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Copy forward stupid kraken zeroed vwaps

unleash_the_kraken
Tyler Goodlet 2020-09-10 16:16:03 -04:00
parent b13da849d0
commit 14a5d047c3
1 changed files with 15 additions and 8 deletions
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21
piker/brokers/kraken.py
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@ -103,15 +103,22 @@ class Client:
bars = next(iter(res.values())) bars = next(iter(res.values()))
# convert all fields to native types # convert all fields to native types
bars = list(starmap( new_bars = []
lambda i, bar: last_nz_vwap = None
for i, bar in enumerate(bars):
# normalize weird zero-ed vwap values..cmon kraken..
vwap = float(bar[-3])
if vwap != 0:
last_nz_vwap = vwap
if vwap == 0:
bar[-3] = last_nz_vwap
new_bars.append(
(i,) + tuple( (i,) + tuple(
ftype(bar[i]) for i, (name, ftype) ftype(bar[j]) for j, (name, ftype) in enumerate(_ohlc_dtype[1:])
in enumerate(_ohlc_dtype[1:])
),
enumerate(bars))
) )
return np.array(bars, dtype=_ohlc_dtype) if as_np else bars )
return np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
except KeyError: except KeyError:
raise SymbolNotFound(json['error'][0] + f': {symbol}') raise SymbolNotFound(json['error'][0] + f': {symbol}')