work in progress

doc/user/build.sh

@@ -7,7 +7,7 @@ zola_path=$(readlink -f "../../externals/linux/bin/zola/zola")
 
 mkdir -p $temp_path
 cp -r ./* $temp_path
-
+cp -r ../../src/sdk/doc/* $temp_path/content/bts_spark_sdk/Server/
 
 cd $temp_path
 $zola_path build -u '/docs/' -o $1 >$tmpfile 2>&1

src/client/spark/view/Spark/Ladder/LadderGridHost.cs

@@ -97,7 +97,7 @@ namespace mbts.spark {
 
       public event Action visible_columns_changed;
 
-      public IEnumerable<ColumnType> visible_column_types =>
+      public IEnumerable<ColumnType> visible_columns =>
          columns.Where(c => c.settings.show)
          .Select(c => c.column_type);
 
@@ -253,7 +253,6 @@ namespace mbts.spark {
       #endregion
 
       Column[] columns { get; set; } = new Column[0];
-      IEnumerable<Column> _visible_columns => columns.Where(c => c.settings.show);
 
       public void drag_out_of_bounds() =>
          _tactile_adorner?.drag_out_of_bounds();
@@ -331,7 +330,7 @@ namespace mbts.spark {
 
       #region Column Utility Methods
       Column _column_for_point(Point point) =>
-         _visible_columns.FirstOrDefault(c => c.x_right > point.X, columns.Length > 0 ? columns[columns.Length - 1] : Column.Empty);
+         columns.FirstOrDefault(c => c.x_right > point.X, columns.Length > 0 ? columns[columns.Length - 1] : Column.Empty);
 
       double _column_start(ColumnType col_type) =>
          columns.TakeWhile(c => c.column_type != col_type).Sum(c => c.settings.width);
@@ -914,4 +913,4 @@ namespace mbts.spark {
          }
       }
    }
-}
+}

src/client/spark/view/Spark/Ladder/LadderSettings.cs

@@ -38,14 +38,6 @@ namespace mbts.spark {
          font_weight = FontWeights.SemiBold.ToOpenTypeWeight()
       };
 
-      public static LadderColumnSettings DefaultPiqColumnSettings => new LadderColumnSettings {
-         show = false,
-         width = 50,
-         font_family = "Segoe UI",
-         font_size = 10,
-         font_weight = FontWeights.SemiBold.ToOpenTypeWeight()
-      };
-
       [ProtoMember(1)]
       public bool show { get; set; }
       [ProtoMember(2)]
@@ -258,7 +250,7 @@ namespace mbts.spark {
                ask_column = LadderColumnSettings.Default,
                price_column = LadderColumnSettings.Default,
                last_column = LadderColumnSettings.Default,
-               piq_column = LadderColumnSettings.DefaultPiqColumnSettings;
+               piq_column = LadderColumnSettings.Default;
             orders_column.background = BTSColors.LadderSpecial.default_column_background;
             bid_column.foreground = 0xFFFFFF;
             bid_column.background = BTSColors.MarketData.bid;

src/client/spark/view/Spark/Ladder/LadderView.xaml.cs

@@ -15,7 +15,7 @@ namespace mbts.spark {
          InitializeComponent();
          _column_headers_presenter.Columns = new GridViewColumnCollection();
          _ladder.visible_columns_changed += () => _column_headers_presenter.Columns.SetItems(
-            _ladder.visible_column_types.Select(t => ColumnFactory.create(_ladder, t)));
+            _ladder.visible_columns.Select(t => ColumnFactory.create(_ladder, t)));
          this.vm = vm;
          DataContext = vm;
          DataContextChanged += datacontext_changed;

src/client/spark_api/Co2/Co2NativeMethods.cs

@@ -35,7 +35,6 @@ namespace mbts.co2
          public readonly IntPtr hot;
          public readonly IntPtr cold_data;
          public readonly IntPtr cold_header;
-         private readonly IntPtr unused_mbo;
       }
 
       [DllImport("libspark")]

src/client/spark_test/System/LimitsTests.cs

@@ -78,7 +78,7 @@ namespace bts.tests
          return securities;
       }
 
-      [Test(Timeout = 30)]
+   [Test(Timeout = 30)]
       public async Task test_position_limits() {
          string test_symbol = "CL";
 

src/client/sparkcmd/Cmd/MBOCommand.cs

@@ -1,56 +0,0 @@
-using System;
-using System.Collections.Generic;
-using System.Reflection;
-using bts.api.core;
-using bts.md;
-using CommandLine;
-using System.Linq;
-
-namespace bts {
-
-   [Verb("mbo", HelpText="MBO diagnostic command")]
-   public class MBOCommandOptions {
-      [Option('k', "key", Required = true)]
-      public UInt32 key { get; set; }
-
-      [Option('s', "side", Default = api.Side.Undefined)]
-      public api.Side side { get; set; }
-   }
-
-   public class MBOCommand {
-      public static int Run(MBOCommandOptions o) {
-         dump_mbo(o.key, o.side);
-         return 0;
-      }
-      
-      static void dump_mbo(UInt32 key, api.Side side) {
-         using (var ctx = new ServiceContext()) {
-            var mbo = ctx.locate<MBOService>();
-            var data = mbo.get_orders_for_security(new MBOSecurityQuery { SecurityId = key });
-
-            Console.WriteLine($"Order data for {data.SecurityId}");
-            IEnumerable<OrderPosition> orders = data.Bid;
-            switch(side) {
-               case api.Side.Undefined:
-                  orders = data.Ask.Concat(data.Bid);
-               break;
-               case api.Side.Buy:
-                  orders = data.Bid;
-               break;
-               case api.Side.Sell:
-                  orders = data.Ask;
-               break;
-            }
-            var price = 0.0;
-            foreach(var e in orders) {
-               if (e.Price != price) {
-                  price = e.Price;
-                  Console.WriteLine("================");
-               }
-               Console.WriteLine(e);
-            }
-         }
-      }
-   }
-
-}

src/client/sparkcmd/Cmd/OrderStress.cs

@@ -1,157 +0,0 @@
-using bts.api;
-using bts.api.core;
-using bts.api.orderman;
-using bts.co2;
-using bts.test;
-using CommandLine;
-using mbts.co2;
-using mbts.config;
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Threading.Tasks;
-
-namespace bts {
-
-   [Verb("orderstress", HelpText = "Create a bunch of orders")]
-   public class OrderStressOptions {
-      // Maybe options to create fewer orders or sleep
-
-      [Option('s', "sleep", HelpText = "Sleep ms between order submission", Default = 100)]
-      public int sleep { get; set; }
-
-      [Option('d', "depth", HelpText = "How many orders per side", Default = 10u)]
-      public uint depth { get; set; }
-
-      [Option('q', "quanityt", HelpText = "Order quantity", Default = 1u)]
-      public uint quantity { get; set; }
-   };
-
-   public struct Market {
-      public SecurityImmutable security;
-      public IntPrice? bid;
-      public IntPrice? ask;
-   }
-
-   public static class OrderStress {
-      static IEnumerable<Market> all_markets(ServiceContext ctx) {
-         var channels =
-            UserSymbol.get_all()
-            .Select(u =>
-               new SecurityChannel() {
-                  Time = 0,
-                  Flags = (int)(MDRequest.Types.Flags.Direct | MDRequest.Types.Flags.Implied),
-                  Type = u.type,
-                  Symbol = u.symbol,
-                  Exchange = u.exchange
-               }
-            );
-         var request = new MDRequest() { Host = "system_test" };
-         request.Channels.AddRange(channels);
-
-         var relay = ctx.locate<MarketDataRelay>();
-         System.Threading.Thread.Sleep(100);
-         var result = relay.requestmd(request);
-
-         foreach (var ch in result.Channels) {
-            foreach (var update in ch.Updates) {
-               if (update.Security != null) {
-                  var m = new Market() {
-                     security = new SecurityImmutable(update.Security),
-                     bid = best(
-                        (a,b) => a > b ? a : b,
-                        update.Direct?.Bids?.FirstOrDefault(), update.Implied?.Bids?.FirstOrDefault()),
-                     ask = best(
-                        (a,b) => a < b ? a : b,
-                        update.Direct?.Asks?.FirstOrDefault(), update.Implied?.Asks?.FirstOrDefault())
-                  };
-                  if (m.bid.HasValue || m.ask.HasValue) {
-                     yield return m;
-                  }
-               }
-            }
-         }
-      }
-
-      private static IntPrice? best(Func<IntPrice, IntPrice,IntPrice> comp, params PriceSizeMessage[] ps) {
-         IntPrice? result = null;
-         foreach (var p in ps) {
-            if (p != null) {
-               var ip = new IntPrice(p.Mantissa, (sbyte)p.Exponent);
-               if (result == null) {
-                  result = ip;
-               }
-               else {
-                  result = comp(result.Value, ip);
-               }
-            }
-         }
-         return result;
-      }
-
-      static Create mkorder(uint security, double price, uint size, Side side) {
-         return new Create {
-            Price = price,
-            Quantity = size,
-            NewOrder = new OrderDefinition {
-               SecurityKey = security,
-               Side = side,
-               TimeInForce = TimeInForce.Day,
-               ManualOrderIndicator = ManualOrderIndicator.Yes,
-               CtiCode = CTICode.CtiCode1,
-               CustomerOrFirm = CustomerOrFirm.Firm,
-               AccountId = 1,
-               UserId = 1,
-               CustomDef = new CustomOrderDefinition {
-                  Limit = new LimitOrderDefinition()
-               }
-            }
-         };
-      }
-
-      public static int Run(OrderStressOptions o) {
-
-         var ctx = new ServiceContext();
-         ConsoleEx.WriteLine("Please log in to Spark", ConsoleColor.Yellow);
-         ConsoleEx.Write("Username: ", ConsoleColor.Yellow);
-         var name = Console.ReadLine();
-         ConsoleEx.Write("Password: ", ConsoleColor.Yellow);
-         var pw = Console.ReadLine();
-
-         var login_result = ctx.login(name, pw);
-         if (!login_result.Result.success) {
-            ConsoleEx.WriteLine("Invalid Credentials", ConsoleColor.Red);
-         }
-
-         if (Configuration.get<config.DeploymentType>().type.ToUpper() == "PROD") {
-            ConsoleEx.WriteLine("Refusing to run on production system", ConsoleColor.Red);
-            return -1;
-         }
-
-         var orders = ctx.locate<OrderService>();
-         foreach (var m in all_markets(ctx)) {
-            ConsoleEx.WriteLine(m.security.security_desc(), ConsoleColor.White);
-            var tick = m.security.ContractSpec.LowTick;
-            if (m.ask.HasValue) {
-               for (var x = 0; x < o.depth; ++x) {
-                  var price = m.ask.Value.price() + (tick * x);
-                  ConsoleEx.WriteLine($"Sell {o.quantity} at {price}", ConsoleColor.Red);
-                  orders.create_order_async(mkorder(m.security.Id, price, o.quantity, Side.Sell));
-                  System.Threading.Thread.Sleep(o.sleep);
-               }
-            }
-            if (m.bid.HasValue) {
-               // start at bid and place 1 order at 10 levels
-               for (var x=0; x < o.depth; ++x) {
-                  var price = m.bid.Value.price() - (tick * x);
-                  ConsoleEx.WriteLine($"Buy {o.quantity} at {price}", ConsoleColor.Blue);
-                  orders.create_order_async(mkorder(m.security.Id, price, o.quantity, Side.Buy));
-                  System.Threading.Thread.Sleep(o.sleep);
-               }
-            }
-         }
-         return 3;
-      }
-   }
-
-}

src/client/sparkcmd/Cmd/ServiceTestCommand.cs

@@ -17,9 +17,16 @@ namespace bts {
       [Option(nameof(admin))]
       public bool admin { get; set; }
 
+      [Option(nameof(mbo))]
+      public bool mbo { get; set; }
+
+      [Option("key")]
+      public UInt32 key { get; set; }
+
+      [Option("side")]
+      public api.Side side { get; set; }
    }
 
-   [Verb("servicetest", HelpText="Scratch space for testing services")]
    public class ServiceTest {
       public static int Run(ServiceTestOptions o) {
          if (o.synthetic) {
@@ -31,6 +38,9 @@ namespace bts {
          if (o.admin) {
             admin_test();
          }
+         if (o.mbo) {
+            mbo_test(o);
+         }
          return 0;
       }
 
@@ -41,6 +51,25 @@ namespace bts {
          return "";
       }
 
+      private static void mbo_test(ServiceTestOptions o) {
+         var key = o.key;
+         var side = o.side;
+         using (var ctx = new ServiceContext()) {
+            var mbo = ctx.locate<MBOService>();
+            var data = mbo.get_orders_for_security(new MBOSecurityQuery { SecurityId = key });
+
+            Console.WriteLine($"Order data for {data.SecurityId}");
+            var vector = side == api.Side.Buy ? data.Bid : data.Ask;
+            var price = 0.0;
+            foreach(var e in vector) {
+               if (e.Price != price) {
+                  price = e.Price;
+                  Console.WriteLine("================");
+               }
+               Console.WriteLine(e);
+            }
+         }
+      }
 
       private static void synthetic_test() {
          using (var ctx = new ServiceContext()) {

src/client/sparkcmd/Program.cs

@@ -13,48 +13,47 @@ using System.Reflection;
 namespace sparkcmd {
    class Program {
 
-      // static object option<T>(Func<T,int> run) {return run;}
-      // static Type argType(object arg) {
-      //    return arg.GetType().GetGenericArguments().First();
-      // }
-      // static int Run(Func<IEnumerable<Error>,int> on_error, params object[] args) {
-      //    var types = args.Select(argType).ToArray();
-      //    var parse = CommandLine.Parser.Default.GetType().GetMethod("ParseArguments", BindingFlags.Public).MakeGenericMethod(types);
-      //    return 3;
-      // }
+      static object option<T>(Func<T, int> run) { return run; }
+      static Type argType(object arg) {
+         return arg.GetType().GetGenericArguments().First();
+      }
+      static int Run(Func<IEnumerable<Error>, int> on_error, params Type[] runners) {
+         var run_methods =
+            runners
+            .Select(r => r.GetMethod("Run", BindingFlags.Static | BindingFlags.Public))
+            .ToList();
+         var args =
+            run_methods
+            .Select(m => m.GetParameters().First().GetType());
+
+         var parser = Parser.Default.GetType().GetMethod("ParseArguments", new[] { typeof(IEnumerable<string>) });
+
+         //var types = args.Select(argType).ToArray();
+         //var parse = CommandLine.Parser.Default.GetType().GetMethod("ParseArguments", BindingFlags.Public).MakeGenericMethod(types);
+         return 3;
+      }
       static int Main(string[] args) {
          mbts.utils.BTSNativeMethods.provide_command_line(args, args.Length);
-         // note: this can be made to infer the options type list from the list of delegates
-         return Parser.Default
-         .ParseArguments<
-            ConfigcheckOptions,
-            ScriptClientOptions,
-            TailServiceOptions,
-            ServiceTestOptions,
-            SettingsManagerOptions,
-            TestCommandOptions,
-            OrderStressOptions,
-            MBOCommandOptions
-             >(args)
-         .MapResult<
-               ConfigcheckOptions,
-               ScriptClientOptions,
-               TailServiceOptions,
-               ServiceTestOptions,
-               SettingsManagerOptions,
-               TestCommandOptions,
-               OrderStressOptions,
-               MBOCommandOptions,
-               int>(
-            Configcheck.Run,
-            ScriptClientCommand.Run,
-            TailService.Run,
-            ServiceTest.Run,
-            SettingsManagerCommand.Run,
-            TestCommand.Run,
-            OrderStress.Run,
-            MBOCommand.Run,
-            errors => 1);
+
+         //return Parser.Default
+         //.ParseArguments<ConfigcheckOptions,ScriptClientOptions,TailServiceOptions,ServiceTestOptions,SettingsManagerOptions,TestCommandOptions>(args)
+         //.MapResult<ConfigcheckOptions,ScriptClientOptions,TailServiceOptions,ServiceTestOptions,SettingsManagerOptions,TestCommandOptions,int>(
+         //   Configcheck.Run,
+         //   ScriptClientCommand.Run,
+         //   TailService.Run,
+         //   ServiceTest.Run,
+         //   SettingsManagerCommand.Run,
+         //   TestCommand.Run,
+         //   errors => 1);
+
+         return Run(
+            errors => 1,
+            typeof(Configcheck),
+            typeof(ScriptClientCommand),
+            typeof(TailService),
+            typeof(ServiceTest),
+            typeof(SettingsManagerCommand),
+            typeof(TestCommand));
       }
    }
 }

src/data_files/files/Onixs.BTS.lic

@@ -1,16 +1,21 @@
 <license version="1.0">
   <type>production</type>
   <customer>
-    <name>Blue Trading Systems OF 9420-2</name>
+    <name>Blue Trading Systems</name>
   </customer>
   <period>
-    <since>2019-05-02</since>
-    <till>2020-05-13</till>
+    <since>2018-08-30</since>
+    <till>2019-10-16</till>
   </period>
+  <dotNetProducts>
+    <product id="41" name="FIX Analyser" />
+  </dotNetProducts>
+  <dotNetCheckSum>6O68+aAtrLqRaXxY9hLigajhC2ZunVeIev3NbyEXFjHk61WFrNmRTjy6tEduDtFUvGXvS6VUW3VXASaMTLrRgYteZBzfp7+dFTfVIVbzv6cn7c7dnSxWCGO5zPrjXw9cxMXlFz9cshyue6U/DRR5J36ThOhgt2kpY/OP9cgXWJo=</dotNetCheckSum>
   <products>
+    <product id="1" name="OnixS FIX Engine for C++" />
     <product id="4" name="CME Market Data Handler for C++" />
     <product id="7" name="ICE iMpact Multicast Price Feed Handler for C++" />
-    <product id="67" name="Eurex Market and Reference Data Interfaces (EMDI, RDI) Handler for C++" />
+    <product id="13" name="NYSE ArcaBook Multicast for Equities Handler for C++" />
   </products>
-  <checksum>5E50A1DACD94D7C1BECD316EEAE5AB02</checksum>
+  <checksum>18F98ED1E0A87B4B11DA322403D7BDDD</checksum>
 </license>

src/lib/api/public/Update.h

@@ -81,6 +81,11 @@ namespace api {
                for (size_t x = 0; x < raw.added_keys.size(); ++x) {
                   (*state)[raw.added_keys[x]] = raw.added_items[x];
                }
+               std::vector<T> all;
+               all.reserve(state->size());
+               for (const auto& item : *state) {
+                  all.push_back(item.second);
+               }
                //
                // Change
                std::vector<Change<T>> changed;
@@ -89,13 +94,6 @@ namespace api {
                   changed.push_back(Change<T>{(*state)[raw.changed_keys[x]], raw.changed_items[x]});
                   (*state)[raw.changed_keys[x]] = raw.changed_items[x];
                }
-               //
-               // All
-               std::vector<T> all;
-               all.reserve(state->size());
-               for (const auto& item : *state) {
-                  all.push_back(item.second);
-               }
                
                return Update<T, TKey, ServiceType>(all, raw.added_items, changed, removed);
             }

src/lib/md/MBOServiceServer.cpp

@@ -148,14 +148,14 @@ std::optional<uint32_t> search_orders(const ExchangeOrderKey oid, const std::vec
       const auto& oo = orders[x];
       if (oo.id == oid) {
          if (oo.price == price) return { position };
-         else return 0;
+         else return 0 ;
       }
       else if (price == oo.price) {
-         position += oo.size;
+         position += 1;
       }
       else {
          price = oo.price;
-         position = oo.size;
+         position = 1;
       }
    }
    return std::nullopt;

src/lib/md/MBOServiceServer.h

@@ -2,7 +2,6 @@
 #include "lib/api/public/ServiceContext.h"
 #include "lib/api/services/MBOService.server.pb.h"
 #include <memory>
-#include <optional>
 
 namespace bts { 
 namespace utils { class Dispatcher; }
@@ -25,5 +24,4 @@ class MBOServiceServer : public MBOServiceBase {
 
 };
 
-
 }} //namespace 

src/lib/md/test/mbo_tests.cpp

@@ -9,10 +9,6 @@
 
 namespace bts {
 namespace md {
-
-// fwd declare from MBOServiceServer.cpp
-std::optional<uint32_t> search_orders(const ExchangeOrderKey oid, const std::vector<SnapshotOrder>& orders);
-
 namespace test {
 int mbo_tests = 0;
 
@@ -206,7 +202,6 @@ TEST_CASE("MBO sort order", "[md][mbo]") {
    }
 }
 
-
 TEST_CASE("MBO change price and size", "[md][mbo]") {
    // When an order's size goes up it gets a new priority
    Co2TestInstrument instr { "MBO", api::SECURITYTYPE_FUTURE };
@@ -293,27 +288,7 @@ TEST_CASE("MBO change price and size", "[md][mbo]") {
       }
    }
    }
-
-   // Do some tests on the snapshot
-   MBOSnapshot result;
-   copy_to_snapshot(state, &result);
-
-   auto ask30 = search_orders(ExchangeOrderKey(701267928346), result.asks); 
-   REQUIRE(ask30);
-   REQUIRE(*ask30 == 0);
-
-   auto bid2875 = search_orders(ExchangeOrderKey(701267993135), result.bids);
-   REQUIRE(bid2875);
-   REQUIRE(*bid2875 == 20);
    
-   bid2875 = search_orders(ExchangeOrderKey(701267299079), result.bids);
-   REQUIRE(bid2875);
-   REQUIRE(*bid2875 == 6);
-
-   auto not_bid = search_orders(ExchangeOrderKey(701967299879), result.bids);
-   auto not_ask = search_orders(ExchangeOrderKey(701967299879), result.asks);
-   REQUIRE(!not_bid);
-   REQUIRE(!not_ask);
 }
 
 }}}

src/server/sparkd/cmds/RunSim.cpp

@@ -6,7 +6,7 @@ namespace cmd {
 
 int RunSim::execute(std::vector<std::string> const &)
 {
-   sim::start_exchange_sim(nullptr);
+   sim::start_exchange_sim();
    return 0;
 }
 

src/server/sparkd/exchange_sim/ExchangeSim.cpp

@@ -20,7 +20,6 @@
 #include "lib/domain_model/Security.pb.h"
 #include "lib/md/relay/RelayRecorder.h"
 #include "lib/md/IntPrice.h"
-#include "lib/md/MBOProcessor.h"
 
 #include <set>
 
@@ -125,7 +124,7 @@ struct MDPlayer : md::IRelayWriter
 };
 
 
-int start_exchange_sim(md::MBOWriter* mbo)
+int start_exchange_sim()
 {
    try
    {
@@ -138,7 +137,7 @@ int start_exchange_sim(md::MBOWriter* mbo)
       std::istringstream str{str_settings};
       FIX::SessionSettings settings( str );
 
-      ex_sim::ExchangeSimApplication application(mbo);
+      ex_sim::ExchangeSimApplication application;
       FIX::FileStoreFactory storeFactory( settings );
       FIX::FileLogFactory logFactory( settings );
       FIX::SocketAcceptor acceptor( application, storeFactory, settings, logFactory );

src/server/sparkd/exchange_sim/ExchangeSim.h

@@ -3,9 +3,8 @@
 #include <memory>
 
 namespace bts {
-namespace md { class MBOWriter; }
 namespace sim {
 
-int start_exchange_sim(md::MBOWriter*);
+int start_exchange_sim();
 
 }}

src/server/sparkd/exchange_sim/ExchangeSimApplication.cpp

@@ -10,14 +10,12 @@
 #include "lib/md/Shm/FixedSecurity.h"
 #include "lib/md/Shm/MDStructure.h"
 #include "lib/md/get_symbols.h"
-#include "lib/md/MBOProcessor.h"
 #include "lib/utils/Dispatcher.h"
 #include "lib/utils/datetime.h"
 #include "server/sparkd/exchange_sim/book/Order.h"
 #include "server/sparkd/exchange_sim/book/OrderMatcher.h"
 #include "server/sparkd/exchange_sim/book/book_transform.h"
 #include "lib/persistence/SqliteStore.h"
-#include "lib/orderman/orderman_utils/fix_order_codec.h"
 
 #include <boost/date_time/posix_time/posix_time.hpp>
 #include <fmt/format.h>
@@ -99,20 +97,14 @@ struct ExchangeSimApplication::MDConsumerRec {
    utils::TimeStamp last_read;
 };
 
-inline FIX::OrderID exchange_key(const std::string& clOrdID) {
-   return FIX::OrderID(clOrdID.substr(3));
-}
-
 struct ExchangeSimApplication::PImpl {
-   PImpl(md::MBOWriter* mbo)
+   PImpl()
        : producer(co2::PLATFORM_SIM),
          md_sn(1),
          timer(utils::Dispatcher::background(), 200,
                [=]() { producer.heartbeat(); }),
          do_merge_with_md(config::get<config::ExchangeSim>().merge_with_md()),
-         store(new persistence::SqliteStore("ex_sim_orders")),
-         lock(),
-         mbo(mbo) {}
+         store(new persistence::SqliteStore("ex_sim_orders")) {}
 
    IDGenerator m_generator;
    md::MDProducer producer;
@@ -124,10 +116,9 @@ struct ExchangeSimApplication::PImpl {
    bool do_merge_with_md;
    std::unique_ptr<persistence::IStore> store;
    std::mutex lock;
-   md::MBOWriter* mbo;
 };
 
-ExchangeSimApplication::ExchangeSimApplication(md::MBOWriter* mbo) : me(new PImpl(mbo)) {
+ExchangeSimApplication::ExchangeSimApplication() : me(new PImpl()) {
    auto previous_book = me->store->retrieve_all();
 
    auto all = me->store->retrieve_all()["books"];
@@ -364,7 +355,7 @@ void ExchangeSimApplication::updateOrder(const Order &order, char status) {
    FIX::TargetSubID(order.sender_sub_id());
 
    FIX42::ExecutionReport fixOrder;
-   fixOrder.set(exchange_key(order.clordid()));
+   fixOrder.set(FIX::OrderID("12345678901234567"));
    fixOrder.set(FIX::ExecID(me->m_generator.genExecutionID()));
    fixOrder.set(FIX::ExecTransType(FIX::ExecTransType_NEW));
    fixOrder.set(FIX::ExecType(status));
@@ -414,7 +405,7 @@ void ExchangeSimApplication::rejectOrder(
    FIX::SenderCompID senderCompID(target.getValue());
 
    FIX42::ExecutionReport fixOrder;
-   fixOrder.set(exchange_key(clOrdID.getString()));
+   fixOrder.set(FIX::OrderID("12345678901234567"));
    fixOrder.set(FIX::ExecID(me->m_generator.genExecutionID()));
    fixOrder.set(FIX::ExecTransType(FIX::ExecTransType_NEW));
    fixOrder.set(FIX::ExecType(FIX::ExecType_REJECTED));
@@ -489,7 +480,7 @@ void ExchangeSimApplication::update_md(std::string const &sec_desc) {
       handle.update_direct(utils::TimeStamp::now(), bids_temp, asks_temp, me->md_sn++);
 
       auto new_trades = matcher.get_new_trades();
-      for (auto &t : new_trades) {
+      for (auto &t : new_trades)
          handle.add_trade(
              utils::TimeStamp::now(),
              md::PriceSize_from_double<ex_sim::precision>(t.price.value() * price_factor,t.quantity.value()),
@@ -497,29 +488,6 @@ void ExchangeSimApplication::update_md(std::string const &sec_desc) {
              t.bid_aggressor ? co2::AGGRESSOR_SIDE_BUY 
                : ( t.ask_aggressor ? co2::AGGRESSOR_SIDE_SELL 
                   : co2::AGGRESSOR_SIDE_NONE) );
-      }
-
-      // publish mbo
-      auto mbo = me->mbo;
-      if (mbo) {
-         // get the list of trades
-         auto ob = matcher.get_order_book(nullptr);
-         auto snap = mbo->allocate_snapshot();
-         for (const auto& order : ob.order()) {
-            auto ek = exchange_key(order.clordid());
-            md::SnapshotOrder sno { 
-               md::ExchangeOrderKey(std::atoll(ek.getString().c_str())), 
-               md::IntPrice_from_double<precision>(order.price() * price_factor),
-               (int)order.open_quantity() };
-            if (order.side() == api::SIDE_BUY) {
-               snap->bids.push_back(sno);
-            }
-            else if (order.side() == api::SIDE_SELL) {
-               snap->asks.push_back(sno);
-            }
-         }
-         mbo->publish_snapshot(SecurityKey(it->second.key()), &snap);
-      }
    }
 }
 

src/server/sparkd/exchange_sim/ExchangeSimApplication.h

@@ -43,7 +43,7 @@ GCC_DIAG_OFF("-Wignored-qualifiers")
 
 namespace bts {
 namespace api {class Security;}
-namespace md {class MDConsumerHandle; class MBOWriter;}
+namespace md {class MDConsumerHandle;}
 namespace ex_sim {
 static const int precision = 9;
 class Order;
@@ -55,7 +55,7 @@ class ExchangeSimApplication
      public FIX::MessageCracker
 {
 public:
-   ExchangeSimApplication(md::MBOWriter*);
+   ExchangeSimApplication();
    ~ExchangeSimApplication();
    void merge_with_md_book();
 

src/server/sparkd/exchange_sim/book/OrderMatcher.cpp

@@ -83,17 +83,13 @@ void OrderMatcher::add_or_merge(Order const &o, std::vector<Order> *out) {
 
    auto range = find_level(*side,o.price());
 
-   // If the last order at this level is the same owner we can update it
-   if (range.first != range.second) {
-      auto last = range.second;
-      last--;
-      if (last->owner() == o.owner()) {
-         auto no_const = const_cast<Order *>(&(*last));
-         no_const->set_open_quantity(last->open_quantity() + o.quantity());
+   for (auto it = range.first; it != range.second; it++) 
+      if (it->owner() == o.owner()) {
+         auto no_const = const_cast<Order *>(&(*it));
+         no_const->set_open_quantity(it->open_quantity() + o.quantity());
          match(out);
          return;
       }
-   }
    add_new(o,out);
 }
 
@@ -236,14 +232,14 @@ Book OrderMatcher::get_book() const {
    return result;
 }
 
-OrderBook OrderMatcher::get_order_book(const char* exclude_owner) const
+OrderBook OrderMatcher::get_order_book(std::string const&exclude_owner) const
 {
    OrderBook result;
    for (auto &b : me->bids)
-      if (exclude_owner == nullptr || b.owner() != exclude_owner)
+      if (b.owner() != exclude_owner)
          *result.add_order() = b;
    for (auto &a : me->asks)
-      if (exclude_owner == nullptr || a.owner() != exclude_owner)
+      if (a.owner() != exclude_owner)
          *result.add_order() = a;
    return result;
 }

src/server/sparkd/exchange_sim/book/OrderMatcher.h

@@ -30,7 +30,7 @@ class OrderMatcher {
                                      Quantity by_quantity,
                                      std::string const& order_owner);
    Book get_book() const;
-   OrderBook get_order_book(const char*) const;
+   OrderBook get_order_book(std::string const&exclude_owner) const;
    
    Order const *get_order(std::string const &clorid);
   

src/server/sparkd/md/run_md.cpp

@@ -152,7 +152,7 @@ void run_market_datapublishers(MBOWriter* mbo) {
    }));
 
   if (config::get<MarketDataConfig>().use_sim()) { 
-   threading::make_thread("ExchangeSim", [mbo]() { sim::start_exchange_sim(mbo); })
+   threading::make_thread("ExchangeSim", []() { sim::start_exchange_sim(); })
        .detach();
   }
   boot_sleep();