From afe6f0b42b0b0679587951cc7ce9fdaccf03c97a Mon Sep 17 00:00:00 2001
From: Guillermo Rodriguez <guillermor@fing.edu.uy>
Date: Sun, 16 Jan 2022 00:20:57 -0300
Subject: [PATCH] Simplify and optimize tick format, similar to techtonicdb's

---
 piker/data/marketstore.py | 90 ++++++++++-----------------------------
 1 file changed, 23 insertions(+), 67 deletions(-)

diff --git a/piker/data/marketstore.py b/piker/data/marketstore.py
index 8fd737cf..1d271452 100644
--- a/piker/data/marketstore.py
+++ b/piker/data/marketstore.py
@@ -49,14 +49,10 @@ _quote_dt = [
     ('Epoch', 'i8'),
     ('Nanoseconds', 'i4'),
 
-    ('Tick', 'i4'),
-    ('Last', 'f4'),
-    ('Bid', 'f4'),
-    ('Bsize', 'f4'),
-    ('Asize', 'f4'),
-    ('Ask', 'f4'),
-    ('Size', 'i8'),
-    ('Volume', 'f4'),
+    ('IsTrade', 'i1'),
+    ('IsBid', 'i1'),
+    ('Price', 'f8'),
+    ('Size', 'f8')
 ]
 _quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
 
@@ -109,8 +105,7 @@ def quote_to_marketstore_structarray(
             # for ``np.int`` we use 0 as a null value
             none = 0
 
-        # casefold? see https://github.com/alpacahq/marketstore/issues/324
-        val = quote.get(name.casefold(), none)
+        val = quote.get(name, none)
         array_input.append(val)
 
     return np.array([tuple(array_input)], dtype=_quote_dt)
@@ -203,67 +198,28 @@ async def ingest_quote_stream(
 ) -> None:
     """Ingest a broker quote stream into marketstore in (sampled) tick format.
     """
-    async with open_feed(
-        brokername,
-        symbols,
-        loglevel=actorloglevel,
-    ) as feed:
-        async with get_client() as ms_client:
+    async with (
+        open_feed(brokername, symbols, loglevel=actorloglevel) as feed,
+        get_client() as ms_client
+    ):
+        async for quotes in feed.stream:
+            log.info(quotes)
+            for symbol, quote in quotes.items():
+                for tick in quote.get('ticks', ()):
+                    ticktype = tick.get('type', 'n/a')
 
-            # _quote_dt = [
-            #     # these two are required for as a "primary key"
-            #    ('Epoch', 'i8'),
-            #    ('Nanoseconds', 'i4'),
-            #    ('Tick', 'i4'),
-            #
-            #    ('Last', 'f4'),
-            #    ('Bid', 'f4'),
-            #    ('Bsize', 'f4'),
-            #    ('Asize', 'f4'),
-            #    ('Ask', 'f4'),
-            #    ('Size', 'i8'),
-            #    ('Volume', 'f4'),
-            # ]
+                    if ticktype == 'n/a':
+                        # okkk..
+                        continue
 
-            quote_cache = {
-                'size': 0,
-                'tick': 0
-            }
-            # start ingest to marketstore
-            async for quotes in feed.stream:
-                log.info(quotes)
-                for symbol, quote in quotes.items():
+                    a = quote_to_marketstore_structarray({
+                        'IsTrade': 1 if ticktype == 'trade' else 0,
+                        'IsBid': 1 if ticktype in ('bid', 'bsize') else 0,
+                        'Price': tick.get('price'),
+                        'Size': tick.get('size')
+                    }, last_fill=quote.get('broker_ts', None))
 
-                    for tick in quote.get('ticks', ()):
-                        ticktype = tick.get('type')
-                        price = tick.get('price')
-                        size = tick.get('size')
-
-                        if ticktype == 'n/a' or price == -1:
-                            # okkk..
-                            continue
-
-                        # clearing price event
-                        if ticktype == 'trade':
-                            quote_cache['volume'] = quote['volume']
-                            quote_cache['last'] = price
-                            # quote_cache['broker_ts'] = quote['broker_ts']
-
-                        # l1 book events
-                        elif ticktype in ('ask', 'asize'):
-                            quote_cache['ask'] = price
-                            quote_cache['asize'] = size
-
-                        elif ticktype in ('bid', 'bsize'):
-                            quote_cache['bid'] = price
-                            quote_cache['bsize'] = size
-
-                    a = quote_to_marketstore_structarray(
-                        quote_cache,
-                        last_fill=quote.get('broker_ts', None)
-                    )
                     log.info(a)
-                    # breakpoint()
                     await ms_client.write(symbol, a)