R data.table sliding window

Question

What is the best (fastest) way to implement a sliding window function with the data.table package?

I\'m trying to calculate a rolling median but have multiple rows p

Answer 1

This solution works but it takes a while.

df <- data.frame(
  id=30000,
  date=rep(seq.Date(from=as.Date("2012-01-01"),to=as.Date("2012-01-30"),by="d"),each=1000),
  factor1=rep(1:5, each=200),
  factor2=1:5,
  value=rnorm(30, 100, 10)
)

myFun <- function(dff,df){
    median(df$value[df$date>as.Date(dff[2])-8 & df$date