif(N, 0, dt))
     rt <- st + ev
     rt
}

df <- data.frame(date = randomDates(100) , 
                 data = round( abs(rnorm(100)) * 100 ) # ,
                 # account = sample(c("A", "B", "C"), 100, replace=TRUE  )
)

df <- df %>% arrange(date)

定义辅助函数：

tau <- 0.00005
decay = function(tau, day){
  exp(-tau * day)
}

weighted <- function(x, tau) {
  tx <- as.numeric(time(x))
  seconds <- tail(tx, 1) - tx
  w <- (seconds < 43200) * decay(tau, seconds) # 12 hours in seconds
  sum(w * coredata(x))
}

计算滚动总和：

# Would like to modify this block to group by account
newData <- df %>%
  read.zoo  %>% 
  rollapplyr(43200, weighted, tau = tau, partial = TRUE, coredata = FALSE)

dfNew <- df %>% mutate( weighted_sum = newData  )

                   date data weighted_sum
1   2017-01-01 00:21:26   38    38.000000
2   2017-01-01 21:29:53   56    56.000000
3   2017-01-02 14:02:43   34    34.000000
4   2017-01-02 20:41:28    9    19.279179
5   2017-01-03 06:08:07  160   161.644215

根据我的研究，我还没有找到答案：

Apply a rolling sum by group in R

use rollapply and zoo to calculate rolling average of a column of variables

https://www.rdocumentation.org/packages/zoo/versions/1.8-1/topics/rollapply

我也根据对此问题的反馈以及链接的，可能重复的答案尝试了此解决方案。但是，应用相同的模式会导致我无法解决的错误：

newData <- df %>%
  group_by(account) %>% 
  mutate(weighted_sum =  rollapplyr(., width=43200, FUN = weighted, 
                         tau = tau, partial = TRUE, coredata = FALSE)   ) %>% 
  ungroup()

引发此错误：

# Error in mutate_impl(.data, dots) : 
  Evaluation error: non-numeric argument to binary operator.

按组计算滚动加权总和

0 个答案: