BUG: RollingGroupby respects __getitem__

doc/source/whatsnew/v1.1.1.rst

@@ -15,7 +15,7 @@ including other versions of pandas.
 Fixed regressions
 ~~~~~~~~~~~~~~~~~
 
--
+- Bug in :class:`pandas.core.groupby.RollingGroupby` where column selection was ignored (:issue:`35486`)
 -
 -
 

pandas/core/window/rolling.py

@@ -2220,6 +2220,10 @@ def _apply(
     def _constructor(self):
         return Rolling
 
+    @cache_readonly
+    def _selected_obj(self):
+        return self._groupby._selected_obj
+
     def _create_blocks(self, obj: FrameOrSeries):
         """
         Split data into blocks & return conformed data.

pandas/tests/window/test_grouper.py

@@ -214,3 +214,18 @@ def foo(x):
             name="value",
         )
         tm.assert_series_equal(result, expected)
+
+    def test_groupby_subselect_rolling(self):
+        # GH 35486
+        df = DataFrame(
+            {"a": [1, 2, 3, 2], "b": [4.0, 2.0, 3.0, 1.0], "c": [10, 20, 30, 20]}
+        )
+        result = df.groupby("a")[["b"]].rolling(2).max()
+        expected = DataFrame(
+            [np.nan, np.nan, 2.0, np.nan],
+            columns=["b"],
+            index=pd.MultiIndex.from_tuples(
+                ((1, 0), (2, 1), (2, 3), (3, 2)), names=["a", None]
+            ),
+        )
+        tm.assert_frame_equal(result, expected)