MDConsumerHandle - don't convert LLDateTimes to System.DateTimes

minor refactoring in DispatcherUpdateMaster
mview - perform update work in parallel with new DispatcherUpdateMaster
2018-09-17 12:55:54 -04:00 · 2018-09-17 11:42:17 -04:00 · 2018-09-16 17:17:43 -04:00 · 2018-09-16 14:54:32 -04:00 · 2018-09-14 14:58:35 -04:00 · 2018-09-14 13:57:37 -05:00
73 changed files with 2851 additions and 5243 deletions
@@ -24,3 +24,4 @@ project.lock.json
 src/server/sparkd/orderman/perf_analysis/data
 src/server/sparkd/orderman/perf_analysis/logs/
 src/server/sparkd/orderman/perf_analysis/trace_data/
+src/lib/orderman/perf_analysis/logs/latency_data/
@@ -54,6 +54,8 @@ else ()
    COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/web ${CMAKE_BINARY_DIR}/server
    COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/data_files ${CMAKE_BINARY_DIR}/server
    COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/lib/libspark.so ${CMAKE_BINARY_DIR}/server
+    COMMAND mkdir ARGS -p ${CMAKE_BINARY_DIR}/server/plugins
+    COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/sdk/examples/order_plugin_example.so ${CMAKE_BINARY_DIR}/server/plugins/
    COMMENT "Creating server runtime layout"
    DEPENDS sparkd data_files_dir)  

@@ -5,11 +5,9 @@ using mbts.collections;
 using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.controls;
-using mbts.ui.settings;
 using mbts.ui.spark;
 using mbts.ui.utility;
 using mbts.utils;
-using bts.utils;
 using System;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
@@ -18,7 +16,6 @@ using System.Linq;
 using System.Reactive.Linq;
 using System.Windows.Input;

-
 namespace mbts.spark {
   partial class MarketViewVM {
      public class Row : SecurityMDRow, IDisposable, IEquatable<Row>, DIYGrid.IRowVM, DIYGrid.IActionableRowVM {
@@ -78,16 +75,29 @@ namespace mbts.spark {
            ask_price_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.Ask));
            ask_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskSize));
            working_asks_click = new DelegateCommand(() => _show_order_book(MarketViewView.Columns.WorkingAsks));
+
+            _position.value_set += position_value_set;
+            _inside_bids.value_set += inside_bids_value_set;
+            _inside_asks.value_set += inside_asks_value_set;
+            _day_change.Changed += day_change_Changed;
            _animation.AnimationsChanged += on_animations_changed;
-            void on_animations_changed() => RaisePropertyChanged(nameof(animations));
+
            _dispose = Disposable.Create(
               _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)),
-               _day_change.OnDispatcher().Subscribe(v => _animation.animate_day_change(v.newval > v.oldval)),
-               Disposable.Create(() => _animation.AnimationsChanged -= on_animations_changed)
+               Disposable.Create(() => {
+                  _position.value_set -= position_value_set;
+                  _inside_bids.value_set -= inside_bids_value_set;
+                  _inside_asks.value_set -= inside_asks_value_set;
+                  _day_change.Changed -= day_change_Changed;
+                  _animation.AnimationsChanged -= on_animations_changed;
+               })
            );
+
+            void position_value_set((int oldval, int newval) v) => _animation.animate_position(v.newval > v.oldval);
+            void inside_bids_value_set((bool oldval, bool newval) v) => _animation.animate_working_bids_inside(v.newval);
+            void inside_asks_value_set((bool oldval, bool newval) v) => _animation.animate_working_asks_inside(v.newval);
+            void day_change_Changed(double oldval, double newval) => _animation.animate_day_change(newval > oldval);
+            void on_animations_changed() => RaisePropertyChanged(nameof(animations));
         }

         public event Action invalidated;
@@ -129,27 +139,52 @@ namespace mbts.spark {

         public void raise_invalidated() => invalidated?.Invoke();

-         public void refresh() {
+         /// <summary>
+         /// Returns a list of IDisposable 'update jobs.' Each item represents a job that will be executed when disposed; all jobs should be executed on the dispatcher thread.
+         /// </summary>
+         // Note: not guarenteed to be on the dispatcher thread, so all view-notifying actions should be wrapped in a IDisposable.
+         // Having said that, perform as much work as possible locally.
+         public List<IDisposable> refresh() {
+            var update_jobs = new List<IDisposable>();
            bool dirty = false;
            if (md.md.get_bbo(ref _bbo_ref, out NativePriceSize b, out NativePriceSize a)) {
-               _bid_price.set(b.price);
-               _bid_size.set(b.size);
-               _ask_price.set(a.price);
-               _ask_size.set(a.size);
-               _inside_bids.on_next_distinct(_bid_price.Value >= _working_best_bid.value, ref dirty);
-               _inside_asks.on_next_distinct(_ask_price.Value <= _working_best_ask.value, ref dirty);
+               prop_job(_bid_price, b.price);
+               prop_job(_bid_size, b.size);
+               prop_job(_ask_price, a.price);
+               prop_job(_ask_size, a.size);
+               cell_prop_job(_inside_bids, b.price >= _working_best_bid.value);
+               cell_prop_job(_inside_asks, a.price >= _working_best_ask.value);
            }
-            if (md.md.get_last_trade(ref _last_ref, out NativePriceSize ps, out DateTime ts, out ulong v)) {
-               _last_price.set(ps.price);
-               _last_size.on_next_distinct(ps.size, ref dirty);
-               _volume.on_next_distinct(v, ref dirty);
+            double new_last_price = last_price;
+            if (md.md.get_last_trade(ref _last_ref, out NativePriceSize ps, out ulong v)) {
+               new_last_price = ps.price;
+               prop_job(_last_price, new_last_price);
+               cell_prop_job(_last_size, ps.size);
+               cell_prop_job(_volume, v);
+            }
+            double new_settlement = md.md.settlement_price;
+            prop_job(_settlement, new_settlement);
+            prop_job(_session_low, md.md.session_low);
+            prop_job(_session_high, md.md.session_high);
+            prop_job(_day_change, new_last_price - new_settlement);
+
+            if (dirty) {
+               update_jobs.Add(Disposable.Create(() => {
+                  invalidated?.Invoke();
+               }));
+            }
+            return update_jobs;
+
+            void prop_job<T>(Property<T> p, T newval) {
+               var uj = p.set_as_job(newval);
+               if (uj != null)
+                  update_jobs.Add(uj);
+            }
+            void cell_prop_job<T>(CellProperty<T> p, T newval) {
+               var uj = p.on_next_distinct_as_job(newval, ref dirty);
+               if (uj != null)
+                  update_jobs.Add(uj);
            }
-            _settlement.set(md.md.settlement_price);
-            _session_low.set(md.md.session_low);
-            _session_high.set(md.md.session_high);
-            _day_change.set(last_price - settlement);
-            if (dirty)
-               invalidated?.Invoke();
         }

         public bool Equals(Row other) =>
@@ -3,10 +3,13 @@ using mbts.spark.filters;
 using mbts.ui;
 using mbts.ui.utility;
 using System;
+using System.Collections.Concurrent;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
+using System.Linq;
 using System.Reactive.Linq;
 using System.Reactive.Subjects;
+using System.Threading.Tasks;
 using System.Windows.Data;
 using System.Windows.Media;
 using static bts.shell.MarketViewWindowFactory;
@@ -14,7 +17,7 @@ using static mbts.ui.controls.DIYGrid;
 using static mbts.ui.spark.MarketViewView;

 namespace mbts.spark {
-   partial class MarketViewVM : SecurityMDGrid<MarketViewVM.Row, SecurityMD> {
+   partial class MarketViewVM : SecurityMDGrid<MarketViewVM.Row, SecurityMD>, IPrepareUpdateForDispatcher {
      readonly IBus _bus;
      readonly OrdersModel _orders_model;

@@ -112,8 +115,7 @@ namespace mbts.spark {
            }), DataGridFilterHelper.hook_filters(rows_view,
            security_filter, bid_price_filter, bid_size_filter, ask_price_filter, ask_size_filter, last_price_filter, last_size_filter, day_change_filter, settlement_filter,
            session_low_filter, session_high_filter, position_filter, working_bid_volume_filter, working_ask_volume_filter, volume_filter, security_key_filter),
-            securities_connectable.Connect(),
-            WorkLoop.Start("MarketView", _refresh)
+            securities_connectable.Connect()
         );
      }

@@ -159,6 +161,25 @@ namespace mbts.spark {
      }
      #endregion

+      public IDisposable prepare_update() {
+         ConcurrentBag<List<IDisposable>> to_update = new ConcurrentBag<List<IDisposable>>();
+         try {
+            Parallel.For(0, _row_vms.Count, i => {
+               var r = _row_vms[i];
+               var update_jobs = r.refresh();
+               if (update_jobs.Count > 0)
+                  to_update.Add(update_jobs);
+            });
+         } catch (IndexOutOfRangeException) {
+            // since rows (securities) will only be added/removed through rare user intervention,
+            // it is worth catching the occassional exception in exchange for lock-free code.
+            // if a row misses an update, or gets updated more than once, that's okay too;
+            // in 100ms it will tick again, so the data should never be more than a few 100 ms old, and rarely older than 100.
+         }
+         // return null, rather than an empty IDisposable; this signals to the UpdateMaster that it may skip the call to Dispatcher.InvokeAsync() as there is nothing to dispose.
+         return to_update.Count == 0 ? null : Disposable.Create(() => to_update.SelectMany(_ => _).DisposeAll());
+      }
+
      protected override Row row_factory(SecurityMD smd) => new Row(_bus, smd, _orders_model);
      protected override void on_row_removed(Row row) => row.Dispose();
      protected override IEnumerable<SortingCriteria> get_default_sorting() { yield return new SortingCriteria(nameof(Row.security), true); }
@@ -167,4 +188,4 @@ namespace mbts.spark {
         foreach (var r in _row_vms) r.refresh();
      }
   }
-}
+}
@@ -14,16 +14,18 @@ using System.Windows;
 namespace mbts.spark {
   class MarketViewWindow : SparkWindow<MarketViewWindowFactory.StartupData>, ISharedWindow {
      const string _window_type = "MarketView", _thread_id = "MarketView", _window_type_display_name = "Market View";
+      readonly DispatcherUpdateMaster _dispatcher_update_master;
      readonly OrdersModel _orders_model;
      readonly AllowOnce _init_guard = new AllowOnce("MarketView");
      MarketViewVM _vm;
      MarketViewView _view;
      MarketViewWindowFactory.StartupData _state;
      IReadOnlyList<SparkCommand> _commands;
-      IDisposable _subscriptions;
+      IDisposable _resources;

-      public MarketViewWindow(MarketViewWindowFactory factory, IBus bus, OrdersModel orders_model, MarketViewWindowFactory.StartupData state)
+      public MarketViewWindow(MarketViewWindowFactory factory, DispatcherUpdateMaster dispatcher_update_master, IBus bus, OrdersModel orders_model, MarketViewWindowFactory.StartupData state)
         : base("Market View", bus, factory, SparkCommands.ShowMarketView.icon) {
+         _dispatcher_update_master = dispatcher_update_master;
         _orders_model = orders_model;
         _state = state;
         Icon.Freeze();
@@ -57,12 +59,14 @@ namespace mbts.spark {
            SparkCommands.ShowSyntheticCreate.complete(_vm.selected_securities_observable(), secs => secs.Count > 0 && secs.Count <= 24, secs => new SecurityCriteria(secs)),
            SparkCommands.change_securities_command(() => (update_securities_cmd, _state.security_criteria))
         };
-         _subscriptions = _bus.subscribe(update_securities_cmd.tag).OnDispatcher().Subscribe(c =>
-            _state_changed?.Invoke(_state = new MarketViewWindowFactory.StartupData(c, _vm.rows_view.GetSortingCriteria(), _vm.get_filter_states())));
+         _resources = Disposable.Create(
+            _bus.subscribe(update_securities_cmd.tag).OnDispatcher().Subscribe(
+               c => _state_changed?.Invoke(_state = new MarketViewWindowFactory.StartupData(c, _vm.rows_view.GetSortingCriteria(), _vm.get_filter_states()))),
+            _dispatcher_update_master.attach(_vm));
      }

      public override void Dispose() {
-         Disposable.dispose(ref _subscriptions);
+         Disposable.dispose(ref _resources);
         _vm.Dispose();
         Commands.OfType<IDisposable>().DisposeAll();
      }
@@ -12,6 +12,7 @@ namespace bts.shell {
   class MarketViewWindowFactory : ShellWindowFactory<MarketViewWindowFactory.StartupData> {
      readonly IBus _bus;
      readonly OrdersModel _orders_model;
+      readonly DispatcherUpdateMaster _dispatcher_update_master = new DispatcherUpdateMaster("MarketView DispatcherUpdateMaster");

      public MarketViewWindowFactory(MarketShellModule module, IBus bus, OrdersModel orders_model) : base(module, "MarketView") {
         _bus = bus;
@@ -25,7 +26,7 @@ namespace bts.shell {
      void _show(SecurityCriteria criteria) =>
         _bus.post(SparkTags.ShowWindow, _create(new StartupData(criteria, new List<SortingCriteria> { new SortingCriteria(nameof(MarketViewVM.Row.security), true) }, null)));

-      IShellWindow _create(StartupData state) => new MarketViewWindow(this, _bus, _orders_model, state);
+      IShellWindow _create(StartupData state) => new MarketViewWindow(this, _dispatcher_update_master, _bus, _orders_model, state);

      [ProtoContract]
      public class StartupData {
@@ -20,23 +20,23 @@ namespace mbts.spark
      public static void add_dynamic_order_defs(List<CustomOrderDefinitionImmutable> defs, 
                                                Func<CustomOrderDefinition.CustomOneofCase, CustomOrderDefinition> factory)
      {
-         var dyntypes = _list.Value;
-         foreach (var d in dyntypes.dynamic_orders)
-         {
-            var dorder = factory(CustomOrderDefinition.CustomOneofCase.Dynamic);
-            dorder.Dynamic.DynamicOrderType = d.type_name;
-            foreach (var p in d.parameter_keys)
-               dorder.Dynamic.Parameters.Add(p, string.Empty);
-            defs.Add(new CustomOrderDefinitionImmutable(dorder));
-         }
+         // var dyntypes = _list.Value;
+         // foreach (var d in dyntypes.dynamic_orders)
+         // {
+         //    var dorder = factory(CustomOrderDefinition.CustomOneofCase.Dynamic);
+         //    dorder.Dynamic.DynamicOrderType = d.type_name;
+         //    foreach (var p in d.parameter_keys)
+         //       dorder.Dynamic.Parameters.Add(p, string.Empty);
+         //    defs.Add(new CustomOrderDefinitionImmutable(dorder));
+         // }
      }

      internal static List<NameValueVM> get_parameters(string dyntype)
      {
         List<NameValueVM> par = new List<NameValueVM>();
-         var order = _list.Value.dynamic_orders.FirstOrDefault(x => x.type_name == dyntype);
-         if (order != null)
-            par.AddRange(order.parameter_keys.Select(x => new NameValueVM() { name = x, value = string.Empty }));
+         // var order = _list.Value.dynamic_orders.FirstOrDefault(x => x.type_name == dyntype);
+         // if (order != null)
+         //    par.AddRange(order.parameter_keys.Select(x => new NameValueVM() { name = x, value = string.Empty }));
         return par;
      }
   }
@@ -115,17 +115,17 @@ namespace mbts.spark

         public override void assign_to(CustomOrderDefinition value)
         {
-            if (_child_order == null)
-               _select_child_order(model.factory.default_order_type(_security.Value, true));
-            _validate();
-            if (!HasErrors)
-            {
-               var i = factory.dynamic_order();
-               i.DynamicOrderType = _dyn_type;
-               set_parameter_dictionary(i.Parameters);
-               child_order.assign_to(i.Child);
-               value.Dynamic = i;
-            }
+            // if (_child_order == null)
+            //    _select_child_order(model.factory.default_order_type(_security.Value, true));
+            // _validate();
+            // if (!HasErrors)
+            // {
+            //    var i = factory.dynamic_order();
+            //    i.DynamicOrderType = _dyn_type;
+            //    set_parameter_dictionary(i.Parameters);
+            //    child_order.assign_to(i.Child);
+            //    value.Dynamic = i;
+            // }
         }

         void set_parameter_dictionary(Google.Protobuf.Collections.MapField<string, string> par)
@@ -208,4 +208,4 @@ namespace mbts.spark
         }
      }
   }
-}
+}
@@ -211,7 +211,7 @@ namespace mbts.spark {
               _security_md.Value.md.get_bbo(ref _bbo_ref, out co2.NativePriceSize bid, out co2.NativePriceSize ask);
               _best_bid = bid.price;
               _best_ask = ask.price;
-               _security_md.Value.md.get_last_trade(ref _last_trade_ref, out co2.NativePriceSize ps, out DateTime ts, out ulong v);
+               _security_md.Value.md.get_last_trade(ref _last_trade_ref, out co2.NativePriceSize ps, out ulong v);
            }
         }

@@ -0,0 +1,99 @@
+using bts;
+using bts.utils;
+using mbts.collections;
+using System;
+using System.Collections.Concurrent;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Concurrency;
+using System.Reactive.Linq;
+using System.Threading;
+using System.Threading.Tasks;
+using System.Windows.Threading;
+
+namespace mbts.spark {
+   interface IPrepareUpdateForDispatcher {
+      IDisposable prepare_update();
+   }
+
+   class DispatcherUpdateMaster : IDisposable {
+      readonly string _name;
+      readonly DispatcherPriority _invocation_priority;
+      SetMap<Dispatcher, IPrepareUpdateForDispatcher> _vms;
+      int _state = States.ReadyForUpdate;
+      IDisposable _dispose;
+
+      public DispatcherUpdateMaster(string name)
+         : this(name, WorkLoop.default_interval, WorkLoop.default_priority) { }
+
+      public DispatcherUpdateMaster(string name, TimeSpan period, DispatcherPriority invocation_priority) {
+         _name = name;
+         _vms = new SetMap<Dispatcher, IPrepareUpdateForDispatcher>(EqualityComparer.Create<Dispatcher, int>(d => d.Thread.ManagedThreadId));
+         _dispose = ThreadPoolScheduler.Instance.SchedulePeriodic(period, _update_async);
+         _invocation_priority = invocation_priority;
+      }
+
+      public IDisposable attach(IPrepareUpdateForDispatcher vm, Dispatcher dispatcher) {
+         var clone = _vms.clone();
+         clone.add(dispatcher, vm);
+         _vms = clone;
+         return Disposable.Create(() => _detach(vm, dispatcher));
+      }
+
+      public void Dispose() {
+         Thread.VolatileWrite(ref _state, States.Disposed);
+         Disposable.dispose(ref _dispose);
+      }
+
+      void _detach(IPrepareUpdateForDispatcher preper, Dispatcher dispatcher) {
+         var clone = _vms.clone();
+         clone.remove(dispatcher, preper);
+         _vms = clone;
+      }
+
+      async void _update_async() {
+         if (Interlocked.CompareExchange(ref _state, States.UpdateInProgress, States.ReadyForUpdate) != States.ReadyForUpdate) {
+            return;
+         }
+         var temp = _vms;
+         try {
+            ConcurrentBag<(Dispatcher dispatcher, ConcurrentBag<IDisposable> update)> update_jobs =
+               new ConcurrentBag<(Dispatcher dispatcher, ConcurrentBag<IDisposable> update_jobs)>();
+            await Task.Run(() => {
+               Parallel.ForEach(temp, dispatcher_group => {
+                  ConcurrentBag<IDisposable> update = new ConcurrentBag<IDisposable>();
+                  Parallel.ForEach(dispatcher_group, vm => {
+                     // need to check for null, that indicates an empty update (rather than an actual empty enumerable)
+                     var ujs = vm.prepare_update();
+                     if (ujs != null)
+                        update.Add(ujs);
+                  });
+                  if (update.Count > 0)
+                     update_jobs.Add((dispatcher_group.Key, update));
+               });
+            });
+            await Task.WhenAll(update_jobs.Select(_update_dispatcher_group_async));
+         } catch (Exception ex) {
+            Log.Ui.error($"{_name} error during parallel update: {ex}");
+         } finally {
+            // signal that the update is complete, and we are ready for another
+            Interlocked.CompareExchange(ref _state, States.ReadyForUpdate, States.UpdateInProgress);
+         }
+      }
+
+      async Task _update_dispatcher_group_async((Dispatcher dispatcher, ConcurrentBag<IDisposable> update_jobs) t) =>
+         await t.dispatcher.InvokeAsync(() => t.update_jobs.DisposeAll(), _invocation_priority);
+
+      static class States {
+         public const int
+            ReadyForUpdate = 0,
+            UpdateInProgress = 1,
+            Disposed = 2;
+      }
+   }
+
+   static class DispatcherUpdateMasterExtensions {
+      public static IDisposable attach(this DispatcherUpdateMaster dum, IPrepareUpdateForDispatcher preparer) =>
+         dum.attach(preparer, Dispatcher.CurrentDispatcher);
+   }
+}
@@ -156,15 +156,13 @@ namespace mbts.ui.shell
         public string name => _propname;

         public void set(T value) {
-            if (!Equals(value, _value)) {
-               Changing?.Invoke(_value, value);
-               var old = _value;
-               _value = value;
-               Changed?.Invoke(old, value);
-               _owner.RaisePropertyChanged(_propname);
-            }
+            if (!Equals(value, _value))
+               _apply_new_value(value);
         }

+         public IDisposable set_as_job(T value) =>
+            Equals(value, _value) ? null : Disposable.Create(() => _apply_new_value(value));
+
         public IDisposable Subscribe(IObserver<(T oldval, T newval)> observer) {
            Changed += pch;
            return Disposable.Create(() => Changed -= pch);
@@ -182,6 +180,14 @@ namespace mbts.ui.shell
            get { return _value; }
            set { set(value); }
         }
+
+         void _apply_new_value(T new_value) {
+            Changing?.Invoke(_value, new_value);
+            var old = _value;
+            _value = new_value;
+            Changed?.Invoke(old, new_value);
+            _owner.RaisePropertyChanged(_propname);
+         }
      }

 		protected class DelegateProperty<T> : Property<T> {
@@ -15,7 +15,7 @@ namespace mbts.spark {
         value = initial_value;
      }

-      event Action<(T oldval, T newval)> _value_set;
+      public event Action<(T oldval, T newval)> value_set;

      public T value { get; private set; }
      public string text => _text ?? (_text = _format(value));
@@ -27,14 +27,22 @@ namespace mbts.spark {
         }
      }

+      public IDisposable on_next_distinct_as_job(T value, ref bool dirty) {
+         if (!value.Equals(this.value)) {
+            dirty = true;
+            return Disposable.Create(() => OnNext(value));
+         }
+         return null;
+      }
+
      public void OnCompleted() { }
      public void OnError(Exception error) { }
      public void OnNext(T value) {
-         if (_value_set != null) {
+         if (value_set != null) {
            T prev = this.value;
            this.value = value;
            _text = null;
-            _value_set.Invoke((prev, value));
+            value_set.Invoke((prev, value));
         } else {
            this.value = value;
            _text = null;
@@ -42,7 +50,7 @@ namespace mbts.spark {
      }

      public IDisposable Subscribe(IObserver<(T oldval, T newval)> observer) =>
-         Observable.FromEvent<Action<(T oldval, T newval)>, (T oldval, T newval)>(cb => _value_set += cb, cb => _value_set -= cb)
+         Observable.FromEvent<Action<(T oldval, T newval)>, (T oldval, T newval)>(cb => value_set += cb, cb => value_set -= cb)
         .Subscribe(observer);
   }
 }
@@ -386,7 +386,7 @@ namespace mbts.spark {
      void _tick() {
         if (_settings != null) {
            ulong unused = 0;
-            bool last_trade_changed = _vm.md.get_last_trade(ref unused, out _last_trade, out DateTime _, out ulong __);
+            bool last_trade_changed = _vm.md.get_last_trade(ref unused, out _last_trade, out ulong __);
            bool depth_changed = _vm.md.get_depth(ref _prices_updated, ref _bids, ref _asks);
            _mkt_break_lines.refresh();
            bool prices_changed =
@@ -275,7 +275,7 @@ namespace mbts.spark {
            _open.set(md.open_price);
            _settlement.set(md.settlement_price);
            ulong unused = 0;
-            md.get_last_trade(ref unused, out NativePriceSize last, out DateTime time, out ulong volume);
+            md.get_last_trade(ref unused, out NativePriceSize last, out ulong volume);
            if (!double.IsNaN(last.price)) {
               _change.set(last.price - md.settlement_price);
            } else {
@@ -113,7 +113,7 @@ namespace mbts.spark {
         if (!sec_md.md.get_bbo(ref bbo_time, out NativePriceSize bid, out NativePriceSize ask)) return false;
         // last is only used in waterfall and last calculations, so if neither of those types are selected
         // we should not exit early if last is somehow not avaialble
-         if (!sec_md.md.get_last_trade(ref last_trade_time, out NativePriceSize last, out DateTime unused1, out ulong unused2) && pnl_request.HasFlag(pnl_calc_type.waterfall | pnl_calc_type.last)) return false;
+         if (!sec_md.md.get_last_trade(ref last_trade_time, out NativePriceSize last, out ulong unused2) && pnl_request.HasFlag(pnl_calc_type.waterfall | pnl_calc_type.last)) return false;

         if (pnl_request.HasFlag(pnl_calc_type.waterfall)) {
            // last price is available and withing range of available bid and ask
@@ -12,7 +12,7 @@ namespace mbts.spark.utilities
   internal interface ISecurityMDPump
   {
       IObservable<(double bid, uint bid_size, double ask, uint ask_size)> bbo { get; }
-       IObservable<(double last, uint last_size, DateTime time_stamp, ulong volume)> last_trade { get; }
+       IObservable<(double last, uint last_size, ulong volume)> last_trade { get; }
       IObservable<double> bid_price { get; }
       IObservable<uint> bid_size { get; }
       IObservable<double> ask_price { get; }
@@ -61,7 +61,6 @@ namespace mbts.spark.utilities
      private double _bid_price, _ask_price, _last_price;
      private uint _bid_size, _ask_size, _last_size;
      private ulong _volume;
-      private DateTime _last_time;

      private bool _refresh_bbo(MDConsumerHandle md) {
         if (md.get_bbo(ref _bbo_ref, out NativePriceSize b, out NativePriceSize a)) {
@@ -75,10 +74,9 @@ namespace mbts.spark.utilities
      }

      private bool _refresh_last(MDConsumerHandle md) {
-         if (md.get_last_trade(ref _last_ref, out NativePriceSize ps, out DateTime ts, out ulong v)) {
+         if (md.get_last_trade(ref _last_ref, out NativePriceSize ps, out ulong v)) {
            _last_price = ps.price;
            _last_size = ps.size;
-            _last_time = ts;
            _volume = v;
            return true;
         }
@@ -86,17 +84,16 @@ namespace mbts.spark.utilities
      }

      private (double, uint, double, uint) _select_bbo() { return (_bid_price, _bid_size, _ask_price, _ask_size); }
-      private (double, uint, DateTime, ulong) _select_last() { return (_last_price, _last_size, _last_time, _volume); }
+      private (double, uint, ulong) _select_last() { return (_last_price, _last_size, _volume); }

      public IObservable<(double bid, uint bid_size, double ask, uint ask_size)> bbo => _bbo_pump.Select(_ => _select_bbo()).StartWith(_select_bbo());
-      public IObservable<(double last, uint last_size, DateTime time_stamp, ulong volume)> last_trade => _last_pump.Select(_ => _select_last()).StartWith(_select_last());
+      public IObservable<(double last, uint last_size, ulong volume)> last_trade => _last_pump.Select(_ => _select_last()).StartWith(_select_last());
      public IObservable<double> bid_price => _bbo_pump.Select(_ => _bid_price).DistinctUntilChanged().StartWith(_bid_price);
      public IObservable<uint> bid_size => _bbo_pump.Select(_ => _bid_size).DistinctUntilChanged().StartWith(_bid_size);
      public IObservable<double> ask_price => _bbo_pump.Select(_ => _ask_price).DistinctUntilChanged().StartWith(_ask_price);
      public IObservable<uint> ask_size => _bbo_pump.Select(_ => _ask_size).DistinctUntilChanged().StartWith(_ask_size);
      public IObservable<double> last_price => _bbo_pump.Select(_ => _last_price).DistinctUntilChanged().StartWith(_last_price);
      public IObservable<uint> last_size => _bbo_pump.Select(_ => _last_size).DistinctUntilChanged().StartWith(_last_size);
-      public IObservable<DateTime> last_time => _last_pump.Select(_ => _last_time).DistinctUntilChanged().StartWith(_last_time);
      public IObservable<ulong> volume => _last_pump.Select(_ => _volume).DistinctUntilChanged().StartWith(_volume);
      public IObservable<double> session_low => _root_pump.Select(md => md.session_low).DistinctUntilChanged();
      public IObservable<double> session_high => _root_pump.Select(md => md.session_high).DistinctUntilChanged();
@@ -235,7 +235,7 @@ namespace mbts.spark.utilities {

      public DynamicOrderDefinition dynamic_order() => new DynamicOrderDefinition
      {
-         Child = custom_order(),
+         //Child = custom_order(),
      };


@@ -7,8 +7,8 @@ using System.Windows.Threading;
 namespace mbts.spark {
   static class WorkLoop {
      public const double default_excessive_cycle_ratio = 1.2;
-      static readonly DispatcherPriority default_priority;
-      static readonly TimeSpan default_interval;
+      public static readonly TimeSpan default_interval;
+      public static readonly DispatcherPriority default_priority;

      static WorkLoop() {
         var timer_params = config.Configuration.get<bts.config.LadderKnobs>();
@@ -31,7 +31,8 @@ namespace bts {
      Mercury,
      Testing,
      Latency,
-      DataFlow
+      DataFlow,
+      Plugin
      // Please keep this list in sync with logging.h/logging.cpp
   }
   readonly struct Logger {
@@ -72,7 +72,12 @@ namespace mbts.co2
         return false;
      }

-      public bool get_last_trade(ref ulong time, out NativePriceSize ps, out DateTime timestamp, out ulong total_volume) {
+      public bool get_last_trade(ref ulong time, out NativePriceSize ps, out ulong total_volume) {
+         total_volume = _cold->total_volume;
+         return (_cold->last_trade.load_if_new(ref time, out ps));
+      }
+
+      public bool get_last_trade(ref ulong time, out NativePriceSize ps, out utils.LLDateTime timestamp, out ulong total_volume) {
         timestamp = _cold->last_trade_time;
         total_volume = _cold->total_volume;
         return (_cold->last_trade.load_if_new(ref time, out ps));
@@ -88,15 +93,15 @@ namespace mbts.co2
      public ulong total_volume { get {  return _cold->total_volume; } }

      public double settlement_price { get { return _cold->settlement_price;} }
-      public DateTime settlement_date { get { return _cold->settlement_date;} }
+      public utils.LLDate settlement_date { get { return _cold->settlement_date;} }
      public double previous_settlement_price { get { return _cold->previous_settlement_price;} }
-      public DateTime previous_settlement_date { get { return _cold->previous_settlement_date;} }
+      public utils.LLDate previous_settlement_date { get { return _cold->previous_settlement_date;} }

      public double open_price { get { return _cold->open_price;} }
-      public DateTime open_date { get {  return _cold->open_date; } }
+      public utils.LLDate open_date { get {  return _cold->open_date; } }

      public double close_price { get { return _cold->close_price;} }
-      public DateTime close_date { get {  return _cold->close_date; } }
+      public utils.LLDate close_date { get {  return _cold->close_date; } }
      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; } }
@@ -210,19 +210,24 @@ namespace mbts.co2.tests
                  Assert.IsTrue(ask.size == 202);

                  time = 0;
-                  DateTime trade_date;
-                  ulong total_volume;
-                  NativePriceSize last_trade;
-                  Assert.IsTrue(handle.get_last_trade(ref time, out last_trade, out trade_date, out total_volume));
+                  Assert.IsTrue(handle.get_last_trade(ref time, out NativePriceSize last_trade, out utils.LLDateTime ll_trade_date, out ulong total_volume));
+                  // trade date
+                  DateTime trade_date = ll_trade_date;
                  Assert.IsTrue(last_trade.price == 5.5 && last_trade.size == 505);
                  Assert.IsTrue(trade_date.Year == 2015 && trade_date.Month == 9 && trade_date.Day == 22);
                  Assert.IsTrue(total_volume == 4200);
-                  Assert.IsTrue(handle.settlement_date.Year == 2000 && handle.settlement_date.Day == 9 && handle.settlement_date.Month == 8);
+                  // settlement date
+                  DateTime settlement_dt = handle.settlement_date;
+                  Assert.IsTrue(settlement_dt.Year == 2000 && settlement_dt.Day == 9 && settlement_dt.Month == 8);
                  Assert.IsTrue(handle.settlement_price == 6.6);
                  Assert.IsTrue(handle.open_price == 7.7);
-                  Assert.IsTrue(handle.open_date.Year == 2001 && handle.open_date.Month == 1 && handle.open_date.Day == 2);
+                  // open date
+                  DateTime open_dt = handle.open_date;
+                  Assert.IsTrue(open_dt.Year == 2001 && open_dt.Month == 1 && open_dt.Day == 2);
                  Assert.IsTrue(handle.close_price == 8.8);
-                  Assert.IsTrue(handle.close_date.Year == 2002 && handle.close_date.Month == 3 && handle.close_date.Day == 4);
+                  // close date
+                  DateTime close_dt = handle.close_date;
+                  Assert.IsTrue(close_dt.Year == 2002 && close_dt.Month == 3 && close_dt.Day == 4);

                  Assert.IsTrue(handle.session_high == 9.9);
                  Assert.IsTrue(handle.session_low == 10.1);
@@ -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/PositionService.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/dynamic_orders.conf;config/defaults/edge.conf;config/defaults/expiration_display_offset.conf;config/defaults/jetfix.conf;config/defaults/logging.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/spreader.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/dynamic_orders.proto;config/protos/environment.proto;config/protos/expiration_display_offset.proto;config/protos/jetfix.proto;config/protos/logging.proto;config/protos/orders_fills_cleanup.proto;config/protos/quickbus_cfg.proto;config/protos/spreader.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;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;jetfix/codec/FIXArray.cpp;jetfix/common/OutFIX.cpp;jetfix/connection/AsyncReader.cpp;jetfix/connection/IConnection.cpp;jetfix/connection/SocketConnection.cpp;jetfix/gateway/CoreGateway.cpp;jetfix/gateway/JetFIXGateway.cpp;jetfix/gateway/Session.cpp;jetfix/store/FIXFileStore.cpp;jetfix/store/session_name.cpp;jetfix/tests/async_reader_tests.cpp;jetfix/tests/decoding_tests.cpp;jetfix/tests/fix_encoding_stream_tests.cpp;jetfix/tests/fix_fragment_tests.cpp;jetfix/tests/jetfix_performance_tests.cpp;jetfix/tests/sample_fix.cpp;jetfix/tests/store_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/cme/MDP3Utils.cpp;md/common.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/md2_tests.cpp;md/test/synthetic_book_merge_tests.cpp;mercury/actors/Actor.cpp;mercury/broker/AsyncEventBroker.cpp;mercury/broker/CoreEventBroker.cpp;mercury/broker/IEventBroker.cpp;mercury/events/TimerEvent.cpp;mercury/mercury_utils/Executor.cpp;mercury/mercury_utils/IPollableActor.cpp;mercury/mercury_utils/mercury_common.cpp;mercury/synopsis/SynopsisBuilder.cpp;mercury/topics/ITopic.cpp;metrics/metrics.cpp;metrics/system_metrics.cpp;orderman/actors/AsyncFactory.cpp;orderman/actors/ExecutionGateway.cpp;orderman/actors/FillStore.cpp;orderman/actors/OrderStore.cpp;orderman/actors/SODPosition.cpp;orderman/actors/SecuritySrc.cpp;orderman/actors/ServiceBridge.cpp;orderman/actors/order_manager/OrderBuilder.cpp;orderman/actors/order_manager/OrderManager.cpp;orderman/actors/order_manager/OrderServicesData.cpp;orderman/events/CancelRejectEvent.cpp;orderman/events/NewExecutionReportEvent.cpp;orderman/limiter/LimitStore.cpp;orderman/limiter/Limiter.cpp;orderman/limiter/ProductLimitNode.cpp;orderman/limiter/ProductLimitTree.cpp;orderman/limiter/SecurityLimitNode.cpp;orderman/limiter/SecurityLimitTree.cpp;orderman/limiter/tests/limit_tests.cpp;orderman/order_factory/OrLine truncated
+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/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.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/cme_reference_data.conf;config/defaults/dynamic_orders.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/logging.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/spreader.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/cme_reference_data.proto;config/protos/dynamic_orders.proto;config/protos/environment.proto;config/protos/jetfix.proto;config/protos/logging.proto;config/protos/orders_fills_cleanup.proto;config/protos/quickbus_cfg.proto;config/protos/spreader.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;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;jetfix/codec/FIXArray.cpp;jetfix/common/OutFIX.cpp;jetfix/connection/AsyncReader.cpp;jetfix/connection/IConnection.cpp;jetfix/connection/SocketConnection.cpp;jetfix/gateway/CoreGateway.cpp;jetfix/gateway/JetFIXGateway.cpp;jetfix/gateway/Session.cpp;jetfix/store/FIXFileStore.cpp;jetfix/store/session_name.cpp;jetfix/tests/async_reader_tests.cpp;jetfix/tests/decoding_tests.cpp;jetfix/tests/fix_encoding_stream_tests.cpp;jetfix/tests/fix_fragment_tests.cpp;jetfix/tests/jetfix_performance_tests.cpp;jetfix/tests/sample_fix.cpp;jetfix/tests/store_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/cme/MDP3Utils.cpp;md/common.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/md2_tests.cpp;md/test/synthetic_book_merge_tests.cpp;mercury/actors/Actor.cpp;mercury/broker/AsyncEventBroker.cpp;mercury/broker/CoreEventBroker.cpp;mercury/broker/IEventBroker.cpp;mercury/events/TimerEvent.cpp;mercury/mercury_utils/Executor.cpp;mercury/mercury_utils/IPollableActor.cpp;mercury/mercury_utils/mercury_common.cpp;mercury/synopsis/SynopsisBuilder.cpp;mercury/topics/ITopic.cpp;metrics/metrics.cpp;metrics/system_metrics.cpp;orderman/actors/AsyncFactory.cpp;orderman/actors/ExecutionGateway.cpp;orderman/actors/FillStore.cpp;orderman/actors/OrderStore.cpp;orderman/actors/SODPosition.cpp;orderman/actors/SecuritySrc.cpp;orderman/actors/ServiceBridge.cpp;orderman/actors/order_manager/OrderBuilder.cpp;orderman/actors/order_manager/OrderManager.cpp;orderman/actors/order_manager/OrderServicesData.cpp;orderman/events/CancelRejectEvent.cpp;orderman/events/NewExecutionReportEvent.cpp;orderman/limiter/LimitStore.cpp;orderman/limiter/Limiter.cpp;orderman/limiter/ProductLimitNode.cpp;orderman/limiter/ProductLimitTree.cpp;orderman/limiter/SecurityLimitNode.cpp;orderman/limiter/SecurityLimitTree.cpp;orderman/limiter/tests/limit_tests.cpp;orderman/order_factory/DynamicOrderRegistry.cpp;ordermanLine truncated
@@ -3,8 +3,6 @@ package bts.api.md.auxiliary;
 option csharp_namespace="bts.api.md.auxiliary";
 import "lib/api/apioptions.proto";
 import "lib/api/apicore.proto";
-import "lib/domain_model/Security.proto";
-import "lib/md/protos/co2.proto";

 message VolumeAtPriceLevel{
   int32 record_id = 1 [(bts.api.key)=true];
@@ -6,6 +6,7 @@ import "lib/api/apioptions.proto";
 import "lib/domain_model/Security.proto";
 import "google/protobuf/timestamp.proto";
 import "lib/sparkproto/SparkProtos.proto";
+import "lib/api/apicore.proto";

 service OrderService {
  option (bts.api.service_description)="Implements order management";
@@ -15,9 +16,12 @@ service OrderService {
  rpc cancel_order(Cancel) returns (Response);
  rpc update_order(Update) returns (Response);
  rpc crack_order(Crack) returns (Response);
+  rpc get_registered_dynamic_order_types(bts.api.VoidMessage) returns (RegisteredDynamicOrderTypes);

  // streams
  rpc orders (OrdersSub) returns (stream OrderRecord); 
+
+
  rpc fills (FillsSub) returns (stream Fill);
 }

@@ -139,8 +143,7 @@ message CoverOrderDefinition {
 }
 message DynamicOrderDefinition {
  string dynamic_order_type = 1;
-  map<string,string> parameters = 2;
-  CustomOrderDefinition child = 3;
+  map<string, DynamicOrderParam> order_params = 2;
 }
 // End custom order definitions

@@ -259,7 +262,7 @@ message TopOrderState {}
 message TriggerOrderState {}
 message CoverOrderState {}
 message DynamicOrderState {
-  map<string,string> state = 2;
+  map<string,string> state = 1;
 }

 enum OrderStatus {
@@ -465,3 +468,76 @@ message TriggerExitCondition{
   uint32 timeout_seconds=20; //seconds
   bool conditional_cancel=30;
 }
+
+
+// Dynamic Orders
+
+enum DynamicOrderPrimitiveDescriptor {
+  DYNAMIC_ORDER_PRIMITIVE_INT = 0;
+  DYNAMIC_ORDER_PRIMITIVE_UINT = 1;
+  DYNAMIC_ORDER_PRIMITIVE_DOUBLE = 2;
+  DYNAMIC_ORDER_PRIMITIVE_STRING = 3;
+  DYNAMIC_ORDER_PRIMITIVE_BOOL = 4;
+  DYNAMIC_ORDER_PRIMITIVE_ORDER_DEF = 5;
+}
+
+message DynamicOrderTypeDescriptor {
+  oneof descriptor {
+    DynamicOrderPrimitiveDescriptor primitive = 2;
+    DynamicOrderArrayDescriptor array = 3;
+    DynamicOrderStructDescriptor structure = 4;
+    DynamicOrderEnumeratedDescriptor enumerated = 5;
+  }
+}
+
+message DynamicOrderArrayDescriptor {
+  DynamicOrderTypeDescriptor element_type = 1;
+}
+
+message DynamicOrderParamDescriptor {
+  string param_name = 1;
+  DynamicOrderTypeDescriptor param_type = 2;
+}
+
+message DynamicOrderStructDescriptor {
+ repeated DynamicOrderParamDescriptor field = 1;
+}
+
+message DynamicOrderEnumeratedDescriptor {
+  repeated string element = 1; 
+}
+
+message DynamicOrderDescriptor {
+  string dynamic_order_type = 1;
+  repeated DynamicOrderParamDescriptor param_desc = 3;
+}
+
+message RegisteredDynamicOrderTypes {
+  repeated DynamicOrderDescriptor dynamic_order_desc = 1;
+}
+
+message DynamicOrderParam {
+  oneof value {
+    uint32 as_int32 = 1;
+    uint32 as_uint32 = 2;
+    double as_double = 3;
+    string as_string = 4;
+    bool as_bool = 5;
+    CustomOrderDefinition as_order_def = 6;
+    DynamicOrderArray as_array = 7;
+    DynamicOrderStruct as_struct = 8;
+    DynamicOrderEnumerated as_enumerated = 9;
+  }
+}
+
+message DynamicOrderArray {
+  repeated DynamicOrderParam element = 1;
+}
+
+message DynamicOrderStruct {
+  map<string,DynamicOrderParam> field = 1;
+}
+
+message DynamicOrderEnumerated {
+  string enum_value = 1;
+}
@@ -26,4 +26,8 @@ message OrdersSoftCleanup{

 message ToastNotifications {
 	optional bool enabled = 1 [default = false];
+}
+
+message VolumeAtPrice{
+   optional bool enabled = 1 [default = true];
 }
@@ -116,6 +116,7 @@ void configure_logging(bts::config::Logging const&cfg)
                                {log::Testing,"Testing"},
                                {log::Latency,"Latency"},
                                {log::DataFlow,"DataFlow"},
+                                {log::Plugin,"Plugin"},
   };

   real_cfg.sinks["console"] =
@@ -42,6 +42,7 @@ constexpr log::Subsystem Mercury    {ExSim.ordinal+1       };
 constexpr log::Subsystem Testing    {Mercury.ordinal+1     };
 constexpr log::Subsystem Latency    {Testing.ordinal+1     };
 constexpr log::Subsystem DataFlow   {Latency.ordinal+1     };
+constexpr log::Subsystem Plugin     {DataFlow.ordinal+1     };

 struct LoggerHandle {
   LoggerHandle(LoggerHandle const&) = delete;
@@ -17,12 +17,12 @@ namespace orderman {

 struct AsyncFactory::PImpl 
 {
-   PImpl() :
+   PImpl(DynamicOrderRegistry const&b) :
      orders_stream(),
      fix_buffer_stream(),
      db(),
      order_router(),
-      order_factory(db,order_router)
+      order_factory(db,order_router,b)
   {}

   mercury::Stream<CreateOrderReplyEvent> orders_stream;
@@ -32,7 +32,7 @@ struct AsyncFactory::PImpl
   OrderFactory order_factory;
 };

-AsyncFactory::AsyncFactory() : me(new PImpl()) {}
+AsyncFactory::AsyncFactory(DynamicOrderRegistry const&b) : me(new PImpl(b)) {}
 AsyncFactory::~AsyncFactory () {}

 void AsyncFactory::init()
@@ -7,12 +7,13 @@

 namespace bts {
 namespace orderman {
+class DynamicOrderRegistry;

 // used to asynchronously build fix buffers and orders
 class AsyncFactory : public mercury::Actor
 {
 public:
-   AsyncFactory();
+   AsyncFactory(DynamicOrderRegistry const&);
   ~AsyncFactory();

   void init() override;
@@ -1,10 +1,10 @@
 #include "ServiceBridge.h"

 #include "lib/api/public/ServiceContext.h"
-#include "lib/utils/PBUtils.h"
 #include "lib/orderman/events/ActivateOrderEvent.h"
 #include "lib/orderman/events/CancelOrderEvent.h"
 #include "lib/orderman/events/CrackOrderEvent.h"
+#include "lib/orderman/events/NewAdminDataEvent.h"
 #include "lib/orderman/events/NewSecuritiesEvent.h"
 #include "lib/orderman/events/OrderManagerReadyEvent.h"
 #include "lib/orderman/events/StoredFillEvent.h"
@@ -13,7 +13,7 @@
 #include "lib/orderman/order_factory/OrderFactory.h"
 #include "lib/orderman/order_router/OrderRouter.h"
 #include "lib/orderman/securities/MapSecurityDB.h"
-#include "lib/orderman/events/NewAdminDataEvent.h"
+#include "lib/utils/PBUtils.h"

 #include "lib/api/services/OrderService.pb.h"
 #include "lib/orderman/orderman_utils/orderman_common.h"
@@ -24,12 +24,13 @@ namespace orderman {

 struct ServiceBridge::PImpl {
   PImpl(OnReady const &on_ready, OnOrders const &on_orders,
-         OnFills const &on_fills)
+         OnFills const &on_fills,
+         DynamicOrderRegistry const &dyn_order_registry)
       : on_ready(on_ready), on_orders(on_orders), on_fills(on_fills),
         have_orders(false), have_securities(false), order_manager_ready(false),
-         sec_db(), order_router(), order_factory(sec_db, order_router),
-         known_orders() {
-   }
+         sec_db(), order_router(),
+         order_factory(sec_db, order_router, dyn_order_registry),
+         known_orders() {}

   OnReady on_ready;
   OnOrders on_orders;
@@ -47,20 +48,18 @@ struct ServiceBridge::PImpl {
   mercury::Stream<NewAdminDataEvent> new_admin_data_pub;
   std::unordered_set<OrderKey> known_orders;
   std::vector<std::shared_ptr<const api::admin::AdminData>> admin_data_updates;
-   
+
   std::promise<void> ready;
 };

 ServiceBridge::ServiceBridge(OnReady const &on_ready, OnOrders const &on_orders,
-                             OnFills const &on_fills)
-    : me(new PImpl(on_ready, on_orders, on_fills)) {}
+                             OnFills const &on_fills,
+                             DynamicOrderRegistry const &dyn_order_registry)
+    : me(new PImpl(on_ready, on_orders, on_fills, dyn_order_registry)) {}

 ServiceBridge::~ServiceBridge() {}

-void ServiceBridge::block_until_ready()
-{
-   me->ready.get_future().wait();
-}
+void ServiceBridge::block_until_ready() { me->ready.get_future().wait(); }

 void ServiceBridge::init() {
   subscribe<NewAdminDataEvent>([this](auto const &u) { this->on(u); });
@@ -125,8 +124,8 @@ void ServiceBridge::on(mercury::Update<OrderManagerReadyEvent> const &update) {
   }
 }

-void ServiceBridge::on(mercury::Update<NewAdminDataEvent> const&update) {
-   if (update.events) 
+void ServiceBridge::on(mercury::Update<NewAdminDataEvent> const &update) {
+   if (update.events)
      for (auto ev : *(update.events))
         me->order_router.update(*ev.admin_data);
 }
@@ -233,12 +232,12 @@ ServiceBridge::crack_order(api::orderman::Crack const &c) {
   return f.get();
 }

-void ServiceBridge::update_admin_data(std::shared_ptr<const api::admin::AdminData> const&admin)
-{
+void ServiceBridge::update_admin_data(
+    std::shared_ptr<const api::admin::AdminData> const &admin) {
   post_action([this, admin]() {
-         me->admin_data_updates.push_back (admin);
-         publish(me->new_admin_data_pub,*admin);
-      });
+      me->admin_data_updates.push_back(admin);
+      publish(me->new_admin_data_pub, *admin);
+   });
 }

 bool ServiceBridge::is_ready() const {
@@ -249,5 +248,5 @@ void ServiceBridge::maybe_signal_ready(bool old_ready) {
   if (!old_ready && is_ready())
      me->on_ready();
 }
-}
-}
+} // namespace orderman
+} // namespace bts
@@ -1,14 +1,16 @@
 #pragma once

-#include <memory>
-#include "lib/mercury/actors/Actor.h"
 #include "lib/config/protos/jetfix.pb.h"
+#include "lib/mercury/actors/Actor.h"
+#include <memory>

 // fwds
 namespace bts {
 namespace api {
 class ServiceContext;
-namespace admin { class AdminData;}
+namespace admin {
+class AdminData;
+}
 namespace orderman {
 class OrderRecord;
 class Fill;
@@ -17,32 +19,36 @@ class Create;
 class Update;
 class Cancel;
 class Crack;
-}}
+} // namespace orderman
+} // namespace api
 namespace orderman {
 class StoredFillEvent;
 class StoredOrderEvent;
 class NewSecuritiesEvent;
 class OrderManagerReadyEvent;
 class NewAdminDataEvent;
-}}
+class DynamicOrderRegistry;
+} // namespace orderman
+} // namespace bts
 // end fwds

-
 // Provides a threading bridge between the quickbux/service world and
 // the mercury event broker.
 namespace bts {
 namespace orderman {

-class ServiceBridge : public mercury::Actor
-{
-public:
-   template <class EV> using OnEv = std::function<void(EV const&)>;
+class ServiceBridge : public mercury::Actor {
+ public:
+   template <class EV> using OnEv = std::function<void(EV const &)>;

   using OnReady = std::function<void()>;
-   using OnOrders = std::function<void (std::vector<api::orderman::OrderRecord> const& )>;
-   using OnFills = std::function<void (std::vector<api::orderman::Fill> const&)>;
-   
-   ServiceBridge(OnReady const&, OnOrders const&, OnFills const&);
+   using OnOrders =
+       std::function<void(std::vector<api::orderman::OrderRecord> const &)>;
+   using OnFills =
+       std::function<void(std::vector<api::orderman::Fill> const &)>;
+
+   ServiceBridge(OnReady const &, OnOrders const &, OnFills const &,
+                 DynamicOrderRegistry const &);
   void init() override;
   ~ServiceBridge();

@@ -50,23 +56,25 @@ public:
   void block_until_ready();

   // these can be called from any thread, after block_until_ready() returns
-   api::orderman::Response create_order(api::orderman::Create const&c);
-   api::orderman::Response update_order(api::orderman::Update const&c);
-   api::orderman::Response cancel_order(api::orderman::Cancel const&c);
-   api::orderman::Response crack_order(api::orderman::Crack const&c);
-   void update_admin_data(std::shared_ptr<api::admin::AdminData const> const &admin);
-   
-private:
+   api::orderman::Response create_order(api::orderman::Create const &c);
+   api::orderman::Response update_order(api::orderman::Update const &c);
+   api::orderman::Response cancel_order(api::orderman::Cancel const &c);
+   api::orderman::Response crack_order(api::orderman::Crack const &c);
+   void
+   update_admin_data(std::shared_ptr<api::admin::AdminData const> const &admin);
+
+ private:
   struct PImpl;
   std::unique_ptr<PImpl> me;
-   bool is_ready () const;
+   bool is_ready() const;
   void maybe_signal_ready(bool old_ready);
-   
-   void on(mercury::Update<StoredFillEvent> const&);
-   void on(mercury::Update<StoredOrderEvent> const&);
-   void on(mercury::Update<NewSecuritiesEvent> const&);
-   void on(mercury::Update<OrderManagerReadyEvent> const&);
-   void on(mercury::Update<NewAdminDataEvent> const&);
+
+   void on(mercury::Update<StoredFillEvent> const &);
+   void on(mercury::Update<StoredOrderEvent> const &);
+   void on(mercury::Update<NewSecuritiesEvent> const &);
+   void on(mercury::Update<OrderManagerReadyEvent> const &);
+   void on(mercury::Update<NewAdminDataEvent> const &);
 };

-}}
+} // namespace orderman
+} // namespace bts
@@ -40,7 +40,8 @@ struct OrderManager::OrderInfo {
 };

 struct OrderManager::PImpl {
-   PImpl(Actor &owner) : state(State::WAIT_ADMIN), services_data(owner) {}
+   PImpl(Actor &owner, DynamicOrderRegistry const &b)
+       : state(State::WAIT_ADMIN), services_data(owner, b) {}

   State state;
   std::unordered_map<OrderKey, OrderInfo> orders;
@@ -50,7 +51,7 @@ struct OrderManager::PImpl {
   mercury::Stream<OrderManagerReadyEvent> pub_ready;
 };

-OrderManager::OrderManager() : me(new PImpl(*this)) {}
+OrderManager::OrderManager(DynamicOrderRegistry const&b) : me(new PImpl(*this,b)) {}
 OrderManager::~OrderManager() {}

 void OrderManager::init() {
@@ -202,8 +203,7 @@ void OrderManager::on_activate_order(
         OrderInfo oi{*order, me->services_data};
         auto serv_ptr = oi.order_services.get();
         me->orders[k] = std::move(oi);
-         order->on_activate(ev.price, ev.quantity, *serv_ptr,
-                            ev.trace);
+         order->on_activate(ev.price, ev.quantity, *serv_ptr, ev.trace);
      }
 }

@@ -213,8 +213,7 @@ void OrderManager::on_update_order(const mercury::Update<UpdateOrderEvent> &m) {
         auto k = ev.key();
         auto it = me->orders.find(k);
         if (it != me->orders.end())
-            it->second.order->on_update(ev.price, ev.quantity,
-                                        ev.trace);
+            it->second.order->on_update(ev.price, ev.quantity, ev.trace);
         else {
            LOG(OrderMan, Error,
                "Received an update request for an unknown order {}. "
@@ -22,6 +22,7 @@ class StoredFillEvent;
 class CreateFIXBufferReplyEvent;
 class GatewayStatusChangeEvent;
 class NewAdminDataEvent;
+class DynamicOrderRegistry;
 }
 }

@@ -51,7 +52,7 @@ namespace orderman {

 class OrderManager : public mercury::Actor {
 public:
-   OrderManager();
+   OrderManager(DynamicOrderRegistry const&dyn_order_builder);
   ~OrderManager();
   void init() override;

@@ -5,8 +5,8 @@
 namespace bts {
 namespace orderman {

-OrderServicesData::OrderServicesData(mercury::Actor &owner)
-    : owner(owner), order_router(), order_factory(sec_db, order_router),
+OrderServicesData::OrderServicesData(mercury::Actor &owner,DynamicOrderRegistry const&b)
+   : owner(owner), order_router(), order_factory(sec_db, order_router,b),
      last_timer_ev(
          Timer::now(),
          to<mercury::TimeStampStr>(datetime::FIX_timestamp(datetime::now()))) {
@@ -67,13 +67,14 @@ struct SessionServicesData {

 class OrderServicesData {
 public:
-   OrderServicesData(mercury::Actor &owner);
+   OrderServicesData(mercury::Actor &owner,DynamicOrderRegistry const&b);
+
   mercury::Actor &owner;
   securities::MapSecurityDB sec_db;
   OrderRouter order_router;
   Limiter limiter;
   OrderFactory order_factory;
-
+   
   std::unique_ptr<mercury::ContentSubscription<BookUpdateEvent>> md_subs;
   std::unique_ptr<
       mercury::ContentSubscription<OrderStateUpdateEvent, ParentKey>>
@@ -0,0 +1,14 @@
+#pragma once
+
+#include <memory>
+#include <functional>
+
+
+namespace bts {
+namespace orderman {
+
+class DynamicOrder;
+
+using DynamicOrderBuilder = std::function<std::unique_ptr<DynamicOrder>()>;
+
+}}
@@ -0,0 +1,45 @@
+#include "DynamicOrderRegistry.h"
+#include "lib/orderman/orders/DynamicOrder.h"
+
+#include <unordered_map>
+
+namespace bts {
+namespace orderman {
+
+struct DynamicOrderRegistry::PImpl {
+   std::unordered_map<
+       std::string,
+       std::pair<DynamicOrderBuilder, api::orderman::DynamicOrderDescriptor>>
+       dyn_orders;
+};
+
+DynamicOrderRegistry::DynamicOrderRegistry() : me(new PImpl()) {}
+DynamicOrderRegistry::~DynamicOrderRegistry() {}
+
+void DynamicOrderRegistry::register_dynamic_order(
+    api::orderman::DynamicOrderDescriptor const &desc,
+    DynamicOrderBuilder const &b) {
+   me->dyn_orders[desc.dynamic_order_type()] = std::make_pair(b, desc);
+}
+
+std::unique_ptr<DynamicOrder>
+DynamicOrderRegistry::build(std::string const &dynamic_order_type) const {
+   auto it = me->dyn_orders.find(dynamic_order_type);
+   if (it != me->dyn_orders.end())
+      return it->second.first();
+   else
+      return std::unique_ptr<DynamicOrder>();
+}
+
+std::vector<api::orderman::DynamicOrderDescriptor>
+DynamicOrderRegistry::get_all_dynamic_order_types() const {
+
+   std::vector<api::orderman::DynamicOrderDescriptor> result;
+   for (auto const &ot : me->dyn_orders)
+      result.push_back(ot.second.second);
+   return result;
+}
+
+
+} // namespace orderman
+} // namespace bts
@@ -0,0 +1,27 @@
+#pragma once
+
+#include "lib/orderman/order_factory/DynamicOrderBuilder.h"
+#include "lib/api/services/OrderService.pb.h"
+
+namespace bts {
+namespace orderman {
+
+
+class DynamicOrderRegistry {
+public:
+   DynamicOrderRegistry();
+   ~DynamicOrderRegistry();
+   
+   void register_dynamic_order(api::orderman::DynamicOrderDescriptor const&desc,
+                               DynamicOrderBuilder const&builder);
+
+   // can return a null if no such order type exists
+   std::unique_ptr<DynamicOrder> build(std::string const&dynamic_order_type) const;
+
+   std::vector<api::orderman::DynamicOrderDescriptor> get_all_dynamic_order_types() const;
+private:
+   struct PImpl;
+   std::unique_ptr <PImpl> me;
+};
+
+}}
@@ -1,24 +1,25 @@
 #include "OrderFactory.h"
 #include "lib/api/services/OrderService.pb.h"
 #include "lib/logging/logging.h"
+#include "lib/orderman/orderman_utils/ExecutionReport.h"
+#include "lib/orderman/orders/PreActivationOrderServices.h"
 #include "lib/utils/Puid.h"
 #include "lib/utils/SpinLock.h"
 #include "lib/utils/bts_assert.h"
-#include "lib/orderman/orderman_utils/ExecutionReport.h"
-#include "lib/orderman/orders/PreActivationOrderServices.h"

 // order types
+#include "lib/orderman/order_factory/DynamicOrderRegistry.h"
+#include "lib/orderman/orders/DynamicOrder.h"
 #include "lib/orderman/orders/IcebergOrder.h"
-#include "lib/orderman/orders/spreader_orders/SpreaderOrder.h"
 #include "lib/orderman/orders/NativeOrder.h"
 #include "lib/orderman/orders/TimeBoxOrder.h"
-#include "lib/orderman/orders/book_algos/TickOrder.h"
-#include "lib/orderman/orders/book_algos/LeanOrder.h"
-#include "lib/orderman/orders/book_algos/JoinOrder.h"
-#include "lib/orderman/orders/book_algos/TopOrder.h"
-#include "lib/orderman/orders/book_algos/CoverOrder.h"
 #include "lib/orderman/orders/TriggerOrder.h"
-#include "lib/orderman/orders/DynamicOrder.h"
+#include "lib/orderman/orders/book_algos/CoverOrder.h"
+#include "lib/orderman/orders/book_algos/JoinOrder.h"
+#include "lib/orderman/orders/book_algos/LeanOrder.h"
+#include "lib/orderman/orders/book_algos/TickOrder.h"
+#include "lib/orderman/orders/book_algos/TopOrder.h"
+#include "lib/orderman/orders/spreader_orders/SpreaderOrder.h"

 #include <limits>
 #include <mutex>
@@ -48,16 +49,20 @@ OrderKey gen_order_id() {
 }

 struct OrderFactory::PImpl {
-   PImpl(securities::ISecurityDB &db,OrderRouter const&router)
-      : my_orders(), sec_db(db), router(router){}
+   PImpl(securities::ISecurityDB &db, OrderRouter const &router,
+         DynamicOrderRegistry const &dr)
+       : my_orders(), sec_db(db), router(router), dynamic_order_registry(dr) {}

   std::vector<std::unique_ptr<Order>> my_orders;
   securities::ISecurityDB &sec_db;
-   OrderRouter const&router;
+   OrderRouter const &router;
+   DynamicOrderRegistry const &dynamic_order_registry;
 };

-OrderFactory::OrderFactory(securities::ISecurityDB &db, OrderRouter const&router)
-    : me(new PImpl(db, router)) {}
+OrderFactory::OrderFactory(securities::ISecurityDB &db,
+                           OrderRouter const &router,
+                           DynamicOrderRegistry const &registry)
+    : me(new PImpl(db, router, registry)) {}

 OrderFactory::~OrderFactory() {}

@@ -66,8 +71,8 @@ Order &OrderFactory::create(OrderKey parent,
   auto k = gen_order_id();
   auto pk = parent;
   auto &order = allocate(k, pk, def);
-      order.on_init_new(def,
-                         PreActivationOrderServices{me->sec_db, *this,me->router});
+   order.on_init_new(def,
+                     PreActivationOrderServices{me->sec_db, *this, me->router});
   return order;
 }

@@ -76,7 +81,7 @@ Order &OrderFactory::recover(api::orderman::OrderRecord const &rec) {
   auto pk = OrderKey(rec.parent_key());
   auto &order = allocate(k, pk, rec.def());
   order.on_init_recovered(
-      rec, PreActivationOrderServices{me->sec_db, *this,me->router});
+       rec, PreActivationOrderServices{me->sec_db, *this, me->router});
   return order;
 }

@@ -90,7 +95,7 @@ Order &OrderFactory::recreate_from_exe_report(ExecutionReport const &r) {
   case NATIVE_ORDER_TYPE_STOP_LIMIT: {
      auto native_order = std::make_unique<NativeOrder>();
      native_order->on_init_from_exe_report(
-         r, PreActivationOrderServices{me->sec_db, *this,me->router});
+          r, PreActivationOrderServices{me->sec_db, *this, me->router});
      native_order->_key = r.order_key;
      native_order->_parent_key = null_order_key();
      me->my_orders.emplace_back();
@@ -122,32 +127,40 @@ Order &OrderFactory::allocate(OrderKey k, OrderKey pk,
      order_ptr.reset(new IcebergOrder());
      break;
   case CustomOrderDefinition::kSpreader:
-      order_ptr.reset (new orderman::SpreaderOrder());
+      order_ptr.reset(new orderman::SpreaderOrder());
      break;
   case CustomOrderDefinition::kTimeBox:
-      order_ptr.reset (new orderman::TimeBoxOrder());
+      order_ptr.reset(new orderman::TimeBoxOrder());
      break;
   case CustomOrderDefinition::kTick:
-      order_ptr.reset (new orderman::TickOrder());
+      order_ptr.reset(new orderman::TickOrder());
      break;
   case CustomOrderDefinition::kLean:
-      order_ptr.reset (new orderman::LeanOrder());
-      break;      
+      order_ptr.reset(new orderman::LeanOrder());
+      break;
   case CustomOrderDefinition::kJoin:
-      order_ptr.reset (new orderman::JoinOrder());
+      order_ptr.reset(new orderman::JoinOrder());
      break;
   case CustomOrderDefinition::kTop:
-      order_ptr.reset (new orderman::TopOrder());
+      order_ptr.reset(new orderman::TopOrder());
      break;
   case CustomOrderDefinition::kTrigger:
-      order_ptr.reset (new orderman::TriggerOrder());
+      order_ptr.reset(new orderman::TriggerOrder());
      break;
   case CustomOrderDefinition::kCover:
-      order_ptr.reset (new orderman::CoverOrder());
-      break;      
-   case CustomOrderDefinition::kDynamic:
-      order_ptr.reset (new orderman::DynamicOrder());
+      order_ptr.reset(new orderman::CoverOrder());
      break;
+   case CustomOrderDefinition::kDynamic: {
+      order_ptr = me->dynamic_order_registry.build(
+          def.custom_def().dynamic().dynamic_order_type());
+      if (!order_ptr) {
+         // the default dynamic order is empty and will transition
+         // immediately to an error state, so we use it when we cannot
+         // resolve the requested type
+         order_ptr.reset(new orderman::DynamicOrder());
+      }
+      break;
+   }
   case CustomOrderDefinition::CUSTOM_NOT_SET:
      bts_assert(false);
      break;
@@ -156,5 +169,5 @@ Order &OrderFactory::allocate(OrderKey k, OrderKey pk,
   order_ptr->_parent_key = pk;
   return *order_ptr;
 }
-}
-}
+} // namespace orderman
+} // namespace bts
@@ -11,7 +11,8 @@ class ISecurityDB;
 }
 namespace orderman {
 class Order;
-}
+class DynamicOrderRegistry;
+} // namespace orderman
 namespace orderman {
 class OrderRouter;
 }
@@ -32,7 +33,8 @@ namespace orderman {

 class OrderFactory : public IOrderFactory {
 public:
-   OrderFactory(securities::ISecurityDB &db, OrderRouter const &router);
+   OrderFactory(securities::ISecurityDB &db, OrderRouter const &router,
+                DynamicOrderRegistry const &dynamic_order_reg);
   ~OrderFactory();

   Order &create(OrderKey parent,
@@ -15,7 +15,6 @@ struct DynamicOrder::PImpl {
   api::orderman::OrderState state;
 };

-
 DynamicOrder::DynamicOrder() : me(new PImpl()) {}

 DynamicOrder::~DynamicOrder() {}
@@ -27,13 +26,14 @@ api::orderman::OrderDefinition const &DynamicOrder::definition() const {
 void DynamicOrder::on_init_new(api::orderman::OrderDefinition const &def,
                               const PreActivationOrderServices &) {
   me->def = def;
-   me->state.mutable_trigger();
+   me->state.mutable_dynamic();

   auto const &dynamic_def = def.custom_def().dynamic();
-   auto msg = fmt::format("Could not find implementation for dynamic order type {}",
-                          dynamic_def.dynamic_order_type());
+   auto msg =
+       fmt::format("Could not find implementation for dynamic order type {}",
+                   dynamic_def.dynamic_order_type());
+   me->state.set_status(ORDER_STATUS_REJECTED_BY_SPARK);
   me->state.set_last_msg(msg);
-   transition(ORDER_STATUS_REJECTED_BY_SPARK, msg);
 }

 void DynamicOrder::on_init_recovered(api::orderman::OrderRecord const &rec,
@@ -41,35 +41,21 @@ void DynamicOrder::on_init_recovered(api::orderman::OrderRecord const &rec,
   auto const &def = rec.def();
   me->def = def;
   me->state = rec.state();
-   auto msg = fmt::format("Could not find implementation for dynamic order type {}",
-                          def.custom_def().dynamic().dynamic_order_type());
-   transition(ORDER_STATUS_ERROR, msg);
-}
-
-void DynamicOrder::on_activate(Price , Quantity , OrderServices &services,
-                               PerfTrace const&) {
-   bts_assert(!me->services);
-   me->services = &services;
-   report_state();
-}
-
-void DynamicOrder::on_update(Price , Quantity , PerfTrace const&) {}
-void DynamicOrder::on_crack(PerfTrace const&) {}
-void DynamicOrder::on_cancel(PerfTrace const&) {}
-
-void DynamicOrder::transition(api::orderman::OrderStatus new_status,
-                              std::string const &msg) {
-   auto const &from = OrderStatus_Name(me->state.status());
-   auto const &to = OrderStatus_Name(new_status);
-   LOG(OrderMan, Info, "Transitioning dynamic  order {} from {} to {}. Msg: {}",
-       key().value(), from, to, msg);
+   auto msg =
+       fmt::format("Could not find implementation for dynamic order type {}",
+                   def.custom_def().dynamic().dynamic_order_type());
+   me->state.set_status(ORDER_STATUS_REJECTED_BY_SPARK);
   me->state.set_last_msg(msg);
-   me->state.set_status(new_status);
 }

-void DynamicOrder::report_state() {
-   me->services->report_state(me->state);
+void DynamicOrder::on_activate(Price, Quantity, OrderServices &services,
+                               PerfTrace const &) {
+   services.report_state(me->state);
 }

+void DynamicOrder::on_update(Price, Quantity, PerfTrace const &) {}
+void DynamicOrder::on_crack(PerfTrace const &) {}
+void DynamicOrder::on_cancel(PerfTrace const &) {}
+
 } // namespace orderman
 } // namespace bts
@@ -25,8 +25,6 @@ public:
   void on_cancel(PerfTrace const&) override ;

 private:
-   void report_state();
-   void transition(api::orderman::OrderStatus new_state,std::string const&msg);
   struct PImpl;
   std::unique_ptr<PImpl> me;
 };
@@ -1,13 +0,0 @@
-.separator ","
-create table trace (md integer,spreader_on_book integer,event_type text,md_src integer,event_id integer,spreader_modify_order integer,order_update integer,fix_socket_r integer,spreader_on_child_order_update integer,md_sn integer,s2s_us integer,fix_socket_w integer,exe_gw integer);
-.import trace.csv trace
-create view tick_to_order as select 
-    event_id,
-    (fix_socket_w - md) / 1000 total, 
-    (md_src-md)/1000 md_to_md_src, 
-    (spreader_on_book-md_src)/1000 md_src_to_spreader, 
-    (spreader_modify_order-spreader_on_book)/1000 spreader_on_book_to_modify_order, 
-    (order_update-spreader_modify_order)/1000 spreader_modify_order_to_native_order, 
-    (exe_gw-order_update)/1000 native_order_to_gw,
-    (fix_socket_w - exe_gw)/1000 gw_to_socket 
-    from trace where md<>0 and total < 3000 and spreader_modify_order<>0;
@@ -10,7 +10,8 @@ def gen_create_table(d,t):
    fields = [ "%s integer" % k if isinstance (v,int) else "%s text" % k for (k,v) in d.iteritems()]
    print ".separator \",\"\ncreate table trace (%s);" % ",".join(fields)
    print ".import %s trace" % t
-    print '''create view tick_to_order as select 
+    print '''
+create view tick_to_order as select 
    event_id,
    order_key,
    (fix_socket_w - md) / 1000 total, 
@@ -19,8 +20,21 @@ def gen_create_table(d,t):
    (spreader_modify_order-spreader_on_book)/1000 spreader_on_book_to_modify_order, 
    (order_update-spreader_modify_order)/1000 spreader_modify_order_to_native_order, 
    (exe_gw-order_update)/1000 native_order_to_gw,
-    (fix_socket_w - exe_gw)/1000 gw_to_socket 
-    from trace where md<>0 and total < 3000 and spreader_modify_order<>0;'''
+    (fix_socket_w - exe_gw)/1000 gw_to_socket
+    from trace where md<>0 and total < 3000 and spreader_modify_order<>0;
+
+create view tick_to_order_perc as select 
+    event_id,
+    total,
+    round(100.0*md_to_md_src/total) md_to_md_src , 
+    round(100.0*md_src_to_spreader/total) md_src_to_spreader , 
+    round(100.0*spreader_on_book_to_modify_order/total) spreader_on_book_to_modify_order , 
+    round(100.0*spreader_modify_order_to_native_order/total) spreader_modify_order_to_native_order , 
+    round(100.0*native_order_to_gw/total) native_order_to_gw , 
+    round(100.0*gw_to_socket/total) gw_to_socket
+from tick_to_order;
+
+'''

 def gen_insert(d):
    values = [ "%s" % v if isinstance (v,int) else "'%s'" % v for v in d.values()]
@@ -16,7 +16,10 @@
 #include "lib/orderman/actors/SecuritySrc.h"
 #include "lib/orderman/actors/ServiceBridge.h"
 #include "lib/orderman/actors/order_manager/OrderManager.h"
+#include "lib/orderman/order_factory/DynamicOrderRegistry.h"
 #include "lib/utils/bts_chrono.h"
+#include "lib/plugin/plugin.h"
+#include "lib/plugin/SparkServices.h"

 namespace bts {
 namespace orderman {
@@ -24,6 +27,7 @@ namespace orderman {
 struct OrderServiceServer::PImpl {
   PImpl(bts::api::ServiceContext &ctx,
         std::shared_ptr<api::ISyntheticSecurityService> &ss,
+         DynamicOrderRegistry const &d,
         metrics::MetricsContainer &stats)
       : fast_broker(std::make_shared<mercury::AsyncEventBroker>()),
         slow_broker(std::make_shared<mercury::AsyncEventBroker>()),
@@ -31,7 +35,7 @@ struct OrderServiceServer::PImpl {
         fast_thread(), slow_thread(), service_ready(false), known_orders(),
         known_fills(), publish_orders(), publish_fills(),
         admin_service(ctx.locate<api::admin::AdminService>()), md_consumer(ss),
-         stats(stats) {}
+         stats(stats), dyn_order_registry(d) {}

   std::shared_ptr<mercury::AsyncEventBroker> fast_broker;
   std::shared_ptr<mercury::AsyncEventBroker> slow_broker;
@@ -49,14 +53,16 @@ struct OrderServiceServer::PImpl {
   api::admin::AdminService admin_service;
   bts::md::MDConsumer md_consumer;
   metrics::MetricsContainer &stats;
+   DynamicOrderRegistry const &dyn_order_registry;
 };

 OrderServiceServer::OrderServiceServer(
    bts::api::ServiceContext &ctx,
    std::shared_ptr<api::ISyntheticSecurityService> &ss,
+    DynamicOrderRegistry const&d,
    metrics::MetricsContainer &stats)
-    : api::orderman::OrderServiceBase(ctx), me(new PImpl(ctx, ss, stats)) {
-
+   : api::orderman::OrderServiceBase(ctx), me(new PImpl(ctx, ss, d,stats)) {
+   
   me->publish_orders = make_orders_publisher();
   me->publish_fills = make_fills_publisher();

@@ -69,18 +75,20 @@ OrderServiceServer::OrderServiceServer(

       [this, &ctx](auto const &fill) {
          ctx.post([this, fill] { this->on_fills(fill); });
-       });
+       },
+
+       me->dyn_order_registry);

   me->fast_broker->init_neighbours({me->slow_broker});
   me->slow_broker->init_neighbours({me->fast_broker});

   // fast actors
   me->fast_exe.spawn<MDSource>(me->md_consumer, me->stats);
-   me->fast_exe.spawn<OrderManager>();
+   me->fast_exe.spawn<OrderManager>(me->dyn_order_registry);

   auto &all_connections = config::get<config::JetFIX>().connection();
   for (auto const &c : all_connections)
-      me->fast_exe.spawn<ExecutionGateway>(c,stats);
+      me->fast_exe.spawn<ExecutionGateway>(c, stats);

   me->fast_thread = std::thread([this]() {
      os::set_thread_name("fast_exe");
@@ -105,7 +113,7 @@ OrderServiceServer::OrderServiceServer(
   // slow actors
   me->slow_exe.activate(me->service_bridge);
   me->slow_exe.spawn<mercury::Timer>();
-   me->slow_exe.spawn<AsyncFactory>();
+   me->slow_exe.spawn<AsyncFactory>(me->dyn_order_registry);
   me->slow_exe.spawn<OrderStore>();
   me->slow_exe.spawn<FillStore>();
   me->slow_exe.spawn<SecuritySrc>(me->md_consumer);
@@ -225,5 +233,17 @@ void OrderServiceServer::crack_order(
      response = me->service_bridge->crack_order(crack);
   r(response);
 }
+
+void OrderServiceServer::get_registered_dynamic_order_types(
+    const api::VoidMessage &,
+    const api::Response<api::orderman::RegisteredDynamicOrderTypes> &r) {
+   api::orderman::RegisteredDynamicOrderTypes response;
+
+   auto all_orders = me->dyn_order_registry.get_all_dynamic_order_types();
+   for (auto const &desc : all_orders)
+      *response.add_dynamic_order_desc() = desc;
+   r(response);
+}
+
 } // namespace orderman
 } // namespace bts
@@ -1,39 +1,47 @@
 #pragma once

-#include <memory>
 #include "lib/api/services/OrderService.pb.h"
 #include "lib/api/services/OrderService.server.pb.h"
 #include "lib/mercury/mercury_utils/IPollableActor.h"
+#include <memory>

 namespace bts {
-namespace api { class ISyntheticSecurityService; }
-namespace metrics {class MetricsContainer;}
+namespace api {
+class ISyntheticSecurityService;
+}
+namespace metrics {
+class MetricsContainer;
+}
 namespace orderman {
+class DynamicOrderRegistry;

-
-class OrderServiceServer  : public api::orderman::OrderServiceBase
-{
-public:
-   OrderServiceServer (bts::api::ServiceContext& context,
-                       std::shared_ptr<api::ISyntheticSecurityService>&,
-                       metrics::MetricsContainer &);
+class OrderServiceServer : public api::orderman::OrderServiceBase {
+ public:
+   OrderServiceServer(bts::api::ServiceContext &context,
+                      std::shared_ptr<api::ISyntheticSecurityService> &,
+                      DynamicOrderRegistry const&,
+                      metrics::MetricsContainer &);
   ~OrderServiceServer();

-   void create_order(const api::orderman::Create&,
-                     const api::Response<api::orderman::Response>&) override;
-   void cancel_order(const api::orderman::Cancel&,
-                     const api::Response<api::orderman::Response>&) override;
-   void update_order(const api::orderman::Update&,
-                     const api::Response<api::orderman::Response>&) override;
-   void crack_order(const api::orderman::Crack&,
-                    const api::Response<api::orderman::Response>& ) override;
-private:
+   void create_order(const api::orderman::Create &,
+                     const api::Response<api::orderman::Response> &) override;
+   void cancel_order(const api::orderman::Cancel &,
+                     const api::Response<api::orderman::Response> &) override;
+   void update_order(const api::orderman::Update &,
+                     const api::Response<api::orderman::Response> &) override;
+   void crack_order(const api::orderman::Crack &,
+                    const api::Response<api::orderman::Response> &) override;
+   void get_registered_dynamic_order_types(
+       const api::VoidMessage &,
+       const api::Response<api::orderman::RegisteredDynamicOrderTypes> &)
+       override;
+
+ private:
   struct PImpl;
   std::unique_ptr<PImpl> me;
-   void on_orders(std::vector<api::orderman::OrderRecord> const&);
-   void on_fills (std::vector<api::orderman::Fill> const&);
+   void on_orders(std::vector<api::orderman::OrderRecord> const &);
+   void on_fills(std::vector<api::orderman::Fill> const &);
 };

-
-
-}}
+} // namespace orderman
+} // namespace bts
@@ -0,0 +1,26 @@
+#include "SparkServices.h"
+#include "lib/orderman/order_factory/DynamicOrderRegistry.h"
+
+namespace bts {
+
+using namespace orderman;
+
+struct SparkServices::PImpl {
+   PImpl(orderman::DynamicOrderRegistry &r) : dyn_order_registry(r) {}
+   DynamicOrderRegistry &dyn_order_registry;
+};
+
+SparkServices::SparkServices(orderman::DynamicOrderRegistry &r)
+    : me(new PImpl(r)) {}
+
+SparkServices::~SparkServices() {}
+
+void SparkServices::register_dynamic_order(
+    api::orderman::DynamicOrderDescriptor const &desc,
+    std::function<std::unique_ptr<DynamicOrder>()> const &builder) {
+   me->dyn_order_registry.register_dynamic_order(desc, builder);
+}
+
+extern "C" void initialize_spark_plugin(SparkServices &) {}
+
+} // namespace bts
@@ -0,0 +1,28 @@
+#pragma once
+
+#include "lib/api/services/OrderService.pb.h"
+#include <functional>
+#include <memory>
+#include <string>
+
+namespace bts {
+
+namespace orderman {
+class DynamicOrder;
+class DynamicOrderRegistry;
+} // namespace orderman
+
+class SparkServices {
+ public:
+   SparkServices(orderman::DynamicOrderRegistry &);
+   ~SparkServices();
+
+   void register_dynamic_order(
+       api::orderman::DynamicOrderDescriptor const &desc,
+       std::function<std::unique_ptr<orderman::DynamicOrder>()> const &builder);
+
+ private:
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+};
+} // namespace bts
@@ -0,0 +1,50 @@
+#include "lib/logging/logging.h"
+#include "lib/logging/logging.h"
+#include "lib/orderman/actors/order_manager/OrderBuilder.h"
+#include "lib/utils/PBUtils.h"
+#include "lib/plugin/SparkServices.h"
+
+#include <algorithm>
+#include <boost/dll.hpp>
+#include <boost/filesystem.hpp>
+
+
+namespace bts {
+namespace plugin {
+
+using namespace bts::orderman;
+
+void init_plugins(SparkServices &services) {
+
+   static std::vector<decltype (boost::dll::import<void (SparkServices&)>(boost::filesystem::path(),""))> keep_alive;
+   
+   auto plugin_path = os::sparkd_wd() + "/plugins/";
+   if (!boost::filesystem::is_directory(plugin_path)) {
+      LOG(Plugin, Info,
+          "No plugin directory found at {}. Skipping plugin loading",
+          plugin_path);
+      return;
+   }
+
+   boost::filesystem::directory_iterator end;
+   for (auto iter = boost::filesystem::directory_iterator(plugin_path);
+        iter != end; ++iter) {
+      auto &f = *iter;
+
+      auto pl = f.path().string();
+      LOG(Plugin, Info, "Attempting to initialize plugin {}", pl);
+      try {
+         auto init_plugin = boost::dll::import<void(SparkServices &)>(
+             f.path(), "init_spark_plugin");
+         init_plugin(services);
+         keep_alive.push_back(init_plugin);
+         LOG(Plugin, Info, "Successfully initialized plugin {}", pl);
+      } catch (boost::system::system_error const &e) {
+         LOG(Plugin, Error,
+             "Failed to initialize plugin {}. Error: {} (OS error code: {})",
+             pl, std::string(e.what()), e.code());
+      }
+   }
+}
+} // namespace plugin
+} // namespace bts
@@ -0,0 +1,7 @@
+#pragma once
+
+namespace bts {
+class SparkServices;
+namespace plugin {
+void init_plugins(SparkServices &);
+}}
@@ -7,8 +7,9 @@ add_custom_command(OUTPUT ${CMAKE_BINARY_DIR}/sdk
  COMMENT "Building SDK"
  DEPENDS
  ${CMAKE_CURRENT_SOURCE_DIR}/make_sdk.sh
-  ${CMAKE_CURRENT_SOURCE_DIR}/example/build_example.sh
-  ${CMAKE_CURRENT_SOURCE_DIR}/example/example.cpp
+  ${CMAKE_CURRENT_SOURCE_DIR}/examples/build_examples.sh
+  ${CMAKE_CURRENT_SOURCE_DIR}/examples/md_publisher_example.cpp
+  ${CMAKE_CURRENT_SOURCE_DIR}/examples/order_plugin_example.cpp
  server_layout)

 add_custom_target(sdk_dir ALL DEPENDS ${CMAKE_BINARY_DIR}/sdk)
@@ -1,13 +0,0 @@
-#!/bin/bash
-
-g++ -isystem ../externals/include \
-    -I ../include \
-    -I ../include/spark \
-    -o example \
-    example.cpp \
-    -Wl,-rpath,../lib \
-    -L ../lib  \
-    -l spark \
-    -llttng-ust \
-    -ldl
-    
@@ -0,0 +1,24 @@
+#!/bin/bash
+
+g++ -isystem ../externals/include \
+    -I ../include \
+    -I ../include/spark \
+    -o md_publisher_example \
+    md_publisher_example.cpp \
+    -Wl,-rpath,../lib \
+    -L ../lib  \
+    -l spark \
+    -llttng-ust \
+    -ldl
+    
+g++ -isystem ../externals/include \
+    -I ../include \
+    -I ../include/spark \
+    -fPIC \
+    -g \
+    -shared \
+    -o order_plugin_example.so \
+    order_plugin_example.cpp \
+    -Wl,-rpath,.. \
+    -L ../lib  \
+    -l spark 
@@ -0,0 +1,385 @@
+#include "spark/lib/logging/logging.h"
+#include "spark/lib/orderman/orders/DynamicOrder.h"
+#include "spark/lib/plugin/SparkServices.h"
+#include "spark/lib/orderman/actors/order_manager/ChildOrder.h"
+#include "spark/lib/orderman/actors/order_manager/OrderBuilder.h"
+#include "spark/lib/orderman/orders/DynamicOrder.h"
+#include "spark/lib/utils/PBUtils.h"
+
+using namespace bts::api::orderman;
+using namespace bts::orderman;
+
+namespace bts {
+namespace order_example {
+
+class DynamicIcebergOrder : public DynamicOrder {
+ public:
+   DynamicIcebergOrder();
+   ~DynamicIcebergOrder();
+   OrderDefinition const &definition() const override;
+   void on_init_new(OrderDefinition const &,
+                    const PreActivationOrderServices &) override;
+   void on_init_recovered(OrderRecord const &,
+                          const PreActivationOrderServices &) override;
+   void on_activate(Price, Quantity, OrderServices &,
+                    PerfTrace const &) override;
+   void on_update(Price, Quantity, PerfTrace const &) override;
+   void on_crack(PerfTrace const &) override;
+   void on_cancel(PerfTrace const &) override;
+
+ private:
+   void report_state();
+   void send_next_child_order();
+
+   void merge_states(OrderState const &iceberg_state,
+                     OrderState const &child_state, OrderState *merged);
+
+   void on_child_order_update(OrderStateUpdateEvent const &);
+   void transition(OrderStatus new_state, std::string const &msg);
+   void transition(OrderStatus new_state);
+
+   struct ActiveChild;
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+};
+
+struct DynamicIcebergOrder::ActiveChild {
+   ActiveChild() {}
+   ChildOrder order;
+   api::orderman::OrderState state;
+   void clear() { state = api::orderman::OrderState(); }
+};
+
+struct DynamicIcebergOrder::PImpl {
+   PImpl() : services(nullptr), child() {}
+
+   OrderServices *services;
+   api::orderman::OrderDefinition def;
+   api::orderman::OrderState state;
+   OrderBuilder child_builder;
+   ActiveChild child;
+   Quantity show_quantity;
+};
+
+DynamicIcebergOrder::DynamicIcebergOrder() : me(new PImpl()) {}
+DynamicIcebergOrder::~DynamicIcebergOrder() {}
+api::orderman::OrderDefinition const &DynamicIcebergOrder::definition() const {
+   return me->def;
+}
+
+void DynamicIcebergOrder::on_init_new(
+    api::orderman::OrderDefinition const &def,
+    const PreActivationOrderServices &services) {
+   me->def = def;
+   me->state.mutable_dynamic();
+
+   auto const &iceberg_def = def.custom_def().dynamic();
+   me->show_quantity =
+       Quantity(iceberg_def.order_params().at("show_size").as_uint32());
+
+   auto child_def = def;
+   *child_def.mutable_custom_def() =
+       iceberg_def.order_params().at("child").as_order_def();
+   if (me->show_quantity.value() != 0) {
+      me->child_builder = OrderBuilder(
+          key(), child_def, services,
+          std::max((size_t)1, (size_t)(me->show_quantity).value() / 10));
+      transition(ORDER_STATUS_INACTIVE);
+   } else {
+      auto msg = fmt::format("Show quantity must be greater than 0");
+      me->state.set_last_msg(msg);
+      transition(ORDER_STATUS_REJECTED_BY_SPARK, msg);
+   }
+}
+
+void DynamicIcebergOrder::on_init_recovered(
+    api::orderman::OrderRecord const &rec, const PreActivationOrderServices &) {
+   auto const &def = rec.def();
+   me->def = def;
+   me->state = rec.state();
+
+   switch (me->state.status()) {
+
+   case ORDER_STATUS_WORKING:
+   case ORDER_STATUS_DISCONNECTED: {
+      auto msg = "System restarted with active iceberg order";
+      me->state.set_last_msg(msg);
+      transition(ORDER_STATUS_ERROR, msg);
+      break;
+   }
+   // terminal states
+   case ORDER_STATUS_ERROR:
+   case ORDER_STATUS_REJECTED_BY_SPARK:
+   case ORDER_STATUS_COMPLETED:
+   case ORDER_STATUS_CANCELED:
+      break;
+
+   case ORDER_STATUS_PENDING_WORKING:
+   case ORDER_STATUS_INACTIVE:
+   case OrderStatus_INT_MIN_SENTINEL_DO_NOT_USE_:
+   case OrderStatus_INT_MAX_SENTINEL_DO_NOT_USE_:
+      bts_assert(false);
+      break;
+   }
+}
+
+void DynamicIcebergOrder::on_activate(Price p, Quantity q,
+                                      OrderServices &services,
+                                      PerfTrace const &) {
+   bts_assert(!me->services);
+   me->services = &services;
+   me->child_builder.activate(services);
+
+   switch (me->state.status()) {
+   case ORDER_STATUS_INACTIVE:
+      me->state.set_price(p.value());
+      me->state.set_quantity(q.value());
+      services.child_updates.sub(
+          key(), [this](auto const &os) { this->on_child_order_update(os); });
+      transition(ORDER_STATUS_WORKING);
+      send_next_child_order();
+      break;
+
+   // these are not possible since the on_init_recovered code
+   // would have transitioned us to error already
+   case ORDER_STATUS_WORKING:
+   case ORDER_STATUS_PENDING_WORKING:
+   case ORDER_STATUS_DISCONNECTED: {
+      bts_assert(false);
+      break;
+   }
+   // terminal states
+   case ORDER_STATUS_ERROR:
+   case ORDER_STATUS_REJECTED_BY_SPARK:
+   case ORDER_STATUS_COMPLETED:
+   case ORDER_STATUS_CANCELED:
+      break;
+   case OrderStatus_INT_MIN_SENTINEL_DO_NOT_USE_:
+   case OrderStatus_INT_MAX_SENTINEL_DO_NOT_USE_:
+      bts_assert(false);
+      break;
+   }
+   report_state();
+}
+
+void DynamicIcebergOrder::on_update(Price p, Quantity q, PerfTrace const &) {
+   switch (me->state.status()) {
+   case ORDER_STATUS_WORKING:
+   case ORDER_STATUS_PENDING_WORKING:
+      LOG(Plugin, Info,
+          "Updating DynamicIceberg order {} to price {} quantity {}",
+          key().value(), p.value(), q.value());
+      me->state.set_price(p.value());
+      me->state.set_quantity(q.value());
+      break;
+   case ORDER_STATUS_DISCONNECTED:
+   case ORDER_STATUS_REJECTED_BY_SPARK:
+   case ORDER_STATUS_COMPLETED:
+   case ORDER_STATUS_CANCELED:
+   case ORDER_STATUS_ERROR:
+      transition(me->state.status(), "Cannot update order");
+      break;
+
+   case ORDER_STATUS_INACTIVE:
+   case OrderStatus_INT_MIN_SENTINEL_DO_NOT_USE_:
+   case OrderStatus_INT_MAX_SENTINEL_DO_NOT_USE_:
+      bts_assert(false);
+      break;
+   }
+   report_state();
+}
+
+void DynamicIcebergOrder::on_crack(PerfTrace const &) {}
+
+void DynamicIcebergOrder::on_cancel(PerfTrace const &) {
+   switch (me->state.status()) {
+   case ORDER_STATUS_WORKING:
+      LOG(Plugin, Info, "Canceling DynamicIceberg Order {}", key().value());
+      me->child.order.cancel();
+      transition(ORDER_STATUS_CANCELED);
+      break;
+   case ORDER_STATUS_PENDING_WORKING:
+   case ORDER_STATUS_DISCONNECTED:
+   case ORDER_STATUS_REJECTED_BY_SPARK:
+   case ORDER_STATUS_COMPLETED:
+   case ORDER_STATUS_CANCELED:
+   case ORDER_STATUS_ERROR:
+      transition(me->state.status(), "Cannot cancel order");
+      break;
+
+   case ORDER_STATUS_INACTIVE:
+   case OrderStatus_INT_MIN_SENTINEL_DO_NOT_USE_:
+   case OrderStatus_INT_MAX_SENTINEL_DO_NOT_USE_:
+      bts_assert(false);
+      break;
+   }
+   report_state();
+}
+
+void DynamicIcebergOrder::report_state() {
+   if (me->child.state.filled_quantity()) {
+      api::orderman::OrderState merged_state;
+      merge_states(me->state, me->child.state, &merged_state);
+      me->services->report_state(merged_state);
+   } else
+      me->services->report_state(me->state);
+}
+
+void DynamicIcebergOrder::merge_states(
+    api::orderman::OrderState const &iceberg_state,
+    api::orderman::OrderState const &child_state,
+    api::orderman::OrderState *merged) {
+   auto child_order_fills = child_state.filled_quantity();
+   auto child_order_avg_price = child_state.avg_price();
+   auto child_order_last_price = child_state.last_price();
+
+   auto iceberg_fills = iceberg_state.filled_quantity();
+   auto iceberg_avg_price = iceberg_state.avg_price();
+
+   *merged = iceberg_state;
+   merged->set_filled_quantity(child_order_fills + iceberg_fills);
+   merged->set_last_price(child_order_last_price);
+   merged->set_avg_price((child_order_fills * child_order_avg_price +
+                          iceberg_fills * iceberg_avg_price) /
+                         (child_order_fills + iceberg_fills));
+}
+
+void DynamicIcebergOrder::send_next_child_order() {
+   bts_assert(me->state.quantity() > me->state.filled_quantity());
+
+   auto remaining = me->state.quantity() - me->state.filled_quantity();
+   auto to_send = std::min(remaining, me->show_quantity.value());
+   me->child.order = me->child_builder.build();
+   LOG(Plugin, Info,
+       "DynamicIceberg order {} creating new child order {} with size "
+       "{} price {}. Filled {} so far out of {}",
+       key().value(), me->child.order.key().value(), to_send, me->state.price(),
+       me->state.filled_quantity(), me->state.quantity());
+
+   me->child.order.activate(Price(me->state.price()), Quantity(to_send));
+}
+
+void DynamicIcebergOrder::on_child_order_update(
+    OrderStateUpdateEvent const &ev) {
+   switch (me->state.status()) {
+   case ORDER_STATUS_WORKING:
+      if (ev.key == me->child.order.key()) {
+         me->child.state = ev.state;
+
+         switch (ev.state.status()) {
+
+         case ORDER_STATUS_WORKING:
+         case ORDER_STATUS_PENDING_WORKING:
+            // nothing to do but report new state
+            break;
+
+         case ORDER_STATUS_COMPLETED: {
+            api::orderman::OrderState merged_state;
+            merge_states(me->state, me->child.state, &merged_state);
+            me->state = merged_state;
+            me->child.clear();
+            if (me->state.quantity() > me->state.filled_quantity())
+               send_next_child_order();
+            else
+               transition(ORDER_STATUS_COMPLETED);
+            break;
+         }
+
+         case ORDER_STATUS_CANCELED:
+            LOG(Plugin, Info,
+                "Unexpected cancel of child {} in DynamicIceberg Order {}. "
+                "Canceling parent",
+                ev.key.value(), key().value());
+            transition(ORDER_STATUS_CANCELED);
+            break;
+
+         case ORDER_STATUS_DISCONNECTED:
+         case ORDER_STATUS_REJECTED_BY_SPARK:
+         case ORDER_STATUS_ERROR:
+            me->child.clear();
+            transition(ORDER_STATUS_ERROR, "Unexpected child order state");
+            break;
+
+         case ORDER_STATUS_INACTIVE:
+         case OrderStatus_INT_MIN_SENTINEL_DO_NOT_USE_:
+         case OrderStatus_INT_MAX_SENTINEL_DO_NOT_USE_:
+            bts_assert(false);
+            break;
+         }
+
+      } else {
+         LOG(Plugin, Info,
+             "DynamicIceberg order {} received update for non active child "
+             "order{} . update state = {} ",
+             key().value(), me->child.order.key().value(),
+             utils::pb::to_string(ev.state));
+      }
+      break;
+
+   case ORDER_STATUS_CANCELED:
+   case ORDER_STATUS_ERROR:
+   case ORDER_STATUS_DISCONNECTED:
+   case ORDER_STATUS_COMPLETED:
+      break;
+
+   case ORDER_STATUS_PENDING_WORKING:
+   case ORDER_STATUS_REJECTED_BY_SPARK:
+   case ORDER_STATUS_INACTIVE:
+   case OrderStatus_INT_MIN_SENTINEL_DO_NOT_USE_:
+   case OrderStatus_INT_MAX_SENTINEL_DO_NOT_USE_:
+      bts_assert(false);
+      break;
+   }
+   report_state();
+}
+
+void DynamicIcebergOrder::transition(api::orderman::OrderStatus new_status,
+                                     std::string const &msg) {
+   auto const &from = OrderStatus_Name(me->state.status());
+   auto const &to = OrderStatus_Name(new_status);
+   LOG(Plugin, Info,
+       "Transitioning dynamic iceberg order {} from {} to {}. Msg: {}",
+       key().value(), from, to, msg);
+   me->state.set_last_msg(msg);
+   me->state.set_status(new_status);
+}
+
+void DynamicIcebergOrder::transition(api::orderman::OrderStatus new_status) {
+   auto const &from = OrderStatus_Name(me->state.status());
+   auto const &to = OrderStatus_Name(new_status);
+   LOG(OrderMan, Info, "Transitioning dynamic iceberg order {} from {} to {}",
+       key().value(), from, to);
+   me->state.set_status(new_status);
+}
+
+
+} // namespace order_example
+} // namespace bts
+
+DynamicOrderDescriptor get_dynamic_iceberg_order_desc()
+{
+   DynamicOrderDescriptor desc;
+
+   // order type name
+   desc.set_dynamic_order_type("DynamicIcebergOrder");
+
+   // show size
+   auto param = desc.add_param_desc();
+   param->set_param_name("show_size");
+   param->mutable_param_type()->set_primitive(DYNAMIC_ORDER_PRIMITIVE_UINT);
+
+   // child order
+   param = desc.add_param_desc();
+   param->set_param_name("child");
+   param->mutable_param_type()->set_primitive(DYNAMIC_ORDER_PRIMITIVE_ORDER_DEF);
+
+   return desc;
+}
+
+extern "C" void init_spark_plugin(bts::SparkServices &serv) {
+   using namespace bts;
+
+   serv.register_dynamic_order(get_dynamic_iceberg_order_desc(),
+                               []() { return std::make_unique<bts::order_example::DynamicIcebergOrder>(); });
+   LOG(Plugin,Info, "Initialized order_plugin_example.so");
+}
@@ -23,10 +23,10 @@ ln -sf $2/../../externals/linux/include $1/sdk/externals/include
 ln -sf $2/../../externals/linux/lib/Release $1/sdk/externals/lib

 ln -sf $1/server $1/sdk/lib
-mkdir $1/sdk/example
-cp $2/example/* $1/sdk/example
-ln -sf $1/sdk/lib/defaults $1/sdk/example/defaults
-chmod +x $1/sdk/example/build_example.sh
-(cd $1/sdk/example && ./build_example.sh && ./example >/dev/null && rm example)
+mkdir $1/sdk/examples
+cp $2/examples/* $1/sdk/examples
+ln -sf $1/sdk/lib/defaults $1/sdk/examples/defaults
+chmod +x $1/sdk/examples/build_examples.sh
+(cd $1/sdk/examples && ./build_examples.sh && ./md_publisher_example >/dev/null)


@@ -1,18 +0,0 @@
-#!/bin/bash
-if [ ! -f spark_sdk.tgz ]; then
-    wget http://jenkins/job/Spark_Server/lastSuccessfulBuild/artifact/spark_sdk_1909.tgz -O spark_sdk.tgz
-fi
-
-if [ ! -d spark_sdk ]; then
-    git clone git@bitbucket.org:bluetradesys/spark_sdk.git
-else
-    (cd spark_sdk && git pull)
-fi
-
-rm -rf new_sdk
-mkdir new_sdk
-(cd new_sdk && tar -xvzf ../spark_sdk.tgz)
-cp -R new_sdk/* spark_sdk
-
-# http://jenkins/job/Spark_Server/lastSuccessfulBuild/artifact/spark_server_1909.tgz
-# http://jenkins/job/Spark_Server/lastSuccessfulBuild/artifact/spark_sdk_1909.tgz
@@ -1 +1 @@
-set(sources bts_trace.cpp;cmds/AutoCert.cpp;cmds/Benchmark.cpp;cmds/CmdRegistry.cpp;cmds/ConfigCheck.cpp;cmds/Help.cpp;cmds/Md.cpp;cmds/QuickTest.cpp;cmds/Run.cpp;cmds/RunSim.cpp;cmds/Span.cpp;cmds/Test.cpp;cmds/TestCeloxica.cpp;cmds/Web.cpp;dspark/mirage/quick_queue/quick_queue.cpp;exchange_sim/ExchangeSim.cpp;exchange_sim/ExchangeSimApplication.cpp;exchange_sim/book/Book.cpp;exchange_sim/book/ExchangeSim.proto;exchange_sim/book/Order.cpp;exchange_sim/book/OrderMatcher.cpp;exchange_sim/book/book_transform.cpp;exchange_sim/tests/test_book_transform.cpp;http/ApiGateway.cpp;http/WebServer.cpp;main.cpp;md/platforms/celoxica/CXListener.cpp;md/platforms/celoxica/CXMain.cpp;md/platforms/celoxica/tests/cx_tests.cpp;md/platforms/mdp3_onixs/MDP3Listener.cpp;md/platforms/mdp3_onixs/MDP3Main.cpp;md/platforms/mdp3_onixs/tests/mdp3_tests.cpp;md/run_md.cpp;position/IMarginObserver.cpp;position/IPositionObserver.cpp;position/MarginServiceCore.cpp;position/PositionServiceCore.cpp;position/PositionServiceServer.cpp;position/tests/PositionTests.cpp;support/ErrorReportService.cpp;support/ShellLatencyServer.cpp;user/AdminServiceServer.cpp;user/UserServiceServer.cpp;user/tests/admin_service_tests.cpp)
+set(sources bts_trace.cpp;cmds/AutoCert.cpp;cmds/Benchmark.cpp;cmds/CmdRegistry.cpp;cmds/ConfigCheck.cpp;cmds/Help.cpp;cmds/Md.cpp;cmds/QuickTest.cpp;cmds/Run.cpp;cmds/RunSim.cpp;cmds/Span.cpp;cmds/Test.cpp;cmds/TestCeloxica.cpp;cmds/Web.cpp;dspark/mirage/quick_queue/quick_queue.cpp;exchange_sim/ExchangeSim.cpp;exchange_sim/ExchangeSimApplication.cpp;exchange_sim/book/Book.cpp;exchange_sim/book/ExchangeSim.proto;exchange_sim/book/Order.cpp;exchange_sim/book/OrderMatcher.cpp;exchange_sim/book/book_transform.cpp;exchange_sim/tests/test_book_transform.cpp;http/ApiGateway.cpp;http/WebServer.cpp;main.cpp;md/ChannelVolume.cpp;md/MarketDataAuxiliaryServiceServer.cpp;md/VolumeAtPriceState.cpp;md/platforms/celoxica/CXListener.cpp;md/platforms/celoxica/CXMain.cpp;md/platforms/celoxica/tests/cx_tests.cpp;md/platforms/mdp3_onixs/MDP3Listener.cpp;md/platforms/mdp3_onixs/MDP3Main.cpp;md/platforms/mdp3_onixs/tests/mdp3_tests.cpp;md/run_md.cpp;position/IMarginObserver.cpp;position/IPositionObserver.cpp;position/MarginServiceCore.cpp;position/PositionServiceCore.cpp;position/PositionServiceServer.cpp;position/tests/PositionTests.cpp;support/ErrorReportService.cpp;support/ShellLatencyServer.cpp;user/AdminServiceServer.cpp;user/UserServiceServer.cpp;user/tests/admin_service_tests.cpp)
@@ -21,8 +21,13 @@
 #include "lib/metrics/metrics.h"
 #include "lib/metrics/system_metrics.h"
 #include "server/sparkd/user/AdminServiceServer.h"
+#include "server/sparkd/md/MarketDataAuxiliaryServiceServer.h"
 #include "server/sparkd/user/UserServiceServer.h"
 #include "server/sparkd/position/PositionServiceServer.h"
+#include "lib/orderman/order_factory/DynamicOrderRegistry.h"
+#include "lib/plugin/SparkServices.h"
+#include "lib/plugin/plugin.h"
+#include "lib/config/protos/toggles.pb.h"

 #include "lib/md/relay/QueryServer.h"

@@ -36,6 +41,7 @@ int Run::execute(std::vector<std::string> const &) {
   LOG(Gen, Warn, "------------------------------------ Sparkd launched "
                  "--------------------------------");

+   
   config::QuickbusNodeCfg qb_cfg;
   auto& ports = config::get<config::Ports>();
   qb_cfg.set_my_port(ports.qbus_port());
@@ -53,9 +59,18 @@ int Run::execute(std::vector<std::string> const &) {
       std::make_shared<api::synthetic::SyntheticSecurityService>(sc);
   md::QueryServerPtr md_query_server(
       md::run_query_server(sc, synthetic_service, stats));
-   orderman::OrderServiceServer order_service_server(sc, synthetic_service,stats);
+
+   // initialize order plugins
+   orderman::DynamicOrderRegistry dyn_order_registry;
+   SparkServices plugin_services(dyn_order_registry);
+   plugin::init_plugins(plugin_services);
+   // finished initializing order plugins
+
+   orderman::OrderServiceServer order_service_server(sc, synthetic_service,dyn_order_registry,stats);
   support::ErrorReportServer error_report_service(sc);
   admin::AdminServiceServer admin_service(sc);
+   if(config::get<config::toggles::VolumeAtPrice>().enabled())
+      md::auxiliary::MarketDataAuxiliaryServiceServer md_aux_server(sc);
   position::PositionServiceServer position_service(sc);
   metrics::ShellLatencyServer shell_latency_service(sc, stats, utils::Dispatcher::background());

@@ -0,0 +1,50 @@
+#include "ChannelVolume.h"
+#include "lib/api/services/MarketDataRelay.pb.h"
+#include "lib/md/PriceSize.h"
+
+namespace bts{
+namespace md{
+namespace auxiliary{
+
+using namespace bts::co2;
+using namespace bts::api::md::auxiliary;
+
+ChannelVolume::ChannelVolume(SecurityChannel* channel)
+:
+_channel(channel){
+}
+
+const VolumeAtPriceLevel& ChannelVolume::add_trade(const TradeMessage& m,
+                                                   int& record_id){
+   auto price_map_it=_sec_map.find(m.key());
+   if(price_map_it==_sec_map.end()){
+      _sec_map[m.key()]=std::unordered_map<uint64_t,VolumeAtPriceLevel>();
+      price_map_it=_sec_map.find(m.key());
+   }
+   auto& price_map=price_map_it->second;
+   auto price_it=price_map.find(m.mantissa());
+   if(price_it==price_map.end()){
+      VolumeAtPriceLevel vol;
+      vol.set_record_id(record_id++);
+      vol.set_security_id(m.key());
+      auto p = md::PriceSize(m.mantissa(),m.exponent(),0);
+      vol.set_price(p.price());
+      price_map[m.mantissa()] = vol;
+      price_it=price_map.find(m.mantissa());
+   }
+   VolumeAtPriceLevel& vol=price_it->second;
+   vol.set_volume(vol.volume()+m.size());
+   return vol;
+}
+
+bool ChannelVolume::match_update(const SecurityChannel& channel){
+   if(_channel->type()==channel.type() &&
+      _channel->exchange()==channel.exchange() &&
+      _channel->symbol()==channel.symbol()){
+         _channel->CopyFrom(channel);
+         return true;
+   }
+   return false;
+}
+
+}}}
@@ -0,0 +1,28 @@
+#pragma once
+#include "lib/api/services/MarketDataAuxiliaryService.pb.h"
+#include <unordered_map>
+
+namespace bts{
+namespace co2 {class TradeMessage;class SecurityChannel;}
+namespace md{
+namespace auxiliary{
+
+// volume at the various price levels for all
+// securities belonging to a single channel.
+class ChannelVolume{
+private:
+   bts::co2::SecurityChannel* const _channel;
+   std::unordered_map<uint32_t,std::unordered_map<uint64_t,bts::api::md::auxiliary::VolumeAtPriceLevel>> _sec_map;
+public:
+   ChannelVolume(bts::co2::SecurityChannel* channel);
+   // finds the VolumeAtPriceLevel for the <sec, price_level>
+   // in the trade and updates the volume. if <sec,price_level> 
+   // is not found, it increases the record_id before assigning
+   // it to VolumeAtPriceLevel's record_id
+   const bts::api::md::auxiliary::VolumeAtPriceLevel&
+      add_trade(const bts::co2::TradeMessage& m, int& record_id);
+   // if the channel is matched, it updated with it with
+   // the data in the arg, and returns true
+   bool match_update(const bts::co2::SecurityChannel& channel);
+};
+}}}
@@ -4,6 +4,10 @@
 #include "lib/api/public/ServiceContext.h"
 #include "lib/logging/logging.h"
 #include "lib/utils/PBUtils.h"
+#include "lib/utils/Dispatcher.h"
+#include "lib/md/get_symbols.h"
+#include "VolumeAtPriceState.h"
+#include "lib/utils/bts_chrono.h"

 namespace bts{
 namespace md{
@@ -13,27 +17,59 @@ using namespace bts::co2;
 using namespace bts::api::md::auxiliary;

 struct MarketDataAuxiliaryServiceServer::PImpl{
-   MarketDataAuxiliaryServiceBase::Volume_at_priceStatefulPublisher publisher;
   MarketDataRelay relay_service;
-   int id;
+   MarketDataAuxiliaryServiceBase::Volume_at_priceStatefulPublisher publisher;   
+   std::unique_ptr<utils::DispatcherTimer> trade_timer;
+   int64_t poll_period_ms;
+   VolumeAtPriceState state;
   PImpl(bts::api::ServiceContext& context,
         const MarketDataAuxiliaryServiceBase::Volume_at_priceStatefulPublisher& publisher)
-   :
-   publisher(publisher),
+   :   
   relay_service(context.locate<MarketDataRelay>()),
-   id(0)
-   {
+   publisher(publisher),
+   trade_timer(),
+   poll_period_ms(100),
+   state(){
   }
 };

-MarketDataAuxiliaryServiceServer::MarketDataAuxiliaryServiceServer(bts::api::ServiceContext& context)
+MarketDataAuxiliaryServiceServer::MarketDataAuxiliaryServiceServer(
+                                             bts::api::ServiceContext& context)
 :
 MarketDataAuxiliaryServiceBase(context),
 me(new PImpl(context,
             make_volume_at_price_stateful_publisher())){
-
+   auto& threadpool = utils::Dispatcher::get_named("TradesQuery");
+   me->trade_timer = 
+   std::make_unique<utils::DispatcherTimer>(threadpool,
+                                            me->poll_period_ms,
+                                           [this]() {
+       me->relay_service.requestmd(me->state.md_req(),
+                              [this](const bts::api::Result<MDReply>& md_reply)
+       {
+          if(md_reply.result()!=nullptr)
+             _scan_trades(*md_reply.result());}
+       );
+   });
+   me->trade_timer->start();
 }

-MarketDataAuxiliaryServiceServer::~MarketDataAuxiliaryServiceServer(){   
+void MarketDataAuxiliaryServiceServer::_scan_trades(const MDReply& md_reply){
+   uint32_t n_trades=0, total_unique_levels=0;
+   bts::TimeStamp t0=bts::Timer::now();
+   for(const auto& cr : md_reply.channels())
+      me->state.on_new_trades(cr,
+                              me->publisher,
+                              n_trades,
+                              total_unique_levels);
+   bts::TimeStamp t1=bts::Timer::now();
+   double usecs=static_cast<double>(us_diff (t1,t0));
+   LOG(OrderMan,Info,"MarketDataAuxiliaryServiceServer::_scan_trades "
+                     "trades:{} tot_unique:{} usecs:{}",
+                     n_trades,total_unique_levels,usecs);
+   me->publisher.flush();                     
+}
+
+MarketDataAuxiliaryServiceServer::~MarketDataAuxiliaryServiceServer(){
 }
 }}}
@@ -7,14 +7,18 @@

 namespace bts{
 namespace api {class ServiceContext;}
+namespace co2 {class MDReply;}
 namespace md{
 namespace auxiliary{

-class MarketDataAuxiliaryServiceServer : public bts::api::md::auxiliary::MarketDataAuxiliaryServiceBase
+class MarketDataAuxiliaryServiceServer : 
+public bts::api::md::auxiliary::MarketDataAuxiliaryServiceBase
 {
 private:
   struct PImpl;
   std::unique_ptr<PImpl> me;
+private:
+   void _scan_trades(const bts::co2::MDReply&);
 public:
   MarketDataAuxiliaryServiceServer(bts::api::ServiceContext& context);
   ~MarketDataAuxiliaryServiceServer();
@@ -0,0 +1,60 @@
+#include "VolumeAtPriceState.h"
+#include "lib/md/get_symbols.h"
+#include "lib/api/services/MarketDataRelay.pb.h"
+//#include "lib/api/services/MarketDataRelay.client.pb.h"
+
+namespace bts{
+namespace md{
+namespace auxiliary{
+
+using namespace bts::api::md::auxiliary;
+using namespace bts::co2;
+using namespace std;
+
+VolumeAtPriceState::VolumeAtPriceState()
+:
+_channels(),
+_md_req(),
+_record_id(0){
+   std::set<bts::md::UserSymbol> syms;
+   bts::md::get_system_md_symbols(syms);
+   for(const auto& s : syms){
+      SecurityChannel c;
+      c.set_flags(MDRequest::TRADE_LOG);
+      c.set_type(s.type());
+      c.set_exchange(s.exchange());
+      c.set_symbol(s.symbol());
+      c.set_trade_cursor(0);
+      c.set_segment_id(0);
+      _update_or_add(c);
+   }
+}
+
+ChannelVolume& VolumeAtPriceState::_update_or_add(const SecurityChannel& channel){
+   for(auto& v : _channels)
+      if(v.match_update(channel))
+         return v;
+   SecurityChannel* new_channel_ptr = _md_req.add_channels();
+   new_channel_ptr->CopyFrom(channel);
+   _channels.emplace_back(new_channel_ptr);
+   return _channels.back();
+}
+
+void VolumeAtPriceState::on_new_trades(const ChannelReply& reply,
+MarketDataAuxiliaryServiceBase::Volume_at_priceStatefulPublisher& publisher,
+                                       uint32_t& n_trades,
+                                       uint32_t& total_unique_levels){
+   ChannelVolume& channel_vol=_update_or_add(reply.channel());
+   for(const TradeMessage& t : reply.trade_log()){
+      const VolumeAtPriceLevel& sec_level_vol=channel_vol.add_trade(t,
+                                                                  _record_id);
+      publisher.add_or_update(sec_level_vol);
+      n_trades++;
+   }
+   total_unique_levels = _record_id;
+}
+
+const bts::co2::MDRequest& VolumeAtPriceState::md_req() const{
+   return _md_req;
+}
+}}}
@@ -0,0 +1,32 @@
+#pragma once
+#include "lib/api/services/MarketDataAuxiliaryService.server.pb.h"
+#include "lib/api/services/MarketDataRelay.pb.h"
+#include "ChannelVolume.h"
+
+namespace bts{
+namespace co2 {class SecurityChannel;class ChannelReply;}
+namespace md{
+namespace auxiliary{
+
+// this is the entire state for the volume at
+// price levels for all channels.
+
+class VolumeAtPriceState{
+private:   
+   std::vector<ChannelVolume> _channels;
+   bts::co2::MDRequest _md_req;
+   int _record_id;
+private:
+   // if the channel is present, its updated (trade_cursor etc)
+   // else its created from the channel
+   ChannelVolume& _update_or_add(const bts::co2::SecurityChannel& channel);
+public:
+   VolumeAtPriceState ();
+   //encorporates the reply, and publishes it
+   void on_new_trades(const bts::co2::ChannelReply& channel,
+bts::api::md::auxiliary::MarketDataAuxiliaryServiceBase::Volume_at_priceStatefulPublisher& publisher,
+                      uint32_t& n_trades,
+                      uint32_t& total_unique_levels);
+   const bts::co2::MDRequest& md_req() const;
+};
+}}}
@@ -213,7 +213,7 @@ void md_tool(std::vector<std::string> const &args) {
   else if (cmd == "run") run_market_data_publishers_forever();
   else if (cmd == "relay") relay_everything();
   else if (cmd == "test_relay") relay_everything();
-   else if (cmd == "dumpsecurity") dump_db(vector<string>(args.begin()+1, args.end()));
+   else if (cmd == "dumpsecurity" || cmd == "dumpsecurities") dump_db(vector<string>(args.begin()+1, args.end()));
   else printhelp();
 }

@@ -223,11 +223,10 @@ void AdminServiceServer::_cancel_orders(const vector<string>& accounts,
         user_map.find(ord.def().user()) != user_map.end())
         keys.push_back(ord.key());
   }
-   auto cb = [&](bts::api::Result<::bts::api::orderman::Response>) -> void {};
   for(uint32_t k : keys){
      Cancel c;
      c.set_order_key(k);      
-      _order_service.cancel_order(c, cb);
+      _order_service.cancel_order(c, [](const auto&){});
   }
 }
 void AdminServiceServer::_publish_md_entitlements(){
@@ -1 +1 @@
-set(sources ../../externals/linux/include/google/protobuf/descriptor.proto;../../externals/linux/include/google/protobuf/timestamp.proto;../lib/api/apicore.proto;../lib/api/apigateway.proto;../lib/api/apioptions.proto;../lib/api/services/AdminService.proto;../lib/api/services/ApiUnitTestService.proto;../lib/api/services/ErrorReportService.proto;../lib/api/services/HelloService.proto;../lib/api/services/MarketDataRelay.proto;../lib/api/services/OrderService.proto;../lib/api/services/OutOfProcessURLListener.proto;../lib/api/services/PersistenceService.proto;../lib/api/services/PositionService.proto;../lib/api/services/ShellDiagnosticService.proto;../lib/api/services/ShellLatencyService.proto;../lib/api/services/SyntheticSecurityService.proto;../lib/api/services/UserService.proto;../lib/domain_model/Security.proto;../lib/md/protos/co2.proto;../lib/sparkproto/SparkProtos.proto;api/build.sh;api/node_modules/cssstyle/scripts/run_tests.sh;api/node_modules/exit/test/fixtures/create-files.sh;api/node_modules/protobufjs/cli/node_modules/acorn-jsx/node_modules/acorn/bin/update_authors.sh;api/node_modules/watch/release.sh;api/quiet_build.sh;api/src/DynamicService.ts;api/src/ServiceContext.ts;api/src/bts_assert.ts;ui/src/Access.fs;ui/src/Accounts/ClipLimits.fs;ui/src/Accounts/ProductLimits.fs;ui/src/Accounts/SecurityLimits.fs;ui/src/Accounts/State.fs;ui/src/Accounts/Types.fs;ui/src/Accounts/View.fs;ui/src/App.fs;ui/src/Cmd.fs;ui/src/Controls/Button.fs;ui/src/Controls/DataGrid.fs;ui/src/Controls/Fields.fs;ui/src/Controls/Modal.fs;ui/src/Controls/ReactGrid.fs;ui/src/Controls/Table.fs;ui/src/Controls/nbsp.fs;ui/src/Global.fs;ui/src/Imports.fs;ui/src/Lens.fs;ui/src/Login/Login.fs;ui/src/Nav.fs;ui/src/State.fs;ui/src/Types.fs;ui/src/Users/State.fs;ui/src/Users/Types.fs;ui/src/Users/View.fs;ui/src/Util/EnumUtils.fs;ui/src/Util/JSMap.fs)
+set(sources ../../externals/linux/include/google/protobuf/descriptor.proto;../../externals/linux/include/google/protobuf/timestamp.proto;../lib/api/apicore.proto;../lib/api/apigateway.proto;../lib/api/apioptions.proto;../lib/api/services/AdminService.proto;../lib/api/services/ApiUnitTestService.proto;../lib/api/services/ErrorReportService.proto;../lib/api/services/HelloService.proto;../lib/api/services/MarketDataAuxiliaryService.proto;../lib/api/services/MarketDataRelay.proto;../lib/api/services/OrderService.proto;../lib/api/services/OutOfProcessURLListener.proto;../lib/api/services/PersistenceService.proto;../lib/api/services/PositionService.proto;../lib/api/services/ShellDiagnosticService.proto;../lib/api/services/ShellLatencyService.proto;../lib/api/services/SyntheticSecurityService.proto;../lib/api/services/UserService.proto;../lib/domain_model/Security.proto;../lib/md/protos/co2.proto;../lib/sparkproto/SparkProtos.proto;api/build.sh;api/node_modules/cssstyle/scripts/run_tests.sh;api/node_modules/exit/test/fixtures/create-files.sh;api/node_modules/protobufjs/cli/node_modules/acorn-jsx/node_modules/acorn/bin/update_authors.sh;api/node_modules/watch/release.sh;api/quiet_build.sh;api/src/DynamicService.ts;api/src/ServiceContext.ts;api/src/bts_assert.ts;ui/src/Access.fs;ui/src/Accounts/ClipLimits.fs;ui/src/Accounts/ProductLimits.fs;ui/src/Accounts/SecurityLimits.fs;ui/src/Accounts/State.fs;ui/src/Accounts/Types.fs;ui/src/Accounts/View.fs;ui/src/App.fs;ui/src/Cmd.fs;ui/src/Controls/Button.fs;ui/src/Controls/DataGrid.fs;ui/src/Controls/Fields.fs;ui/src/Controls/Modal.fs;ui/src/Controls/ReactGrid.fs;ui/src/Controls/Table.fs;ui/src/Controls/nbsp.fs;ui/src/Global.fs;ui/src/Imports.fs;ui/src/Lens.fs;ui/src/Login/Login.fs;ui/src/Nav.fs;ui/src/State.fs;ui/src/Types.fs;ui/src/Users/State.fs;ui/src/Users/Types.fs;ui/src/Users/View.fs;ui/src/Util/EnumUtils.fs;ui/src/Util/JSMap.fs)
@@ -1,20 +0,0 @@
-#/bin/bash
-DIR=$(dirname ${BASH_SOURCE[0]})
-TARGET=${1:-gcc_debug}
-echo TARGET=$TARGET
-MAKEDIR=$DIR/../build/$TARGET/
-if [ ! -f $MAKEDIR/Makefile ]; then
-    $DIR/setup_builds.sh
-fi
-cd $MAKEDIR
-time make -j`nproc`
-if (($? >0)); then
-    echo "Build failed..."
-    exit 1
-fi
-# start config
-(cd ~/www/ && python -m SimpleHTTPServer > /dev/null 2>/dev/null) &
-# and ssh for diagnostics
-/usr/sbin/sshd
-# and sparkd
-./src/server/sparkd/sparkd run
@@ -1,15 +1,3 @@
-# This should mirror the one found in Security.proto
-$cme_mics = @{
-	"CME"   = 1
-	"NYMEX" = 2
-	"CBT"   = 3
-	"COMEX" = 4
-	"MGE"   = 5
-	"DME"   = 6
-	"NYMSW" = 7
-	"FXS"   = 8
-}
-
 $known_good = @{
 	"IC" = 50
 	"IH" = 50
@@ -39,7 +39,7 @@ $b | % {
 # mics
 "CmeSymbolMics`n{`n`tvalue`n`t{" | out-file -Encoding ascii $output_file -Append
 $mic_grouping | % {
-	"`t`tcme_mic {{ key: `"{0}`" value: {1} }}" -f $_.Group[0].Sym, $cme_mics[$_.Group[0].Exch] } `
+	"`t`tcme_mic {{ key: `"{0}`" value: {1} }}" -f $_.Group[0].Sym, $_.Group[0].Exch } `
 	| out-file -Encoding ascii $output_file -Append
 "`t}`n}" | out-file -Encoding ascii $output_file -Append
Author	SHA1	Message	Date
John Colvin	3b320a1075	MDConsumerHandle - don't convert LLDateTimes to System.DateTimes	2018-09-17 12:55:54 -04:00
John Colvin	e838413541	minor refactoring in DispatcherUpdateMaster	2018-09-17 11:42:17 -04:00
John Colvin	7d6d72b423	mview - perform update work in parallel with new DispatcherUpdateMaster	2018-09-16 17:17:43 -04:00
John Colvin	891d674ca4	overload MDConsumerHandle.get_last_trade to avoid creating unused timestamp via ll_to_parts	2018-09-16 14:54:32 -04:00
Taha Afzal	92c1508b8c	Put the VolumeAtPrice behind a toggle config	2018-09-14 14:58:35 -04:00
Jake Norbut	466915f6e9	Updating MICS conf to use unquoted enum string rather than enum value	2018-09-14 13:57:37 -05:00
Pedro Pinto	1c68cfa08e	Fixed clang warning.	2018-09-13 20:44:28 +00:00
Pedro Pinto	cc75872c04	Fixed crashing bug in order plugin.	2018-09-13 20:28:48 +00:00
Pedro Pinto	7e93866596	Tweaks to metrics tools.	2018-09-13 20:28:48 +00:00
Taha Afzal	f4213eefe9	fixing header inclusions	2018-09-13 16:26:06 -04:00
Taha Afzal	72bfafb376	Merge branch 'master' of bitbucket.org:bluetradesys/spark	2018-09-13 15:24:58 -04:00
Taha Afzal	5dbacfddd5	SPARK-1672(Volume at price)	2018-09-13 15:24:49 -04:00
Pedro Pinto	e29ea5d89b	SPARK-1514, Server side SDK code complete.	2018-09-12 18:43:17 +00:00
Eric Harding	2885d929a8	Safe me from my own mistyping	2018-09-11 15:19:10 -04:00
Eric Harding	a3e5bc4fba	Prune unused script from tools	2018-09-11 12:50:20 -04:00
Taha Afzal	bb19f737d5	SPARK-1672 hooked up the timer for polling	2018-09-10 22:28:48 -04:00