Hi, Masqurin,

this is exactly a kind of thoughts we really like and appreciate. Thank you for your time and efforts.

We must admit that the density of information you gave us is quite high and we need to digest different parts of it to be able to understand what is easy and what is not to implement in our current application architrecture.

It would be really helpful if we can exchange further to see what limitations we currently have and what can be implemented and in what order.

As for the math of the filtering it not a problem to implement filtering as is, but the next question is:

currently while preparing data for display client we need to make some steps to solve several problems

1) our server should be able to gather and recalculate all parameters once per 15 seconds and not overload the processor

2) we then need to store limited part (not all) calculated paramateres in memory in 15 second buckets in such a form to not exceed the memory limit of our machine

3) then we need to prepare data to transfer it to the client browser - and again to have resonable amount of data to transfer (keeing in mind that we already are using float data type, gzipping) it takes some times up to 10 seconds to load the whole data to browser

So adding additional parameters to calculate is not the main problem, but to decide what to transfer to client and and how to display it could be a difficult task.

For example: as for the orderbook volume we have two series per ticker, and those data currently represent actual sum of all USD and BTC in orderbook even if orders are spam orders, and if we decide to filter out spam orders in order to visualize bids and asks series in the same units then we will loose our original genuine data which is also make sence in its own context (real not filtered amount of USD and BTC in orderbook)

What do you think about this particular problem what would be good solution from the user point of view to maintain both series together on the client to be able to compare them or just to leave filtered and to abandon the original full volume series?


I mean you prefer to have both pair series or only one pair?

also as each filtering method will produce differernt series would it be practical to maintain all of them (thus multiplying serires) and toggle between them or just one. If one which one would be the most practical for analyzes on your opinion?