# piker: trading gear for hackers # Copyright (C) Tyler Goodlet (in stewardship for piker0) # This program is free software: you can redistribute it and/or modify # it under the terms of the GNU Affero General Public License as published by # the Free Software Foundation, either version 3 of the License, or # (at your option) any later version. # This program is distributed in the hope that it will be useful, # but WITHOUT ANY WARRANTY; without even the implied warranty of # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the # GNU Affero General Public License for more details. # You should have received a copy of the GNU Affero General Public License # along with this program. If not, see . ''' Stream format enforcement. ''' from itertools import chain from typing import AsyncIterator def iterticks( quote: dict, types: tuple[str] = ( 'trade', 'dark_trade', ), deduplicate_darks: bool = False, ) -> AsyncIterator: ''' Iterate through ticks delivered per quote cycle. ''' if deduplicate_darks: assert 'dark_trade' in types # print(f"{quote}\n\n") ticks = quote.get('ticks', ()) trades = {} darks = {} if ticks: # do a first pass and attempt to remove duplicate dark # trades with the same tick signature. if deduplicate_darks: for tick in ticks: ttype = tick.get('type') time = tick.get('time', None) if time: sig = ( time, tick['price'], tick.get('size') ) if ttype == 'dark_trade': darks[sig] = tick elif ttype == 'trade': trades[sig] = tick # filter duplicates for sig, tick in trades.items(): tick = darks.pop(sig, None) if tick: ticks.remove(tick) # print(f'DUPLICATE {tick}') # re-insert ticks ticks.extend(list(chain(trades.values(), darks.values()))) for tick in ticks: # print(f"{quote['symbol']}: {tick}") ttype = tick.get('type') if ttype in types: yield tick