R data.table: row-based conditions split/apply/combine

Question

I have the following data.table

initial.date <- as.POSIXct(\'2018-10-27 10:00:00\',tz=\'GMT\')
last.date <- as.POSIXct(\'2018-12-28 17:00:         


        

Answer 1

This may work:

res <- res[1:5,]

res2 <- setDT(res)
res2 <- res2[, `:=` (min_60 = datetime - 60, plus_60 = datetime + 60, idx = .I)][
res2,  on = .(InstrumentSymbol = InstrumentSymbol, datetime >= min_60, datetime <= plus_60), allow.cartesian = TRUE][
idx != i.idx, .SD[which.min(abs(i.TradePrice - TradePrice))], by = id][
, .(id, minpricewithin60 = i.TradePrice, index.minpricewithin60 = i.idx)][
res, on = .(id)][, `:=` (min_60 = NULL, plus_60 = NULL, idx = NULL)]

res2[]


   id minpricewithin60 index.minpricewithin60    PriorityDateTime TradePrice InstrumentSymbol            datetime
1:  1                3                      3 2018-10-27 10:00:00          1           asset1 2018-10-27 10:00:00
2:  2                4                      4 2018-10-27 10:00:30          2           asset2 2018-10-27 10:00:30
3:  3                1                      1 2018-10-27 10:01:00          3           asset1 2018-10-27 10:01:00
4:  4                2                      2 2018-10-27 10:01:30          4           asset2 2018-10-27 10:01:30
5:  5                3                      3 2018-10-27 10:02:00          5           asset1 2018-10-27 10:02:00