Think in Math, Write in Code
I agree that math is a useful tool in programming, but domain knowledge always trumps math knowledge. Case in point:<p>> Recently, I worked on an API at work for pricing cryptocurrency for merchants. It takes into account recent price changes and recommends that merchants charge a higher price during volatile times.<p>You shouldn’t look at the past price for a cryptocurrency to determine the current one. If few trades happen in a period you’re using outdated data.<p>The price of interest for merchants who want to sell cryptocurrency is the best bid (highest-priced buy order) in a market where fiat bids on crypto (e.g. BTC/USD, ETH/USD). You should be downloading order book data from exchanges (e.g. [1]), and quoting the best bid to merchants.<p>Also, what you call high volatility (of past trade prices) might simply be a proxy for a large difference between the highest-priced buy order and lowest-priced sell order (large “spread”). Instead of looking at volatility of past trades, I recommend you look at monitoring the spread of the order book of interest. Although this might not be all that relevant, since merchants (who sell crypto for fiat) are only interested in the price they can sell for, not the price they can buy for.<p>[1] <a href="https://docs.pro.coinbase.com/#get-product-order-book" rel="nofollow">https://docs.pro.coinbase.com/#get-product-order-book</a>