Hi to all. I have a very big doubt about how mfp calculate the variable lt_ma. I know that the variable calculates the average last traded price over the time set by the market history depth. This is ok, but the doubt is:
Option A. We have set the history depth in 10 mins. And in this 10 mins the last traded prices where 1.5, 1.8, 1.2, 1.5, 1.5, 3.38 and 2.2 so the average is
Lt_ma-->(1.5+1.8+1.2+1.5+1.5+3,38+2,2)/7=1.854
Option B. Same as A but because the price 1.5 is triplicated it only take it as one time so:
Lt_ma-->(1,5+1,8+1,2+3,38+2,2)/5=1.996
How mfp caculates? Like option A or Like option B.
Best regards