R: Cumulative weighted mean in data.table

Question

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?

Answer 1

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