Merge branch 'prod' of bitbucket.org:bluetradesys/spark into prod

Implemented Jake's note on spread leg last px.

Approved-by: Jake Norbut <jake.norbut@bluetradesys.com>

release_notes.txt

@@ -1,24 +1,35 @@
-1.1.8
-- Enabled wild cards in risk management UI
-- Fixed spreader order updates
-
-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
-- 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 
+1.1.22
+- Orderbook: Orders in Error status can now be recreated
+- Orderbook: Orders containing child orders will now be collapsed by default.
+- Orderbook: Expand / Collapse All button added to the right-click menu and window action pane, denoted by ▲ icon
+- Orderbook: Symbol column added to allow for filtering based on group symbol
+- Time filters now have a quick Set Last Hour hyperlink which will set the Period Begin filter to (Now - 1 hour)
+
+1.1.20
+- Update CME market data handler for price precision extension.
+  https://www.cmegroup.com/confluence/display/EPICSANDBOX/Price+Precision+Extension
+
+1.1.8
+- Enabled wild cards in risk management UI
+- Fixed spreader order updates
+
+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
+- 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 

src/client/spark/Images/Icons.cs

@@ -107,6 +107,7 @@ namespace mbts.ui
       public static ImageSource Tetris { get { return (DrawingImage)_resources["Tetris"]; } }
       public static ImageSource ViewSettings => (DrawingImage)_resources["ViewSettings"];
       public static ImageSource Wrench { get { return (DrawingImage)_resources["Wrench"]; } }
+      public static ImageSource UpArrow { get { return (DrawingImage)_resources["UpArrow"]; } }
 
       public static ImageSource Support => (DrawingImage)_resources["SupportIcon"];
    }

src/client/spark/Images/Vector/Icons.xaml

@@ -753,6 +753,19 @@ M0,0L63.999001,0 63.999001,48.792999 0,48.792999z">
     </DrawingImage.Drawing>
   </DrawingImage>
 
+  <DrawingImage x:Key="UpArrow" x:Shared="False">
+    <DrawingImage.Drawing>
+      <DrawingGroup>
+        <DrawingGroup.Children>
+          <GeometryDrawing
+            Brush="Black"
+            Geometry="M16,0L32,19.745 0,19.745z"
+          />
+        </DrawingGroup.Children>
+      </DrawingGroup>
+    </DrawingImage.Drawing>
+  </DrawingImage>
+
   <!-- Pin 
         <Path Data="F1M3,11L3,7 0,7 0,6 1,6 1,1 1,0 6,0 6,1 6,6 7,6 7,7 4,7 4,11 3,11z M2,1L2,6 4,6 4,1 2,1z" />
         Unpin 

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

@@ -78,7 +78,7 @@ namespace mbts.spark {
             _animation.AnimationsChanged += on_animations_changed;
             void on_animations_changed() => RaisePropertyChanged(nameof(animations));
             _dispose = Disposable.Create(
-               _orders_model.on_security_orders(security.Id).OnDispatcher().Subscribe(_on_orders),
+               _orders_model.on_security_root_orders(security.Id).OnDispatcher().Subscribe(_on_orders),
                _position.OnDispatcher().Subscribe(v => _animation.animate_position(v.newval > v.oldval)),
                _inside_bids.OnDispatcher().Subscribe(v => _animation.animate_working_bids_inside(v.newval)),
                _inside_asks.OnDispatcher().Subscribe(v => _animation.animate_working_asks_inside(v.newval)),
@@ -250,9 +250,6 @@ namespace mbts.spark {
             public int position => _position;
 
             public void add_order(OrderRecordImmutable o) {
-               // This is a market data form - not an orders form - so just show data for root/non-child orders.
-               if (o.has_parent())
-                  return;
                switch (o.side()) {
                   case Side.Buy:
                      _position += (int)o.filled();
@@ -274,9 +271,6 @@ namespace mbts.spark {
             }
 
             public void remove_order(OrderRecordImmutable o) {
-               // This is a market data form - not an orders form - so just show data for root/non-child orders.
-               if (o.has_parent())
-                  return;
                switch (o.side()) {
                   case Side.Buy:
                      _position -= (int)o.filled();

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

@@ -87,6 +87,8 @@ namespace bts.shell {
          public string security_regex;
          [ProtoMember(19)]
          public api.orderman.OrderSubType[] order_sub_types;
+         [ProtoMember(20)]
+         public string[] symbols;
       }
    }
 }

src/client/spark/Orders/OrdersModel.cs

@@ -2,6 +2,7 @@
 using bts.api.core;
 using bts.api.orderman;
 using bts.spark;
+using mbts.collections;
 using mbts.spark.utilities;
 using mbts.utils;
 using System;
@@ -173,6 +174,69 @@ namespace mbts.spark {
          .Select(t => t.state.Any(kv => kv.Value.is_active()))
          .StartWith(false);
 
+      public static IObservable<ITableUpdateTransform<OrderRecordImmutable, uint>> on_security_root_orders(this OrdersModel orders_model, uint security_key) =>
+         orders_model.on_security_orders(security_key).Scan(new RootOrderData(), (rod, table) => {
+            // ** using HashSet/List pairs, rather than a Dictionary, because TableUpdateTransform calls for IReadOnlyLists, while Dictionary.Values only implements IReadOnlyCollection.
+            // (this way, we avoid copying both added/removed Dictionary.Values to new Lists at the end, see comment at bottom of method if this is unclear) **
+            var added_root_keys = new HashSet<uint>();
+            var added_roots = new List<OrderRecordImmutable>();
+            var removed_root_keys = new HashSet<uint>();
+            var removed_roots = new List<OrderRecordImmutable>();
+            foreach (var o in table.removed) {
+               if (rod.last_update.state.ContainsKey(o.Key)) {
+                  // order was a root, needs to be removed
+                  removed_roots.Add(o);
+                  if (table.state.TryGetValue(o.Key, out OrderRecordImmutable newval)) {
+                     // order was changed, if its an actual root, or its parent isn't present, the newval needs to be added
+                     if (!o.has_parent() || !table.state.ContainsKey(o.ParentKey)) {
+                        added_roots.Add(newval);
+                        added_root_keys.Add(o.Key);
+                     }
+                  } else {
+                     // order was indeed removed, not just changed - if it has a parent, remove its corresponding child-entry
+                     if (o.has_parent()) {
+                        rod.parent_to_children.remove(o.ParentKey, o.Key);
+                     }
+                     if (rod.parent_to_children.try_lookup(o.Key, out ISet<uint> children)) {
+                        // order has left some orphans behind, any children that haven't been removed (i.e. still exist in table.state) are now roots
+                        foreach (uint ck in children) {
+                           if (table.state.TryGetValue(ck, out OrderRecordImmutable child)) {
+                              added_roots.Add(child);
+                              added_root_keys.Add(ck);
+                           }
+                        }
+                     }
+                  }
+               } else if (!table.state.ContainsKey(o.Key)) {
+                  // order was indeed removed, not just changed - if it has a parent, remove its corresponding child-entry
+                  rod.parent_to_children.remove(o.ParentKey, o.Key);
+               }
+            }
+            foreach (var o in table.added) {
+               if (added_root_keys.Contains(o.Key))
+                  continue;
+               if (rod.parent_to_children.try_lookup(o.Key, out ISet<uint> children)) {
+                  // children were previously functioning as roots, need to remove them
+                  foreach (uint ck in children) {
+                     if (rod.last_update.state.TryGetValue(ck, out OrderRecordImmutable child))
+                        removed_roots.Add(child);
+                  }
+               }
+               if (o.has_parent()) {
+                  rod.parent_to_children.add(o.ParentKey, o.Key);
+                  if (table.state.ContainsKey(o.ParentKey)) {
+                     // not a root order
+                     continue;
+                  }
+               }
+               added_roots.Add(o);
+            }
+            // ** [continue comment at top of method] this call would otherwise be:
+            // rod.last_update = rod.last_update.update(removed_dict.Values.ToList(), added_dict.Values.ToList(), o => o.Key) **
+            rod.last_update = rod.last_update.update(removed_roots, added_roots, o => o.Key);
+            return rod;
+         }).Select(r => r.last_update);
+
       public static async Task<OrderRecordImmutable?> order_from_key(this OrdersModel orders_model, uint order_key) {
          (var tu, var success) = await orders_model.on_orders.FirstAsyncTask(t => t.state.ContainsKey(order_key), TimeSpan.FromSeconds(3));
          if (success && tu.state.TryGetValue(order_key, out OrderRecordImmutable rec)) {
@@ -213,5 +277,10 @@ namespace mbts.spark {
          }
          return false;
       }
+
+      class RootOrderData {
+         public readonly SetMap<uint, uint> parent_to_children = new SetMap<uint, uint>();
+         public TableUpdateTransform<OrderRecordImmutable, uint> last_update { get; set; } = new TableUpdateTransform<OrderRecordImmutable, uint>();
+      }
    }
 }

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

@@ -19,6 +19,7 @@ namespace mbts.ui.controls {
             SecurityKey = 90,
             Side = 47,
             Size = 48,
+            Symbol = 48,
             Time = 100,
             TimeInForce = 47,
             TradeKey = 76,
@@ -39,6 +40,7 @@ namespace mbts.ui.controls {
             SecurityKey = "Security Key",
             Side = "Side",
             Size = "Qty",
+            Symbol = "Symbol",
             TimeInForce = "TIF",
             TradeKey = "Trade Key",
             User = "User",

src/client/spark/view/Controls/DataGridEx/Filters/Views/TimeFilterControl.xaml

@@ -42,9 +42,12 @@
                   <ColumnDefinition/>
                 </Grid.ColumnDefinitions>
                 <TextBlock VerticalAlignment="Center">From</TextBlock>
-                <TextBlock Grid.Column="2" HorizontalAlignment="Left">
-                  <Hyperlink x:Name="ClearBeginLink" Focusable="False">(Set Anytime)</Hyperlink>
-                </TextBlock>
+                <Grid Grid.Column="2">
+                  <TextBlock HorizontalAlignment="Left">
+                    <Hyperlink x:Name="ClearBeginLink" Focusable="False">(Set Anytime)</Hyperlink>
+                    <Hyperlink x:Name="SetLastHourLink" Focusable="False">(Set Last Hour)</Hyperlink>
+                  </TextBlock>
+                </Grid>
                 <c:DateTimePicker
                   x:Name="PART_Begin_DateTimePicker"
                   Grid.Row="2"

src/client/spark/view/Controls/DataGridEx/Filters/Views/TimeFilterControl.xaml.cs

@@ -44,8 +44,10 @@ namespace mbts.ui.controls {
       public override void OnApplyTemplate() {
          var clear_begin_time = this.assert_template_child<Hyperlink>("ClearBeginLink");
          var clear_end_time = this.assert_template_child<Hyperlink>("ClearEndLink");
+         var set_last_hour = this.assert_template_child<Hyperlink>("SetLastHourLink");
          clear_begin_time.Command = new DelegateCommand(() => Begin = default);
          clear_end_time.Command = new DelegateCommand(() => End = default);
+         set_last_hour.Command = new DelegateCommand(() => Begin = TimeTextTuple.FromDateTime(DateTime.Now.AddHours(-1)));
       }
 
       class TimeFilterErrorAdorner : NotifyDataErrorAdorner<TimeFilterControl, ITimeFilterVM>, IDisposable {

src/client/spark/view/Extensions/RandomExtensions.cs

@@ -14,6 +14,9 @@ namespace mbts.ui
       {
          return random.NextDouble() * (maxValue - minValue) + minValue;
       }
+      public static bool NextBool(this Random random, int truePercentage = 50) {
+         return random.NextDouble() < (truePercentage / 100.0);
+      }
 
    }
 

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="N0" />
+         <convert:DoubleTextConverter x:Key="DoubleWithNaNHiddenConverter" Format="N2" />
       </ResourceDictionary>
    </UserControl.Resources>
    <Grid>

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

@@ -54,6 +54,19 @@ namespace mbts.spark {
                   EqualityComparer.Create<SecurityImmutable, uint>(s => s.Id),
                   SecurityHelper.Comparer.InstanceImmutable
                )));
+            // symbol
+            Add(symbol_column = new SimpleTextColumn<string[]>(
+               Columns.Symbol,
+               DefaultColumnHeaders.Symbol,
+               nameof(CVOrderBookRowVM.symbol),
+               r => r.symbol.value,
+               DefaultColumnWidths.Symbol,
+               DiscreteValuesFilterVM.Create<CVOrderBookRowVM, string>(
+                  mbts.co2.UserSymbol.get_all().Select(u => u.symbol).Distinct().ToList(),
+                  r => r.symbol.value,
+                  value_path(nameof(CVOrderBookRowVM.symbol))
+               ),
+               DataGridFilterKnownTemplates.DiscreteValues));
             // time_created
             Add(time_created_column = new TimeCreatedColumn(
                new TimeFilterVM<CVOrderBookRowVM>(r => r.time_created.value, value_path(nameof(OrderBookRowVM.time_created)))));
@@ -223,6 +236,7 @@ namespace mbts.spark {
                status_column.filter.load_state(fs.statuses);
                last_message_column.filter.load_state(fs.exchange_message_regex);
                last_change_column.filter.load_state(fs.last_change);
+               symbol_column.filter.load_state(fs.symbols);
             }
             if (startup_data?.sort_criteria is List<SortingCriteria> lsc) {
                foreach (var sc in lsc)
@@ -238,6 +252,7 @@ namespace mbts.spark {
          public event Action filter_changed;
 
          public SecurityColumn security_column { get; }
+         public SimpleTextColumn<string[]> symbol_column { get; }
          public TimeCreatedColumn time_created_column { get; }
          public LastChangeTimeColumn last_change_column { get; }
          public SimpleTextColumn<string[]> user_column { get; }
@@ -279,7 +294,8 @@ namespace mbts.spark {
                statuses = status_column.filter.get_state(),
                exchange_message_regex = last_message_column.filter.get_state(),
                last_change = last_change_column.filter.get_state(),
-               security_criteria = security_column.filter.get_state()
+               security_criteria = security_column.filter.get_state(),
+               symbols = symbol_column.filter.get_state()
             };
 
          public void Dispose() {

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

@@ -31,6 +31,7 @@ namespace mbts.spark {
       IOrderBookCellStore<uint> _security_key_store;
       IOrderBookCellStore<SecurityImmutable?> _security_store;
       IOrderBookCellStore<Venue> _exchange_store;
+      IOrderBookCellStore<string> _symbol_store;
       // Def
       IOrderBookCellStore<CustomOrderDefinition.CustomOneofCase> _order_type_store;
       IOrderBookCellStore<Side> _side_store;
@@ -59,6 +60,7 @@ namespace mbts.spark {
          _security_key_store = CellFactory.create(this, _book_vm.columns.security_key_column, nameof(security_key), r => r._order.security_key(), r => r._security_key_store);
          _parent_order_key_store = CellFactory.create(this, _book_vm.columns.parent_key_column, nameof(parent_order_key), r => r._order.ParentKey, r => r._parent_order_key_store);
          _order_key_store = CellFactory.create(this, _book_vm.columns.order_key_column, nameof(order_key), r => r._order.Key, r => r._order_key_store);
+         _symbol_store = CellFactory.create(this, _book_vm.columns.symbol_column, nameof(symbol), r => r._security.HasValue ? _security.Value.Symbol : "unknown symbol", r => r._symbol_store);
          _time_created_store = CellFactory.create(this, _book_vm.columns.time_created_column, nameof(time_created), r => r._order.created(), r => r._time_created_store, format_date);
          _user_store = CellFactory.create(this, _book_vm.columns.user_column, nameof(user), r => _order.user(), r => r._user_store);
          _account_store = CellFactory.create(this, _book_vm.columns.account_column, nameof(account), r => r._order.account(), r => r._account_store);
@@ -88,7 +90,7 @@ namespace mbts.spark {
          }
          //
          _visible = backing(nameof(is_visible), true);
-         _expanded = backing(nameof(is_expanded), true);
+         _expanded = backing(nameof(is_expanded), false);
          _depth_level = backing(nameof(depth_level), () => {
             int i = 0;
             var curr = this;
@@ -120,6 +122,7 @@ namespace mbts.spark {
       public IOrderBookCell<uint> security_key => _security_key_store.current;
       public IOrderBookCell<SecurityImmutable?> security => _security_store.current;
       public IOrderBookCell<Venue> exchange => _exchange_store.current;
+      public IOrderBookCell<string> symbol => _symbol_store.current;
       // Def
       public IOrderBookCell<CustomOrderDefinition.CustomOneofCase> order_type => _order_type_store.current;
       public IOrderBookCell<Side> side => _side_store.current;
@@ -190,6 +193,7 @@ namespace mbts.spark {
             yield return _price_store;
             yield return _avg_price_store;
             yield return _last_price_store;
+            yield return _symbol_store;
          }
       }
 
@@ -282,6 +286,7 @@ namespace mbts.spark {
             case Columns.ParentKey: return row._parent_order_key_store;
             case Columns.SecurityKey: return row._security_key_store;
             case Columns.Security: return row._security_store;
+            case Columns.Symbol: return row._symbol_store;
             case Columns.Exchange: return row._exchange_store;
             case Columns.OrderType: return row._order_type_store;
             case Columns.Side: return row._side_store;

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

@@ -38,6 +38,8 @@ namespace mbts.spark {
       SetMap<uint, uint> _parent_to_children = new SetMap<uint, uint>();
       SetMap<uint, uint> _security_orders = new SetMap<uint, uint>();
 
+      bool _expand_collapse_all_status = false;
+
       public CVOrderBookVM(IBus bus, OrdersModel model, OrderBookStartupData state) {
          columns = new CVOrderBookColumnCollection(bus, model, state, _order_securities_subject);
          foreach (ColumnBase col in columns)
@@ -69,6 +71,15 @@ namespace mbts.spark {
          SetMap<uint, uint> missing_security_orders = new SetMap<uint, uint>();
          IReadOnlyDictionary<uint, SecurityMD> security_dict = new Dictionary<uint, SecurityMD>();
 
+         expand_collapse_all_rows_command = new DelegateCommand(
+            () => {
+               _order_rows.Where(r => r.is_visible && r.passes_filter).ForEach(r =>
+                  r.is_expanded = !_expand_collapse_all_status
+               );
+               _expand_collapse_all_status = !_expand_collapse_all_status;
+            }
+         );
+
          _dispose = Disposable.Create(
             bus.subscribe(SparkTags.SecuritiesTag).OnDispatcher().Subscribe(on_securities),
             model.on_orders.OnDispatcher().Subscribe(on_orders),
@@ -232,6 +243,8 @@ namespace mbts.spark {
       public CVOrderBookRowVM current_row { get => _current_row.Value; set => _current_row.Value = value ?? _selected_rows.FirstOrDefault(); }
       public OrderRecordImmutable? current_order => current_row?.order;
       public IEnumerable<OrderRecordImmutable> selected_orders => _selected_rows.Select(r => r.order);
+
+      public System.Windows.Input.ICommand expand_collapse_all_rows_command { get; }
       void IOrderBookVM.on_sorting(DIYGridSortingEventArgs e) { }
 
       public void row_selection_changed(SelectionChangedEventArgs e) {

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

@@ -18,6 +18,7 @@ using System.Linq;
 using System.Reactive.Linq;
 using System.Windows.Controls;
 using System.Windows.Data;
+using System.Windows.Input;
 using static bts.shell.OrderBookWindowFactory;
 using static mbts.spark.OrderBookView;
 using static mbts.ui.controls.DIYGrid;
@@ -427,6 +428,9 @@ namespace mbts.spark {
       public ObservableCollection<OrderBookRowVM> selected_rows => _selected_rows;
       public IEnumerable<OrderRecordImmutable> selected_orders => _selected_rows.Select(r => r.order);
 
+      public ICommand expand_collapse_all_rows_command => throw new NotImplementedException();
+
+
       #region Filters
       public IDataGridColumnPersistentFilter<OrderBookRowVM, DoubleMinMaxState> price_filter { get; } = new DoubleMinMax<OrderBookRowVM>(r => r.price, nameof(OrderBookRowVM.price));
       public IDataGridColumnPersistentFilter<OrderBookRowVM, UIntMinMaxState> qty_filter { get; } = new UIntMinMax<OrderBookRowVM>(r => r.quantity, nameof(OrderBookRowVM.quantity));
@@ -448,7 +452,6 @@ namespace mbts.spark {
       public IDataGridColumnPersistentFilter<OrderBookRowVM, string> exchange_message_filter { get; }
       public IDataGridColumnPersistentFilter<OrderBookRowVM, string> security_filter { get; } = new RegexFilterVM<OrderBookRowVM>(r => r.security_text, nameof(OrderBookRowVM.security_text));
 
-
       public FilterStates get_filter_states() =>
          new FilterStates {
             order_key_regex = order_key_filter.get_state(),

src/client/spark/view/Spark/Shell/OrderBook/OrderBookView.xaml.cs

@@ -17,10 +17,11 @@ namespace mbts.spark {
       void on_sorting(DIYGridSortingEventArgs e);
       List<SortingCriteria> get_sorting_states();
       OrderBookWindowFactory.FilterStates get_filter_states();
+      System.Windows.Input.ICommand expand_collapse_all_rows_command { get; }
    }
 
    internal partial class OrderBookView : UserControl {
-      public enum Columns { Security, Time, LastChange, User, Account, Exchange, TimeInForce, OrderType, SubType, Side, Size, Price, Filled, AvgFilled, LastPrice, Status, LastMessage, SecurityKey, OrderKey, ParentKey }
+      public enum Columns { Security, Time, LastChange, User, Account, Exchange, TimeInForce, OrderType, SubType, Side, Size, Price, Filled, AvgFilled, LastPrice, Status, LastMessage, SecurityKey, OrderKey, ParentKey, Symbol }
       public const string
          SubTypeFilterTemplateKey = "SubTypeFilterTemplate",
          ExpandCollapseToggleStyleKey = "ExpandCollapseToggleStyle",

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

@@ -28,7 +28,8 @@ namespace mbts.spark {
          , _cancel_sell_orders_command
          , _cancel_all_orders_command
          , _cancel_selected_orders_command
-         , _recreate_selected_orders_command;
+         , _recreate_selected_orders_command
+         , _toggle_collapse_expand_all_command;
 
 
       public OrderBookWindow(OrdersModel model, OrderBookWindowFactory factory, IBus bus, OrderBookWindowFactory.OrderBookStartupData state, ImageSource icon) : base("Order Book", bus, factory, SparkCommands.ShowOrders.icon) {
@@ -115,6 +116,10 @@ namespace mbts.spark {
             can_execute: () => _vm.selected_orders.Any(x => _passes_recreate_search_criteria(x))
          );
 
+         _toggle_collapse_expand_all_command = new SparkCommandCommand("Expand / Collapse All", 
+            Icons.UpArrow,
+            _vm.expand_collapse_all_rows_command);
+
          _commands = new SparkCommand[] {
             _show_fills_command,
             _modify_order_command,
@@ -122,13 +127,14 @@ namespace mbts.spark {
             _cancel_buy_orders_command,
             _cancel_sell_orders_command,
             _cancel_all_orders_command,
-            _recreate_selected_orders_command
+            _recreate_selected_orders_command,
+            _toggle_collapse_expand_all_command
          };
          _vm.selected_order_changed += _vm_selected_order_changed;
       }
 
       private bool _passes_recreate_search_criteria(OrderRecordImmutable record) {
-         return record.status() == OrderStatus.Canceled 
+         return (record.status() == OrderStatus.Canceled || record.status() == OrderStatus.Error)
             && !record.has_parent() 
             && record.State.Quantity > record.State.FilledQuantity;
       }

src/client/spark_api/api/Update.cs

@@ -1,5 +1,6 @@
 using System;
 using System.Collections.Generic;
+using System.Collections.Immutable;
 using System.Linq;
 using System.Reactive.Linq;
 
@@ -43,9 +44,9 @@ namespace bts.api.core {
 
    public class TableUpdate<T, TKey> where TKey : IEquatable<TKey> {
 
-      readonly Dictionary<TKey, T> _state;
+      ImmutableDictionary<TKey, T> _state;
 
-      internal TableUpdate(Dictionary<TKey, T> init, IReadOnlyList<T> added, IReadOnlyList<T> removed) {
+      internal TableUpdate(ImmutableDictionary<TKey, T> init, IReadOnlyList<T> added, IReadOnlyList<T> removed) {
          _state = init;
          this.added = added;
          this.removed = removed;
@@ -59,14 +60,10 @@ namespace bts.api.core {
          this.update(update.removed, update.added, update.key);
 
       internal TableUpdate<T, TKey> update(IReadOnlyList<T> removed, IReadOnlyList<T> added, Func<T, TKey> key) {
-         var table = new TableUpdate<T, TKey>(new Dictionary<TKey, T>(_state), added, removed);
-         foreach (var i in removed) {
-            table._state.Remove(key(i));
-         }
-         foreach (var item in added) {
-            table._state.Add(key(item), item);
-         }
-         return table;
+         var builder = _state.ToBuilder();
+         builder.RemoveRange(removed.Select(i => key(i)));
+         builder.AddRange(added.Select(i => new KeyValuePair<TKey, T>(key(i), i)));
+         return new TableUpdate<T, TKey>(builder.ToImmutableDictionary(), added, removed);
       }
 
       internal TableUpdate<T, TKey> as_snapshot() {
@@ -102,7 +99,7 @@ namespace bts.api.core {
 
       public static IObservable<TableUpdate<T,TKey>> Table<T,TKey>(this IObservable<Update<T,TKey>> source) where TKey : IEquatable<TKey> =>
          source.Scan(
-            new TableUpdate<T,TKey>(new Dictionary<TKey, T>(), new List<T>(), new List<T>()),
+            new TableUpdate<T,TKey>(ImmutableDictionary<TKey,T>.Empty, new List<T>(), new List<T>()),
             (table, update) => table.update(update));
 
       public static IObservable<TableUpdate<T,TKey>> Cache<T, TKey>(this IObservable<TableUpdate<T, TKey>> source) where TKey : IEquatable<TKey> {

src/client/spark_api/spark_api.csproj

@@ -1,34 +1,35 @@
-<Project Sdk="Microsoft.NET.Sdk">
-  <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
-    <Authors>Blue Trading Systems</Authors>
-    <Company>Blue Trading Systems</Company>
-    <Product>Spark</Product>
-    <Description />
-    <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
-    <Platforms>x64</Platforms>
-    <PlatformTarget>AnyCPU</PlatformTarget>
-    <TreatWarningsAsErrors>true</TreatWarningsAsErrors>
-    <WarningsAsErrors />
-    <Version>1.0.0</Version>
-    <LangVersion>7.2</LangVersion>
-  </PropertyGroup>
-  
-  <ItemGroup>
-    <PackageReference Include="Google.Protobuf" Version="3.4.0" />
-    <PackageReference Include="System.Reactive" Version="3.1.1" />
-  </ItemGroup>
-
-  <ItemGroup>
-    <Proto3 Include="**/*.proto" />
-    <Proto3 Include="../../lib/api/*.proto" />
-    <Proto3 Include="../../lib/api/services/*.proto" />
-    <!--Proto3 Remove="../../lib/api/services/MarketDataRelay.proto" /-->
-    <Proto3 Include="../../lib/md/protos/co2.proto" />
-    <Proto3 Include="../../lib/domain_model/Security.proto" />
-    <Proto3 Include="../../lib/sparkproto/SparkProtos.proto" />
-    <Proto3 Update="../../lib/api/services/OutOfProcessURLListener.proto">
-      <!-- <CompileOptions>internal_access:</CompileOptions> -->
-    </Proto3>
-  </ItemGroup>
-</Project>
+<Project Sdk="Microsoft.NET.Sdk">
+  <PropertyGroup>
+    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+    <Authors>Blue Trading Systems</Authors>
+    <Company>Blue Trading Systems</Company>
+    <Product>Spark</Product>
+    <Description />
+    <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
+    <Platforms>x64</Platforms>
+    <PlatformTarget>AnyCPU</PlatformTarget>
+    <TreatWarningsAsErrors>true</TreatWarningsAsErrors>
+    <WarningsAsErrors />
+    <Version>1.0.0</Version>
+    <LangVersion>7.2</LangVersion>
+  </PropertyGroup>
+  
+  <ItemGroup>
+    <PackageReference Include="Google.Protobuf" Version="3.4.0" />
+    <PackageReference Include="System.Collections.Immutable" Version="1.5.0" />
+    <PackageReference Include="System.Reactive" Version="3.1.1" />
+  </ItemGroup>
+
+  <ItemGroup>
+    <Proto3 Include="**/*.proto" />
+    <Proto3 Include="../../lib/api/*.proto" />
+    <Proto3 Include="../../lib/api/services/*.proto" />
+    <!--Proto3 Remove="../../lib/api/services/MarketDataRelay.proto" /-->
+    <Proto3 Include="../../lib/md/protos/co2.proto" />
+    <Proto3 Include="../../lib/domain_model/Security.proto" />
+    <Proto3 Include="../../lib/sparkproto/SparkProtos.proto" />
+    <Proto3 Update="../../lib/api/services/OutOfProcessURLListener.proto">
+      <!-- <CompileOptions>internal_access:</CompileOptions> -->
+    </Proto3>
+  </ItemGroup>
+</Project>

src/client/spark_core/Co2/MDConsumerHandle.cs

@@ -124,8 +124,8 @@ namespace mbts.co2
       public double session_high { get { return _cold->session_high;} }
       public double session_low { get {  return _cold->session_low; } }
       public double open_interest { get {  return _cold->open_interest; } }
-      public double session_high_bid { get {  return _cold->session_high_bid; } }
-      public double session_low_offer { get {  return _cold->session_low_offer; } }
+      // public double session_high_bid { get {  return _cold->session_high_bid; } }
+      // public double session_low_offer { get {  return _cold->session_low_offer; } }
       public double fixing_price { get {  return _cold->fixing_price; } }
 
       //

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/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)
+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;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/config/defaults/cpp_config.conf

@@ -62,11 +62,11 @@ CppConfig
 		cpp_entry { key: "5Y" value: 42000 }
 		cpp_entry { key: "5ZN" value: 2500 }
 		cpp_entry { key: "63" value: 1000 }
-		cpp_entry { key: "6A" value: 1000 }
-		cpp_entry { key: "6B" value: 625 }
+		cpp_entry { key: "6A" value: 100000 }
+		cpp_entry { key: "6B" value: 62500 }
 		cpp_entry { key: "6C" value: 100000 }
-		cpp_entry { key: "6E" value: 1250 }
-		cpp_entry { key: "6J" value: 1250 }
+		cpp_entry { key: "6E" value: 125000 }
+		cpp_entry { key: "6J" value: 12500000 }
 		cpp_entry { key: "6L" value: 100000 }
 		cpp_entry { key: "6M" value: 500000 }
 		cpp_entry { key: "6N" value: 100000 }
@@ -357,9 +357,6 @@ CppConfig
 		cpp_entry { key: "BSW" value: 136 }
 		cpp_entry { key: "BTC" value: 5 }
 		cpp_entry { key: "BTT" value: 50 }
-		cpp_entry { key: "BU2" value: 20000 }
-		cpp_entry { key: "BU3" value: 30000 }
-		cpp_entry { key: "BU5" value: 50000 }
 		cpp_entry { key: "BUC" value: 42000 }
 		cpp_entry { key: "BUS" value: 20 }
 		cpp_entry { key: "BUW" value: 20 }
@@ -448,6 +445,7 @@ CppConfig
 		cpp_entry { key: "DBB" value: 1000 }
 		cpp_entry { key: "DBI" value: 1000 }
 		cpp_entry { key: "DBL" value: 100 }
+		cpp_entry { key: "DBR" value: 1000 }
 		cpp_entry { key: "DBT" value: 100 }
 		cpp_entry { key: "DC" value: 2000 }
 		cpp_entry { key: "DCB" value: 1000 }
@@ -461,12 +459,13 @@ CppConfig
 		cpp_entry { key: "DDO" value: 1000 }
 		cpp_entry { key: "DEB" value: 744 }
 		cpp_entry { key: "DEN" value: 250 }
-		cpp_entry { key: "DEP" value: 264 }
+		cpp_entry { key: "DEP" value: 276 }
 		cpp_entry { key: "DES" value: 1000 }
 		cpp_entry { key: "DFL" value: 100 }
 		cpp_entry { key: "DFT" value: 100 }
 		cpp_entry { key: "DG2" value: 100 }
 		cpp_entry { key: "DG3" value: 100 }
+		cpp_entry { key: "DGH" value: 1000 }
 		cpp_entry { key: "DGI" value: 100 }
 		cpp_entry { key: "DGS" value: 100 }
 		cpp_entry { key: "DGT" value: 100 }
@@ -476,11 +475,17 @@ CppConfig
 		cpp_entry { key: "DIH" value: 2500 }
 		cpp_entry { key: "DJR" value: 100 }
 		cpp_entry { key: "DKR" value: 1000 }
+		cpp_entry { key: "DMB" value: 100 }
+		cpp_entry { key: "DOB" value: 1000 }
+		cpp_entry { key: "DOP" value: 1000 }
+		cpp_entry { key: "DRB" value: 1000 }
 		cpp_entry { key: "DRS" value: 100 }
 		cpp_entry { key: "DSD" value: 1000 }
 		cpp_entry { key: "DSE" value: 1000 }
+		cpp_entry { key: "DSG" value: 1000 }
 		cpp_entry { key: "DSI" value: 1000 }
 		cpp_entry { key: "DSM" value: 1000 }
+		cpp_entry { key: "DUA" value: 6350 }
 		cpp_entry { key: "DUP" value: 1000 }
 		cpp_entry { key: "DVE" value: 200 }
 		cpp_entry { key: "DVT" value: 200 }
@@ -498,7 +503,6 @@ CppConfig
 		cpp_entry { key: "EAE" value: 5 }
 		cpp_entry { key: "EAF" value: 1000 }
 		cpp_entry { key: "EAW" value: 80 }
-		cpp_entry { key: "EB" value: 2500 }
 		cpp_entry { key: "EBE" value: 1000 }
 		cpp_entry { key: "ECD" value: 125000 }
 		cpp_entry { key: "ECK" value: 4000000 }
@@ -550,7 +554,6 @@ CppConfig
 		cpp_entry { key: "EWG" value: 1000 }
 		cpp_entry { key: "EWN" value: 1000 }
 		cpp_entry { key: "EXR" value: 350000 }
-		cpp_entry { key: "F1E" value: 1000 }
 		cpp_entry { key: "F1U" value: 1000 }
 		cpp_entry { key: "F3" value: 1000 }
 		cpp_entry { key: "FAL" value: 5 }
@@ -612,6 +615,7 @@ CppConfig
 		cpp_entry { key: "GDK" value: 2000 }
 		cpp_entry { key: "GDL" value: 1000 }
 		cpp_entry { key: "GE" value: 2500 }
+		cpp_entry { key: "GES" value: 1000 }
 		cpp_entry { key: "GF" value: 500 }
 		cpp_entry { key: "GFC" value: 1000 }
 		cpp_entry { key: "GFT" value: 500 }
@@ -621,8 +625,11 @@ CppConfig
 		cpp_entry { key: "GKS" value: 1000 }
 		cpp_entry { key: "GLB" value: 2500 }
 		cpp_entry { key: "GLI" value: 100 }
+		cpp_entry { key: "GNB" value: 1000 }
 		cpp_entry { key: "GNF" value: 440 }
 		cpp_entry { key: "GNL" value: 80 }
+		cpp_entry { key: "GNO" value: 1000 }
+		cpp_entry { key: "GNS" value: 1000 }
 		cpp_entry { key: "GOC" value: 7450 }
 		cpp_entry { key: "GPS" value: 100 }
 		cpp_entry { key: "GSI" value: 42000 }
@@ -655,7 +662,7 @@ CppConfig
 		cpp_entry { key: "HB" value: 2500 }
 		cpp_entry { key: "HE" value: 400 }
 		cpp_entry { key: "HET" value: 400 }
-		cpp_entry { key: "HG" value: 5000 }
+		cpp_entry { key: "HG" value: 25000 }
 		cpp_entry { key: "HG0" value: 25000 }
 		cpp_entry { key: "HGS" value: 25000 }
 		cpp_entry { key: "HGT" value: 25000 }
@@ -693,20 +700,20 @@ CppConfig
 		cpp_entry { key: "IBE" value: 1000 }
 		cpp_entry { key: "IBS" value: 1000 }
 		cpp_entry { key: "IBV" value: 1 }
-		cpp_entry { key: "IC" value: 5000 }
+		cpp_entry { key: "IC" value: 50 }
 		cpp_entry { key: "ICI" value: 1000 }
 		cpp_entry { key: "IDL" value: 5 }
-		cpp_entry { key: "IH" value: 5000 }
+		cpp_entry { key: "IH" value: 50 }
 		cpp_entry { key: "ILB" value: 1750 }
 		cpp_entry { key: "ILS" value: 1000000 }
 		cpp_entry { key: "IN" value: 2500 }
-		cpp_entry { key: "IP" value: 5000 }
+		cpp_entry { key: "IP" value: 50 }
 		cpp_entry { key: "IPO" value: 10 }
 		cpp_entry { key: "IPT" value: 10 }
-		cpp_entry { key: "IS" value: 5000 }
+		cpp_entry { key: "IS" value: 50 }
 		cpp_entry { key: "ITB" value: 744 }
-		cpp_entry { key: "ITP" value: 264 }
-		cpp_entry { key: "IW" value: 5000 }
+		cpp_entry { key: "ITP" value: 276 }
+		cpp_entry { key: "IW" value: 50 }
 		cpp_entry { key: "J4L" value: 80 }
 		cpp_entry { key: "J7" value: 6250000 }
 		cpp_entry { key: "JA" value: 1000 }
@@ -716,7 +723,7 @@ CppConfig
 		cpp_entry { key: "JFB" value: 1000 }
 		cpp_entry { key: "JFC" value: 1000 }
 		cpp_entry { key: "JKM" value: 10000 }
-		cpp_entry { key: "JML" value: 40 }
+		cpp_entry { key: "JML" value: 440 }
 		cpp_entry { key: "JNC" value: 1000 }
 		cpp_entry { key: "JNG" value: 10000 }
 		cpp_entry { key: "JNL" value: 80 }
@@ -744,8 +751,8 @@ CppConfig
 		cpp_entry { key: "K5" value: 20 }
 		cpp_entry { key: "K5K" value: 20 }
 		cpp_entry { key: "K5N" value: 20 }
-		cpp_entry { key: "KE" value: 5000 }
-		cpp_entry { key: "KET" value: 5000 }
+		cpp_entry { key: "KE" value: 50 }
+		cpp_entry { key: "KET" value: 50 }
 		cpp_entry { key: "KQ" value: 20 }
 		cpp_entry { key: "KQK" value: 20 }
 		cpp_entry { key: "KQN" value: 20 }
@@ -778,11 +785,12 @@ CppConfig
 		cpp_entry { key: "M5F" value: 10 }
 		cpp_entry { key: "M6A" value: 10000 }
 		cpp_entry { key: "M6B" value: 6250 }
-		cpp_entry { key: "M6E" value: 125 }
+		cpp_entry { key: "M6E" value: 12500 }
 		cpp_entry { key: "MAA" value: 100 }
 		cpp_entry { key: "MAB" value: 1000 }
 		cpp_entry { key: "MAC" value: 833 }
 		cpp_entry { key: "MAE" value: 100 }
+		cpp_entry { key: "MAF" value: 10 }
 		cpp_entry { key: "MAS" value: 100 }
 		cpp_entry { key: "MB" value: 1000 }
 		cpp_entry { key: "MBB" value: 100000 }
@@ -795,7 +803,7 @@ CppConfig
 		cpp_entry { key: "MCC" value: 1000 }
 		cpp_entry { key: "MCD" value: 10000 }
 		cpp_entry { key: "MCT" value: 80 }
-		cpp_entry { key: "MCX" value: 5000 }
+		cpp_entry { key: "MCX" value: 50 }
 		cpp_entry { key: "MDB" value: 100 }
 		cpp_entry { key: "MDD" value: 5 }
 		cpp_entry { key: "MDL" value: 80 }
@@ -804,6 +812,7 @@ CppConfig
 		cpp_entry { key: "ME" value: 42000 }
 		cpp_entry { key: "MEB" value: 100 }
 		cpp_entry { key: "MEE" value: 100 }
+		cpp_entry { key: "MEF" value: 10 }
 		cpp_entry { key: "MEL" value: 840 }
 		cpp_entry { key: "MEO" value: 100 }
 		cpp_entry { key: "MEW" value: 100 }
@@ -830,7 +839,7 @@ CppConfig
 		cpp_entry { key: "MJN" value: 100 }
 		cpp_entry { key: "MJP" value: 25 }
 		cpp_entry { key: "MJY" value: 1250000 }
-		cpp_entry { key: "MKC" value: 1000 }
+		cpp_entry { key: "MKC" value: 10 }
 		cpp_entry { key: "MLD" value: 80 }
 		cpp_entry { key: "MM" value: 1000 }
 		cpp_entry { key: "MME" value: 100 }
@@ -867,13 +876,12 @@ CppConfig
 		cpp_entry { key: "MTI" value: 80 }
 		cpp_entry { key: "MTS" value: 100 }
 		cpp_entry { key: "MUD" value: 100 }
-		cpp_entry { key: "MWE" value: 5000 }
+		cpp_entry { key: "MWE" value: 50 }
 		cpp_entry { key: "MX" value: 1000 }
 		cpp_entry { key: "MXB" value: 35000 }
 		cpp_entry { key: "MXL" value: 5 }
 		cpp_entry { key: "MXR" value: 35000 }
 		cpp_entry { key: "N1B" value: 1000 }
-		cpp_entry { key: "N1E" value: 1000 }
 		cpp_entry { key: "N1U" value: 1000 }
 		cpp_entry { key: "N3L" value: 80 }
 		cpp_entry { key: "N3P" value: 80 }
@@ -894,7 +902,7 @@ CppConfig
 		cpp_entry { key: "NFG" value: 1000 }
 		cpp_entry { key: "NFN" value: 2500 }
 		cpp_entry { key: "NFO" value: 5 }
-		cpp_entry { key: "NG" value: 100 }
+		cpp_entry { key: "NG" value: 10000 }
 		cpp_entry { key: "NGT" value: 10000 }
 		cpp_entry { key: "NHH" value: 5000 }
 		cpp_entry { key: "NHN" value: 2500 }
@@ -1046,6 +1054,7 @@ CppConfig
 		cpp_entry { key: "REB" value: 1000 }
 		cpp_entry { key: "REX" value: 100 }
 		cpp_entry { key: "RF" value: 125000 }
+		cpp_entry { key: "RGF" value: 349860 }
 		cpp_entry { key: "RGI" value: 1000 }
 		cpp_entry { key: "RGT" value: 50 }
 		cpp_entry { key: "RHB" value: 1000 }
@@ -1068,10 +1077,10 @@ CppConfig
 		cpp_entry { key: "RY" value: 125000 }
 		cpp_entry { key: "RYA" value: 42000 }
 		cpp_entry { key: "S1U" value: 1000 }
-		cpp_entry { key: "SBT" value: 5000 }
+		cpp_entry { key: "SBT" value: 50 }
 		cpp_entry { key: "SD" value: 1000 }
 		cpp_entry { key: "SDA" value: 250 }
-		cpp_entry { key: "SDD" value: 1680 }
+		cpp_entry { key: "SDD" value: 1840 }
 		cpp_entry { key: "SDG" value: 250 }
 		cpp_entry { key: "SDI" value: 1000 }
 		cpp_entry { key: "SDM" value: 100 }
@@ -1087,6 +1096,7 @@ CppConfig
 		cpp_entry { key: "SG" value: 250 }
 		cpp_entry { key: "SGB" value: 1000 }
 		cpp_entry { key: "SGE" value: 42000 }
+		cpp_entry { key: "SGF" value: 1000 }
 		cpp_entry { key: "SGG" value: 1000 }
 		cpp_entry { key: "SGT" value: 250 }
 		cpp_entry { key: "SI" value: 5000 }
@@ -1103,7 +1113,7 @@ CppConfig
 		cpp_entry { key: "SP" value: 250 }
 		cpp_entry { key: "SR1" value: 4167 }
 		cpp_entry { key: "SR3" value: 2500 }
-		cpp_entry { key: "SRT" value: 1680 }
+		cpp_entry { key: "SRT" value: 1840 }
 		cpp_entry { key: "SSI" value: 1000 }
 		cpp_entry { key: "SSP" value: 5000 }
 		cpp_entry { key: "SSW" value: 1000 }
@@ -1114,28 +1124,27 @@ CppConfig
 		cpp_entry { key: "STY" value: 1000 }
 		cpp_entry { key: "SU" value: 250 }
 		cpp_entry { key: "SUT" value: 250 }
-		cpp_entry { key: "T01" value: 800 }
-		cpp_entry { key: "T02" value: 800 }
-		cpp_entry { key: "T03" value: 800 }
-		cpp_entry { key: "T06" value: 800 }
-		cpp_entry { key: "T07" value: 800 }
 		cpp_entry { key: "T08" value: 800 }
 		cpp_entry { key: "T09" value: 800 }
 		cpp_entry { key: "T10" value: 800 }
 		cpp_entry { key: "T13" value: 800 }
-		cpp_entry { key: "T1E" value: 1000 }
+		cpp_entry { key: "T14" value: 800 }
+		cpp_entry { key: "T15" value: 800 }
+		cpp_entry { key: "T16" value: 800 }
+		cpp_entry { key: "T17" value: 800 }
 		cpp_entry { key: "T1U" value: 1000 }
 		cpp_entry { key: "T20" value: 800 }
+		cpp_entry { key: "T21" value: 800 }
+		cpp_entry { key: "T22" value: 800 }
 		cpp_entry { key: "T23" value: 800 }
 		cpp_entry { key: "T24" value: 800 }
-		cpp_entry { key: "T25" value: 800 }
-		cpp_entry { key: "T26" value: 800 }
 		cpp_entry { key: "T27" value: 800 }
+		cpp_entry { key: "T28" value: 800 }
+		cpp_entry { key: "T29" value: 800 }
 		cpp_entry { key: "T2B" value: 1000 }
 		cpp_entry { key: "T2D" value: 1000 }
 		cpp_entry { key: "T2M" value: 100 }
 		cpp_entry { key: "T30" value: 800 }
-		cpp_entry { key: "T31" value: 800 }
 		cpp_entry { key: "T3B" value: 1000 }
 		cpp_entry { key: "T3L" value: 80 }
 		cpp_entry { key: "T4B" value: 1000 }
@@ -1256,7 +1265,7 @@ CppConfig
 		cpp_entry { key: "WHD" value: 1000 }
 		cpp_entry { key: "WMB" value: 1000 }
 		cpp_entry { key: "WMD" value: 1000 }
-		cpp_entry { key: "WMK" value: 5000 }
+		cpp_entry { key: "WMK" value: 50 }
 		cpp_entry { key: "WMR" value: 1000 }
 		cpp_entry { key: "WNC" value: 1000 }
 		cpp_entry { key: "WNT" value: 1000 }
@@ -1283,13 +1292,13 @@ CppConfig
 		cpp_entry { key: "XAV" value: 100 }
 		cpp_entry { key: "XAY" value: 100 }
 		cpp_entry { key: "XBT" value: 100 }
-		cpp_entry { key: "XC" value: 1000 }
+		cpp_entry { key: "XC" value: 10 }
 		cpp_entry { key: "XER" value: 1000 }
 		cpp_entry { key: "XET" value: 100 }
 		cpp_entry { key: "XFT" value: 250 }
 		cpp_entry { key: "XH" value: 2500 }
 		cpp_entry { key: "XIT" value: 100 }
-		cpp_entry { key: "XK" value: 1000 }
+		cpp_entry { key: "XK" value: 10 }
 		cpp_entry { key: "XKT" value: 100 }
 		cpp_entry { key: "XPP" value: 80 }
 		cpp_entry { key: "XPT" value: 100 }
@@ -1298,7 +1307,7 @@ CppConfig
 		cpp_entry { key: "XRT" value: 250 }
 		cpp_entry { key: "XUT" value: 100 }
 		cpp_entry { key: "XVT" value: 100 }
-		cpp_entry { key: "XW" value: 1000 }
+		cpp_entry { key: "XW" value: 10 }
 		cpp_entry { key: "XX" value: 2500 }
 		cpp_entry { key: "XYT" value: 100 }
 		cpp_entry { key: "YF" value: 42000 }
@@ -1363,7 +1372,7 @@ CppConfig
 		cpp_entry { key: "ZC9906" value: 1000 }
 		cpp_entry { key: "ZC9909" value: 1000 }
 		cpp_entry { key: "ZC9912" value: 1000 }
-		cpp_entry { key: "ZCT" value: 5000 }
+		cpp_entry { key: "ZCT" value: 50 }
 		cpp_entry { key: "ZD0030" value: 1000 }
 		cpp_entry { key: "ZD9112" value: 1000 }
 		cpp_entry { key: "ZD9115" value: 1000 }
@@ -1392,12 +1401,12 @@ CppConfig
 		cpp_entry { key: "ZMT" value: 100 }
 		cpp_entry { key: "ZN" value: 1000 }
 		cpp_entry { key: "ZNC" value: 25 }
-		cpp_entry { key: "ZO" value: 5000 }
+		cpp_entry { key: "ZO" value: 50 }
 		cpp_entry { key: "ZQ" value: 4167 }
 		cpp_entry { key: "ZR" value: 2000 }
 		cpp_entry { key: "ZS" value: 50 }
 		cpp_entry { key: "ZT" value: 2000 }
 		cpp_entry { key: "ZW" value: 50 }
-		cpp_entry { key: "ZWT" value: 5000 }
+		cpp_entry { key: "ZWT" value: 50 }
 	}
 }

src/lib/config/protos/MarketData.proto

@@ -145,4 +145,12 @@ message CMETradingSchedule {
    // we can elaborate later, but for now it's very simple:
    // this is "hours after midnight, in Central Time"
    optional double gen_open_hour = 1 [default = 8.5]; // 8:30 am CT
+}
+
+message SimSource {
+    oneof source {
+        string replay_url = 1 [default = "http://mdreplay.bluetradesys.local/spark/futures.coconut"];
+        string replay_file = 2 [default = "futures.coconut"];
+        bool local_relay = 3;
+    }
 }

src/lib/md/Diag/ShmDumper.cpp

@@ -28,8 +28,10 @@ double dump(TimeStamp time) {
 string dump(PriceSize ps) {
    stringstream res;
    res << "{";
-   res << "'price': " << ps.price() << ", ";
-   res << "'size': " << ps.size();
+   res << "'price': " << std::setprecision(11) << ps.price() << ", ";
+   res << "'size': " << ps.size() << " ";
+   // res << "'mant': " << ps.mantissa() << ", ";
+   // res << "'exp': " << (int)ps.exponent() << " ";
    res << "}";
    return res.str();
 }

src/lib/md/relay/RelayClient.cpp

@@ -283,15 +283,38 @@ struct RelayScheduler {
 
 void relay_everything() {
    api::ServiceContext ctx;
-   auto relay = ctx.locate<MarketDataRelay>();
    std::set<UserSymbol> system_symbols;
    get_system_md_symbols(system_symbols);
    RelayProducer producer(true);
-   RelayClient client(relay, nullptr, system_symbols, producer);
-   RelayScheduler scheduler(ctx, config::get<RelayOptions>().naggle_ms(), client);
-   ctx.post([&]() { scheduler.run(); });
+   relay_selected(ctx, system_symbols, producer);
 }
 
+void relay_selected(api::ServiceContext& ctx, const std::set<UserSymbol>& symbols, IRelayWriter& writer) {
+   auto relay = ctx.locate<MarketDataRelay>();
+   RelayClient client(relay, nullptr, symbols, writer);
+   RelayScheduler scheduler(ctx, config::get<RelayOptions>().naggle_ms(), client);
+   ctx.post([&]() { scheduler.run(); });
+
+   // block forever, I guess
+   utils::Dispatcher::current().run();
+}
+void local_relay(IRelayWriter& writer) {
+   api::ServiceContext ctx;
+   auto relay = ctx.locate<MarketDataRelay>();
+   std::set<UserSymbol> symbols;
+   {
+      std::set<UserSymbol> system_symbols;
+      get_system_md_symbols(system_symbols);
+
+      // Filter out VENUE_SIM
+      for (const auto& s : system_symbols) {
+         if (s.exchange() != api::VENUE_SIM) {
+            symbols.insert(s);
+         }
+      }
+   }
+   relay_selected(ctx, symbols, writer);
+}
 
 void record_everything(std::string path, std::string filename) {
    auto options = config::get<RecordOptions>();

src/lib/md/relay/RelayClient.h

@@ -14,6 +14,9 @@ namespace bts {
 namespace pubsub {
    class PubsubHub;
 }
+namespace api {
+   class ServiceContext;
+}
 namespace md {
 
 struct RelayControl;
@@ -26,6 +29,9 @@ struct IRelayWriter {
 
 utils::Dispatcher& scan_securities_thread();
 
+void relay_selected(api::ServiceContext& ctx, const std::set<UserSymbol>& symbols, IRelayWriter& writer);
+void local_relay(IRelayWriter& writer);
+
 extern "C" {
 BTS_EXPORT void relay_everything();
 

src/lib/md/relay/RelayRecorder.cpp

@@ -157,7 +157,7 @@ void replay_recording(istream& in, IRelayWriter& writer, int32_t naggle_ms) {
    }
 }
 
-void replay_file(const std::string& filename, IRelayWriter& writer, int32_t naggle_ms, bool loop = false) {
+void replay_file(const std::string& filename, IRelayWriter& writer, int32_t naggle_ms, bool loop) {
    do {
       ifstream in;
       in.open(filename, ios::binary | ios::in);

src/lib/md/relay/RelayRecorder.h

@@ -30,6 +30,7 @@ void unprint_recording(const std::string& src, const std::string& dest);
 void trace_recording(const std::string& file, security_key key);
 void replay_recording(const std::string&, int32_t delay_ms);
 void replay_url(const std::string& url, IRelayWriter& writer, int32_t naggle_ms);
+void replay_file(const std::string& filename, IRelayWriter& writer, int32_t naggle_ms, bool loop=false);
 
 }}//namespace
 

src/lib/md/test/Co2TestInstrument.cpp

@@ -1,4 +1,4 @@
-#ifndef NO_CPP0X
+#define _DISABLE_EXTENDED_ALIGNED_STORAGE
 #include "Co2TestInstrument.h"
 #include "lib/md/MemorySegmentUtils.h"
 
@@ -50,4 +50,3 @@ MDConsumerHandle Co2TestInstrument::consumer() {
 Co2TestInstrument::~Co2TestInstrument() { }
 
 }}//namespace
-#endif

src/server/sparkd/CMakeLists.txt

@@ -24,7 +24,7 @@ target_link_libraries( sparkd
   tbb
   double-conversion
   pugixml
-  onixs-cmemdh-all-4.5.2
+  onixs-cmemdh-all-4.8.0
   quickfix
   benchmark
   lttng-ust

src/server/sparkd/exchange_sim/ExchangeSim.cpp

@@ -104,11 +104,27 @@ int start_exchange_sim()
       acceptor.start();
       
       std::map<uint32_t,md::Security> known_securities;
+      const auto& conf = config::get<md::SimSource>(); 
       while ( true ) {
          MDPlayer player(application,known_securities);
-         md::replay_url("http://mdreplay.bluetradesys.local/spark/futures.coconut",
-                        player,
-                        config::get<md::RelayOptions>().naggle_ms());
+         switch(conf.source_case()) {
+            case md::SimSource::SOURCE_NOT_SET:
+            case md::SimSource::kReplayUrl:
+               md::replay_url(conf.replay_url(),
+                  player,
+                  config::get<md::RelayOptions>().naggle_ms());
+            break;
+            case md::SimSource::kReplayFile:
+               md::replay_file(conf.replay_file(),
+                  player,
+                  config::get<md::RelayOptions>().naggle_ms(), true);
+            break;
+            case md::SimSource::kLocalRelay: {
+               md::local_relay(player);
+            }
+            break;
+
+         }
       }
       acceptor.stop();
       return 0;

src/server/sparkd/http/WebServer.cpp

@@ -77,6 +77,7 @@ namespace http {
          _server.set_http_handler(bind(&ServerState::on_http, this, ::_1));
          // Turn off logging
          _server.clear_access_channels(websocketpp::log::alevel::all);
+         _server.clear_error_channels(websocketpp::log::alevel::all);
          run();
       }
 

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

@@ -11,74 +11,6 @@ using namespace bts::co2;
 namespace bts {
 namespace md {
 
-void decode_ticks(int vtt, double mintick, FixedSecurity& dest) {
-   switch(vtt) {
-      default:
-      case 0:
-         dest.low_tick = mintick;
-         dest.high_tick = mintick;
-         dest.price_break = 0;
-         break;
-      case 1:
-         dest.price_break = 500;
-         dest.low_tick = 5;
-         dest.high_tick = 10;
-         break;
-      case 2:
-         dest.price_break = 5;
-         dest.low_tick = 0.5;
-         dest.high_tick = 1;
-         break;
-      case 3:
-         dest.price_break = 10;
-         dest.low_tick = 1;
-         dest.high_tick = 2;
-         break;
-      case 4:
-         dest.price_break = 500;
-         dest.low_tick = 5;
-         dest.high_tick = 25;
-         break;
-      case 10:
-         dest.price_break = 300;
-         dest.low_tick = 5;
-         dest.high_tick = 25;
-         break;
-      case 11:
-         dest.price_break = 300;
-         dest.low_tick = 5;
-         dest.high_tick = 10;
-         break;
-      case 12:
-         dest.price_break = 5;
-         dest.low_tick = 0.25;
-         dest.high_tick = 0.5;
-         break;
-   }
-}
-
-int floorlog10(int64_t m) {
-   bts_assert(m >= 0);
-   if (m < 10) return 0;
-   if (m < 100) return 1;
-   if (m < 1000) return 2;
-   if (m < 10000) return 3;
-   if (m < 100000) return 4;
-   if (m < 1000000) return 5;
-   if (m < 10000000) return 6;
-   if (m < 100000000) return 7;
-   if (m < 1000000000) return 8;
-   if (m < 10000000000) return 9;
-   if (m < 100000000000) return 10;
-   if (m < 1000000000000) return 11;
-   if (m < 10000000000000) return 12;
-   if (m < 100000000000000) return 13;
-   if (m < 1000000000000000) return 14;
-   if (m < 10000000000000000) return 15;
-   if (m < 100000000000000000) return 16;
-   if (m < 1000000000000000000) return 17;
-   return 19;
-}
 
 MDP3Listener::MDP3Listener(
       CMESecurityIndex& index,
@@ -182,159 +114,6 @@ void MDP3Listener::onEndOfPacket(onixs::Handler&, const onixs::PacketArgs&) {
 //
 // Security discovery
 
-template <class Price>
-double double_of_price(const Price& price, int8_t display_factor) {
-   // order of multiplication is important because of floating point error
-   return (price.mantissa() * pow10(price.exponent())) * pow10(display_factor);
-}
-
-inline datetime::LLDateTime ll_of_timestamp(const onixs::Timestamp& ts) {
-   return datetime::ll_from_parts(ts.year(), (int)ts.month(), ts.day(), ts.hour(), ts.minute(), ts.second(), ts.millisecond());
-}
-
-datetime::Date date_of_timestamp(const onixs::Timestamp& ts) {
-   return datetime::Date(ts.year(), (int)ts.month(), ts.day());
-}
-
-template <class Definition>
-datetime::Date date_of_maturity(const Definition& def) {
-   for (const auto& event : def.events()) {
-      if (event.eventType() == onixs::EventType::LastEligibleTradeDate) {
-         return date_of_timestamp(event.eventTime());
-      }
-   }
-   return datetime::Date();
-}
-
-
-template <class Definition>
-void set_security_common(const Definition& def, FixedSecurity& fsec) {
-   fsec.numeric_id = def.securityId();
-   fsec.symbol(def.asset().items(), def.asset().size());
-   fsec.cfi_code(def.cfiCode().items(), def.cfiCode().size());
-   fsec.alt_symbol(def.securityGroup().items(), def.securityGroup().size());
-   fsec.security_desc(def.symbol().items(), def.symbol().size());
-   fsec.exchange = api::Venue::VENUE_GLBX;
-   // tickRule not present in futures
-   fsec.cme_market_segment_id = def.marketSegmentId();
-   fsec.display_factor = def.displayFactor().exponent() + floorlog10(def.displayFactor().mantissa());
-
-   def.mainFraction(fsec.cme_main_fraction);
-   def.subFraction(fsec.cme_sub_fraction);
-   def.priceDisplayFormat(fsec.cme_price_display_format);
-}
-
-void MDP3Listener::onDefinition(onixs::Handler&, const onixs::Security& osec, const onixs::InstrumentDefinitionFutureArgs& def) {
-   tracepoint (bts_trace,trace_order,(char*) "onDefinition.future", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   const auto& sec = def.message();
-   auto exchange_id = sec.securityId();
-   // LOG(md, Info, "onDefinition future {} {}",  
-   //    std::string(sec.asset().items(), sec.asset().size()),
-   //    std::string(sec.symbol().items(), sec.symbol().size()));
-
-   if (filter_security(exchange_id, sec) != ADD) return;
-   bts_assert(exchange_id == osec.id());
-
-   FixedFutureSecurity fsec;
-
-   set_security_common(sec, fsec);
-   fsec.price_break = 0;
-   // low/high tick are stored non-premultiplied and multiplied in conversion to api::Secutity
-   double min_tick = double_of_price(sec.minPriceIncrement(), 0);
-   fsec.low_tick = fsec.high_tick = min_tick;
-   onixs::PRICE min_tick_amount;
-   sec.minPriceIncrementAmount(min_tick_amount);
-   double min_tick_dbl = double_of_price(min_tick_amount, 0);
-   fsec.cash_per_point = min_tick_dbl / min_tick / pow10(fsec.display_factor);
-   auto expiration = date_of_maturity(sec);
-   fsec.expiration_year = expiration.year;
-   fsec.expiration_month = expiration.month;
-   fsec.expiration_day = expiration.day;
-   add_security(fsec);
-}
-void MDP3Listener::onDefinition(onixs::Handler&, const onixs::Security&, const onixs::InstrumentDefinitionOptionArgs& def) {
-   tracepoint (bts_trace,trace_order,(char*) "onDefinition.option", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   const auto& sec = def.message();
-   auto exchange_id = sec.securityId();
-   // LOG(Info, MarketData) << "onDefinition option " << exchange_id;
-   if (filter_security(exchange_id, sec) != ADD) return;
-
-   FixedOptionSecurity fsec;
-   set_security_common(sec, fsec);
-   auto expiration = date_of_maturity(sec);
-   fsec.expiration_year = expiration.year;
-   fsec.expiration_month = expiration.month;
-   fsec.expiration_day = expiration.day;
-   
-   onixs::PRICE strike_price;
-   bts_assert(sec.strikePrice(strike_price));
-   fsec.strike = double_of_price(strike_price, fsec.display_factor);
-
-   onixs::PRICE min_tick, min_tick_amount;
-   sec.minPriceIncrement(min_tick);
-   sec.minPriceIncrementAmount(min_tick_amount);
-
-   int8_t tick_rule;
-   if (sec.tickRule(tick_rule)) {
-      decode_ticks(tick_rule, double_of_price(min_tick, 0), fsec);
-   }
-   fsec.cash_per_point = double_of_price(min_tick_amount, 0) / fsec.low_tick / pow10(fsec.display_factor);
-
-   fsec.call_put = sec.putOrCall() == onixs::PutOrCall::Call ? api::PUTORCALL_CALL : api::PUTORCALL_PUT;
-
-   add_security(fsec);
-}
-
-void MDP3Listener::onDefinition(onixs::Handler&, const onixs::Security&, const onixs::InstrumentDefinitionSpreadArgs& spread_args) {
-   tracepoint (bts_trace,trace_order,(char*) "onDefinition.spread", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   const auto& sec = spread_args.message();
-   auto exchange_id = sec.securityId();
-   // LOG(md, Info, "onDefinition spread {} {}",  
-   //    std::string(sec.asset().items(), sec.asset().size()),
-   //    std::string(sec.symbol().items(), sec.symbol().size()));
-   if (filter_security(exchange_id, sec) != ADD) return;
-   
-   // Filter out any already expired spreads
-   auto expiration = date_of_maturity(sec);
-   if (expiration < datetime::today()) return;
-
-   FixedSpreadSecurityL fsec;
-   set_security_common(sec, fsec);
-   vector<uint32_t> leg_exchange_ids;
-   leg_exchange_ids.reserve(sec.legs().size());
-   
-   onixs::PRICE min_tick = sec.minPriceIncrement();
-   
-   int8_t tick_rule;
-   if (sec.tickRule(tick_rule)) {
-      decode_ticks(tick_rule, double_of_price(min_tick, 0), fsec);
-   }
-   else {
-      double mintick = double_of_price(min_tick, 0);
-      fsec.low_tick = mintick;
-      fsec.high_tick = mintick;
-      fsec.price_break = 0;
-   }
-
-   fsec.set_leg_count(sec.legs().size());
-   for(size_t x = 0; x < fsec.leg_count(); ++x) {
-      const auto& leg = sec.legs()[x];
-      onixs::PRICE price;
-      if (leg.legPrice(price)) {
-         fsec.legs[x].leg_price = double_of_price(price, fsec.display_factor);
-      }
-      onixs::DecimalQty qty;
-      if (leg.legOptionDelta(qty)) {
-         fsec.legs[x].leg_delta = double_of_price(qty, 0);
-      }
-      fsec.legs[x].leg_quantity = leg.legRatioQty();
-      fsec.legs[x].leg_side = leg.legSide() == onixs::LegSide::BuySide ? api::SIDE_BUY : api::SIDE_SELL;
-      leg_exchange_ids.push_back(leg.legSecurityId());
-   }
-   add_security(fsec);
-   _index.add_spread_legs(fsec.numeric_id, leg_exchange_ids);
-}
-
 void MDP3Listener::onBookUpdate(onixs::Handler&, const onixs::Security& sec, const onixs::DirectBook& book) {
    if (_booktype == CMEOptions::BOOKTYPE_DIRECT) {
       onBookUpdate(sec, book);
@@ -362,52 +141,16 @@ AggressorSide map_aggressor(onixs::AggressorSide::Enum agside) {
    }
 }
 
-void on_trade(SecurityData* data, const onixs::PRICE& price, int size, AggressorSide agside, const onixs::Timestamp& onixs_date) {
+void on_trade(SecurityData* data, const onixs::Decimal& price, int size, onixs::AggressorSide::Enum 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, agside, data->electronic_volume + size);
-}
-
-void MDP3Listener::onTrade(onixs::Handler&, const onixs::Security& sec, const onixs::RecoveryEntryArgs& arg) {
-   tracepoint (bts_trace,trace_order,(char*) "onTrade.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != NULL) {
-      int size = 0;
-      arg.entry().entrySize(size);
-      onixs::PRICE price;
-      arg.entry().entryPx(price);
-      on_trade(data, price, size, AGGRESSOR_SIDE_NONE, arg.message().transactTime());
-   }
-}
-void MDP3Listener::onTrade(onixs::Handler&, const onixs::Security& sec, const onixs::TradeSummaryArgs& arg) {
-   tracepoint (bts_trace,trace_order,(char*) "onTrade.summary", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != NULL) {
-      auto size = arg.entry().entrySize();
-      onixs::PRICE price = arg.entry().entryPx();
-      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) {
-   tracepoint (bts_trace,trace_order,(char*) "onTrade.trade_args", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   if (arg.entry().updateAction() == onixs::UpdateAction::New) {
-      auto* data = _index.get_security(sec.id());
-      if (data != nullptr) {
-         int size = arg.entry().entrySize();
-         onixs::PRICE price = arg.entry().entryPx();
-         onixs::AggressorSide::Enum agside = onixs::AggressorSide::NoAggressor;
-         arg.entry().aggressorSide(agside);
-         on_trade(data, price, size, map_aggressor(agside), arg.message().transactTime());
-      }
-   }
+   data->handle.add_trade(ts, ps, date, map_aggressor(agside), data->electronic_volume + size);
 }
 
 //
 // RFQ
-void MDP3Listener::onQuoteRequest(onixs::Handler&, const onixs::Security& sec, const onixs::QuoteRequestRelatedSymArgs& arg) {
+void MDP3Listener::onQuoteRequest(onixs::Handler&, const onixs::Security& sec, const onixs::QuoteRequest39RelatedSymArgs& arg) {
    tracepoint (bts_trace,trace_order,(char*) "onQuoteRequest", _latest_sequence, (uint16_t) _latest_sequence, 0);
    auto* data = _index.get_security(sec.id());
    if (data != nullptr) {
@@ -456,7 +199,7 @@ void MDP3Listener::onQuoteRequest(onixs::Handler&, const onixs::Security& sec, c
 
 //
 // Volume
-void MDP3Listener::onElectronicVolume(onixs::Handler&, const onixs::Security& sec, const onixs::VolumeArgs& args) {
+void MDP3Listener::onElectronicVolume(onixs::Handler&, const onixs::Security& sec, const onixs::Volume37Args& args) {
    tracepoint (bts_trace,trace_order,(char*) "onElectronicVolume.volume", _latest_sequence, (uint16_t) _latest_sequence, 0);
    auto* data = _index.get_security(sec.id());
    if (data != nullptr) {
@@ -466,162 +209,6 @@ void MDP3Listener::onElectronicVolume(onixs::Handler&, const onixs::Security& se
       data->electronic_volume = args.entry().entrySize();
    }
 }
-void MDP3Listener::onElectronicVolume(onixs::Handler&, const onixs::Security& sec, const onixs::RecoveryEntryArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onElectronicVolume.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data) {
-      int32_t size;
-      if (args.entry().entrySize(size)) {
-         data->electronic_volume = size;
-      }
-   }
-}
-
-//
-// Misc
-void MDP3Listener::onSettlementPrice(onixs::Handler&, const onixs::Security& sec, const onixs::DailyStatisticsArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onSettlementPrice.daily", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      onixs::PRICE price;
-      onixs::Timestamp time;
-      args.entry().entryPx(price);
-      args.entry().tradingReferenceDate(time);
-      auto display_factor = data->handle.security().display_factor;
-      data->handle.update_settlement(
-         utils::TimeStamp::now(), 
-         double_of_price(price, display_factor),
-         date_of_timestamp(time));
-   }
-}
-void MDP3Listener::onSettlementPrice(onixs::Handler&, const onixs::Security& sec, const onixs::RecoveryEntryArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onSettlementPrice.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      onixs::PRICE price;
-      onixs::Timestamp time;
-      args.entry().entryPx(price);
-      args.entry().tradingReferenceDate(time);
-      auto display_factor = data->handle.security().display_factor;
-      data->handle.update_settlement(
-         utils::TimeStamp::now(), 
-         double_of_price(price, display_factor),
-         date_of_timestamp(time));
-   }
-}
-void MDP3Listener::onOpenInterest(onixs::Handler&, const onixs::Security& sec, const onixs::DailyStatisticsArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onOpenInterest.daily", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      onixs::PRICE price;
-      args.entry().entryPx(price);
-      auto display_factor = data->handle.security().display_factor;
-      data->handle.update_open_interest(utils::TimeStamp::now(), double_of_price(price, display_factor));
-   }
-}
-void MDP3Listener::onOpenInterest(onixs::Handler&, const onixs::Security& sec, const onixs::RecoveryEntryArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onOpenInterest.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      onixs::PRICE price;
-      args.entry().entryPx(price);
-      auto display_factor = data->handle.security().display_factor;
-      data->handle.update_open_interest(utils::TimeStamp::now(), double_of_price(price, display_factor));
-   }
-}
-void MDP3Listener::onOpeningPrice(onixs::Handler&, const onixs::Security& sec, const onixs::SessionStatisticsArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onOpeningPrice.session", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      onixs::PRICE price = args.entry().entryPx();
-      onixs::Timestamp time = args.message().transactTime();
-      auto display_factor = data->handle.security().display_factor;
-      data->handle.update_opening(
-         utils::TimeStamp::now(), 
-         double_of_price(price, display_factor),
-         date_of_timestamp(time));
-   }
-}
-void MDP3Listener::onOpeningPrice(onixs::Handler&, const onixs::Security& sec, const onixs::RecoveryEntryArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onOpeningPrice.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      onixs::PRICE price; 
-      args.entry().entryPx(price);
-      onixs::Timestamp time;
-      args.entry().tradingReferenceDate(time);
-      auto display_factor = data->handle.security().display_factor;
-      data->handle.update_opening(
-         utils::TimeStamp::now(), 
-         double_of_price(price, display_factor),
-         date_of_timestamp(time));
-   }
-}
-void MDP3Listener::onHighTradePrice(onixs::Handler&, const onixs::Security& sec, const onixs::SessionStatisticsArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onHighTradePrice.session", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      auto display_factor = data->handle.security().display_factor;
-      data->handle.update_session_high(
-         utils::TimeStamp::now(),
-         double_of_price(args.entry().entryPx(), display_factor));
-   }
-}
-void MDP3Listener::onHighTradePrice(onixs::Handler&, const onixs::Security& sec, const onixs::RecoveryEntryArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onHighTradePrice.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      auto display_factor = data->handle.security().display_factor;
-      onixs::PRICE price; 
-      args.entry().entryPx(price);
-      data->handle.update_session_high(
-         utils::TimeStamp::now(),
-         double_of_price(price, display_factor));
-   }
-}
-void MDP3Listener::onLowTradePrice(onixs::Handler&, const onixs::Security& sec, const onixs::SessionStatisticsArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onLowTradePrice.session", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      auto display_factor = data->handle.security().display_factor;
-      data->handle.update_session_low(
-         utils::TimeStamp::now(),
-         double_of_price(args.entry().entryPx(), display_factor));
-   }
-}
-void MDP3Listener::onLowTradePrice(onixs::Handler&, const onixs::Security& sec, const onixs::RecoveryEntryArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onLowTradePrice.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      auto display_factor = data->handle.security().display_factor;
-      onixs::PRICE price; 
-      args.entry().entryPx(price);
-      data->handle.update_session_low(
-         utils::TimeStamp::now(),
-         double_of_price(price, display_factor));
-   }
-}
-void MDP3Listener::onHighestBid(onixs::Handler&, const onixs::Security& sec, const onixs::SessionStatisticsArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onHighestBid.session", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      auto display_factor = data->handle.security().display_factor;
-      data->handle.update_session_high_bid(
-         utils::TimeStamp::now(),
-         double_of_price(args.entry().entryPx(), display_factor));
-   }
-}
-void MDP3Listener::onLowestOffer(onixs::Handler&, const onixs::Security& sec, const onixs::SessionStatisticsArgs& args) {
-   tracepoint (bts_trace,trace_order,(char*) "onLowestOffer.session", _latest_sequence, (uint16_t) _latest_sequence, 0);
-   auto* data = _index.get_security(sec.id());
-   if (data != nullptr) {
-      auto display_factor = data->handle.security().display_factor;
-      data->handle.update_session_low_offer(
-         utils::TimeStamp::now(),
-         double_of_price(args.entry().entryPx(), display_factor));
-   }
-}
-
 
 //
 // Non-onixs calls

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

@@ -5,7 +5,9 @@
 #include "CMESecurityIndex.h"
 #include "server/sparkd/tracing/bts_trace.h"
 
+#include "MDP3ListenerHelpers.h"
 #include "onixs.h"
+
 #include <tbb/concurrent_queue.h>
 #include <vector>
 #include <atomic>
@@ -14,11 +16,6 @@
 namespace bts {
 namespace md {
 
-inline PriceSize pricesize_of_price_size(const onixs::PRICE price, int8_t display_factor, Size size) {
-   PriceSize result(price.mantissa(), price.exponent() + display_factor, size);
-   return result;
-}
-
 class MDP3Listener :
    public onixs::HandlerListener,
    public onixs::MarketDataListener,
@@ -54,9 +51,21 @@ public:
 
    //
    // Security discovery
-   void onDefinition(onixs::Handler&, const onixs::Security&, const onixs::InstrumentDefinitionFutureArgs&) override;
-   void onDefinition(onixs::Handler&, const onixs::Security&, const onixs::InstrumentDefinitionOptionArgs&) override;
-   void onDefinition(onixs::Handler&, const onixs::Security&, const onixs::InstrumentDefinitionSpreadArgs&) override;
+   template <typename InstrumentDefinitionFuture>
+   void onFuture(onixs::Handler&, const onixs::Security&, const InstrumentDefinitionFuture&);
+   template <typename InstrumentDefinition>
+   void onOption(onixs::Handler&, const onixs::Security&, const InstrumentDefinition&);
+   template <typename InstrumentDefinition>
+   void onSpread(onixs::Handler&, const onixs::Security&, const InstrumentDefinition&);
+
+   void onDefinition(onixs::Handler& h, const onixs::Security& s, const onixs::InstrumentDefinitionFuture27Args& def) override { onFuture(h, s, def); }
+   void onDefinition(onixs::Handler& h, const onixs::Security& s, const onixs::InstrumentDefinitionFuture54Args& def) override { onFuture(h, s, def); }
+
+   void onDefinition(onixs::Handler& h, const onixs::Security& s, const onixs::InstrumentDefinitionOption41Args& def) override { onOption(h, s, def); }
+   void onDefinition(onixs::Handler& h, const onixs::Security& s, const onixs::InstrumentDefinitionOption55Args& def) override { onOption(h, s, def); }
+
+   void onDefinition(onixs::Handler& h, const onixs::Security& s, const onixs::InstrumentDefinitionSpread29Args& def) override { onSpread(h, s, def); }
+   void onDefinition(onixs::Handler& h, const onixs::Security& s, const onixs::InstrumentDefinitionSpread56Args& def) override { onSpread(h, s, def); }
 
    //
    // Book
@@ -66,79 +75,74 @@ public:
    void onBookUpdate(onixs::Handler&, const onixs::Security&, const onixs::ConsolidatedBook&) override;
 
    template <class TBook>
-   void onBookUpdate(const onixs::Security& sec, const TBook& book) {
-      tracepoint (bts_trace,trace_order,(char*) "onBookUpdate", _latest_sequence, (uint16_t) _latest_sequence, 0);
-
-      auto data = _index.get_security(sec.id());
-      if (data == nullptr) return;
-      bts_assert(data->id == (uint32_t)sec.id());
-      auto display_factor = data->handle.security().display_factor;
-
-      // Put the data into the cache. Flush at the end of the packet.
-      auto key = data->handle.key();
-      auto find_iter = std::find_if(_book_updates.begin(), _book_updates.end(), [key](const BookData& entry) {
-         return key == entry.handle.key();
-      });
-      bool found = find_iter != _book_updates.end();
-      if (!found) {
-         _book_updates.emplace_back(data->handle);
-      }
-      BookData& cache = found ? *find_iter : _book_updates.back();
-
-      // Overwrite all entries every time
-      size_t bids_size = book.bids().size();
-      size_t asks_size = book.offers().size();
-      if (!data->handle.has_depth()) {
-         bids_size = std::min(bids_size, size_t { 1 });
-         asks_size = std::min(asks_size, size_t { 1 });
-      }
-      for (size_t x = 0; x < bids_size; ++x) {
-         cache.bids[x] = pricesize_of_price_size(book.bids()[x].price(), display_factor, book.bids()[x].quantity());
-      }
-      for (size_t x = 0; x < asks_size; ++x) {
-         cache.asks[x] = pricesize_of_price_size(book.offers()[x].price(), display_factor, book.offers()[x].quantity());
-      }
-      // NaN out the remaining depth
-      for (size_t x = bids_size; x < COCONUT_MAX_DEPTH; ++x) {
-         cache.bids[x] = PriceSize::NO_MARKET;
-      }
-      for (size_t x = asks_size; x < COCONUT_MAX_DEPTH; ++x) {
-         cache.asks[x] = PriceSize::NO_MARKET;
-      }
-   }
+   void onBookUpdate(const onixs::Security& sec, const TBook& book);
 
    //
    // Trades
-   void onTrade(onixs::Handler&, const onixs::Security&, const onixs::RecoveryEntryArgs&) override;
-   void onTrade(onixs::Handler&, const onixs::Security&, const onixs::TradeArgs&) override;
-   void onTrade(onixs::Handler&, const onixs::Security&, const onixs::TradeSummaryArgs&) override;
+   template <typename TradeRecovery>
+   void onTradeRecovery(const onixs::Security&, const TradeRecovery&);
+   void onTrade(onixs::Handler&, const onixs::Security& s, const onixs::Recovery52EntryArgs& arg) override { onTradeRecovery(s, arg); }
+   void onTrade(onixs::Handler&, const onixs::Security& s, const onixs::Recovery38EntryArgs& arg) override { onTradeRecovery(s, arg); }
+
+   template <typename Trade>
+   void onTradeSummary(const onixs::Security&, const Trade&);
+   void onTrade(onixs::Handler&, const onixs::Security& s, const onixs::TradeSummary48Args& arg) override { onTradeSummary(s, arg); }
+   void onTrade(onixs::Handler&, const onixs::Security& s, const onixs::TradeSummary42Args& arg) override { onTradeSummary(s, arg); }
 
    //
    // RFQ
-   void onQuoteRequest(onixs::Handler&, const onixs::Security&, const onixs::QuoteRequestRelatedSymArgs&) override;
+   void onQuoteRequest(onixs::Handler&, const onixs::Security&, const onixs::QuoteRequest39RelatedSymArgs&) override;
 
    //
    // Volume
-   void onElectronicVolume(onixs::Handler&, const onixs::Security&, const onixs::VolumeArgs&) override;
-   void onElectronicVolume(onixs::Handler&, const onixs::Security&, const onixs::RecoveryEntryArgs&) override;
+   void onElectronicVolume(onixs::Handler&, const onixs::Security&, const onixs::Volume37Args&) override;
+   template <typename RecoveryEntry>
+   void onElectronicVolume(const onixs::Security&, const RecoveryEntry&);
+   void onElectronicVolume(onixs::Handler&, const onixs::Security& s, const onixs::Recovery52EntryArgs& arg) override { onElectronicVolume(s, arg); }
+   void onElectronicVolume(onixs::Handler&, const onixs::Security& s, const onixs::Recovery38EntryArgs& arg) override { onElectronicVolume(s, arg); }
 
    //
    // Misc
-   void onSettlementPrice(onixs::Handler&, const onixs::Security&, const onixs::DailyStatisticsArgs&) override;
-   void onSettlementPrice(onixs::Handler&, const onixs::Security&, const onixs::RecoveryEntryArgs&) override;
-   void onOpenInterest(onixs::Handler&, const onixs::Security&, const onixs::DailyStatisticsArgs&) override;
-   void onOpenInterest(onixs::Handler&, const onixs::Security&, const onixs::RecoveryEntryArgs&) override;
-   void onOpeningPrice(onixs::Handler&, const onixs::Security&, const onixs::SessionStatisticsArgs&) override;
-   void onOpeningPrice(onixs::Handler&, const onixs::Security&, const onixs::RecoveryEntryArgs&) override;
-   void onHighTradePrice(onixs::Handler&, const onixs::Security&, const onixs::SessionStatisticsArgs&) override;
-   void onHighTradePrice(onixs::Handler&, const onixs::Security&, const onixs::RecoveryEntryArgs&) override;
-   void onLowTradePrice(onixs::Handler&, const onixs::Security&, const onixs::SessionStatisticsArgs&) override;
-   void onLowTradePrice(onixs::Handler&, const onixs::Security&, const onixs::RecoveryEntryArgs&) override;
+   template <typename StatisticsArgs>
+   void onSettlementPrice(const onixs::Security& sec, const StatisticsArgs& args);
+   void onSettlementPrice(onixs::Handler&, const onixs::Security& s, const onixs::DailyStatistics49Args& arg) override { onSettlementPrice(s, arg); }
+   void onSettlementPrice(onixs::Handler&, const onixs::Security& s, const onixs::DailyStatistics33Args& arg) override { onSettlementPrice(s, arg); }
+   void onSettlementPrice(onixs::Handler&, const onixs::Security& s, const onixs::Recovery52EntryArgs& arg) override { onSettlementPrice(s, arg); }
+   void onSettlementPrice(onixs::Handler&, const onixs::Security& s, const onixs::Recovery38EntryArgs& arg) override { onSettlementPrice(s, arg); }
 
-   void onHighestBid(onixs::Handler&, const onixs::Security&, const onixs::SessionStatisticsArgs&) override;
-   void onLowestOffer(onixs::Handler&, const onixs::Security&, const onixs::SessionStatisticsArgs&) override;
-   
+   template <typename InterestArgs>
+   void onOpenInterest(const onixs::Security& sec, const InterestArgs& args);
+   void onOpenInterest(onixs::Handler&, const onixs::Security& s, const onixs::DailyStatistics49Args& arg) override { onOpenInterest(s, arg); }
+   void onOpenInterest(onixs::Handler&, const onixs::Security& s, const onixs::DailyStatistics33Args& arg) override { onOpenInterest(s, arg); }
+   void onOpenInterest(onixs::Handler&, const onixs::Security& s, const onixs::Recovery52EntryArgs& arg) override { onOpenInterest(s, arg); }
+   void onOpenInterest(onixs::Handler&, const onixs::Security& s, const onixs::Recovery38EntryArgs& arg) override { onOpenInterest(s, arg); }
 
+   template <typename SessionArgs>
+   void onSessionOpeningPrice(const onixs::Security&, const SessionArgs&);
+   template <typename RecoveryArgs>
+   void onRecoveryOpeningPrice(const onixs::Security& sec, const RecoveryArgs& args);
+   void onOpeningPrice(onixs::Handler&, const onixs::Security& s, const onixs::SessionStatistics51Args& arg) override { onSessionOpeningPrice(s, arg); }
+   void onOpeningPrice(onixs::Handler&, const onixs::Security& s, const onixs::SessionStatistics35Args& arg) override { onSessionOpeningPrice(s, arg); }
+   void onOpeningPrice(onixs::Handler&, const onixs::Security& s, const onixs::Recovery52EntryArgs& arg) override { onRecoveryOpeningPrice(s, arg); }
+   void onOpeningPrice(onixs::Handler&, const onixs::Security& s, const onixs::Recovery38EntryArgs& arg) override { onRecoveryOpeningPrice(s, arg); }
+
+   template <typename SessionArgs>
+   void onSessionHighTradePrice(const onixs::Security&, const SessionArgs&);
+   template <typename RecoveryArgs>
+   void onRecoveryHighTradePrice(const onixs::Security&, const RecoveryArgs&);
+   void onHighTradePrice(onixs::Handler&, const onixs::Security& s, const onixs::SessionStatistics51Args& arg) override { onSessionHighTradePrice(s, arg); }
+   void onHighTradePrice(onixs::Handler&, const onixs::Security& s, const onixs::SessionStatistics35Args& arg) override { onSessionHighTradePrice(s, arg); }
+   void onHighTradePrice(onixs::Handler&, const onixs::Security& s, const onixs::Recovery52EntryArgs& arg) override { onRecoveryHighTradePrice(s, arg); }
+   void onHighTradePrice(onixs::Handler&, const onixs::Security& s, const onixs::Recovery38EntryArgs& arg) override { onRecoveryHighTradePrice(s, arg); }
+
+   template <typename SessionArgs>
+   void onSessionLowTradePrice(const onixs::Security&, const SessionArgs&);
+   template <typename RecoveryArgs>
+   void onRecoveryLowTradePrice(const onixs::Security&, const RecoveryArgs&);
+   void onLowTradePrice(onixs::Handler&, const onixs::Security& s, const onixs::SessionStatistics51Args& arg) override { onSessionLowTradePrice(s, arg); }
+   void onLowTradePrice(onixs::Handler&, const onixs::Security& s, const onixs::SessionStatistics35Args& arg) override { onSessionLowTradePrice(s, arg); }
+   void onLowTradePrice(onixs::Handler&, const onixs::Security& s, const onixs::Recovery52EntryArgs& arg) override { onRecoveryLowTradePrice(s, arg); }
+   void onLowTradePrice(onixs::Handler&, const onixs::Security& s, const onixs::Recovery38EntryArgs& arg) override { onRecoveryLowTradePrice(s, arg); }
 
    //
    // Discover securities
@@ -190,4 +194,345 @@ private:
 
 };
 
+//////////////////////////////////////////
+// Template Member Function Definitions
+//////////////////////////////////////////
+
+template <class Definition>
+void set_security_common(const Definition& def, FixedSecurity& fsec) {
+   fsec.numeric_id = def.securityId();
+   fsec.symbol(def.asset().items(), def.asset().size());
+   fsec.cfi_code(def.cfiCode().items(), def.cfiCode().size());
+   fsec.alt_symbol(def.securityGroup().items(), def.securityGroup().size());
+   fsec.security_desc(def.symbol().items(), def.symbol().size());
+   fsec.exchange = api::Venue::VENUE_GLBX;
+   // tickRule not present in futures
+   fsec.cme_market_segment_id = def.marketSegmentId();
+   fsec.display_factor = def.displayFactor().exponent() + floorlog10(def.displayFactor().mantissa());
+
+   def.mainFraction(fsec.cme_main_fraction);
+   def.subFraction(fsec.cme_sub_fraction);
+   def.priceDisplayFormat(fsec.cme_price_display_format);
+}
+
+
+template <typename InstrumentDefinition>
+void MDP3Listener::onFuture(onixs::Handler&, const onixs::Security& osec, const InstrumentDefinition& def) {
+   tracepoint (bts_trace,trace_order,(char*) "onDefinition.future", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   const auto& sec = def.message();
+   auto exchange_id = sec.securityId();
+   // LOG(md, Info, "onDefinition future {} {}",  
+   //    std::string(sec.asset().items(), sec.asset().size()),
+   //    std::string(sec.symbol().items(), sec.symbol().size()));
+
+   if (filter_security(exchange_id, sec) != ADD) return;
+   bts_assert(exchange_id == osec.id());
+
+   FixedFutureSecurity fsec;
+
+   set_security_common(sec, fsec);
+   fsec.price_break = 0;
+   // low/high tick are stored non-premultiplied and multiplied in conversion to api::Secutity
+   double min_tick = double_of_price(sec.minPriceIncrement(), 0);
+   fsec.low_tick = fsec.high_tick = min_tick;
+   onixs::Decimal min_tick_amount;
+   sec.minPriceIncrementAmount(min_tick_amount);
+   double min_tick_dbl = double_of_price(min_tick_amount, 0);
+   fsec.cash_per_point = min_tick_dbl / min_tick / pow10(fsec.display_factor);
+   auto expiration = date_of_maturity(sec);
+   fsec.expiration_year = expiration.year;
+   fsec.expiration_month = expiration.month;
+   fsec.expiration_day = expiration.day;
+   add_security(fsec);
+}
+
+template <typename InstrumentDefinition>
+void MDP3Listener::onOption(onixs::Handler&, const onixs::Security&, const InstrumentDefinition& def) {
+   tracepoint (bts_trace,trace_order,(char*) "onDefinition.option", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   const auto& sec = def.message();
+   auto exchange_id = sec.securityId();
+   // LOG(Info, MarketData) << "onDefinition option " << exchange_id;
+   if (filter_security(exchange_id, sec) != ADD) return;
+
+   FixedOptionSecurity fsec;
+   set_security_common(sec, fsec);
+   auto expiration = date_of_maturity(sec);
+   fsec.expiration_year = expiration.year;
+   fsec.expiration_month = expiration.month;
+   fsec.expiration_day = expiration.day;
+   
+   onixs::Decimal strike_price;
+   bts_assert(sec.strikePrice(strike_price));
+   fsec.strike = double_of_price(strike_price, fsec.display_factor);
+
+   onixs::Decimal min_tick, min_tick_amount;
+   sec.minPriceIncrement(min_tick);
+   sec.minPriceIncrementAmount(min_tick_amount);
+
+   int8_t tick_rule;
+   if (sec.tickRule(tick_rule)) {
+      decode_ticks(tick_rule, double_of_price(min_tick, 0), fsec);
+   }
+   fsec.cash_per_point = double_of_price(min_tick_amount, 0) / fsec.low_tick / pow10(fsec.display_factor);
+
+   fsec.call_put = sec.putOrCall() == onixs::PutOrCall::Call ? api::PUTORCALL_CALL : api::PUTORCALL_PUT;
+
+   add_security(fsec);
+}
+
+// min_tick specializations
+inline onixs::Decimal tick_rule(const onixs::InstrumentDefinitionSpread29& sec) {
+   return sec.minPriceIncrement();
+}
+inline onixs::Decimal tick_rule(const onixs::InstrumentDefinitionSpread56& sec) {
+   onixs::Decimal min_tick;
+   sec.minPriceIncrement(min_tick);
+   return min_tick;
+}
+
+template <typename InstrumentDefinition>
+void MDP3Listener::onSpread(onixs::Handler&, const onixs::Security&, const InstrumentDefinition& spread_args) {
+   tracepoint (bts_trace,trace_order,(char*) "onDefinition.spread", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   const auto& sec = spread_args.message();
+   auto exchange_id = sec.securityId();
+   // LOG(md, Info, "onDefinition spread {} {}",  
+   //    std::string(sec.asset().items(), sec.asset().size()),
+   //    std::string(sec.symbol().items(), sec.symbol().size()));
+   if (filter_security(exchange_id, sec) != ADD) return;
+   
+   // Filter out any already expired spreads
+   auto expiration = date_of_maturity(sec);
+   if (expiration < datetime::today()) return;
+
+   FixedSpreadSecurityL fsec;
+   set_security_common(sec, fsec);
+   std::vector<uint32_t> leg_exchange_ids;
+   leg_exchange_ids.reserve(sec.legs().size());
+
+   onixs::Decimal min_tick = tick_rule(sec);
+   
+   int8_t tick_rule;
+   if (sec.tickRule(tick_rule)) {
+      decode_ticks(tick_rule, double_of_price(min_tick, 0), fsec);
+   }
+   else {
+      double mintick = double_of_price(min_tick, 0);
+      fsec.low_tick = mintick;
+      fsec.high_tick = mintick;
+      fsec.price_break = 0;
+   }
+
+   fsec.set_leg_count(sec.legs().size());
+   for(size_t x = 0; x < fsec.leg_count(); ++x) {
+      const auto& leg = sec.legs()[x];
+      onixs::Decimal price;
+      if (leg.legPrice(price)) {
+         fsec.legs[x].leg_price = double_of_price(price, fsec.display_factor);
+      }
+      onixs::Decimal qty;
+      if (leg.legOptionDelta(qty)) {
+         fsec.legs[x].leg_delta = double_of_price(qty, 0);
+      }
+      fsec.legs[x].leg_quantity = leg.legRatioQty();
+      fsec.legs[x].leg_side = leg.legSide() == onixs::LegSide::BuySide ? api::SIDE_BUY : api::SIDE_SELL;
+      leg_exchange_ids.push_back(leg.legSecurityId());
+   }
+   add_security(fsec);
+   _index.add_spread_legs(fsec.numeric_id, leg_exchange_ids);
+}
+
+
+template <class TBook>
+void MDP3Listener::onBookUpdate(const onixs::Security& sec, const TBook& book) {
+   tracepoint (bts_trace,trace_order,(char*) "onBookUpdate", _latest_sequence, (uint16_t) _latest_sequence, 0);
+
+   auto data = _index.get_security(sec.id());
+   if (data == nullptr) return;
+   bts_assert(data->id == (uint32_t)sec.id());
+   auto display_factor = data->handle.security().display_factor;
+
+   // Put the data into the cache. Flush at the end of the packet.
+   auto key = data->handle.key();
+   auto find_iter = std::find_if(_book_updates.begin(), _book_updates.end(), [key](const BookData& entry) {
+      return key == entry.handle.key();
+   });
+   bool found = find_iter != _book_updates.end();
+   if (!found) {
+      _book_updates.emplace_back(data->handle);
+   }
+   BookData& cache = found ? *find_iter : _book_updates.back();
+
+   // Overwrite all entries every time
+   size_t bids_size = book.bids().size();
+   size_t asks_size = book.offers().size();
+   if (!data->handle.has_depth()) {
+      bids_size = std::min(bids_size, size_t { 1 });
+      asks_size = std::min(asks_size, size_t { 1 });
+   }
+   for (size_t x = 0; x < bids_size; ++x) {
+      cache.bids[x] = pricesize_of_price_size(book.bids()[x].price(), display_factor, book.bids()[x].quantity());
+   }
+   for (size_t x = 0; x < asks_size; ++x) {
+      cache.asks[x] = pricesize_of_price_size(book.offers()[x].price(), display_factor, book.offers()[x].quantity());
+   }
+   // NaN out the remaining depth
+   for (size_t x = bids_size; x < COCONUT_MAX_DEPTH; ++x) {
+      cache.bids[x] = PriceSize::NO_MARKET;
+   }
+   for (size_t x = asks_size; x < COCONUT_MAX_DEPTH; ++x) {
+      cache.asks[x] = PriceSize::NO_MARKET;
+   }
+}
+
+void on_trade(SecurityData* data, const onixs::Decimal& price, int size, onixs::AggressorSide::Enum agside, const onixs::Timestamp& onixs_date);
+
+template <typename TradeRecovery>
+void MDP3Listener::onTradeRecovery(const onixs::Security& sec, const TradeRecovery& arg) {
+   tracepoint (bts_trace,trace_order,(char*) "onTrade.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   auto* data = _index.get_security(sec.id());
+   if (data != NULL) {
+      int size = 0;
+      arg.entry().entrySize(size);
+      onixs::Decimal price;
+      arg.entry().entryPx(price);
+      on_trade(data, price, size, onixs::AggressorSide::NoAggressor, arg.message().transactTime());
+   }
+}
+
+template <typename TradeSummary>
+void MDP3Listener::onTradeSummary(const onixs::Security& sec, const TradeSummary& arg) {
+   tracepoint (bts_trace,trace_order,(char*) "onTrade.summary", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   auto* data = _index.get_security(sec.id());
+   if (data != NULL) {
+      auto size = arg.entry().entrySize();
+      onixs::Decimal price = arg.entry().entryPx();
+      onixs::AggressorSide::Enum agside = onixs::AggressorSide::NoAggressor;
+      arg.entry().aggressorSide(agside);
+      on_trade(data, price, size, agside, arg.message().transactTime());
+   }
+}
+
+
+template <typename RecoveryEntryArgs>
+void MDP3Listener::onElectronicVolume(const onixs::Security& sec, const RecoveryEntryArgs& args) {
+   tracepoint (bts_trace,trace_order,(char*) "onElectronicVolume.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   auto* data = _index.get_security(sec.id());
+   if (data) {
+      int32_t size;
+      if (args.entry().entrySize(size)) {
+         data->electronic_volume = size;
+      }
+   }
+}
+
+template <typename StatisticsArgs>
+void MDP3Listener::onSettlementPrice(const onixs::Security& sec, const StatisticsArgs& args) {
+   tracepoint (bts_trace,trace_order,(char*) "onSettlementPrice.daily", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   auto* data = _index.get_security(sec.id());
+   if (data != nullptr) {
+      onixs::Decimal price;
+      onixs::Timestamp time;
+      args.entry().entryPx(price);
+      args.entry().tradingReferenceDate(time);
+      auto display_factor = data->handle.security().display_factor;
+      data->handle.update_settlement(
+         utils::TimeStamp::now(), 
+         double_of_price(price, display_factor),
+         date_of_timestamp(time));
+   }
+}
+
+template <typename InterestArgs>
+void MDP3Listener::onOpenInterest(const onixs::Security& sec, const InterestArgs& args) {
+   tracepoint (bts_trace,trace_order,(char*) "onOpenInterest.daily", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   auto* data = _index.get_security(sec.id());
+   if (data != nullptr) {
+      onixs::Decimal price;
+      args.entry().entryPx(price);
+      auto display_factor = data->handle.security().display_factor;
+      data->handle.update_open_interest(utils::TimeStamp::now(), double_of_price(price, display_factor));
+   }
+}
+
+template <typename SessionArgs>
+void MDP3Listener::onSessionOpeningPrice(const onixs::Security& sec, const SessionArgs& args) {
+   tracepoint (bts_trace,trace_order,(char*) "onOpeningPrice.session", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   auto* data = _index.get_security(sec.id());
+   if (data != nullptr) {
+      onixs::Decimal price = args.entry().entryPx();
+      onixs::Timestamp time = args.message().transactTime();
+      auto display_factor = data->handle.security().display_factor;
+      data->handle.update_opening(
+         utils::TimeStamp::now(), 
+         double_of_price(price, display_factor),
+         date_of_timestamp(time));
+   }
+}
+template <typename RecoveryArgs>
+void MDP3Listener::onRecoveryOpeningPrice(const onixs::Security& sec, const RecoveryArgs& args) {
+   tracepoint (bts_trace,trace_order,(char*) "onOpeningPrice.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   auto* data = _index.get_security(sec.id());
+   if (data != nullptr) {
+      onixs::Decimal price; 
+      args.entry().entryPx(price);
+      onixs::Timestamp time;
+      args.entry().tradingReferenceDate(time);
+      auto display_factor = data->handle.security().display_factor;
+      data->handle.update_opening(
+         utils::TimeStamp::now(), 
+         double_of_price(price, display_factor),
+         date_of_timestamp(time));
+   }
+}
+
+template <typename SessionArgs>
+void MDP3Listener::onSessionHighTradePrice(const onixs::Security& sec, const SessionArgs& args) {
+   tracepoint (bts_trace,trace_order,(char*) "onHighTradePrice.session", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   auto* data = _index.get_security(sec.id());
+   if (data != nullptr) {
+      auto display_factor = data->handle.security().display_factor;
+      data->handle.update_session_high(
+         utils::TimeStamp::now(),
+         double_of_price(args.entry().entryPx(), display_factor));
+   }
+}
+template <typename RecoveryArgs>
+void MDP3Listener::onRecoveryHighTradePrice(const onixs::Security& sec, const RecoveryArgs& args) {
+   tracepoint (bts_trace,trace_order,(char*) "onHighTradePrice.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   auto* data = _index.get_security(sec.id());
+   if (data != nullptr) {
+      auto display_factor = data->handle.security().display_factor;
+      onixs::Decimal price; 
+      args.entry().entryPx(price);
+      data->handle.update_session_high(
+         utils::TimeStamp::now(),
+         double_of_price(price, display_factor));
+   }
+}
+template <typename SessionArgs>
+void MDP3Listener::onSessionLowTradePrice(const onixs::Security& sec, const SessionArgs& args) {
+   tracepoint (bts_trace,trace_order,(char*) "onLowTradePrice.session", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   auto* data = _index.get_security(sec.id());
+   if (data != nullptr) {
+      auto display_factor = data->handle.security().display_factor;
+      data->handle.update_session_low(
+         utils::TimeStamp::now(),
+         double_of_price(args.entry().entryPx(), display_factor));
+   }
+}
+template <typename RecoveryArgs>
+void MDP3Listener::onRecoveryLowTradePrice(const onixs::Security& sec, const RecoveryArgs& args) {
+   tracepoint (bts_trace,trace_order,(char*) "onLowTradePrice.recovery", _latest_sequence, (uint16_t) _latest_sequence, 0);
+   auto* data = _index.get_security(sec.id());
+   if (data != nullptr) {
+      auto display_factor = data->handle.security().display_factor;
+      onixs::Decimal price; 
+      args.entry().entryPx(price);
+      data->handle.update_session_low(
+         utils::TimeStamp::now(),
+         double_of_price(price, display_factor));
+   }
+}
+
+
 }}//namespace

src/server/sparkd/md/platforms/mdp3_onixs/MDP3ListenerHelpers.h

@@ -0,0 +1,112 @@
+#include "lib/utils/bts_assert.h"
+#include "lib/md/coconut2.h"
+
+#include "onixs.h"
+
+#include <vector>
+#include <atomic>
+#include <array>  
+
+namespace bts {
+namespace md {
+
+inline PriceSize pricesize_of_price_size(const onixs::Decimal price, int8_t display_factor, Size size) {
+   PriceSize result(price.mantissa(), price.exponent() + display_factor, size);
+   return result;
+}
+
+template <class Price>
+double double_of_price(const Price& price, int8_t display_factor) {
+   // order of multiplication is important because of floating point error
+   return (price.mantissa() * pow10(price.exponent())) * pow10(display_factor);
+}
+
+inline void decode_ticks(int vtt, double mintick, FixedSecurity& dest) {
+   switch(vtt) {
+      default:
+      case 0:
+         dest.low_tick = mintick;
+         dest.high_tick = mintick;
+         dest.price_break = 0;
+         break;
+      case 1:
+         dest.price_break = 500;
+         dest.low_tick = 5;
+         dest.high_tick = 10;
+         break;
+      case 2:
+         dest.price_break = 5;
+         dest.low_tick = 0.5;
+         dest.high_tick = 1;
+         break;
+      case 3:
+         dest.price_break = 10;
+         dest.low_tick = 1;
+         dest.high_tick = 2;
+         break;
+      case 4:
+         dest.price_break = 500;
+         dest.low_tick = 5;
+         dest.high_tick = 25;
+         break;
+      case 10:
+         dest.price_break = 300;
+         dest.low_tick = 5;
+         dest.high_tick = 25;
+         break;
+      case 11:
+         dest.price_break = 300;
+         dest.low_tick = 5;
+         dest.high_tick = 10;
+         break;
+      case 12:
+         dest.price_break = 5;
+         dest.low_tick = 0.25;
+         dest.high_tick = 0.5;
+         break;
+   }
+}
+
+inline int floorlog10(int64_t m) {
+   bts_assert(m >= 0);
+   if (m < 10) return 0;
+   if (m < 100) return 1;
+   if (m < 1000) return 2;
+   if (m < 10000) return 3;
+   if (m < 100000) return 4;
+   if (m < 1000000) return 5;
+   if (m < 10000000) return 6;
+   if (m < 100000000) return 7;
+   if (m < 1000000000) return 8;
+   if (m < 10000000000) return 9;
+   if (m < 100000000000) return 10;
+   if (m < 1000000000000) return 11;
+   if (m < 10000000000000) return 12;
+   if (m < 100000000000000) return 13;
+   if (m < 1000000000000000) return 14;
+   if (m < 10000000000000000) return 15;
+   if (m < 100000000000000000) return 16;
+   if (m < 1000000000000000000) return 17;
+   return 19;
+}
+
+inline datetime::LLDateTime ll_of_timestamp(const onixs::Timestamp& ts) {
+   return datetime::ll_from_parts(ts.year(), (int)ts.month(), ts.day(), ts.hour(), ts.minute(), ts.second(), ts.millisecond());
+}
+
+inline datetime::Date date_of_timestamp(const onixs::Timestamp& ts) {
+   return datetime::Date(ts.year(), (int)ts.month(), ts.day());
+}
+
+template <class Definition>
+datetime::Date date_of_maturity(const Definition& def) {
+   for (const auto& event : def.events()) {
+      if (event.eventType() == onixs::EventType::LastEligibleTradeDate) {
+         return date_of_timestamp(event.eventTime());
+      }
+   }
+   return datetime::Date();
+}
+
+
+}}//namespace

src/server/sparkd/md/platforms/mdp3_onixs/MDP3Main.cpp

@@ -299,6 +299,12 @@ unique_ptr<onixs::Handler> MDP3Main::prepare_handler(const string& channel_id) {
       loggerSettings.filename(log_path() + "/log_" + channel_id);
       loggerSettings.severityLevel((onixs::LogSeverity::Enum)options.onixs_log_mode());
       logger = new onixs::FileLogger(loggerSettings);
+      if (options.onixs_log_mode() == CMEOptions::Debug) {
+         // trace all the things
+         settings.debugLogging().traceBooks(true);
+         settings.debugLogging().traceFeeds(true);
+         settings.debugLogging().traceMessages(onixs::MessageTracing::FixFormat);
+      }
    }
 
 

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

@@ -203,11 +203,10 @@ void ExecutionGateway::on_exe_report(
       data->side = api::Side(msg.get<fix::Side>());
       if (msg.has<fix::TimeInForce>())
          data->time_in_force =
-            api::orderman::TimeInForce(msg.get<fix::TimeInForce>());
+             api::orderman::TimeInForce(msg.get<fix::TimeInForce>());
       else
          data->time_in_force = api::orderman::TIME_IN_FORCE_UNDEFINED;
-         
-         
+
       data->order_type =
           api::orderman::NativeOrderType(msg.get<fix::OrdType>());
       data->order_status =
@@ -218,14 +217,9 @@ 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>()) {
-         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>()));
-      }
+      if (msg.has<fix::Price>())
+         data->price = securities::decode_exchange_price(
+             *sec, Price(msg.get<fix::Price>()));
       else
          data->price = Price(os::nan());
 
@@ -239,18 +233,19 @@ void ExecutionGateway::on_exe_report(
          data->quantity = Quantity(msg.get<fix::OrderQty>());
       else
          data->quantity = Quantity(0);
-         
+
       data->filled_quantity = Quantity(msg.get<fix::CumQty>());
       data->last_shares = msg.has<fix::LastShares>()
                               ? Quantity(msg.get<fix::LastShares>())
                               : Quantity(0);
+      auto last_px_sec = data->leg_security? data->leg_security:sec;
       data->last_price = msg.has<fix::LastPx>()
                              ? securities::decode_exchange_price(
-                                   *sec, Price(msg.get<fix::LastPx>()))
+                                   *last_px_sec, Price(msg.get<fix::LastPx>()))
                              : Price(0);
       data->avg_price = msg.has<fix::AvgPx>()
                             ? securities::decode_exchange_price(
-                                  *sec, Price(msg.get<fix::AvgPx>()))
+                               *last_px_sec, Price(msg.get<fix::AvgPx>()))
                             : Price(0);
       if (msg.has<fix::ExecID>())
          str_to(msg.get<fix::ExecID>(), &data->exchange_fill_id);

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

@@ -251,6 +251,12 @@ bool TriggerOrder::_on_init_new(const api::orderman::OrderDefinition& order_def,
    const auto* sec_ptr = pre_os.sec_db.resolve(SecurityKey(order_def.security_key()));
    me->tick_size=std::min(sec_ptr->contract_spec().low_tick(),
                           sec_ptr->contract_spec().high_tick());
+   LOG(OrderMan, Info, "TriggerOrder::_on_init_new key:{} state:{} "
+                        "trigger_price_type:{} child_order_price:{}",   
+                        key(),_state,
+                        trigger_order_def.trigger_condition().price_type(),
+                        trigger_order_def.trigger_action().price());
+
    return true;
 }
 void TriggerOrder::_report_state(){
@@ -326,6 +332,12 @@ void TriggerOrder::_observe_market_once(){
       if(obs_md != nullptr && obs_md->size()>0){
          me->market_observed_once=true;
          me->trigger_above_market=_trigger_price()>=obs_md->price();
+         LOG(OrderMan, Info, "TriggerOrder::_observe_market_once "
+                             "key:{} state:{} "
+                             "md_p:{} md_q:{} trigger_above_md:{}",
+                              key(),_state,
+                              obs_md->price(), obs_md->size(),
+                              me->trigger_above_market);
       }
    }
 }

src/server/sparkd/orderman/orders/spreader_orders/SpreaderOrder.cpp

@@ -110,8 +110,8 @@ void SpreaderOrder::_on_child_order_update(const OrderStateUpdateEvent& ord_ev){
 #endif
    
    Quantity filled_qty = Quantity (ord_ev.state.filled_quantity());
-   Price last_price = Price(ord_ev.state.last_price());
-   LOG(OrderMan, Diag, "SpreaderOrder::_on_child_order_update key: {} sec_key: {} order_key: {} status: {} filled_qty: {} last_price: {} msg: {}", key(), sec_key, order_key, status, filled_qty, last_price, ord_ev.state.last_msg ());
+   Price last_price = Price(ord_ev.state.last_price()),
+         order_price=Price(ord_ev.state.price());
    if (!SpreaderUtils::order_acknowledged(status)){
       LOG(OrderMan, Diag, "SpreaderOrder::_on_child_order_update, unack'ed callback for key: {} sec_key: {} order_key: {} status: {} ignoring", key(), sec_key, order_key, status);
       bts_assert(filled_qty.value() == 0);
@@ -121,8 +121,14 @@ void SpreaderOrder::_on_child_order_update(const OrderStateUpdateEvent& ord_ev){
    if (leg_data_ptr != nullptr){
       SpreaderLegData& leg_data = *leg_data_ptr;
       ChildOrderError order_error = _get_order_error (ord_ev, leg_data.quoter().expecting_cancel_update());
-      LOG(OrderMan, Info, "SpreaderOrder::_on_child_order_update quoter order key: {} sec_key: {} order_key: {} status: {} filled_qty: {} last_price: {} msg: {} child_order_error: {}",
-          key(), sec_key, order_key, status, filled_qty, last_price, ord_ev.state.last_msg (), static_cast<int>(order_error));
+      LOG(OrderMan, Info, "SpreaderOrder::_on_child_order_update quoter order "
+          "key:{} sec_key:{} state:{} order_key:{} status:{} "
+          "filled_qty:{} price:{} last_price:{} "
+          "msg:{} child_order_error:{}",
+          key(), sec_key,
+          static_cast<int>(_state_worker->state()), order_key, status,
+          filled_qty, order_price, last_price,
+          ord_ev.state.last_msg(), static_cast<int>(order_error));
       leg_data.order_update_message().on_order_update(ord_ev);
       if (order_error == ChildOrderError::NONE){
          if (leg_data.order_update_message().last_update_filled_quantity().value() > 0)
@@ -138,8 +144,14 @@ void SpreaderOrder::_on_child_order_update(const OrderStateUpdateEvent& ord_ev){
       SingleFillHedger* hedger = _bookkeeping_data().find_hedger_from_orderkey(order_key);
       if (hedger != nullptr){
          ChildOrderError order_error = _get_order_error (ord_ev, hedger->expecting_cancel_update());
-         LOG(OrderMan, Info, "SpreaderOrder::_on_child_order_update hedger order: key: {} sec_key: {} order_key: {} status: {} filled_qty: {} last_price: {} msg: {} child_order_error: {}",
-             key(), sec_key, order_key, status, filled_qty, last_price, ord_ev.state.last_msg (), static_cast<int>(order_error));
+         LOG(OrderMan, Info, "SpreaderOrder::_on_child_order_update hedger "
+             "key:{} sec_key:{} state:{} order_key:{} status:{} "
+             "filled_qty:{} price:{} last_price:{} " 
+             "msg:{} child_order_error:{}",
+             key(), sec_key, 
+             static_cast<int>(_state_worker->state()), order_key, status,
+             filled_qty, order_price, last_price,
+             ord_ev.state.last_msg (), static_cast<int>(order_error));
          hedger->order_state().on_order_update(ord_ev);
          if (order_error == ChildOrderError::NONE)
             _state_worker->on_hedger_order_update (*hedger);
@@ -273,6 +285,7 @@ void SpreaderOrder::_send_hedge(size_t hedge_leg_index,
 void SpreaderOrder::_compute_hedge_price_quantity(size_t filled_leg_index,
                                                   Price fill_price,
                                                   double fill_quantity,
+                                                  Price quote_order_price,
                                                   size_t hedge_leg_index,
                                                   Price& hedge_price,
                                                   double& hedge_quantity){
@@ -288,7 +301,7 @@ void SpreaderOrder::_compute_hedge_price_quantity(size_t filled_leg_index,
                                                       computed_hedge_price,
                                                       hedge_quantity);
    else{
-      const QuoteLegDriver& driver_data = filled_leg_data.quoter().driver_data(fill_price, hedge_leg_index);
+      const QuoteLegDriver& driver_data = filled_leg_data.quoter().driver_data(quote_order_price, hedge_leg_index);
       SpreaderUtils::compute_hedge_price_size_n_legs (filled_leg_data.leg_property_data(),
                                                       fill_price,
                                                       fill_quantity,

src/server/sparkd/orderman/orders/spreader_orders/SpreaderOrder.h

@@ -173,6 +173,7 @@ private:
    void _compute_hedge_price_quantity(size_t filled_leg_index,
                                       Price filled_price,
                                       double filled_quantity,
+                                      Price order_price,
                                       size_t hedged_leg_index,
                                       Price& hedge_price,
                                       double& hedge_quantity);

src/server/sparkd/orderman/orders/spreader_orders/spreader/SpreaderChildOrderState.cpp

@@ -19,6 +19,7 @@ _status(src._status),
 _filled_price(src._filled_price),
 _filled_quantity(src._filled_quantity),
 _last_filled_price(src._last_filled_price),
+_last_reported_order_price(src._last_reported_order_price),
 _last_filled_quantity(src._last_filled_quantity)
 { }
 SpreaderChildOrderState::SpreaderChildOrderState (bts::orderman::ChildOrder& child_order,
@@ -45,6 +46,7 @@ void SpreaderChildOrderState::_init_running_values(){
    _filled_price = Price(0);
    _filled_quantity = Quantity (0);
    _last_filled_price = Price(0);
+   _last_reported_order_price=Price(0);
    _last_filled_quantity = Quantity(0);
    _out_price = Price(0);
    _out_quantity = Quantity(0);

src/server/sparkd/orderman/orders/spreader_orders/spreader/SpreaderChildOrderState.h

@@ -29,6 +29,7 @@ private:
    Price _filled_price;
    Quantity _filled_quantity;
    Price _last_filled_price;
+   Price _last_reported_order_price;
    Quantity _last_filled_quantity;
    Price _out_price;
    Quantity _out_quantity;
@@ -54,9 +55,12 @@ public:
    }
    // if the last fill was a status change
    // this will be zero
-   Price last_update_filled_price () const {
+   Price last_update_filled_price() const {
       return _last_filled_price;
    }
+   Price last_reported_order_price() const{
+      return _last_reported_order_price;
+   }
    // if the last fill was a status change
    // this will be zero
    Quantity last_update_filled_quantity () const {
@@ -109,6 +113,7 @@ public:
       _status = e.state.status();
       _last_filled_quantity = Quantity(e.state.filled_quantity() - _filled_quantity.value());
       _last_filled_price = Price(e.state.last_price());
+      _last_reported_order_price=Price(e.state.price());
       SpreaderUtils::compute_average_price(_filled_price,
                                            _filled_quantity,
                                            _last_filled_price,

src/server/sparkd/orderman/orders/spreader_orders/spreader/quoter/QuoteDriverSetHistory.cpp

@@ -43,7 +43,12 @@ const QuoteDriverSet* QuoteDriverSetHistory::_find_driver_set(Price quote_price)
                                                _tick_size))
          if (rv==nullptr||d.quote_seq_no()>rv->quote_seq_no())
             rv=&d;
-   return rv!=nullptr ? rv:_latest();
+   if (rv==nullptr){
+      LOG(OrderMan, Warn, "QuoteDriverSetHistory::_find_driver_set "
+                          "could not find driver:{}",quote_price);
+      rv=_latest();
+   }
+   return rv;
 }
 const QuoteLegDriver* QuoteDriverSetHistory::find_driver(Price quote_price,
                                                           size_t leg_index) const{

src/server/sparkd/orderman/orders/spreader_orders/spreader_states/SpreaderWorkingStateWorker.cpp

@@ -92,11 +92,7 @@ void SpreaderWorkingStateWorker::on_quoter_order_fill(SpreaderLegData& leg_data,
    // ii. not send a hedge on leg_2 since its already filled
    // however doing the above would mess up the leg ratio's so we are preffering
    // getting overfilled
-   SpreaderChildOrderState& order_update_message = leg_data.order_update_message();
-   LOG(OrderMan, Info, "SpreaderWorkingStateWorker::on_quoter_order_fill order: key: {} order_key: {} status: {} filled_qty: {} last_price: {}",
-       _spreader->key(), order_update_message.order_key(), order_update_message.status(),
-       order_update_message.last_update_filled_quantity(),
-       order_update_message.last_update_filled_price());
+   SpreaderChildOrderState& order_update_message = leg_data.order_update_message();   
    bts_assert (order_update_message.last_update_filled_quantity().value() > 0);
    for (size_t q_idx = 0; q_idx < _spreader->_bookkeeping_data().n_legs(); q_idx++){      
       if (q_idx != leg_data.leg_property_data().leg_index()){
@@ -106,6 +102,7 @@ void SpreaderWorkingStateWorker::on_quoter_order_fill(SpreaderLegData& leg_data,
          _spreader->_compute_hedge_price_quantity(leg_data.leg_property_data().leg_index(),
                                                   order_update_message.last_update_filled_price(),
                                                   order_update_message.last_update_filled_quantity().value(),
+                                                  order_update_message.last_reported_order_price(),
                                                   q_idx,
                                                   hedge_price,
                                                   hedge_qty);

src/web/ui/src/Accounts/State.fs

@@ -51,16 +51,21 @@ let applyUpdate (account:BTSAccount) = function
   | IsActive b -> { account with isActive = b }
 
 let applyCMEUpdate (data:CMEAccountData) = function
+ | CMEExchangeField.CTI v -> { data with cti = v }
+ | CMEExchangeField.Origin v -> { data with origin = v }
+ | CMEExchangeField.TakeupMember v -> { data with takeupMemberCode = v }
+ | CMEExchangeField.ClearingAccount v -> { data with clearingAccount = v }
+ | CMEExchangeField.DirectElectronicAccess v -> { data with directElectronicAccess = v }
+ | CMEExchangeField.TradingCapacity v -> { data with tradingCapacity = v }
+ | CMEExchangeField.LiquidityProvision v ->  { data with liquidityProvision = v }
+ | CMEExchangeField.CommodityDerivativeIndicator v -> { data with commodityDerivativeIndicator = v }
+ | CMEExchangeField.MiscTagMapping mp -> { data with miscTags = mp }
+
+let applySIMUpdate (data:SIMAccountData) = function
  | CTI v -> { data with cti = v }
  | Origin v -> { data with origin = v }
- | TakeupMember v -> { data with takeupMemberCode = v }
  | ClearingAccount v -> { data with clearingAccount = v }
- | DirectElectronicAccess v -> { data with directElectronicAccess = v }
- | TradingCapacity v -> { data with tradingCapacity = v }
- | LiquidityProvision v ->  { data with liquidityProvision = v }
- | CommodityDerivativeIndicator v -> { data with commodityDerivativeIndicator = v }
- | MiscTagMapping mp -> { data with miscTags = mp }
-
+ | _ -> data
 
 let saveAccount (admin:IAdminService) (account:BTSAccount) = promise {
   let! result = admin.update_account { completeData = account }
@@ -250,10 +255,14 @@ let update msg (model:Model) : Model * Cmd<Msg> =
     { model with scratch = { model.scratch with connections = { model.scratch.connections with exchangeConnectionNames = newCons }}; ConfirmModal = ("", Msg.SelectTab model.tab)}, Cmd.Empty
   //
   // Exchange data
-  | UpdateCME field ->
+  | UpdateCME (field:CMEExchangeField) ->
     let newCme = applyCMEUpdate model.scratch.exchangeAccountData.cmeAccountData field
     let scratch = { model.scratch with exchangeAccountData = { cmeAccountData = newCme; iceAccountData = model.scratch.exchangeAccountData.iceAccountData; simAccountData = model.scratch.exchangeAccountData.simAccountData } }
     { model with scratch = scratch }, Cmd.Empty
+  | UpdateSIM field ->
+    let newSim = applySIMUpdate model.scratch.exchangeAccountData.simAccountData field
+    let scratch = { model.scratch with exchangeAccountData = { cmeAccountData = model.scratch.exchangeAccountData.cmeAccountData ; iceAccountData = model.scratch.exchangeAccountData.iceAccountData; simAccountData = newSim } }
+    { model with scratch = scratch }, Cmd.Empty
   | RequestProducts ->
       model, Cmd.ofExistingPromise (requestProducts model.mdRelay) id (box>>ErrorOccured)
   | UpdateProducts data ->

src/web/ui/src/Accounts/Types.fs

@@ -35,6 +35,11 @@ type CMEExchangeField =
   | CommodityDerivativeIndicator of string
   | MiscTagMapping of JSMap<string>
 
+type SIMExchangeField =
+  | CTI of CTICode
+  | Origin of CustomerOrFirm
+  | ClearingAccount of string
+
 type Msg =
   | UpdateAdminData of AdminData
   | NoAdminData of string
@@ -64,6 +69,7 @@ type Msg =
   | DeleteSecurityLimit of int
   // ExchangeData
   | UpdateCME of CMEExchangeField
+  | UpdateSIM of SIMExchangeField
   | RequestProducts
   | UpdateProducts of Product[]
   | RequestExpirationNames

src/web/ui/src/Accounts/View.fs

@@ -74,7 +74,7 @@ let GetFilteredSymbolArray (model:Model) (remove:string []) =
           |> Array.distinct)
   match a.Length with
   | 0 -> a
-  | _ -> [ a; [|model.AllValueDisplay|] ] |> Array.concat
+  | _ -> [ [|model.AllValueDisplay|]; a ] |> Array.concat
 
 let limitFilter (positionLimit:AccountSecurityPositionLimitUnit option) (clipLimit:AccountSecurityClipLimitUnit option) allValueDisplay (array:'a []) =
   match positionLimit, clipLimit with
@@ -441,7 +441,7 @@ let productLimits model dispatch =
       div [ ClassName "columns" ][
             h1 [ ClassName "is-size-3 column is-narrow" ][str "Position Limits" ]
             div [ ClassName "column is-size-7 has-text-grey-mid is-help-text" ]
-              [str "This limits the net position for a product (i.e. accumulated position over all securities belonging to a product). This can be set for one product, or for all products within a security type by selecting \"All\" for symbol"]
+              [str "This limits the net position for a product (i.e. accumulated position over all securities belonging to a product). This can be set for one product, or for all products within a security type by selecting \"All\" for symbol. (Note that \"All\" applies the same limits to each symbol, not the combiled position of all symbols)"]
       ]
       TableControl.createDataTable (Some headerRow) rws (Button.button "Add" "" "plus-circle" Button.Enabled addRow)
       br []
@@ -633,17 +633,24 @@ let creditLimitsView model dispatch = div [] [str "lorem ipsum"]
 
 let exchangeSettings model dispatch =
   let cme = model.scratch.exchangeAccountData.cmeAccountData
+  let sim = model.scratch.exchangeAccountData.simAccountData
   let send = UpdateCME>>dispatch
+  let sendSim = UpdateSIM>>dispatch
   div [] [
     h2 [Class "is-size-3"] [ str "CME" ]
-    Fields.enumSelect "CTI" (toHuman false CTICode.values cme.cti) (allToHuman false CTICode.values) [] (fromHuman CTICode.values>>CTI>>send)
-    Fields.enumSelect "Origin" (toHuman false CustomerOrFirm.values cme.origin) (allToHuman false CustomerOrFirm.values) [] (fromHuman CustomerOrFirm.values>>Origin>>send)
+    Fields.enumSelect "CTI" (toHuman false CTICode.values cme.cti) (allToHuman false CTICode.values) [] (fromHuman CTICode.values>>CMEExchangeField.CTI>>send)
+    Fields.enumSelect "Origin" (toHuman false CustomerOrFirm.values cme.origin) (allToHuman false CustomerOrFirm.values) [] (fromHuman CustomerOrFirm.values>>CMEExchangeField.Origin>>send)
     //Fields.text "Takeup Member Code" cme.takeupMemberCode [] (TakeupMember>>send)
-    Fields.text "Clearing Account" cme.clearingAccount [] (ClearingAccount>>send)
+    Fields.text "Clearing Account" cme.clearingAccount [] (CMEExchangeField.ClearingAccount>>send)
     //Fields.text "Direct Electronic Access" cme.directElectronicAccess [] (DirectElectronicAccess>>send)
     //Fields.text "Trading Capacity" cme.tradingCapacity [] (TradingCapacity>>send)
     //Fields.text "Liquidity Provision" cme.liquidityProvision [] (LiquidityProvision>>send)
     //Fields.map "Misc Tag Mapping" cme.miscTags [] (MiscTagMapping>>send)
+    h2 [Class "is-size-3"] [ str "SIM" ]
+    Fields.enumSelect "CTI" (toHuman false CTICode.values sim.cti) (allToHuman false CTICode.values) [] (fromHuman CTICode.values>>SIMExchangeField.CTI>>sendSim)
+    Fields.enumSelect "Origin" (toHuman false CustomerOrFirm.values sim.origin) (allToHuman false CustomerOrFirm.values) [] (fromHuman CustomerOrFirm.values>>SIMExchangeField.Origin>>sendSim)
+    Fields.text "Clearing Account" sim.clearingAccount [] (SIMExchangeField.ClearingAccount>>sendSim)
+
   ]
 
 let accountControls model (dispatch:Msg->unit) =

tools/cpp_helper/Generate-Cpps-reqs.ps1

@@ -1,36 +1,23 @@
 $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
+	"IC" = 50
+	"IH" = 50
+	"IP" = 50
+	"IS" = 50
+	"IW" = 50
+	"KE" = 50
+	"KET" = 50
+	"MCX" = 50
+	"MKC" = 10
+	"MWE" = 50
+	"SBT" = 50
+	"WMK" = 50
+	"XC" = 10
+	"XK" = 10
+	"XW" = 10
 	"ZC" = 50
-	"ZF" = 1000
-	"ZL" = 600
-	"ZM" = 100
-	"ZN" = 1000
-	"ZQ" = 4167
+	"ZO" = 50
 	"ZS" = 50
-	"ZT" = 2000
 	"ZW" = 50
+	"ZCT" = 50
+	"ZWT" = 50
 }

tools/cpp_helper/Generate-Cpps.ps1

@@ -32,4 +32,4 @@ 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
+# Remove-Item cpp_config.conf