Fixed price conversion for spread leg fill.

SPARK-1166

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

release_notes.txt

@@ -1,3 +1,13 @@
+1.1.7
+- Fixed spread leg price fill
+- Fixed HO cash per point value
+
+1.1.6
+- Fixed occasional crash when filtering fills
+- Fixed several cash per point multipliers
+- Colored time of sales row with aggressor side
+- Iceberg orders now cancel (rathern than error) when a child is canceled
+
 1.1.0
 - Added per user self match protection, location and self match protection FIX tag settings
 - Implemented a new "Trigger Order" algo

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

@@ -6,11 +6,14 @@ using mbts.ui.controls;
 using mbts.ui.spark;
 using mbts.ui.utility;
 using System;
+using System.Linq;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
 using System.Threading.Tasks;
 using System.Windows.Input;
+using System.Windows.Media;
 using static bts.shell.TimeAndSalesWindowFactory;
+using static mbts.ui.controls.DIYGrid;
 
 namespace mbts.spark {
    class TimeAndSalesVM : SecurityGrid<TimeAndSalesVM.Row, TradeInfo> {
@@ -26,23 +29,32 @@ namespace mbts.spark {
             security_filter.load_state(filters.security);
             price_filter.load_state(filters.price);
             size_filter.load_state(filters.size);
+            aggressor_filter.load_state(filters.aggressor_sides);
             trade_key_filter.load_state(filters.trade_key);
             security_key_filter.load_state(filters.security_key);
          }
          // Columns
-         add_column(TimeAndSalesView.Columns.Security, "Security", DIYGrid.DefaultColumnWidths.Security, security_filter, DataGridFilterKnownTemplates.Regex);
-         add_column(TimeAndSalesView.Columns.Time, "Time", DIYGrid.DefaultColumnWidths.Time, time_filter, DataGridFilterKnownTemplates.TimeFilter);
-         add_column(TimeAndSalesView.Columns.Price, "Price", DIYGrid.DefaultColumnWidths.Price, price_filter, DataGridFilterKnownTemplates.DoubleMinMax);
-         add_column(TimeAndSalesView.Columns.Size, "Size", DIYGrid.DefaultColumnWidths.Size, size_filter, DataGridFilterKnownTemplates.UIntMinMax);
-         add_column(TimeAndSalesView.Columns.TradeKey, "Trade Key", DIYGrid.DefaultColumnWidths.TradeKey, trade_key_filter, DataGridFilterKnownTemplates.Regex);
-         add_column(TimeAndSalesView.Columns.SecurityKey, "Security Key", DIYGrid.DefaultColumnWidths.SecurityKey, security_key_filter, DataGridFilterKnownTemplates.Regex);
-         void add_column(TimeAndSalesView.Columns col_key, string header, double width, IDataGridColumnFilter filter, string filter_template) =>
-            columns.Add(new DIYGrid.RenderTextColumn<Row>(r => r[col_key], filter, filter_template) { Header = header, Width = width });
-         //
+         add_column(TimeAndSalesView.Columns.Security, DefaultColumnHeaders.Security, DefaultColumnWidths.Security, security_filter, DataGridFilterKnownTemplates.Regex);
+         add_column(TimeAndSalesView.Columns.Time, DefaultColumnHeaders.Time, DefaultColumnWidths.Time, time_filter, DataGridFilterKnownTemplates.TimeFilter);
+         add_column(TimeAndSalesView.Columns.Price, DefaultColumnHeaders.Price, DefaultColumnWidths.Price, price_filter, DataGridFilterKnownTemplates.DoubleMinMax, System.Windows.HorizontalAlignment.Right);
+         add_column(TimeAndSalesView.Columns.Size, DefaultColumnHeaders.Size, DefaultColumnWidths.Size, size_filter, DataGridFilterKnownTemplates.UIntMinMax, System.Windows.HorizontalAlignment.Right);
+         add_column(TimeAndSalesView.Columns.Aggressor, DefaultColumnHeaders.Aggressor, DIYGrid.DefaultColumnWidths.Aggressor, aggressor_filter, DataGridFilterKnownTemplates.EnumValues);
+         add_column(TimeAndSalesView.Columns.TradeKey, DefaultColumnHeaders.TradeKey, DIYGrid.DefaultColumnWidths.TradeKey, trade_key_filter, DataGridFilterKnownTemplates.Regex);
+         add_column(TimeAndSalesView.Columns.SecurityKey, DefaultColumnHeaders.SecurityKey, DIYGrid.DefaultColumnWidths.SecurityKey, security_key_filter, DataGridFilterKnownTemplates.Regex);
+         void add_column(TimeAndSalesView.Columns col_key, string header, double width, IDataGridColumnFilter filter, string filter_template, System.Windows.HorizontalAlignment h_alignment = System.Windows.HorizontalAlignment.Left) =>
+            columns.Add(new TimeAndSalesColumn(
+               r => r[col_key]
+               , (r) => _get_aggressor_brush(r)
+               , filter
+               , filter_template
+            ) 
+            { Header = header, Width = width, horizontal_alignment = h_alignment  }
+         );
+         
          _resources.AddRange(
             show_ladder,
             DataGridFilterHelper.hook_filters(
-               rows_view, time_filter, security_filter, price_filter, size_filter, trade_key_filter, security_key_filter
+               rows_view, time_filter, security_filter, price_filter, size_filter, aggressor_filter, trade_key_filter, security_key_filter
              )
           );
       }
@@ -50,11 +62,22 @@ namespace mbts.spark {
       public ObservableCollection<DIYGrid.ColumnBase> columns { get; } = new ObservableCollection<DIYGrid.ColumnBase>();
       public DelegateCommandParamObserver<Row> show_ladder { get; }
 
+      private Brush _get_aggressor_brush(Row r) {
+         BTSColor c;
+         Brush b;
+         if (r.aggressor_side == AggressorSide.Buy) c = BTSColors.MarketData.bid;
+         else if (r.aggressor_side == AggressorSide.Sell) c = BTSColors.MarketData.ask;
+         else c = Brushes.Transparent;
+         (b = new SolidColorBrush(c) { Opacity = 0.33 }).Freeze();
+         return b;
+      }
+
       #region Filters
       public IDataGridColumnPersistentFilter<Row, TimeFilterTuple> time_filter { get; } = new TimeFilterVM<Row>(r => r.time, nameof(Row.time));
       public IDataGridColumnPersistentFilter<Row, string> security_filter { get; }
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> price_filter { get; } = new DoubleMinMax<Row>(r => r.price, nameof(Row.price));
       public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> size_filter { get; } = new UIntMinMax<Row>(r => r.size, nameof(Row.size));
+      public IDataGridColumnPersistentFilter<Row, AggressorSide[]> aggressor_filter { get; } = DiscreteValuesFilterVM.Create<Row, AggressorSide>(EnumHelper.get_values<AggressorSide>().ToArray(), r => r.aggressor_side, nameof(Row.aggressor_side));
       public IDataGridColumnPersistentFilter<Row, string> security_key_filter { get; } = new RegexFilterVM<Row>(r => r.security_key.ToString(), nameof(Row.security_key));
       public IDataGridColumnPersistentFilter<Row, string> trade_key_filter { get; } = new RegexFilterVM<Row>(r => r.trade_key.ToString(), nameof(Row.trade_key));
 
@@ -65,7 +88,8 @@ namespace mbts.spark {
             price = price_filter.get_state(),
             size = size_filter.get_state(),
             trade_key = trade_key_filter.get_state(),
-            security_key = security_key_filter.get_state()
+            security_key = security_key_filter.get_state(),
+            aggressor_sides = aggressor_filter.get_state()
          };
       #endregion
 
@@ -90,6 +114,7 @@ namespace mbts.spark {
             _time_text,
             _price_text,
             _size_text,
+            _aggressor_text,
             _trade_key_text,
             _security_key_text;
 
@@ -98,11 +123,13 @@ namespace mbts.spark {
             time = trade.Time.lldatetime();
             price = trade.Mantissa * Math.Pow(10, trade.Exponent);
             size = trade.Size;
+            aggressor_side = trade.AggressorSide;
             show_ladder = new DelegateCommand(() => parent._show_ladder_async(this).ignore());
             _security_text = security.ToString();
             _time_text = time.ToString("M/d h:mm:ss tt");
             _price_text = security.ContractSpec.format(price);
             _size_text = size.ToString();
+            _aggressor_text = aggressor_side.ToString();
             _trade_key_text = _trade_key.ToString();
             _security_key_text = security_key.ToString();
          }
@@ -113,6 +140,7 @@ namespace mbts.spark {
          public DateTime time { get; }
          public double price { get; }
          public uint size { get; }
+         public AggressorSide aggressor_side { get; }
          public ICommand show_ladder { get; }
 
          public string this[TimeAndSalesView.Columns col] {
@@ -122,6 +150,7 @@ namespace mbts.spark {
                   case TimeAndSalesView.Columns.Time: return _time_text;
                   case TimeAndSalesView.Columns.Price: return _price_text;
                   case TimeAndSalesView.Columns.Size: return _size_text;
+                  case TimeAndSalesView.Columns.Aggressor: return _aggressor_text;
                   case TimeAndSalesView.Columns.TradeKey: return _trade_key_text;
                   case TimeAndSalesView.Columns.SecurityKey: return _security_key_text;
                   default: return null;

src/client/spark/Modules/Market/TimeAndSales/TimeAndSalesView.xaml.cs

@@ -7,7 +7,7 @@ namespace mbts.ui.spark {
    /// Interaction logic for TimeAndSalesView.xaml
    /// </summary>
    partial class TimeAndSalesView : UserControl {
-      public enum Columns { Time, Security, Price, Size, OrderType, TradeKey, SecurityKey }
+      public enum Columns { Time, Security, Price, Size, OrderType, TradeKey, SecurityKey, Aggressor }
 
       public TimeAndSalesView() =>
          InitializeComponent();

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

@@ -12,6 +12,7 @@ using System.Reactive.Linq;
 using System.Windows;
 using System.Windows.Media;
 using static bts.shell.TimeAndSalesWindowFactory;
+using static mbts.ui.controls.DIYGrid;
 
 namespace mbts.spark {
    class TimeAndSalesWindow : SparkWindow<StartupData>, ISlowWindow {
@@ -36,7 +37,16 @@ namespace mbts.spark {
       public override string window_type => _window_type;
       public override IEnumerable<SparkCommand> Commands => _commands;
       public override UIElement Content => _view;
-      public override double MinWidth => 444 + SPARK_MENU_COLLAPSED_WIDTH + LAUNCHER_BUTTON_BORDER_WIDTH;
+      public override double MinWidth => DefaultColumnWidths.Security
+         + DefaultColumnWidths.Time
+         + DefaultColumnWidths.Price
+         + DefaultColumnWidths.Size
+         + DefaultColumnWidths.Aggressor
+         + DefaultColumnWidths.TradeKey
+         + DefaultColumnWidths.SecurityKey
+         + SPARK_MENU_COLLAPSED_WIDTH
+         + LAUNCHER_BUTTON_BORDER_WIDTH;
+
       public override StartupData SaveState => _state = new StartupData(_state.security_criteria, _vm.value.rows_view.GetSortingCriteria(), _vm.value.get_filter_states());
 
       public override void Dispose() =>

src/client/spark/Modules/Market/TimeAndSalesWindowFactory.cs

@@ -70,6 +70,8 @@ namespace bts.shell {
          public string trade_key;
          [ProtoMember(6)]
          public string security_key;
+         [ProtoMember(7)]
+         public co2.AggressorSide[] aggressor_sides;
       }
    }
 }

src/client/spark/view/Controls/DIYGrid/Columns/ColumnBase.cs

@@ -22,7 +22,8 @@ namespace mbts.ui.controls {
             Time = 100,
             TimeInForce = 47,
             TradeKey = 76,
-            User = 53;
+            User = 53,
+            Aggressor = 80;
       }
 
       public static class DefaultColumnHeaders {
@@ -40,7 +41,9 @@ namespace mbts.ui.controls {
             Size = "Qty",
             TimeInForce = "TIF",
             TradeKey = "Trade Key",
-            User = "User";
+            User = "User",
+            Time = "Time",
+            Aggressor = "Aggressor";
       }
 
       internal interface IKeyedColumn<TColKey> {

src/client/spark/view/Controls/DIYGrid/Columns/FrameworkElementColumns/TimeAndSalesColumn.cs

@@ -0,0 +1,36 @@
+using mbts.spark;
+using mbts.spark.filters;
+using mbts.ui.utility.text;
+using System;
+using System.Windows;
+using System.Windows.Media;
+
+namespace mbts.ui.controls {
+   public partial class DIYGrid {
+      internal class TimeAndSalesColumn : RenderTextColumn<TimeAndSalesVM.Row> {
+
+         readonly Func<TimeAndSalesVM.Row, string> _get_text;
+         readonly Func<TimeAndSalesVM.Row, Brush> _get_brush;
+
+         public TimeAndSalesColumn(Func<TimeAndSalesVM.Row, string> get_text, Func<TimeAndSalesVM.Row, Brush> get_brush, IDataGridColumnFilter filter = null, string filter_template = null, GlyphContext glyph_context = null) : base(get_text, filter, filter_template, glyph_context) {
+            _get_text = get_text;
+            _get_brush = get_brush;
+         }
+
+         public override void draw(TimeAndSalesVM.Row row, DrawingContext dc, ColumnGeometry position, double row_height) {
+            CellRender.draw_text(dc
+               , glyph_context
+               , font_size
+               , _get_text(row)
+               , position
+               , row_height
+               , foreground
+               , _get_brush(row)
+               , horizontal_alignment
+               , vertical_alignment
+               , padding);
+         }
+
+      }
+   }
+}

src/client/spark/view/Controls/ListBoxEx/ListBoxEx.xaml.cs

@@ -190,17 +190,21 @@ namespace mbts.ui.controls
 			}
 		}
 
-		void item_Unselected(object sender, RoutedEventArgs e) {
-			if (_selection_changing) return;
-			var item = ((ListBoxItem)sender).DataContext;
-			var selected_items = Selection;
-			if (selected_items.Contains(item)) {
-				using (_selection_change()) {
-					selected_items.Remove(item);
-					_update_is_all_selected();
-				}
-			}
-		}
+      void item_Unselected(object sender, RoutedEventArgs e) {
+         if (!_selection_changing && sender is ListBoxItem container) {
+            // the [ListBoxItem] sender may be "Disconnected" https://stackoverflow.com/questions/14282894/wpf-listbox-virtualization-creates-disconnecteditems/14358688
+            var item = ItemContainerGenerator.ItemFromContainer(container);
+            if (item != DependencyProperty.UnsetValue) {
+               var selected_items = Selection;
+               if (selected_items.Contains(item)) {
+                  using (_selection_change()) {
+                     selected_items.Remove(item);
+                     _update_is_all_selected();
+                  }
+               }
+            }
+         }
+      }
 
 		void item_DataContextChanged(object sender, DependencyPropertyChangedEventArgs e) {
 			using (_selection_change()) ((ListBoxItem)sender).IsSelected = Selection.Contains(e.NewValue);
@@ -368,4 +372,4 @@ namespace mbts.ui.controls
 			}
 		}
 	}
-}
+}

src/lib/md/MDProducerHandle.cpp

@@ -115,7 +115,7 @@ void MDProducerHandle::set_status(CoconutSecurityStatus status) {
    }
 }
 
-void MDProducerHandle::add_trade(TimeStamp time, const PriceSize price, LLDateTime tradetime, uint32_t volume) {
+void MDProducerHandle::add_trade(TimeStamp time, const PriceSize price, LLDateTime tradetime, co2::AggressorSide agside, uint32_t volume) {
    cdata().last_trade.store(price);
    cdata().last_trade_time = tradetime;
    cdata().total_volume = volume;
@@ -127,6 +127,7 @@ void MDProducerHandle::add_trade(TimeStamp time, const PriceSize price, LLDateTi
       trade.set_mantissa(price.mantissa());
       trade.set_size(price.size());
       trade.set_time(tradetime);
+      trade.set_aggressor_side(agside);
       if (volume > 0) trade.set_total_volume(volume);
       trade.set_key(key());
       _channel.add_trade(trade);

src/lib/md/MDProducerHandle.h

@@ -56,7 +56,7 @@ public:
    void set_status(co2::CoconutSecurityStatus status); // hot
 
    // Updates trade log and last trade
-   void add_trade(TimeStamp time, const PriceSize pricesize, datetime::LLDateTime date, uint32_t total_volume=0); // cold
+   void add_trade(TimeStamp time, const PriceSize pricesize, datetime::LLDateTime date, co2::AggressorSide agside, uint32_t total_volume=0); // cold
    // Update last_trade without updating trade log
    void set_last_trade(TimeStamp time, const PriceSize ps, datetime::LLDateTime date, uint32_t total_volume);
    void add_rfq(TimeStamp time, const co2::QuoteRequestMessage& rfq); // cold

src/lib/md/protos/co2.proto

@@ -119,6 +119,12 @@ message MiscMessage {
    double session_low_offer    = 12;
    double fixing_price		    = 13;
 }
+   
+enum AggressorSide {
+    AGGRESSOR_SIDE_NONE = 0;
+    AGGRESSOR_SIDE_BUY = 1;
+    AGGRESSOR_SIDE_SELL = 2;
+}
 
 message TradeMessage {
    uint32 key = 1;
@@ -130,6 +136,7 @@ message TradeMessage {
    uint32 size = 6; 
    uint32 total_volume = 7;
    bool gap = 8;
+   AggressorSide aggressor_side = 9;
 }
 message QuoteRequestMessage {
     enum Side {

src/server/sparkd/exchange_sim/ExchangeSimApplication.cpp

@@ -474,7 +474,8 @@ void ExchangeSimApplication::update_md(std::string const &sec_desc) {
              utils::TimeStamp::now(),
              md::PriceSize::from_double<7>(t.price.value() * price_factor,
                                            t.quantity.value()),
-             datetime::ll_now());
+             datetime::ll_now(),
+             co2::AGGRESSOR_SIDE_NONE);
    }
 }
 

src/server/sparkd/md/platforms/mdp3_onixs/MDP3Listener.cpp

@@ -3,6 +3,7 @@
 #include <vector>
 #include "lib/utils/helper_macros.h"
 #include "lib/config/protos/MarketData.pb.h"
+#include "lib/md/protos/co2.pb.h"
 
 using namespace std;
 using namespace bts::co2;
@@ -349,11 +350,23 @@ void MDP3Listener::onBookUpdate(onixs::Handler&, const onixs::Security& sec, con
 //
 // Trades
 
-void on_trade(SecurityData* data, const onixs::PRICE& price, int size, const onixs::Timestamp& onixs_date) {
+AggressorSide map_aggressor(onixs::AggressorSide::Enum agside) {
+   switch(agside) {
+      default:
+      case onixs::AggressorSide::NoAggressor:
+         return AGGRESSOR_SIDE_NONE;
+      case onixs::AggressorSide::Buy:
+         return AGGRESSOR_SIDE_BUY;
+      case onixs::AggressorSide::Sell:
+         return AGGRESSOR_SIDE_SELL;
+   }
+}
+
+void on_trade(SecurityData* data, const onixs::PRICE& price, int size, AggressorSide agside, const onixs::Timestamp& onixs_date) {
    auto ts = utils::TimeStamp::now();
    PriceSize ps = pricesize_of_price_size(price, data->handle.security().display_factor, size);
    auto date = ll_of_timestamp(onixs_date);
-   data->handle.add_trade(ts, ps, date, data->electronic_volume + size);
+   data->handle.add_trade(ts, ps, date, agside, data->electronic_volume + size);
 }
 
 void MDP3Listener::onTrade(onixs::Handler&, const onixs::Security& sec, const onixs::RecoveryEntryArgs& arg) {
@@ -364,7 +377,7 @@ void MDP3Listener::onTrade(onixs::Handler&, const onixs::Security& sec, const on
       arg.entry().entrySize(size);
       onixs::PRICE price;
       arg.entry().entryPx(price);
-      on_trade(data, price, size, arg.message().transactTime());
+      on_trade(data, price, size, AGGRESSOR_SIDE_NONE, arg.message().transactTime());
    }
 }
 void MDP3Listener::onTrade(onixs::Handler&, const onixs::Security& sec, const onixs::TradeSummaryArgs& arg) {
@@ -373,7 +386,9 @@ void MDP3Listener::onTrade(onixs::Handler&, const onixs::Security& sec, const on
    if (data != NULL) {
       auto size = arg.entry().entrySize();
       onixs::PRICE price = arg.entry().entryPx();
-      on_trade(data, price, size, arg.message().transactTime());
+      onixs::AggressorSide::Enum agside = onixs::AggressorSide::NoAggressor;
+      arg.entry().aggressorSide(agside);
+      on_trade(data, price, size, map_aggressor(agside), arg.message().transactTime());
    }
 }
 void MDP3Listener::onTrade(onixs::Handler&, const onixs::Security& sec, const onixs::TradeArgs& arg) {
@@ -383,7 +398,9 @@ void MDP3Listener::onTrade(onixs::Handler&, const onixs::Security& sec, const on
       if (data != nullptr) {
          int size = arg.entry().entrySize();
          onixs::PRICE price = arg.entry().entryPx();
-         on_trade(data, price, size, arg.message().transactTime());
+         onixs::AggressorSide::Enum agside = onixs::AggressorSide::NoAggressor;
+         arg.entry().aggressorSide(agside);
+         on_trade(data, price, size, map_aggressor(agside), arg.message().transactTime());
       }
    }
 }

src/server/sparkd/orderman/actors/ExecutionGateway.cpp

@@ -218,9 +218,14 @@ void ExecutionGateway::on_exe_report(
               : api::orderman::MANUAL_ORDER_INDICATOR_YES;
       str_to(msg.get<fix::OrderID>(), &data->exchange_order_id);
 
-      if (msg.has<fix::Price>())
-         data->price = securities::decode_exchange_price(
-             *sec, Price(msg.get<fix::Price>()));
+      if (msg.has<fix::Price>()) {
+         if (data->leg_security)
+            data->price = securities::decode_exchange_price(
+               *data->leg_security, Price(msg.get<fix::Price>()));
+         else
+            data->price = securities::decode_exchange_price(
+               *sec, Price(msg.get<fix::Price>()));
+      }
       else
          data->price = Price(os::nan());
 

src/server/sparkd/orderman/orders/IcebergOrder.cpp

@@ -271,9 +271,17 @@ void IcebergOrder::on_child_order_update(OrderStateUpdateEvent const &ev) {
             break;
          }
 
+         case ORDER_STATUS_CANCELED:
+            LOG(OrderMan, Info,
+                "Unexpected cancel of child {} in Iceberg Order {}. Canceling "
+                "parent",
+                ev.key.value(),
+                key().value());
+            transition(ORDER_STATUS_CANCELED);
+            break;
+
          case ORDER_STATUS_DISCONNECTED:
          case ORDER_STATUS_REJECTED_BY_SPARK:
-         case ORDER_STATUS_CANCELED:
          case ORDER_STATUS_ERROR:
             me->child.clear();
             transition(ORDER_STATUS_ERROR, "Unexpected child order state");

tools/cpp_helper/Generate-Cpps-reqs.ps1

@@ -0,0 +1,36 @@
+$known_good = @{
+	"6A" = 1000
+	"6B" = 625
+	"6D" = 1000
+	"6E" = 1250
+	"6J" = 1250
+	"CL" = 1000
+	"EMD" = 100
+	"ES" = 50
+	"GC" = 100
+	"GE" = 2500
+	"HE" = 400
+	"HG" = 5000
+	"HO" = 42000
+	"LE" = 400
+	"M6E" = 125
+	"NG" = 100
+	"NQ" = 20
+	"QM" = 500
+	"RB" = 42000
+	"RTY" = 50
+	"SI" = 5000
+	"VX" = 1000
+	"YI" = 10
+	"YM" = 5
+	"ZB" = 1000
+	"ZC" = 50
+	"ZF" = 1000
+	"ZL" = 600
+	"ZM" = 100
+	"ZN" = 1000
+	"ZQ" = 4167
+	"ZS" = 50
+	"ZT" = 2000
+	"ZW" = 50
+}

tools/cpp_helper/Generate-Cpps.ps1

@@ -1,43 +1,9 @@
-$known_good = @{
-	"6A" = 1000
-	"6B" = 625
-	"6D" = 1000
-	"6E" = 1250
-	"6J" = 1250
-	"M6E" = 125
-	"NQ" = 20
-	"ES" = 50
-	"YM" = 5
-	"RTY" = 50
-	"VX" = 1000
-	"EMD" = 100
-	"GE" = 2500
-	"ZB" = 1000
-	"ZN" = 1000
-	"ZF" = 1000
-	"ZT" = 2000
-	"ZQ" = 4167
-	"SI" = 50
-	"YI" = 10
-	"GC" = 100
-	"HG" = 250
-	"CL" = 1000
-	"NG" = 100
-	"HO" = 420
-	"QM" = 500
-	"RB" = 420
-	"ZC" = 50
-	"ZS" = 50
-	"ZW" = 50
-	"LE" = 400
-	"HE" = 400
-	"ZM" = 100
-	"ZL" = 600
-}
+# Dot sourcing the reqs file will make 
+. .\Generate-Cpps-reqs.ps1
 
 $cme_file_url = "ftp://ftp.cmegroup.com/pub/fprf/csv/cmeg.fut.prf.csv"
 $csv_save_path = ".\cmeg.fut.prf.csv"
-$output_file = ".\cpp_out.txt"
+$output_file = ".\cpp_config.conf"
 
 # turn off console update progress while downloading
 $CurrentProgressPref = $ProgressPreference;
@@ -47,11 +13,23 @@ $ProgressPreference = $CurrentProgressPref
 
 $a = Import-Csv $csv_save_path
 $b = $a | select Sym, Mult | Group Sym | Sort Name
+
+@"
+# Generated by automated script.  DO NOT EDIT!
+# source: tools/cpp_helper/generate-cpps.ps1
+"@ | out-file -Encoding ascii $output_file 
+"CppConfig`n{`n`tvalue`n`t{" | out-file -Encoding ascii $output_file -Append
 $b | % { 
 	if ($known_good.ContainsKey($_.Group[0].Sym)) { 
 		$cpp = $known_good[$_.Group[0].Sym] 
 	} else { 
 		$cpp = $_.Group[0].Mult 
 	}
-	"cpp_entry {{ `n`tkey: `"{0}`"`n`tvalue: {1}`n}}" -f $_.Group[0].Sym, $cpp } `
-	| out-file -Encoding ascii $output_file
+	"`t`tcpp_entry {{ key: `"{0}`" value: {1} }}" -f $_.Group[0].Sym, $cpp } `
+	| out-file -Encoding ascii $output_file -Append
+"`t}`n}" | out-file -Encoding ascii $output_file -Append
+Remove-Item $csv_save_path -Force
+
+# You can now copy the output file to defaults assuming all looks good
+# Copy-Item .\cpp_config.conf ..\..\src\lib\config\defaults\ -Force
+# Remove-Item cpp-config.conf