movingWindowData

Syntax

movingWindowData(X, window, [fixed=false])

Arguments

X is a vector.

window is an integer greater than or equal to 2. It indicates the size of a count-based window.

fixed is a Boolean specifying whether the size of each row of the result must be fixed to window. When fixed=true, the missing elements in the first (window-1) windows are filled with NULL. The default value is false.

Details

Return an array vector where each row indicates the elements of a window sliding over X.

Examples

    $ S = -1 3 -4 0 5 10 9 7
    $ m = movingWindowData(X=S,window=3);
    $ m;
    [[-1],[-1,3],[-1,3,-4],[3,-4,0],[-4,0,5],[0,5,10],[5,10,9],[10,9,7]]

    $ mi = movingWindowData(X=S,window=3,fixed=true);
    $ mi;
    [[00i,00i,-1],[00i,-1,3],[-1,3,-4],[3,-4,0],[-4,0,5],[0,5,10],[5,10,9],[10,9,7]]
    
    // get the value of the first element in each window
    $ m[0]
    [-1,-1,-1,3,-4,0,5,10]

    $ mi[0]
    [,,-1,3,-4,0,5,10]

    // Get the data with a sliding window of length 5 in the reactive state engine
    $ n = 100
    $ DateTime = 2023.01.01T09:00:00 + rand(10000, n).sort!()
    $ SecurityID = take(`600021`600022`600023`600024`600025, n)
    $ Price = 1.0 + rand(1.0, n) 
    $ t = table(1:0, `DateTime`SecurityID`Price, [TIMESTAMP, SYMBOL, DOUBLE])
    $ tableInsert(t, DateTime, SecurityID, Price)
    $ output = table(100:0, `SecurityID`DateTime`PriceNew, [SYMBOL, DATETIME, DOUBLE[]])

    $ engine = createReactiveStateEngine(name="rseEngine", metrics=[<DateTime>, <movingWindowData(Price,5)>], dummyTable=t, outputTable=output, keyColumn=`SecurityID, keepOrder=true)
    $ engine.append!(t)
    $ dropStreamEngine(`rseEngine)