tmovingWindowData

Syntax

tmovingWindowData(T, X, window, [leftClosed=false])

Arguments

T is a non-strictly increasing vector of integral or temporal type.

X is a vector of the same size as T.

window is a positive integer or a DURATION value indicating the size of a time-based window.

leftClosed is a Boolean indicating whether the left boundary of window is included. The default value is false.

Details

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

Examples

    $ T = 2022.01.01T09:00:00 + 1 1 2 3 6 7 9 10 13 14
    $ S = 1..10
    $ tmovingWindowData(T, S, 3s)
    [[1],[1,2],[1,2,3],[1,2,3,4],[5],[5,6],[6,7],[7,8],[9],[9,10]]

    $ tmovingWindowData(T, S, 3s, leftClosed=true)
    [[1],[1,2],[1,2,3],[1,2,3,4],[4,5],[5,6],[5,6,7],[6,7,8],[8,9],[9,10]]

    // output the calculation result of metrics with a 10-minute sliding window 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>, <tmovingWindowData(DateTime, Price,10m)>], dummyTable=t, outputTable=output, keyColumn=`SecurityID, keepOrder=true)
    $ engine.append!(t)
    $ dropStreamEngine(`rseEngine)