BUG: `RollingGroupBy.quantile` ignores `interpolation` keyword argument
State: closed

- [X] closes #28779
- [X] tests added / passed
- [X] passes `black pandas`
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [X] whatsnew entry


Labels:
name: Window
description: rolling, ewma, expanding

Comments:
Hello all!  My build failed and threw the following error during CI:
```
all_parsers = <pandas.tests.io.parser.conftest.PythonParser object at 0x7fc4298d4860>

    def test_chunks_have_consistent_numerical_type(all_parsers):
        parser = all_parsers
        integers = [str(i) for i in range(499999)]
        data = "a\n" + "\n".join(integers + ["1.0", "2.0"] + integers)
    
        # Coercions should work without warnings.
        with tm.assert_produces_warning(None):
>           result = parser.read_csv(StringIO(data))

pandas/tests/io/parser/test_common.py:1204: 
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ 

self = <contextlib._GeneratorContextManager object at 0x7fc3ebc8a438>
type = None, value = None, traceback = None

    def __exit__(self, type, value, traceback):
        if type is None:
            try:
>               next(self.gen)
E               AssertionError: Caused unexpected warning(s): [('ResourceWarning', ResourceWarning("unclosed file <_io.BufferedReader name='test1.xlsm'>",), '/home/vsts/work/1/s/pandas/io/parsers.py', 2927), ('ResourceWarning', ResourceWarning("unclosed file <_io.BufferedReader name='test1.xlsx'>",), '/home/vsts/work/1/s/pandas/io/parsers.py', 2927), ('ResourceWarning', ResourceWarning("unclosed file <_io.BufferedReader name='test1.xlsm'>",), '/home/vsts/work/1/s/pandas/io/parsers.py', 2927), ('ResourceWarning', ResourceWarning("unclosed file <_io.BufferedReader name='test1.xlsx'>",), '/home/vsts/work/1/s/pandas/io/parsers.py', 2927), ('ResourceWarning', ResourceWarning("unclosed file <_io.BufferedReader name='testmultiindex.xlsm'>",), '/home/vsts/work/1/s/pandas/io/parsers.py', 2927), ('ResourceWarning', ResourceWarning("unclosed file <_io.BufferedReader name='testmultiindex.xlsm'>",), '/home/vsts/work/1/s/pandas/io/parsers.py', 2927), ('ResourceWarning', ResourceWarning("unclosed file <_io.BufferedReader name='test1.xlsx'>",), '/home/vsts/work/1/s/pandas/io/parsers.py', 2927), ('ResourceWarning', ResourceWarning("unclosed file <_io.BufferedReader name='test1.xlsm'>",), '/home/vsts/work/1/s/pandas/io/parsers.py', 2927)].

../../../miniconda3/envs/pandas-dev/lib/python3.6/contextlib.py:89: AssertionError
```
My changes didn't touch the reader / parser part of the codebase, so I'm wondering if this problem crept into the build from elsewhere?  Any suggestions for what I can do?
Oops, I think I rebased by accident instead of merging, give me a moment to fix!
@jreback OK, that looks better I think.  Should I try to squash the merge commit in with 352445c?
Try rebuilding the Cython extensions via python setup.py build_ext —inplace 

Sent from my iPhone

> On Nov 17, 2019, at 8:52 AM, Paul Siegel <notifications@github.com> wrote:
> 
> ﻿
> @pwsiegel commented on this pull request.
> 
> In pandas/tests/window/test_grouper.py:
> 
> > @@ -69,9 +68,10 @@ def test_rolling(self):
>              expected = g.apply(lambda x: getattr(x.rolling(4), f)(ddof=1))
>              tm.assert_frame_equal(result, expected)
>  
> -        result = r.quantile(0.5)
> -        expected = g.apply(lambda x: x.rolling(4).quantile(0.5))
> -        tm.assert_frame_equal(result, expected)
> +        for f in ["linear", "lower", "higher", "midpoint", "nearest"]:
> I wrote a new test called test_rolling_quantile and parametrized the interpolation argument as requested, but unfortunately it looks as though most of the tests in this file have broken since I merged in master. To test, I checked out the upstream master branch, rebuilt my conda environment from scratch, and ran the tests there. 10 of the tests failed, including test_rolling (stack trace below). Is this a known issue?
> 
> `self = <pandas.tests.window.test_grouper.TestGrouperGrouping object at 0x116432208>
> 
> def test_rolling(self):
>     g = self.frame.groupby("A")
>     r = g.rolling(window=4)
> 
>     for f in ["sum", "mean", "min", "max", "count", "kurt", "skew"]:
>       result = getattr(r, f)()
> test_grouper.py:64:
> 
> ../../core/window/rolling.py:1870: in sum
> return super().sum(*args, **kwargs)
> ../../core/window/rolling.py:1245: in sum
> return self._apply("roll_sum", "sum", **kwargs)
> ../../core/window/common.py:81: in _apply
> return self._groupby.apply(f)
> ../../core/groupby/groupby.py:718: in apply
> result = self._python_apply_general(f)
> ../../core/groupby/groupby.py:734: in _python_apply_general
> keys, values, mutated = self.grouper.apply(f, self._selected_obj, self.axis)
> ../../core/groupby/ops.py:171: in apply
> result_values, mutated = splitter.fast_apply(f, group_keys)
> ../../core/groupby/ops.py:904: in fast_apply
> return libreduction.apply_frame_axis0(sdata, f, names, starts, ends)
> 
> ???
> E AttributeError: 'Int64Index' object has no attribute '_has_complex_internals'
> 
> pandas/_libs/reduction.pyx:519: AttributeError
> `
> 
> —
> You are receiving this because you commented.
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thanks @pwsiegel