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This section describes the use of the Moving AVerage methodology in the DIA filter system. |
The Moving Average filter is one of the most commonly used filters for price determination.
All trades from the queried time range are ordered by timestamp.
For each second in the time range, there exists a "slot" where trades are put into.
As soon as all going through all trades in the block has been finalized, the simple average of these prices is calculated. This is done by accumulating prices and then dividing by the number of involved trades in this calculation.
The result is then returned as the result of the filter operation.
The filter is implemented as part of the FiltersBlockService in this file in our Github repository.