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'Only emit `'trade'` ticks on msgs with new(er) timestamps from `kucoin`'

emit_clear_ticks_only_on_ts_change
Tyler Goodlet 2023-04-10 23:10:48 -04:00
parent f9d7892d69
commit 9ea9603037
1 changed files with 8 additions and 2 deletions
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10
piker/brokers/kucoin.py
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@ -559,6 +559,7 @@ def make_sub(sym, connect_id, level='l1') -> dict[str, str | bool]:
async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]: async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
timeouts = 0 timeouts = 0
last_ts: int = 0
while True: while True:
with trio.move_on_after(3) as cs: with trio.move_on_after(3) as cs:
@ -571,12 +572,17 @@ async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
continue continue
if msg.get('subject') != None: if msg.get('subject'):
msg = KucoinMsg(**msg) msg = KucoinMsg(**msg)
match msg.subject: match msg.subject:
case 'trade.ticker': case 'trade.ticker':
trade_data = KucoinTrade(**msg.data) trade_data = KucoinTrade(**msg.data)
ts = trade_data.time
if ts <= last_ts:
continue
last_ts = ts
yield 'trade', { yield 'trade', {
'symbol': sym, 'symbol': sym,
'last': trade_data.price, 'last': trade_data.price,
@ -586,7 +592,7 @@ async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
'type': 'trade', 'type': 'trade',
'price': float(trade_data.price), 'price': float(trade_data.price),
'size': float(trade_data.size), 'size': float(trade_data.size),
'broker_ts': trade_data.time, 'broker_ts': ts,
} }
], ],
} }