pnl - FillKind out, Security Type in

SPARK-1461 - price columns don't update tick format when security becomes known

Approved-by: John Colvin <john.colvin@bluetradesys.com>

.vscode/launch.json

@@ -37,7 +37,7 @@
          "type": "clr",
          "request": "launch",
          "program": "${workspaceRoot}/build/Debug/bin/net471/spark_sdk.exe",
-         "args": ["md","GLBX","Future","ES","ESM8"],
+         "args": ["md","GLBX","Future","ZN", "ZNU8"],
          "cwd": "${workspaceRoot}",
          "stopAtEntry": false,
          "externalConsole": true,

CMakeLists.txt

@@ -32,10 +32,30 @@ if (WIN32)
 
   add_subdirectory(src/lib)
 else ()
-   set (CMAKE_CXX_FLAGS_DEBUG  "${CMAKE_CXX_FLAGS_DEBUG} \
-                                -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++14 -fdiagnostics-color")
-   set (CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} -DNDEBUG -O3")
-   add_subdirectory(src/lib)
-   add_subdirectory(src/server/sparkd)
-   add_subdirectory(src/web)
+# so that sparkd looks for libspark.so in its directory
+  set (CMAKE_BUILD_WITH_INSTALL_RPATH TRUE) 
+  set (CMAKE_INSTALL_RPATH ".")
+
+  set (CMAKE_CXX_FLAGS_DEBUG  "${CMAKE_CXX_FLAGS_DEBUG} \
+                               -fPIC -Wall -pedantic -Wextra -Werror \
+                               -Wno-missing-braces -Wno-ignored-qualifiers \
+                               --std=c++14 -fdiagnostics-color")
+  set (CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} -DNDEBUG -O3")
+  add_subdirectory(src/server/sparkd)
+  add_subdirectory(src/lib)
+  add_subdirectory(src/web)
+  add_subdirectory(src/sdk)
+  add_subdirectory(src/data_files)
+
+  add_custom_command(OUTPUT ${CMAKE_BINARY_DIR}/server
+    COMMAND mkdir -p ${CMAKE_BINARY_DIR}/server
+    COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/server/sparkd/sparkd ${CMAKE_BINARY_DIR}/server
+    COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/server/sparkd/defaults ${CMAKE_BINARY_DIR}/server
+    COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/web ${CMAKE_BINARY_DIR}/server
+    COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/data_files ${CMAKE_BINARY_DIR}/server
+    COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/lib/libspark.so ${CMAKE_BINARY_DIR}/server
+    COMMENT "Creating server runtime layout"
+    DEPENDS sparkd data_files_dir)  
+
+  add_custom_target(server_layout ALL DEPENDS ${CMAKE_BINARY_DIR}/server)
 endif()

ops_notes.txt

@@ -0,0 +1,6 @@
+1.1.0
+- With this release we dropped wild cards from limits, so any user
+  that has limits expressed in terms of wild cards will have to have
+  those re-entered explicitly
+- With this release we add per user location and smp id tags. At least
+  the location will have to be set through the admin UI for every user

release_notes.txt

@@ -0,0 +1,10 @@
+1.1.0
+- Added per user self match protection, location and self match protection FIX tag settings
+- Implemented a new "Trigger Order" algo
+- Corrected tick formatting for a number of products
+- Added the hability to recreate canceled orders
+- Added leg fills to facilitate futured based PnL
+- PnL report now has PnL columns calculated based on your start of day, current day, and total position
+- Start, Day and Total PnL columns are painted with a red or green background color based on if the pnl value is negative or positive respectively
+- Corrected cash per point values, used in pnl calculations, for a number of products
+- PnL report will now remember any customizations you make to filtering and/or sorting criteria 

spark_client.sln

@@ -4,7 +4,7 @@ VisualStudioVersion = 15.0.27130.2024
 MinimumVisualStudioVersion = 15.0.26124.0
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_api", "src\client\spark_api\spark_api.csproj", "{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}"
 EndProject
-Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "spark_lib", "build\src\lib\spark_lib.vcxproj", "{502FD050-679A-3B50-B438-098500700919}"
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "libspark", "build\src\lib\libspark.vcxproj", "{502FD050-679A-3B50-B438-098500700919}"
 EndProject
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Spark", "src\client\spark\Spark.csproj", "{9A4D4D07-1AB6-4B2B-B111-A4F34D6C267E}"
 EndProject

spark_server.sln

@@ -5,7 +5,7 @@ VisualStudioVersion = 15.0.26730.10
 MinimumVisualStudioVersion = 10.0.40219.1
 Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "sparkd", "src\server\sparkd\sparkd.vcxproj", "{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}"
 EndProject
-Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "spark_lib", "build\src\lib\spark_lib.vcxproj", "{502FD050-679A-3B50-B438-098500700919}"
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "libspark", "build\src\lib\libspark.vcxproj", "{502FD050-679A-3B50-B438-098500700919}"
 EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution

src/client/spark/Daemons/MDDaemon.cs

@@ -36,7 +36,6 @@ namespace bts {
                _deleted_synthetics = new HashSet<uint>(t.Where(kv => kv.Value.Deleted).Select(kv => kv.Key));
                _bus.post(SparkTags.SyntheticstrategiesTag, t);
             }));
-         new DataPersistor(_bus);
          Task.Run(run);
       }
 

src/client/spark/Daemons/RecenterDaemon.cs

@@ -0,0 +1,48 @@
+using bts.api;
+using mbts.spark;
+using System;
+using System.Collections.Generic;
+using System.ComponentModel.Composition;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace mbts.ui {
+   [Export(typeof(IShellDaemon))]
+   class RecenterDaemon : IShellDaemon, IDisposable {
+      bool _run = true;
+      readonly IBus _bus;
+      readonly TimeSpan _time_to_center;
+      DateTime _last_recenter;
+      IDisposable _dispose;
+
+      [ImportingConstructor]
+      public RecenterDaemon(IBus bus) {
+         _bus = bus;
+         _time_to_center = TimeSpan.FromSeconds(config.Configuration.get<bts.config.LadderKnobs>().seconds_to_recenter);
+         _last_recenter = DateTime.UtcNow;
+
+         _dispose = _bus.subscribe(SparkTags.RequestRecenterLadder).Subscribe(_ => trigger_recenter(SparkTags.RecenterLadderNow));
+         run();
+      }
+
+      void trigger_recenter(ITag<DateTime> tag) {
+         _last_recenter = DateTime.UtcNow;
+         _bus.post(tag, _last_recenter);
+      }
+
+      async void run() {
+         _run = true;
+         while (_run) {
+            await Task.Delay(TimeSpan.FromSeconds(5));
+            if (_last_recenter + _time_to_center < DateTime.UtcNow) {
+               trigger_recenter(SparkTags.RecenterLadderBegin);
+            }
+         }
+      }
+
+      public void Dispose() {
+         Disposable.dispose(ref _dispose);
+      }
+   }
+}

src/client/spark/Daemons/ShellLatencyDaemon.cs

@@ -0,0 +1,44 @@
+using bts.api.core;
+using bts.metrics;
+using mbts.config;
+using mbts.ui;
+using System;
+using System.Collections.Generic;
+using System.ComponentModel.Composition;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace bts.perf {
+
+   [Export, Export(typeof(IShellDaemon))]
+   class ShellLatencyDaemon : IShellDaemon, IDisposable {
+      readonly ShellLatencyService _service;
+      readonly string _hostname;
+      readonly string _version;
+      IDisposable _subs;
+
+      [ImportingConstructor]
+      public ShellLatencyDaemon(ShellLatencyService service) {
+         _service = service;
+         _version = Configuration.get<bts.config.System>().version;
+         _hostname = Environment.MachineName;
+         _subs = _service.subscribei_clock().Subscribe(on_tick);
+      }
+
+      void on_tick(Update<TickImmutable, int> update) {
+         if (update.added.Count > 0) {
+            var tick = update.added.Last();
+            _service.report_async(new Report() {
+               HostName = _hostname,
+               Version = _version,
+               Timestamp = tick.Timestamp
+            });
+         }
+      }
+
+      public void Dispose() {
+         throw new NotImplementedException();
+      }
+   }
+}

src/client/spark/Daemons/ShellServices.cs

@@ -12,6 +12,7 @@ using bts.api.orderman;
 using bts.api.synthetic;
 using bts.api.diagnostic;
 using bts.api.admin;
+using bts.metrics;
 
 namespace Spark
 {
@@ -41,5 +42,9 @@ namespace Spark
       [Export]
       public SyntheticSecurityService synthetic_security_service => context.locate<SyntheticSecurityService>();
 
-    }
+      [Export]
+      public ShellLatencyService shell_latency_service => context.locate<ShellLatencyService>();
+
+
+   }
 }

src/client/spark/Modules/Market/MarketView/MarketViewWindow.cs

@@ -55,7 +55,7 @@ namespace mbts.spark {
                })
             ),
             SparkCommands.ShowTimeAndSales.complete(_vm.selected_securities_observable(), _ => true, secs => secs.Count > 0 ? new SecurityCriteria(secs) : _state.security_criteria),
-            SparkCommands.ShowSyntheticCreate.complete(_vm.selected_securities_observable(), secs => secs.Count > 0 && secs.Count < 3, secs => new SecurityCriteria(secs))
+            SparkCommands.ShowSyntheticCreate.complete(_vm.selected_securities_observable(), secs => secs.Count > 0 && secs.Count <= 24, secs => new SecurityCriteria(secs))
          };
          _subscriptions = _bus.subscribe(update_securities_tag).OnDispatcher().Subscribe(c =>
             _state_changed?.Invoke(_state = new MarketViewWindowFactory.StartupData(c, _vm.rows_view.GetSortingCriteria(), _vm.get_filter_states())));
@@ -67,4 +67,4 @@ namespace mbts.spark {
          Commands.OfType<IDisposable>().DisposeAll();
       }
    }
-}
+}

src/client/spark/Modules/Spreader/SyntheticManagementView.xaml

@@ -72,9 +72,9 @@
           c:DataGridFilterProperties.Filter="{Binding DataContext.security_key_filter, Source={u:DirectReference grid}}"
           c:DataGridFilterProperties.FilterActive="{Binding DataContext.security_key_filter.active, Source={u:DirectReference grid}}"
           c:DataGridFilterProperties.FilterOpen="{Binding DataContext.security_key_filter.open, Source={u:DirectReference grid}}"
-          c:DataGridFilterProperties.FilterTemplate="{StaticResource IntMinMaxTemplate}"
+          c:DataGridFilterProperties.FilterTemplate="{StaticResource RegexTemplate}"
         />
       </DataGrid.Columns>
     </c:DataGridEx>
   </Grid>
-</UserControl>
+</UserControl>

src/client/spark/Modules/Spreader/SyntheticManagementWindowFactory.cs

@@ -53,6 +53,8 @@ namespace bts.shell {
          public IntMinMaxState n_legs;
          [ProtoMember(5)]
          public UIntMinMaxState n_working_orders;
+         [ProtoMember(6)]
+         public string security_key;
       }
    }
-}
+}

src/client/spark/Modules/Spreader/VM/SyntheticEditorVM.cs

@@ -335,4 +335,4 @@ namespace mbts.spark {
          else clear_error(nameof(leg_count));
       }
    }
-}
+}

src/client/spark/Modules/Spreader/VM/SyntheticManagementDialogVM.cs

@@ -26,8 +26,9 @@ namespace mbts.spark {
             description_filter.load_state(filters.description);
             n_legs_filter.load_state(filters.n_legs);
             n_working_orders_filter.load_state(filters.n_working_orders);
+			security_key_filter.load_state(filters.security_key);
          }
-         _dispose = DataGridFilterHelper.hook_filters(rows_view, create_time_filter, name_filter, description_filter, n_legs_filter, n_working_orders_filter);
+         _dispose = DataGridFilterHelper.hook_filters(rows_view, create_time_filter, name_filter, description_filter, n_legs_filter, n_working_orders_filter, security_key_filter);
       }
 
       protected override Row row_factory((ExecutionStrategyImmutable? strategy, SecurityMD md) row_model) =>
@@ -41,6 +42,7 @@ namespace mbts.spark {
       public IDataGridColumnPersistentFilter<Row, string> description_filter { get; } = new RegexFilterVM<Row>(r => r.description, nameof(Row.description));
       public IDataGridColumnPersistentFilter<Row, IntMinMaxState> n_legs_filter { get; } = new IntMinMax<Row>(r => r.n_legs, nameof(Row.n_legs));
       public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> n_working_orders_filter { get; } = new UIntMinMax<Row>(r => r.n_working_orders, nameof(Row.n_legs));
+      public IDataGridColumnPersistentFilter<Row, string> security_key_filter { get; } = new RegexFilterVM<Row>(r => r.security_key.ToString(), nameof(Row.security_key));
 
       public FilterStates get_filter_states() =>
          new FilterStates {
@@ -48,7 +50,8 @@ namespace mbts.spark {
             create_time = create_time_filter.get_state(),
             name = name_filter.get_state(),
             n_legs = n_legs_filter.get_state(),
-            n_working_orders = n_working_orders_filter.get_state()
+            n_working_orders = n_working_orders_filter.get_state(),
+            security_key = security_key_filter.get_state()
          };
       #endregion
 
@@ -104,4 +107,4 @@ namespace mbts.spark {
             });
       }
    }
-}
+}

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

@@ -12,6 +12,7 @@ using System.Collections.ObjectModel;
 using System.Linq;
 using System.Reactive.Linq;
 using System.Windows.Data;
+using static bts.api.orderman.Fill.Types;
 using static bts.shell.FillsWindowFactory;
 using static mbts.ui.controls.DIYGrid;
 using static mbts.ui.spark.FillsView;
@@ -52,6 +53,7 @@ namespace mbts.spark {
             side_filter.load_state(filters.side);
             price_filter.load_state(filters.price);
             size_filter.load_state(filters.size);
+            fill_kind_filter.load_state(filters.fill_kind);
             fill_key_filter.load_state(filters.fill_key);
             order_key_filter.load_state(filters.order_key);
             security_key_filter.load_state(filters.security_key);
@@ -74,6 +76,7 @@ namespace mbts.spark {
          columns.Add(new SideColumn<Row, Columns>(Columns.Side, r => r.side, side_filter) { sort_member_path = nameof(Row.side) });
          add_col(Columns.Size, DefaultColumnHeaders.Size, r => r.size.ToString(), nameof(Row.size), size_filter, DataGridFilterKnownTemplates.UIntMinMax, DefaultColumnWidths.Size);
          add_col(Columns.Price, DefaultColumnHeaders.Price, r => r.format_price(r.price), nameof(Row.price), price_filter, DataGridFilterKnownTemplates.DoubleMinMax, DefaultColumnWidths.Price);
+         add_col(Columns.FillKind, "Fill Kind", r => r.fill_kind.ToString(), nameof(Row.fill_kind), fill_kind_filter, DataGridFilterKnownTemplates.DiscreteValues, 70);
          add_col(Columns.FillKey, DefaultColumnHeaders.FillKey, r => r.fill_key.ToString(), nameof(Row.fill_key), fill_key_filter, DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.FillKey);
          add_col(Columns.OrderKey, DefaultColumnHeaders.OrderKey, r => r.order_key.ToString(), nameof(Row.order_key), order_key_filter, DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.OrderKey);
          add_col(Columns.SecurityKey, DefaultColumnHeaders.SecurityKey, r => r.security_key.ToString(), nameof(Row.security_key), security_key_filter, DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.SecurityKey);
@@ -87,7 +90,7 @@ namespace mbts.spark {
          //
          _resources.Add(DataGridFilterHelper.hook_filters(rows_view,
             fill_time_filter, time_in_force_filter, order_type_filter, account_filter, user_filter, exchange_filter,
-            security_filter, side_filter, price_filter, size_filter, fill_key_filter, order_key_filter, security_key_filter
+            security_filter, side_filter, price_filter, size_filter, fill_kind_filter, fill_key_filter, order_key_filter, security_key_filter
          ));
       }
 
@@ -104,6 +107,7 @@ namespace mbts.spark {
       public IDataGridColumnPersistentFilter<Row, Side[]> side_filter { get; } = DiscreteValuesFilterVM.Create<Row, Side>(new[] { Side.Buy, Side.Sell }, r => r.side, nameof(Row.side));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> price_filter { get; } = new DoubleMinMax<Row>(r => r.price, nameof(Row.price));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> size_filter { get; } = new DoubleMinMax<Row>(r => r.size, nameof(Row.size));
+      public IDataGridColumnPersistentFilter<Row, FillKind[]> fill_kind_filter { get; } = DiscreteValuesFilterVM.Create<Row, FillKind>(EnumHelper.get_values<FillKind>().ToArray(), r => r.fill_kind, nameof(Row.fill_kind));
       public IDataGridColumnPersistentFilter<Row, string> fill_key_filter { get; } = new RegexFilterVM<Row>(r => r.fill_key, nameof(Row.fill_key));
       public IDataGridColumnPersistentFilter<Row, string> order_key_filter { get; } = new RegexFilterVM<Row>(r => r.order_key.ToString(), nameof(Row.order_key));
       public IDataGridColumnPersistentFilter<Row, string> security_key_filter { get; } = new RegexFilterVM<Row>(r => r.security_key.ToString(), nameof(Row.security_key));
@@ -120,6 +124,7 @@ namespace mbts.spark {
             side = side_filter.get_state(),
             price = price_filter.get_state(),
             size = size_filter.get_state(),
+            fill_kind = fill_kind_filter.get_state(),
             fill_key = fill_key_filter.get_state(),
             order_key = order_key_filter.get_state(),
             security_key = security_key_filter.get_state()
@@ -157,6 +162,7 @@ namespace mbts.spark {
          public Side side => _fill.Side;
          public double price => _fill.LastPrice;
          public double size => _fill.LastShares;
+         public FillKind fill_kind => _fill.FillKind;
          public string fill_key => _fill.FillKey;
          public string order_key => _order.Key.ToString();
 

src/client/spark/Modules/Trading/Fills/FillsView.xaml.cs

@@ -7,7 +7,7 @@ namespace mbts.ui.spark {
    /// Interaction logic for FillsView.xaml
    /// </summary>
    partial class FillsView : UserControl {
-      public enum Columns { FillTime, User, Account, Exchange, Security, TimeInForce, OrderType, Side, Price, Size, FillKey, OrderKey, SecurityKey, ExchangeOrderID }
+      public enum Columns { FillTime, User, Account, Exchange, Security, TimeInForce, OrderType, Side, Price, Size, FillKind, FillKey, OrderKey, SecurityKey, ExchangeOrderID }
 
       public FillsView() =>
          InitializeComponent();

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

@@ -74,6 +74,8 @@ namespace bts.shell {
          public string order_key;
          [ProtoMember(13)]
          public string security_key;
+         [ProtoMember(14)]
+         public Fill.Types.FillKind[] fill_kind;
       }
    }
 }

src/client/spark/Modules/Trading/OrderBookWindowFactory.cs

@@ -85,6 +85,8 @@ namespace bts.shell {
          public TimeFilterTuple last_change;
          [ProtoMember(18)]
          public string security_regex;
+         [ProtoMember(19)]
+         public api.orderman.OrderSubType[] order_sub_types;
       }
    }
 }

src/client/spark/Modules/Trading/PAndLWindowFactory.cs

@@ -1,6 +1,8 @@
 using bts.api;
+using bts.api.orderman;
 using bts.spark;
 using mbts.spark;
+using mbts.spark.filters;
 using mbts.ui;
 using mbts.ui.spark;
 using ProtoBuf;
@@ -20,7 +22,6 @@ namespace bts.shell {
          _dispose = bus.subscribe(SparkTags.ShowPAndLTag).OnDispatcher().Subscribe(show);
       }
 
-
       public override Task<IShellWindow> load(PAndLStartupData state) {
          var w = new PAndLWindow(_model, this, _bus, state, SparkCommands.ShowPAndL.icon) as IShellWindow;
          return Task.FromResult(w);
@@ -33,6 +34,61 @@ namespace bts.shell {
 
       [ProtoContract]
       public class PAndLStartupData {
+
+         /// <summary>
+         /// Parameterless constructor for protobuf
+         /// </summary>
+         public PAndLStartupData() { }
+
+         public PAndLStartupData(List<SortingCriteria> sorting_criteria, FilterStates filters, pnl_calc_type calc_type, TimeSpan start_of_day_time) {
+            this.sort_criteria = sorting_criteria;
+            this.filters = filters;
+            this.calc_type = calc_type;
+            this.start_of_day_time = start_of_day_time;
+         }
+
+         [ProtoMember(5)]
+         public readonly List<SortingCriteria> sort_criteria;
+         [ProtoMember(10)]
+         public FilterStates filters;
+         [ProtoMember(15)]
+         public pnl_calc_type calc_type;
+         [ProtoMember(20)]
+         public TimeSpan? start_of_day_time;
+         
+      }
+
+      [ProtoContract]
+      public class FilterStates {
+         [ProtoMember(1)]
+         public string account_regex;
+         [ProtoMember(2)]
+         public string exchange_regex;
+         [ProtoMember(3)]
+         public string symbol_regex;
+         [ProtoMember(4)]
+         public string security_regex;
+         [ProtoMember(5)]
+         public IntMinMaxState start_net_pos;
+         [ProtoMember(6)]
+         public DoubleMinMaxState start_pnl;
+         [ProtoMember(7)]
+         public UIntMinMaxState day_long_pos;
+         [ProtoMember(8)]
+         public UIntMinMaxState day_short_pos;
+         [ProtoMember(9)]
+         public DoubleMinMaxState day_pnl;
+         [ProtoMember(10)]
+         public IntMinMaxState total_net_pos;
+         [ProtoMember(11)]
+         public DoubleMinMaxState total_pnl;
+         [ProtoMember(12)]
+         public DoubleMinMaxState pnl_price;
+
+         // [ProtoMember(13)]
+         // ProtoMember 13 cannot be used further
+         [ProtoMember(14)]
+         public SecurityType[] security_types;
       }
 
    }

src/client/spark/Orders/ExistingOrderTicketVM.cs

@@ -21,10 +21,9 @@ namespace mbts.spark {
       public ExistingOrderTicketVM(OrdersModel model, IObservable<OrderRecordTuple> order_source, IObservable<int[]> calculator_buttons) {
          uint? key = null;
          var security_md_source = order_source.Where(ot => ot.security_md.HasValue).Select(ot => ot.security_md.Value);
-         var security_source = security_md_source.Select(smd => smd.security);
          //
-         _security = backing(nameof(security), security_source, SecurityDataHelper.Defaults.SecurityImmutable);
-         properties_vm = new OrderPropertiesEditorVM(model, security_source.OnDispatcher(), order_source.Select(ot => new InlineOrderProperties(model, ot.order.Def)));
+         _security = backing(nameof(security), security_md_source.Select(smd => smd.security), SecurityDataHelper.Defaults.SecurityImmutable);
+         properties_vm = new OrderPropertiesEditorVM(model, security_md_source, order_source.Select(ot => new InlineOrderProperties(model, ot.order.Def)));
          _price = backing(nameof(price), double.NaN);
          size_calculator = new CalculatorLogic(null, calculator_buttons);
          _current_price = backing(nameof(current_price), order_source.Select(ort => ort.order.State.Price));

src/client/spark/Orders/FillTupleSource.cs

@@ -90,18 +90,16 @@ namespace mbts.spark {
             HashSet<uint> changed_keys = new HashSet<uint>();
             foreach (var o in orders.removed) {
                if (_order_fills.try_lookup(o.Key, out ISet<string> fill_keys)) {
-                  IEnumerable<FillImmutable> fills = fill_keys.Select(fk => _fills_cache[fk]);
-                  SecurityMD? sec_md = _get_security_md(o.security_key());
-                  foreach (FillImmutable fill in fills) {
-                     FillTuple old_ft = new FillTuple(fill, o, sec_md);
-                     removed.Add(old_ft.key, old_ft);
-                  }
                   OrderRecordImmutable? curr_order = null;
                   if (orders.try_get(o.Key, out OrderRecordImmutable newval)) {
                      curr_order = newval;
                      changed_keys.Add(o.Key);
                   }
+                  IEnumerable<FillImmutable> fills = fill_keys.Select(fk => _fills_cache[fk]);
                   foreach (FillImmutable fill in fills) {
+                     SecurityMD? sec_md = _get_security_md(fill.SecurityKey);
+                     FillTuple old_ft = new FillTuple(fill, o, sec_md);
+                     removed.Add(old_ft.key, old_ft);
                      FillTuple new_ft = new FillTuple(fill, curr_order, sec_md);
                      added.Add(new_ft.key, new_ft);
                   }
@@ -110,8 +108,8 @@ namespace mbts.spark {
             foreach (var o in orders.added) {
                if (!changed_keys.Contains(o.Key) && _order_fills.try_lookup(o.Key, out ISet<string> fill_keys)) {
                   IEnumerable<FillImmutable> fills = fill_keys.Select(fk => _fills_cache[fk]);
-                  SecurityMD? sec_md = _get_security_md(o.security_key());
                   foreach (FillImmutable fill in fills) {
+                     SecurityMD? sec_md = _get_security_md(fill.SecurityKey);
                      FillTuple old_ft = new FillTuple(fill, null, sec_md);
                      removed.Add(old_ft.key, old_ft);
                      FillTuple new_ft = new FillTuple(fill, o, sec_md);

src/client/spark/Orders/NewOrderTicketVM.cs

@@ -47,9 +47,8 @@ namespace mbts.spark {
          IObservable<InlineOrderTicketProperties> props_source,
          IObservable<int[]> calculator_buttons
       ) {
-         var security_source = security_md_source.Select(smd => smd.security);
-         _security = backing(nameof(security), security_source, SecurityDataHelper.Defaults.SecurityImmutable);
-         properties_vm = new OrderPropertiesEditorVM(model, security_source, props_source.Select(p => p.order_props));
+         _security = backing(nameof(security), security_md_source.Select(smd => smd.security), SecurityDataHelper.Defaults.SecurityImmutable);
+         properties_vm = new OrderPropertiesEditorVM(model, security_md_source, props_source.Select(p => p.order_props));
          bbo = new BBOVM(security_md_source);
          send_order = new DelegateCommand<Side>(side => {
             bool price_valid = _validate_price(), size_valid = size_calculator.validate();

src/client/spark/Orders/OrderModificationControl.xaml.cs

@@ -24,6 +24,7 @@ namespace mbts.ui.spark {
       public DataTemplate LeanOrderTemplate { get; set; }
       public DataTemplate JoinOrderTemplate { get; set; }
       public DataTemplate TopOrderTemplate { get; set; }
+      public DataTemplate TriggerOrderTemplate { get; set; }
       public DataTemplate IcebergOrderTemplate { get; set; }
       public DataTemplate SpreaderTemplate { get; set; }
       public DataTemplate BTSStopOrderTemplate { get; set; }
@@ -41,6 +42,7 @@ namespace mbts.ui.spark {
                case CustomOrderDefinition.CustomOneofCase.Lean: return LeanOrderTemplate;
                case CustomOrderDefinition.CustomOneofCase.Join: return JoinOrderTemplate;
                case CustomOrderDefinition.CustomOneofCase.Top: return TopOrderTemplate;
+               case CustomOrderDefinition.CustomOneofCase.Trigger: return TriggerOrderTemplate;
                case CustomOrderDefinition.CustomOneofCase.Iceberg: return IcebergOrderTemplate;
                case CustomOrderDefinition.CustomOneofCase.Spreader: return SpreaderTemplate;
             }

src/client/spark/Orders/OrderPropertiesEditorVM.cs

@@ -8,7 +8,6 @@ using System.Collections.ObjectModel;
 using System.ComponentModel;
 using System.Linq;
 using System.Reactive.Linq;
-using System.Reactive.Subjects;
 
 namespace mbts.spark {
    class InlineOrderProperties {
@@ -44,8 +43,9 @@ namespace mbts.spark {
       readonly SelectorProperty<IOrderTypeVM> _order_type;
       IDisposable _order_type_param_errors_sub;
 
-      public OrderPropertiesEditorVM(OrdersModel model, IObservable<SecurityImmutable> security_source, IObservable<InlineOrderProperties> order_properties) {
+      public OrderPropertiesEditorVM(OrdersModel model, IObservable<SecurityMD> security_md_source, IObservable<InlineOrderProperties> order_properties) {
          _model = model;
+         var security_source = security_md_source.Select(smd => smd.security);
          _security = backing(nameof(security), security_source.OnDispatcher(), SecurityDataHelper.Defaults.SecurityImmutable);
          // guarentee that "this.security" will always be set before observers are notified
          // this is important bc some observers will reference "this.security" in their callbacks
@@ -75,7 +75,7 @@ namespace mbts.spark {
           _dispose = Disposable.Create(() => _order_type.Changed -= on_selected_order_type_changed);
          // local methods
          IOrderTypeVM create_order_type_vm(CustomOrderDefinitionImmutable cd) {
-            var vm = OrderTypeVMFactory.create(cd.CustomCase, model, security_source);
+            var vm = OrderTypeVMFactory.create(cd.CustomCase, model, security_md_source);
             vm.load_from(cd);
             return vm;
          }
@@ -136,6 +136,7 @@ namespace mbts.spark {
       protected override void Dispose(bool disposing) {
          base.Dispose(disposing);
          Disposable.dispose(ref _order_type_param_errors_sub);
+         _order_type.items.OfType<IDisposable>().DisposeAll();
       }
    } 
 }

src/client/spark/Orders/OrderTypeVMs/IcebergOrderVM.cs

@@ -26,7 +26,7 @@ namespace mbts.spark {
       }
 
       class IcebergOrderVM : OrderTypeVMBase<IcebergOrderDefinition>, IHierarchicalOrderTypeVM, IDisposable {
-         readonly IObservable<SecurityImmutable> _security_source;
+         readonly IObservable<SecurityMD> _security_md_source;
          SecurityImmutable? _security;
          ObservableCollection<CustomOneofCase> _order_types = new ObservableCollection<CustomOneofCase>();
          ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase> _child_order_choices;
@@ -34,18 +34,18 @@ namespace mbts.spark {
          IOrderTypeVM _child_order;
          IDisposable _dispose, _child_order_errors_sub;
 
-         public IcebergOrderVM(OrdersModel model, IObservable<SecurityImmutable> security_source)
-            : this(model, security_source, security_source.Select(s =>
-            new InlineIcebergOrderProperties(model.factory.default_order_type(s), model.factory.default_order_types(s).ToList()))) { }
+         public IcebergOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source)
+            : this(model, security_md_source, security_md_source.Select(smd =>
+            new InlineIcebergOrderProperties(model.factory.default_order_type(smd.security), model.factory.default_order_types(smd.security).ToList()))) { }
 
          public IcebergOrderVM(OrdersModel model,
-            IObservable<SecurityImmutable> security_source,
+            IObservable<SecurityMD> security_md_source,
             IObservable<InlineIcebergOrderProperties> inline_properties)
             : base(model) {
-            _security_source = security_source;
+            _security_md_source = security_md_source;
             _dispose = Disposable.Create(
-               security_source.OnDispatcher()
-               .Subscribe(s => _security = s),
+               security_md_source.OnDispatcher()
+               .Subscribe(smd => _security = smd.security),
                inline_properties.OnDispatcher()
                .Subscribe(p => {
                   if (_order_types.Count == 0 || p.child_order_types.force_override) {
@@ -68,7 +68,7 @@ namespace mbts.spark {
          public ICollection<IOrderTypeVM> child_order_types {
             get {
                if (_child_order_choices == null) {
-                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_source));
+                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_md_source));
                }
                return _child_order_choices;
             }

src/client/spark/Orders/OrderTypeVMs/JoinOrderVM.cs

@@ -53,7 +53,7 @@ namespace mbts.spark
 
       class JoinOrderVM : OrderTypeVMBase<JoinOrderDefinition>, IHierarchicalOrderTypeVM, IDisposable 
       {
-         readonly IObservable<SecurityImmutable> _security_source;
+         readonly IObservable<SecurityMD> _security_md_source;
          SecurityImmutable? _security;
          ObservableCollection<CustomOneofCase> _order_types = new ObservableCollection<CustomOneofCase>();
          ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase> _child_order_choices;
@@ -79,17 +79,17 @@ namespace mbts.spark
          } 
          public int hedge_ticks { get; set; } = 1;
 
-         public JoinOrderVM(OrdersModel model, IObservable<SecurityImmutable> security_source)
-            : this(model, security_source, security_source.Select(s =>
-            new InlineJoinOrderProperties(model.factory.default_order_type(s), model.factory.default_order_types(s).ToList()))) { }
+         public JoinOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source)
+            : this(model, security_md_source, security_md_source.Select(smd =>
+            new InlineJoinOrderProperties(model.factory.default_order_type(smd.security), model.factory.default_order_types(smd.security).ToList()))) { }
 
-         public JoinOrderVM(OrdersModel model, IObservable<SecurityImmutable> security_source,
+         public JoinOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source,
                             IObservable<InlineJoinOrderProperties> inline_properties) : base(model) 
          {
-            _security_source = security_source;
+            _security_md_source = security_md_source;
             _dispose = Disposable.Create(
-               security_source.OnDispatcher()
-               .Subscribe(s => _security = s),
+               security_md_source.OnDispatcher()
+               .Subscribe(smd => _security = smd.security),
                inline_properties.OnDispatcher()
                .Subscribe(p => {
                   if (_order_types.Count == 0 || p.child_order_types.force_override) 
@@ -157,7 +157,7 @@ namespace mbts.spark
             get 
             {
                if (_child_order_choices == null) 
-                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_source));
+                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_md_source));
                return _child_order_choices;
             }
          }
@@ -167,7 +167,7 @@ namespace mbts.spark
             get
             {
                if (_hedge_order_choices == null)
-                  _hedge_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_source));
+                  _hedge_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_md_source));
                return _hedge_order_choices;
             }
          }         

src/client/spark/Orders/OrderTypeVMs/LeanOrderVM.cs

@@ -35,7 +35,7 @@ namespace mbts.spark
 
       class LeanOrderVM : OrderTypeVMBase<LeanOrderDefinition>, IHierarchicalOrderTypeVM, IDisposable 
       {
-         readonly IObservable<SecurityImmutable> _security_source;
+         readonly IObservable<SecurityMD> _security_md_source;
          SecurityImmutable? _security;
          ObservableCollection<CustomOneofCase> _order_types = new ObservableCollection<CustomOneofCase>();
          ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase> _child_order_choices;
@@ -46,17 +46,17 @@ namespace mbts.spark
          public bts.spark.QuantityMeasure cross_threshold { get; set; } = new bts.spark.QuantityMeasure() { Ratio = 1.0, Absolute = 1 };
          public uint max_chase_ticks { get; set; } = 10;
 
-         public LeanOrderVM(OrdersModel model, IObservable<SecurityImmutable> security_source)
-            : this(model, security_source, security_source.Select(s =>
-            new InlineLeanOrderProperties(model.factory.default_order_type(s), model.factory.default_order_types(s).ToList()))) { }
+         public LeanOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source)
+            : this(model, security_md_source, security_md_source.Select(smd =>
+            new InlineLeanOrderProperties(model.factory.default_order_type(smd.security), model.factory.default_order_types(smd.security).ToList()))) { }
 
-         public LeanOrderVM(OrdersModel model, IObservable<SecurityImmutable> security_source,
+         public LeanOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source,
                             IObservable<InlineLeanOrderProperties> inline_properties) : base(model) 
          {
-            _security_source = security_source;
+            _security_md_source = security_md_source;
             _dispose = Disposable.Create(
-               security_source.OnDispatcher()
-               .Subscribe(s => _security = s),
+               security_md_source.OnDispatcher()
+               .Subscribe(smd => _security = smd.security),
                inline_properties.OnDispatcher()
                .Subscribe(p => {
                   if (_order_types.Count == 0 || p.child_order_types.force_override) 
@@ -104,7 +104,7 @@ namespace mbts.spark
             get 
             {
                if (_child_order_choices == null) 
-                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_source));
+                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_md_source));
                return _child_order_choices;
             }
          }

src/client/spark/Orders/OrderTypeVMs/OrderTypeVMFactory.cs

@@ -4,6 +4,7 @@ using bts.spark;
 using mbts.spark.utilities;
 using mbts.ui.shell;
 using System;
+using System.Reactive.Linq;
 using System.Windows.Input;
 using static bts.api.orderman.CustomOrderDefinition;
 
@@ -12,31 +13,30 @@ namespace mbts.spark {
       public static IOrderTypeVM market(OrdersModel model) => new MarketOrderVM(model);
       public static IOrderTypeVM limit(OrdersModel model) => new LimitOrderVM(model);
       public static IOrderTypeVM stop(OrdersModel model) => new StopOrderVM(model);
-      public static IOrderTypeVM stop_limit(OrdersModel model) => new StopLimitOrderVM(model);
-      public static IOrderTypeVM time_box(OrdersModel model, IObservable<SecurityImmutable> security_source) => new TimeBoxOrderVM(model, security_source);
-      public static IOrderTypeVM tick(OrdersModel model, IObservable<SecurityImmutable> security_source) => new TickOrderVM(model, security_source);
-      public static IOrderTypeVM lean(OrdersModel model, IObservable<SecurityImmutable> security_source) => new LeanOrderVM(model, security_source);
-      public static IOrderTypeVM join(OrdersModel model, IObservable<SecurityImmutable> security_source) => new JoinOrderVM(model, security_source);
-      public static IOrderTypeVM top(OrdersModel model, IObservable<SecurityImmutable> security_source) => new TopOrderVM(model, security_source);
-      public static IOrderTypeVM iceberg(OrdersModel model, IObservable<SecurityImmutable> security_source) => new IcebergOrderVM(model, security_source);
+      public static IOrderTypeVM stop_limit(OrdersModel model, IObservable<SecurityMD> security_md_source) => new StopLimitOrderVM(model, security_md_source);
+      public static IOrderTypeVM time_box(OrdersModel model, IObservable<SecurityMD> security_md_source) => new TimeBoxOrderVM(model, security_md_source);
+      public static IOrderTypeVM tick(OrdersModel model, IObservable<SecurityMD> security_md_source) => new TickOrderVM(model, security_md_source);
+      public static IOrderTypeVM lean(OrdersModel model, IObservable<SecurityMD> security_md_source) => new LeanOrderVM(model, security_md_source);
+      public static IOrderTypeVM join(OrdersModel model, IObservable<SecurityMD> security_md_source) => new JoinOrderVM(model, security_md_source);
+      public static IOrderTypeVM top(OrdersModel model, IObservable<SecurityMD> security_md_source) => new TopOrderVM(model, security_md_source);
+      public static IOrderTypeVM trigger(OrdersModel model, IObservable<SecurityMD> security_md_source) => new TriggerOrderVM(model, security_md_source);
+      public static IOrderTypeVM iceberg(OrdersModel model, IObservable<SecurityMD> security_md_source) => new IcebergOrderVM(model, security_md_source);
       public static IOrderTypeVM spreader(OrdersModel model, IObservable<SecurityImmutable> security_source) => new SpreaderOrderVM(model, security_source);
 
-      static Func<CustomOneofCase, IOrderTypeVM> _get_factory(OrdersModel orders_model, IObservable<SecurityImmutable> security_source) =>
-         new Func<CustomOneofCase, IOrderTypeVM>(ot => create(ot, orders_model, security_source));
-
-      public static IOrderTypeVM create(CustomOneofCase order_type, OrdersModel model, IObservable<SecurityImmutable> security_source) {
+      public static IOrderTypeVM create(CustomOneofCase order_type, OrdersModel model, IObservable<SecurityMD> security_md_source) {
          switch (order_type) {
             case CustomOneofCase.Market: return market(model);
             case CustomOneofCase.Limit: return limit(model);
             case CustomOneofCase.Stop: return stop(model);
-            case CustomOneofCase.StopLimit: return stop_limit(model);
-            case CustomOneofCase.TimeBox: return time_box(model, security_source);
-            case CustomOneofCase.Tick: return tick(model, security_source);
-            case CustomOneofCase.Lean: return lean(model, security_source);
-            case CustomOneofCase.Join: return join(model, security_source);
-            case CustomOneofCase.Top: return top(model, security_source);
-            case CustomOneofCase.Iceberg: return iceberg(model, security_source);
-            case CustomOneofCase.Spreader: return spreader(model, security_source);
+            case CustomOneofCase.StopLimit: return stop_limit(model, security_md_source);
+            case CustomOneofCase.TimeBox: return time_box(model, security_md_source);
+            case CustomOneofCase.Tick: return tick(model, security_md_source);
+            case CustomOneofCase.Lean: return lean(model, security_md_source);
+            case CustomOneofCase.Join: return join(model, security_md_source);
+            case CustomOneofCase.Top: return top(model, security_md_source);
+            case CustomOneofCase.Trigger: return trigger(model, security_md_source);
+            case CustomOneofCase.Iceberg: return iceberg(model, security_md_source);
+            case CustomOneofCase.Spreader: return spreader(model, security_md_source.Select(smd => smd.security));
             default: throw new NotImplementedException();
          }
       }

src/client/spark/Orders/OrderTypeVMs/StopLimitOrderVM.cs

@@ -1,18 +1,61 @@
 using bts.api;
 using bts.api.orderman;
-using mbts.spark.utilities;
-using mbts.utils;
+using mbts.co2;
+using mbts.ui;
+using System;
+using System.Reactive.Linq;
+
 namespace mbts.spark {
    static partial class OrderTypeVMFactory {
-      private class StopLimitOrderVM : OrderTypeVMBase<StopLimitOrderDefinition> {
-         double _stop_price = 0;
+      class InlineStopLimitOrderProperties {
+         readonly Func<InlineUserProperty<double>> _get_stop_price;
 
-         internal StopLimitOrderVM(OrdersModel model) : base(model) { }
+         public static IObservable<InlineStopLimitOrderProperties> subscribe(IObservable<SecurityMD> security_md_source) {
+            ulong time = 0;
+            return security_md_source.Select(smd => new InlineStopLimitOrderProperties(() => {
+               smd.md.get_bbo(ref time, out NativePriceSize bid, out NativePriceSize ask);
+               return new InlineUserProperty<double>(bid.price);
+            }));
+         }
+
+         public InlineStopLimitOrderProperties(Func<InlineUserProperty<double>> get_stop_price) =>
+            _get_stop_price = get_stop_price;
+
+         public InlineUserProperty<double> stop_price => _get_stop_price();
+      }
+
+      private class StopLimitOrderVM : OrderTypeVMBase<StopLimitOrderDefinition>, IDisposable {
+         UserProperty<double> _stop_price;
+         InlineStopLimitOrderProperties _inline_props;
+         IDisposable _dispose;
+
+         internal StopLimitOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source)
+            : this(model, security_md_source.Select(smd => smd.security.spec_or_default()), InlineStopLimitOrderProperties.subscribe(security_md_source)) { }
+
+         internal StopLimitOrderVM(OrdersModel model, IObservable<ContractSpecificationImmutable> spec_source, IObservable<InlineStopLimitOrderProperties> inline_properties) : base(model) {
+            _stop_price = new UserProperty<double>(backing(nameof(stop_price), double.NaN));
+            _dispose = Disposable.Create(
+               spec_source.OnDispatcher().Subscribe(s => {
+                  spec = s;
+                  RaisePropertyChanged(nameof(spec));
+               }), inline_properties.OnDispatcher().Subscribe(p => _inline_props = p));
+         }
+
+         public override bool editable_properties_open {
+            get => base.editable_properties_open;
+            set {
+               if (value) {
+                  if (_update_inline_props())
+                     _validate();
+               }
+               base.editable_properties_open = value;
+            }
+         }
 
          public double stop_price {
-            get => _stop_price;
+            get => _stop_price.Value;
             set {
-               _stop_price = value;
+               _stop_price.Value = value;
                _validate();
             }
          }
@@ -21,6 +64,8 @@ namespace mbts.spark {
             SecurityDataHelper.Defaults.ContractSpecificationImmutable;
 
          public override void assign_to(CustomOrderDefinition value) {
+            _update_inline_props();
+            _validate();
             if (!HasErrors) {
                var sl = factory.stop_limit_order();
                sl.StopPrice = stop_price;
@@ -28,9 +73,22 @@ namespace mbts.spark {
             }
          }
 
+         public void Dispose() => Disposable.dispose(ref _dispose);
+
+         // no need to constantly poll the md, just check the inline props when the popup opens, and right before sending an order
+         // (if the user never looks at the popup, assume that the bid_price will be used)
+         // TODO: add settings so the trigger-price can default to something relative to the md, e.g "bid-price" or "ask-price - nticks" or "best-bid-price with a minimum size of 10"
+         bool _update_inline_props() {
+            var inline_stop_price = _inline_props.stop_price;
+            if (inline_stop_price.has_value && (inline_stop_price.force_override || !_stop_price.setter_called)) {
+               _stop_price.bypass_setter(inline_stop_price.value);
+               return true;
+            } else return false;
+         }
+
          void _validate() {
             using (validation())
-               validation_assert(!DoubleHelper.IsNaNOrInfinity(_stop_price), string.Empty, nameof(stop_price));
+               validation_assert(!DoubleHelper.IsNaNOrInfinity(stop_price), string.Empty, nameof(stop_price));
          }
       }
    }

src/client/spark/Orders/OrderTypeVMs/TickOrderVM.cs

@@ -41,7 +41,7 @@ namespace mbts.spark
 
       class TickOrderVM : OrderTypeVMBase<TickOrderDefinition>, IHierarchicalOrderTypeVM, IDisposable 
       {
-         readonly IObservable<SecurityImmutable> _security_source;
+         readonly IObservable<SecurityMD> _security_md_source;
          SecurityImmutable? _security;
          ObservableCollection<CustomOneofCase> _order_types = new ObservableCollection<CustomOneofCase>();
          ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase> _child_order_choices;
@@ -55,17 +55,17 @@ namespace mbts.spark
          public uint max_chase_ticks { get; set; } = 10;
          public bool detach_on_toward { get; set; } = true;         
 
-         public TickOrderVM(OrdersModel model, IObservable<SecurityImmutable> security_source)
-            : this(model, security_source, security_source.Select(s =>
-            new InlineTickOrderProperties(model.factory.default_order_type(s), model.factory.default_order_types(s).ToList()))) { }
+         public TickOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source)
+            : this(model, security_md_source, security_md_source.Select(smd =>
+            new InlineTickOrderProperties(model.factory.default_order_type(smd.security), model.factory.default_order_types(smd.security).ToList()))) { }
 
-         public TickOrderVM(OrdersModel model, IObservable<SecurityImmutable> security_source,
+         public TickOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source,
                             IObservable<InlineTickOrderProperties> inline_properties) : base(model) 
          {
-            _security_source = security_source;
+            _security_md_source = security_md_source;
             _dispose = Disposable.Create(
-               security_source.OnDispatcher()
-               .Subscribe(s => _security = s),
+               security_md_source.OnDispatcher()
+               .Subscribe(smd => _security = smd.security),
                inline_properties.OnDispatcher()
                .Subscribe(p => {
                   if (_order_types.Count == 0 || p.child_order_types.force_override) 
@@ -131,7 +131,7 @@ namespace mbts.spark
             get 
             {
                if (_child_order_choices == null) 
-                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_source));
+                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_md_source));
                return _child_order_choices;
             }
          }

src/client/spark/Orders/OrderTypeVMs/TimeBoxOrderVM.cs

@@ -28,7 +28,7 @@ namespace mbts.spark {
 
       class TimeBoxOrderVM : OrderTypeVMBase<TimeBoxOrderDefinition>, IHierarchicalOrderTypeVM, IDisposable {
          const double _start_immediately_delay_ms = 500;
-         readonly IObservable<SecurityImmutable> _security_source;
+         readonly IObservable<SecurityMD> _security_md_source;
          SecurityImmutable? _security;
          ObservableCollection<CustomOneofCase> _order_types = new ObservableCollection<CustomOneofCase>();
          ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase> _child_order_choices;
@@ -40,18 +40,18 @@ namespace mbts.spark {
          IOrderTypeVM _child_order;
          IDisposable _dispose, _child_order_errors_sub;
 
-         public TimeBoxOrderVM(OrdersModel model, IObservable<SecurityImmutable> security_source)
-            : this(model, security_source, security_source.Select(s =>
-            new InlineTimeBoxOrderProperties(model.factory.default_order_type(s), model.factory.default_order_types(s).ToList()))) { }
+         public TimeBoxOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source)
+            : this(model, security_md_source, security_md_source.Select(smd =>
+            new InlineTimeBoxOrderProperties(model.factory.default_order_type(smd.security), model.factory.default_order_types(smd.security).ToList()))) { }
 
          public TimeBoxOrderVM(OrdersModel model,
-            IObservable<SecurityImmutable> security_source,
+            IObservable<SecurityMD> security_md_source,
             IObservable<InlineTimeBoxOrderProperties> inline_properties)
             : base(model) {
-            _security_source = security_source;
+            _security_md_source = security_md_source;
             _dispose = Disposable.Create(
-               security_source.OnDispatcher()
-               .Subscribe(s => _security = s),
+               security_md_source.OnDispatcher()
+               .Subscribe(smd => _security = smd.security),
                inline_properties.OnDispatcher()
                .Subscribe(p => {
                   if (_order_types.Count == 0 || p.child_order_types.force_override) {
@@ -94,7 +94,7 @@ namespace mbts.spark {
          public ICollection<IOrderTypeVM> child_order_types {
             get {
                if (_child_order_choices == null) {
-                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_source));
+                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_md_source));
                }
                return _child_order_choices;
             }

src/client/spark/Orders/OrderTypeVMs/TopOrderVM.cs

@@ -51,7 +51,7 @@ namespace mbts.spark
 
       class TopOrderVM : OrderTypeVMBase<TopOrderDefinition>, IHierarchicalOrderTypeVM, IDisposable
       {
-         readonly IObservable<SecurityImmutable> _security_source;
+         readonly IObservable<SecurityMD> _security_md_source;
          SecurityImmutable? _security;
          ObservableCollection<CustomOneofCase> _order_types = new ObservableCollection<CustomOneofCase>();
          ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase> _child_order_choices;
@@ -77,18 +77,18 @@ namespace mbts.spark
          }
          public int hedge_ticks { get; set; } = 1;
 
-         public TopOrderVM(OrdersModel model, IObservable<SecurityImmutable> security_source)
-            : this(model, security_source, security_source.Select(s =>
-            new InlineTopOrderProperties(model.factory.default_order_type(s), model.factory.default_order_types(s).ToList())))
+         public TopOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source)
+            : this(model, security_md_source, security_md_source.Select(smd =>
+            new InlineTopOrderProperties(model.factory.default_order_type(smd.security), model.factory.default_order_types(smd.security).ToList())))
          { }
 
-         public TopOrderVM(OrdersModel model, IObservable<SecurityImmutable> security_source,
+         public TopOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source,
                             IObservable<InlineTopOrderProperties> inline_properties) : base(model)
          {
-            _security_source = security_source;
+            _security_md_source = security_md_source;
             _dispose = Disposable.Create(
-               security_source.OnDispatcher()
-               .Subscribe(s => _security = s),
+               security_md_source.OnDispatcher()
+               .Subscribe(smd => _security = smd.security),
                inline_properties.OnDispatcher()
                .Subscribe(p =>
                {
@@ -157,7 +157,7 @@ namespace mbts.spark
             get
             {
                if (_child_order_choices == null)
-                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_source));
+                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_md_source));
                return _child_order_choices;
             }
          }
@@ -167,7 +167,7 @@ namespace mbts.spark
             get
             {
                if (_hedge_order_choices == null)
-                  _hedge_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_source));
+                  _hedge_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_md_source));
                return _hedge_order_choices;
             }
          }

src/client/spark/Orders/OrderTypeVMs/TriggerOrderVM.cs

@@ -0,0 +1,194 @@
+using bts.api;
+using bts.api.orderman;
+using mbts.ui;
+using mbts.ui.utility;
+using mbts.utils;
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.ComponentModel;
+using System.Linq;
+using System.Reactive.Linq;
+using static bts.api.orderman.CustomOrderDefinition;
+
+namespace mbts.spark 
+{
+   static partial class OrderTypeVMFactory 
+   {
+      class InlineTriggerOrderProperties 
+      {
+         public InlineTriggerOrderProperties (CustomOneofCase selected_child_order_type, IReadOnlyCollection<CustomOneofCase> child_order_types) 
+         {
+            ExceptionAssert.InvalidOperation.That(child_order_types.Contains(selected_child_order_type), $"Child order type {selected_child_order_type} is not in child_order_types");
+            this.selected_child_order_type = new InlineUserProperty<CustomOneofCase>(selected_child_order_type, true);
+            this.child_order_types = new InlineUserProperty<IReadOnlyCollection<CustomOneofCase>>(child_order_types, true);
+
+            trigger_price_type = new InlineUserProperty<TriggerPriceType>(TriggerPriceType.Bid, false);
+            order_price = new InlineUserProperty<double>(double.NaN, true);
+         }
+         public readonly InlineUserProperty<CustomOneofCase> selected_child_order_type;
+         public readonly InlineUserProperty<IReadOnlyCollection<CustomOneofCase>> child_order_types;
+         
+         public readonly InlineUserProperty<TriggerPriceType> trigger_price_type;
+         public readonly InlineUserProperty<double> order_price;
+      }
+
+      class TriggerOrderVM : OrderTypeVMBase<TriggerOrderDefinition>, IHierarchicalOrderTypeVM, IDisposable 
+      {
+         readonly IObservable<SecurityMD> _security_md_source;
+         SecurityImmutable? _security;
+         ObservableCollection<CustomOneofCase> _order_types = new ObservableCollection<CustomOneofCase>();
+         ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase> _child_order_choices;
+         InlineTriggerOrderProperties _inline_props;
+         IOrderTypeVM _child_order;
+         IDisposable _dispose, _child_order_errors_sub;
+
+         public TriggerPriceType trigger_price_type { get; set; } = TriggerPriceType.Bid;
+         public double order_price { get; set; } = double.NaN;
+
+         public TriggerOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source)
+            : this(model, security_md_source, security_md_source.Select(smd =>
+              new InlineTriggerOrderProperties(model.factory.default_order_type(smd.security), model.factory.default_order_types(smd.security).ToList()))) { }
+
+         public TriggerOrderVM(OrdersModel model, IObservable<SecurityMD> security_md_source,
+                               IObservable<InlineTriggerOrderProperties> inline_properties) : base(model) 
+         {
+            _security_md_source = security_md_source;
+            _dispose = Disposable.Create(
+               security_md_source.OnDispatcher()
+               .Subscribe(smd => _security = smd.security),
+               inline_properties.OnDispatcher()
+               .Subscribe(p => {
+                  if (_order_types.Count == 0 || p.child_order_types.force_override) 
+                  {
+                     _order_types.SetItems(p.child_order_types.value);
+                  }
+                  if (_child_order_choices != null && (_child_order == null || p.selected_child_order_type.force_override)) 
+                  {
+                     _select_child_order(p.selected_child_order_type.value);
+                  }                  
+                  if (p.trigger_price_type.force_override) 
+                  {
+                     trigger_price_type = p.trigger_price_type.value;
+                     RaisePropertyChanged(nameof(trigger_price_type));
+                  }
+                  if (p.order_price.force_override)
+                  {
+                     order_price = p.order_price.value;
+                     RaisePropertyChanged(nameof(order_price));
+                  }                                                                
+                  _inline_props = p;
+                  _validate();
+               })
+            );
+            _validate();
+         }
+
+         public IEnumerable<TriggerPriceType> trigger_price_types  => EnumHelper.get_values_except<TriggerPriceType>(TriggerPriceType.LastTradePrice);
+         
+         public override void assign_to(CustomOrderDefinition value) 
+         {
+            if (_child_order == null)
+               _select_child_order(model.factory.default_order_type(_security.Value, true));
+            _validate();
+            if (!HasErrors) 
+            {
+               var i = factory.trigger_order();
+               i.TriggerCondition = new TriggerCondition()
+               {
+                  PriceType = trigger_price_type,
+                  AbsolutePriceTrigger = new AbsolutePriceTrigger() { TriggerQuantity = new TriggerQuantity() }
+               };
+               i.TriggerAction = new TriggerAction()
+               {
+                  Price = order_price,
+                  SecurityId = _security.Value.Id
+               };
+               child_order.assign_to(i.Child);
+               value.Trigger = i;
+            }
+         }         
+         
+         public double price_tick
+         {
+            get { return _security.Value.ContractSpec.LowTick; }
+         }
+         
+         public ContractSpecificationImmutable spec
+         {
+            get { return _security.Value.ContractSpec; } 
+         }
+
+         public ICollection<IOrderTypeVM> child_order_types 
+         {
+            get 
+            {
+               if (_child_order_choices == null) 
+                  _child_order_choices = new ObservableAutoWrapper<IOrderTypeVM, CustomOneofCase>(_order_types, ot => create(ot, model, _security_md_source));
+               return _child_order_choices;
+            }
+         }
+ 
+         public IOrderTypeVM child_order 
+         {
+            get 
+            {
+               init();
+               return _child_order;
+            }
+            set 
+            {
+               Disposable.dispose(ref _child_order_errors_sub);
+               _child_order = value;
+               _child_order?.init();
+               if (_child_order is INotifyDataErrorInfo ndei) 
+               {
+                  ndei.ErrorsChanged += on_errors_changed;
+                  void on_errors_changed(object s, DataErrorsChangedEventArgs e) =>
+                     _validate();
+                  _child_order_errors_sub = Disposable.Create(() => ndei.ErrorsChanged -= on_errors_changed);
+               }
+               _validate();
+               RaisePropertyChanged(nameof(child_order));
+            }
+         }         
+
+         public void Dispose() 
+         {
+            Disposable.dispose(ref _dispose);
+            if (_child_order_choices != null)
+               _child_order_choices.OfType<IDisposable>().DisposeAll();
+         }
+
+         public override void init() 
+         {
+            if (_child_order == null && _security.HasValue)
+               _select_child_order();
+            _validate();
+         }
+
+         void _select_child_order() 
+         {
+            CustomOneofCase ot = _inline_props != null && _inline_props.selected_child_order_type.has_value ?
+               _inline_props.selected_child_order_type.value :
+               model.factory.default_order_type(_security.Value, true);
+            _select_child_order(ot);
+         }
+
+         void _select_child_order(CustomOneofCase ot) 
+         {
+            _child_order = child_order_types.FirstOrDefault(vm => vm.order_type == ot);
+            if (_child_order == null)
+               _child_order = child_order_types.FirstOrDefault();
+            RaisePropertyChanged(nameof(child_order));
+         }
+
+         void _validate() 
+         {
+            if (_child_order == null || (_child_order is INotifyDataErrorInfo ndei && ndei.HasErrors))
+               set_error(nameof(child_order), string.Empty, true);
+            else clear_error(nameof(child_order));
+         }
+      }
+   }
+}

src/client/spark/Orders/OrdersModel.cs

@@ -42,6 +42,7 @@ namespace mbts.spark {
          _dispose = Disposable.Create(
             on_orders.Subscribe(_security_orders_demuxer),
             _bus.subscribe(SparkTags.CreateOrder).Subscribe(a => send_order(a.definition, a.price, a.size).ignore()),
+            _bus.subscribe(SparkTags.RecreateOrder).Subscribe(a => a.ForEach( x => send_order(x.definition, x.price, x.size).ignore())),
             _bus.subscribe(SparkTags.CancelOrders).Subscribe(x => cancel_orders(x).ignore()),
             _bus.subscribe(SparkTags.CrackOrders).Subscribe(x => crack_orders(x).ignore()),
             _bus.subscribe(SparkTags.UpdateOrder).Subscribe(x => this.update_order(x.key, x.price, x.size).ignore())

src/client/spark/Tests/api/Test/ApiTests.cs

@@ -177,9 +177,9 @@ namespace mbts.api.Test {
 
 
    class ApiTestsNativeMethods {
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern IntPtr apitest_start_apitest_service(IntPtr context);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void apitest_stop_apitest_service(IntPtr server);
 
    }

src/client/spark/core/Bus/SparkCommands.cs

@@ -102,5 +102,7 @@ namespace bts.spark
          SparkCommand.create("Cancel Sells", Icons.CancelSells, SparkTags.CancelOrders);
       public static PartialCommand<uint> ShowModifyOrder =>
          SparkCommand.create("Modify", Icons.ModifyOrder, SparkTags.ShowModifyOrderTag);
+      public static PartialCommand<IEnumerable<(OrderDefinitionImmutable, double, uint)>> RecreateSelectedOrders =>
+         SparkCommand.create("Recreate", Icons.Beaker, SparkTags.RecreateOrder);
    }
 }

src/client/spark/core/Bus/SparkTags.cs

@@ -19,6 +19,8 @@ namespace mbts.spark
 
       #region Order
       public static ITag<(OrderDefinitionImmutable definition, double price, uint size)> CreateOrder { get; } = new SparkTag<(OrderDefinitionImmutable, double, uint)>();
+      public static ITag<IEnumerable<(OrderDefinitionImmutable definition, double price, uint size)>> RecreateOrder { get; } = new SparkTag<IEnumerable<(OrderDefinitionImmutable, double, uint)>>();
+
       public static ITag<IEnumerable<uint>> CancelOrders { get; } = new SparkTag<IEnumerable<uint>>();
       public static ITag<IEnumerable<uint>> CrackOrders { get; } = new SparkTag<IEnumerable<uint>>();
       public static ITag<(uint key, double price, uint size)> UpdateOrder { get; } = new SparkTag<(uint, double, uint)>();
@@ -67,9 +69,11 @@ namespace mbts.spark
       public static ITag<SecurityCriteria> ShowTimeAndSalesTag { get; } = new SparkTag<SecurityCriteria>("Show TimeAndSales");
       #endregion
 
-      #region Persist
-      public static ITag<PersistMessage> PersistCommandTag { get; } = new SparkTag<PersistMessage>("PersistCommandTag");
-      public static ITag<PersistedItems> PersistedItemsTag { get; } = new SparkTag<PersistedItems>("PersistedItemsTag");
+      #region Ladder
+      public static ITag<Nothing> RequestRecenterLadder { get; } = new SparkTag<Nothing>(nameof(RequestRecenterLadder));
+      public static ITag<DateTime> RecenterLadderBegin { get; } = new SparkTag<DateTime>(nameof(RecenterLadderBegin));
+      public static ITag<DateTime> RecenterLadderNow { get; } = new SparkTag<DateTime>(nameof(RecenterLadderNow));
+
       #endregion
 
       public static ITag<uint> SyntheticDeleteTag { get; } = new SparkTag<uint>(nameof(SyntheticDeleteTag));

src/client/spark/core/Diagnostics/ShellDiagnosticsServiceServer.cs

@@ -6,6 +6,7 @@ using System.Reflection;
 using System.Text;
 using System.Threading;
 using System.Threading.Tasks;
+using System.Windows.Threading;
 using bts.api.core;
 using IronPython.Runtime.Types;
 using mbts;
@@ -49,6 +50,9 @@ namespace bts.api.diagnostic {
       readonly StringBuilder _pending = new StringBuilder();
       readonly OutputPublisher _out;
 
+      readonly Thread _thread;
+      Dispatcher _dispatcher;
+
       public ShellScriptServer(ServiceContext context, ShellDiagnosticsServiceServer parent, string qualifier) : base(context, qualifier) {
          _parent = parent;
          _out = make_output_publisher();
@@ -59,11 +63,19 @@ namespace bts.api.diagnostic {
          _scope.SetVariable("shell_objects", new Func<object,object>(o => get_exports(o,null)));
          _scope.SetVariable("shell_named_object", new Func<object,string,object>(get_export));
          _scope.SetVariable("shell_named_objects", new Func<object,string,object>(get_exports));
+
+         _thread = new Thread(_ => {
+            _dispatcher = Dispatcher.CurrentDispatcher;
+            Thread.CurrentThread.Name = $"ShellScriptServer-{qualifier}";
+            Dispatcher.Run();
+         });
       }
 
+
       public override Task<VoidMessage> dispose(VoidMessage request) {
          log("Finished", true);
          _parent.terminate(this);
+         _dispatcher.BeginInvokeShutdown(DispatcherPriority.ApplicationIdle);
          return Task.FromResult(new VoidMessage());
       }
 
@@ -124,45 +136,58 @@ namespace bts.api.diagnostic {
          });
       }
 
-      Task<ScriptResultMessage> run_code(ScriptSource code) {
+      ScriptResultMessage run_code(ScriptSource code) {
          try {
             object result = code.Execute(_scope);
-            return Task.FromResult(new ScriptResultMessage { Res = ScriptResult.Complete, Message = (result?.ToString()) ?? "" });
+            return new ScriptResultMessage { Res = ScriptResult.Complete, Message = (result?.ToString()) ?? "" };
          }
          catch (Exception e) {
             //log($"Exception: {e.Message}");
-            return Task.FromResult(new ScriptResultMessage { Res = ScriptResult.RunError, Message = e.Message });
+            return (new ScriptResultMessage { Res = ScriptResult.RunError, Message = e.Message });
          }
       }
 
       public override Task<ScriptResultMessage> run(ScriptLines request) {
 
-         // append lines to _pending
-         foreach (var line in request.Lines) {
-            _pending.AppendLine(line);
-         }
-         // CreateScriptSource from pending
-         var code = _engine.CreateScriptSourceFromString(_pending.ToString().TrimStart(' ', '\n', '\r'), SourceCodeKind.InteractiveCode);
-         var parse_result = code.GetCodeProperties();
-         if (parse_result == ScriptCodeParseResult.IncompleteStatement && code.GetCode().EndsWith(Environment.NewLine+Environment.NewLine)) {
-            parse_result = Microsoft.Scripting.ScriptCodeParseResult.Complete;
-         }
-         // todo: If code is 'incomplete' but we have 2 blank lines run it!
-         switch (parse_result) {
-            // If 'complete' run code
-            case ScriptCodeParseResult.Complete:
-               _pending.Clear();
-               return run_code(code);
-            // if 'invalid' return error
-            case ScriptCodeParseResult.Invalid:
-               Console.WriteLine("Invalid");
-               _pending.Clear();
-               return Task.FromResult(new ScriptResultMessage { Res = ScriptResult.Invalid, Message = code.GetCode() });
-            // otherwise continue buffering
-            default:
-               Console.WriteLine("Incomplete");
-               return Task.FromResult(new ScriptResultMessage { Res = ScriptResult.Incomplete });
+         var tcs = new TaskCompletionSource<ScriptResultMessage>();
+         void ret(ScriptResultMessage r) {
+            tcs.TrySetResult(r);
          }
+
+         _dispatcher.BeginInvoke(() => {
+
+            // append lines to _pending
+            foreach (var line in request.Lines) {
+               _pending.AppendLine(line);
+            }
+            // CreateScriptSource from pending
+            var code = _engine.CreateScriptSourceFromString(_pending.ToString().TrimStart(' ', '\n', '\r'), SourceCodeKind.InteractiveCode);
+            var parse_result = code.GetCodeProperties();
+            if (parse_result == ScriptCodeParseResult.IncompleteStatement && code.GetCode().EndsWith(Environment.NewLine+Environment.NewLine)) {
+               parse_result = Microsoft.Scripting.ScriptCodeParseResult.Complete;
+            }
+            // todo: If code is 'incomplete' but we have 2 blank lines run it!
+            switch (parse_result) {
+               // If 'complete' run code
+               case ScriptCodeParseResult.Complete:
+                  _pending.Clear();
+                  ret(run_code(code));
+                  break;
+               // if 'invalid' return error
+               case ScriptCodeParseResult.Invalid:
+                  Console.WriteLine("Invalid");
+                  _pending.Clear();
+                  ret(new ScriptResultMessage { Res = ScriptResult.Invalid, Message = code.GetCode() });
+                  break;
+               // otherwise continue buffering
+               default:
+                  Console.WriteLine("Incomplete");
+                  ret(new ScriptResultMessage { Res = ScriptResult.Incomplete });
+                  break;
+            }
+         });
+
+         return tcs.Task;
       }
    }
 }

src/client/spark/core/NativeMethods/BTSNativeMethods.cs

@@ -8,10 +8,10 @@ namespace mbts.ui.native
 {
    public static class BTSUINativeMethods
    {
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       public static extern void enable_limits();
 
-      [DllImport("spark_lib", CharSet = CharSet.Unicode)]
+      [DllImport("libspark", CharSet = CharSet.Unicode)]
       public static extern void set_window_app_id(IntPtr hwnd, string stack_id);
    }
 }

src/client/spark/core/Utility/CompareUtils.cs

@@ -39,4 +39,4 @@ namespace mbts.utils {
       }
       #endregion
    }
-}
+}

src/client/spark/view/Controls/Order/OrderDetailsPopupControl.xaml

@@ -335,7 +335,45 @@
                         />
                       </Grid>
                     </DataTemplate>
-                  </usp:OrderModificationTemplateSelector.TopOrderTemplate>                                                                                                                              
+                  </usp:OrderModificationTemplateSelector.TopOrderTemplate>   
+                  <usp:OrderModificationTemplateSelector.TriggerOrderTemplate>
+                    <DataTemplate>
+                      <Grid>
+                        <Grid.RowDefinitions>
+                          <RowDefinition/>
+                          <RowDefinition Height="Auto"/>
+                          <RowDefinition Height="4" />
+                          <RowDefinition Height="Auto"/>
+                          <RowDefinition Height="4" />
+                          <RowDefinition Height="Auto"/>
+                          <RowDefinition Height="4" />
+                          <RowDefinition/>
+                        </Grid.RowDefinitions>
+                        <Grid.ColumnDefinitions>
+                          <ColumnDefinition Width="Auto"/>
+                          <ColumnDefinition Width="12"/>
+                          <ColumnDefinition/>
+                        </Grid.ColumnDefinitions>
+                        <TextBlock Grid.Row="1" VerticalAlignment="Center">Trigger Price Type</TextBlock>                        
+                        <ComboBox
+                          Grid.Row="1" Grid.Column="2"
+                          ItemsSource="{Binding trigger_price_types}"
+                          ItemTemplate="{StaticResource EnumDescriptionTemplate}"
+                          SelectedItem="{Binding trigger_price_type}"
+                        />
+                        <TextBlock Grid.Row="3" VerticalAlignment="Center">Order Price</TextBlock>
+                        <usp:PriceEntryControl Grid.Row="3" Grid.Column="2" Value="{Binding order_price}" ContractSpec="{Binding spec}" />
+                        <TextBlock Grid.Row="5">Child</TextBlock>
+                        <uag:OrderDetailsPopupControl
+                          Grid.Row="5" Grid.Column="2"
+                          IsOpen="{Binding child_order.editable_properties_open, FallbackValue=False}"
+                          ItemsSource="{Binding child_order_types}"
+                          SelectedItem="{Binding child_order}"
+                          HasEditableProperties="{Binding child_order.has_editable_properties, FallbackValue=False}"
+                        />
+                      </Grid>
+                    </DataTemplate>
+                  </usp:OrderModificationTemplateSelector.TriggerOrderTemplate>                                                                                                                                               
                   <usp:OrderModificationTemplateSelector.IcebergOrderTemplate>
                     <DataTemplate>
                       <Grid>

src/client/spark/view/Converters/NumericSignBrushConverter.cs

@@ -14,9 +14,20 @@ namespace mbts.ui.converters {
       static NumericSignBrushConverter() =>
          _error_brush.Freeze();
 
-      public Color PositiveColor { get => _positive_brush.Color; set => (_positive_brush = new SolidColorBrush(value)).Freeze(); }
-      public Color NeutralColor { get => _neutral_brush.Color; set => (_neutral_brush = new SolidColorBrush(value)).Freeze(); }
-      public Color NegativeColor { get => _negative_brush.Color; set => (_negative_brush = new SolidColorBrush(value)).Freeze(); }
+      public Color PositiveColor { get => _positive_brush.Color; set => (_positive_brush = new SolidColorBrush(value) { Opacity = _opacity }).Freeze(); }
+      public Color NeutralColor { get => _neutral_brush.Color; set => (_neutral_brush = new SolidColorBrush(value) { Opacity = _opacity }).Freeze(); }
+      public Color NegativeColor { get => _negative_brush.Color; set => (_negative_brush = new SolidColorBrush(value) { Opacity = _opacity }).Freeze(); }
+
+      private double _opacity = 1.0;
+      public Double Opacity {
+         get { return _opacity; }
+         set {
+            _opacity = value;
+            (_positive_brush = new SolidColorBrush(_positive_brush.Color) { Opacity = _opacity }).Freeze();
+            (_negative_brush = new SolidColorBrush(_negative_brush.Color) { Opacity = _opacity }).Freeze();
+            (_neutral_brush = new SolidColorBrush(_neutral_brush.Color)   { Opacity = _opacity }).Freeze();
+         }
+      }
       public IComparable Zero { get; set; } = 0.0;
 
       public object Convert(object value, Type targetType, object parameter, CultureInfo culture) {

src/client/spark/view/Converters/TickDisplayConverter.cs

@@ -26,23 +26,16 @@ namespace mbts.ui.spark.converters {
    }
 
    class TickDisplayTwoWayConverter : IValueConverter {
-      public ContractSpecificationImmutable? ContractSpec { get; set; } =
-         new ContractSpecification {
-            CashPerPoint = 1.0,
-            LowTick = 0.01,
-            HighTick = 0.01,
-            PriceBreak = double.MaxValue,
-            PriceMultiplier = 1.0
-      };
+      public ContractSpecificationImmutable? ContractSpec { get; set; } = SecurityDataHelper.Defaults.ContractSpecificationImmutablePennies;
 
       public double DisplayMultiplier { get; set; } = double.NaN;
       public bool ShowCommas { get; set; } = false;
       public string NaNText { get; set; } = string.Empty;
 
       public object Convert(object value, Type targetType, object parameter, CultureInfo culture) =>
-         ContractSpec.Value.format((double)value, DisplayMultiplier, ShowCommas, NaNText);
+         ContractSpec.format((double)value, DisplayMultiplier, ShowCommas, NaNText);
 
       public object ConvertBack(object value, Type targetType, object parameter, CultureInfo culture) =>
-         ContractSpec.Value.parse(value as string, DisplayMultiplier, NaNText);
+         ContractSpec.parse(value as string, DisplayMultiplier, NaNText);
    }
 }

src/client/spark/view/Extensions/TextElement/TextBoxBehavior.cs

@@ -32,7 +32,7 @@ namespace mbts.ui {
 
       #region TraverseOnEnter
 
-      public static readonly DependencyProperty TraverseOnEnterProperty = DependencyProperty.RegisterAttached("TraverseOnEnter", typeof(bool), typeof(TextBoxBehavior), new PropertyMetadata(false, OnTraverseOnEnterChanged)); 
+      public static readonly DependencyProperty TraverseOnEnterProperty = DependencyProperty.RegisterAttached("TraverseOnEnter", typeof(bool), typeof(TextBoxBehavior), new PropertyMetadata(false, OnTraverseOnEnterChanged));
       private static void OnTraverseOnEnterChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
          var text_box = (TextBox)d;
          if ((bool)e.NewValue) text_box.PreviewKeyDown += commit_on_enter_PreviewKeyDownHandler;
@@ -67,6 +67,65 @@ namespace mbts.ui {
       public static void SetCommitOnEnter(DependencyObject obj, bool value) => obj.SetValue(CommitOnEnterProperty, value);
       #endregion
 
+      #region CancelOnEnter
+
+      public static readonly DependencyProperty CancelOnEscapeProperty =
+          DependencyProperty.RegisterAttached("CancelOnEscape", typeof(bool), typeof(TextBoxBehavior), new PropertyMetadata(false, cancel_on_escape_changed));
+
+      private static void cancel_on_escape_changed(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         var tb = (TextBox)d;
+         if ((bool)e.NewValue) {
+            tb.KeyDown += tbx_keydown;
+         }
+         else {
+            tb.KeyDown += tbx_keydown;
+         }
+      }
+
+      static void tbx_keydown(object sender, KeyEventArgs e) {
+         if (e.Key == Key.Escape) {
+            abort_edit(sender as DependencyObject);
+         }
+      }
+
+      // Copy the binding value back and forth to generate a set to the source property with the original value
+      private static void abort_edit(DependencyObject sender) {
+         if (sender != null) {
+            var binding = BindingOperations.GetBindingExpression(sender, TextBox.TextProperty);
+            binding?.UpdateTarget();
+            binding?.UpdateSource();
+         }
+      }
+
+      public static bool GetCancelOnEscape(DependencyObject obj) => (bool)obj.GetValue(CancelOnEscapeProperty);
+      public static void SetCancelOnEscape(DependencyObject obj, bool value) => obj.SetValue(CancelOnEscapeProperty, value);
+
+      #endregion
+
+      #region TryCancelOnFocusLost
+      public static readonly DependencyProperty TryCancelOnFocusLostProperty =
+          DependencyProperty.RegisterAttached("TryCancelOnFocusLost", typeof(bool), typeof(TextBoxBehavior), new PropertyMetadata(false, cancel_on_focus_lost_changed));
+
+      private static void cancel_on_focus_lost_changed(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         var tb = (TextBox)d;
+         if ((bool)e.NewValue) {
+            tb.LostFocus += tb_lostfocus;
+         }
+         else {
+            tb.LostFocus += tb_lostfocus;
+         }
+      }
+
+      static void tb_lostfocus(object sender, EventArgs e) {
+         abort_edit(sender as DependencyObject);
+      }
+
+      public static bool GetTryCancelOnFocusLost(DependencyObject obj) => (bool)obj.GetValue(TryCancelOnFocusLostProperty);
+      public static void SetTryCancelOnFocusLost(DependencyObject obj, bool value) => obj.SetValue(TryCancelOnFocusLostProperty, value);
+
+      #endregion
+
+
       #region ReleaseOnEscape
       public static readonly DependencyProperty ReleaseOnEscapeProperty = DependencyProperty.RegisterAttached(
          "ReleaseOnEscape", typeof(bool), typeof(TextBoxBehavior), new PropertyMetadata(false, OnReleaseOnEscapeChanged));
@@ -79,7 +138,8 @@ namespace mbts.ui {
                tb.ReleaseMouseCapture();
                Keyboard.ClearFocus();
             }));
-         } else {
+         }
+         else {
             tb.ClearKeyBindings(Key.Escape, ModifierKeys.None);
             tb.ClearCommandBindings(ReleaseCaptureCommand);
          }
@@ -180,17 +240,18 @@ namespace mbts.ui {
          "IncrementDecrementOnMouseClick", typeof(bool), typeof(TextBoxBehavior), new PropertyMetadata(false, IncrementDecrementOnMouseClickPropertyChanged)
          );
 
-      public static bool GetIncrementDecrementOnMouseClick(TextBox element) { return (bool)element.GetValue(IncrementDecrementOnMouseClickProperty);  }
+      public static bool GetIncrementDecrementOnMouseClick(TextBox element) { return (bool)element.GetValue(IncrementDecrementOnMouseClickProperty); }
       public static void SetIncrementDecrementOnMouseClick(TextBox element, bool value) { element.SetValue(IncrementDecrementOnMouseClickProperty, value); }
 
 
       private static void IncrementDecrementOnMouseClickPropertyChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
          var text_box = d as TextBox;
-         if(text_box != null) {
+         if (text_box != null) {
             if ((bool)e.NewValue) {
                text_box.PreviewMouseLeftButtonDown += OnMouseLeftButtonDownDecrementValue;
                text_box.PreviewMouseRightButtonDown += OnMouseRightButtonDownIncrementValue;
-            } else {
+            }
+            else {
                text_box.PreviewMouseLeftButtonDown -= OnMouseLeftButtonDownDecrementValue;
                text_box.PreviewMouseRightButtonDown -= OnMouseRightButtonDownIncrementValue;
             }
@@ -201,7 +262,8 @@ namespace mbts.ui {
          var text_box = sender as TextBox;
          if (text_box == null || String.IsNullOrWhiteSpace(text_box.Text)) {
             return;
-         } else {
+         }
+         else {
             if (uint.TryParse(text_box.Text, out uint val)) {
                if (val < uint.MaxValue) {
                   val++;
@@ -226,5 +288,6 @@ namespace mbts.ui {
          }
       }
       #endregion
+
    }
 }

src/client/spark/view/Shell/FloatingWindow.xaml.cs

@@ -93,7 +93,9 @@ namespace mbts.ui.shell
                _recently_closed_windows.Push(() => { undoaction(); });
             }
          }
-         _bookmark.save_bookmark(document.Model);
+         if (document.HasCustomTitle) {
+            _bookmark.save_bookmark(document.Model);
+         }
       }
 
       public void remove_document(TabDocument document) {

src/client/spark/view/Shell/TabDocument.xaml

@@ -25,7 +25,8 @@
                  ui:TextBoxBehavior.CommitOnEnter="True" 
                  ui:TextBoxBehavior.FocusOnLoaded="True"
                  ui:TextBoxBehavior.SelectAllOnFocus="True"
-                 ui:TextBoxBehavior.ReleaseOnEscape="True"
+                 ui:TextBoxBehavior.CancelOnEscape="True"
+                 ui:TextBoxBehavior.TryCancelOnFocusLost="True"
                  Width="150" HorizontalAlignment="Left" VerticalAlignment="Stretch" Grid.Column="0" Margin="0,0,4,0" />
       </DataTemplate>
       <DataTemplate x:Key="_template">

src/client/spark/view/Spark/ContractPicker/ContractPickerModel.cs

@@ -376,7 +376,7 @@ namespace mbts.spark
          return x is SecurityImmutable && y is SecurityImmutable ? Compare((SecurityImmutable)x, (SecurityImmutable)y) : -1;
       }
       public int Compare(SecurityImmutable x, SecurityImmutable y) {
-         return x.EarliestExpiration().CompareTo(y.EarliestExpiration());
+         return SecurityHelper.Comparer.Compare(x, y);
       }
 
 

src/client/spark/view/Spark/Core/DataPersistor.cs

@@ -1,63 +0,0 @@
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
-using System.Threading.Tasks;
-using bts.api;
-using System.IO;
-using mbts.ui.shell;
-
-namespace mbts.spark
-{   
-   public class DataPersistor
-   {
-      private List<IDisposable> _disp_list = new List<IDisposable>();
-      private readonly IBus _bus;
-      private readonly string _loc = @"C:\ProgramData\bts\temp_securities.bin";  /// TODO
-                                                                                 
-      private SparkBusData.PersistedItems _persisted_items = new SparkBusData.PersistedItems();
-
-      public DataPersistor(IBus bus)
-      {
-         _bus = bus;
-         var sub = _bus.subscribe<SparkBusData.PersistMessage>(SparkTags.PersistCommandTag);
-         _disp_list.Add(sub.Subscribe(p => _on_new_persist_message(p)));
-         _persisted_items = _read_data_from_file();
-         _bus.post(SparkTags.PersistedItemsTag, _persisted_items);
-      }
-
-      private void _on_new_persist_message(SparkBusData.PersistMessage p)
-      {
-         _persisted_items.items.Add(p);
-         _write_to_file(_persisted_items);
-         _bus.post(SparkTags.PersistedItemsTag, new SparkBusData.PersistedItems(_persisted_items.items));
-      }
-
-      private void _write_to_file(SparkBusData.PersistedItems items)
-      {
-         byte[] data = SparkUtils.serialize_proto(items);
-         try
-         {
-            File.WriteAllBytes(_loc, data);
-         }
-         catch (Exception ex)
-         {
-            mbts.Logger.log(bts.log.Level.Error, bts.log.Subsystem.gen, ex.ToString());
-         }
-      }
-
-      private SparkBusData.PersistedItems _read_data_from_file()
-      {
-         var rv = new SparkBusData.PersistedItems();
-         try
-         {
-            if (File.Exists(_loc)) {
-               byte[] data = File.ReadAllBytes(_loc);
-               rv = SparkUtils.deserialize_proto<SparkBusData.PersistedItems>(data);
-            }
-         }
-         catch { }
-         return rv;
-      }
-   }
-}

src/client/spark/view/Spark/Core/OrderUtils.cs

@@ -121,18 +121,6 @@ namespace mbts.spark {
       public static string order_type_display_name(CustomOrderDefinition.CustomOneofCase order_type) =>
          camel_to_title_case(Regex.Replace(order_type.ToString(), "Order", string.Empty, RegexOptions.IgnoreCase));
 
-      public static string order_collection_summary(ICollection<OrderRecordImmutable> orders, Comparison<double> compare_price, ContractSpecificationImmutable spec) {
-         if (orders.Count == 0) return string.Empty;
-         var price_lookup = orders.ToLookup(o => o.State.Price);
-         var best_price = price_lookup.MaxElement(g => g.Key, compare_price);
-         var best_price_volume = best_price.Sum(o => o.working_quantity());
-         return order_collection_summary(
-            best_price.Key,
-            best_price_volume,
-            best_price_volume + price_lookup.Where(g => g.Key != best_price.Key).SelectMany(g => g).Sum(o => o.working_quantity()),
-            spec);
-      }
-
       public static string order_collection_summary(double best_price, int best_price_volume, int total_volume, ContractSpecificationImmutable spec) {
          if (total_volume == 0)
             return string.Empty;

src/client/spark/view/Spark/Core/TickUtils.cs

@@ -315,4 +315,4 @@ namespace mbts.spark {
          }
       }
    }
-}
+}

src/client/spark/view/Spark/Ladder/LadderModel.cs

@@ -1,5 +1,4 @@
 using bts.api;
-using bts.api.orderman;
 using mbts.co2;
 using System.Threading.Tasks;
 
@@ -8,15 +7,15 @@ namespace mbts.spark {
       readonly OrdersModel _order_gateway;
 
       public LadderModel(SecurityMD source, OrdersModel ordergw) {
-         security = source.security;
-         md = source.md;
+         security_md = source;
          _order_gateway = ordergw;
       }
 
       public enum CancelType { All, Bids, Asks }
 
-      public SecurityImmutable security { get; }
-      public MDConsumerHandle md { get; }
+      public SecurityMD security_md { get; }
+      public SecurityImmutable security => security_md.security;
+      public MDConsumerHandle md => security_md.md;
       public OrdersModel order_gateway => _order_gateway;
 
       public Task cancel_orders(CancelType ct) {

src/client/spark/view/Spark/Ladder/LadderOrderVM.cs

@@ -1,6 +1,5 @@
 using bts.api;
 using bts.api.orderman;
-using bts.spark;
 using mbts.ui;
 using mbts.ui.shell;
 using System;

src/client/spark/view/Spark/Ladder/LadderVM.cs

@@ -71,7 +71,7 @@ namespace mbts.spark {
 
          _dispose = Disposable.Create(
             settings_command,
-            order_properties_vm = new OrderPropertiesEditorVM(model.order_gateway, Observable.Return(security), _settings_manager.subscribe_current().Select(s => new InlineOrderProperties(model.order_gateway, s))),
+            order_properties_vm = new OrderPropertiesEditorVM(model.order_gateway, Observable.Return(model.security_md), _settings_manager.subscribe_current().Select(s => new InlineOrderProperties(model.order_gateway, s))),
             size_calculator = new CalculatorLogic(0, _settings_manager.subscribe_current().Select(s => s.calculator_buttons)),
             bus.subscribe(SparkTags.LogActivity).OnDispatcher().Subscribe(status_update),
             model.order_gateway.working_orders.OnDispatcher().Subscribe(working => {
@@ -143,6 +143,8 @@ namespace mbts.spark {
          );
       }
 
+      public IBus bus => _bus;
+
       public event Action on_tick;
 
       public MDConsumerHandle md => _model.md;

src/client/spark/view/Spark/Ladder/LadderView.xaml

@@ -483,6 +483,7 @@
                              Background="{x:Null}" BorderBrush="{x:Null}"
                              PieBackground="Transparent"
                              SliceBackground="#a000"
+                             Bus="{Binding bus}"
                              Command="{Binding RecenterCommand, ElementName=_ladder}">
       <spark:RecenterCountdown.SliceStroke>
         <Pen Thickness="1" Brush="Black" />

src/client/spark/view/Spark/Ladder/LaderRender.cs

@@ -67,8 +67,8 @@ namespace mbts.spark {
          double up = mid, down = mid;
          // Starting from the middle iterate out to the edges
          for (int x = 1; x <= range; ++x) {
-            up = TickUtils.tickup(spec, up);
-            down = TickUtils.tickdown(spec, down);
+            up = spec.tickup(up);
+            down = spec.tickdown(down);
             result[middle - x] = up;
             result[middle + x] = down;
          }

src/client/spark/view/Spark/Ladder/RecenterCountdown.cs

@@ -1,81 +1,56 @@
-using bts.api;
+using bts.api;
 using mbts.co2;
 using mbts.ui.controls;
 using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
-using System.Threading.Tasks;
+using System.Reactive.Linq;
+using System.Windows;
 using System.Windows.Threading;
 
 namespace mbts.spark {
    // Implement the recenter logic in a UI control
    // Kind of a hack but it makes receiving input from the UI easier
    public class RecenterCountdown : CountDownTimer {
-      DispatcherTimer _timer = new DispatcherTimer(DispatcherPriority.Background) {
-         Interval = TimeSpan.FromSeconds(1)
-      };
-      SecurityImmutable? _security;
-      MDConsumerHandle _handle;
-      DateTime _last_recenter = DateTime.MaxValue;
-      double _last_mid = 0.0;
       IDisposable _dispose;
-      readonly TimeSpan _seconds_to_center;
+      IBus _bus;
 
       public RecenterCountdown() {
-         DataContextChanged += RecenterCountdown_DataContextChanged;
-         Unloaded += (o,e) => on_unload(false);
-         _timer.Tick += _timer_Tick;
-         _timer.Start();
-         _seconds_to_center = TimeSpan.FromSeconds(config.Configuration.get<bts.config.LadderKnobs>().seconds_to_recenter);
+         Unloaded += (o, e) => on_unload(false);
       }
 
-      static (double,double) tick_range(double price, int tick_count, ContractSpecificationImmutable spec) {
-         return (TickUtils.tickdown(spec, price, tick_count), TickUtils.tickup(spec, price, tick_count));
+      public IBus Bus {
+         get { return (IBus)GetValue(busProperty); }
+         set { SetValue(busProperty, value); }
       }
 
-      private void _timer_Tick(object sender, EventArgs e) {
-         if (_security != null) {
-            var mid = _handle.mid();
-            if (//mid < low || mid > high ||
-               (_last_recenter + _seconds_to_center < DateTime.UtcNow)) {
-               trigger_recenter(mid);
-            }
+      public static readonly DependencyProperty busProperty =
+          DependencyProperty.Register("Bus", typeof(IBus), typeof(RecenterCountdown), new PropertyMetadata(null, bus_changed));
+
+      static void bus_changed(object sender, DependencyPropertyChangedEventArgs args) {
+         if (sender is RecenterCountdown self) {
+            self.setbus(args.NewValue as IBus);
          }
       }
 
+      void setbus(IBus value) {
+         if (value != null) {
+            Disposable.dispose(ref _dispose);
+            _bus = value;
+            _dispose =
+               Disposable.Create(
+               _bus?.subscribe(SparkTags.RecenterLadderBegin).OnDispatcher().Subscribe(begin_recenter),
+               _bus?.subscribe(SparkTags.RecenterLadderNow).OnDispatcher().Subscribe(_ => base.OnClick())
+               );
+         }
+      }
+
+      void begin_recenter(DateTime _) => start(null);
+
       private void on_unload(bool _) {
          Disposable.dispose(ref _dispose);
-         _timer.Stop();
-      }
-
-      private void RecenterCountdown_DataContextChanged(object sender, System.Windows.DependencyPropertyChangedEventArgs e) {
-         Disposable.dispose(ref _dispose);
-         var vm = e.NewValue as LadderVM;
-         if (vm != null) {
-            _security = vm.security;
-            _handle = vm.md;
-            reset_counters();
-            vm.OnDisposed += on_unload;
-            _dispose =
-               Disposable.Create(
-                  Disposable.Create(() => vm.OnDisposed -= on_unload));
-         }
-      }
-
-      void trigger_recenter(double mid) {
-         reset_counters();
-         start(null);
       }
 
       protected override void OnClick() {
-         reset_counters();
-         base.OnClick();
-      }
-
-      void reset_counters() {
-         _last_recenter = DateTime.UtcNow;
-         _last_mid = _handle.mid();
+         _bus?.post(SparkTags.RequestRecenterLadder, null);
       }
    }
 }

src/client/spark/view/Spark/PAndL/PAndLVM.cs

@@ -2,6 +2,7 @@
 using mbts.spark.filters;
 using mbts.ui;
 using mbts.ui.shell;
+using mbts.ui.utility;
 using System;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
@@ -10,69 +11,111 @@ using System.Linq;
 using System.Reactive.Linq;
 using System.Windows.Data;
 using static bts.shell.PAndLWindowFactory;
+using static bts.api.orderman.Fill.Types;
 
 namespace mbts.spark {
    class PAndLVM : DisposableViewModelBase {
-
-
-      public PAndLVM(IBus bus, PAndLModel model, PAndLStartupData state) {
+      
+      public PAndLVM(IBus bus, PAndLModel model, PAndLStartupData startup_data) {
          _bus = bus;
          _model = model;
+         _selected_pnl_calc_type = backing<pnl_calc_type>(nameof(selected_pnl_calc_type));
+         // get initial value from settings
+         // else default to midpoint
+         // TODO:
+         // need to respond to settings change somehow as the
+         // combobox that selected_pnl_calc_type is bound to will be
+         // gone from this form.
+         // ditto start of day changes, but this will be a bit more involved
+         // since we'll need to create a new PnLCalculator when this changes. (infrequent, if ever)
+         _selected_pnl_calc_type.Value = (startup_data != null && startup_data.calc_type != pnl_calc_type.none) ? startup_data.calc_type : pnl_calc_type.midpoint;
+         _selected_pnl_calc_type.Changed += pnl_calc_type_changed;
+         _start_of_day_ts = (startup_data != null && startup_data.start_of_day_time.HasValue) ? startup_data.start_of_day_time.Value : new TimeSpan(16, 30, 0);
          var pnl = model.on_pnl_data
             .Sample(_POSITION_UPDATE_PERIOD)
             .OnDispatcher()
             .Subscribe(p => {
                if (p != null) {
-                  PnLCalculator calc = new PnLCalculator(p.state.Values);
+                  PnLCalculator calc = new PnLCalculator(p.state.Values, _selected_pnl_calc_type.Value, _start_of_day_ts);
                   var summary_position_rows = calc.get_summary_position();
                   _pnl_data.sync_with(summary_position_rows);
                   _last_pnl_update_time = DateTime.Now;
                }
             });
          pnl_view = CollectionViewSource.GetDefaultView(_pnl_data);
-         pnl_view.SetSortingCriteria(
-            new List<SortingCriteria>() {
-               new SortingCriteria("account", true)
-               , new SortingCriteria("exchange_string", true)
-               , new SortingCriteria("symbol", true)
-               , new SortingCriteria("security_text", true)
-            }
-         );
+
+         // restore filter state
+         var fs = startup_data?.filters;
+         if (fs != null) {
+            account_filter.load_state(fs.account_regex);
+            exchange_string_filter.load_state(fs.exchange_regex);
+            symbol_filter.load_state(fs.symbol_regex);
+            security_filter.load_state(fs.security_regex);
+            start_position_filter.load_state(fs.start_net_pos);
+            start_pnl_filter.load_state(fs.start_pnl);
+            day_long_quantity_filter.load_state(fs.day_long_pos);
+            day_short_quantity_filter.load_state(fs.day_short_pos);
+            day_pnl_filter.load_state(fs.day_pnl);
+            total_net_position_filter.load_state(fs.total_net_pos);
+            total_pnl_filter.load_state(fs.total_pnl);
+            pnl_price_filter.load_state(fs.pnl_price);
+            security_type_filter.load_state(fs.security_types);
+         }
+         // restore sort state or supply default value
+         if (startup_data?.sort_criteria?.Any() == true) {
+            pnl_view.SetSortingCriteria(startup_data.sort_criteria);
+         } else {
+            pnl_view.SetSortingCriteria(new List<SortingCriteria>() {
+               new SortingCriteria(nameof(PnLSummaryRow.account), true)
+               , new SortingCriteria(nameof(PnLSummaryRow.exchange_string), true)
+               , new SortingCriteria(nameof(PnLSummaryRow.symbol), true)
+               , new SortingCriteria(nameof(PnLSummaryRow.security_text), true)
+            });
+         }
          pnl_view.CollectionChanged += Pnl_view_CollectionChanged;
 
-         //Account[] accounts = 
-
-
-         #region Create grid filters and load state
-         #endregion
-
+         // setup the main Disposable and
+         // hook up grid filters
          _dispose = Disposable.Create(pnl,
             DataGridFilterHelper.hook_filters(pnl_view,
-               security_filter, pnl_filter,
-               buy_quantity_filter, sell_quantity_filter,
-               net_position_filter, weighted_average_buy_filter,
-               weighted_average_sell_filter, pnl_price_filter,
-               sod_position_filter, account_filter,
-               exchange_string_filter, symbol_filter),
+               account_filter,
+               exchange_string_filter, 
+               symbol_filter,
+               security_filter,
+               start_position_filter,
+               start_pnl_filter,
+               day_long_quantity_filter,
+               day_short_quantity_filter,
+               day_pnl_filter,
+               total_net_position_filter,
+               total_pnl_filter,
+               pnl_price_filter,
+               weighted_average_buy_filter,
+               weighted_average_sell_filter,
+               security_type_filter),
             WorkLoop.Start("PAndL", _UPDATE_PERIOD, _calculate_pnl)
          );
       }
 
-      protected override void Dispose(bool disposing) {
-         pnl_view.CollectionChanged -= Pnl_view_CollectionChanged;
-      }
-
-
       private void Pnl_view_CollectionChanged(object sender, System.Collections.Specialized.NotifyCollectionChangedEventArgs e) {
          _update_totals();
       }
 
+      private void pnl_calc_type_changed(pnl_calc_type oldval, pnl_calc_type newval) {
+         _calculate_pnl();
+      }
+
+      protected override void Dispose(bool disposing) {
+         pnl_view.CollectionChanged -= Pnl_view_CollectionChanged;
+         _selected_pnl_calc_type.Changed -= pnl_calc_type_changed;
+      }
+      
       void _update_totals() {
          if (pnl_view != null) {
-            total_pnl = pnl_view.Cast<PnLSummaryRow>().Where(r => !Double.IsNaN(r.pnl)).Sum(r => r.pnl);
-            total_net_pos = pnl_view.Cast<PnLSummaryRow>().Sum(r => r.net_position);
-            total_buy_qty = pnl_view.Cast<PnLSummaryRow>().Sum(r => r.buy_quantity);
-            total_sell_qty = pnl_view.Cast<PnLSummaryRow>().Sum(r => r.sell_quantity);
+            total_aggregate_pnl = pnl_view.Cast<PnLSummaryRow>().Where(r => !Double.IsNaN(r.total_pnl)).Sum(r => r.total_pnl);
+            total_aggregate_net_pos = pnl_view.Cast<PnLSummaryRow>().Sum(r => r.total_net_position);
+            total_aggregate_buy_qty = pnl_view.Cast<PnLSummaryRow>().Sum(r => r.day_long_quantity);
+            total_aggregate_sell_qty = pnl_view.Cast<PnLSummaryRow>().Sum(r => r.day_short_quantity);
          }
       }
 
@@ -81,75 +124,113 @@ namespace mbts.spark {
          // position update in a while
          if (DateTime.Now.Subtract(_last_pnl_update_time) > _UPDATE_PERIOD) {
             foreach (var r in _pnl_data) {
-               r.update_pnl(pnl_calc_type.waterfall);
+               if (_selected_pnl_calc_type.Value != pnl_calc_type.none) {
+                  r.update_pnl(_selected_pnl_calc_type.Value);
+               }
             }
+            _update_totals();
          } 
       }
 
-      private DateTime _last_pnl_update_time = DateTime.MinValue;
-      private ObservableCollection<PnLSummaryRow> _pnl_data = new ObservableCollection<PnLSummaryRow>();
+      #region Properties
+
       public ICollectionView pnl_view { get; }
 
-      private double _total_pnl;
-      public double total_pnl {
+      public List<pnl_calc_type> pnl_calc_types { get; } = EnumHelper.get_values_except(pnl_calc_type.none, pnl_calc_type.waterfall, pnl_calc_type.bid_or_ask, pnl_calc_type.open, pnl_calc_type.close).ToList();
+
+      public pnl_calc_type selected_pnl_calc_type {
+         get => _selected_pnl_calc_type.Value;
+         set => _selected_pnl_calc_type.Value = value;
+      }
+
+      public double total_aggregate_pnl {
          get {
-            return _total_pnl;
+            return _total_aggregate_pnl;
          }
          set {
-            _total_pnl = value;
-            RaisePropertyChanged(nameof(total_pnl));
+            _total_aggregate_pnl = value;
+            RaisePropertyChanged();
          }
       }
 
-      private double _total_net_pos;
-      public double total_net_pos {
-         get { return _total_net_pos; }
+      public double total_aggregate_net_pos {
+         get { return _total_aggregate_net_pos; }
          set {
-            _total_net_pos = value;
-            RaisePropertyChanged(nameof(total_net_pos));
+            _total_aggregate_net_pos = value;
+            RaisePropertyChanged();
          }
       }
 
-      private double _total_buy_qty;
-      public double total_buy_qty {
-         get { return _total_buy_qty; }
+      public double total_aggregate_buy_qty {
+         get { return _total_aggregate_buy_qty; }
          set {
-            _total_buy_qty = value;
-            RaisePropertyChanged(nameof(total_buy_qty));
+            _total_aggregate_buy_qty = value;
+            RaisePropertyChanged();
          }
       }
 
-      private double _total_sell_qty;
-      public double total_sell_qty {
-         get { return _total_sell_qty; }
+      public double total_aggregate_sell_qty {
+         get { return _total_aggregate_sell_qty; }
          set {
-            _total_sell_qty = value;
-            RaisePropertyChanged(nameof(total_sell_qty));
+            _total_aggregate_sell_qty = value;
+            RaisePropertyChanged();
          }
       }
 
+      public TimeSpan start_of_day {
+         get { return _start_of_day_ts; }
+      }
+
       #region Filters
-      public IDataGridColumnPersistentFilter<PnLSummaryRow, string> security_filter { get; } = new RegexFilterVM<PnLSummaryRow>(r => r.security_text, nameof(PnLSummaryRow.security_text));
-      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> pnl_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.pnl, nameof(PnLSummaryRow.pnl));
-      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> buy_quantity_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.buy_quantity, nameof(PnLSummaryRow.buy_quantity));
-      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> sell_quantity_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.sell_quantity, nameof(PnLSummaryRow.sell_quantity));
-      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> net_position_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.net_position, nameof(PnLSummaryRow.net_position));
-      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> weighted_average_buy_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.weighted_average_buy, nameof(PnLSummaryRow.weighted_average_buy));
-      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> weighted_average_sell_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.weighted_average_sell, nameof(PnLSummaryRow.weighted_average_sell));
-      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> pnl_price_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.pnl_price, nameof(PnLSummaryRow.pnl_price));
-      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> sod_position_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.sod_position, nameof(PnLSummaryRow.sod_position));
+      
       public IDataGridColumnPersistentFilter<PnLSummaryRow, string> account_filter { get; } = new RegexFilterVM<PnLSummaryRow>(r => r.account, nameof(PnLSummaryRow.account));
       public IDataGridColumnPersistentFilter<PnLSummaryRow, string> exchange_string_filter { get; } = new RegexFilterVM<PnLSummaryRow>(r => r.exchange_string, nameof(PnLSummaryRow.exchange_string));
       public IDataGridColumnPersistentFilter<PnLSummaryRow, string> symbol_filter { get; } = new RegexFilterVM<PnLSummaryRow>(r => r.symbol, nameof(PnLSummaryRow.symbol));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, string> security_filter { get; } = new RegexFilterVM<PnLSummaryRow>(r => r.security_text, nameof(PnLSummaryRow.security_text));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, IntMinMaxState> start_position_filter { get; } = new IntMinMax<PnLSummaryRow>(r => r.start_net_position, nameof(PnLSummaryRow.start_net_position));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> start_pnl_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.start_pnl, nameof(PnLSummaryRow.start_pnl));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, UIntMinMaxState> day_long_quantity_filter { get; } = new UIntMinMax<PnLSummaryRow>(r => r.day_long_quantity, nameof(PnLSummaryRow.day_long_quantity));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, UIntMinMaxState> day_short_quantity_filter { get; } = new UIntMinMax<PnLSummaryRow>(r => r.day_short_quantity, nameof(PnLSummaryRow.day_short_quantity));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> day_pnl_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.day_pnl, nameof(PnLSummaryRow.day_pnl));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, IntMinMaxState> total_net_position_filter { get; } = new IntMinMax<PnLSummaryRow>(r => r.total_net_position, nameof(PnLSummaryRow.total_net_position));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> total_pnl_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.total_pnl, nameof(PnLSummaryRow.total_pnl));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> pnl_price_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.pnl_price, nameof(PnLSummaryRow.pnl_price));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> weighted_average_buy_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.weighted_average_buy, nameof(PnLSummaryRow.weighted_average_buy));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, DoubleMinMaxState> weighted_average_sell_filter { get; } = new DoubleMinMax<PnLSummaryRow>(r => r.weighted_average_sell, nameof(PnLSummaryRow.weighted_average_sell));
+      public IDataGridColumnPersistentFilter<PnLSummaryRow, SecurityType[]> security_type_filter { get; } = DiscreteValuesFilterVM.Create<PnLSummaryRow, SecurityType>(EnumHelper.get_values_except<SecurityType>(SecurityType.Option, SecurityType.Stock, SecurityType.Synthetic).ToArray(), r => r.security_type, nameof(PnLSummaryRow.security_type));
+
+      public FilterStates get_filters_states() => new FilterStates {
+         account_regex = account_filter.get_state(),
+         exchange_regex = exchange_string_filter.get_state(),
+         symbol_regex = exchange_string_filter.get_state(),
+         security_regex = security_filter.get_state(),
+         start_net_pos = start_position_filter.get_state(),
+         start_pnl = start_pnl_filter.get_state(),
+         day_long_pos = day_long_quantity_filter.get_state(),
+         day_short_pos = day_short_quantity_filter.get_state(),
+         day_pnl = day_pnl_filter.get_state(),
+         total_net_pos = total_net_position_filter.get_state(),
+         total_pnl = total_pnl_filter.get_state(),
+         pnl_price = pnl_price_filter.get_state(),
+         security_types = security_type_filter.get_state()
+      };
 
       #endregion
 
+      public List<SortingCriteria> get_sorting_states() => pnl_view.GetSortingCriteria();
+
+      #endregion
 
       readonly IBus _bus;
       readonly PAndLModel _model;
       static readonly TimeSpan _UPDATE_PERIOD = TimeSpan.FromSeconds(1);
       static readonly TimeSpan _POSITION_UPDATE_PERIOD = TimeSpan.FromMilliseconds(333);
+      readonly Property<pnl_calc_type> _selected_pnl_calc_type;
 
+      double _total_aggregate_pnl, _total_aggregate_net_pos, _total_aggregate_buy_qty, _total_aggregate_sell_qty;
+      TimeSpan _start_of_day_ts;
+      DateTime _last_pnl_update_time = DateTime.MinValue;
+      ObservableCollection<PnLSummaryRow> _pnl_data = new ObservableCollection<PnLSummaryRow>();
 
    }
 

src/client/spark/view/Spark/PAndL/PAndLView.xaml

@@ -18,19 +18,26 @@
          <Style x:Key="RightAlignedColumn" TargetType="{x:Type TextBlock}">
             <Setter Property="TextAlignment" Value="Right" />
          </Style>
+         <convert:NumericSignBrushConverter x:Key="PnLBackgroundColorConverter" Opacity="0.33"/>
          <convert:DoubleTextConverter x:Key="DoubleWithNaNHiddenConverter" Format="F2" />
       </ResourceDictionary>
    </UserControl.Resources>
    <Grid>
       <Grid.RowDefinitions>
          <!-- Table -->
+         <RowDefinition Height="Auto"/>
          <RowDefinition />
          <RowDefinition  Height="Auto"/>
       </Grid.RowDefinitions>
       <Grid.ColumnDefinitions>
          <ColumnDefinition />
       </Grid.ColumnDefinitions>
-      <c:DataGridEx Grid.Row="0" Grid.Column="0" x:Name="_grid" IsReadOnly="True" BorderThickness="0" GridLinesVisibility="None" CanUserSortColumns="True" SelectionUnit="FullRow"
+    <ComboBox Grid.Row="0"
+               ItemsSource="{Binding pnl_calc_types}"
+               SelectedItem="{Binding selected_pnl_calc_type}"
+               ItemTemplate="{StaticResource EnumDescriptionTemplate}">
+    </ComboBox>
+      <c:DataGridEx Grid.Row="1" Grid.Column="0" x:Name="_grid" IsReadOnly="True" BorderThickness="0" GridLinesVisibility="None" CanUserSortColumns="True" SelectionUnit="FullRow"
                     ItemsSource="{Binding pnl_view}" uc:DataGridBehavior.NotifyColumnsOfSorting="True">
          <DataGrid.Columns>
             <DataGridTextColumn x:Name="account" Header="Account" Binding="{Binding account}" IsReadOnly="true"
@@ -57,46 +64,78 @@
                c:DataGridFilterProperties.FilterOpen="{Binding DataContext.security_filter.open, Source={uc:DirectReference _grid}}"
                c:DataGridFilterProperties.FilterTemplate="{StaticResource RegexTemplate}"
             />
-            <DataGridTextColumn x:Name="sod" Header="SOD" Binding="{Binding sod_position}" IsReadOnly="true" 
+            <DataGridTextColumn x:Name="security_type" Header="Security Type" Binding="{Binding security_type}" IsReadOnly="true"
+               c:DataGridFilterProperties.Filter="{Binding DataContext.security_type_filter, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterActive="{Binding DataContext.security_type_filter.active, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.security_type_filter.open, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterTemplate="{StaticResource DiscreteValuesTemplate}"
+            />           
+            <DataGridTextColumn x:Name="start_net_pos" Header="Start Net Pos" Binding="{Binding start_net_position}" IsReadOnly="true" 
                ElementStyle="{StaticResource RightAlignedColumn}"
-               c:DataGridFilterProperties.Filter="{Binding DataContext.sod_position_filter, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterActive="{Binding DataContext.sod_position_filter.active, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.sod_position_filter.open, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.Filter="{Binding DataContext.start_position_filter, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterActive="{Binding DataContext.start_position_filter.active, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.start_position_filter.open, Source={uc:DirectReference _grid}}"
                c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}"                                
             />
-            <DataGridTextColumn x:Name="buy_qty" Header="Buy Qty" Binding="{Binding buy_quantity}" IsReadOnly="true"
+            <DataGridTextColumn x:Name="start_pnl" Header="Start PnL" IsReadOnly="true" SortMemberPath="start_pnl"
+               Binding="{Binding start_pnl, Converter={StaticResource DoubleWithNaNHiddenConverter}}"
+               c:DataGridFilterProperties.Filter="{Binding DataContext.start_pnl_filter, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterActive="{Binding DataContext.start_pnl_filter.active, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.start_pnl_filter.open, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}">
+               <DataGridTextColumn.ElementStyle>
+                 <Style TargetType="{x:Type TextBlock}">
+                   <Setter Property="TextAlignment" Value="Right" />
+                   <Setter Property="Background" Value="{Binding start_pnl, Converter={StaticResource PnLBackgroundColorConverter}}" />
+                 </Style>
+               </DataGridTextColumn.ElementStyle>
+            </DataGridTextColumn>
+            <DataGridTextColumn x:Name="day_long" Header="Day Long" Binding="{Binding day_long_quantity}" IsReadOnly="true"
                ElementStyle="{StaticResource RightAlignedColumn}"
-               c:DataGridFilterProperties.Filter="{Binding DataContext.buy_quantity_filter, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterActive="{Binding DataContext.buy_quantity_filter.active, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.buy_quantity_filter.open, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.Filter="{Binding DataContext.day_long_quantity_filter, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterActive="{Binding DataContext.day_long_quantity_filter.active, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.day_long_quantity_filter.open, Source={uc:DirectReference _grid}}"
                c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}"                                    
             />
-            <DataGridTextColumn x:Name="sell_qty" Header="Sell Qty" Binding="{Binding sell_quantity}" IsReadOnly="true"
+            <DataGridTextColumn x:Name="day_short" Header="Day Short" Binding="{Binding day_short_quantity}" IsReadOnly="true"
                ElementStyle="{StaticResource RightAlignedColumn}"
-               c:DataGridFilterProperties.Filter="{Binding DataContext.sell_quantity_filter, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterActive="{Binding DataContext.sell_quantity_filter.active, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.sell_quantity_filter.open, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.Filter="{Binding DataContext.day_short_quantity_filter, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterActive="{Binding DataContext.day_short_quantity_filter.active, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.day_short_quantity_filter.open, Source={uc:DirectReference _grid}}"
                c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}"                                
             />
-            <DataGridTextColumn x:Name="net_pos" Header="Net Pos" Binding="{Binding net_position}" IsReadOnly="true"
-               ElementStyle="{StaticResource RightAlignedColumn}"
-               c:DataGridFilterProperties.Filter="{Binding DataContext.net_position_filter, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterActive="{Binding DataContext.net_position_filter.active, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.net_position_filter.open, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}"                                
-            />
-            <DataGridTextColumn x:Name="pnl" Header="PnL" IsReadOnly="true" SortMemberPath="pnl"
-               ElementStyle="{StaticResource RightAlignedColumn}"
-               c:DataGridFilterProperties.Filter="{Binding DataContext.pnl_filter, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterActive="{Binding DataContext.pnl_filter.active, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.pnl_filter.open, Source={uc:DirectReference _grid}}"
+            <DataGridTextColumn x:Name="day_pnl" Header="Day PnL" IsReadOnly="true" SortMemberPath="day_pnl"
+               Binding="{Binding day_pnl, Converter={StaticResource DoubleWithNaNHiddenConverter}}"
+               c:DataGridFilterProperties.Filter="{Binding DataContext.day_pnl_filter, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterActive="{Binding DataContext.day_pnl_filter.active, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.day_pnl_filter.open, Source={uc:DirectReference _grid}}"
                c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}">
-               <DataGridTextColumn.Binding>
-                  <MultiBinding Converter="{StaticResource TickDisplayConverter}">
-                     <Binding Path="pnl"/>
-                     <Binding Path="security.ContractSpec"/>
-                  </MultiBinding>
-               </DataGridTextColumn.Binding>
+               <DataGridTextColumn.ElementStyle>
+                 <Style TargetType="{x:Type TextBlock}">
+                   <Setter Property="TextAlignment" Value="Right" />
+                   <Setter Property="Background" Value="{Binding day_pnl, Converter={StaticResource PnLBackgroundColorConverter}}" />
+                 </Style>
+               </DataGridTextColumn.ElementStyle>
+            </DataGridTextColumn>
+        <DataGridTextColumn x:Name="total_net_pos" Header="Total Net Pos" Binding="{Binding total_net_position}" IsReadOnly="true"
+               ElementStyle="{StaticResource RightAlignedColumn}"
+               c:DataGridFilterProperties.Filter="{Binding DataContext.total_net_position_filter, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterActive="{Binding DataContext.total_net_position_filter.active, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.total_net_position_filter.open, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}"                                
+            />
+        <DataGridTextColumn x:Name="total_pnl" Header="Total PnL" IsReadOnly="true" SortMemberPath="total_pnl"
+               Binding="{Binding total_pnl, Converter={StaticResource DoubleWithNaNHiddenConverter}}"
+               c:DataGridFilterProperties.Filter="{Binding DataContext.total_pnl_filter, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterActive="{Binding DataContext.total_pnl_filter.active, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.total_pnl_filter.open, Source={uc:DirectReference _grid}}"
+               c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}"> 
+               <DataGridTextColumn.ElementStyle>
+                 <Style TargetType="{x:Type TextBlock}">
+                   <Setter Property="TextAlignment" Value="Right" />
+                   <Setter Property="Background" Value="{Binding total_pnl, Converter={StaticResource PnLBackgroundColorConverter}}" />
+                 </Style>
+               </DataGridTextColumn.ElementStyle>
             </DataGridTextColumn>
             <DataGridTextColumn x:Name="pnl_price" Header="PnL Price" IsReadOnly="true" SortMemberPath="pnl_price"
                ElementStyle="{StaticResource RightAlignedColumn}"
@@ -107,24 +146,17 @@
                <DataGridTextColumn.Binding>
                   <MultiBinding Converter="{StaticResource TickDisplayConverter}">
                      <Binding Path="pnl_price"/>
-                     <Binding Path="security.ContractSpec"/>
+                     <Binding Path="security"/>
                   </MultiBinding>
                </DataGridTextColumn.Binding>
             </DataGridTextColumn>
+            <!-- we are hiding these until we have toggle on/off via settings          
             <DataGridTextColumn x:Name="avg_buy" Header="AvgBuy" Binding="{Binding weighted_average_buy, Converter={StaticResource DoubleWithNaNHiddenConverter}}" IsReadOnly="true" SortMemberPath="weighted_average_buy"
                ElementStyle="{StaticResource RightAlignedColumn}"
                c:DataGridFilterProperties.Filter="{Binding DataContext.weighted_average_buy_filter, Source={uc:DirectReference _grid}}"
                c:DataGridFilterProperties.FilterActive="{Binding DataContext.weighted_average_buy_filter.active, Source={uc:DirectReference _grid}}"
                c:DataGridFilterProperties.FilterOpen="{Binding DataContext.weighted_average_buy_filter.open, Source={uc:DirectReference _grid}}"
                c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}">
-               <!--
-               <DataGridTextColumn.Binding>
-                  <MultiBinding Converter="{StaticResource TickDisplayConverter}">
-                     <Binding Path="weighted_average_buy"/>
-                     <Binding Path="security.ContractSpec"/>
-                  </MultiBinding>
-               </DataGridTextColumn.Binding>
-               -->
             </DataGridTextColumn>
             <DataGridTextColumn x:Name="avg_sell" Header="AvgSell" Binding="{Binding weighted_average_sell, Converter={StaticResource DoubleWithNaNHiddenConverter}}" IsReadOnly="true" SortMemberPath="weighted_average_sell" 
                ElementStyle="{StaticResource RightAlignedColumn}"
@@ -132,26 +164,19 @@
                c:DataGridFilterProperties.FilterActive="{Binding DataContext.weighted_average_sell_filter.active, Source={uc:DirectReference _grid}}"
                c:DataGridFilterProperties.FilterOpen="{Binding DataContext.weighted_average_sell_filter.open, Source={uc:DirectReference _grid}}"
                c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}">
-               <!--
-               <DataGridTextColumn.Binding>
-                  <MultiBinding Converter="{StaticResource TickDisplayConverter}">
-                     <Binding Path="weighted_average_sell"/>
-                     <Binding Path="security.ContractSpec"/>
-                  </MultiBinding>
-               </DataGridTextColumn.Binding>
-               -->
             </DataGridTextColumn>
+           -->
          </DataGrid.Columns>
       </c:DataGridEx>
-      <StatusBar Grid.Row="1" Grid.Column="0" DockPanel.Dock="Bottom">
+      <StatusBar Grid.Row="2" Grid.Column="0" DockPanel.Dock="Bottom">
          <StatusBarItem DockPanel.Dock="Right">
             <Grid>
                <Grid.ColumnDefinitions>
                   <ColumnDefinition />
                   <ColumnDefinition />
                </Grid.ColumnDefinitions>
-               <TextBlock Grid.Column="0" Text="Total PnL: "/>
-               <TextBlock Grid.Column="1" Text="{Binding total_pnl, Converter={StaticResource DoubleWithNaNHiddenConverter}}" />
+               <TextBlock Grid.Column="0" Text="Aggregate PnL: "/>
+               <TextBlock Grid.Column="1" Text="{Binding total_aggregate_pnl, Converter={StaticResource DoubleWithNaNHiddenConverter}}" />
             </Grid>
          </StatusBarItem>
          <StatusBarItem DockPanel.Dock="Right">
@@ -163,8 +188,8 @@
                   <ColumnDefinition />
                   <ColumnDefinition />
                </Grid.ColumnDefinitions>
-               <TextBlock Grid.Column="0" Text="Total Net Pos: "/>
-               <TextBlock Grid.Column="1" Text="{Binding total_net_pos}"/>
+               <TextBlock Grid.Column="0" Text="Aggregate Net Pos: "/>
+               <TextBlock Grid.Column="1" Text="{Binding total_aggregate_net_pos}"/>
             </Grid>
          </StatusBarItem>
          <StatusBarItem DockPanel.Dock="Right">
@@ -176,8 +201,8 @@
                   <ColumnDefinition />
                   <ColumnDefinition />
                </Grid.ColumnDefinitions>
-               <TextBlock Grid.Column="0" Text="Total Sell Qty: "/>
-               <TextBlock Grid.Column="1" Text="{Binding total_sell_qty}"/>
+               <TextBlock Grid.Column="0" Text="Aggregate Sell Qty: "/>
+               <TextBlock Grid.Column="1" Text="{Binding total_aggregate_sell_qty}"/>
             </Grid>
          </StatusBarItem>
          <StatusBarItem DockPanel.Dock="Right">
@@ -189,8 +214,8 @@
                   <ColumnDefinition />
                   <ColumnDefinition />
                </Grid.ColumnDefinitions>
-               <TextBlock Grid.Column="0" Text="Total Buy Qty: "/>
-               <TextBlock Grid.Column="1" Text="{Binding total_buy_qty}"/>
+               <TextBlock Grid.Column="0" Text="Aggregate Buy Qty: "/>
+               <TextBlock Grid.Column="1" Text="{Binding total_aggregate_buy_qty}"/>
             </Grid>
          </StatusBarItem>
          <StatusBarItem />

src/client/spark/view/Spark/PAndL/PAndLWindow.cs

@@ -14,26 +14,31 @@ namespace mbts.spark {
    internal class PAndLWindow : SparkWindow<PAndLWindowFactory.PAndLStartupData>, ISharedWindow {
 
       const string _window_type = "PAndL", PNL_THREAD_ID = "PnL";
-      PAndLWindowFactory.PAndLStartupData _state;
+      PAndLWindowFactory.PAndLStartupData _startup_data;
       PAndLModel _model;
       PAndLView _view;
       PAndLVM _vm;
       PAndLWindowFactory _factory;
-      public PAndLWindow(PAndLModel model, PAndLWindowFactory factory, IBus bus, PAndLWindowFactory.PAndLStartupData state, ImageSource Icon ) : base("P&L", bus, factory, SparkCommands.ShowPAndL.icon) {
+      public PAndLWindow(PAndLModel model, PAndLWindowFactory factory, IBus bus, PAndLWindowFactory.PAndLStartupData startup_data, ImageSource Icon ) : base("P&L", bus, factory, SparkCommands.ShowPAndL.icon) {
          _model = model;
          _factory = factory;
-         _state = state;
+         _startup_data = startup_data;
       }
 
       public override string window_type => _window_type;
-      public override PAndLWindowFactory.PAndLStartupData SaveState => _state =
-         new PAndLWindowFactory.PAndLStartupData();
+      public override PAndLWindowFactory.PAndLStartupData SaveState => _startup_data =
+         new PAndLWindowFactory.PAndLStartupData(
+            _vm.get_sorting_states(),
+            _vm.get_filters_states(),
+            _vm.selected_pnl_calc_type,
+            _vm.start_of_day
+         );
       public override UIElement Content => _view;
       public override double MinWidth => 894;
       public string thread_id => PNL_THREAD_ID;
 
       public void thread_init() {
-         _vm = new PAndLVM(_bus, _model, _state);
+         _vm = new PAndLVM(_bus, _model, _startup_data);
          _view = new PAndLView(_vm);
          _view.DataContext = _vm;
       }

src/client/spark/view/Spark/PAndL/PnLCalculator.cs

@@ -77,20 +77,31 @@ namespace mbts.spark {
 
    class PnLCalculator {
       readonly IEnumerable<PnLData> _data;
+      readonly pnl_calc_type _calc_type;
+      readonly DateTime _start_of_trading_day_utc;
 
-      public PnLCalculator(IEnumerable<PnLData> data) {
+      public PnLCalculator(IEnumerable<PnLData> data, pnl_calc_type calc_type, TimeSpan start_of_day_ts) {
          _data = data;
+         _calc_type = calc_type;
+         // Note that this isn't the acutal start of the trading day
+         // but it's close enough for pnl purposes.
+         // In reality, instruments have different schedules
+         var _start_of_trading_day_local = DateTime.Now.Date.Add(start_of_day_ts);
+         if (_start_of_trading_day_local >= DateTime.Now) {
+            _start_of_trading_day_local = _start_of_trading_day_local.AddDays(-1);
+         }
+         _start_of_trading_day_utc = _start_of_trading_day_local.ToUniversalTime();
       }
 
       public IEnumerable<PnLSummaryRow> get_summary_position() {
          return (from pnl_item in _data
-                 group pnl_item by (pnl_item.account, pnl_item.exchange, pnl_item.symbol, pnl_item.security, pnl_item.sec_md) into grouping
-                 let start_of_day = _get_start_of_day(grouping.Key.symbol)
-                 select new PnLSummaryRow(grouping.Key,
-                    grouping.Where(y => y.fill.Timestamp.ToDateTime() >= start_of_day).Sum(y => y.buy_quantity),
-                    grouping.Where(y => y.fill.Timestamp.ToDateTime() >= start_of_day).Sum(y => y.sell_quantity),
-                    grouping.Sum(y => y.buy_quantity - y.sell_quantity),
-                    grouping.Where(y => y.fill.Timestamp.ToDateTime() < start_of_day).Sum(y => y.buy_quantity - y.sell_quantity),
+                 group pnl_item by (pnl_item.account, pnl_item.exchange, pnl_item.symbol, pnl_item.security, pnl_item.sec_md, pnl_item.security_type) into grouping
+                 /* let start_of_day = _get_start_of_day(grouping.Key.symbol) */
+                 select new PnLSummaryRow(_calc_type, _start_of_trading_day_utc, grouping.Key,
+                    grouping.Where(y => y.fill.Timestamp.ToDateTime() >= _start_of_trading_day_utc).Sum(y => (uint)y.buy_quantity),
+                    grouping.Where(y => y.fill.Timestamp.ToDateTime() >= _start_of_trading_day_utc).Sum(y => (uint)y.sell_quantity),
+                    grouping.Sum(y => (int)(y.buy_quantity - y.sell_quantity)),
+                    grouping.Where(y => y.fill.Timestamp.ToDateTime() < _start_of_trading_day_utc).Sum(y => (int)(y.buy_quantity - y.sell_quantity)),
                     grouping.weighted_average(y => y.fill.LastPrice, y => y.buy_quantity),
                     grouping.weighted_average(y => y.fill.LastPrice, y => y.sell_quantity),
                     grouping.Select(i => i.fill)
@@ -98,21 +109,26 @@ namespace mbts.spark {
                 );
       }
 
-      public static double get_driver(SecurityMD sec_md, pnl_calc_type pnl_request) {
-         ulong unused = 0;
-         sec_md.md.get_bbo(ref unused, out NativePriceSize bid, out NativePriceSize ask);
-         sec_md.md.get_last_trade(ref unused, out NativePriceSize last, out DateTime unused1, out ulong unused2);
+      public static bool get_driver(SecurityMD sec_md, pnl_calc_type pnl_request, ref double driver_price) {
+         // we always want to pass in 0 to the md query so that we don't get back NaN if the market
+         // data hasn't changed between query periods
+         ulong bbo_time = 0;
+         ulong last_trade_time = 0;
+         if (!sec_md.md.get_bbo(ref bbo_time, out NativePriceSize bid, out NativePriceSize ask)) return false;
+         if (!sec_md.md.get_last_trade(ref last_trade_time, out NativePriceSize last, out DateTime unused1, out ulong unused2)) return false;
 
          if (pnl_request.HasFlag(pnl_calc_type.waterfall)) {
             // last price is available and withing range of available bid and ask
             if (!Double.IsNaN(last.price) && last.price >= bid.price && last.price <= ask.price) {
-               return last.price;
+               driver_price = last.price;
+               return true;
             }
 
             double mid = TickUtils.mid_tick(sec_md.security.ContractSpec, bid.price, ask.price);
             // last price is not valid, so try the mid
             if (!Double.IsNaN(mid)) {
-               return mid;
+               driver_price = mid;
+               return true;
             }
 
             // last bid
@@ -120,9 +136,11 @@ namespace mbts.spark {
             if (!Double.IsNaN(last.price) && !Double.IsNaN(bid.price) && Double.IsNaN(ask.price)) {
                // if last >= bid then last else bid
                if (last.price >= bid.price) {
-                  return last.price;
+                  driver_price = last.price;
+                  return true;
                } else {
-                  return bid.price;
+                  driver_price = bid.price;
+                  return true;
                }
             }
 
@@ -131,15 +149,18 @@ namespace mbts.spark {
             if (!Double.IsNaN(last.price) && !Double.IsNaN(ask.price) && Double.IsNaN(bid.price)) {
                // if last <= ask then last else ask
                if (last.price <= ask.price) {
-                  return last.price;
+                  driver_price = last.price;
+                  return true;
                } else {
-                  return ask.price;
+                  driver_price = ask.price;
+                  return true;
                }
             }
 
             // last only
             if (!Double.IsNaN(last.price)) {
-               return last.price;
+               driver_price = last.price;
+               return true;
             }
 
             // indicative, no support yet
@@ -148,36 +169,43 @@ namespace mbts.spark {
             if ((!Double.IsNaN(bid.price) || !Double.IsNaN(ask.price)) && !Double.IsNaN(sec_md.md.settlement_price)) {
                // if bid and no ask and settle and bid > Settle
                if (!Double.IsNaN(bid.price) && Double.IsNaN(ask.price) && !Double.IsNaN(sec_md.md.settlement_price) && bid.price > sec_md.md.settlement_price) {
-                  return bid.price;
+                  driver_price = bid.price;
+                  return true;
                }
                // if ask and no bid and settle and ask < Settle
                if (!Double.IsNaN(ask.price) && Double.IsNaN(bid.price) && !Double.IsNaN(sec_md.md.settlement_price) && ask.price < sec_md.md.settlement_price) {
-                  return ask.price;
+                  driver_price = ask.price;
+                  return true;
                }
             }
 
             // Settlement
             // neither bid or ask are available
             if (!Double.IsNaN(sec_md.md.settlement_price)) {
-               return sec_md.md.settlement_price;
+               driver_price = sec_md.md.settlement_price;
+               return true;
             }
 
             // Close
-            return sec_md.md.close_price;
+            driver_price = sec_md.md.close_price;
+            return true;
 
          } // end waterfall
 
-         if (pnl_request.HasFlag(pnl_calc_type.last)) return last.price;
-         if (pnl_request.HasFlag(pnl_calc_type.mid)) return TickUtils.mid_tick(sec_md.security.ContractSpec, bid.price, ask.price);
-         if (pnl_request.HasFlag(pnl_calc_type.open)) return sec_md.md.open_price;
-         if (pnl_request.HasFlag(pnl_calc_type.close)) return sec_md.md.close_price;
-         if (pnl_request.HasFlag(pnl_calc_type.settle)) return sec_md.md.settlement_price;
-         return Double.NaN;
+         if (pnl_request.HasFlag(pnl_calc_type.last)) { driver_price = last.price; return true; }
+         // note that bid_or_ask is not considered here since this method only
+         // supports returning a single driver price; see update_pnl
+         if (pnl_request.HasFlag(pnl_calc_type.midpoint)) { driver_price = (bid.price + ask.price) / 2.0; return true; }
+         if (pnl_request.HasFlag(pnl_calc_type.open)) { driver_price = sec_md.md.open_price; return true; }
+         if (pnl_request.HasFlag(pnl_calc_type.close)) { driver_price = sec_md.md.close_price; return true; }
+         if (pnl_request.HasFlag(pnl_calc_type.settle)) { driver_price = sec_md.md.settlement_price; return true; }
+         driver_price = Double.NaN;
+         return false;
       }
 
       public static double get_pnl(double bid_for_long, double ask_for_short, FillImmutable fill, double cpp) {
-         if (fill.Side == Side.Buy) { return _get_long_pnl(bid_for_long, fill.LastPrice, fill.LastShares, cpp); }
-         if (fill.Side == Side.Sell) { return _get_short_pnl(ask_for_short, fill.LastPrice, fill.LastShares, cpp); }
+         if (fill.Side == Side.Buy && !Double.IsNaN(bid_for_long)) { return _get_long_pnl(bid_for_long, fill.LastPrice, fill.LastShares, cpp); }
+         if (fill.Side == Side.Sell && !Double.IsNaN(ask_for_short)) { return _get_short_pnl(ask_for_short, fill.LastPrice, fill.LastShares, cpp); }
          return Double.NaN;
       }
 
@@ -197,10 +225,6 @@ namespace mbts.spark {
          return (price - driver) * quantity * cpp;
       }
 
-      private static DateTime _get_start_of_day(string symbool) {
-         // I rekcon this will change according to the symbol's session
-         return DateTime.Today;
-      }
    }
 
 }

src/client/spark/view/Spark/PAndL/PnLData.cs

@@ -1,18 +1,26 @@
 using bts.api;
 using bts.api.orderman;
 using System;
+using System.ComponentModel;
 
 namespace mbts.spark {
 
    [Flags]
    public enum pnl_calc_type {
       none = 0,
+      [Description("Last Tradeable Price Avalanche")]
       waterfall = 1,
+      [Description("Last")]
       last = 2,
-      bid_and_ask = 4,
-      mid = 8,
+      [Description("Bid/Ask")]
+      bid_or_ask = 4,
+      [Description("Midpoint")]
+      midpoint = 8,
+      [Description("Open")]
       open = 16,
+      [Description("Close")]
       close = 32,
+      [Description("Settle")]
       settle = 64
    }
 
@@ -34,6 +42,7 @@ namespace mbts.spark {
       public SecurityImmutable? security => sec_md?.security;
       public double buy_quantity => (fill.Side == Side.Buy) ? fill.LastShares : 0;
       public double sell_quantity => (fill.Side == Side.Sell) ? fill.LastShares : 0;
+      public SecurityType? security_type => security?.security_type();
 
       public override string ToString() {
          return $"Fill: ( {account} {exchange} {security.ToString()} buy: {buy_quantity} sell: {sell_quantity} ) Security: {security.ToString()}";

src/client/spark/view/Spark/PAndL/PnLSummaryRow.cs

@@ -12,70 +12,106 @@ namespace mbts.spark {
 
 
     internal class PnLSummaryRow : ViewModelBase, IEquatable<PnLSummaryRow> {
-      (string account, Venue? exchange, string symbol, SecurityImmutable? security, SecurityMD? sec_md) key;
-      double _buy_quantity, _sell_quantity, _net_position, _sod_position, _pnl, _pnl_price, _weighted_average_buy, _weighted_average_sell;
+      DateTime _start_of_day;
+      (string account, Venue? exchange, string symbol, SecurityImmutable? security, SecurityMD? sec_md, SecurityType? sec_type) key;
+      int _start_net_position, _total_net_position;
+      uint _day_long_quantity, _day_short_quantity;
+      double _total_pnl, _sod_pnl, _start_pnl, _pnl_price, _weighted_average_buy, _weighted_average_sell;
       IEnumerable<FillImmutable> _fills;
-      //List<MarketSchedule> _schedules = new List<MarketSchedule>() { MarketSchedule.es_schedule };
+      double _driver;
+      static readonly Dictionary<string, double> cpp_dict = config.Configuration.get<bts.config.CppConfig>().cpp_entry;
 
 
-
-      public PnLSummaryRow((string, Venue?, string, SecurityImmutable?, SecurityMD?) key, 
-         double buy_quant, double sell_quant, double net_pos, double sod_pos, double wavg_buy, double wavg_sell, IEnumerable<FillImmutable> fills) {
+      public PnLSummaryRow(pnl_calc_type calc_type,
+         DateTime start_of_day,
+         (string, Venue?, string, SecurityImmutable?, SecurityMD?, SecurityType?) key, 
+         uint day_buy_quant, uint day_sell_quant, int net_pos, int sod_pos, double wavg_buy, double wavg_sell, IEnumerable<FillImmutable> fills) {
+         this._start_of_day = start_of_day;
          this.key = key;
-         buy_quantity = buy_quant;
-         sell_quantity = sell_quant;
-         net_position = net_pos;
-         sod_position = sod_pos;
+         day_long_quantity = day_buy_quant;
+         day_short_quantity = day_sell_quant;
+         total_net_position = net_pos;
+         start_net_position = sod_pos;
          weighted_average_buy = wavg_buy;
          weighted_average_sell = wavg_sell;
          _fills = fills;
 
          // set the initial pnl and pnl_price when there has been a
          // position update i.e. this constructor
-         update_pnl(pnl_calc_type.waterfall);
+         update_pnl(calc_type);
       }
 
+      /// <summary>
+      /// Looks up the cash per point (cpp) for the given SecurityImmutable.
+      /// If the SecurityImmutable is a cross-product exchange-traded spread,
+      /// such as a crack spread, where the legs have differing cpps, then
+      /// we'll return Double.Nan;
+      /// </summary>
+      /// <param name="s">The SecurityImmutable for which we will look up a cpp</param>
+      /// <returns>The found cpp, else Double.NaN</returns>
       private double _get_cpp_for_security(SecurityImmutable s) {
          if (s.security_type() == SecurityType.Spread) {
             var distinct_cpps = s.Spread.Legs
-               .Select(l => l.Security.ContractSpec.CashPerPoint)
+               .Select(l => get_cpp_for_symbol(l.Security))
                .Distinct();
             bool all_legs_have_same_cpp = distinct_cpps.Count() < 2;
-            if (all_legs_have_same_cpp) {
-               return s.Spread.Legs.First().Security.ContractSpec.CashPerPoint;
-            } else {
-               Logger.error(bts.log.Subsystem.Ui, 
-                  $"Security {s} contains legs with the following cash multipliers: { string.Join(",", distinct_cpps.Select(d => d.ToString())) } ");
-               return Double.NaN;
+            return all_legs_have_same_cpp ? distinct_cpps.First() : Double.NaN;
+         } else {
+            return get_cpp_for_symbol(s);
+         }
+
+         // local function for looking up cpp for a single SecurityImmutable
+         double get_cpp_for_symbol(SecurityImmutable si) {
+            if (cpp_dict.TryGetValue(si.Symbol, out double cpp_out)) {
+               return cpp_out;
             }
+            return double.NaN;
          }
-         return s.ContractSpec.CashPerPoint;
       }
 
 
       public void update_pnl(pnl_calc_type pnl_request) {
          if (key.sec_md.HasValue) {
             double cpp = _get_cpp_for_security(key.security.Value);
-            if (pnl_request.HasFlag(pnl_calc_type.bid_and_ask)) {
-               ulong unused = 0;
-               key.sec_md.Value.md.get_bbo(ref unused, out NativePriceSize bid, out NativePriceSize ask);
+            if (pnl_request.HasFlag(pnl_calc_type.bid_or_ask)) {
+               ulong bbo_ref = 0;
+               key.sec_md.Value.md.get_bbo(ref bbo_ref, out NativePriceSize bid, out NativePriceSize ask);
 
                double summary_pnl = 0.0;
+               double start_pnl_total = 0.0;
+               double day_pnl_total = 0.0;
                foreach (var fill in _fills) {
                   double _tick_pnl = PnLCalculator.get_pnl(bid.price, ask.price, fill, cpp);
                   summary_pnl += _tick_pnl;
+                  if (fill.Timestamp.ToDateTime() >= _start_of_day) {
+                     day_pnl_total += _tick_pnl;
+                  } else {
+                     start_pnl_total += _tick_pnl;
+                  }
                }
-               pnl = summary_pnl;
+               total_pnl = summary_pnl;
+               day_pnl = day_pnl_total;
+               start_pnl = start_pnl_total;
+               pnl_price = Double.NaN;
             } else {
-               double driver = PnLCalculator.get_driver(key.sec_md.Value, pnl_request);
-
-               double summary_pnl = 0.0;
-               foreach (var fill in _fills) {
-                  double _tick_pnl = PnLCalculator.get_pnl(driver, fill, cpp);
-                  summary_pnl += _tick_pnl;
+               if (PnLCalculator.get_driver(key.sec_md.Value, pnl_request, ref _driver)) {
+                  double summary_pnl = 0.0;
+                  double start_pnl_total = 0.0;
+                  double day_pnl_total = 0.0;
+                  foreach (var fill in _fills) {
+                     double _tick_pnl = PnLCalculator.get_pnl(_driver, fill, cpp);
+                     summary_pnl += _tick_pnl;
+                     if (fill.Timestamp.ToDateTime() >= _start_of_day) {
+                        day_pnl_total += _tick_pnl;
+                     } else {
+                        start_pnl_total += _tick_pnl;
+                     }
+                  }
+                  total_pnl = summary_pnl;
+                  day_pnl = day_pnl_total;
+                  start_pnl = start_pnl_total;
+                  pnl_price = _driver;
                }
-               pnl = summary_pnl;
-               pnl_price = driver;
             }
          }
       }
@@ -89,9 +125,9 @@ namespace mbts.spark {
             key.exchange == other.exchange &&
             key.security == other.security &&
             key.symbol == other.symbol &&
-            buy_quantity == other.buy_quantity &&
-            sell_quantity == other.sell_quantity &&
-            pnl == other.pnl;
+            day_long_quantity == other.day_long_quantity &&
+            day_short_quantity == other.day_short_quantity &&
+            total_pnl == other.total_pnl;
       }
 
       public override int GetHashCode() {
@@ -104,7 +140,7 @@ namespace mbts.spark {
       }
 
       public override string ToString() {
-         return $"account: {account} exchange: {exchange_string} symbol: {symbol} security: {security_text} buy_quantity: {buy_quantity} sell_quantity: {sell_quantity} pnl: {pnl}";
+         return $"account: {account} exchange: {exchange_string} symbol: {symbol} security: {security_text} buy_quantity: {day_long_quantity} sell_quantity: {day_short_quantity} pnl: {total_pnl}";
       }
 
       public string account {
@@ -134,62 +170,83 @@ namespace mbts.spark {
       }
 
       public SecurityImmutable? security => key.security;
+      public SecurityType security_type => key.sec_type.GetValueOrDefault();
 
       public string security_text {
          get => security.HasValue ? security.Value.ToString() : "Unknown Security";
          set => ignore();
       }
 
-      
-      public double buy_quantity {
-         get => _buy_quantity;
+
+      public int start_net_position {
+         get => _start_net_position;
          set {
-            if (_buy_quantity != value) {
-               _buy_quantity = value;
-               RaisePropertyChanged(nameof(buy_quantity));
+            if (_start_net_position != value) {
+               _start_net_position = value;
+               RaisePropertyChanged(nameof(start_net_position));
+            }
+         }
+      }
+      public double start_pnl {
+         get => _start_pnl;
+         set {
+            if (_start_pnl != value) {
+               _start_pnl = value;
+               RaisePropertyChanged();
+            }
+         }
+      }
+      public uint day_long_quantity {
+         get => _day_long_quantity;
+         set {
+            if (_day_long_quantity != value) {
+               _day_long_quantity = value;
+               RaisePropertyChanged(nameof(day_long_quantity));
+            }
+         }
+      }
+      public uint day_short_quantity {
+         get => _day_short_quantity; 
+         set {
+            if (_day_short_quantity != value) {
+               _day_short_quantity = value;
+               RaisePropertyChanged(nameof(day_short_quantity));
+            }
+         }
+      }
+      public double day_pnl {
+         get => _sod_pnl;
+         set {
+            if (_sod_pnl != value) {
+               _sod_pnl = value;
+               RaisePropertyChanged();
             }
          }
       }
 
-      public double sell_quantity {
-         get => _sell_quantity; 
+
+      public int total_net_position {
+         get => _total_net_position;
          set {
-            if (_sell_quantity != value) {
-               _sell_quantity = value;
-               RaisePropertyChanged(nameof(sell_quantity));
+            if (_total_net_position != value) {
+               _total_net_position = value;
+               RaisePropertyChanged(nameof(total_net_position));
             }
          }
       }
 
-      public double sod_position {
-         get => _sod_position;
+      public double total_pnl {
+         get => _total_pnl;
          set {
-            if (_sod_position != value) {
-               _sod_position = value;
-               RaisePropertyChanged(nameof(sod_position));
+            if (_total_pnl != value) {
+               _total_pnl = value;
+               RaisePropertyChanged(nameof(total_pnl));
             }
          }
       }
 
-      public double net_position {
-         get => _net_position;
-         set {
-            if (_net_position != value) {
-               _net_position = value;
-               RaisePropertyChanged(nameof(net_position));
-            }
-         }
-      }
 
-      public double pnl {
-         get => _pnl;
-         set {
-            if (_pnl != value) {
-               _pnl = value;
-               RaisePropertyChanged(nameof(pnl));
-            }
-         }
-      }
+
 
       public double pnl_price {
          get => _pnl_price;
@@ -221,6 +278,9 @@ namespace mbts.spark {
          }
       }
 
+      //public IEnumerable<FillImmutable> sod_fills => _fills.Where(f => f.Timestamp.ToDateTime() >= _start_of_day);
+      //public IEnumerable<FillImmutable> pos_fills => _fills.Where(f => f.Timestamp.ToDateTime() < _start_of_day);
+
    }
 
 

src/client/spark/view/Spark/Shell/CVOrderBook/CVOrderBookCell.cs

@@ -21,7 +21,7 @@ namespace mbts.spark {
          IOrderBookCell current { get; }
          //
          IOrderBookCellStore select_other(CVOrderBookRowVM row);
-         bool refresh();
+         bool refresh(bool force_refresh);
          void regenerate_cell();
       }
 
@@ -93,9 +93,9 @@ namespace mbts.spark {
             public IOrderBookCellStore<T> select_other(CVOrderBookRowVM row) => _select_other(row);
             IOrderBookCellStore IOrderBookCellStore.select_other(CVOrderBookRowVM row) => select_other(row);
 
-            public bool refresh() {
+            public bool refresh(bool force_refresh = false) {
                T v = _get_value(_row);
-               if (!_eq_comparer.Equals(v, _current.value)) {
+               if (force_refresh || !_eq_comparer.Equals(v, _current.value)) {
                   _current = new OrderBookCell<T>(this, v);
                   _row.RaisePropertyChanged(_prop_name);
                   return true;

src/client/spark/view/Spark/Shell/CVOrderBook/CVOrderBookColumns.cs

@@ -213,7 +213,7 @@ namespace mbts.spark {
                filled_qty_column.filter.load_state(fs.qty_filled);
                side_column.filter.load_state(fs.sides);
                order_type_column.filter.load_state(fs.order_types);
-               // TODO: add "sub_type column.filter" data to FilterStates
+               sub_type_column.filter.load_state(fs.order_sub_types);
                time_in_force_column.filter.load_state(fs.tifs);
                exchange_column.filter.load_state(fs.exchanges);
 
@@ -269,6 +269,7 @@ namespace mbts.spark {
                exchanges = exchange_column.filter.get_state(),
                tifs = time_in_force_column.filter.get_state(),
                order_types = order_type_column.filter.get_state(),
+               order_sub_types = sub_type_column.filter.get_state(),
                sides = side_column.filter.get_state(),
                qty = qty_column.filter.get_state(),
                price = price_column.filter.get_state(),

src/client/spark/view/Spark/Shell/CVOrderBook/CVOrderBookRowVM.cs

@@ -12,6 +12,8 @@ using OrderStatus = bts.api.orderman.OrderStatus;
 
 namespace mbts.spark {
    partial class CVOrderBookRowVM : DisposableViewModelBase, IEquatable<CVOrderBookRowVM>, ui.controls.DIYGrid.IRowVM, ui.controls.DIYGrid.IActionableRowVM {
+      const string _unknown_security_price_format_string = "0.#########";
+      const int _unknown_security_price_num_fractional_digits = 9;
       readonly CVOrderBookVM _book_vm;
       readonly OrdersModel _model;
       readonly Property<bool> _visible, _expanded, _passes_filter;
@@ -74,7 +76,8 @@ namespace mbts.spark {
          _status_store = CellFactory.create(this, _book_vm.columns.status_column, nameof(status), r => _order.status(), r => r._status_store);
          _last_msg_store = CellFactory.create(this, _book_vm.columns.last_message_column, nameof(last_msg), r => _order.last_msg(), r => r._last_msg_store);
          //
-         string format_price(double v) => _security.HasValue ? _security.Value.ContractSpec.format(v) : v.ToString();
+         string format_price(double v) => _security.HasValue ? _security.Value.ContractSpec.format(v) :
+            Math.Round(v, _unknown_security_price_num_fractional_digits, MidpointRounding.AwayFromZero).ToString(_unknown_security_price_format_string);
          string format_date(DateTime v) => $"{v:M/d} {v:h:mm:ss.fff tt}";
          string format_sub_type(OrderSubType v) {
             switch (v) {
@@ -319,7 +322,11 @@ namespace mbts.spark {
       void _update_partial(IEnumerable<IOrderBookCellStore> target_cell_stores) {
          bool invalidate = false;
          foreach (var cell_store in target_cell_stores) {
-            if (cell_store.refresh()) {
+            // although the price-related stores will be inlcuded in the IEnumerable,
+            // we need to force .refresh b/c the price* backing store's value does not
+            // change when the security becomes known
+            bool force_refresh = cell_store.prop_name.Equals(nameof(price)) || cell_store.prop_name.Equals(nameof(avg_price)) || cell_store.prop_name.Equals(nameof(last_price));
+            if (cell_store.refresh(force_refresh)) {
                invalidate = true;
                if (_book_vm.live_sorting_columns.Contains(cell_store.column.key)) {
                   // refresh the sort by calling regenerate_cell() for each descendent-row

src/client/spark/view/Spark/Shell/OrderBook/OrderBookWindow.cs

@@ -27,7 +27,8 @@ namespace mbts.spark {
          , _cancel_buy_orders_command
          , _cancel_sell_orders_command
          , _cancel_all_orders_command
-         , _cancel_selected_orders_command;
+         , _cancel_selected_orders_command
+         , _recreate_selected_orders_command;
 
 
       public OrderBookWindow(OrdersModel model, OrderBookWindowFactory factory, IBus bus, OrderBookWindowFactory.OrderBookStartupData state, ImageSource icon) : base("Order Book", bus, factory, SparkCommands.ShowOrders.icon) {
@@ -107,21 +108,36 @@ namespace mbts.spark {
             can_execute: () => _vm.selected_orders.Any(x => x.status() == OrderStatus.Working)
          );
 
+         _recreate_selected_orders_command = SparkCommands.RecreateSelectedOrders.complete(
+             () =>
+               _vm.selected_orders.Where(x => _passes_recreate_search_criteria(x))
+                  .Select(x => (x.Def, x.State.Price, x.State.Quantity - x.State.FilledQuantity)),
+            can_execute: () => _vm.selected_orders.Any(x => _passes_recreate_search_criteria(x))
+         );
+
          _commands = new SparkCommand[] {
             _show_fills_command,
             _modify_order_command,
             _cancel_selected_orders_command,
             _cancel_buy_orders_command,
             _cancel_sell_orders_command,
-            _cancel_all_orders_command
+            _cancel_all_orders_command,
+            _recreate_selected_orders_command
          };
          _vm.selected_order_changed += _vm_selected_order_changed;
       }
 
+      private bool _passes_recreate_search_criteria(OrderRecordImmutable record) {
+         return record.status() == OrderStatus.Canceled 
+            && !record.has_parent() 
+            && record.State.Quantity > record.State.FilledQuantity;
+      }
+
       private void _vm_selected_order_changed(OrderRecordImmutable? e) {
          if (e.HasValue) {
             _modify_order_command.raiseCanExecuteChanged();
             _cancel_selected_orders_command.raiseCanExecuteChanged();
+            _recreate_selected_orders_command.raiseCanExecuteChanged();
          }
       }
    }

src/client/spark/view/Spark/Utilities/MathUtils.cs

@@ -91,4 +91,4 @@ namespace mbts.spark.utilities {
          return value;
       }
    }
-}
+}

src/client/spark/view/Spark/Utilities/OrderDataHelper.cs

@@ -32,10 +32,12 @@ namespace mbts.spark.utilities {
                CustomOrderDefinition.CustomOneofCase.Lean,
                CustomOrderDefinition.CustomOneofCase.Join,
                CustomOrderDefinition.CustomOneofCase.Top,
+               CustomOrderDefinition.CustomOneofCase.Trigger,
             }, _spreader_types = new[] {
                CustomOrderDefinition.CustomOneofCase.Spreader,
                CustomOrderDefinition.CustomOneofCase.Iceberg,
-               CustomOrderDefinition.CustomOneofCase.TimeBox
+               CustomOrderDefinition.CustomOneofCase.TimeBox,
+               CustomOrderDefinition.CustomOneofCase.Trigger,
             };
       readonly string _user;
       readonly AdminModel _admin_model;
@@ -213,6 +215,12 @@ namespace mbts.spark.utilities {
          Child = custom_order(),
          TopThreshold = new QuantityMeasure(),
          Hedge = custom_order(),
+      };
+      public TriggerOrderDefinition trigger_order() => new TriggerOrderDefinition
+      {
+         Child = custom_order(),
+         TriggerCondition = new TriggerCondition(),
+         TriggerAction = new TriggerAction(),
       };             
       
 
@@ -231,6 +239,7 @@ namespace mbts.spark.utilities {
             case CustomOrderDefinition.CustomOneofCase.Lean: rv.Lean = lean_order(); break;
             case CustomOrderDefinition.CustomOneofCase.Join: rv.Join = join_order(); break;
             case CustomOrderDefinition.CustomOneofCase.Top: rv.Top = top_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Trigger: rv.Trigger = trigger_order(); break;
             case CustomOrderDefinition.CustomOneofCase.Spreader: rv.Spreader = spreader_order(); break;
          }
          return rv;
@@ -250,6 +259,7 @@ namespace mbts.spark.utilities {
             case CustomOrderDefinition.CustomOneofCase.Lean: return new OrderMetadata { KeyBinding = "L", Color = BTSColors.Orders.lean_order };
             case CustomOrderDefinition.CustomOneofCase.Join: return new OrderMetadata { KeyBinding = "J", Color = BTSColors.Orders.join_order };
             case CustomOrderDefinition.CustomOneofCase.Top: return new OrderMetadata { KeyBinding = "D", Color = BTSColors.Orders.top_order };
+            case CustomOrderDefinition.CustomOneofCase.Trigger: return new OrderMetadata { KeyBinding = "T", Color = BTSColors.Orders.top_order };
             case CustomOrderDefinition.CustomOneofCase.Spreader: goto default;
             case CustomOrderDefinition.CustomOneofCase.None: goto default;
             default: return _default_order_metadata;
@@ -267,6 +277,7 @@ namespace mbts.spark.utilities {
             case OrderState.CustomOneofCase.Lean: return new OrderMetadata { KeyBinding = "L", Color = BTSColors.Orders.lean_order };
             case OrderState.CustomOneofCase.Join: return new OrderMetadata { KeyBinding = "J", Color = BTSColors.Orders.join_order };
             case OrderState.CustomOneofCase.Top: return new OrderMetadata { KeyBinding = "D", Color = BTSColors.Orders.top_order };
+            case OrderState.CustomOneofCase.Trigger: return new OrderMetadata { KeyBinding = "T", Color = BTSColors.Orders.top_order };
             case OrderState.CustomOneofCase.Spreader: goto default;
             case OrderState.CustomOneofCase.None: goto default;
             default: return _default_order_metadata;
@@ -302,6 +313,7 @@ namespace mbts.spark.utilities {
             case nameof(LeanOrderDefinition): return CustomOrderDefinition.CustomOneofCase.Lean;
             case nameof(JoinOrderDefinition): return CustomOrderDefinition.CustomOneofCase.Join;
             case nameof(TopOrderDefinition): return CustomOrderDefinition.CustomOneofCase.Top;
+            case nameof(TriggerOrderDefinition): return CustomOrderDefinition.CustomOneofCase.Trigger;
             default: throw new ArgumentException($"Unable to match '{order_type_def?.Descriptor.Name}' to an order definition type");
          }
       }
@@ -311,8 +323,8 @@ namespace mbts.spark.utilities {
          public static PriceType PriceType => new PriceType { Status = PriceType.Types.Status.Bid };
          public static PriceOffset PriceOffset => new PriceOffset { PriceType = PriceType };
          public static QuantityTrigger QuantityTrigger => new QuantityTrigger { QuantityMeasure = QuantityMeasure, LessThanEqualto = true };
-         public static AbsolutePriceTrigger AbsolutePriceTrigger => new AbsolutePriceTrigger { PriceType = PriceType, QuantityTrigger = QuantityTrigger };
-         public static TrailingTrigger TrailingTrigger => new TrailingTrigger { PriceType = PriceType, Stop = true };
+         public static bts.spark.AbsolutePriceTrigger AbsolutePriceTrigger => new bts.spark.AbsolutePriceTrigger { PriceType = PriceType, QuantityTrigger = QuantityTrigger };
+         public static bts.spark.TrailingTrigger TrailingTrigger => new bts.spark.TrailingTrigger { PriceType = PriceType, Stop = true };
          public static PriceTrigger PriceTrigger => new PriceTrigger { AbsolutePriceTrigger = AbsolutePriceTrigger, TrailingTrigger = TrailingTrigger };
          public static OrderTime OrderTime => new OrderTime { Now = true };
          public static BTSTimedWindowParameters TimeWindow => new BTSTimedWindowParameters { Cancel = true, StartTime = OrderTime, StopTime = new OrderTime() };

src/client/spark/view/Spark/Utilities/SecurityDataHelper.cs

@@ -43,4 +43,4 @@ namespace mbts.spark {
          public static readonly SecurityImmutable SecurityImmutable = new SecurityImmutable(Security);
       }
    }
-}
+}

src/client/spark_api/api/ApiNativeMethods.cs

@@ -10,10 +10,10 @@ using System.Threading.Tasks;
 namespace bts.api.core {
    static class ApiNativeMethods {
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern IntPtr api_create_quickbus(byte[] qbconfig, long length);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void api_destroy_quickbus(IntPtr qbus);
 
 
@@ -51,24 +51,24 @@ namespace bts.api.core {
          int change_count,
          IntPtr extra);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern IntPtr api_client_create(IntPtr qbus, string type_name, string service_qualifier);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void api_client_destroy(IntPtr client);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       [return:MarshalAs(UnmanagedType.I1)]
       internal static extern bool api_client_is_on_qb_thread(IntPtr client);
 
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void api_client_send(IntPtr nchannel, byte[] buffer, int length, raw_pb_callback p, IntPtr extra);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern IntPtr api_client_subscribe(IntPtr client, string method_and_qualifier, raw_subscription_callback cb, IntPtr extra);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void api_client_unsubscribe(IntPtr client, IntPtr subscription);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void api_client_log_error(string msg);
 
       #endregion
@@ -81,10 +81,10 @@ namespace bts.api.core {
       [UnmanagedFunctionPointer(CallingConvention.Cdecl)]
       internal unsafe delegate void raw_rpc_request_callback(byte* buffer, long buffer_size, IntPtr cb, IntPtr extra);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern IntPtr api_server_create(IntPtr qbus, string type_name, string service_qualifier, raw_rpc_request_callback callback, IntPtr extra);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void api_server_call_callback(ref IntPtr callback, byte[] buffer, int length);
 
       [StructLayout(LayoutKind.Sequential)]
@@ -95,11 +95,11 @@ namespace bts.api.core {
          public IntPtr buffer;
       }
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern IntPtr api_server_create_table(IntPtr server, string method_and_qualifier);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void api_server_update_table(IntPtr table, [In] StreamUpdate[] changes, long change_count);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void api_server_destroy_table(IntPtr table);
 
       #endregion

src/client/spark_api/api/Channels/QuickBusClientChannel.cs

@@ -60,28 +60,36 @@ namespace bts.api.core {
          bool first_update = true;
          var result = Observable.Create<RawUpdate<TOut>>(observer => {
             ApiNativeMethods.raw_subscription_callback cb = (event_type, changes, change_count, unused) => {
-               if (event_type == ApiNativeMethods.EventType.TABLE_UPDATED) {
-                  var added_items = new List<TOut>(change_count);
-                  var added_keys = new List<int>(change_count);
-                  var removed_keys = new List<int>(change_count);
-                  foreach (var change in changes) {
-                     if (change.type != ApiNativeMethods.ChangeType.REMOVE) {
-                        // create or change
-                        added_items.Add( converter( parser.ParseFrom(new UnmanagedMemoryStream(change.buffer, change.buffer_len))));
-                        added_keys.Add(change.key);
-                     }
-                     if (change.type != ApiNativeMethods.ChangeType.CREATE) {
-                        // removed or changed
-                        removed_keys.Add(change.key);
+               try {
+                  if (event_type == ApiNativeMethods.EventType.TABLE_UPDATED) {
+                     var added_items = new List<TOut>(change_count);
+                     var added_keys = new List<int>(change_count);
+                     var removed_keys = new List<int>(change_count);
+                     foreach (var change in changes) {
+                        if (change.type != ApiNativeMethods.ChangeType.REMOVE) {
+                           // create or change
+                           added_items.Add( converter( parser.ParseFrom(new UnmanagedMemoryStream(change.buffer, change.buffer_len))));
+                           added_keys.Add(change.key);
+                        }
+                        if (change.type != ApiNativeMethods.ChangeType.CREATE) {
+                           // removed or changed
+                           removed_keys.Add(change.key);
+                        }
                      }
+                     observer.OnNext(new RawUpdate<TOut>(added_items, added_keys, removed_keys));
+                  }
+                  else if (event_type == ApiNativeMethods.EventType.TABLE_CREATED) {
+                     if (!first_update) {
+                        observer.OnNext(RawUpdate<TOut>.Reset());
+                     }
+                     first_update = false;
                   }
-                  observer.OnNext(new RawUpdate<TOut>(added_items, added_keys, removed_keys));
                }
-               else if (event_type == ApiNativeMethods.EventType.TABLE_CREATED) {
-                  if (!first_update) {
-                     observer.OnNext(RawUpdate<TOut>.Reset());
-                  }
-                  first_update = false;
+               catch (Exception e) {
+                  ApiNativeMethods.api_client_log_error($"Exception in subscription callback for sub: '{method_and_qualifier}' \n--\n '{e}'");
+                  // Sleep to let the log message get asyncronously written to disk
+                  System.Threading.Thread.Sleep(100);
+                  Environment.Exit(-1);
                }
             };
             var subscription = ApiNativeMethods.api_client_subscribe(_client, method_and_qualifier, cb, IntPtr.Zero);

src/client/spark_api/utils/BTSNativeMethods.cs

@@ -8,19 +8,19 @@ namespace mbts.utils
 {
    internal static class BTSNativeMethods
    {
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       public static extern void provide_command_line(
          [MarshalAs(UnmanagedType.LPArray, ArraySubType = UnmanagedType.LPStr)] string[] argv, int argc);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       public static extern int get_random_port();
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       public static extern void init_spark_lib();
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       public static extern void finit_spark_lib();
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       public static extern UInt64 ll_now();
 
       [DllImport("kernel32.dll")]

src/client/spark_core/Co2/Co2NativeMethods.cs

@@ -23,14 +23,14 @@ namespace mbts.co2
          }
       }
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern IntPtr create_md_consumer( 
          [MarshalAs(UnmanagedType.LPArray)] UserSymbol[] symbols, 
          UInt32 count, bool shared);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void destroy_md_consumer(IntPtr consumer);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern bool md_consumer_all_heartbeats_ok(IntPtr consumer);
 
       [StructLayout(LayoutKind.Sequential)]
@@ -42,72 +42,72 @@ namespace mbts.co2
          public readonly IntPtr cold_header;
       }
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern bool md_consumer_get_handle(IntPtr consumer, security_key key, out BlitPointerTuple tup);
 
 
       [UnmanagedFunctionPointer(CallingConvention.Cdecl)]
       internal unsafe delegate void raw_security_callback(security_key key, byte* buffer, UInt64 buffer_size, BlitPointerTuple tup);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern UInt64 md_consumer_walk_security_list(IntPtr consumer, raw_security_callback on_security);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void md_consumer_scan_securities(IntPtr consumer);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void md_consumer_set_on_security(IntPtr consumer, raw_security_callback on_security);
       internal unsafe delegate void raw_just_security_callback(security_key key, byte* buffer, UInt64 buffer_size);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal unsafe static extern void md_consumer_get_single_security(MDConsumerHandle.ColdEntry* entry, raw_just_security_callback on_security);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal unsafe static extern bool md_consumer_is_heart_beating(MDConsumerHandle.ColdHeader* header);
 
       internal unsafe delegate void raw_receive_pb(byte* buffer, UInt64 buffer_size);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal unsafe static extern int md_consumer_read_trades(IntPtr consumer, UserSymbol channel, ref Int64 cursor, raw_receive_pb cb);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal unsafe static extern int md_consumer_read_rfqs(IntPtr consumer, UserSymbol channel, ref Int64 cursor, raw_receive_pb cb);
       
       [UnmanagedFunctionPointer(CallingConvention.Cdecl)]
       internal unsafe delegate void raw_usersymbol_callback(UserSymbol us);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal unsafe static extern void md_consumer_get_system_md_symbols(raw_usersymbol_callback cb);
 
 
       //
       // Relay control
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal unsafe static extern IntPtr start_private_relay(IntPtr consumer, UInt32 interval);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal unsafe static extern IntPtr stop_relay(IntPtr relay);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal unsafe static extern IntPtr add_relay_symbol(IntPtr relay, UserSymbol symbol, bts.co2.MDRequest.Types.Flags flags);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal unsafe static extern void post_on_scan_security_thread(Action callback);
    }
 
    internal static class Co2NativeTestMethods
    {
-      [DllImport("spark_lib", EntryPoint = "co2_get_1234_handle")]
+      [DllImport("libspark", EntryPoint = "co2_get_1234_handle")]
       internal static extern void get_1234_handle(out UInt64 size, out Co2NativeMethods.BlitPointerTuple pt);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void co2_get_sample_hot(out ulong size, ref MDConsumerHandle.HotEntry entry);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void co2_get_sample_depth(out ulong size, ref MDConsumerHandle.HotDepthEntry entry);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void co2_get_sample_cold(out ulong size, ref MDConsumerHandle.ColdEntry entry);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void co2_get_sample_cold_header(ref MDConsumerHandle.ColdHeader entry);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern IntPtr co2_produce_test_md();
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void co2_destroy_test_md(IntPtr handle);
 
    }

src/client/spark_core/config/config.cs

@@ -60,16 +60,16 @@ namespace mbts.config
       /// private
       ////////////
 
-      [DllImport("spark_lib", EntryPoint = "get_buffer")]
+      [DllImport("libspark", EntryPoint = "get_buffer")]
       private static extern IntPtr raw_get_buffer(string key_name, ref int length);
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       private static extern bool initialize_nothrow(StringBuilder buffer, int length);
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       private static extern void reset();
 
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       internal static extern void configcheck(int count, string[] args);
 
 
@@ -105,7 +105,7 @@ namespace mbts.config
       public static bool is_running_nunit() {
          return AppDomain.CurrentDomain.GetAssemblies().FirstOrDefault(ass => ass.FullName.ToLower().StartsWith("nunit.framework")) != null;
       }
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       public static extern void force_unittest_environment();
    }
 

src/client/spark_core/logging/Logger.cs

@@ -111,7 +111,7 @@ namespace mbts
          return "Log file does not exist";
       }
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       private static extern void Logger_log (Level level, Subsystem subsystem, string message, string file, int line);
 
       delegate void on_crash_callback([MarshalAs(UnmanagedType.LPStr)]string msg, [MarshalAs(UnmanagedType.LPStr)] string details);
@@ -120,4 +120,4 @@ namespace mbts
       }
       public static event Action<string, object> OnSystemCrashing;
    }
-}
+}

src/client/spark_core/utils/GlobalExtensions.cs

@@ -7,7 +7,7 @@ namespace mbts {
          return string.Format(input, vals);
       }
 
-      [DllImport("spark_lib")]
+      [DllImport("libspark")]
       private static extern void ll_to_parts(UInt64 ll_time, out int year, out int month, out int day, out int hour, out int minute, out int second, out int ms);
 
       public static DateTime lldatetime(this ulong ll) {

src/client/spark_sdk/samples/MarketDataClient.cs

@@ -97,14 +97,14 @@ namespace bts.sdk
       {
          check_subscriptions(flags, x =>
             (x.Exchange == product.Exchange && x.Type == product.Type && x.Symbol == product.Symbol));
-         return subscribe( 
+         return _subscribe( 
             x => (x.Exchange == product.Exchange && ((SecurityImmutable)x).security_type() == product.Type && x.Symbol == product.Symbol), 
             update_interval,
             scheduler);
       }
 
-      public IObservable<ChannelUpdate> subscribe(Func<Security, bool> filter, 
-                                                  TimeSpan? update_interval = null, IScheduler scheduler = null)
+      IObservable<ChannelUpdate> _subscribe(Func<Security, bool> filter, 
+                                            TimeSpan? update_interval = null, IScheduler scheduler = null)
       {
          Data[] slots = new Data[0]; long local_security_count = 0;
          return timer_pump<Data>((last_update, observer) =>
@@ -173,7 +173,7 @@ namespace bts.sdk
          long last_update_time = 0;
          return Observable.Create<T>(observer =>
          {            
-            return Observable.Timer(interval.Value, scheduler ?? Scheduler.Default).Subscribe(_ =>
+            return Observable.Timer(interval.Value, interval.Value, scheduler ?? Scheduler.Default).Subscribe(_ =>
             {
                tick(last_update_time, observer);
                last_update_time = DateTime.UtcNow.Ticks;

src/client/spark_sdk/samples/MarketDataSample.cs

@@ -61,12 +61,13 @@ namespace bts.sdk
          Venue ven = parse_venue(exch);
          SecurityType st = parse_security_type(sectype);
          Product prod = new Product() { Exchange = ven, Type = st, Symbol = symbol };
-
          Func<Security, bool> filter = (x => x.Glbx.SecurityDesc == security_desc);
-         _disps.Add(_md.subscribe(filter).Subscribe(x =>
-            {
-               print_update(x);
-            }));
+
+         //if you have a security_id, we could make a more specifics subscription, but this is a command line driver....      
+         _disps.Add(_md.subscribe(prod).Where(x => filter(x.Security)).Subscribe(x =>
+         {
+            print_update(x);
+         }));
    }
 
       public void Dispose()

src/client/spark_sdk/samples/SDKMain.cs

@@ -42,7 +42,7 @@ namespace bts.sdk
                   s.print_channel(args[1], args[2], args[3]);
                }
                else
-                  md_poll_help();
+                  md_help();
             }    
             else
                md_help();               
@@ -101,7 +101,6 @@ namespace bts.sdk
          Console.WriteLine();
          Console.WriteLine("Commands:");
          Console.WriteLine("   md <exchange> <security_type> <symbol> [<security_desc>]");
-         Console.WriteLine("   mdpoll <exchange> <security_type> <symbol> [<security_desc>]");
          Console.WriteLine("   ui <exchange> <security_type> <symbol> <security_desc> <poll_interval_in_ms>");
          Console.WriteLine("   order <exchange> <security_type> <symbol> <security_desc> <signed_quantity> [<price>]");
          Console.WriteLine("Arguments:");
@@ -131,17 +130,6 @@ namespace bts.sdk
          Environment.Exit(1);
       }
 
-      static void md_poll_help()
-      {
-         Console.WriteLine("mdpoll <exchange> <security_type> <symbol> [<security_desc>]");
-         Console.WriteLine("This command subscribes to market data for an exchange-type-symbol channel and writes to console.");
-         Console.WriteLine("Marketdata is read off the wire on one thread and read and printed on another through IScheduler");
-         Console.WriteLine("   example: md_threaded GLBX Future ES");
-         Console.WriteLine("            md_threaded GLBX Future ES ESZ8");
-         Console.WriteLine("            md_threaded GLBX Spread ES");
-         Environment.Exit(1);
-      }
-
       static void ui_help()
       {
          Console.WriteLine("ui <exchange> <security_type> <symbol> <security_desc> <poll_interval_in_ms>");

src/client/spark_sdk/spark_sdk.csproj

@@ -50,7 +50,7 @@
   <Target Name="CopyProjectReferencesToPackage" DependsOnTargets="ResolveReferences">
     <ItemGroup>
       <BuildOutputInPackage Include="@(ReferenceCopyLocalPaths->WithMetadataValue('ReferenceSourceTarget', 'ProjectReference'))" />
-      <BuildOutputInPackage Include="$(OutputPath)..\net471\spark_lib.dll"/>
+      <BuildOutputInPackage Include="$(OutputPath)..\net471\libspark.dll"/>
     </ItemGroup>
   </Target>  
 </Project>

src/data_files/CMakeDeps.cmake

@@ -0,0 +1 @@
+set(sources /home/ppinto/Dropbox/bts/spark/src/data_files/files/Onixs.BTS.lic;/home/ppinto/Dropbox/bts/spark/src/data_files/files/cert_secure_logon.txt)

src/data_files/CMakeLists.txt

@@ -0,0 +1,18 @@
+cmake_minimum_required(VERSION 3.5)
+project(data_files)
+
+include(${CMAKE_SOURCE_DIR}/tools/safe_dep_glob.cmake)
+
+# DEPENDENCIES
+file (GLOB_RECURSE To_Copy ABSOLUTE ${CMAKE_CURRENT_SOURCE_DIR} files/*)
+update_deps_file("${To_Copy}")
+# END DEPENDENCIES
+
+add_custom_command(OUTPUT ${CMAKE_BINARY_DIR}/data_files
+  COMMAND /bin/bash ${CMAKE_CURRENT_SOURCE_DIR}/copy_data_files.sh
+  ARGS ${CMAKE_BINARY_DIR}/data_files ${CMAKE_CURRENT_SOURCE_DIR} 
+  COMMENT "Copying data files"
+  DEPENDS ${CMAKE_CURRENT_SOURCE_DIR}/copy_data_files.sh ${To_Copy})
+
+add_custom_target(data_files_dir ALL DEPENDS ${CMAKE_BINARY_DIR}/data_files)
+

src/data_files/copy_data_files.sh

@@ -0,0 +1,5 @@
+#!/bin/bash
+
+rm -rf $1
+mkdir $1
+cp -r $2/files/* $1

src/data_files/files/Onixs.BTS.lic

@@ -0,0 +1,21 @@
+<license version="1.0">
+  <type>production</type>
+  <customer>
+    <name>Blue Trading Systems</name>
+  </customer>
+  <period>
+    <since>2017-04-24</since>
+    <till>2018-08-29</till>
+  </period>
+  <dotNetProducts>
+    <product id="41" name="FIX Analyser" />
+  </dotNetProducts>
+  <dotNetCheckSum>jqN4XONnMeiDSJIAa6CK9m9SitquhMq3MhJW97fG26Fp+GPog9ObMLS2elPvippdZsRWmJGsjTmFxAg8d41Vr+tpNgObi3VT3DtfYjGESTmi+u4vvJ9PNi8tQWQ7HPYBJe1X6j84ijhe5e1jHEcaXZ08ExDbESebn2ndHb4Phv4=</dotNetCheckSum>
+  <products>
+    <product id="1" name="OnixS FIX Engine for C++" />
+    <product id="4" name="CME Market Data Handler for C++" />
+    <product id="7" name="ICE iMpact Multicast Price Feed Handler for C++" />
+    <product id="13" name="NYSE ArcaBook Multicast for Equities Handler for C++" />
+  </products>
+  <checksum>F5502F3BD9CE954022ABCBF94A7E4052</checksum>
+</license>

src/data_files/files/cert_secure_logon.txt

@@ -0,0 +1,12 @@
+Session ID           Access ID                      Secret Key                                         Creation Date        Expiration Date      Environment          
+1U7                  i9pLY5mVhWLXs7FWNb9X           8esbwiaHaqmR2rXZMkJRHt00fW6l_-ppCGoheWWuBZQ        2018-04-05           2019-04-05           CERT                 
+1U7                  ozXmORijPtJriTg6Wwny           A1KOwrhH8GojNotjkCfVwHRSi_OS280xihaRZwJLFKo        2018-04-03           2018-05-03           CERT                 
+ANS                  6ogfYoF54g695tqaHsFC           CtDkFnuDuStB1S05nC_pWvANb6FWsV2IMNKkmM3EcP4        2018-04-05           2019-04-05           NEWRELEASE           
+KTK                  IrUp518ekr8SzbfJGdPZ           QmilC-cKgqlIiIBs_BV59fowbPfuBWn0QjeEc1dYj38        2018-04-05           2019-04-05           NEWRELEASE           
+M5Y                  bUFtyvZgPhZFCYa434ap           rfZ2XLLwtHt26szWwMxYRw9uPb7jE4evEWaKuKf2uyU        2018-04-05           2019-04-05           CERT                 
+MBX                  tbna9JLxT4Jlrzj0wtSS           EcYqrLmR4ysSIT_NCBeC2AjDo7IAHsVZ0rOZ0cpAh_o        2018-04-05           2019-04-05           CERT                 
+MC1                  0N10hKkE2B2KUt86ewd8           dJ5I52JNA-6aZZ8hnO0byVKcyqA8Of6kkstfIF89AAM        2018-04-05           2019-04-05           CERT                 
+MC5                  e4uBmhQ1ebaXAeWHa7HK           PNOM86eofsiCwzzKUsB5yAmrNoyZypnYD72pT2A8zgc        2018-04-05           2019-04-05           CERT                 
+MC7                  S6KfCnay5UJ67P55ibHd           5lSs1TbX7N0p6Duu63_JDMghPUqBAWacvkM91MUv1uM        2018-04-05           2019-04-05           CERT                 
+MC8                  AbEEtBn63WIAuItPDz1c           n3ndjYb03Hx6wBO3me35HoONyDgO5TZKWk0tDSaX9KA        2018-04-05           2019-04-05           CERT                 
+T39                  UWggBgHWAe07aqW3ps2I           tbb3it0rUQSSTa0TC9QcRwkrHEMDLWhaJH4VQ0FqGB4        2018-04-05           2019-04-05           NEWRELEASE           

src/lib/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/services/AdminService.proto;api/services/ApiUnitTestService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MarketDataRelay.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/ShellDiagnosticService.proto;api/services/SyntheticSecurityService.proto;api/services/UserService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/Executor.conf;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/edge.conf;config/defaults/expiration_display_offset.conf;config/defaults/jetfix.conf;config/defaults/logging.conf;config/defaults/testkeys.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/environment.proto;config/protos/expiration_display_offset.proto;config/protos/jetfix.proto;config/protos/logging.proto;config/protos/quickbus_cfg.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPriceLantencyTester.cpp;md/Diag/ShmDumper.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MDRecoverableConsumer.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/common.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2TestInstrument.cpp;md/test/md2_tests.cpp;md/test/synthetic_book_merge_tests.cpp;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/windows_test_driver.cpp;utils/Dispatcher.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;utils/Puid.cpp;utils/SecureLogon.cpp;utils/SharedMemory.cpp;utils/Sqlite_utils.cpp;utils/Uuid.cpp;utils/datetime.cpp;utils/download.cpp;utils/file_utils.cpp;utils/init_spark_lib.cpp;utils/is_unittest_environment.cpp)
+set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/services/AdminService.proto;api/services/ApiUnitTestService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MarketDataRelay.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/services/UserService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/Executor.conf;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cpp_config.conf;config/defaults/edge.conf;config/defaults/expiration_display_offset.conf;config/defaults/jetfix.conf;config/defaults/logging.conf;config/defaults/testkeys.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cpp_config.proto;config/protos/environment.proto;config/protos/expiration_display_offset.proto;config/protos/jetfix.proto;config/protos/logging.proto;config/protos/quickbus_cfg.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPriceLantencyTester.cpp;md/Diag/ShmDumper.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MDRecoverableConsumer.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/common.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2TestInstrument.cpp;md/test/md2_tests.cpp;md/test/synthetic_book_merge_tests.cpp;metrics/metrics.cpp;metrics/system_metrics.cpp;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/Dispatcher.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;utils/Puid.cpp;utils/SecureLogon.cpp;utils/SharedMemory.cpp;utils/Sqlite_utils.cpp;utils/Uuid.cpp;utils/datetime.cpp;utils/download.cpp;utils/file_utils.cpp;utils/init_spark_lib.cpp;utils/is_unittest_environment.cpp)

src/lib/CMakeLists.txt

@@ -1,28 +1,33 @@
 cmake_minimum_required(VERSION 3.5)
-project(spark_lib)
-
+project(libspark)
+set(CMAKE_SHARED_LIBRARY_PREFIX "")
 include(${CMAKE_SOURCE_DIR}/tools/safe_dep_glob.cmake)
 include(${CMAKE_SOURCE_DIR}/tools/Protobuf.cmake)
 
 # DEPENDENCIES
-# config protos
 file(GLOB_RECURSE Config_Protos RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} config/protos/*.proto)
-
-# service protos
 file (GLOB_RECURSE Service_Protos RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} api/services/*.proto)
-
-# non config/non service protos
 file(GLOB_RECURSE NonConfig_Protos RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} *.proto)
 list(REMOVE_ITEM NonConfig_Protos ${Service_Protos} ${Config_Protos})
-
-# normal cpps
-file(GLOB_RECURSE SparkLib_Sources RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} *.cpp)
-
-# defaults
 file(GLOB_RECURSE Conf_Defaults RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} config/defaults/*.conf)
 
-# this is used to communicate to other repositories that the build
-# needs to happen again (because a file was added)
+if (WIN32)
+  file(GLOB_RECURSE SparkLib_Sources RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
+    api/*.cpp
+    config/*.cpp
+    domain_model/*.cpp
+    expression/*.cpp 
+    logging/*.cpp 
+    md/*.cpp 
+    os/*.cpp
+    quickbus/*.cpp 
+    sparkproto/*.cpp 
+    testing/*.cpp 
+    utils/*.cpp)
+else ()
+  file(GLOB_RECURSE SparkLib_Sources RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} *.cpp)
+endif()
+
 update_deps_file("${SparkLib_Sources};${Config_Protos};${Service_Protos};${NonConfig_Protos};${Conf_Defaults}")
 # END DEPENDENCIES
 
@@ -55,15 +60,15 @@ foreach (cfg_file_path ${Conf_Defaults})
   configure_file(${cfg_file_path} ${CMAKE_BINARY_DIR}/src/server/sparkd/defaults/${cfg_file_name})
 endforeach(cfg_file_path)
 
-# spark_lib 
+# lib 
 if (WIN32)
-  add_library(spark_lib SHARED 
+  add_library(libspark SHARED 
     ${SparkLib_Sources}
     ${PROTO_SRCS}
     ${SERVICE_COMPILER_SRCS}
     )
 else ()
-  add_library(spark_lib STATIC
+  add_library(libspark SHARED 
     ${SparkLib_Sources}
     ${PROTO_SRCS}
     ${SERVICE_COMPILER_SRCS}
@@ -71,10 +76,10 @@ else ()
 endif()
 
 #include paths
-target_include_directories( spark_lib PUBLIC ${CMAKE_SOURCE_DIR}/src ${CMAKE_BINARY_DIR}/src)
+target_include_directories( libspark PUBLIC ${CMAKE_SOURCE_DIR}/src ${CMAKE_BINARY_DIR}/src)
 
 if (WIN32)
-  target_link_libraries( spark_lib
+  target_link_libraries( libspark
     libcurl
     libfmt
     libtbb
@@ -88,12 +93,8 @@ if (WIN32)
     libprotobuf
     ) 
 else ()
-  target_link_libraries( spark_lib
-    curl
-    ssl
-    crypto
-    fmt
-    tbb
+  target_link_libraries( libspark
+    protobuf
     boost_system
     boost_thread
     boost_filesystem
@@ -101,9 +102,13 @@ else ()
     boost_chrono
     boost_date_time
     boost_atomic
-    protobuf
-    uuid.a
     sqlite3
+    curl
+    uuid
+    ssl
+    crypto
+    fmt
+    tbb
     cryptopp
     -lrt
     -ldl
@@ -116,4 +121,4 @@ if (WIN32)
   include(${CMAKE_SOURCE_DIR}/tools/vs_filters.cmake)
 endif()
 
- 
+ 

src/lib/api/service_compiler/templates/c#/server.pb.cs

@@ -53,7 +53,7 @@ internal abstract class {{name}}Base : ApiServer, IDisposable {
         }
 
         ApiNativeMethods.StreamUpdate pack({{output_type_full}} item, bool is_change, List<GCHandle> pinned_buffers) {
-            var data = item.ToByteArray();
+            var data = Google.Protobuf.MessageExtensions.ToByteArray(item);
             var handle = GCHandle.Alloc(data, GCHandleType.Pinned);
             pinned_buffers.Add(handle);
             return new ApiNativeMethods.StreamUpdate() {

src/lib/api/service_compiler/templates/cpp/server.pb.cc

@@ -59,18 +59,18 @@ void {{name}}Base::dispatch(const bts::api::RequestHeader& header, google::proto
 {{#each method}}{{#if server_streaming}}
 
 {{../name}}Base::{{cap name}}Publisher {{../name}}Base::make_{{name}}_publisher(std::string const&qualifier) const {
-   TableHandle handle = _channel.create_table(std::string("{{name}}/") + qualifier);
+   bts::api::TableHandle handle = _channel.create_table(std::string("{{name}}/") + qualifier);
     return make_{{name}}_publisher(handle);
 }
 {{../name}}Base::{{cap name}}Publisher {{../name}}Base::make_{{name}}_publisher(const {{input_type_cpp}}& qualifier) const {
-    TableHandle handle = _channel.create_table(format_qualifier("{{name}}", qualifier));
+    bts::api::TableHandle handle = _channel.create_table(format_qualifier("{{name}}", qualifier));
     return make_{{name}}_publisher(handle);
 }
 {{../name}}Base::{{cap name}}Publisher {{../name}}Base::make_{{name}}_publisher() const {
-    TableHandle handle = _channel.create_table("{{name}}");
+    bts::api::TableHandle handle = _channel.create_table("{{name}}");
     return make_{{name}}_publisher(handle);
 }
-{{../name}}Base::{{cap name}}Publisher {{../name}}Base::make_{{name}}_publisher(TableHandle handle) const {
+{{../name}}Base::{{cap name}}Publisher {{../name}}Base::make_{{name}}_publisher(bts::api::TableHandle handle) const {
     {{#unless key_type.natural_key}}
     std::unordered_map<{{key_type.cpptype}}, int> _map;
     int _next_id;
@@ -97,9 +97,9 @@ void {{name}}Base::dispatch(const bts::api::RequestHeader& header, google::proto
         int total_updates = add_count + change_count + remove_count;
 
         // Optimize small collections
-        StreamUpdate stack_buffer[256];
-        std::vector<StreamUpdate> heap_buffer;
-        StreamUpdate* pupdates = stack_buffer;
+        bts::api::StreamUpdate stack_buffer[256];
+        std::vector<bts::api::StreamUpdate> heap_buffer;
+        bts::api::StreamUpdate* pupdates = stack_buffer;
         if (total_updates > 256) {
             heap_buffer.resize(total_updates);
             pupdates = &heap_buffer[0];
@@ -108,13 +108,13 @@ void {{name}}Base::dispatch(const bts::api::RequestHeader& header, google::proto
         int dest = 0;
         if (added) {
             for(const auto& item : *added) {
-                StreamUpdate& update = pupdates[dest++];
-                update.type = StreamUpdate::CREATE;
+                bts::api::StreamUpdate& update = pupdates[dest++];
+                update.type = bts::api::StreamUpdate::CREATE;
                 if (removed != nullptr) {
                     auto iter = removed->find({{name}}_key(item));
                     if (iter != removed->end()) {
                         removed->erase(iter);
-                        update.type = StreamUpdate::REPLACE;
+                        update.type = bts::api::StreamUpdate::REPLACE;
                     }
                 }
                 {{#if key_type.natural_key}}
@@ -130,8 +130,8 @@ void {{name}}Base::dispatch(const bts::api::RequestHeader& header, google::proto
         }
         if (changed) {
             for (const auto& item : *changed) {
-                StreamUpdate& update = pupdates[dest++];
-                update.type = StreamUpdate::REPLACE;
+                bts::api::StreamUpdate& update = pupdates[dest++];
+                update.type = bts::api::StreamUpdate::REPLACE;
                 {{#if key_type.natural_key}}
                 update.key = (int)({{name}}_key(item));
                 {{else}}
@@ -145,8 +145,8 @@ void {{name}}Base::dispatch(const bts::api::RequestHeader& header, google::proto
         }
         if (removed) {
             for (const auto& key : *removed) {
-                StreamUpdate& update = pupdates[dest++];
-                update.type = StreamUpdate::REMOVE;
+                bts::api::StreamUpdate& update = pupdates[dest++];
+                update.type = bts::api::StreamUpdate::REMOVE;
                 {{#if key_type.natural_key}}
                 update.key = (int)(key);
                 {{else}}

src/lib/api/service_compiler/templates/cpp/server.pb.h

@@ -61,7 +61,7 @@ protected:
 private:
   void dispatch(const bts::api::RequestHeader&, google::protobuf::io::ZeroCopyInputStream&, OnResponse) override;
   {{#each method}}{{#if server_streaming}}
-  {{cap name}}Publisher make_{{name}}_publisher(TableHandle) const;
+  {{cap name}}Publisher make_{{name}}_publisher(bts::api::TableHandle) const;
   {{/if}}{{/each}}
 };
 

src/lib/api/service_helpers/AdminServiceUtils.cpp

@@ -1,5 +1,6 @@
 #include "lib/api/services/AdminService.server.pb.h"
 #include "lib/api/service_helpers/AdminServiceUtils.h"
+#include "lib/md/get_symbols.h"
 
 namespace bts{
 namespace admin{
@@ -30,6 +31,9 @@ bool AdminServiceUtils::has_exchange(const bts::api::admin::ExchangeConnection&
            (conn.cme_connection().has_cgw_connection() || conn.cme_connection().has_msgw_connection());
       break;
    case api::Venue::VENUE_UNSET:
+   case api::Venue::VENUE_SIM:
+      rv = conn.has_sim_connection();
+      break;
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
    case api::Venue::VENUE_CBOECFE:
@@ -70,6 +74,20 @@ AdminServiceUtils::resolve_cme_connection(const bts::api::admin::AdminData& data
    return nullptr;                                                               
 }
 
+const bts::api::admin::ExchangeConnection*
+AdminServiceUtils::resolve_sim_connection(const bts::api::admin::AdminData& data,
+                                          const bts::api::admin::BTSAccount& account,
+                                          const bts::api::Security& sec){
+   bts_assert(sec.exchange() == api::Venue::VENUE_SIM);
+   if(account.has_connections())
+      for (const std::string& conn_name : account.connections().exchange_connection_names()){
+         const bts::api::admin::ExchangeConnection* conn = find_connection(data, conn_name);
+         if (conn!=nullptr && conn->has_sim_connection())
+               return conn;  
+      }
+   return nullptr;                                                               
+}
+
 const bts::api::admin::ExchangeConnection*
 AdminServiceUtils::resolve_connection(const bts::api::admin::AdminData& data,
                                       const bts::api::admin::BTSAccount& account,
@@ -81,6 +99,9 @@ AdminServiceUtils::resolve_connection(const bts::api::admin::AdminData& data,
          break;
       case api::Venue::VENUE_UNSET:
       case api::Venue::VENUE_BTS:
+      case api::Venue::VENUE_SIM:
+         rv = resolve_sim_connection(data, account, sec);
+         break;
       case api::Venue::VENUE_CBOE:
       case api::Venue::VENUE_CBOECFE:      
       case api::Venue::VENUE_ICE:
@@ -104,16 +125,26 @@ void AdminServiceUtils::fill_connections_from_config(bts::api::admin::AdminData&
    admin_data.clear_connections();
    auto &all_connections = config::get<config::JetFIX>().connection();
    for (auto const &c : all_connections){
-      // TODO:(assumes all exchanges are CME)
       bts::api::admin::ExchangeConnection connection;
       uint32_t new_id = find_max_connection_id(admin_data)+1;
       connection.set_id(new_id);
       connection.set_name(c.name());
-      if (c.cme_market_segment_id()==0)
-         connection.mutable_cme_connection()->mutable_cgw_connection();
-      else
-         connection.mutable_cme_connection()->mutable_msgw_connection()->set_market_segment_id(c.cme_market_segment_id());
-      add_connection(admin_data,connection);
+
+      switch (c.platform()) {
+      case config::JetFIX::Connection::GLBX:
+         if (c.cme_market_segment_id()==0)
+            connection.mutable_cme_connection()->mutable_cgw_connection();
+         else
+            connection.mutable_cme_connection()->mutable_msgw_connection()->set_market_segment_id(c.cme_market_segment_id());
+         add_connection(admin_data,connection);
+         break;
+      case config::JetFIX::Connection::CBOE:
+         break;
+      case config::JetFIX::Connection::SIM:
+         connection.mutable_sim_connection();
+         add_connection(admin_data,connection);
+         break;
+      }
    }
    for(int i=0;i<admin_data.accounts_size();i++)
       sync_account_connections(admin_data, *admin_data.mutable_accounts(i));
@@ -193,6 +224,19 @@ const bts::api::admin::CMEAccountData* AdminServiceUtils::get_account_cme_data(c
    }
    return nullptr;
 }
+
+const bts::api::admin::SIMAccountData* AdminServiceUtils::get_account_sim_data(const bts::api::admin::BTSAccount& account, 
+                                                                               const bts::api::admin::AdminData& data){
+   if (account.has_exchange_account_data() && account.exchange_account_data().has_sim_account_data())
+      return &(account.exchange_account_data().sim_account_data());
+   else if (has_id(account.parent_account_id())){
+      const bts::api::admin::BTSAccount* parent_account = find_account(data, account.parent_account_id());
+      if (parent_account != nullptr)
+         return get_account_sim_data (*parent_account, data);
+   }
+   return nullptr;
+}
+
 bool AdminServiceUtils::account_has_connection(const bts::api::admin::BTSAccount& account,
                                                const std::string& connection_name){
    if(account.has_connections()){
@@ -207,15 +251,21 @@ std::string AdminServiceUtils::find_account_exchange_account (const bts::api::ad
                                                               api::Venue exchange,
                                                               bts::api::admin::AdminServiceOperationResult& out_result){
    out_result.set_is_success(true);
-   const api::admin::CMEAccountData* cme_account_data;
    std::string rv = "";
    switch(exchange)
    {
-   case api::Venue::VENUE_GLBX:
-      cme_account_data = get_account_cme_data(account, data);
+   case api::Venue::VENUE_GLBX: {
+      auto cme_account_data = get_account_cme_data(account, data);
       if (cme_account_data != nullptr)
          rv = cme_account_data->clearing_account();
       break;
+   }
+   case api::Venue::VENUE_SIM: {
+      auto sim_account_data = get_account_sim_data(account, data);
+      if (sim_account_data != nullptr)
+         rv = sim_account_data->clearing_account();
+      break;
+   }
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
@@ -228,6 +278,7 @@ std::string AdminServiceUtils::find_account_exchange_account (const bts::api::ad
    }
    return rv;
 }
+
 std::map<uint32_t,bool> AdminServiceUtils::accounts_map(const bts::api::admin::AdminData& admin_data){
    std::map<uint32_t,bool> rv;
    auto account_ptrs = accounts(admin_data, false);
@@ -315,7 +366,8 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(const bt
       out_result.set_error_text("Could not find connection");
       return rv;
    }
-   if(sec.exchange()==bts::api::Venue::VENUE_GLBX){
+   switch (sec.exchange()) {
+   case bts::api::Venue::VENUE_GLBX: {
      const bts::api::admin::CMEUserData* cme_user_data = get_user_cme_data(*user_ptr, data);
      if(cme_user_data==nullptr){
         out_result.set_is_success(false);
@@ -334,6 +386,11 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(const bt
         out_result.set_error_text("Operator ID is not set");
         return rv;
      }
+     if (cme_user_data->location().length() == 0){
+        out_result.set_is_success(false);
+        out_result.set_error_text("Location is not set");
+        return rv;
+     }
      if (cme_account_data->clearing_account().length() == 0){
         out_result.set_is_success(false);
         out_result.set_error_text("Clearing Account is not set");
@@ -346,17 +403,77 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(const bt
      }
      rv.set_session(conn_ptr->name());
      rv.set_operator_id(cme_user_data->operator_id());
+     rv.set_location(cme_user_data->location());
+     rv.set_smp_id(cme_user_data->smp_id());
+     if (cme_user_data->smp_instruction()== "O")
+        rv.set_smp_instruction(api::orderman::SelfMatchPreventionInstruction::SELF_MATCH_PREVENTION_INSTRUCTION_CANCEL_RESTING);
+     else if (cme_user_data->smp_instruction()== "N")
+        rv.set_smp_instruction(api::orderman::SelfMatchPreventionInstruction::SELF_MATCH_PREVENTION_INSTRUCTION_CANCEL_AGRESSING);
+     else 
+        rv.set_smp_instruction(api::orderman::SelfMatchPreventionInstruction::SELF_MATCH_PREVENTION_INSTRUCTION_UNDEFINED);
+
      rv.set_account(cme_account_data->clearing_account());
      rv.set_cti_code(cme_account_data->cti());
      rv.set_customer_or_firm(cme_account_data->origin());
      return rv;
    }
-   else{
-      out_result.set_is_success(false);
-      out_result.set_error_text("Only contracts at the CME are supported right now");
-      return rv;
+   case api::Venue::VENUE_SIM: {
+     const bts::api::admin::SIMUserData* sim_user_data = get_user_sim_data(*user_ptr, data);
+     if(sim_user_data==nullptr){
+        out_result.set_is_success(false);
+        out_result.set_error_text("Could not find SIM data for user");
+        return rv;
+     }
+     const bts::api::admin::SIMAccountData* sim_account_data = get_account_sim_data(*account_ptr, data);
+     if(sim_account_data==nullptr){
+        out_result.set_is_success(false);
+        out_result.set_error_text("Could not find SIM data for account");
+        return rv;
+     }     
+     // check for data corectness
+     if (sim_user_data->operator_id().length() == 0){
+        out_result.set_is_success(false);
+        out_result.set_error_text("Operator ID is not set");
+        return rv;
+     }
+     if (sim_user_data->location().length() == 0){
+        out_result.set_is_success(false);
+        out_result.set_error_text("Location is not set");
+        return rv;
+     }
+     if (sim_account_data->clearing_account().length() == 0){
+        out_result.set_is_success(false);
+        out_result.set_error_text("Clearing Account is not set");
+        return rv;
+     }
+     if (sim_account_data->cti()==bts::api::orderman::CTICode::CTI_CODE_UNDEFINED){
+        out_result.set_is_success(false);
+        out_result.set_error_text("CTI Code is not set");
+        return rv;
+     }
+     rv.set_session(conn_ptr->name());
+     rv.set_operator_id(sim_user_data->operator_id());
+     rv.set_location(sim_user_data->location());
+     rv.set_account(sim_account_data->clearing_account());
+     rv.set_cti_code(sim_account_data->cti());
+     rv.set_customer_or_firm(sim_account_data->origin());
+     return rv;
    }
+      break;
+   case api::Venue::VENUE_UNSET:
+   case api::Venue::VENUE_BTS:
+   case api::Venue::VENUE_CBOE:
+   case api::Venue::VENUE_CBOECFE:
+   case api::Venue::VENUE_ICE:
+   case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
+   case api::Venue::Venue_INT_MAX_SENTINEL_DO_NOT_USE_:
+      out_result.set_is_success(false);
+      out_result.set_error_text("Unsupported exchange");
+      break;
+   }
+   return rv;
 }
+
 ////////////////////////////////////////////
 // account mutators ////////////////////////
 ////////////////////////////////////////////
@@ -493,6 +610,19 @@ const bts::api::admin::CMEUserData* AdminServiceUtils::get_group_cme_data(const
    }
    return nullptr;
 }
+
+const bts::api::admin::SIMUserData* AdminServiceUtils::get_group_sim_data(const bts::api::admin::BTSUserGroup& group,
+                                                                          const bts::api::admin::AdminData& data){
+   if (group.has_user_data() && group.user_data().has_exchange_user_data() && group.user_data().exchange_user_data().has_sim_data())
+      return &(group.user_data().exchange_user_data().sim_data());
+   else if (has_id(group.parent_group_id())){
+      const bts::api::admin::BTSUserGroup* parent_group = find_group(data, group.parent_group_id());
+      if (parent_group != nullptr)
+         return get_group_sim_data(*parent_group, data);
+   }
+   return nullptr;
+}
+
 const bts::api::admin::UserAccountPermissions* const AdminServiceUtils::get_group_user_permissions (const bts::api::admin::AdminData& admin_data,
                                                                                                     uint32_t group_id){
    const bts::api::admin::BTSUserGroup* const group = find_group(admin_data, group_id);
@@ -598,6 +728,7 @@ uint32_t AdminServiceUtils::find_max_user_id (const bts::api::admin::AdminData&
          rv = user_ptr->id();
    return rv;
 }
+
 const bts::api::admin::CMEUserData* AdminServiceUtils::get_user_cme_data(const bts::api::admin::BTSUser& user, 
                                                                          const bts::api::admin::AdminData& data){
    if (user.has_user_data() && user.user_data().has_exchange_user_data() && user.user_data().exchange_user_data().has_cme_data())
@@ -609,22 +740,41 @@ const bts::api::admin::CMEUserData* AdminServiceUtils::get_user_cme_data(const b
    }
    return nullptr;
 }
+
+const bts::api::admin::SIMUserData* AdminServiceUtils::get_user_sim_data(const bts::api::admin::BTSUser& user, 
+                                                                         const bts::api::admin::AdminData& data){
+   if (user.has_user_data() && user.user_data().has_exchange_user_data() && user.user_data().exchange_user_data().has_sim_data())
+      return &(user.user_data().exchange_user_data().sim_data());
+   else{
+      const bts::api::admin::BTSUserGroup* parent_group = find_group(data, user.parent_group_id());
+         if (parent_group != nullptr)
+            return get_group_sim_data(*parent_group, data);
+   }
+   return nullptr;
+}
    // finds the "exchange user" (ex: "operator_id" at CME or "authorized_trader" 
    // at ICE) for a user
 std::string AdminServiceUtils::find_user_exchange_id (const bts::api::admin::AdminData& data,
                                                       const bts::api::admin::BTSUser& user,
                                                       api::Venue exchange,
                                                       bts::api::admin::AdminServiceOperationResult& out_result){
-   const api::admin::CMEUserData* cme_user_data;
    out_result.set_is_success(true);
    std::string rv = "";
    switch(exchange)
    {
-   case api::Venue::VENUE_GLBX:
-      cme_user_data = get_user_cme_data(user, data);
+   case api::Venue::VENUE_GLBX: {
+      auto cme_user_data = get_user_cme_data(user, data);
       if (cme_user_data != nullptr)
          rv = cme_user_data->operator_id();
       break;
+   }
+   case api::Venue::VENUE_SIM: {
+      auto sim_user_data = get_user_sim_data(user, data);
+      if (sim_user_data != nullptr)
+         rv = sim_user_data->operator_id();
+      break;
+   }
+
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
@@ -963,6 +1113,46 @@ api::SecurityType AdminServiceUtils::security_type(const api::Security& security
 ////////////////////////////////////////////
 // boostrapping ////////////////////////////
 ////////////////////////////////////////////
+
+void add_product_position_limits(bts::api::admin::BTSAccount* to_account, api::Venue venue, api::SecurityType sec_type, uint32_t limit)
+{
+   std::vector<md::UserSymbol> symbols;
+   md::get_system_md_symbols(venue, sec_type,&symbols);
+
+   for (auto const &s : symbols) {
+      auto acct_a_prod_limit = to_account->add_product_position_limits();
+      acct_a_prod_limit->mutable_product()->set_exchange(s.exchange());
+      acct_a_prod_limit->mutable_product()->set_security_type(s.type());
+      acct_a_prod_limit->mutable_product()->set_security_symbol(s.symbol());
+      acct_a_prod_limit->set_long_position_limit(limit);
+      acct_a_prod_limit->set_short_position_limit(limit);
+   }
+}
+
+void add_security_clip_sizes_to_account(bts::api::admin::BTSAccount* to_account,  api::Venue venue, api::SecurityType sec_type,uint32_t limit)
+{
+   std::vector<md::UserSymbol> symbols;
+   md::get_system_md_symbols(venue, sec_type,&symbols);
+
+   for (auto const &s : symbols) {
+      auto acct_a_clip_size = to_account->mutable_security_clip_limits()->add_limit();
+      acct_a_clip_size->mutable_security()->set_exchange(s.exchange());
+      acct_a_clip_size->mutable_security()->set_security_type(s.type());
+      acct_a_clip_size->mutable_security()->set_security_symbol(s.symbol());
+      acct_a_clip_size->set_clip_size(limit);
+   }
+}
+
+void add_security_position_limits (bts::api::admin::BTSAccount* to_account, api::Venue venue, api::SecurityType sec_type)
+{
+   auto acct_a1_sec_limit = to_account->add_security_position_limits();
+   acct_a1_sec_limit->mutable_security()->set_exchange(venue);
+   acct_a1_sec_limit->mutable_security()->set_security_type(sec_type);
+   acct_a1_sec_limit->mutable_security()->set_security_symbol("*");
+   acct_a1_sec_limit->set_long_position_limit (10000);
+   acct_a1_sec_limit->set_short_position_limit (10000);
+}
+
 void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    data.set_id(1);
    bts::api::admin::AdminServiceOperationResult result;
@@ -975,7 +1165,7 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    auto account_3 = create_account(data, parent_account->id(), std::string("ACC A3"), std::string("description"), true, account_result); account_3->set_is_active(true);
    create_account(data, parent_account->id(), std::string("ACC A4"), std::string("description"), true, account_result);
    // add group
-   auto def_group = create_group(data, 0, std::string("DEFAULT"), result);
+   auto def_group = create_group(data, 0, std::string("default"), result);
    // adding users to the group
    bts::api::admin::LicenseData license_data;
    bts::api::admin::LicenseEntitlements license_entitlements;
@@ -994,68 +1184,90 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    set_user_accounts(user_1, account_permissions);
    set_user_accounts(user_2, account_permissions);
    set_user_accounts(user_3, account_permissions);
-   // add cme account data
+
+// add cme and sim account data
    bts::api::admin::ExchangeAccountData exchange_account_data;
    exchange_account_data.mutable_cme_account_data()->set_cti(bts::api::orderman::CTICode::CTI_CODE_CTI_CODE1);
    exchange_account_data.mutable_cme_account_data()->set_origin(bts::api::orderman::CustomerOrFirm::CUSTOMER_OR_FIRM_FIRM);
    exchange_account_data.mutable_cme_account_data()->set_clearing_account("ca_" + parent_account->name());
+   exchange_account_data.mutable_sim_account_data()->set_cti(bts::api::orderman::CTICode::CTI_CODE_CTI_CODE1);
+   exchange_account_data.mutable_sim_account_data()->set_origin(bts::api::orderman::CustomerOrFirm::CUSTOMER_OR_FIRM_FIRM);
+   exchange_account_data.mutable_sim_account_data()->set_clearing_account("ca_" + parent_account->name());
    set_account_exchange_data(parent_account, exchange_account_data);
+
+
    exchange_account_data.mutable_cme_account_data()->set_clearing_account("ca_" + account_1->name());
+   exchange_account_data.mutable_sim_account_data()->set_clearing_account("ca_" + account_1->name());
    set_account_exchange_data(account_1, exchange_account_data);
+
    exchange_account_data.mutable_cme_account_data()->set_clearing_account("ca_" + account_2->name());
+   exchange_account_data.mutable_sim_account_data()->set_clearing_account("ca_" + account_2->name());
    set_account_exchange_data(account_2, exchange_account_data);
+   
    exchange_account_data.mutable_cme_account_data()->set_clearing_account("ca_" + account_3->name());
+   exchange_account_data.mutable_sim_account_data()->set_clearing_account("ca_" + account_3->name());
    set_account_exchange_data(account_3, exchange_account_data);
-   // add cme user data
+
+   // add cme and sim user data
    bts::api::admin::ExchangeUserData exchange_user_data;
    exchange_user_data.mutable_cme_data()->set_operator_id("op_id_" + user_1->name());
+   exchange_user_data.mutable_cme_data()->set_location("us,nc");
+   exchange_user_data.mutable_sim_data()->set_operator_id("op_id_" + user_1->name());
+   exchange_user_data.mutable_sim_data()->set_location("us,nc");
    set_user_exchange_data(user_1, exchange_user_data);
+
    exchange_user_data.mutable_cme_data()->set_operator_id("op_id_" + user_2->name());
+   exchange_user_data.mutable_cme_data()->set_location("us,nc");
+   exchange_user_data.mutable_sim_data()->set_operator_id("op_id_" + user_2->name());
+   exchange_user_data.mutable_sim_data()->set_location("us,nc");
    set_user_exchange_data(user_2, exchange_user_data);
+
    exchange_user_data.mutable_cme_data()->set_operator_id("op_id_" + user_3->name());
+   exchange_user_data.mutable_cme_data()->set_location("us,nc");
+   exchange_user_data.mutable_sim_data()->set_operator_id("op_id_" + user_3->name());
+   exchange_user_data.mutable_sim_data()->set_location("us,nc");
    set_user_exchange_data(user_3, exchange_user_data);
+
    // associate all connections to all accounts
    for(int i=0; i<data.connections_size();i++){
       std::string conn_name = data.connections(i).name();
       for(int j=0; j<data.accounts_size();j++)
          data.mutable_accounts(j)->mutable_connections()->add_exchange_connection_names(conn_name);
    }
+
    // add prod limit for ACC A
-   auto acct_a_prod_limit = parent_account->add_product_position_limits();
-   acct_a_prod_limit->mutable_product()->set_exchange(api::Venue::VENUE_GLBX);
-   acct_a_prod_limit->mutable_product()->set_security_type(api::SecurityType::SECURITYTYPE_FUTURE);
-   acct_a_prod_limit->mutable_product()->set_security_symbol("*");
-   acct_a_prod_limit->set_long_position_limit(500000);
-   acct_a_prod_limit->set_short_position_limit(500000);
+   add_product_position_limits(parent_account, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_FUTURE,50000);
+   add_product_position_limits(parent_account, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_SPREAD,50000);
+   add_product_position_limits(parent_account, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_FUTURE,50000);
+   add_product_position_limits(parent_account, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_SPREAD,50000);
+
    // security clip sizes for ACC A
-   auto acct_a_clip_size = parent_account->mutable_security_clip_limits()->add_limit();
-   acct_a_clip_size->mutable_security()->set_exchange(api::Venue::VENUE_GLBX);
-   acct_a_clip_size->mutable_security()->set_security_type(api::SecurityType::SECURITYTYPE_FUTURE);
-   acct_a_clip_size->mutable_security()->set_security_symbol("*");
-   acct_a_clip_size->set_clip_size(50);
+   add_security_clip_sizes_to_account(parent_account, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_FUTURE,50);
+   add_security_clip_sizes_to_account(parent_account, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_SPREAD,50);
+   add_security_clip_sizes_to_account(parent_account, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_FUTURE,50);
+   add_security_clip_sizes_to_account(parent_account, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_SPREAD,50);
+
    // add sec limit for ACC A1
-   auto acct_a1_sec_limit = account_1->add_security_position_limits();
-   acct_a1_sec_limit->mutable_security()->set_exchange(api::Venue::VENUE_GLBX);
-   acct_a1_sec_limit->mutable_security()->set_security_type(api::SecurityType::SECURITYTYPE_FUTURE);
-   acct_a1_sec_limit->mutable_security()->set_security_symbol("*");
-   acct_a1_sec_limit->set_long_position_limit (10000);
-   acct_a1_sec_limit->set_short_position_limit (10000);
+   // cme
+   add_security_position_limits(account_1, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_FUTURE);
+   add_security_position_limits(account_1, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_SPREAD);
+   add_security_position_limits(account_1, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_FUTURE);
+   add_security_position_limits(account_1, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_SPREAD);
+
    // add prod limit for ACC A1
-   auto acct_a1_prod_limit = account_1->add_product_position_limits();
-   acct_a1_prod_limit->mutable_product()->set_exchange(api::Venue::VENUE_GLBX);
-   acct_a1_prod_limit->mutable_product()->set_security_type(api::SecurityType::SECURITYTYPE_FUTURE);
-   acct_a1_prod_limit->mutable_product()->set_security_symbol("*");
-   acct_a1_prod_limit->set_long_position_limit(1000000);
-   acct_a1_prod_limit->set_short_position_limit(1000000);
+   add_product_position_limits(account_1, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_FUTURE,100000);
+   add_product_position_limits(account_1, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_SPREAD,100000);
+   add_product_position_limits(account_1, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_FUTURE,100000);
+   add_product_position_limits(account_1, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_SPREAD,100000);
+
    // security clip sizes for ACC A1
-   auto acct_a1_clip_size = account_1->mutable_security_clip_limits()->add_limit();
-   acct_a1_clip_size->mutable_security()->set_exchange(api::Venue::VENUE_GLBX);
-   acct_a1_clip_size->mutable_security()->set_security_type(api::SecurityType::SECURITYTYPE_FUTURE);
-   acct_a1_clip_size->mutable_security()->set_security_symbol("*");
-   acct_a1_clip_size->set_clip_size(100);
+   add_security_clip_sizes_to_account(account_1, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_FUTURE,100);
+   add_security_clip_sizes_to_account(account_1, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_SPREAD,100);
+   add_security_clip_sizes_to_account(account_1, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_FUTURE,100);
+   add_security_clip_sizes_to_account(account_1, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_SPREAD,100);
 }
 bool AdminServiceUtils::has_id (uint32_t id){return id>0;}
 bool AdminServiceUtils::is_symbol_set (const std::string& symbol){
    return symbol !="*";
 }
-}}
+}}

src/lib/api/service_helpers/AdminServiceUtils.h

@@ -32,6 +32,9 @@ public:
    static const bts::api::admin::ExchangeConnection* resolve_cme_connection(const bts::api::admin::AdminData& data,
                                                                             const bts::api::admin::BTSAccount& account,
                                                                             const bts::api::Security& sec);
+   static const bts::api::admin::ExchangeConnection* resolve_sim_connection(const bts::api::admin::AdminData& data,
+                                                                            const bts::api::admin::BTSAccount& account,
+                                                                            const bts::api::Security& sec);
    static const bts::api::admin::ExchangeConnection* resolve_connection(const bts::api::admin::AdminData& data,
                                                                         const bts::api::admin::BTSAccount& account,
                                                                         const bts::api::Security& sec);
@@ -67,6 +70,8 @@ public:
    // if needed)
    static const bts::api::admin::CMEAccountData* get_account_cme_data(const bts::api::admin::BTSAccount& account, 
                                                                       const bts::api::admin::AdminData& data);
+   static const bts::api::admin::SIMAccountData* get_account_sim_data(const bts::api::admin::BTSAccount& account, 
+                                                                      const bts::api::admin::AdminData& data);
    // returns true if an account has a connection  
    bool static account_has_connection(const bts::api::admin::BTSAccount& account, const std::string& connection_name);
    // finds the external/clearing account associated
@@ -132,6 +137,8 @@ public:
    // travels up the group tree until it finds a populated cme data 
    static const bts::api::admin::CMEUserData* get_group_cme_data(const bts::api::admin::BTSUserGroup& group,
                                                                  const bts::api::admin::AdminData& data);
+   static const bts::api::admin::SIMUserData* get_group_sim_data(const bts::api::admin::BTSUserGroup& group, 
+                                                                 const bts::api::admin::AdminData& data);
    static const bts::api::admin::UserAccountPermissions* const get_group_user_permissions (const bts::api::admin::AdminData& admin_data,
                                                                                            uint32_t group_id);
    ////////////////////////////////////////////
@@ -153,6 +160,8 @@ public:
    static uint32_t find_max_user_id (const bts::api::admin::AdminData& data);
    static const bts::api::admin::CMEUserData* get_user_cme_data(const bts::api::admin::BTSUser& user, 
                                                                 const bts::api::admin::AdminData& data);
+   static const bts::api::admin::SIMUserData* get_user_sim_data(const bts::api::admin::BTSUser& user, 
+                                                                const bts::api::admin::AdminData& data);
    // finds the "exchange user" (ex: "operator_id" at CME or "authorized_trader" 
    // at ICE) for a user
    static std::string find_user_exchange_id (const bts::api::admin::AdminData& data,
@@ -243,4 +252,4 @@ public:
    static bool is_symbol_set (const std::string& symbol);
    static void bootstrap_data (bts::api::admin::AdminData& data);
 };
-}}
+}}

src/lib/api/services/AdminService.proto

@@ -190,11 +190,13 @@ message ExchangeUserMarketDataEntitlementData{
 message ExchangeUserData{
    CMEUserData cme_data = 10;
    ICEUserData ice_data = 20;
+   SIMUserData sim_data = 30;
 }
 
 message ExchangeAccountData{
    CMEAccountData cme_account_data = 10;
    ICEAccountData ice_account_data = 20;
+   SIMAccountData sim_account_data = 30;
 }
 
 message MarketDataEntitlement{
@@ -207,6 +209,7 @@ message ExchangeConnection{
    oneof connection{
       CMEConnection cme_connection = 30;
       ICEConnection ice_connection = 40;
+      SIMConnection sim_connection = 50;
    }
 }
 
@@ -229,6 +232,9 @@ message CMECGWConnection{
    string backup_id = 70;
 }
 
+message SIMConnection {
+}
+
 message CMEMSGWConnection{
    uint32 port = 10;
    string session_and_firm_id = 20;
@@ -254,6 +260,12 @@ message CMEAccountData{
    map<string, string> misc_tags = 120;
 }
 
+message SIMAccountData {
+   api.orderman.CTICode cti = 10;
+   api.orderman.CustomerOrFirm origin = 20;
+   string clearing_account = 40;
+}
+
 message CMEUserData{
    string operator_id = 10;
    string ats_operator_id = 20;
@@ -263,6 +275,12 @@ message CMEUserData{
    map<string, string> misc_tags = 60;
    string smp_instruction = 70;
    string max_order_rate_per_connection = 80;
+   string location = 90;
+}
+
+message SIMUserData {
+   string operator_id = 10;
+   string location = 90;
 }
 
 message CMEUserMarketDataEntitlementData{

src/lib/api/services/OrderService.proto

@@ -68,6 +68,7 @@ message CustomOrderDefinition
     LeanOrderDefinition lean = 19;
     JoinOrderDefinition join = 20;
     TopOrderDefinition top = 21;
+    TriggerOrderDefinition trigger = 22;
   }
 }
  
@@ -84,6 +85,7 @@ message TickOrderDefinition {uint32 tick_offset_on_deploy = 1;  spark.QuantityMe
 message LeanOrderDefinition {spark.QuantityMeasure cross_threshold = 1; uint32 max_chase_ticks = 2; CustomOrderDefinition child = 3; }
 message JoinOrderDefinition {uint32 tick_offset_on_deploy = 1; spark.QuantityMeasure join_threshold = 2; bool enable_hedge = 3; CustomOrderDefinition hedge = 4; int32 hedge_ticks = 5; CustomOrderDefinition child = 6;}
 message TopOrderDefinition {uint32 watch_level_tick_offset = 1; spark.QuantityMeasure top_threshold = 2; bool enable_hedge = 3; CustomOrderDefinition hedge = 4; int32 hedge_ticks = 5; CustomOrderDefinition child = 6;}
+message TriggerOrderDefinition {TriggerCondition trigger_condition=1; TriggerAction trigger_action=2; CustomOrderDefinition child=3;}
 
 message OrderRecord {
   uint32 key = 1            [(bts.api.key)=true];
@@ -119,6 +121,7 @@ message OrderState {
     LeanOrderState lean = 18;
     JoinOrderState join = 19;
     TopOrderState top = 20;
+    TriggerOrderState trigger = 21;
   }
 }
 
@@ -133,6 +136,12 @@ message Fill {
   double last_shares =  6;
   string fill_key =  7 [(bts.api.key)=true];
   google.protobuf.Timestamp timestamp = 8;
+
+  enum FillKind {
+    FILL_KIND_STANDARD = 0;
+    FILL_KIND_LEG = 1;
+  }
+  FillKind fill_kind = 10;
 }
 
 enum OrderSubType {
@@ -147,6 +156,9 @@ message RoutingRecord {
   string operator_id = 3;
   CTICode cti_code = 4;
   CustomerOrFirm customer_or_firm = 5;
+  string smp_id = 6 ;
+  SelfMatchPreventionInstruction smp_instruction = 7;
+  string location = 8;
 }
 
 message NativeOrderState {
@@ -175,6 +187,7 @@ message TickOrderState {}
 message LeanOrderState {}
 message JoinOrderState {}
 message TopOrderState {}
+message TriggerOrderState {}
 
 enum OrderStatus {
 
@@ -236,6 +249,13 @@ enum CTICode {
   CTI_CODE_CTI_CODE4 = 52;
 }
 
+enum SelfMatchPreventionInstruction {
+  SELF_MATCH_PREVENTION_INSTRUCTION_UNDEFINED = 0;
+  SELF_MATCH_PREVENTION_INSTRUCTION_CANCEL_RESTING = 79;
+  SELF_MATCH_PREVENTION_INSTRUCTION_CANCEL_AGRESSING = 78;
+  
+}
+
 enum NativeOrderStatus 
 {
   NATIVE_ORDER_STATUS_UNACKNOWLEDGED = 0;
@@ -309,3 +329,46 @@ enum OrderError
   ORDER_ERROR_OK = 9;
 }
 
+// Trigger Condition /////////////////////////////////
+//////////////////////////////////////////////////////
+enum TriggerType{
+   STOP = 0;
+   INVERSE_STOP = 1;
+}
+enum TriggerPriceType{
+   BID = 0;
+   ASK = 1;
+   LAST_TRADE_PRICE = 2;      
+}
+message TriggerQuantity{
+   spark.QuantityMeasure quantity_measure = 10;
+   uint32 threshold_quantity = 20;
+}
+message AbsolutePriceTrigger{  
+  // we can leave out qty for now
+  TriggerQuantity trigger_quantity = 10;
+}
+message TrailingTrigger{
+  TriggerType trigger_type = 10;
+  int32 number_of_ticks = 20;
+}
+message TriggerCondition{  
+  TriggerPriceType price_type = 10;
+  oneof trigger{
+    AbsolutePriceTrigger absolute_price_trigger = 20;
+    TrailingTrigger trailing_trigger = 30;
+  }   
+}
+// Trigger Action ////////////////////////////////////
+//////////////////////////////////////////////////////
+message TriggerPayupPrice{
+  TriggerPriceType price_type = 10;
+  int32 payup_ticks = 20;  
+}
+message TriggerAction{
+   uint32 security_id = 10;
+   oneof orderprice{
+      TriggerPayupPrice payup = 20;
+      double price = 30;
+   }  
+}

src/lib/api/services/ShellLatencyService.proto

@@ -0,0 +1,21 @@
+syntax="proto3";
+package bts.metrics;
+option csharp_namespace="bts.metrics";
+import "lib/api/apioptions.proto";
+import "lib/api/apicore.proto";
+
+message Tick {
+    int32 key = 1 [(bts.api.key)=true];
+    uint64 timestamp = 2;
+}
+
+message Report {
+    string host_name = 1;
+    string version = 2;
+    uint64 timestamp = 10;
+}
+
+service ShellLatencyService {
+    rpc clock(bts.api.VoidMessage) returns (stream Tick);
+    rpc report(Report) returns (bts.api.VoidMessage);
+}

src/lib/config/defaults/MarketData.conf

@@ -4,12 +4,12 @@
 
 MarketDataConfig {
    value {
-      use_replay: true
+      use_replay: false
    }
 }
 PlatformMap {
     value {
-        glbx_platform: "PLATFORM_SIM"
+        glbx_platform: "PLATFORM_MDP3ONIXS"
     }
 }
 
@@ -48,10 +48,3 @@ CMEOptions {
         }
     }
 }
-
-RecordOptions {
-	rule: "System.platform == 'Windows'"
-	value {
-		output_path: "recording"
-	}
-}

src/lib/config/defaults/Symbols.conf

@@ -1,22 +1,28 @@
 
 SymbolList {
     value {
-        symbol: "ES"
-        symbol: "EW"
-        symbol: "GC"
-        symbol: "GE"
-        symbol: "GF"
-        symbol: "GLB"
         symbol: "HE"
         symbol: "LE"
-        symbol: "NQ"
+        symbol: "CL"
+        symbol: "RB"
+        symbol: "HO"
+        symbol: "BZ"
+        symbol: "NG"
+        symbol: "GC"
         symbol: "SI"
-        symbol: "SO"
-        symbol: "ZB"
-        symbol: "ZF"
-        symbol: "ZN"
+        symbol: "HG"
+        symbol: "ZW"
+        symbol: "ZC"
         symbol: "ZS"
+        symbol: "ZM"
+        symbol: "ZL"
+        symbol: "ZO"
+        symbol: "ZR"
+        symbol: "ZB"
+        symbol: "ZN"
+        symbol: "ZF"
         symbol: "ZT"
+        symbol: "UB"
     }
 }
 
@@ -26,5 +32,9 @@ Symbols {
             future: @SymbolList.symbol
             spread: @SymbolList.symbol
         }
+        sim {
+            future: @SymbolList.symbol
+            spread: @SymbolList.symbol
+        }
     }
 }