Factor trade volume into hourly price instants #182
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Motivation
Currently, when calculating the average price in a given hour of a market, the cumulative price is set to be the sum of the prices of all the trades, ignoring the weight of the actual trades (i.e. the number of positions sold in that trade). This leads to asymmetric averages.
e.g. Currently, for the following two trades that happen in an hour:
The average price for that hour is calculated to be (1.25 + 1.5) / 2 = $1.375, even though based on the actual positions that were filled, it should be (90x1.25 + 10x1.5) / 100 = $1.275
This PR solves this: code-423n4/2021-06-tracer-findings#119
Changes
TracerPerpetualSwaps