Support backend volume summing; handle disconnects

piker/data/__init__.py

@@ -20,6 +20,7 @@ Data feed apis and infra.
 We provide tsdb integrations for retrieving
 and storing data from your brokers as well as
 sharing your feeds with other fellow pikers.
+
 """
 from dataclasses import dataclass, field
 from contextlib import asynccontextmanager
@@ -227,7 +228,9 @@ async def allocate_persistent_feed(
 
         # begin shm write loop and broadcast to subscribers
 
-        sum_tick_vlm: bool = True
+        sum_tick_vlm: bool = init_msg.get(
+            'shm_write_opts', {}
+        ).get('sum_tick_vlm', True)
 
         async with quote_stream:
 
@@ -247,6 +250,9 @@ async def allocate_persistent_feed(
                     # start writing the shm buffer with appropriate trade data
                     for tick in quote['ticks']:
 
+                        # if tick['type'] in ('utrade',):
+                        #     print(tick)
+
                         # write trade events to shm last OHLC sample
                         if tick['type'] in ('trade', 'utrade'):
 
@@ -268,24 +274,34 @@ async def allocate_persistent_feed(
                             if sum_tick_vlm:
                                 volume = v + new_v
                             else:
-                                volume = v
+                                # presume backend takes care of summing
+                                # it's own vlm
+                                volume = quote['volume']
 
                             shm.array[[
                                 'open',
                                 'high',
                                 'low',
                                 'close',
+                                'bar_wap',  # can be optionally provided
                                 'volume',
                             ]][-1] = (
                                 o,
                                 max(high, last),
                                 min(low, last),
                                 last,
+                                quote.get('bar_wap', 0),
                                 volume,
                             )
 
                         for ctx in bus.subscribers[sym]:
+                            try:
                                 await ctx.send_yield({sym: quote})
+                            except (
+                                trio.BrokenResourceError,
+                                trio.ClosedResourceError
+                            ):
+                                log.error(f'{ctx.chan.uid} dropped connection')
 
 
 @tractor.stream