pnl: changing format string for pnl columns from F2 to N0, which removes cents and adds commas

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

@@ -84,8 +84,11 @@ namespace bts.shell {
          public DoubleMinMaxState total_pnl;
          [ProtoMember(12)]
          public DoubleMinMaxState pnl_price;
-         [ProtoMember(13)]
-         public Fill.Types.FillKind[] fill_kind;
+
+         // [ProtoMember(13)]
+         // ProtoMember 13 cannot be used further
+         [ProtoMember(14)]
+         public SecurityType[] security_types;
       }
 
    }

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/PAndL/PAndLVM.cs

@@ -59,7 +59,7 @@ namespace mbts.spark {
             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);
-            fill_kind_filter.load_state(fs.fill_kind);
+            security_type_filter.load_state(fs.security_types);
          }
          // restore sort state or supply default value
          if (startup_data?.sort_criteria?.Any() == true) {
@@ -92,7 +92,7 @@ namespace mbts.spark {
                pnl_price_filter,
                weighted_average_buy_filter,
                weighted_average_sell_filter,
-               fill_kind_filter),
+               security_type_filter),
             WorkLoop.Start("PAndL", _UPDATE_PERIOD, _calculate_pnl)
          );
       }
@@ -197,7 +197,7 @@ namespace mbts.spark {
       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, FillKind[]> fill_kind_filter { get; } = DiscreteValuesFilterVM.Create<PnLSummaryRow, FillKind>(EnumHelper.get_values<FillKind>().ToArray(), r => r.fill_kind, nameof(PnLSummaryRow.fill_kind));
+      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(),
@@ -212,7 +212,7 @@ namespace mbts.spark {
          total_net_pos = total_net_position_filter.get_state(),
          total_pnl = total_pnl_filter.get_state(),
          pnl_price = pnl_price_filter.get_state(),
-         fill_kind = fill_kind_filter.get_state()
+         security_types = security_type_filter.get_state()
       };
 
       #endregion

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

@@ -19,7 +19,7 @@
             <Setter Property="TextAlignment" Value="Right" />
          </Style>
          <convert:NumericSignBrushConverter x:Key="PnLBackgroundColorConverter" Opacity="0.33"/>
-         <convert:DoubleTextConverter x:Key="DoubleWithNaNHiddenConverter" Format="F2" />
+         <convert:DoubleTextConverter x:Key="DoubleWithNaNHiddenConverter" Format="N0" />
       </ResourceDictionary>
    </UserControl.Resources>
    <Grid>
@@ -64,12 +64,12 @@
                c:DataGridFilterProperties.FilterOpen="{Binding DataContext.security_filter.open, Source={uc:DirectReference _grid}}"
                c:DataGridFilterProperties.FilterTemplate="{StaticResource RegexTemplate}"
             />
-            <DataGridTextColumn x:Name="fill_kind" Header="Fill Kind" Binding="{Binding fill_kind}" IsReadOnly="true"
-               c:DataGridFilterProperties.Filter="{Binding DataContext.fill_kind_filter, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterActive="{Binding DataContext.fill_kind_filter.active, Source={uc:DirectReference _grid}}"
-               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.fill_kind_filter.open, Source={uc:DirectReference _grid}}"
+            <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.start_position_filter, Source={uc:DirectReference _grid}}"
@@ -78,16 +78,11 @@
                c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}"                                
             />
             <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.Binding>
-                  <MultiBinding Converter="{StaticResource TickDisplayConverter}">
-                     <Binding Path="start_pnl"/>
-                     <Binding Path="security.ContractSpec"/>
-                  </MultiBinding>
-               </DataGridTextColumn.Binding>
                <DataGridTextColumn.ElementStyle>
                  <Style TargetType="{x:Type TextBlock}">
                    <Setter Property="TextAlignment" Value="Right" />
@@ -110,16 +105,11 @@
                c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}"                                
             />
             <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="day_pnl"/>
-                     <Binding Path="security.ContractSpec"/>
-                  </MultiBinding>
-               </DataGridTextColumn.Binding>
                <DataGridTextColumn.ElementStyle>
                  <Style TargetType="{x:Type TextBlock}">
                    <Setter Property="TextAlignment" Value="Right" />
@@ -135,16 +125,11 @@
                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.Binding>
-                  <MultiBinding Converter="{StaticResource TickDisplayConverter}">
-                     <Binding Path="total_pnl"/>
-                     <Binding Path="security.ContractSpec"/>
-                  </MultiBinding>
-               </DataGridTextColumn.Binding>
+               c:DataGridFilterProperties.FilterTemplate="{StaticResource DoubleMinMaxTemplate}"> 
                <DataGridTextColumn.ElementStyle>
                  <Style TargetType="{x:Type TextBlock}">
                    <Setter Property="TextAlignment" Value="Right" />

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

@@ -95,7 +95,7 @@ namespace mbts.spark {
 
       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, pnl_item.fill_kind) into grouping
+                 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),

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

@@ -42,7 +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 Fill.Types.FillKind fill_kind => fill.FillKind;
+      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

@@ -13,7 +13,7 @@ namespace mbts.spark {
 
     internal class PnLSummaryRow : ViewModelBase, IEquatable<PnLSummaryRow> {
       DateTime _start_of_day;
-      (string account, Venue? exchange, string symbol, SecurityImmutable? security, SecurityMD? sec_md, Fill.Types.FillKind fill_kind) key;
+      (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;
@@ -24,7 +24,7 @@ namespace mbts.spark {
 
       public PnLSummaryRow(pnl_calc_type calc_type,
          DateTime start_of_day,
-         (string, Venue?, string, SecurityImmutable?, SecurityMD?, Fill.Types.FillKind) key, 
+         (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;
@@ -41,19 +41,21 @@ namespace mbts.spark {
          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 => get_cpp_for_symbol(l.Security))
                .Distinct();
             bool all_legs_have_same_cpp = distinct_cpps.Count() < 2;
-            if (all_legs_have_same_cpp) {
-               return distinct_cpps.First();
-            } 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);
          }
@@ -62,8 +64,6 @@ namespace mbts.spark {
          double get_cpp_for_symbol(SecurityImmutable si) {
             if (cpp_dict.TryGetValue(si.Symbol, out double cpp_out)) {
                return cpp_out;
-            } else {
-               Logger.error(bts.log.Subsystem.Ui, $"No cash multiplier found for Security {si}, Symbol {si.Symbol}");
             }
             return double.NaN;
          }
@@ -170,14 +170,13 @@ 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 Fill.Types.FillKind fill_kind => key.fill_kind;
-
 
       public int start_net_position {
          get => _start_net_position;

src/server/sparkd/http/ApiGateway.cpp

@@ -99,7 +99,7 @@ struct ApiGatewayImpl {
          // buffer = [size][ResponseHeader][Payload].
          GatewayResponse response;
          response.set_call_result(buffer, length);
-         LOG(Api,Info, "Gateway Result: {}", api::toJSON(response));
+         LOG(Api,Diag, "Gateway Result: {}", api::toJSON(response));
          // in response send to client
          const Responder* r = static_cast<const Responder*>(extra);
          if (r != nullptr) {

src/server/sparkd/support/ErrorReportService.cpp

@@ -73,7 +73,7 @@ void ErrorReportServer::send_report(
       }
 
       // log error for visibility
-      LOG(Gen, Error, "Support request from {} - {} \n{}", request.user(), request.contact(), request.user_description());
+      LOG(Gen, Error, "Support request from {} - {} {}", request.user(), request.contact(), request.user_description());
 
       ErrorResponse r;
       reply(r);