kraken: drop OHLC.ticks field and just inject to quote before send

pikers · Jun 20, 2023 · 4dcc92d · 4dcc92d
1 parent d42e831
commit 4dcc92d
Showing 1 changed file with 14 additions and 14 deletions.
diff --git a/piker/brokers/kraken/feed.py b/piker/brokers/kraken/feed.py
@@ -65,7 +65,7 @@
 )
 
 
-class OHLC(Struct):
+class OHLC(Struct, frozen=True):
     '''
     Description of the flattened OHLC quote format.
 
@@ -76,6 +76,8 @@ class OHLC(Struct):
     chan_id: int  # internal kraken id
     chan_name: str  # eg. ohlc-1  (name-interval)
     pair: str  # fx pair
+
+    # unpacked from array
     time: float  # Begin time of interval, in seconds since epoch
     etime: float  # End time of interval, in seconds since epoch
     open: float  # Open price of interval
@@ -85,8 +87,6 @@ class OHLC(Struct):
     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] = []
 
 
 async def stream_messages(
@@ -150,14 +150,15 @@ async def process_data_feed_msgs(
                     pair
                 ]:
                     if 'ohlc' in chan_name:
+                        array: list = payload_array[0]
                         ohlc = OHLC(
                             chan_id,
                             chan_name,
                             pair,
-                            *payload_array[0]
+                            *map(float, array[:-1]),
+                            count=array[-1],
                         )
-                        ohlc.typecast()
-                        yield 'ohlc', ohlc
+                        yield 'ohlc', ohlc.copy()
 
                     elif 'spread' in chan_name:
 
@@ -430,7 +431,7 @@ async def subscribe(ws: NoBsWs):
             feed_is_live.set()
 
             # keep start of last interval for volume tracking
-            last_interval_start = ohlc_last.etime
+            last_interval_start: float = ohlc_last.etime
 
             # start streaming
             topic: str = mkt.bs_fqme
@@ -448,24 +449,23 @@ async def subscribe(ws: NoBsWs):
 
                         # new OHLC sample interval
                         if quote.etime > last_interval_start:
-                            last_interval_start = quote.etime
-                            tick_volume = volume
+                            last_interval_start: float = quote.etime
+                            tick_volume: float = volume
 
                         else:
                             # this is the tick volume *within the interval*
-                            tick_volume = volume - ohlc_last.volume
+                            tick_volume: float = volume - ohlc_last.volume
 
                         ohlc_last = quote
                         last = quote.close
 
+                        quote = normalize(quote)
                         if tick_volume:
-                            quote.ticks.append({
+                            quote['ticks'] = [{
                                 'type': 'trade',
                                 'price': last,
                                 'size': tick_volume,
-                            })
-
-                        quote = normalize(quote)
+                            }]
 
                     case 'l1':
                         # passthrough quote msg