I am evaluating the influx setup for financial time series. One of the standard problems is treatment of market opening and closing hours. Lets say I want to calculate the 1h moving average at 0815 and the market is open between 0800 to 1630. The data used to calculate the 1h moving average at 0815 should be data from 1545 to 1630 (previous day) and 0800 to 0815.
Do you have suggestions how to go about this problem and is the only way to write UDFs?