Data.table: apply window function by index variable

gistfile1.r

# Lag-function lags the given variable by the date_variable

lag_variable <- function(data, variable, lags, date_variable = c("Date")) {
    if (lags == 0) {
      return(data)
    }
    if (lags>0) {
      name <- "lag"
    } else {
      name <- "forward"
    }
    require(data.table)
    setkeyv(data, date_variable)
    if (lags>0) {
      data[,index:=seq(1:.N)]  
    } else {
      data[,index:=rev(seq(1:.N))]
    }
    setkeyv(data, "index")
    lags <- abs(lags)
    position <- which(names(data)==variable)
    for ( j in 1:lags ) {
      lagname <- paste(variable,"_",name,j,sep="")
      lag <- paste("data[, ",lagname,":=data[list(index-",j,"), ",variable,", roll=TRUE][[",position,"L]]]", sep = "")
      eval(parse( text = lag ))
    }
    setkeyv(data, date_variable)
    data[,index:=NULL]
}

# window_func applies the function to the lagged or forwarded variables created by lag_variable
window_func <- function(data, func.name, variable, direction = "window", steps, date_variable = c("Date"), clean = TRUE) {
    require(data.table)
    require(stringr)
    transform <- match.fun(func.name)
    l <- length(names(data))
    if (direction == "forward") {
      lag_variable(data, variable, -steps, date_variable)
      cols <- which((!(is.na(str_match(names(a), paste(variable,"_forward(",paste(1:steps,collapse="|"),")",sep=""))[,1])))*1==1)
    } else {
      if (direction == "backward") {
        lag_variable(data, variable, steps, date_variable)
        cols <- which((!(is.na(str_match(names(a), paste(variable,"_lag(",paste(1:steps,collapse="|"),")",sep=""))[,1])))*1==1)
      } else {
        if (direction == "window") {
          lag_variable(data, variable, -steps, date_variable)
          lag_variable(data, variable, steps, date_variable)
          cols <- which((!(is.na(str_match(names(a), paste(variable,"_lag(",paste(1:steps,collapse="|"),")",sep=""))[,1])))*1==1)
          cols <- c(cols,which((!(is.na(str_match(names(a), paste(variable,"_forward(",paste(1:steps,collapse="|"),")",sep=""))[,1])))*1==1))
        } else {
          stop("The direction must be either backward, forward or window.")
        }
      }
    }
    data[,transf := apply(data[,cols, with=FALSE], 1, transform)]
    if (clean) {
      data[,cols:=NULL,with=FALSE]
    }
    return(data)
}

# Typical use:
# I have a data.table DT with variables Date, value1, value2
# I want to get cumulative sum of next five days
# window_func(DT, "sum", "value1", direction = "forward", steps = 5)