Added a line to Conditional Quoting help tooltips

SPARK-1403

Approved-by: Eric Harding <eric.harding@bluetradesys.com>

release_notes.txt

@@ -1,3 +1,11 @@
+1.3.8
+- Grid Footers
+  - Grid footers have been added to all forms containing a grid
+
+1.3.7
+- Net Change pricing
+  - The ability to price synthetics based off of net change
+
 1.3.5
 - Speed Enhanments
   - Further speed enhancements

src/client/spark/Modules/Market/MarketView/MarketViewView.xaml

@@ -16,29 +16,48 @@
     </ResourceDictionary>
   </UserControl.Resources>
   <AdornerDecorator>
-    <c:DIYGrid
+    <Grid>
+      <Grid.RowDefinitions>
+        <RowDefinition />
+        <RowDefinition Height="Auto"/>
+      </Grid.RowDefinitions>
+      <c:DIYGrid
       x:Name="_grid"
+      Grid.Row="0"
       Columns="{Binding columns}"
       CurrentRow="{Binding current_row}"
       Rows="{Binding rows_view}"
       SelectionHighlight="{Binding grid_settings_manager.selection_highlight, Mode=OneWay}"
     >
-      <c:DIYGrid.InputBindings>
-        <MouseBinding MouseAction="LeftDoubleClick" Command="{x:Static c:DIYGrid.DefaultRowCommand}"/>
-        <KeyBinding Key="Return" Command="{x:Static c:DIYGrid.DefaultRowCommand}"/>
-      </c:DIYGrid.InputBindings>
-      <c:DIYGrid.CommandBindings>
-        <CommandBinding
+        <c:DIYGrid.InputBindings>
+          <MouseBinding MouseAction="LeftDoubleClick" Command="{x:Static c:DIYGrid.DefaultRowCommand}"/>
+          <KeyBinding Key="Return" Command="{x:Static c:DIYGrid.DefaultRowCommand}"/>
+        </c:DIYGrid.InputBindings>
+        <c:DIYGrid.CommandBindings>
+          <CommandBinding
           Command="{x:Static c:DIYGrid.DefaultRowCommand}"
           Executed="{x:Static c:DIYGrid.DefaultRowActionExecuted}"
           CanExecute="{x:Static c:DIYGrid.DefaultRowActionCanExecute}"
         />
-      </c:DIYGrid.CommandBindings>
-      <c:DIYGrid.RowTemplate>
-        <DataTemplate>
-          <usp:MarketViewRowView usp:GridAnimation.RowAnimation="{Binding animations}"/>
-        </DataTemplate>
-      </c:DIYGrid.RowTemplate>
-    </c:DIYGrid>
+        </c:DIYGrid.CommandBindings>
+        <c:DIYGrid.RowTemplate>
+          <DataTemplate>
+            <usp:MarketViewRowView usp:GridAnimation.RowAnimation="{Binding animations}"/>
+          </DataTemplate>
+        </c:DIYGrid.RowTemplate>
+      </c:DIYGrid>
+      <StatusBar Grid.Row="1" DockPanel.Dock="Bottom">
+        <StatusBarItem HorizontalAlignment="Right">
+          <Grid>
+            <Grid.ColumnDefinitions>
+              <ColumnDefinition />
+              <ColumnDefinition />
+            </Grid.ColumnDefinitions>
+            <TextBlock Grid.Column="0" Text="Securities: "/>
+            <TextBlock Grid.Column="1" Text="{Binding ElementName=_grid, Path=Rows.Count}"/>
+          </Grid>
+        </StatusBarItem>
+      </StatusBar>
+    </Grid>
   </AdornerDecorator>
 </UserControl>

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

@@ -18,10 +18,18 @@
   </UserControl.Resources>
   <AdornerDecorator>
     <Grid>
-      <c:DIYGrid Columns="{Binding columns}" 
-                 Rows="{Binding rows_view}" CurrentRow="{Binding current_row}"
-                 SelectionHighlight="{Binding grid_settings_manager.selection_highlight, Mode=OneWay}"
-                 >
+      <Grid.RowDefinitions>
+        <RowDefinition />
+        <RowDefinition Height="Auto"/>
+      </Grid.RowDefinitions>
+      <c:DIYGrid 
+        x:Name="_grid"
+        Grid.Row="0"
+        Columns="{Binding columns}" 
+        Rows="{Binding rows_view}"
+        CurrentRow="{Binding current_row}"
+        SelectionHighlight="{Binding grid_settings_manager.selection_highlight, Mode=OneWay}"
+        >
         <c:DIYGrid.InputBindings>
           <MouseBinding MouseAction="LeftDoubleClick" Command="{x:Static c:DIYGrid.DefaultRowCommand}"/>
           <KeyBinding Key="Return" Command="{x:Static c:DIYGrid.DefaultRowCommand}"/>
@@ -39,6 +47,17 @@
           </DataTemplate>
         </c:DIYGrid.RowTemplate>
       </c:DIYGrid>
+      <StatusBar Grid.Row="1" DockPanel.Dock="Bottom">
+        <StatusBarItem HorizontalAlignment="Right">
+          <Grid>
+            <Grid.ColumnDefinitions>
+              <ColumnDefinition />
+              <ColumnDefinition />
+            </Grid.ColumnDefinitions>
+            <TextBlock Grid.Column="0" Text=" "/>
+          </Grid>
+        </StatusBarItem>
+      </StatusBar>      
     </Grid>
   </AdornerDecorator>
 </UserControl>

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

@@ -56,6 +56,7 @@
     UIntTemplate="{StaticResource SimpleValueTextTemplate}"
     MarketDataTypeTemplate="{StaticResource SimpleValueTextTemplate}"
     MarketDataCalculationTemplate="{StaticResource SimpleValueTextTemplate}"
+    ConditionalPriceTypeTemplate="{StaticResource SimpleValueTextTemplate}"
   >
     <usp:DataGridParameterCellTemplateConverter.BooleanTemplate>
       <DataTemplate>
@@ -122,6 +123,11 @@
         <ComboBox SelectedItem="{Binding value}" ItemsSource="{u:EnumBindingSource {u:Nested sp:LegSpreaderParams.Types.LegMarketDataCalculation}}" ItemTemplate="{StaticResource EnumDescriptionTemplate}"/>
       </DataTemplate>
     </usp:DataGridParameterCellTemplateConverter.MarketDataCalculationTemplate>
+    <usp:DataGridParameterCellTemplateConverter.ConditionalPriceTypeTemplate>
+      <DataTemplate>
+        <ComboBox SelectedItem="{Binding value}" ItemsSource="{u:EnumBindingSource {u:Nested sp:ConditionalQuoting.Types.PriceType}}" ItemTemplate="{StaticResource EnumDescriptionTemplate}"/>
+      </DataTemplate>
+    </usp:DataGridParameterCellTemplateConverter.ConditionalPriceTypeTemplate>    
     <usp:DataGridParameterCellTemplateConverter.QuantityMeasureTemplate>
       <DataTemplate>
         <Grid IsEnabled="{Binding enabled}">

src/client/spark/Modules/Spreader/ExecutionStrategyEditor.xaml.cs

@@ -304,6 +304,7 @@ namespace mbts.ui.spark {
       public DataTemplate QuantityMeasureTemplate { get; set; }
       public DataTemplate MarketDataTypeTemplate { get; set; }
       public DataTemplate MarketDataCalculationTemplate { get; set; }
+      public DataTemplate ConditionalPriceTypeTemplate { get; set; }
 
       public object Convert(object value, Type targetType, object parameter, CultureInfo culture) {
          Type t = (Type)value;
@@ -314,6 +315,7 @@ namespace mbts.ui.spark {
          else if (t == typeof(QuantityMeasure)) return QuantityMeasureTemplate;
          else if (t == typeof(LegSpreaderParams.Types.MarketDataType)) return MarketDataTypeTemplate;
          else if (t == typeof(LegSpreaderParams.Types.LegMarketDataCalculation)) return MarketDataCalculationTemplate;
+         else if (t == typeof(ConditionalQuoting.Types.PriceType)) return ConditionalPriceTypeTemplate;
          else return null;
       }
 

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

@@ -103,6 +103,11 @@ namespace bts.shell {
             OutsideTicks = 3,
             Priority = RulePriority
          };
+         public static ConditionalQuoting ConditionalQuoting => new ConditionalQuoting
+         {
+            NTicks = 2, 
+            PriceType = ConditionalQuoting.Types.PriceType.Leg
+         };
          public static QuoteInsideMarketDistanceWithTravel QuoteInsideMarketDistanceWithTravel => new QuoteInsideMarketDistanceWithTravel { Priority = RulePriority };
          public static QuoteInsideMarketDistance QuoteInsideMarketDistance => new QuoteInsideMarketDistance { Priority = RulePriority };
          #endregion

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

@@ -16,11 +16,16 @@
   </UserControl.Resources>
   <AdornerDecorator>
     <Grid>
+      <Grid.RowDefinitions>
+        <RowDefinition />
+        <RowDefinition Height="Auto"/>
+      </Grid.RowDefinitions>
       <c:DIYGrid
-          x:Name="_grid"
-          Columns="{Binding columns}"
-          CurrentRow="{Binding current_row}"
-          Rows="{Binding rows_view}"
+        x:Name="_grid"
+        Grid.Row="0"
+        Columns="{Binding columns}"
+        CurrentRow="{Binding current_row}"
+        Rows="{Binding rows_view}"
         >
         <c:DIYGrid.InputBindings>
           <MouseBinding MouseAction="LeftDoubleClick" Command="{x:Static c:DIYGrid.DefaultRowCommand}"/>
@@ -39,6 +44,18 @@
           </DataTemplate>
         </c:DIYGrid.RowTemplate>
       </c:DIYGrid>
+      <StatusBar Grid.Row="1" DockPanel.Dock="Bottom">
+        <StatusBarItem HorizontalAlignment="Right">
+          <Grid>
+            <Grid.ColumnDefinitions>
+              <ColumnDefinition />
+              <ColumnDefinition />
+            </Grid.ColumnDefinitions>
+            <TextBlock Grid.Column="0" Text="Synthetics: "/>
+            <TextBlock Grid.Column="1" Text="{Binding ElementName=_grid, Path=Rows.Count}"/>
+          </Grid>
+        </StatusBarItem>
+      </StatusBar>      
     </Grid>
   </AdornerDecorator>  
 </UserControl>

src/client/spark/Modules/Spreader/VM/ParameterRows/Leg/EnableHedgeModel.cs

@@ -0,0 +1,22 @@
+using mbts.ui.spark;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace mbts.spark {
+   partial class SyntheticEditorVM {
+      class EnableHedgeModel : RowModelBase<bool> {
+         public override string display_name { get; } = "Enable Hedging";
+         public override string help_text { get; } = "Send a hedge for this leg?";
+         public override string man_page { get; } = string.Empty;
+
+         public override bool get_value(LegSpreaderParamsTuple leg_tup) =>
+            leg_tup.leg_params.EnableHedging;
+
+         public override void set_value(LegSpreaderParamsTuple leg_tup, bool value) =>
+            leg_tup.leg_params.EnableHedging = value;
+
+         public override bool has_errors(IReadOnlyCollection<LegSpreaderParamsTuple> leg_tups) =>
+            !leg_tups.Any(lt => lt.leg_params.EnableHedging);
+      }
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/Leg/MinLeanQtyModel.cs

@@ -0,0 +1,18 @@
+using mbts.ui.spark;
+using System;
+
+namespace mbts.spark {
+   partial class SyntheticEditorVM {
+      class MinLeanQtyModel : RowModelBase<System.UInt32> {
+         public override string display_name { get; } = "Min Lean Qty";
+         public override string help_text { get; } = "Minimum Quantity required at this leg to quote";
+         public override string man_page { get; } = string.Empty;
+
+         public override System.UInt32 get_value(LegSpreaderParamsTuple leg_tup) =>
+            leg_tup.leg_params.QuoteParams.MinLeanQty;
+
+         public override void set_value(LegSpreaderParamsTuple leg_tup, System.UInt32 value) =>
+            leg_tup.leg_params.QuoteParams.MinLeanQty = value;
+      }
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/Quote/Conditional/ConditionalQuoteEnabledModel.cs

@@ -0,0 +1,39 @@
+using bts.shell;
+using mbts.ui.spark;
+
+namespace mbts.spark {
+   partial class SyntheticEditorVM {
+      class ConditionalQuoteEnabledModel : RowModelBase<bool> {
+         readonly ConditionalQuotingTicksModel _ticks;
+         readonly ConditionalQuotingPriceTypeModel _price_type;
+
+         public ConditionalQuoteEnabledModel(ConditionalQuotingTicksModel ticks, ConditionalQuotingPriceTypeModel price_type)
+         {
+            _ticks = ticks;
+            _price_type = price_type;
+         }
+
+         public override string display_name { get; } = string.Empty;
+         public override string help_text { get; } = string.Empty;
+         public override string man_page { get; } = string.Empty;
+         public override ParameterSection[] section_path { get; } = new[] { Sections.Quote, Subsections.Conditional };
+
+         public override bool get_value(LegSpreaderParamsTuple leg_tup) =>
+            leg_tup.leg_params.QuoteParams.ConditionalQuoting != null;
+
+         public override void set_value(LegSpreaderParamsTuple leg_tup, bool value) {
+            if (value) {
+               if (leg_tup.leg_params.QuoteParams.ConditionalQuoting == null) {
+                  leg_tup.leg_params.QuoteParams.ConditionalQuoting = SyntheticDataHelper.Defaults.ConditionalQuoting;
+                  _ticks.apply_value(leg_tup);
+                  _price_type.apply_value(leg_tup);
+               }
+            } else {
+               leg_tup.leg_params.QuoteParams.ConditionalQuoting = null;
+            }
+            _ticks.set_enabled(leg_tup, value);
+            _price_type.set_enabled(leg_tup, value);
+         }
+      }
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/Quote/Conditional/ConditionalQuotingPriceTypeModel.cs

@@ -0,0 +1,45 @@
+using mbts.ui.spark;
+using bts.spark;
+using PriceType = bts.spark.ConditionalQuoting.Types.PriceType;
+using mbts.collections.extensions;
+using System.Collections.Generic;
+using bts.shell;
+
+namespace mbts.spark
+{
+   partial class SyntheticEditorVM
+   {
+      class ConditionalQuotingPriceTypeModel : RowModelBase<PriceType>
+      {
+         IDictionary<uint, PriceType> _value_store = new Dictionary<uint, PriceType>();
+
+         public override string display_name { get; } = "Price Type";
+         public override string help_text { get; } = string.Empty;
+         public override string man_page { get; } = string.Empty;
+         public override ParameterSection[] section_path { get; } = new[] { Sections.Quote, Subsections.Conditional };
+
+         public void apply_value(LegSpreaderParamsTuple leg_tup) =>
+            _get_value(leg_tup).PriceType = _value_from_store(leg_tup);
+
+         public override PriceType get_value(LegSpreaderParamsTuple leg_tup) =>
+            _get_value(leg_tup) is ConditionalQuoting cond ?
+               cond.PriceType :
+               _value_from_store(leg_tup);
+
+         public override void set_value(LegSpreaderParamsTuple leg_tup, PriceType value)
+         {
+            _value_store[leg_tup.SecurityKey] = value;
+            if (_get_value(leg_tup) is ConditionalQuoting cond)
+               cond.PriceType = value;
+         }
+
+         protected override bool _get_enabled(LegSpreaderParamsTuple leg_tup) => _get_value(leg_tup) != null; //TAHA_SPREADER
+
+         ConditionalQuoting _get_value(LegSpreaderParamsTuple leg_tup) =>
+            leg_tup.leg_params.QuoteParams.ConditionalQuoting;
+
+         PriceType _value_from_store(LegSpreaderParamsTuple leg_tup) =>
+            _value_store.GetValueOrDefault(leg_tup.SecurityKey, _ => SyntheticDataHelper.Defaults.ConditionalQuoting.PriceType);
+      }
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/Quote/Conditional/ConditionalQuotingTicksModel.cs

@@ -0,0 +1,41 @@
+using bts.shell;
+using bts.spark;
+using mbts.collections.extensions;
+using mbts.ui.spark;
+using System.Collections.Generic;
+
+namespace mbts.spark {
+   partial class SyntheticEditorVM {
+      class ConditionalQuotingTicksModel : RowModelBase<int> {
+         IDictionary<uint, int> _value_store = new Dictionary<uint, int>();
+
+         public override string display_name { get; } = "Ticks";
+         public override string help_text { get; } = string.Empty;
+         public override string man_page { get; } = string.Empty;
+         public override ParameterSection[] section_path { get; } = new[] { Sections.Quote, Subsections.Conditional };
+
+         public void apply_value(LegSpreaderParamsTuple leg_tup) =>
+            _get_value(leg_tup).NTicks = _value_from_store(leg_tup);
+
+         public override int get_value(LegSpreaderParamsTuple leg_tup) =>
+            _get_value(leg_tup) is ConditionalQuoting cond ?
+               cond.NTicks :
+               _value_from_store(leg_tup);
+
+         public override void set_value(LegSpreaderParamsTuple leg_tup, int value) {
+            _value_store[leg_tup.SecurityKey] = value;
+            if (_get_value(leg_tup) is ConditionalQuoting cond)
+               cond.NTicks = value;
+         }
+
+         protected override bool _get_enabled(LegSpreaderParamsTuple leg_tup) =>
+            _get_value(leg_tup) != null;
+
+         ConditionalQuoting _get_value(LegSpreaderParamsTuple leg_tup) =>
+            leg_tup.leg_params.QuoteParams.ConditionalQuoting;
+
+         int _value_from_store(LegSpreaderParamsTuple leg_tup) =>
+            _value_store.GetValueOrDefault(leg_tup.SecurityKey, _ => SyntheticDataHelper.Defaults.ConditionalQuoting.NTicks);
+      }
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/RowModel.cs

@@ -103,6 +103,13 @@ namespace mbts.spark {
                "Reduces re-quoting updates by defining a region on either side " +
                "of the working quoting order, inside which quote updates will not be sent.");
 
+         public static ParameterSection Conditional =>
+            new ParameterSection("Conditional", true,
+               "Reduces re-quoting updates by only quoting if N ticks away from the opposite " + 
+               "inside market. Quotes are cancelled when it gets further away. 'Price Type' " +
+               "dictates if this logic applies to the quoting market or to the synthetic spread " + 
+               "market");
+
          public static ParameterSection InsideMarketThrottleThresholds =>
             new ParameterSection("Inside Market Throttle Thresholds", true,
                "Reduces re-quoting for quotes that are moving toward the inside market. " +

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

@@ -180,6 +180,9 @@ namespace mbts.spark {
          var quote_throttle_outside_ticks = new QuoteThrottleOutsideTicksModel();
          var quote_throttle_inside_ticks = new QuoteThrottleInsideTicksModel();
 
+         var conditional_quoting_ticks = new ConditionalQuotingTicksModel();
+         var conditional_quoting_price_type = new ConditionalQuotingPriceTypeModel();
+
          var quote_inside_market_throttle_ticks = new QuoteInsideMarketThrottleTicksModel();
          var quote_inside_market_throttle_min_move = new QuoteInsideMarketThrottleMinMoveModel();
 
@@ -201,13 +204,18 @@ namespace mbts.spark {
             _quantity_model,
             _price_mult_model,
             new IsQuoteModel(),
+            //new EnableHedgeModel(), //TAHA_SPREADER
             new HedgeRatioModel(),
+            //new MinLeanQtyModel(), //TAHA_SPREADER
             new QuoteHiddenModel(),
             new MarketDataTypeModel(),
             new MarketDataCalculationModel(),
             new QuoteThrottleEnabledModel(quote_throttle_inside_ticks, quote_throttle_outside_ticks),
             quote_throttle_inside_ticks,
             quote_throttle_outside_ticks,
+            new ConditionalQuoteEnabledModel(conditional_quoting_ticks, conditional_quoting_price_type),
+            conditional_quoting_ticks,
+            conditional_quoting_price_type,
             //new QuoteInsideMarketThrottleEnabledModel(quote_inside_market_throttle_ticks, quote_inside_market_throttle_min_move),
             //quote_inside_market_throttle_ticks,
             //quote_inside_market_throttle_min_move,

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

@@ -19,8 +19,13 @@
   </UserControl.Resources>
   <AdornerDecorator>
     <Grid>
+      <Grid.RowDefinitions>
+        <RowDefinition />
+        <RowDefinition Height="Auto"/>
+      </Grid.RowDefinitions>
       <c:DIYGrid
         x:Name="_grid"
+        Grid.Row="0"
         Columns="{Binding columns}"
         CurrentRow="{Binding current_row}"
         Rows="{Binding rows_view}"
@@ -42,6 +47,18 @@
           </DataTemplate>
         </c:DIYGrid.RowTemplate>
       </c:DIYGrid>
+      <StatusBar Grid.Row="1" DockPanel.Dock="Bottom">
+        <StatusBarItem HorizontalAlignment="Right">
+          <Grid>
+            <Grid.ColumnDefinitions>
+              <ColumnDefinition />
+              <ColumnDefinition />
+            </Grid.ColumnDefinitions>
+            <TextBlock Grid.Column="0" Text="Fills: "/>
+            <TextBlock Grid.Column="1" Text="{Binding ElementName=_grid, Path=Rows.Count}"/>
+          </Grid>
+        </StatusBarItem>
+      </StatusBar>
     </Grid>
   </AdornerDecorator>
 </UserControl>

src/client/spark/Modules/Trading/OrderBook/OrderBookView.xaml

@@ -62,9 +62,14 @@
     </ResourceDictionary>
   </UserControl.Resources>
   <AdornerDecorator>
-    <c:DIYGrid
+    <Grid>
+      <Grid.RowDefinitions>
+        <RowDefinition />
+        <RowDefinition Height="Auto"/>
+      </Grid.RowDefinitions>
+      <c:DIYGrid
       x:Name="_grid"
-      Grid.Row="2"
+      Grid.Row="0"
       Columns="{Binding columns}"
       CurrentRow="{Binding current_row, Mode=TwoWay, UpdateSourceTrigger=PropertyChanged}"
       Rows="{Binding rows_view}"
@@ -148,5 +153,22 @@
         />
       </c:DIYGrid.CommandBindings>
     </c:DIYGrid>
+      <StatusBar Grid.Row="1" DockPanel.Dock="Bottom">
+        <StatusBarItem HorizontalAlignment="Right">
+          <Grid>
+            <Grid.ColumnDefinitions>
+              <ColumnDefinition />
+              <ColumnDefinition />
+              <ColumnDefinition />
+              <ColumnDefinition />
+            </Grid.ColumnDefinitions>
+            <TextBlock Grid.Column="0" Text="Orders: "/>
+            <TextBlock Grid.Column="1" Text="{Binding ElementName=_grid, Path=Rows.Count}"/>
+            <TextBlock Grid.Column="2" Text=" of "/>
+            <TextBlock Grid.Column="3" Text="{Binding rows_view.SourceCollection.Count}"/>
+          </Grid>
+        </StatusBarItem>
+      </StatusBar>
+    </Grid>
   </AdornerDecorator>
 </UserControl>

src/client/spark/view/Shell/Workspaces/WorkspaceItemControl.xaml

@@ -0,0 +1,34 @@
+<UserControl x:Class="mbts.ui.controls.WorkspaceItemControl"
+             xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+             xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+             xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006" 
+             xmlns:d="http://schemas.microsoft.com/expression/blend/2008" 
+             xmlns:local="clr-namespace:mbts.ui.controls"
+             xmlns:ui="clr-namespace:mbts.ui"
+             mc:Ignorable="d"
+             ui:StateManager.VisualState="{Binding VisualState}"
+>
+
+  <VisualStateManager.VisualStateGroups>
+    <VisualStateGroup x:Name="CommonStates">
+      <VisualState x:Name="Normal" />
+      <VisualState x:Name="Overridden">
+        <Storyboard>
+          <ColorAnimation Storyboard.TargetName="_main_button"
+                          Storyboard.TargetProperty="Background.Color" 
+                          To="{x:Static ui:BTSColors.success}" 
+                          Duration="0:0:0.2" 
+                          AutoReverse="True" RepeatBehavior="3x" />
+        </Storyboard>
+      </VisualState>
+    </VisualStateGroup>
+  </VisualStateManager.VisualStateGroups>
+
+  <Button x:Name="_main_button" Command="{Binding ActivateCommand}" Style="{DynamicResource DialogListButton}">
+    <Grid>
+      <Image Source="{Binding Icon}" HorizontalAlignment="Left" Height="16" Margin="4" />
+      <TextBlock Text="{Binding Name}" VerticalAlignment="Center" Margin="28,0,0,0" x:Name="text"  />
+      <Button Style="{StaticResource RoundCloseButton}" HorizontalAlignment="Right" VerticalAlignment="Center" Command="{Binding DeleteCommand}" />
+    </Grid>
+  </Button>
+</UserControl>

src/client/spark/view/Shell/Workspaces/WorkspaceItemControl.xaml.cs

@@ -0,0 +1,27 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using System.Windows;
+using System.Windows.Controls;
+using System.Windows.Data;
+using System.Windows.Documents;
+using System.Windows.Input;
+using System.Windows.Media;
+using System.Windows.Media.Imaging;
+using System.Windows.Navigation;
+using System.Windows.Shapes;
+
+namespace mbts.ui.controls {
+    /// <summary>
+    /// Interaction logic for WorkspaceItemControl.xaml
+    /// </summary>
+    public partial class WorkspaceItemControl : UserControl
+    {
+        public WorkspaceItemControl()
+        {
+            InitializeComponent();
+        }
+    }
+}

src/client/spark/view/Shell/Workspaces/WorkspaceViewModel.cs

@@ -21,6 +21,10 @@ namespace mbts.ui.shell
       public object Icon {
          get { return Icons.Window; }
       }
+
+      private string _vstate = "Normal";
+      public string VisualState { get { return _vstate; } set { _vstate = value; RaisePropertyChanged("VisualState"); } }
+
       internal WorkspaceDefinition Definition { get; private set; }
 
       public ICommand ActivateCommand {

src/client/spark/view/Shell/Workspaces/WorkspacesDialogView.xaml

@@ -59,13 +59,7 @@
                         <ItemsControl ItemsSource="{Binding Workspaces}" Style="{StaticResource CommonList}">
                             <ItemsControl.ItemTemplate>
                                 <DataTemplate>
-                                <Button Command="{Binding ActivateCommand}" Style="{DynamicResource DialogListButton}">
-                                    <Grid>
-                                        <Image Source="{Binding Icon}" HorizontalAlignment="Left" Height="16" Margin="4" />
-                                        <TextBlock Text="{Binding Name}" VerticalAlignment="Center" Margin="28,0,0,0" x:Name="text"  />
-                                        <Button Style="{StaticResource RoundCloseButton}" HorizontalAlignment="Right" VerticalAlignment="Center" Command="{Binding DeleteCommand}" />
-                                    </Grid>
-                                </Button>
+                                  <controls:WorkspaceItemControl />
                                 </DataTemplate>
                             </ItemsControl.ItemTemplate>
                         </ItemsControl>

src/client/spark/view/Shell/Workspaces/WorkspacesDialogViewModel.cs

@@ -45,8 +45,13 @@ namespace mbts.ui.shell
                {
                   clear_error("SaveName");
                }
+               var save_candidate_already_exists = Workspaces.Any(x => x.Name == SaveName);
                // Save
                _work_model.save_workspace(SaveName, ispublic: IsPublicWorkspace);
+
+               // if we just overwrote something, have the vm reflect it
+               if (save_candidate_already_exists)
+                  Workspaces.Where(x => x.Name == SaveName).ForEach(x => x.VisualState = "Overridden");
             });
          }
       }

src/client/spark/view/Spark/SparkWindow.cs

@@ -19,6 +19,7 @@ namespace bts.spark {
          TITLE_PANEL_HEIGHT = 30,
          COLUMN_HEADER_HEIGHT = 27,
          SPARK_MENU_ITEM_HEIGHT = 45,
+         GRID_FOOTER_HEIGHT = 30,
          ABSOLUTE_MIN_HEIGHT = 230;
 
       protected static readonly TimeSpan CONTENT_MEASURE_WAIT_PERIOD = TimeSpan.FromSeconds(0.3);
@@ -60,7 +61,7 @@ namespace bts.spark {
       public abstract UIElement Content { get; }
       public virtual IEnumerable<SparkCommand> Commands => Enumerable.Empty<SparkCommand>();
       public virtual double MinWidth => 400;
-      public virtual double MinHeight => Math.Max(ABSOLUTE_MIN_HEIGHT, TITLE_PANEL_HEIGHT + COLUMN_HEADER_HEIGHT + Commands.Count() * SPARK_MENU_ITEM_HEIGHT);
+      public virtual double MinHeight => Math.Max(ABSOLUTE_MIN_HEIGHT, TITLE_PANEL_HEIGHT + COLUMN_HEADER_HEIGHT + GRID_FOOTER_HEIGHT + Commands.Count() * SPARK_MENU_ITEM_HEIGHT);
 
       public ShellWindowUI GetContent() =>
          new ShellWindowUI(new SparkWindowView(_bus, Commands, Content));

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

@@ -51,7 +51,7 @@ namespace mbts.spark {
          Stopwatch stop_watch = new Stopwatch();
          TimeSpan elapsed_total = TimeSpan.Zero;
          ExceptionAssert.Argument.GreaterThan(excessive_cycle_ratio, 1.0, nameof(excessive_cycle_ratio));
-         double excessive_cycle_ms = interval.Milliseconds * (double)sample_cycle_size * excessive_cycle_ratio;
+         double excessive_cycle_ms = interval.TotalMilliseconds * (double)sample_cycle_size * excessive_cycle_ratio;
          int cycle_count = 0;
          DispatcherTimer timer = new DispatcherTimer(interval, priority, on_tick, Dispatcher.CurrentDispatcher);
          timer.Start();
@@ -65,7 +65,7 @@ namespace mbts.spark {
                stop_watch.Stop();
                var cycle_ms = (stop_watch.Elapsed - elapsed_total).TotalMilliseconds;
                if (cycle_ms > excessive_cycle_ms)
-                  Log.Ui.warn($"{name} DispatcherTimer took {cycle_ms}ms to complete {sample_cycle_size} cycles, target rate is 1 per {interval.Milliseconds}ms.");
+                  Log.Ui.warn($"{name} DispatcherTimer took {cycle_ms}ms to complete {sample_cycle_size} cycles, target rate is 1 per {interval.TotalMilliseconds}ms.");
                elapsed_total = stop_watch.Elapsed;
             }
             work();

src/lib/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/services/AdminService.proto;api/services/ApiUnitTestService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/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/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.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/jetfix.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.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/threads.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/IPollableActor.cpp;mercury/broker/Broker.cpp;mercury/broker/BrokerProxy.cpp;mercury/broker/ILocalBroker.cpp;mercury/broker/IRemoteBroker.cpp;mercury/common/mercury_common.cpp;mercury/events/TimerEvent.cpp;mercury/executor/Executor.cpp;mercury/topics/Topic.cpp;metrics/metrics.cpp;metrics/system_metrics.cpp;orderman/actors/AsyncFactory.cpp;orderman/actors/ExecutionGateway.cpp;orderman/actors/FillStore.cpp;orderman/actors/MDSupplementarySource.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/SecurityLimitTLine 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/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.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/jetfix.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.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/threads.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;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;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/Dispatcher.cpp;utils/GrowableSPSCQueue.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;utils/Puid.cpp;utils/SecureLogon.cpp;utils/SharedMemory.cpp;utils/Sqlite_utils.cpp;utils/Uuid.cpp;utils/datetime.cpp;utils/download.cpp;utils/file_utils.cpp;utils/init_spark_lib.cpp;utils/is_unittest_environment.cpp;utils/stats.cpp;utils/thread_manager.cpp)

src/lib/md/Diag/ShmDumper.cpp

@@ -33,8 +33,11 @@ string dump(IntPrice price) {
 string dump(PriceSize ps) {
    stringstream res;
    res << "{";
-   res << "'price': " << std::setprecision(11) << ps.price() << ", ";
-   res << "'size': " << ps.size() << " ";
+   res << "'price': " << std::setprecision(11) << ps.price(); 
+   if (!ps.is_nan()) {
+      res << " (^" << (int)ps.exponent() << ")";
+   }
+   res << ", 'size': " << ps.size() << " ";
    // res << "'mant': " << ps.mantissa() << ", ";
    // res << "'exp': " << (int)ps.exponent() << " ";
    res << "}";
@@ -162,34 +165,42 @@ string dump_entry(const HotDepthEntry& entry) {
    res << "{ ";
    res << "'timestamp': " << dump(entry.time()) << ", ";
    res << "'key': " << entry.key << ", ";
-   
-   res << "\n'bid': [";
-   for (const auto& level : entry.direct) {
-      res << dump(level.bid()) << ", ";
-   }
-   res << "], ";
-
-   res << "\n'ask': [";
-   for (const auto& level : entry.direct) {
-      res << dump(level.ask()) << ", ";
-   }
-   res << "], ";
-   
-   res << "'\nimplied_bid': [";
-   for (const auto& level : entry.implied) {
-      res << dump(level.bid()) << ", ";
-   }
-   res << "], ";
-
-   res << "'\nimplied_ask': [";
-   for (const auto& level : entry.implied) {
-      res << dump(level.ask()) << ", ";
-   }
-   res << "], ";
-
-   res << "\n'settlement': '" << dump(entry.settlement) << "', ";
+   res << "'settlement': '" << dump(entry.settlement) << "', ";
    res << "'status': '" << CoconutSecurityStatus_Name((CoconutSecurityStatus)entry.status) << "', ";
    res << "'sequence': '" << entry.sequence << "', ";
+   
+   res << "\n  'bid': [";
+   for (const auto& level : entry.direct) {
+      if (!level.bid().is_nan()) {
+         res << dump(level.bid()) << ", ";
+      }
+   }
+   res << "], ";
+
+   res << "\n  'ask': [";
+   for (const auto& level : entry.direct) {
+      if (!level.ask().is_nan()) {
+         res << dump(level.ask()) << ", ";
+      }
+   }
+   res << "], ";
+   
+   res << "\n  'implied_bid': [";
+   for (const auto& level : entry.implied) {
+      if (!level.bid().is_nan()) {
+         res << dump(level.bid()) << ", ";
+      }
+   }
+   res << "], ";
+
+   res << "\n  'implied_ask': [";
+   for (const auto& level : entry.implied) {
+      if (!level.ask().is_nan()) {
+         res << dump(level.ask()) << ", ";
+      }
+   }
+   res << "]";
+
    res << " }";
    return res.str();
 }

src/lib/orderman/orders/spreader_orders/spreader/SingleFillHedger.h

@@ -52,6 +52,7 @@ private:
                       Quantity quantity) {
       _child_order_state.place_order(price,
                                      quantity,
+                                     _spreader.current_time(),
                                      _fill_trace);
    }
    void _modify_order (Price new_price){

src/lib/orderman/orders/spreader_orders/spreader/SingleLegQuoter.cpp

@@ -171,6 +171,22 @@ void SingleLegQuoter::_compute_price_quantity(Price& price,
                                                          _drivers_temp_usage,
                                                          price,
                                                          quantity);
+   if(!_apply_quote_entry_params(price, quantity))
+      quantity=Quantity(0);
+}
+bool SingleLegQuoter::_apply_quote_entry_params(
+                                          Price new_price,
+                                          Quantity new_quantity){
+   bool working_and_new = is_active_order() && 
+                     ms_diff(
+                        _spreader.current_time(),
+                        _price_quantity_state.order_state().order_place_time())
+                     <= 5000;
+   return working_and_new ? true : SpreaderUtils::conditional_quoting(
+                                                   new_price,
+                                                   new_quantity,
+                                                   _this_leg_data.leg_index(),
+                                                   _spreader);
 }
 void SingleLegQuoter::_adjust_for_hidden_order(Price& price, 
                                                Quantity& quantity){

src/lib/orderman/orders/spreader_orders/spreader/SingleLegQuoter.h

@@ -169,8 +169,13 @@ private:
    bool _target_reached(){
       return _price_quantity_state.target_reached();
    }
-   void _place_order (Price price, Quantity quantity, const PerfTrace &trace = PerfTrace()) {
-      _child_order_state.place_order(price, quantity,trace);
+   void _place_order (Price price,
+                      Quantity quantity,
+                      const PerfTrace &trace) {
+      _child_order_state.place_order(price,
+                                     quantity,
+                                     _spreader.current_time(),
+                                     trace);
    }
    void _modify_order (Price price, Quantity quantity, PerfTrace &trace) {
       _child_order_state.modify_order(price, quantity, trace);
@@ -181,6 +186,17 @@ private:
    // this is the function that computes the quoting price and the   
    // quantity for this leg.
    void _compute_price_quantity(Price& price, Quantity& quantity);
+   // applies the applicable throttling params that are
+   // parts of the quoting params
+   void _apply_quote_throttling_params (
+      Price new_price, Quantity new_quantity,
+      Price& out_price, Quantity& out_quantity);
+   // applies the applicable quoting params that control
+   // whether there should be a quote out there or not.
+   // returns false is the quote shoudl not be out
+   // there
+   bool _apply_quote_entry_params (
+      Price new_price, Quantity new_quantity);
    // this takes in a price and qty that already has
    // computed values and applies the hidden order logic
    // to them (ie if the price results in a cross, and adjusts

src/lib/orderman/orders/spreader_orders/spreader/SpreaderChildOrderState.cpp

@@ -20,7 +20,10 @@ _filled_price(src._filled_price),
 _filled_quantity(src._filled_quantity),
 _last_filled_price(src._last_filled_price),
 _last_reported_order_price(src._last_reported_order_price),
-_last_filled_quantity(src._last_filled_quantity)
+_last_filled_quantity(src._last_filled_quantity),
+_out_price(src._out_price),
+_out_quantity(src._out_quantity),
+_order_place_time(src._order_place_time)
 { }
 SpreaderChildOrderState::SpreaderChildOrderState (bts::orderman::ChildOrder& child_order,
                                                   SecurityKey sec_key,
@@ -50,6 +53,7 @@ void SpreaderChildOrderState::_init_running_values(){
    _last_filled_quantity = Quantity(0);
    _out_price = Price(0);
    _out_quantity = Quantity(0);
+   _order_place_time=bts::TimeStamp();
 }
 void SpreaderChildOrderState::re_init(){
    SpreaderUtils::compute_average_price(_base_price, _base_quantity, 

src/lib/orderman/orders/spreader_orders/spreader/SpreaderChildOrderState.h

@@ -33,6 +33,7 @@ private:
    Quantity _last_filled_quantity;
    Price _out_price;
    Quantity _out_quantity;
+   bts::TimeStamp _order_place_time;
 public:
    // constructors ///////////////////
    ///////////////////////////////////
@@ -93,6 +94,9 @@ public:
    Quantity out_quantity () const {
       return _out_quantity;
    }
+   bts::TimeStamp order_place_time() const{
+      return _order_place_time;
+   }
    // init ///////////////////
    ///////////////////////////
    // zero's out base values
@@ -125,9 +129,11 @@ public:
    /////////////////////////////////////
    void place_order(Price price,
                     Quantity quantity,
-                    const PerfTrace & trace = PerfTrace()){
+                    bts::TimeStamp curr_time,
+                    const PerfTrace& trace){
       _out_price = price;
       _out_quantity = quantity;
+      _order_place_time=curr_time;
       bts_assert(_n_place_orders == 0);
       _n_place_orders++;
       LOG(OrderMan, Info, "SpreaderChildOrderState::place_order "

src/lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h

@@ -238,6 +238,12 @@ public:
       price_qty = Quantity(0); cumm_qty = Quantity(0);
       return false;
    }
+   // find the top of the synthetic book
+   static Price top_of_book_price (const ISpreaderManager&,
+                                   api::Side){
+      Price rv(os::nan());
+      return rv;
+   }
    ////////////////////////////////////////////////////
    // quoting params //////////////////////////////////
    ////////////////////////////////////////////////////
@@ -270,6 +276,60 @@ public:
       else
          return false;
    }
+   static bool conditional_quoting(Price quoting_price,
+                                   Quantity quoting_qty,
+                                   size_t leg_idx,
+                                   const ISpreaderManager& spreader){
+      const auto& leg_data=spreader.get_leg_data(leg_idx);
+      const auto& leg_params=leg_data.leg_params();
+      if(leg_params.has_quote_params() && 
+         leg_params.quote_params().has_conditional_quoting()){
+         const auto& cond_quoting_params=
+                           leg_params.quote_params().conditional_quoting();
+         // if(cond_quoting_params.price_type()==spark::ConditionalQuoting::LEG)
+         // TODO: for synthetic condition
+            return conditional_quoting_leg(quoting_price,
+                                           quoting_qty,
+                                           leg_data.trading_side(),
+                                           leg_data.tick_size(),
+                                           spreader.get_book(leg_idx),
+                                           cond_quoting_params.n_ticks());
+      }
+      return true;
+   }
+   // applies the conditional quoting logic, when the 
+   // setting applies to the quoting leg.
+   // if the calculated quoting price (first arg)
+   // is not n ticks within (or through, depending 
+   // on the value of n_ticks) it returns false
+   static bool conditional_quoting_leg (Price quoting_price,
+                                        Quantity,
+                                        api::Side quote_side,
+                                        double tick_size,
+                                        const Book& book,
+                                        int n_ticks){
+      if(quote_side==api::SIDE_BUY){
+         const md::PriceSize& top_ask=book.ask()[0];
+         if(top_ask.size()==0)
+            return false;
+         int t_diff=securities::price_diff_to_ticks(                              
+                              quoting_price.value(),
+                              top_ask.price(),
+                              tick_size);
+         return t_diff<=n_ticks;
+      }
+      else{
+         const md::PriceSize& top_bid=book.bid()[0];
+         if(top_bid.size()==0)
+            return false;
+         int t_diff=securities::price_diff_to_ticks(
+                                 top_bid.price(),
+                                 quoting_price.value(),                                 
+                                 tick_size);
+         return t_diff<=n_ticks;
+      }
+   }
+
    ////////////////////////////////////////////////////
    // pre-hedge params ////////////////////////////////
    ////////////////////////////////////////////////////

src/lib/orderman/orders/spreader_orders/tests/spreader_tests.cpp

@@ -47,7 +47,9 @@ TEST_CASE ("quoter price quantity state", "[spreader]")
    REQUIRE (s.out_price() == Price (0.0));
    REQUIRE (s.out_quantity() == Quantity (0));
    // set out price and quantity
-   order.place_order(Price (-0.35), Quantity (123));
+   PerfTrace dont_care;
+   bts::TimeStamp ts;
+   order.place_order(Price (-0.35), Quantity (123),ts,dont_care);
    REQUIRE (s.target_spread_price() == Price (-1.0));
    REQUIRE (s.target_leg_quantity() == Quantity (200));
    REQUIRE (s.aggregated_filled_quantity() == Quantity (25));
@@ -100,7 +102,9 @@ TEST_CASE ("quoter price quantity state", "[spreader]")
       s.add_hedged_reduction (Quantity(5));
       s.add_hedged_reduction (Quantity(15));
       // set out values
-      order_2.place_order (Price(1), Quantity (50));
+      PerfTrace dont_care;
+      bts::TimeStamp ts;
+      order_2.place_order (Price(1), Quantity (50),ts,dont_care);
       REQUIRE (s.target_spread_price() == Price (-1.0));
       REQUIRE (s.target_leg_quantity() == Quantity (200));
       REQUIRE (s.aggregated_filled_quantity() == Quantity (40));
@@ -121,7 +125,7 @@ TEST_CASE ("quoter price quantity state", "[spreader]")
       on_order_update (order_2, api::orderman::OrderStatus::ORDER_STATUS_WORKING, Quantity (10), Price (2000));
       s.add_hedged_reduction (Quantity(3));
       s.add_hedged_reduction (Quantity(7));
-      order_2.place_order (Price(0.75), Quantity (50));
+      order_2.place_order (Price(0.75), Quantity (50),ts,dont_care);
       REQUIRE (s.target_spread_price() == Price (-1.0));
       REQUIRE (s.target_leg_quantity() == Quantity (200));
       REQUIRE (s.aggregated_filled_quantity() == Quantity (10));

src/lib/sparkproto/SparkProtos.proto

@@ -60,6 +60,7 @@ message QuoteParams
   // e.g. If you are working N lots of 2 (leg_1) by 3 spread, you will work leg_1 at a price determined by
   // the price level at which you can sell N*3*lean_quantity_ratio.
   double lean_quantity_ratio = 20;
+  uint32 min_lean_qty = 30;
 
   QuoteMuteZone quote_mute_zone = 1000;
   QuoteRepriceThrottle quote_reprice_throttle = 1010;
@@ -67,6 +68,7 @@ message QuoteParams
   QuoteInsideMarketDistanceWithTravel quote_inside_market_distance_with_travel = 1030;
   QuoteMaxOrderMove quote_max_order_move = 1040;
   QuoteHidden quote_hidden = 1050;
+  ConditionalQuoting conditional_quoting=1060;
 }
 
 /*************************************Quote MuteZone***********************************
@@ -100,6 +102,27 @@ message QuoteMuteZone
   uint32 inside_ticks = 20;   
 }
 
+/////////////////////////////////////////////////////////////
+// Conditional Quoting //////////////////////////////////////
+/////////////////////////////////////////////////////////////
+message ConditionalQuoting{
+  // for a leg to be quoted, the quote (or spreader) price has
+  // to be within N ticks from the opposite inside market. 
+  // If there is an active quote and the condition ceases
+  // to exist, its pulled.
+  // negative values mean it has to penetrate that
+  // many ticks into the opposite inside market
+  int32 n_ticks = 1;
+  // this tells if the logic applies wrt to the
+  // quoting order (and its market), or the synthetic itself
+  enum PriceType
+  {
+    LEG = 0;
+    SYNTHETIC = 1;  
+  }
+  PriceType price_type=10;
+}
+
 /*************************************Quote RepriceThrottled (unused)*******************************
 (Stellar's sensitivity)
 This parameter defines regions (wrt their distance from the inside market)

src/server/sparkd/md/run_md.cpp

@@ -195,6 +195,15 @@ void dump_db(const vector<string> args) {
    md::db::load_securities(symbols, [&](const api::Security& security) {
       if (all || keys.find(security.id()) != keys.end()) {
          security.PrintDebugString();
+         if (md::securitytype_of(security) == api::SECURITYTYPE_SYNTHETIC) {
+            auto metadata = md::db::load_metadata();
+            for (const auto &m : metadata) {
+               if(m.security_key() == security.id()) {
+                  m.PrintDebugString();
+                  break;
+               }
+            }
+         }
       }
    });
 }

src/server/sparkd/support/ShellLatencyServer.cpp

@@ -45,7 +45,7 @@ void ShellLatencyServer::report(
          // create metric
          auto metric = 
          std::make_shared<AutoResetMetric>("spark_shell_latency", 
-            std::vector<Label>({{"shell",key}, {"user", request.user()}}));
+            std::vector<Label>({{"host",request.host_name()}, {"version",request.version()}, {"user", request.user()}}));
          _metrics.insert(std::make_pair(key, metric));
          metric->max(delta);
          _mc.publish(metric);