Support new normalized ticks format with kraken

Generate tick datums in a list under a `ticks` field in each quote
kinda like how IB does it.

piker/brokers/kraken.py

@@ -2,7 +2,7 @@
 Kraken backend.
 """
 from contextlib import asynccontextmanager
-from dataclasses import dataclass, asdict
+from dataclasses import dataclass, asdict, field
 from itertools import starmap
 from typing import List, Dict, Any
 import json
@@ -150,6 +150,19 @@ async def stream_quotes(
         async def recv():
             return json.loads(await ws.get_message())
 
+        async def recv_ohlc():
+            while True:
+                msg = await recv()
+                if isinstance(msg, dict):
+                    if msg.get('event') == 'heartbeat':
+                        continue
+                    err = msg.get('errorMessage')
+                    if err:
+                        raise BrokerError(err)
+                else:
+                    chan_id, ohlc_array, chan_name, pair = msg
+                    yield OHLC(chan_id, chan_name, pair, *ohlc_array)
+
         @dataclass
         class OHLC:
             chan_id: int  # internal kraken id
@@ -164,25 +177,33 @@ async def stream_quotes(
             vwap: float  # Volume weighted average price within interval
             volume: float  # Accumulated volume within interval
             count: int  # Number of trades within interval
+            # (sampled) generated tick data
+            ticks: List[Any] = field(default_factory=list)
 
             # XXX: ugh, super hideous.. needs built-in converters.
             def __post_init__(self):
-                for field, val in self.__dataclass_fields__.items():
+                for f, val in self.__dataclass_fields__.items():
-                    setattr(self, field, val.type(getattr(self, field)))
+                    if f == 'ticks':
+                        continue
+                    setattr(self, f, val.type(getattr(self, f)))
 
-        while True:
+        ohlc_gen = recv_ohlc()
-            msg = await recv()
+        ohlc_last = await ohlc_gen.__anext__()
-            if isinstance(msg, dict):
+        yield asdict(ohlc_last)
-                if msg.get('event') == 'heartbeat':
+
-                    continue
+        async for ohlc in ohlc_gen:
-                err = msg.get('errorMessage')
+            # debug
-                if err:
+            print(ohlc)
-                    raise BrokerError(err)
+            volume = ohlc.volume
-            else:
+            vol_diff = volume - ohlc_last.volume
-                chan_id, ohlc_array, chan_name, pair = msg
+            if vol_diff:
-                ohlc = OHLC(chan_id, chan_name, pair, *ohlc_array)
+                ohlc.ticks.append({
-                print(ohlc)
+                    'type': 'trade',
-                yield asdict(ohlc)
+                    'price': ohlc.close,
+                    'size': vol_diff,
+                })
+            yield asdict(ohlc)
+            ohlc_last = ohlc
 
 
 if __name__ == '__main__':