Merge branch 'master' into prod

.gitignore

@@ -37,4 +37,3 @@ trace_data/
 *.rej
 /build
 .clangd/
-*CMakeDeps.cmake

doc/user/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources /home/pfisher/bts/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)
+set(sources /home/ppinto/Dropbox/bts/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)

src/client/spark/Modules/Market/TimeAndSales/TimeAndSalesRowVM.cs

@@ -1,6 +1,7 @@
 using bts.api;
 using bts.co2;
 using bts.utils;
+using bts.utils.csv;
 using mbts;
 using mbts.spark;
 using mbts.ui.controls;
@@ -49,6 +50,18 @@ namespace bts.shell.time_and_sales {
       public void raise_invalidated() =>
          invalidated?.Invoke();
 
+      public static System.Collections.Specialized.OrderedDictionary csv_ordered_properties =>
+            CsvHelper.create_ordering_maintainer(
+               typeof(TimeAndSalesRowVM),
+               new string[] {
+                  nameof(security),
+                  nameof(time),
+                  nameof(price),
+                  nameof(size),
+                  nameof(aggressor_side),
+                  nameof(security_key),
+               });
+
       public bool Equals(TimeAndSalesRowVM other) =>
          other != null &&
          row_key == other.row_key;

src/client/spark/Modules/Market/TimeAndSales/TimeAndSalesWindow.cs

@@ -2,6 +2,7 @@
 using bts.shell.fills;
 using bts.spark;
 using bts.view;
+using bts.utils.csv;
 using mbts;
 using mbts.co2;
 using mbts.persist;
@@ -124,6 +125,8 @@ namespace bts.shell.time_and_sales {
             show_in_context_menu = _can_pause_updates
          };
          _commands = new SparkCommand[] {
+            // csv export
+            new SparkCommandCommand("Export to csv", Icons.Export, FileDialogCommand.export_csv(() => _vm.rows.ToCsv(TimeAndSalesRowVM.csv_ordered_properties), "TaS")),
             // ladder
             SparkCommands.ShowLadderAutoLookup(SparkCommands.KeyGestures.ShowLadder)
                .complete(current_sec_key_src, sec_keys => sec_keys.Count > 0),

src/client/spark/Modules/Trading/Fills/FillsVM.cs

@@ -5,6 +5,7 @@ using bts.collections;
 using bts.shell.fills;
 using bts.spark;
 using bts.utils;
+using bts.utils.csv;
 using mbts.collections;
 using mbts.persist;
 using mbts.spark.filters;
@@ -333,6 +334,27 @@ namespace mbts.spark {
          public override bool Equals(object obj) => Equals(obj as Row);
          public override int GetHashCode() => _fill.FillKey.GetHashCode() ^ _order.Key.GetHashCode();
 
+         public static System.Collections.Specialized.OrderedDictionary csv_ordered_properties =>
+            CsvHelper.create_ordering_maintainer(typeof(Row),
+               new string[] {
+                  nameof(security),
+                  nameof(order_type),
+                  nameof(root_algo_display_name),
+                  nameof(side),
+                  nameof(fill_time),
+                  nameof(user),
+                  nameof(account),
+                  nameof(exchange),
+                  nameof(time_in_force),
+                  nameof(size),
+                  nameof(price),
+                  nameof(fill_kind),
+                  nameof(fill_status),
+                  nameof(fill_key),
+                  nameof(order_key),
+                  nameof(security_key)
+               });
+
          public event Action invalidated;
          void IRowVM.raise_invalidated() => invalidated?.Invoke();
       }

src/client/spark/Modules/Trading/Fills/FillsWindow.cs

@@ -4,6 +4,7 @@ using bts.shell;
 using bts.shell.fills;
 using bts.spark;
 using bts.view;
+using bts.utils.csv;
 using mbts.persist;
 using mbts.ui;
 using mbts.ui.settings;
@@ -61,6 +62,7 @@ namespace mbts.spark {
          _view = new FillsView { DataContext = _vm };
 
          _commands = new List<SparkCommand> {
+            new SparkCommandCommand("Export to csv", Icons.Export, FileDialogCommand.export_csv(() => _vm.rows.ToCsv(FillsVM.Row.csv_ordered_properties), "Fills")),
             // wrap the grid settings view factory in a dialogCommand here since the vm is destroyed/recreated when the security criteria changes
             SparkCommands.window_settings_command(new DialogCommand(() => {
                var vm = new ShellSettingsDialogVM<GridSettings, SimpleGridSettingsVM>(

src/client/spark/Modules/Trading/OrderBook/OrderBookRowVM.cs

@@ -4,6 +4,7 @@ using bts.api.orderman;
 using bts.collections;
 using bts.spark;
 using bts.utils;
+using bts.utils.csv;
 using mbts.ui;
 using mbts.ui.controls;
 using System;
@@ -11,6 +12,7 @@ using System.Collections.Generic;
 using System.ComponentModel;
 using System.Reactive.Linq;
 using System.Runtime.CompilerServices;
+using System.Linq;
 using System.Windows.Input;
 using System.Windows.Media;
 using Columns = mbts.spark.OrderBookGridView.ColumnKeys;
@@ -60,6 +62,35 @@ namespace mbts.spark {
       public event Action<(OrderSecurityRootPair oldval, OrderSecurityRootPair newval)> updated;
       public event PropertyChangedEventHandler PropertyChanged;
 
+      public static System.Collections.Specialized.OrderedDictionary csv_ordered_properties =>
+            CsvHelper.create_ordering_maintainer(
+               typeof(OrderBookRowVM), 
+               new string[] {
+                  nameof(security_text),
+                  nameof(symbol),
+                  nameof(time_created),
+                  nameof(last_change),
+                  nameof(user),
+                  nameof(account),
+                  nameof(exchange),
+                  nameof(time_in_force),
+                  nameof(order_type),
+                  nameof(root_algo_display_name),
+                  nameof(order_sub_type),
+                  nameof(side),
+                  nameof(quantity),
+                  nameof(filled_quantity),
+                  nameof(price),
+                  nameof(avg_price),
+                  nameof(last_price),
+                  nameof(piq),
+                  nameof(status),
+                  // last message (could contains commas, so skipping)
+                  nameof(security_key),
+                  nameof(order_key),
+                  nameof(parent_order_key),
+               });
+
       // Core
       public OrderSecurityRootPair order_tuple { get; private set; }
       public OrderRecordImmutable order => order_tuple.order.order;

src/client/spark/Modules/Trading/OrderBook/OrderBookWindow.cs

@@ -6,6 +6,7 @@ using bts.shell.fills;
 using bts.shell.orderbook;
 using bts.spark;
 using bts.view;
+using bts.utils.csv;
 using mbts.persist;
 using mbts.spark.utilities;
 using mbts.ui;
@@ -231,6 +232,7 @@ namespace mbts.spark {
             toggle_collapse_all_command,
             toggle_expand_all_command,
             show_grid_settings_command,
+            new SparkCommandCommand("Export to csv", Icons.Export, FileDialogCommand.export_csv(() => _vm.rows.ToCsv(OrderBookRowVM.csv_ordered_properties), "OrderBook")),
             // hidden cmds (i.e., keyboard shortcuts at window level)
             hidden_cmd(new SparkCommandCommand(OrderBookView.CommandDescriptions.ModifyOrders, null, _vm.modify_selected_orders_cmd, OrderBookView.KeyboardShortcuts.ModifyOrders)),
             hidden_cmd(new SparkCommandCommand(OrderBookView.CommandDescriptions.RevertOrders, null, _vm.revert_selected_orders_cmd, OrderBookView.KeyboardShortcuts.RevertOrders)),

src/client/spark/view/Extensions/Command/FileDialogCommand.cs

@@ -64,6 +64,25 @@ namespace mbts.ui {
             }
          }, can_execute == null ? null : new Func<object, bool>(_ => can_execute()));
 
+      public static IDialogCommand export_csv(
+         Func<string> get_file_content,
+         string source_window_name) =>
+         new AnonymousFileDialogCommand<object>(_ =>
+            _create_save_file_dialog(
+               Environment.GetFolderPath(Environment.SpecialFolder.Desktop),
+               $"BTS_Spark_{source_window_name}_{DateTime.Now.ToString("yyyyMMdd_HHmm")}.csv",
+               new[] { ("CSV (comma delimited)", new string[] { "csv" }) }
+            ),
+            (_, file) => {
+               try {
+                  File.WriteAllText(file, get_file_content.Invoke());
+               } catch (Exception ex) {
+                  BTSMessageBox.Show($"Error exporting data to csv: {ex}.", "CSV Export Error", BTSMessageBoxButtons.OK, System.Windows.MessageBoxImage.Error, true, false, true);
+               }
+            },
+            // we are always able to perform an export, even when no rows (it will just be a header)
+            (_) => true);
+
       static TDialog _create_file_dialog<TDialog>(string initial_dir = null, IReadOnlyList<(string name, string[] extensions)> filter_items = null) where TDialog : FileDialog, new() {
          var rv = new TDialog();
          if (!string.IsNullOrEmpty(initial_dir))

src/client/spark_core/utils/CsvHelper.cs

@@ -0,0 +1,52 @@
+using System;
+using System.IO;
+using System.Collections.Generic;
+using System.Collections.Specialized;
+using System.Linq;
+using System.Reflection;
+
+namespace bts.utils.csv {
+   public static class CsvHelper {
+
+      public static string ToCsv<T>(this IEnumerable<T> items, OrderedDictionary properties = null) where T : class {
+         var output = "";
+         var delimiter = ",";
+         if (properties == null) {
+            properties = new OrderedDictionary();
+            foreach (var pi in typeof(T).GetProperties()) {
+               properties.Add(pi.Name, pi);
+            }
+         }
+
+         using (var sw = new StringWriter()) {
+            var dict_values = properties.Values.OfType<PropertyInfo>();
+            var header = dict_values.Select(n => n.Name).Aggregate((first, second) => first + delimiter + second);
+            sw.WriteLine(header);
+            foreach (var i in items) {
+               var row = dict_values.Select(x => x.GetValue(i, null))
+                  .Select(x => x == null ? "null" : x.ToString())
+                  .Aggregate((first, second) => first + delimiter + second);
+               sw.WriteLine(row);
+            }
+            output = sw.ToString();
+         }
+         return output;
+      }
+
+      public static OrderedDictionary create_ordering_maintainer(Type t, string[] property_names_in_order) {
+         OrderedDictionary od = new OrderedDictionary();
+         var props = t.GetProperties();
+         foreach (var n in property_names_in_order) {
+            var query = props.Where(pi => pi.Name == n);
+            if (query.Any()) {
+               var property_info = query.First();
+               if (!od.Contains(property_info)) {
+                  od.Add(n, property_info);
+               }
+            }
+         }
+         return od;
+      }
+
+   }
+}

src/lib/api/service_compiler/plugin.py

@@ -319,7 +319,7 @@ if __name__ == "__main__":
 
     if DEBUG: 
         for f in response.file:
-            print (f.content)
+            print f.content
     else:
         output = response.SerializeToString()
         sys.stdout.write(output)

src/lib/md/IntPrice.h

@@ -60,13 +60,10 @@ class IntPrice {
          return delta.mantissa() < 0;
       }
    }
-   bool operator <=(const IntPrice& other) const {
+   bool operator <=(const IntPrice& other) {
       return *this == other || *this < other;
    }
-   bool operator >(const IntPrice& other) const {
-      return other < *this;
-   }
-   bool operator >=(const IntPrice& other) const {
+   bool operator >=(const IntPrice& other) {
       return !(*this < other);
    }
    IntPrice operator - (const IntPrice& o) const {
@@ -75,31 +72,9 @@ class IntPrice {
    IntPrice operator + (const IntPrice& o) const {
       return op(o, [](int64_t m1, int64_t m2) { return m1 + m2; });
    }
-   IntPrice& operator +=(const IntPrice& o) {
-      auto temp = *this + o;
-      _mantissa = temp._mantissa;
-      _exponent = temp._exponent;
-      return *this;
-   }
-   IntPrice& operator -=(const IntPrice& o) {
-      auto temp = *this - o;
-      _mantissa = temp._mantissa;
-      _exponent = temp._exponent;
-      return *this;
-   }
-   IntPrice operator -() {
-      return IntPrice(-_mantissa, _exponent);
-   }
    IntPrice operator * (const IntPrice& other) const {
       return op(other, [](int64_t m1, int64_t m2) { return m1 * m2; });
    }
-   IntPrice operator * (const int& other) const {
-      return IntPrice(_mantissa * other, _exponent);
-   }
-   IntPrice& operator *=(const int& other) {
-      _mantissa *= other;
-      return *this;
-   }
    IntPrice operator / (double v) const {
       return { (int64_t)(_mantissa / v), exponent() };
    }
@@ -208,4 +183,4 @@ inline std::ostream& operator<<(std::ostream& os, const IntPrice& p) {
    return os;
 }
 
-}}
+}}

src/lib/orderman/actors/GLBXiLink3ExecutionGateway.cpp

@@ -235,7 +235,7 @@ void GLBXiLink3ExecutionGateway::on_admin_data(
     const mercury::Update<NewAdminDataEvent> &) {}
 
 void GLBXiLink3ExecutionGateway::send_msgs(std::vector<OrderMsg> const &msgs,
-                                           trace::CorID corid) {
+                                           trace::CorID) {
 
    if (me->state == State::READY) {
       for (auto &m : msgs) {
@@ -248,11 +248,6 @@ void GLBXiLink3ExecutionGateway::send_msgs(std::vector<OrderMsg> const &msgs,
          // CancelReplace
          auto cancel_replace_ptr = std::get_if<CancelReplaceOrderMsg>(&m);
          if (cancel_replace_ptr) {
-            LOG(iLink3,Info,"Cancel Replace. CorID:{}.{} Order:{}",
-                log::CharPtrWrapper{corid.channel},
-                corid.sn,
-                cancel_replace_ptr->exchange_order_id);
-                
             me->gw->send_cancel_replace(*cancel_replace_ptr);
             continue;
          }

src/lib/orderman/orderman_utils/BookUtils.cpp

@@ -1,9 +1,9 @@
 #include "BookUtils.h"
 
-namespace bts::orderman {
-using Size = md::Size;
-using Side = api::Side;
-using PriceSize = md::PriceSize;
+namespace bts {
+namespace orderman {
+using Size = bts::md::Size;
+using Side = bts::api::Side;
 
 Size BookUtils::volume_at_or_better(const Book& book, Side side, Price price) {
    return volume_at_or_better(book, side, price.value());
@@ -22,154 +22,5 @@ Size BookUtils::volume_at_or_better(const Book& book, Side side, double price) {
 SidePriceComp BookUtils::price_comp(Side side) {
    return SidePriceComp(side);
 }
-
-inline bool is_empty(const PriceSize& ps) {
-   return ps.size() == 0 || ps.int_price().is_nan();
-}
-
-void BookUtils::change_unit_qty(
-   const BookSide& book_in, std::vector<md::PriceSize>& book_out, int unit_qty) {
-   //
-   bts_assert(unit_qty > 0);
-   int mlev = 0, mlev_qty_used = 0;
-   std::vector<md::PriceSize> unit_lev_span;
-   for (uint32_t i = 0; i < book_in.size();) {
-      int mlev_qty_rem = book_in[i].size() - mlev_qty_used;
-      if (mlev_qty_rem == 0) {
-         mlev_qty_used = 0;
-         mlev++;
-         i++;
-         continue;
-      }
-      if (unit_lev_span.size() == 0) {
-         md::Size mlev_units_rem = mlev_qty_rem / unit_qty;
-         if (mlev_units_rem > 0) {
-            book_out.emplace_back(book_in[i].int_price(), mlev_units_rem);
-            mlev_qty_used += mlev_units_rem * unit_qty;
-         } else {
-            unit_lev_span.emplace_back(book_in[i].int_price(), mlev_qty_rem);
-            mlev_qty_used = 0;
-            mlev++;
-            i++;
-         }
-      } else {
-         // the unit spans across multiple [input]price levels: compute its
-         // [output]price. It will be in its own [output]price level.
-         auto unit_rem = unit_qty;
-         for (auto lev : unit_lev_span)
-            unit_rem -= lev.size();
-         if (mlev_qty_rem >= unit_rem) {
-            mlev_qty_used += unit_rem;
-            auto unit_price = md::INT_NAN;
-            for (uint32_t adj_lev = 0; adj_lev < unit_lev_span.size(); adj_lev++) {
-               auto leg_price = unit_lev_span[adj_lev].int_price() *
-                                static_cast<int>(unit_lev_span[adj_lev].size());
-               if (unit_price.is_nan())
-                  unit_price = leg_price;
-               else
-                  unit_price += leg_price;
-            }
-            unit_lev_span.clear();
-            book_out.emplace_back(unit_price, 1);
-         }
-      }
-   }
-}
-
-void BookUtils::compute_synthetic_book(
-   std::vector<PriceSize>& dest,
-   const std::vector<std::tuple<Size, md::IntPrice, BookSide>>&
-      leg_mkts,
-   uint32_t depth) {
-   //
-   if (leg_mkts.size() == 0)
-      return;
-
-   struct Leg {
-      std::vector<PriceSize> book;
-      uint32_t curr_level;
-      Size curr_level_qty_used;
-      int leg_qty;
-
-      Leg() : book(), curr_level(0), curr_level_qty_used(0), leg_qty(0) {}
-
-      md::IntPrice curr_price() const {
-         // Assert that the book isn't 'empty' yet.
-         // Note: one could argue that nan be returned in this event,
-         // but since the loop is designed to return "greedily,"
-         // 'curr_price' should not be accessed after it has been emptied.
-         // This assertion enforces that the behavior is only changed
-         // as a result of deliberate action, rather than an inadvertant
-         // side-effect.
-         bts_assert(!is_empty());
-         return book[curr_level].int_price();
-      }
-      Size curr_level_qty_rem() const {
-         return book[curr_level].size() - curr_level_qty_used;
-      }
-      // The implied market's volume is limited by its thinnest market.
-      // When one leg 'is_empty,' the full volume of the implied market
-      // has been realized.
-      bool is_empty() const { return curr_level >= book.size(); }
-   };
-
-   std::vector<Leg> legs;
-   for (const auto& [qty, price_mult, book] : leg_mkts) {
-      // todo: implement price mult logic (for now just assert nan or 1)
-      bts_assert(price_mult.is_nan() || price_mult.price() == 1);
-      auto& l = legs.emplace_back();
-      bts_assert(qty != 0);
-      l.leg_qty = qty;
-      if (book.empty() || is_empty(book.front()))
-         return;
-      change_unit_qty(
-         book, l.book, std::abs(l.leg_qty));
-      if (l.book.empty())
-         return;
-   }
-   
-   auto any_legs_empty = [&]() {
-      for (auto& l : legs)
-         if (l.is_empty())
-            return true;
-      return false;
-   };
-
-   while (!any_legs_empty() && depth-- > 0) {
-      // legs can't be empty, because it is a 1:1 mapping of leg_mkts,
-      // and it has already been established that the latter isn't empty.
-      auto limiting_factor = legs[0].curr_level_qty_rem();
-      for (uint32_t i = 0; i < legs.size(); i++) {
-         if (legs[i].curr_level_qty_rem() == 0) {
-            legs[i].curr_level++;
-            if (legs[i].is_empty()) {
-               // book is complete
-               return;
-            }
-            legs[i].curr_level_qty_used = Size(0);
-         }
-         limiting_factor =
-            std::min(legs[i].curr_level_qty_rem(), limiting_factor);
-         if (limiting_factor == 0)
-            return;
-      }
-      bts_assert(limiting_factor > 0);
-      for (uint32_t i = 0; i < legs.size(); i++)
-         legs[i].curr_level_qty_used += limiting_factor;
-      auto marginal_cost = md::INT_NAN;
-      for (auto& l : legs) {
-         // The book's prices have already been multiplied by abs(leg_qty);
-         // Subtract the leg's cost if qty is negative, otherwise add it
-         // to the synthetic's marginal cost.
-         auto lcost = l.curr_price();
-         if (l.leg_qty < 0)
-            lcost = -lcost;
-         if (marginal_cost.is_nan())
-            marginal_cost = lcost;
-         else
-            marginal_cost += lcost;
-      }
-      dest.emplace_back(marginal_cost, limiting_factor);
-   }
-}
-} // namespace bts::orderman
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orderman_utils/BookUtils.h

@@ -6,18 +6,13 @@
 #include "lib/orderman/orderman_utils/Book.h"
 #include "lib/orderman/orderman_utils/PriceComp.h"
 
-namespace bts::orderman {
+namespace bts {
+namespace orderman {
+
 struct BookUtils {
    static md::Size volume_at_or_better(const Book& book, api::Side side, Price price);
    static md::Size volume_at_or_better(const Book& book, api::Side side, double price);
    static SidePriceComp price_comp(api::Side side);
-
-   static void change_unit_qty(
-      const BookSide& book_in, std::vector<md::PriceSize>& book_out, int unit_qty);
-
-   static void compute_synthetic_book(
-      std::vector<md::PriceSize>& dest,
-      const std::vector<std::tuple<md::Size, md::IntPrice, BookSide>>& leg_mkts,
-      uint32_t depth);
 };
-} // namespace bts::orderman
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/PyramidAlgo.cpp

@@ -16,7 +16,7 @@ namespace orderman {
 
 using namespace api::orderman;
 
-enum class PyramidAlgo::Status { WAITING_FOR_MD, WAITING_FOR_MD_ATTACH, WORKING, DONE };
+enum class PyramidAlgo::Status { WAITING_FOR_MD, WAITING_FOR_MD_ATTACH, WORKING, WAITING_FOR_CXL_ACK, DONE };
 enum class PyramidAlgo::ExitPath { CANCEL, ERR, COMPLETE };
 
 struct LegData{
@@ -192,6 +192,7 @@ void PyramidAlgo::do_update(const api::orderman::Update& update) {
                          "Order cancelled (Cover prices not met)");
          break;
       }
+      case PyramidAlgo::Status::WAITING_FOR_CXL_ACK:
       case PyramidAlgo::Status::DONE:
          break;
    }
@@ -215,6 +216,7 @@ IAlgoOrder::OnCancelResponse PyramidAlgo::on_cancel(){
       case PyramidAlgo::Status::WORKING:
          _cxl_and_end(PyramidAlgo::ExitPath::CANCEL,"Algo cancelled");
          break;
+      case (PyramidAlgo::Status::WAITING_FOR_CXL_ACK):
       case PyramidAlgo::Status::DONE:
          break;
    }
@@ -242,6 +244,7 @@ void PyramidAlgo::on_child_change(OrderKey key, const ChildState &st) {
             _check_for_completion();
             break;
          case PyramidAlgo::Status::WORKING:
+         case (PyramidAlgo::Status::WAITING_FOR_CXL_ACK):
             leg->order_state = st;
             _algo().update_fill_state(st.total_fills, st.avg_price);
             _send_hedges(st.last_fills);
@@ -388,6 +391,7 @@ void PyramidAlgo::_analyze_md_and_act(){
             _cxl_and_end(PyramidAlgo::ExitPath::CANCEL,
                          "Order cancelled (Cover prices not met)");
          break;
+      case PyramidAlgo::Status::WAITING_FOR_CXL_ACK:   
       case PyramidAlgo::Status::DONE:
          break;
    }
@@ -405,14 +409,19 @@ void PyramidAlgo::_switch_state(Status new_state){
          bts_assert(me->state == PyramidAlgo::Status::WAITING_FOR_MD ||
                     me->state == PyramidAlgo::Status::WAITING_FOR_MD_ATTACH);
          break;
+      case (PyramidAlgo::Status::WAITING_FOR_CXL_ACK):
+         break;
       case (PyramidAlgo::Status::DONE):
          bts_assert(
                // when an order is entered and the criteria is not met
                me->state == PyramidAlgo::Status::WAITING_FOR_MD ||
                // when an order is attached and the market conditions are not met
                me->state == PyramidAlgo::Status::WAITING_FOR_MD_ATTACH ||
-               // when the child order gets into an unexpected state
-               me->state == PyramidAlgo::Status::WORKING);
+               // when the child order enters a terminal state, while the algo
+               // is in a working state (external cxl, target reached)
+               me->state == PyramidAlgo::Status::WORKING ||
+               // the usual controlled cxl, ie working->waiting_for_cxl_ack->done
+               me->state == PyramidAlgo::Status::WAITING_FOR_CXL_ACK);
          break;
    }
    LOG(OrderMan, Info,"PyramidAlgo::_switch_state key:{} {}->{} ",
@@ -494,8 +503,8 @@ void PyramidAlgo::_check_for_completion(){
          break;
       case (ChildStatus::CANCELED):
          _cxl_and_end(PyramidAlgo::ExitPath::ERR,
-                      "Top spread unexpectedly cancelled");
-         break;      
+                      "Top spread cancelled");
+         break;
    }
 }
 
@@ -507,8 +516,11 @@ void PyramidAlgo::_cxl_and_end(PyramidAlgo::ExitPath exit_path,
       if(top_ord_state.status == ChildStatus::WORKING){
          if(detach_top)
             _algo().detach_child(me->legs[0].order_key);
-         else
+         else{
             _algo().cancel_child(me->legs[0].order_key);
+            _switch_state(PyramidAlgo::Status::WAITING_FOR_CXL_ACK);
+            return;
+         }
       }
    }
    switch(exit_path){
@@ -524,6 +536,7 @@ void PyramidAlgo::_cxl_and_end(PyramidAlgo::ExitPath exit_path,
    }
    _switch_state(PyramidAlgo::Status::DONE);
 }
+
 // true the out qty is changed it be below
 // the filled qty
 bool PyramidAlgo::_target_reached() const{

src/lib/orderman/orders/algo/algo_orders/TASCounterAlgo.cpp

@@ -26,17 +26,21 @@ enum class TASCounterAlgo::Status { WORKING, DONE };
 // (the vwap of the TAS contracts is not used, but for uniformity is kept in the
 // the same structure)
 struct ContractMarketData{
+private:
    uint32_t tot_vol = 0;
    double running_sum = 0;
+public:
    Book book;
    double estimated_settle = 0.0;
    void on_trade (const TickerUpdateEvent::Trade& t){
       tot_vol += t.quantity.value();
       running_sum += t.price.value()*t.quantity.value();
    }
-   const double vwap(){
+   double vwap() const{
       return tot_vol == 0 ? os::nan() : running_sum/tot_vol;
    }
+   uint32_t traded_qty() const {return tot_vol;}
+   double traded_value() const {return running_sum;}
 };
 // the input for the t1 front, second and third orders, as well as the template
 // and working order key are kept here
@@ -100,6 +104,47 @@ bool trade_within_time_win (const Timestamp&, const Timestamp&,
                             const TickerUpdateEvent::Trade& t);
 bool now_within_time_win (const Timestamp&, const Timestamp&);
 
+double compute_t1_front_settle (const AlgoData& d){
+   double rv = d.t1_front.vwap();
+   rv = round_to_nearest(rv,d.tick_size);
+   return rv;   
+}
+
+double compute_t1_second_settle (const AlgoData& d){
+   double p_t1_front = compute_t1_front_settle(d);
+   double part_1 = d.t1_second.traded_value();
+   double part_2 = d.t2_front.traded_value() - 
+                   (d.t2_front.traded_qty() * p_t1_front);
+   uint32_t traded_qty_sum = d.t2_front.traded_qty() + 
+                             d.t1_second.traded_qty();
+   double rv = traded_qty_sum == 0 ? os::nan() : 
+               (part_1+part_2)/traded_qty_sum;
+   LOG(OrderMan, Diag, "TASCounterAlgo::compute_t1_second_settle "
+      "p_t1_front:{} part_1:{} part_2:{} traded_qty_sum:{} rv:{}",
+      p_t1_front, part_1, part_2, traded_qty_sum, rv);
+   return round_to_nearest(rv,d.tick_size);
+}
+
+double compute_t1_third_settle (const AlgoData& d){
+   double p_t1_front = compute_t1_front_settle(d);
+   double p_t1_second = compute_t1_second_settle(d);
+   double part_1 = d.t1_third.traded_value();
+   double part_2 = d.t2_second.traded_value() - 
+                   (d.t2_second.traded_qty()*p_t1_second);
+   double part_3 = d.t3_front.traded_value() - 
+                   (d.t3_front.traded_qty()*p_t1_front) -
+                   (d.t3_front.traded_qty()*p_t1_second);
+   double traded_qty_sum = d.t3_front.traded_qty() + 
+                           d.t2_second.traded_qty() + 
+                           d.t1_third.traded_qty();
+   double rv = traded_qty_sum == 0 ? os::nan() : 
+               (part_1+part_2+part_3)/traded_qty_sum;
+   LOG(OrderMan, Diag, "TASCounterAlgo::compute_t1_third_settle "
+      "p_t1_front:{} p_t1_second:{} part_1:{} part_2:{} part_3:{} "
+      "traded_qty_sum:{} rv:{}",
+      p_t1_front, p_t1_second, part_1, part_2, part_3, traded_qty_sum, rv);
+   return round_to_nearest(rv,d.tick_size);
+}
 
 TASCounterAlgo::TASCounterAlgo() : me(new PImpl()) {}
 TASCounterAlgo::~TASCounterAlgo() {}
@@ -214,17 +259,9 @@ void TASCounterAlgo::_cxl_and_end (bool is_error, const std::string& err_msg){
 
 void TASCounterAlgo::_compute_settles(){
    AlgoData& d = me->data;
-   d.t1_front.estimated_settle = d.t1_front.vwap();
-   d.t1_second.estimated_settle = d.t2_front.vwap() - d.t1_front.vwap();
-   d.t1_third.estimated_settle = d.t3_front.vwap() - d.t1_front.vwap() - 
-                                 d.t1_second.vwap();
-   // round to closest value
-   d.t1_front.estimated_settle = round_to_nearest(
-                        d.t1_front.estimated_settle,me->data.tick_size);
-   d.t1_second.estimated_settle = round_to_nearest(
-                        d.t1_second.estimated_settle,me->data.tick_size);
-   d.t1_third.estimated_settle = round_to_nearest(
-                        d.t1_third.estimated_settle,me->data.tick_size);
+   d.t1_front.estimated_settle = compute_t1_front_settle(d);
+   d.t1_second.estimated_settle = compute_t1_second_settle(d);
+   d.t1_third.estimated_settle = compute_t1_third_settle(d);
 }
 
 // the decision to send an order can be caused by