BUG: RollingGroupby not respecting sort=False

doc/source/whatsnew/v1.1.4.rst

@@ -14,7 +14,7 @@ including other versions of pandas.
 
 Fixed regressions
 ~~~~~~~~~~~~~~~~~
--
+- Fixed regression in :class:`RollingGroupby` with ``sort=False`` not being respected (:issue:`36889`)
 
 .. ---------------------------------------------------------------------------
 

pandas/core/groupby/grouper.py

@@ -563,8 +563,16 @@ def indices(self):
         if isinstance(self.grouper, ops.BaseGrouper):
             return self.grouper.indices
 
-        values = Categorical(self.grouper)
-        return values._reverse_indexer()
+        if self.sort:
+            values = Categorical(self.grouper)
+            return values._reverse_indexer()
+        else:
+            # GH 36889
+            indices_dict = {}
+            codes, uniques = algorithms.factorize(self.grouper, sort=False)
+            for i, category in enumerate(uniques):
+                indices_dict[category] = np.flatnonzero(codes == i)
+            return indices_dict
 
     @property
     def codes(self) -> np.ndarray:

pandas/tests/window/test_grouper.py

@@ -428,3 +428,18 @@ def test_groupby_rolling_empty_frame(self):
         result = expected.groupby(["s1", "s2"]).rolling(window=1).sum()
         expected.index = pd.MultiIndex.from_tuples([], names=["s1", "s2", None])
         tm.assert_frame_equal(result, expected)
+
+    def test_groupby_rolling_no_sort(self):
+        # GH 36889
+        result = (
+            pd.DataFrame({"foo": [2, 1], "bar": [2, 1]})
+            .groupby("foo", sort=False)
+            .rolling(1)
+            .min()
+        )
+        expected = pd.DataFrame(
+            np.array([[2.0, 2.0], [1.0, 1.0]]),
+            columns=["foo", "bar"],
+            index=pd.MultiIndex.from_tuples([(2, 0), (1, 1)], names=["foo", None]),
+        )
+        tm.assert_frame_equal(result, expected)