From 1640906b097b19be359b1b3bd27c6da4f6b37c84 Mon Sep 17 00:00:00 2001
From: Tyler Goodlet <jgbt@protonmail.com>
Date: Tue, 3 Nov 2020 08:14:37 -0500
Subject: [PATCH] Write shm volume (facepalm), update open=close on first
 volume

---
 piker/brokers/ib.py     | 17 ++++++++++++++---
 piker/brokers/kraken.py | 23 +++++++++++++++++++++--
 2 files changed, 35 insertions(+), 5 deletions(-)

diff --git a/piker/brokers/ib.py b/piker/brokers/ib.py
index c2067665..94adb39e 100644
--- a/piker/brokers/ib.py
+++ b/piker/brokers/ib.py
@@ -645,15 +645,26 @@ async def stream_quotes(
                 if not writer_already_exists:
                     for tick in iterticks(quote, type='trade'):
                         last = tick['price']
-                        # print(f'broker last: {tick}')
 
                         # update last entry
                         # benchmarked in the 4-5 us range
-                        high, low = shm.array[-1][['high', 'low']]
-                        shm.array[['high', 'low', 'close']][-1] = (
+                        o, high, low, v = shm.array[-1][
+                            ['open', 'high', 'low', 'volume']
+                        ]
+
+                        new_v = tick['size']
+
+                        if v == 0 and new_v:
+                            # no trades for this bar yet so the open
+                            # is also the close/last trade price
+                            o = last
+
+                        shm.array[['open', 'high', 'low', 'close', 'volume']][-1] = (
+                            o,
                             max(high, last),
                             min(low, last),
                             last,
+                            v + new_v,
                         )
 
                 con = quote['contract']
diff --git a/piker/brokers/kraken.py b/piker/brokers/kraken.py
index 3d1d8e7a..21627c69 100644
--- a/piker/brokers/kraken.py
+++ b/piker/brokers/kraken.py
@@ -342,12 +342,31 @@ async def stream_quotes(
                         if not writer_exists:
                             # update last entry
                             # benchmarked in the 4-5 us range
-                            high, low = shm.array[-1][['high', 'low']]
-                            shm.array[['high', 'low', 'close', 'vwap']][-1] = (
+                            o, high, low, v = shm.array[-1][
+                                ['open', 'high', 'low', 'volume']
+                            ]
+                            new_v = tick_volume
+
+                            if v == 0 and new_v:
+                                # no trades for this bar yet so the open
+                                # is also the close/last trade price
+                                o = last
+
+                            # write shm
+                            shm.array[
+                                ['open',
+                                 'high',
+                                 'low',
+                                 'close',
+                                 'vwap',
+                                 'volume']
+                            ][-1] = (
+                                o,
                                 max(high, last),
                                 min(low, last),
                                 last,
                                 ohlc.vwap,
+                                volume,
                             )
 
                         # XXX: format required by ``tractor.msg.pub``