How do you handle price averaging? I know that exchanges not that reliable in terms of APIs and sockets. Or liquidity. So if one exhcange stopped provide data, how do you average it not to f*** up the result of a candle?
That is a good question! Right now we are testing APIs and feed from 10 different exchanges to find the most reliable.
At the same time we are running different models in order to understand impact of one exchange going offline on our average price.
So far we managed to achieve 93% uptime with 4 exchanges in the mix. Our goal is at least 98% uptime measured on a weekly interval.
I suggest using the bigger exchanges: binance/bitmex/bitfinex/bitstamp/coinbase/kraken and maybe a few others.