R/calcIndicatorParallel.R

In tmk-c/myrlib: My R library for daily work

#' Rollapply indicator function parallely by calculation windows
#'
#' @param data xts data
#' @param windows indicator calculation window (e.g. SMA window)
#' @param ... indicator function and additional params
#'
#' @importFrom foreach %dopar%
#' @importFrom foreach %do%
#'
#' @return All stock data of specified column as data.table format
#' @export
calcIndicatorParallel <- function(data, windows, ...) {

  # Indicator window must be greater than 1
  windows <- windows[windows > 1]

  # Skip
  if (length(windows) == 0) {
    return (NULL)

  # Parallel
  } else if (length(windows) >= 4) {

    # Prepare parallel foreach
    pkgs <- utils::sessionInfo()$otherPkgs %>% names()
    cl   <- parallel::makeCluster(parallel::detectCores())

    doParallel::registerDoParallel(cl)
    on.exit(parallel::stopCluster(cl))

    result <- foreach::foreach(i = 1:length(windows),
                               .packages = pkgs) %dopar% {

      zoo::rollapply(data, windows[i], ...)
    }

  # Not parallel
  } else {
    result <- foreach::foreach(i = 1:length(windows)) %do% {
      zoo::rollapply(data, windows[i], ...)
    }
  }

  names(result) <- windows
  return(result)
}