open System
open System.Collections.Generic

module PriceMovingAverage =

    type PriceRecord =
        {
            Timestamp : DateTime
            Price:      float
        }

    // queue duration
    let queueDuration = TimeSpan.FromHours(1.)

    // moving average queue
    let private priceQueue = Queue<PriceRecord>()

    // update moving average
    let updateMovingAverage timestamp price =

        // add the new price
        priceQueue.Enqueue({ Timestamp = timestamp; Price = price})

        // remove the items older than the price base period
        let rec dequeueLoop () =
            let p = priceQueue.Peek()
            if p.Timestamp + queueDuration < timestamp then
                priceQueue.Dequeue() |> ignore
                dequeueLoop()

        dequeueLoop()


    // get the moving average
    let getPrice fromTimestamp =
        try
            Some (
                priceQueue
                |> Seq.toList
                |> List.skipWhile (fun t -> t.Timestamp < fromTimestamp)
                |> List.averageBy (fun t -> t.Price)
                |> decimal
            )
        with _ ->
            None


// add some data
let mutable price = 100.
let mutable date = DateTime(2020, 10, 1)
let r = Random()

for i in 0..20000 do
    PriceMovingAverage.updateMovingAverage date price

    price <- price + 0.5 - r.NextDouble()
    date <- date.AddSeconds(10. * r.NextDouble())

// retrieve the data
let dateFrom = DateTime(2020, 10, 1, 1, 0, 0)
PriceMovingAverage.getPrice dateFrom