You have to us the argument by = year
to apply the function to all subsets:
DT[, interval := findInterval(price, intervals[as.character(year), ]), by = year]
year price interval
1: 2000 30.776611 4
2: 2001 25.767250 1
3: 2002 55.232243 4
4: 2003 5.638315 0
5: 2004 46.854928 2
---
3376: 2005 97.497761 10
3377: 2006 50.141227 5
3378: 2007 50.186270 7
3379: 2008 99.229338 10
3380: 2009 64.189162 8
Update (based on edited question):
DT[ , interval := findInterval(price,
unlist(intervals.dt[J(year[1], month[1]), 1:10])),
by = c("year", "month")]
year month price V1 V2 V3 V4 V5 V6 V7 V8 V9 V10 interval
1: 2000 1 30.776611 12 21 36 46 48 51 63 72 91 95 2
2: 2000 1 62.499648 12 21 36 46 48 51 63 72 91 95 6
3: 2000 1 53.581115 12 21 36 46 48 51 63 72 91 95 6
4: 2000 1 48.830599 12 21 36 46 48 51 63 72 91 95 5
5: 2000 1 33.066053 12 21 36 46 48 51 63 72 91 95 2
---
3376: 2009 10 33.635924 12 40 45 48 50 65 75 90 96 97 2
3377: 2009 10 38.993769 12 40 45 48 50 65 75 90 96 97 3
3378: 2009 10 75.065820 12 40 45 48 50 65 75 90 96 97 8
3379: 2009 10 6.277403 12 40 45 48 50 65 75 90 96 97 0
3380: 2009 10 64.189162 12 40 45 48 50 65 75 90 96 97 7