Add startup logic to handle market closure

piker/brokers/ib.py

@@ -70,6 +70,7 @@ class NonShittyWrapper(Wrapper):
     def tcpDataArrived(self):
         """Override time stamps to be floats for now.
         """
+        # use a float to store epoch time instead of datetime
         self.lastTime = time.time()
         for ticker in self.pendingTickers:
             ticker.rtTime = None
@@ -88,6 +89,7 @@ class NonShittyIB(ibis.IB):
     """
     def __init__(self):
         self._createEvents()
+        # XXX: just to override this wrapper
         self.wrapper = NonShittyWrapper(self)
         self.client = ib_Client(self.wrapper)
         self.errorEvent += self._onError
@@ -385,11 +387,16 @@ async def stream_quotes(
         symbol=symbols[0],
     )
     async with aclosing(stream):
-        async for ticker in stream:
-            # convert named tuples to dicts so we send usable keys
-            # for tick_data in ticker.ticks:
-            ticker.ticks = [td._asdict() for td in ticker.ticks]
+        # first quote can be ignored as a 2nd with newer data is sent?
+        first_ticker = await stream.__anext__()
+        data = asdict(first_ticker)
+        log.debug(f"First ticker received {data}")
+        yield data
+        quote_cache = {}
 
+        def proc_ticker(ticker: Ticker) -> dict:
+            # convert named tuples to dicts so we send usable keys
+            ticker.ticks = [td._asdict() for td in ticker.ticks]
             data = asdict(ticker)
 
             # add time stamps for downstream latency measurements
@@ -397,7 +404,21 @@ async def stream_quotes(
             if ticker.rtTime:
                 data['rtTime_s'] = float(ticker.rtTime) / 1000.
 
-            yield data
+            return data
+
+        async for ticker in stream:
+            # spin consuming tickers until we get a real market datum
+            if not ticker.rtTime:
+                log.debug(f"New unsent ticker: {ticker}")
+                continue
+            else:
+                yield proc_ticker(ticker)
+                log.debug("Received first real volume tick")
+                # XXX: this works because we don't use ``aclosing()`` above?
+                break
+
+        async for ticker in stream:
+            yield proc_ticker(ticker)
 
             # ugh, clear ticks since we've consumed them
             ticker.ticks = []