How to calculate simple moving average using mongodb mapreduce? - mongodb

Question

I have time series data as the following format in a mongodb collection:
{
"Name" : "AKBNK",
"Date" : ISODate("2009-01-02T00:00:00Z"),
"Close" : 3.256746559,
}
I want to calculate simple moving average using mongodb mapreduce. I tried it as the following to perform window sliding, but it works slowly when the period is big.
var mapper = function() {
var i = 0, j = counter;
if (j < period) {
j = period;
i = period - counter;
}
for (; i < period && j <= limit; i++, j++) {
emit (j, this.Close);
}
counter++;
}
var reducer = function(key, values) {
return Array.sum(values);
}
var finalizer = function(key, reducedValue) {
return reducedValue / period;
}
var period = 730;
db.data.mapReduce(mapper, reducer, {finalize: finalizer, out: "smaOut", query: {Name: "AKBNK"}, sort: {Date: -1}, limit: period * 2 - 1, scope: {counter: 1, period: period, limit: period * 2 - 1}});
Any advice how can I do this faster? How can I map the data?

Answer 1

You could try using the below aggregation pipeline which seems to produce the correct results at a quick glance but at a much higher speed:
db.data.aggregate({
$match: {
"Name": "AKBNK" // this stage will use and index if you have one on the "Name" field
}
}, {
$sort: { "Date": -1 }, // this stage will also use and index if you have one on "Date"
}, {
$group: {
"_id": null, // create one single document
"allCloseValues": { $push: "$Close" } // that shall contain an array with all "Close" values
}
}, {
$addFields: {
"copyOfAllCloseValues": "$allCloseValues" // duplicate the array
}
}, {
$unwind: {
"path": "$copyOfAllCloseValues", // flatten the created single document
"includeArrayIndex": "_id" // use the "_id" field to hold the array index
}
}, {
$project: {
avg: {
$avg: { // calculate the average of some part of the array "Close"
$slice: [ "$allCloseValues", "$_id", 730 ] // which shall start at index "_id" and take up to 730 values
}
}
}
}, {
$out: "smaOut" // write the resulting documents out to the "smaOut" collection
});