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February 8, 2016 18:08
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Snippet for lagging within groups (or applying any other transformFunc) using RRE
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| # This is an example of how to apply the lagging function from this | |
| # StackOverflow answer: http://stackoverflow.com/a/30874772/143319 | |
| # to grouped data. In short: | |
| # 1. Use rxSplit() to put each group in its own XDF file | |
| # 2. Use lapply() to iterate over the list of XDF files | |
| # Pick a sample dataset | |
| xdfPath <- file.path(rxGetOption("sampleDataDir"), "DJIAdaily.xdf") | |
| # Take a quick look at the dataset | |
| rxGetInfo(xdfPath, getVarInfo = TRUE, numRows = 10) | |
| # Set up a temporary directory for the files | |
| demoDir <- tempdir() | |
| djiaSplit <- rxSplit(inData = xdfPath, | |
| outFilesBase = file.path(demoDir, "DJIA"), | |
| splitByFactor = "DayOfWeek") | |
| # Check to see that the files have been created | |
| list.files(demoDir) | |
| # The djiaSplit object created contains that information, too. | |
| djiaSplit | |
| # It's a list... | |
| class(djiaSplit) | |
| # ... of RxXdfData objects (see ?RxXdfData) | |
| class(djiaSplit[[1]]) | |
| # Since I have a list of the XDF files now, I can use lapply to iterate over each | |
| lapply(djiaSplit, FUN = function(xdf) { | |
| rxGetInfo(xdf) | |
| }) | |
| # Sorting is just an extension of that pattern | |
| lapply(djiaSplit, FUN = function(xdf) { | |
| rxSort(inData = xdf, | |
| outFile = xdf, | |
| sortByVars = "Date", | |
| overwrite = TRUE) | |
| }) | |
| # Here's the function, straight from the StackOverflow post | |
| lagVar <- function(dataList) { | |
| if(.rxStartRow == 1) { | |
| dataList[[newName]] <- c(NA, dataList[[varToLag]][-.rxNumRows]) | |
| } else { | |
| dataList[[newName]] <- c(.rxGet("lastValue"), | |
| dataList[[varToLag]][-.rxNumRows]) | |
| } | |
| .rxSet("lastValue", dataList[[varToLag]][.rxNumRows]) | |
| dataList | |
| } | |
| # Now I'll apply the lagging function in the same way - I'll just wrap it with lapply() | |
| lapply(djiaSplit, FUN = function(xdf) { | |
| rxDataStep(inData = xdf, | |
| outFile = xdf, | |
| transformObjects = list( | |
| varToLag = "Open", | |
| newName = "previousOpen"), | |
| transformFunc = lagVar, | |
| # append = "cols", | |
| overwrite = TRUE) | |
| }) | |
| # Check the results | |
| lapply(djiaSplit, FUN = function(xdf) { | |
| rxDataStep(xdf, | |
| varsToKeep = c("Date", "Open", "previousOpen"), | |
| numRows = 10) | |
| }) | |
| # Finally, if you want to recombine into a single XDF: | |
| # Create a new XDF pointer | |
| djiaFull <- tempfile(tmpdir = demoDir, fileext = ".xdf") | |
| lapply(djiaSplit, FUN = function(xdf) { | |
| rxImport(inData = xdf, | |
| outFile = djiaFull, | |
| # append needs to be TRUE for the first file, FALSE for the other six: | |
| append = file.exists(djiaFull)) | |
| }) | |
| # Check the results | |
| rxGetInfo(djiaFull, getVarInfo = TRUE, numRows = 10) | |
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