From 4f51ca74f4bb31e77b9c6cca164bccfbd2ce6ddc Mon Sep 17 00:00:00 2001
From: Tyler Goodlet <jgbt@protonmail.com>
Date: Tue, 30 Mar 2021 10:56:19 -0400
Subject: [PATCH] Broadcast all tick types to subs, not just trades

---
 piker/data/__init__.py | 67 ++++++++++++++++++++++--------------------
 1 file changed, 35 insertions(+), 32 deletions(-)

diff --git a/piker/data/__init__.py b/piker/data/__init__.py
index 6da478d3..fd98452f 100644
--- a/piker/data/__init__.py
+++ b/piker/data/__init__.py
@@ -206,7 +206,6 @@ async def allocate_persistent_feed(
     bus.feeds[symbol] = (cs, init_msg, first_quote)
 
     with cs:
-
         if opened:
             # start history backfill task
             # ``backfill_bars()`` is a required backend func
@@ -246,43 +245,47 @@ async def allocate_persistent_feed(
                     # while another consumer is serviced..
 
                     # start writing the shm buffer with appropriate trade data
-                    for tick in iterticks(quote, types=('trade', 'utrade',)):
-                        last = tick['price']
+                    for tick in quote['ticks']:
 
-                        # update last entry
-                        # benchmarked in the 4-5 us range
-                        o, high, low, v = shm.array[-1][
-                            ['open', 'high', 'low', 'volume']
-                        ]
+                        # write trade events to shm last OHLC sample
+                        if tick['type'] in ('trade', 'utrade'):
 
-                        new_v = tick.get('size', 0)
+                            last = tick['price']
 
-                        if v == 0 and new_v:
-                            # no trades for this bar yet so the open
-                            # is also the close/last trade price
-                            o = last
+                            # update last entry
+                            # benchmarked in the 4-5 us range
+                            o, high, low, v = shm.array[-1][
+                                ['open', 'high', 'low', 'volume']
+                            ]
 
-                        if sum_tick_vlm:
-                            volume = v + new_v
-                        else:
-                            volume = v
+                            new_v = tick.get('size', 0)
 
-                        shm.array[[
-                            'open',
-                            'high',
-                            'low',
-                            'close',
-                            'volume',
-                        ]][-1] = (
-                            o,
-                            max(high, last),
-                            min(low, last),
-                            last,
-                            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
 
-                    for ctx in bus.subscribers[sym]:
-                        await ctx.send_yield({sym: quote})
+                            if sum_tick_vlm:
+                                volume = v + new_v
+                            else:
+                                volume = v
+
+                            shm.array[[
+                                'open',
+                                'high',
+                                'low',
+                                'close',
+                                'volume',
+                            ]][-1] = (
+                                o,
+                                max(high, last),
+                                min(low, last),
+                                last,
+                                volume,
+                            )
+
+                        for ctx in bus.subscribers[sym]:
+                            await ctx.send_yield({sym: quote})
 
 
 @tractor.stream