Cross-ticker check is robust to a single outlier

[tkporter]

Expected Behavior

The cross-ticker check is robust to one exchange price being wildly different than the others, excluding the exchange from the price calculation.

Current Behavior

There is a "cross-ticker" check that requires the mid-price of all exchanges to be within X% of each other. Sometimes, due to unusual circumstances, an exchange could be trading at a premium/discount. We saw this with Bittrex a few weeks ago where they were having issues with their node and wouldn't allow deposits/withdrawals. This caused the price to deviate by a lot, resulting in the cross-ticker check failing.

Reason for Need: Price deviations of specific pairs by exchange (e.g. CELO/EUR on Coinbase) should not take down the whole price feed.

[tkporter]

In my opinion this isn't critical but is a nice to have.

Copying discussion from Slack:

Trevor:
An interesting situation we may want to learn from for the oracles:
Bittrex is having some issues with their node (I think? I saw some msgs about it but I'm not in the loop), and it's trading at a pretty big premium as a result. Mid price of $3.45 on Bittrex compared to $3.10 on Coinbase.
The spread on CELO-EUR and CELO-USD is really big on Bittrex, so the Bittrex price data is failing that "per-ticker" check and is removed from price aggregation. However the CELO-BTC spread is (or at least was for a little) tight enough where the Bittrex price data would make it to the "cross-ticker" checks, at which point a cross-ticker check that ensures the mid price of all exchanges is within X% of each other would fail. Failing a cross-ticker check causes price reporting to not occur.
I wonder how we could do better in situations like this. We have the isOrderbookLive check that isn't sufficient (as it just checks if trading is live). Even if we had a check that hits Bittrex's status page and checks if deposits/withdrawals are working, status pages are unreliable and there are probably other reasons why trading could be happening at a premium/discount. Clearly the Bittrex price is the outlier from other exchanges though, and we'll probably see something like this again from an exchange. Maybe we should make the cross-ticker check robust to one price being an outlier, in which case it's just thrown out?

Markus:
An outlier check makes sense. The outlier could be thrown out if all the other reported prices are sufficiently close.

Tobi:
I agree

Volpe:
It feels to me that if one ticker has a huge premium/discount, oracles should then stop considering data for the while exchange