My apologies if this has already been brought up but do you plan on ever writing a rollapply function for data.table?
I know that you can use xts::rollapply function inside of data.table, however, xts::rollapply is still slow. I get the feeling that if a data.table::rollapply function was written utilizing data.table's radix sorting, it could be much faster than anything that is available right now. Without it, people just keep building c++ libraries to perform quick rolling time-series calcs...
My apologies if this has already been brought up but do you plan on ever writing a rollapply function for data.table?
I know that you can use xts::rollapply function inside of data.table, however, xts::rollapply is still slow. I get the feeling that if a data.table::rollapply function was written utilizing data.table's radix sorting, it could be much faster than anything that is available right now. Without it, people just keep building c++ libraries to perform quick rolling time-series calcs...