Change handling of outliers in price server

price-server/src/lib/statistics.ts

@@ -1,7 +1,7 @@
 import { BigNumber } from 'bignumber.js'
 import { num } from './num'
 
-export function average(array: BigNumber[]): BigNumber {
+export function average(array: BigNumber[], removeOutliers = false, threshold = 0.1): BigNumber {
   if (!array || !array.length) {
     throw new Error('empty array')
   }
@@ -10,6 +10,27 @@ export function average(array: BigNumber[]): BigNumber {
     return array[0]
   }
 
+  if (removeOutliers === true && array.length >= 3) {
+    // remove outliers only if we have enough entries
+    // i.e. remove values that are 10% or more different from the median
+    const sortedArray = array.sort((a, b) => a.minus(b).toNumber())
+    const median = sortedArray[Math.floor(sortedArray.length / 2)]
+    const filteredArray = sortedArray.filter((x) => {
+      const dist = num(1.0).minus(x.dividedBy(median)).abs()
+
+      // 10% threshold
+      if (dist.isLessThanOrEqualTo(threshold)) {
+        return true
+      } else {
+        console.error(
+          `Skipping outlier ${x.toString()} with distance ${dist.toString()} from median ${median.toString()}`
+        )
+        return false
+      }
+    })
+    array = filteredArray
+  }
+
   return array.reduce((a, b) => a.plus(b)).dividedBy(num(array.length))
 }
 
@@ -62,6 +83,7 @@ export function hasOutliers(nums: BigNumber[], threshold = 0.1): boolean {
     return false
   }
 
+  let outliers = 0
   const values = nums.slice().sort((a, b) => a.minus(b).toNumber())
 
   for (let i = 0; i < values.length; i += 1) {
@@ -71,9 +93,13 @@ export function hasOutliers(nums: BigNumber[], threshold = 0.1): boolean {
 
     // 3% threshold
     if (dist.isGreaterThanOrEqualTo(threshold)) {
-      return true
+      outliers += 1
     }
   }
 
+  if (outliers > nums.length / 3) {
+    return true
+  }
+
   return false
 }

price-server/src/provider/PricesProvider.ts

@@ -76,7 +76,7 @@ export default class PricesProvider {
           return {}
         } else {
           // ... return a unique object with the average
-          return { [key]: average(prices) }
+          return { [key]: average(prices, true) }
         }
       })
       // Transform the array of objects to a single object