Define the flattened "fundamental double auction" emitted tick type set
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c57d4b2181
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@ -740,13 +740,21 @@ async def sample_and_broadcast(
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# a working tick-type-classes template
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# tick-type-classes template for all possible "lowest level" events
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# that can can be emitted by the "top of book" L1 queues and
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# price-matching (with eventual clearing) in a double auction
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# market (queuing) system.
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_tick_groups = {
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'clears': {'trade', 'dark_trade', 'last'},
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'bids': {'bid', 'bsize'},
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'asks': {'ask', 'asize'},
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}
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# XXX alo define the flattened set of all such "fundamental ticks"
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# so that it can be used as filter, eg. in the graphics display
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# loop to compute running windowed y-ranges B)
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_auction_ticks: set[str] = set.union(*_tick_groups.values())
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def frame_ticks(
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first_quote: dict,
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