Add dark vlm deduplication support via flag

piker/data/_normalize.py

@@ -14,27 +14,61 @@
 # You should have received a copy of the GNU Affero General Public License
 # along with this program.  If not, see <https://www.gnu.org/licenses/>.
 
-"""
+'''
 Stream format enforcement.
-"""
 
-from typing import AsyncIterator, Optional, Tuple
+'''
-
+from itertools import chain
-import numpy as np
+from typing import AsyncIterator
 
 
 def iterticks(
     quote: dict,
-    types: Tuple[str] = ('trade', 'dark_trade'),
+    types: tuple[str] = ('trade', 'dark_trade'),
+    deduplicate_darks: bool = False,
 
 ) -> AsyncIterator:
     '''
     Iterate through ticks delivered per quote cycle.
 
     '''
+    if deduplicate_darks:
+        assert 'dark_trade' in types
+
     # print(f"{quote}\n\n")
     ticks = quote.get('ticks', ())
+    trades = {}
+    darks = {}
+
     if ticks:
+
+        # do a first pass and attempt to remove duplicate dark
+        # trades with the same tick signature.
+        if deduplicate_darks:
+            for tick in ticks:
+                ttype = tick.get('type')
+                sig = (
+                    tick['time'],
+                    tick['price'],
+                    tick['size']
+                )
+
+                if ttype == 'dark_trade':
+                    darks[sig] = tick
+
+                elif ttype == 'trade':
+                    trades[sig] = tick
+
+            # filter duplicates
+            for sig, tick in trades.items():
+                tick = darks.pop(sig, None)
+                if tick:
+                    ticks.remove(tick)
+                    # print(f'DUPLICATE {tick}')
+
+            # re-insert ticks
+            ticks.extend(list(chain(trades.values(), darks.values())))
+
         for tick in ticks:
             # print(f"{quote['symbol']}: {tick}")
             ttype = tick.get('type')