问题描述:

Basis is the following data table:

library(data.table)

dt <- data.table(Position = 1:3, Price = c(50, 45, 40), Volume = c(10, 10, 10))

dt

Position Price Volume

1: 1 50 10

2: 2 45 10

3: 3 40 10

Now I would like to calculate the weighted mean for each position, taking into account all positions "<=" the current position. The result should be:

dt[, Vwa := c(50, 47.5, 45)]

dt

Position Price Volume Vwa

1: 1 50 10 50.0

2: 2 45 10 47.5

3: 3 40 10 45.0

Any idea how to do achieve this efficiently?

网友答案:

Assuming your Position column contains unique values and has been sorted before hand, you can calculate based on the definition of weighted average. If Volume is the weight factor:

dt[, Vwa := cumsum(Price * Volume)/cumsum(Volume)]
dt
#   Position Price Volume  Vwa
#1:        1    50     10 50.0
#2:        2    45     10 47.5
#3:        3    40     10 45.0
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