BUG: Rolling by day 
- [ X] I have checked that this issue has not already been reported.

- [ X] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
dsf['sigma'] = dsf.groupby('PERMNO').rolling('365D', on='DATE')['RET'].std()


```

#### Problem description

---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
C:\Users\paris\.conda\envs\ml\lib\site-packages\pandas\core\frame.py in reindexer(value)
   3726                 try:
-> 3727                     value = value.reindex(self.index)._values
   3728                 except ValueError as err:

C:\Users\paris\.conda\envs\ml\lib\site-packages\pandas\core\series.py in reindex(self, index, **kwargs)
   4398     def reindex(self, index=None, **kwargs):
-> 4399         return super().reindex(index=index, **kwargs)
   4400 

C:\Users\paris\.conda\envs\ml\lib\site-packages\pandas\core\generic.py in reindex(self, *args, **kwargs)
   4461         return self._reindex_axes(
-> 4462             axes, level, limit, tolerance, method, fill_value, copy
   4463         ).__finalize__(self, method="reindex")

C:\Users\paris\.conda\envs\ml\lib\site-packages\pandas\core\generic.py in _reindex_axes(self, axes, level, limit, tolerance, method, fill_value, copy)
   4476             new_index, indexer = ax.reindex(
-> 4477                 labels, level=level, limit=limit, tolerance=tolerance, method=method
   4478             )

C:\Users\paris\.conda\envs\ml\lib\site-packages\pandas\core\indexes\multi.py in reindex(self, target, method, level, limit, tolerance)
   2324                 # hopefully?
-> 2325                 target = MultiIndex.from_tuples(target)
   2326 

C:\Users\paris\.conda\envs\ml\lib\site-packages\pandas\core\indexes\multi.py in from_tuples(cls, tuples, sortorder, names)
    500 
--> 501             arrays = list(lib.tuples_to_object_array(tuples).T)
    502         elif isinstance(tuples, list):

pandas\_libs\lib.pyx in pandas._libs.lib.tuples_to_object_array()

ValueError: Buffer dtype mismatch, expected 'Python object' but got 'long long'

The above exception was the direct cause of the following exception:

TypeError                                 Traceback (most recent call last)
<ipython-input-12-60461c76cedf> in <module>()
----> 1 dsf['sigma'] = dsf.groupby('PERMNO').rolling('365D', on='DATE')['RET'].std()

C:\Users\paris\.conda\envs\ml\lib\site-packages\pandas\core\frame.py in __setitem__(self, key, value)
   3038         else:
   3039             # set column
-> 3040             self._set_item(key, value)
   3041 
   3042     def _setitem_slice(self, key: slice, value):

C:\Users\paris\.conda\envs\ml\lib\site-packages\pandas\core\frame.py in _set_item(self, key, value)
   3114         """
   3115         self._ensure_valid_index(value)
-> 3116         value = self._sanitize_column(key, value)
   3117         NDFrame._set_item(self, key, value)
   3118 

C:\Users\paris\.conda\envs\ml\lib\site-packages\pandas\core\frame.py in _sanitize_column(self, key, value, broadcast)
   3739 
   3740         if isinstance(value, Series):
-> 3741             value = reindexer(value)
   3742 
   3743         elif isinstance(value, DataFrame):

C:\Users\paris\.conda\envs\ml\lib\site-packages\pandas\core\frame.py in reindexer(value)
   3735                     raise TypeError(
   3736                         "incompatible index of inserted column with frame index"
-> 3737                     ) from err
   3738             return value
   3739 

TypeError: incompatible index of inserted column with frame index

#### Expected Output

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : db08276bc116c438d3fdee492026f8223584c477
python           : 3.7.9.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.18362
machine          : AMD64
processor        : Intel64 Family 6 Model 60 Stepping 3, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None

pandas           : 1.1.3
numpy            : 1.19.1
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.2.3
setuptools       : 50.3.0.post20201006
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 5.8.0
pandas_datareader: None
bs4              : 4.9.3
bottleneck       : 1.3.2
fsspec           : 0.8.0
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.1
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : 1.5.2
sqlalchemy       : 1.3.19
tables           : None
tabulate         : None
xarray           : None
xlrd             : 1.2.0
xlwt             : None
numba            : None

</details>
