Updated release notes and fixed bug that brought Haris down.

1.Position limit check for QHO and 2. QHO crash for rejected orders
'Algo->spreader is not sending the price over' is fixed
2019-05-28 07:06:39 -04:00 · 2019-05-27 16:03:44 -04:00 · 2019-05-24 16:43:56 -04:00 · 2019-05-24 14:02:06 -04:00 · 2019-05-24 13:59:31 -04:00 · 2019-05-24 13:58:59 -04:00
55 changed files with 1258 additions and 330 deletions
@@ -1,83 +1,14 @@
 {
    "version": "0.2.0",
    "configurations": [
-
-        {
-            "name": "(gdb) Launch",
-            "type": "cppdbg",
-            "request": "launch",
-            "program": "${workspaceRoot}/build/ninja_debug/server/sparkd/sparkd",
-            "args": ["run"],
-            "stopAtEntry": false,
-            "cwd": "${workspaceRoot}/build/ninja_debug/src/server/sparkd",
-            "environment": [],
-            "externalConsole": true,
-            "MIMode": "gdb",
-            "setupCommands": [
-                {
-                    "description": "Enable pretty-printing for gdb",
-                    "text": "-enable-pretty-printing",
-                    "ignoreFailures": true
-                }
-            ]
-        },
-        {
-         "name": "Client Launch",
-         "type": "clr",
-         "request": "launch",
-         "program": "${workspaceRoot}/build/Debug/bin/net471/spark.exe",
-         "args": [],
-         "cwd": "${workspaceRoot}",
-         "stopAtEntry": false,
-         "externalConsole": true,
-         "requireExactSource": false
-        },
-      {
-         "name": "SDK Launch",
-         "type": "clr",
-         "request": "launch",
-         "program": "${workspaceRoot}/build/Debug/bin/net471/spark_sdk.exe",         
-         "args": ["md","GLBX","Future","CL", "CLZ9", "--user=bts", "--pass="],
-         "cwd": "${workspaceRoot}",
-         "stopAtEntry": false,
-         "externalConsole": true,
-         "requireExactSource": false
-      },        
-      {
-         "name": "Excel Launch",
-         "type": "clr",
-         "request": "launch",
-         "program": "C:/Program Files/Microsoft Office/Office14/EXCEL.EXE",
-         "args": ["${workspaceRoot}/build/Debug/bin/net471/spark_excel-addin64-packed.xll"],
-         "cwd": "${workspaceRoot}",
-         "stopAtEntry": false,
-         "externalConsole": true,
-         "requireExactSource": false
-      },          
-      {
-         "name": "Client Tests",
-         "type": "clr",
-         "request": "launch",
-         "program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
-         "args": ["test","test_filter"],
-         "cwd": "${workspaceRoot}",
-         "stopAtEntry": false,
-         "externalConsole": true,
-         "requireExactSource": false
-      },           
-      {
-            "name": "Client Attach",
-            "type": "clr",
-            "request": "attach",
-            "processId":"${command:pickProcess}"
-        },
        {
            "name": "SparkVM Launch",
            "type": "cppdbg",
            "request": "launch",
-            
            "program": "/home/bts/spark/build/ninja_debug/server/sparkd",
-            "args": ["run"],
+            "args": [
+                "run"
+            ],
            "stopAtEntry": false,
            "cwd": "/home/bts/spark/build/ninja_debug/server/",
            "environment": [],
@@ -102,24 +33,113 @@
                    "description": "LD LIBRARY",
                    "text": "set env LD_LIBRARY_PATH=.",
                    "ignoreFailures": false
-                }                
+                }
            ],
            "pipeTransport": {
                "pipeCwd": "${workspaceRoot}",
                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": ["bts@sparkvm"],
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
                "debuggerPath": "/usr/bin/gdb"
            },
            "sourceFileMap": {
                "/home/bts/spark/": "${workspaceRoot}"
            }
        },
+        {
+            "name": "(gdb) Launch",
+            "type": "cppdbg",
+            "request": "launch",
+            "program": "${workspaceRoot}/build/ninja_debug/server/sparkd/sparkd",
+            "args": [
+                "run"
+            ],
+            "stopAtEntry": false,
+            "cwd": "${workspaceRoot}/build/ninja_debug/src/server/sparkd",
+            "environment": [],
+            "externalConsole": true,
+            "MIMode": "gdb",
+            "setupCommands": [
+                {
+                    "description": "Enable pretty-printing for gdb",
+                    "text": "-enable-pretty-printing",
+                    "ignoreFailures": true
+                }
+            ]
+        },
+        {
+            "name": "Client Launch",
+            "type": "clr",
+            "request": "launch",
+            "program": "${workspaceRoot}/build/Debug/bin/net471/spark.exe",
+            "args": [],
+            "cwd": "${workspaceRoot}",
+            "stopAtEntry": false,
+            "externalConsole": true,
+            "requireExactSource": false
+        },
+        {
+            "name": "SDK Launch",
+            "type": "clr",
+            "request": "launch",
+            "program": "${workspaceRoot}/build/Debug/bin/net471/spark_sdk.exe",
+            "args": [
+                "md",
+                "GLBX",
+                "Future",
+                "CL",
+                "CLZ9",
+                "--user=bts",
+                "--pass="
+            ],
+            "cwd": "${workspaceRoot}",
+            "stopAtEntry": false,
+            "externalConsole": true,
+            "requireExactSource": false
+        },
+        {
+            "name": "Excel Launch",
+            "type": "clr",
+            "request": "launch",
+            "program": "C:/Program Files/Microsoft Office/Office14/EXCEL.EXE",
+            "args": [
+                "${workspaceRoot}/build/Debug/bin/net471/spark_excel-addin64-packed.xll"
+            ],
+            "cwd": "${workspaceRoot}",
+            "stopAtEntry": false,
+            "externalConsole": true,
+            "requireExactSource": false
+        },
+        {
+            "name": "Client Tests",
+            "type": "clr",
+            "request": "launch",
+            "program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
+            "args": [
+                "test",
+                "test_filter"
+            ],
+            "cwd": "${workspaceRoot}",
+            "stopAtEntry": false,
+            "externalConsole": true,
+            "requireExactSource": false
+        },
+        {
+            "name": "Client Attach",
+            "type": "clr",
+            "request": "attach",
+            "processId": "${command:pickProcess}"
+        },
        {
            "name": "Spreader Tests",
            "type": "cppdbg",
            "request": "launch",
            "program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
-            "args": ["test", "[spreader]"],
+            "args": [
+                "test",
+                "[spreader]"
+            ],
            "stopAtEntry": false,
            "cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
            "environment": [],
@@ -139,7 +159,9 @@
            "pipeTransport": {
                "pipeCwd": "${workspaceRoot}",
                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": ["bts@sparkvm"],
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
                "debuggerPath": "/usr/bin/gdb"
            },
            "sourceFileMap": {
@@ -151,7 +173,10 @@
            "type": "cppdbg",
            "request": "launch",
            "program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
-            "args": ["test", "[admin_service]"],
+            "args": [
+                "test",
+                "[admin_service]"
+            ],
            "stopAtEntry": false,
            "cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
            "environment": [],
@@ -171,7 +196,9 @@
            "pipeTransport": {
                "pipeCwd": "${workspaceRoot}",
                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": ["bts@sparkvm"],
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
                "debuggerPath": "/usr/bin/gdb"
            },
            "sourceFileMap": {
@@ -183,7 +210,10 @@
            "type": "cppdbg",
            "request": "launch",
            "program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
-            "args": ["test", "[limiter]"],
+            "args": [
+                "test",
+                "[limiter]"
+            ],
            "stopAtEntry": false,
            "cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
            "environment": [],
@@ -203,7 +233,9 @@
            "pipeTransport": {
                "pipeCwd": "${workspaceRoot}",
                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": ["bts@sparkvm"],
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
                "debuggerPath": "/usr/bin/gdb"
            },
            "sourceFileMap": {
@@ -215,7 +247,10 @@
            "type": "cppdbg",
            "request": "launch",
            "program": "/home/bts/spark/build/ninja_debug/server/sparkd",
-            "args": ["test", "[mbo]"],
+            "args": [
+                "test",
+                "[mbo]"
+            ],
            "stopAtEntry": false,
            "cwd": "/home/bts/spark/build/ninja_debug/server/",
            "environment": [],
@@ -240,14 +275,16 @@
            "pipeTransport": {
                "pipeCwd": "${workspaceRoot}",
                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": ["bts@sparkvm"],
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
                "debuggerPath": "/usr/bin/gdb"
            },
            "sourceFileMap": {
                "/home/bts/spark/": "${workspaceRoot}"
            }
        },
-         {
+        {
            "name": "SparkVM attach",
            "type": "cppdbg",
            "request": "attach",
@@ -255,16 +292,18 @@
            "processId": "${command:pickRemoteProcess}",
            "MIMode": "gdb",
            "pipeTransport": {
-               "pipeCwd": "${workspaceRoot}",
-               "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-               "pipeArgs": ["bts@sparkvm"],
-               "debuggerPath": "/usr/bin/gdb"
+                "pipeCwd": "${workspaceRoot}",
+                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
+                "debuggerPath": "/usr/bin/gdb"
            },
            "sourceFileMap": {
-               "/home/bts/spark/": "${workspaceRoot}"
+                "/home/bts/spark/": "${workspaceRoot}"
            }
-         },
-         {
+        },
+        {
            "name": "Python",
            "type": "python",
            "request": "launch",
@@ -274,7 +313,9 @@
            "cwd": "${workspaceRoot}",
            "env": {},
            "envFile": "${workspaceRoot}/.env",
-            "args": [ "DEBUG" ],
+            "args": [
+                "DEBUG"
+            ],
            "debugOptions": [
                "WaitOnAbnormalExit",
                "WaitOnNormalExit",
@@ -288,7 +329,9 @@
            "processId": "${command:pickRemoteProcess}",
            "pipeTransport": {
                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": ["bts@sparkvm"],
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
                "debuggerPath": "/home/bts/vsdbg/vsdbg",
                "pipeCwd": "${workspaceRoot}",
                "quoteArgs": true
@@ -303,12 +346,18 @@
            "type": "coreclr",
            "request": "launch",
            "program": "/usr/bin/dotnet",
-            "args": ["sparkcmd.dll", "test", "test_join_create_and_takeout_market"],
+            "args": [
+                "sparkcmd.dll",
+                "test",
+                "test_join_create_and_takeout_market"
+            ],
            "stopAtEntry": false,
            "cwd": "/home/bts/spark/build/ninja_debug/server",
            "pipeTransport": {
                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": ["bts@sparkvm"],
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
                "debuggerPath": "/home/bts/vsdbg/vsdbg",
                "pipeCwd": "${workspaceRoot}",
                "quoteArgs": true
@@ -4,6 +4,34 @@ weight = 3
 sort_by = "weight"
 insert_anchor_links = "right"
 +++
+## 2.0.5
+### User Visible Changes
+  - Fixed a bug in the handling of rejected QHO orders
+  - Implemented stricter position limit enforcement
+  - Fixed a bug that could cause server failure when trying to attach to already attached orders
+
+## 2.0.4
+### User Visible Changes
+  - Fixed performance regression in order manager
+  
+### Internal changes
+  - Improved market data diagnostics for bad configurations
+  - Changed market data default buffer size
+  
+## 2.0.3
+### Internal changes
+  - Improved backwards compatibility in UI settings
+
+  
+## 2.0.2
+### User Visible Changes
+  - Middle click the ladder price column to show the orders for that price level 
+  - Middle click the bid or ask column in the ladder no longer sends an order
+
+### Internal changes
+  - Improved market by order performance under heavy load
+  - Fixed a concurrency bug in SIM
+
 ## 2.0.0
 ### User Visible Changes
  - Support for attaching and detaching algos to existing orders
@@ -20,6 +20,27 @@ namespace bts.shell {
      readonly IBus _bus;
      readonly OrdersModel _orders_model;
      readonly UserSettingsHub _settings_hub;
+      /// Fills 'sorting-criterion' settings were compromised a while back (mid-late 2018).
+      /// The issue was that, when a column was sorted, its 'sort member path' was assigned to the SortingCriteria.col_name,
+      /// rather than the <see cref="Columns"/> enum/id string.
+      /// This dictionary serves as a reverse-lookup so the sort member path can be converted to the enum/id string.
+      static readonly IReadOnlyDictionary<string, Columns> _sort_member_to_id =
+         new Dictionary<string, Columns> {
+            { nameof(FillsVM.Row.account), Columns.Account },
+            { nameof(FillsVM.Row.exchange), Columns.Exchange },
+            { nameof(FillsVM.Row.fill_key), Columns.FillKey },
+            { nameof(FillsVM.Row.fill_kind), Columns.FillKind },
+            { nameof(FillsVM.Row.fill_time), Columns.FillTime },
+            { nameof(FillsVM.Row.order_key), Columns.OrderKey },
+            { nameof(FillsVM.Row.order_type), Columns.OrderType },
+            { nameof(FillsVM.Row.price), Columns.Price },
+            { nameof(FillsVM.Row.security), Columns.Security },
+            { nameof(FillsVM.Row.security_key), Columns.SecurityKey },
+            { nameof(FillsVM.Row.side), Columns.Side },
+            { nameof(FillsVM.Row.size), Columns.Size },
+            { nameof(FillsVM.Row.time_in_force), Columns.TimeInForce },
+            { nameof(FillsVM.Row.user), Columns.User }
+         };

      public FillsWindowFactory(TradingShellModule module, IBus bus, UserSettingsHub settings_hub, OrdersModel orders_model)
         : base(module, "Fills") {
@@ -38,6 +59,7 @@ namespace bts.shell {
         _bus.post(SparkTags.ShowWindow, await load(state));

      IShellWindow _create(StartupData state) {
+         GridSettingsHelper.normalize_sorting_criterion(state.sorting_criterion, _sort_member_to_id);
         var settings_manager = new WindowSettingsManager<GridSettings>(_settings_hub,
            state.grid,
            get: us => us.fills_grid,
@@ -2,6 +2,7 @@
 using bts.api;
 using bts.api.core;
 using bts.api.orderman;
+using bts.md;
 using mbts.co2;
 using System;
 using System.Threading.Tasks;
@@ -10,12 +11,14 @@ namespace mbts.spark {
   class LadderModel {
      readonly OrdersModel _order_gateway;

-      public LadderModel(SecurityMD source, OrdersModel ordergw, Func<OrderSecurity, bool> order_filter = null) {
+      public LadderModel(SecurityMD source, OrdersModel ordergw, MBOService mbo, Func<OrderSecurity, bool> order_filter = null) {
         security_md = source;
         _order_gateway = ordergw;
         orders = ordergw.on_security_working_orders_with_piq(source.security.Id);
-         if (order_filter != null)
+         this.mbo_service = mbo;
+         if (order_filter != null) {
            orders = orders.Filter(order_filter, o => o.order.Key);
+		 }
      }

      public enum CancelType { All, Bids, Asks }
@@ -26,6 +29,8 @@ namespace mbts.spark {
      public OrdersModel order_gateway => _order_gateway;
      public IObservable<TableUpdate<OrderSecurity, uint>> orders { get; }

+      public MBOService mbo_service { get; }
+
      public Task cancel_orders(CancelType ct) {
         switch (ct) {
            case CancelType.All: return _order_gateway.cancel_security_orders(security.Id);
@@ -1,4 +1,5 @@
 using bts.api;
+using bts.md;
 using mbts;
 using mbts.config;
 using mbts.persist;
@@ -21,17 +22,26 @@ namespace bts.shell {
      readonly LadderConfig _ladder_conf;
      readonly IBus _bus;
      readonly IWindowManager _wm;
+      readonly MBOService _mbo;
      readonly UserSettingsHub _settings_hub;
      readonly OrdersModel _orders_model;
      IReadOnlyDictionary<uint, SecurityMD> _securities = new Dictionary<uint, SecurityMD>();

-      public LadderWindowFactory(IShellModule owner, IBus bus, IWindowManager wm, UserSettingsHub settings_hub, OrdersModel orders_model)
+      public LadderWindowFactory(
+         IShellModule owner, 
+         IBus bus, 
+         IWindowManager wm, 
+         UserSettingsHub settings_hub, 
+         OrdersModel orders_model,
+         MBOService mbo)
+
         : base(owner, "SparkLadder") {
         _bus = bus;
         _wm = wm;
         _settings_hub = settings_hub;
         _orders_model = orders_model;
         _ladder_conf = new LadderConfig(Configuration.get<bts.config.LadderKnobs>(), Configuration.get<bts.config.MultiThreadedWindows>().ladder);
+         _mbo = mbo;
         _dispose = Disposable.Create(
            bus.subscribe(SparkTags.SecuritiesTag).Subscribe(s => _securities = s),
            bus.subscribe(SparkTags.ShowLadderTag).OnDispatcher().Subscribe(s => show_windows(new[] { s })),
@@ -54,7 +64,7 @@ namespace bts.shell {
      IShellWindow create_ladder_window(SecurityMD md, LadderSettings state_settings) {
         var id = Interlocked.Increment(ref _ladder_count) % Environment.ProcessorCount;
         var view = new Lazy<UIElement>(() => {
-            var model = new LadderModel(md, _orders_model);
+            var model = new LadderModel(md, _orders_model, _mbo);
            var settings_manager = new WindowSettingsManager<LadderSettings>(
               _settings_hub, state_settings == null || state_settings.use_defaults ? null : state_settings,
               us => sanitize_ladder_settings(us.ladder),
@@ -169,6 +169,11 @@ namespace mbts.spark {
         RaisePropertyChanged(nameof(text_lines));
      }

+      /// <summary>
+      /// Add Order performs an add the first time it's called via the constructor. When it's called, directly
+      /// it really serves as an update/replace. Also note that since the min_piq is a separate piece of state representing
+      /// the lowest piq of the orders the badge represents, we must reevaluate if that has changed on said update.
+      /// </summary>
      public void add_order((OrderRecordImmutable order, uint? p, AlgoData? algo, AlgoDefinitionMetadata? meta) new_op) {
         _orders[new_op.order.Key] = new_op;
         // reevaluate min piq if this order's piq is less
@@ -116,7 +116,7 @@ namespace mbts.spark {
         //_window_height = backing(nameof(window_height), settings_manager.subscribe_current().OnDispatcher().Select(s => s.zoom_factor), (scale) => scale * 600);
         //_window_width = backing(nameof(window_width), settings_manager.subscribe_current().OnDispatcher().Select(s => s.zoom_factor), (scale) => scale * 420);
         position_click_command = new DelegateCommand(() => size_calculator.value = DoubleHelper.safe_convert_to_uint(Math.Abs(position)));
-         send_order_command = new DelegateCommand<(double price, Side? side, bool size_from_alternate)>(send_order);
+         send_order_command = new DelegateCommand<(double price, Side? side, MouseButton button)>(send_order);
         cancel_command = new AsyncCommand<LadderModel.CancelType>(_model.cancel_orders, true);
         show_book_command = new DelegateCommand(_show_book);
         show_ticket_command = new DelegateCommand(_show_ticket);
@@ -232,7 +232,7 @@ namespace mbts.spark {
      // we return only entries who have piqs and whose piqs are not uint.Max
      // uint.Max happens when the server is restarted but the client is still up
      // maybe long term we don't show this data while the exchange connection is down
-      public IEnumerable<(double, uint)> price_vs_piq => _slot_price_vs_orders.Values.Where(result => result.min_piq.HasValue && result.min_piq.Value != uint.MaxValue).Select(o => (o.price, o.min_piq.Value));  
+      public IEnumerable<(double, uint)> price_vs_piq => _slot_price_vs_orders.Values.Where(result => result.min_piq.HasValue && result.min_piq.Value != uint.MaxValue).Select(o => (o.price, o.min_piq.Value));
      public bool is_synthetic => _model.security.ContractCase == Security.ContractOneofCase.Synthetic;

      Property<string> _status;
@@ -348,13 +348,15 @@ namespace mbts.spark {
         }
      }

-      public async void send_order((double price, Side? side, bool size_from_alternate) args) {
+      public async void send_order((double price, Side? side, MouseButton buton) args) {
+         if (args.buton == MouseButton.Middle) return;
+         var size_from_alternate = args.buton == MouseButton.Right;
         if (order_properties_vm == null)
            return;
         var s = _settings_manager.current_settings();
-         if (DoubleHelper.IsNaNOrInfinity(args.price) || !args.side.HasValue || HasErrors || order_properties_vm.HasErrors || (args.size_from_alternate && s.alternate_order_size == 0))
+         if (DoubleHelper.IsNaNOrInfinity(args.price) || !args.side.HasValue || HasErrors || order_properties_vm.HasErrors || (size_from_alternate && s.alternate_order_size == 0))
            return;
-         else if (!args.size_from_alternate && (!size_calculator.value.HasValue || size_calculator.value.Value == 0)) {
+         else if (!size_from_alternate && (!size_calculator.value.HasValue || size_calculator.value.Value == 0)) {
            size_calculator.flash_error();
         } else {
            var order = order_properties_vm.create(args.side.Value);
@@ -371,7 +373,7 @@ namespace mbts.spark {
               }
            }
               
-            uint size = args.size_from_alternate ? s.alternate_order_size : (uint)Math.Abs(size_calculator.value.Value);
+            uint size = size_from_alternate ? s.alternate_order_size : (uint)Math.Abs(size_calculator.value.Value);
            await _model.order_gateway.send_order(order, args.price, size);
            if (auto_clear)
               size_calculator.value = 0;
@@ -1,8 +1,10 @@
 using bts;
 using bts.api;
 using bts.api.md.auxiliary;
+using bts.md;
 using bts.collections;
 using bts.utils;
+using bts.config;
 using mbts.co2;
 using mbts.ui;
 using mbts.ui.controls;
@@ -17,11 +19,13 @@ using System.Collections.ObjectModel;
 using System.Collections.Specialized;
 using System.Linq;
 using System.Reactive.Linq;
+using System.Threading.Tasks;
 using System.Windows;
 using System.Windows.Controls;
 using System.Windows.Input;
 using System.Windows.Media;
 using System.Windows.Media.Animation;
+using mbts.config;

 namespace mbts.spark {
   partial class LadderGridHost : Control {
@@ -320,25 +324,56 @@ namespace mbts.spark {
         Focus();
         var point = e.GetPosition(this);
         var column = _column_for_point(point);
-         if (column.column_type == ColumnType.Price && e.ChangedButton == MouseButton.Middle)
-            _scroll_to_center();
+         if (column.column_type == ColumnType.Price && e.ChangedButton == MouseButton.Middle) {
+            show_mbo_popup(point).ignore();
+         }
         else if (_settings != null) {
            var price = price_for_point(point);
            Side? bs = null;
            if (column.column_type == ColumnType.Bid) bs = Side.Buy;
            if (column.column_type == ColumnType.Ask) bs = Side.Sell;
-            var pbs = (price, bs, e.ChangedButton == MouseButton.Right);
+            var pbs = (price, bs, e.ChangedButton);
            if (Command != null && Command.CanExecute(pbs)) {
               if (bs.HasValue) {
                  using (_tactile_adorner.show_busy(_row_for_point(point), bs.Value == Side.Buy ? ColumnType.Bid : ColumnType.Ask))
                     await Command.ExecuteAsync(pbs);
-               } else
+               }
+               else {
                  Command.Execute(pbs);
+               }
            }
         }
         base.OnMouseDown(e);
      }

+      private async Task show_mbo_popup(Point point) {
+         var query = MBOPopupModel.default_query.with(
+            security_id: _vm.model.security.Id,
+            price_level: price_for_point(point)
+         );
+         var model = new MBOPopupModel(_vm.model.mbo_service, _vm.model.security, query);
+         // Load the first set of orders so we know if there are any before showing the popup
+         var result = await model.load_orders();
+         if (result.success && result.value.orders.Count > 0) {
+            var view = new MBOPopupView(model, result.value);
+            var popup = new AutoClosePopup {
+               PlacementTarget = this,
+               PlacementRectangle = new Rect(point, point),
+               IsOpen = true,
+               Child = new Border {
+                  BorderBrush = Brushes.Black,
+                  BorderThickness = new Thickness(0.5),
+                  Child = new ScrollViewer {
+                     VerticalScrollBarVisibility = ScrollBarVisibility.Hidden,
+                     HorizontalScrollBarVisibility = ScrollBarVisibility.Disabled,
+                     Content = view,
+                  }
+               }
+            };
+            view.RequestClose += (o, _) => popup.IsOpen = false;
+         }
+      }
+
      protected override void OnMouseDoubleClick(MouseButtonEventArgs e) {
         var column = _column_for_point(e.GetPosition(this));
         if (column.column_type == ColumnType.Price)
@@ -72,8 +72,7 @@ namespace mbts.spark {
                  panel.Children.Remove(item);
               }
            }
-         } //else
-            //Log.Ui.warn($"Failed to remove order ({order.id}): order not in {nameof(LadderOrdersHost)}'s {nameof(_orders)}.");
+         }
      }

      public void clear_orders() {
@@ -192,11 +191,8 @@ namespace mbts.spark {
               Margin = Badge.DefaultMargin,
               Orientation = Orientation.Horizontal,
               MaxWidth = _col_width
-               //MaxHeight = _row_height,
-               //ClipToBounds = true
            };

-            //var view_box = new Viewbox { Child = panel, Width = _col_width, Height = _row_height };
            _position_panel(panel, price);
            _stacks[price] = new PriceCellComponents(panel);
            Children.Add(panel);
@@ -3,6 +3,7 @@ using bts.api;
 using bts.api.core;
 using bts.api.orderman;
 using bts.collections;
+using bts.md;
 using bts.shell;
 using bts.shell.orderbook;
 using bts.spark;
@@ -64,7 +65,14 @@ namespace mbts.spark {
         _detachable_selected_orders = new HashSet<uint>();
      FilterData _cached_filter_data;

-      public OrderBookVM(IObservable<string> owner_title, IBus bus, INotificationService notification_service, OrdersModel model, IWindowSettingsManager<OrderBookGridSettings> settings_manager, bool rows_are_initially_expanded = false) {
+      public OrderBookVM(
+         IObservable<string> owner_title, 
+         IBus bus, 
+         INotificationService notification_service, 
+         OrdersModel model, 
+         IWindowSettingsManager<OrderBookGridSettings> settings_manager, 
+         bool rows_are_initially_expanded = false) {
+
         _bus = bus;
         _model = model;
         _selected_params_mon = new SelectedOrderParamsMon(model.dynamic_helper);
@@ -874,7 +882,10 @@ namespace mbts.spark {
               return;
            Disposable.replace(ref _ladder_vm,
               _security_md.HasValue ?
-                  LadderVM.create_readonly(_owner._bus, new LadderModel(security_md.Value, _owner._model, new Func<OrderSecurity, bool>(osec => _selected_order_tree.Contains(osec.order.Key)))) :
+                  LadderVM.create_readonly(
+                     _owner._bus, 
+                     new LadderModel(security_md.Value, _owner._model, _owner._model.mbo_service,
+                        new Func<OrderSecurity, bool>(osec => _selected_order_tree.Contains(osec.order.Key)))) :
                  null);
            RaisePropertyChanged(nameof(ladder_vm));
         }
@@ -99,8 +99,11 @@ namespace bts.shell.orderbook {
      public OrderBookGridSettings grid_settings_wrapper() {
         if (use_defaults)
            return null;
-         if (orderbook_grid == null)
-            orderbook_grid = new OrderBookGridSettings(grid.clone(), _predicate_animations);
+         if (orderbook_grid == null) {
+            if (grid == null)
+               grid = _default_general_grid;
+            orderbook_grid =  new OrderBookGridSettings(grid.clone(), _predicate_animations);
+         }
         return orderbook_grid;
      }
 #pragma warning restore CS0612 // Type or member is obsolete
@@ -21,9 +21,17 @@ namespace bts.shell {
      AlgoStudioWindowFactory _aswf;

      [ImportingConstructor]
-      public TradingShellModule(IBus bus, IWindowManager wm, INotificationService notification_service, INotificationServiceDataCache notification_service_data_cache,
-         UserSettingsHub settings_hub, OrdersModel orders_model, PAndLModel pandl_model, ErrorReporter error_reporter) {
-         _lwf = new LadderWindowFactory(this, bus, wm, settings_hub, orders_model);
+      public TradingShellModule(
+            IBus bus, 
+            IWindowManager wm, 
+            INotificationService notification_service, 
+            INotificationServiceDataCache notification_service_data_cache,
+            UserSettingsHub settings_hub, 
+            OrdersModel orders_model, 
+            PAndLModel pandl_model,
+            md.MBOService mbo,
+            ErrorReporter error_reporter) {
+         _lwf = new LadderWindowFactory(this, bus, wm, settings_hub, orders_model, mbo);
         _obwf = new OrderBookWindowFactory(this, bus, notification_service, notification_service_data_cache, orders_model, settings_hub);
         _fwf = new FillsWindowFactory(this, bus, settings_hub, orders_model);
         _plwf = new PAndLWindowFactory(this, bus, settings_hub, pandl_model);
@@ -182,6 +182,7 @@ namespace mbts.spark {
      public IObservable<TableUpdate<(AlgoData algo, AlgoDefinitionMetadata? meta), AlgoKey>> studio_algos_with_meta { get; }

      public AdminModel admin_model { get; }
+      public MBOService mbo_service => _mbo_service;
      public IAlgoStudioModel algo_model { get; }

      public IObservable<TableUpdate<OrderSecurity, uint>> on_security_working_orders_with_piq(uint security) =>
@@ -0,0 +1,27 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace mbts.ui.settings {
+   static class GridSettingsHelper {
+      public static TColKey? parse_col_id<TColKey>(string id) where TColKey : struct =>
+         Enum.TryParse(id, true, out TColKey key) ? key : (TColKey?)null;
+
+      public static string fmt_col_id<TColKey>(TColKey key) where TColKey : struct =>
+         key.ToString();
+
+      public static void normalize_sorting_criterion<TColKey>(IEnumerable<SortingCriteria> sorting_criterion, IReadOnlyDictionary<string, TColKey> sort_member_to_id) where TColKey : struct =>
+         normalize_sorting_criterion(sorting_criterion, new Func<string, TColKey?>[] {
+            parse_col_id<TColKey>,
+            col_name => sort_member_to_id.TryGetValue(col_name, out var k) ? k : (TColKey?)null
+         });
+
+      public static void normalize_sorting_criterion<TColKey>(IEnumerable<SortingCriteria> sorting_criterion, IEnumerable<Func<string, TColKey?>> conversion_dels) where TColKey : struct {
+         foreach (var sc in sorting_criterion) {
+            sc.col_name = conversion_dels
+               .Select(del => del(sc.col_name))
+               .FirstOrDefault(k => k.HasValue)?.ToString() ?? sc.col_name;
+         }
+      }
+   }
+}
@@ -1,5 +1,8 @@
-using bts.utils;
+using bts;
+using bts.collections;
+using bts.utils;
 using mbts.collections;
+using mbts.ui.settings;
 using mbts.ui.utility;
 using mbts.utils;
 using System;
@@ -51,8 +54,17 @@ namespace mbts.ui.controls {
         ).to_comparer();
      }

-      public void load_from(IEnumerable<SortingCriteria> sorting_criterion) =>
-         _on_settings(sorting_criterion.Select(sc => (EnumHelper.parse<TColKey>(sc.col_name), sc.is_ascending ? ListSortDirection.Ascending : ListSortDirection.Descending)));
+      public void load_from(IEnumerable<SortingCriteria> sorting_criterion) {
+         var sort_member_to_id = _map
+            .Where(kv => !string.IsNullOrEmpty(kv.Value.col.sort_member_path))
+            .Distinct()
+            .ToDictionary(kv => kv.Value.col.sort_member_path, kv => kv.Key);
+         GridSettingsHelper.normalize_sorting_criterion(sorting_criterion, sort_member_to_id);
+         _on_settings(sorting_criterion
+            .Select(sc => (GridSettingsHelper.parse_col_id<TColKey>(sc.col_name), sc.is_ascending ? ListSortDirection.Ascending : ListSortDirection.Descending))
+            .Where(t => t.Item1.HasValue)
+            .Select(t => (t.Item1.Value, t.Item2)));
+      }

      public IEnumerable<SortingCriteria> create() =>
         _active_cols.AsCollection().Select(t => new SortingCriteria(t.col.id, t.direction == ListSortDirection.Ascending));
@@ -22,31 +22,71 @@ namespace bts.settings {

         ConsoleEx.WriteLine("Workspace Descriptions", ConsoleColor.Cyan);
         foreach(var w in workspaces) {
-            var r = from ws in w.value.windows
-                    group ws by ws.owner into grouping
-                    select new { key = grouping.Key.Replace("bts.shell.", ""), window_count = grouping.Count() };
-            string desc = string.Empty;
-            foreach(var i in r) {
-               desc += $"{Environment.NewLine}\t{i.window_count} - {i.key}";
+            // if a workspace doesn't have any windows, we don't care about it
+            if (w.value.windows != null) {
+               var r = from ws in w.value.windows
+                       group ws by ws.owner into grouping
+                       select new { key = grouping.Key.Replace("bts.shell.", ""), window_count = grouping.Count() };
+               string desc = string.Empty;
+               foreach (var i in r) {
+                  desc += $"{Environment.NewLine}\t{i.window_count} - {i.key}";
+               }
+               ConsoleEx.Write($"{w.key}", ConsoleColor.Yellow);
+               ConsoleEx.WriteLine($" - {w.value.windows?.Count} windows - {w.value.named_windows?.Count} named windows - {desc}");
            }
-            ConsoleEx.Write($"{w.key}", ConsoleColor.Yellow);
-            ConsoleEx.WriteLine($" - {w.value.windows.Count} windows - {w.value.named_windows.Count} named windows - {desc}");
         }
         ConsoleEx.WriteLine("");

         var selected_ws = ConsoleEx.prompt("Choose workspace:", workspaces.Select(w => w.key));

-         var to = ConsoleEx.prompt("To User", user_names);
+         string copy = "Copy to another user",
+                delete = "Delete it",
+                export = "Export to file";

-         var name = ConsoleEx.input_prompt("Rename workspace?", selected_ws);
+         var action = ConsoleEx.prompt($"What do you want to do with '{selected_ws}'", copy, delete, export);

-         var confirm = ConsoleEx.prompt($"copy workspace '{selected_ws}' from {from} to {to} and name it '{name}'. Confirm?", "Yes", "No");
-         if (confirm == "Yes") {
-            var ws_blob = workspaces.First(w => w.key == selected_ws).value;
-            var to_persist = new UserUISettings(user_list.Users.First(u => u.Login == to).Id, persist, null);
-            to_persist.set(WorkspacesModel.WORKSPACE_NAMESPACE, name, ws_blob).Wait();
-            Console.WriteLine("Done");
+         if (action == copy) {
+            RunCopy();
         }
+         else if (action == delete) {
+            var confirm = ConsoleEx.prompt($"Delete workspace `{selected_ws}` from {from}. Confirm?", "Yes", "No");
+            if (confirm == "Yes") {
+               var ws = workspaces.First(w => w.key == selected_ws);
+               from_persist.clear(ws.ns, ws.key).Wait();
+               Console.WriteLine("Done");
+            }
+         }
+         else if (action == export) {
+            var name = ConsoleEx.input_prompt("Filename: ", selected_ws + ".workspace");
+            if (System.IO.File.Exists(name)) {
+               var confirm = ConsoleEx.prompt($"'{name}' exists. Overwrite?", "Yes", "No");
+               if (confirm == "No") {
+                  return;
+               }
+            }
+            var ws_blob = workspaces.First(w => w.key == selected_ws).value;
+            using (var file = System.IO.File.OpenWrite(name)) {
+               ProtoBuf.Serializer.SerializeWithLengthPrefix(file, ws_blob, ProtoBuf.PrefixStyle.Fixed32);
+            }
+            Console.WriteLine($"Export '{selected_ws}' to '{name}'. Done.");
+         }
+
+         // End function
+
+         void RunCopy() {
+            var to = ConsoleEx.prompt("To User", user_names);
+
+            var name = ConsoleEx.input_prompt("Rename workspace?", selected_ws);
+
+            var confirm = ConsoleEx.prompt($"copy workspace '{selected_ws}' from {from} to {to} and name it '{name}'. Confirm?", "Yes", "No");
+            if (confirm == "Yes") {
+               var ws_blob = workspaces.First(w => w.key == selected_ws).value;
+               var to_persist = new UserUISettings(user_list.Users.First(u => u.Login == to).Id, persist, null);
+               to_persist.set(WorkspacesModel.WORKSPACE_NAMESPACE, name, ws_blob).Wait();
+               Console.WriteLine("Done");
+            }
+         }
+
      }
   }
 }
@@ -0,0 +1,133 @@
+using bts.api;
+using bts.api.core;
+using bts.md;
+using mbts.config;
+using mbts.ui.utility.text;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using System.Windows;
+using System.Windows.Media;
+
+namespace mbts.spark {
+   public struct MBOPopupData {
+      public readonly Side side;
+      public readonly IReadOnlyList<OrderPositionImmutable> orders;
+
+      public MBOPopupData(Side side, IReadOnlyList<OrderPositionImmutable> orders) {
+         this.side = side;
+         this.orders = orders;
+      }
+   }
+   public struct MBOPopupDrawParams {
+      public MBOPopupData data;
+      public double width => 300.0;
+      public double height;
+      public FormattedText header;
+
+      public static readonly Thickness margin = new Thickness(10, 5, 5, 5);
+
+      //columns
+      public double row_height => header.Height + 2;
+      public double bar_height => 0.6 * row_height;
+
+      public List<FormattedText> row_numbers;
+      public double numbers_width;
+      public List<FormattedText> row_labels;
+      public double scale;
+   }
+
+   public class MBOPopupModel {
+      const double font_size = 9.0;
+      readonly MBOService _mbo;
+      readonly SecurityImmutable _security;
+      readonly MBOSecurityQueryImmutable _query;
+      readonly Dictionary<string, FormattedText> _cache;
+      int _max_order_size = 1;
+      double _height = 0;
+      double _number_width = 0;
+
+
+      public MBOPopupModel(MBOService mbo, SecurityImmutable security, MBOSecurityQueryImmutable query) {
+         _mbo = mbo;
+         _security = security;
+         _query = query;
+
+         // prime the cache with numbers on the left hand side
+         _cache =
+            Enumerable.Range(1, 1+(int)default_query.Limit)
+            .AsParallel()
+            .Select(i => TextUtils.GetFormattedText(i.ToString(), font_size))
+            .ToDictionary(ft => ft.Text);
+      }
+
+      FormattedText format_text(string s, bool bold=false) {
+         // cache FormattedText for the life of the popup
+         if (_cache.TryGetValue(s, out FormattedText ft)) {
+            return ft;
+         }
+         else
+         ft = bold ? TextUtils.GetFormattedTextBold(s, font_size) : TextUtils.GetFormattedText(s, font_size);
+         _cache.TryAdd(s, ft);
+         return ft;
+      }
+
+      public async Task<Result<MBOPopupData>> load_orders() {
+         if (_mbo == null) return new Result<MBOPopupData>(ApiError.NoServer);
+         var data = await _mbo.get_orders_for_security_async(_query);
+         if (data.success) {
+            var side = data.value.side();
+            IEnumerable<OrderPosition> orders = new OrderPosition[0];
+            if (side == Side.Buy) orders = data.value.Bid;
+            if (side == Side.Sell) orders = data.value.Ask;
+            return new Result<MBOPopupData>(new MBOPopupData(side, orders.Select(o => (OrderPositionImmutable)o).ToList()));
+         }
+         else {
+            return new Result<MBOPopupData>(data.code);
+         }
+      }
+
+      string buy_sell_text(Side side) {
+         switch (side) {
+            case Side.Buy: return "BUY";
+            case Side.Sell: return "SELL";
+            default:
+            case Side.Undefined: return "";
+         }
+      }
+
+      public MBOPopupDrawParams compute_layout(MBOPopupData p) {
+         var pdp = new MBOPopupDrawParams { data = p };
+         pdp.header = format_text(
+            $"{buy_sell_text(p.side)} {_security.security_desc()} @ {_security.ContractSpec.format(_query.PriceLevel)}", true);
+
+         var margin = MBOPopupDrawParams.margin;
+         var text_margin = margin.Left + margin.Right;
+
+         pdp.row_numbers = p.orders.Select((o, i) => format_text((i+1).ToString())).ToList();
+         pdp.numbers_width = _number_width = Math.Max(_number_width, (int)pdp.row_numbers.Max(r => r.Width) + text_margin);
+         pdp.row_labels = p.orders.Select(o => format_text(o.Size.ToString())).ToList();
+         var max_label_width = pdp.row_labels.Max(l => l.Width) + text_margin;
+
+         var available_width = pdp.width - pdp.numbers_width - max_label_width;
+         _max_order_size = Math.Max(p.orders.Max(o => o.Size), _max_order_size);
+         pdp.scale = available_width / _max_order_size;
+
+         pdp.height = _height =
+            Math.Max(_height,
+            pdp.header.Height + margin.Top + margin.Bottom + (pdp.row_height * p.orders.Count) + margin.Bottom);
+
+         return pdp;
+      }
+
+      #region static
+      public static readonly MBOSecurityQueryImmutable default_query = (MBOSecurityQueryImmutable) 
+         new MBOSecurityQuery {
+            Limit = Configuration.get<bts.config.LadderKnobs>().max_mbo_orders
+         };
+      #endregion
+   }
+
+}
@@ -0,0 +1,86 @@
+using System.Windows;
+using System.Windows.Media;
+using System.Collections.Generic;
+using bts.api.orderman;
+using System.Linq;
+using bts.md;
+using bts;
+using mbts.ui;
+using System.Windows.Input;
+using System.Threading.Tasks;
+using System;
+using mbts.ui.utility.text;
+using bts.api;
+using System.Windows.Threading;
+
+namespace mbts.spark {
+   internal class MBOPopupView : UIElement, IRequestViewClose {
+      readonly Brush _background = BTSColors.LadderSpecial.default_column_background;
+      readonly MBOPopupModel _model;
+      MBOPopupDrawParams _dp;
+
+      public MBOPopupView(MBOPopupModel model, MBOPopupData p) {
+         _model = model;
+         _dp = model.compute_layout(p);
+         IsVisibleChanged += (o, _) => poll_orders();
+      }
+
+      private async void poll_orders() {
+         while (IsVisible) {
+            var result = await _model.load_orders();
+            if (result.success && result.value.orders.Count > 0) {
+               Log.Ui.diag($"MBOpopup got {result.value.orders.Count} orders");
+               _dp = _model.compute_layout(result.value);
+               InvalidateMeasure();
+               InvalidateVisual();
+            }
+            else RequestClose?.Invoke(this, null);
+            await Task.Delay(250);
+         }
+      }
+
+      public event EventHandler RequestClose;
+
+      protected override Size MeasureCore(Size availableSize) {
+         return new Size(_dp.width, _dp.height);
+      }
+
+      static Thickness margin => MBOPopupDrawParams.margin;
+      protected override void OnRender(DrawingContext dc) {
+         base.OnRender(dc);
+         // draw background
+         dc.DrawRectangle(_background, null, new Rect(0, 0, _dp.width, _dp.height));
+         // draw header
+         dc.DrawText(_dp.header, new Point(margin.Left, margin.Top));
+         // draw grid
+         draw_grid(dc, _dp, _dp.header.Height + margin.Top + margin.Bottom);
+      }
+
+      static Brush brush_for(Side side, OrderPositionImmutable order) {
+         if (order.OrderId != 0) return Brushes.Black;
+         switch (side) {
+            case Side.Buy: return BTSColors.MarketData.bid_brush;
+            case Side.Sell: return BTSColors.MarketData.ask_brush;
+            default:
+               return Brushes.DarkGray;
+         }
+      }
+
+      static void draw_grid(DrawingContext dc, MBOPopupDrawParams dp, double offset) {
+         for (int x = 0; x < dp.data.orders.Count(); ++x) {
+            // draw numbers
+            var number = dp.row_numbers[x];
+            var left_offset = dp.numbers_width - number.Width - 5;
+            dc.DrawText(number, new Point(left_offset, offset));
+            // draw rectangles
+            var order = dp.data.orders[x];
+            var rect = new Rect(dp.numbers_width, offset + (dp.row_height-dp.bar_height)/2, order.Size * dp.scale, dp.bar_height);
+            dc.DrawRectangle(brush_for(dp.data.side, order), null,rect);
+            // draw sizes
+            var label = dp.row_labels[x];
+            dc.DrawText(label, new Point(rect.Right+margin.Right, offset));
+            offset += dp.row_height;
+         }
+      }
+   }
+}
@@ -0,0 +1,19 @@
+using bts.api;
+using bts.md;
+
+namespace mbts.spark {
+   static class PositionDataExtensions {
+      public static Side side(this PositionData pd) {
+         var bidlen = pd.Bid.Count;
+         var asklen = pd.Ask.Count;
+         if (bidlen > 0 && asklen == 0) {
+            return Side.Buy;
+         }
+         else if (asklen > 0 && bidlen == 0) {
+            return Side.Sell;
+         }
+         return Side.Undefined;
+      }
+   }
+
+}
@@ -0,0 +1,45 @@
+using System.Collections.Generic;
+using System.Threading.Tasks;
+using System.Windows;
+using System.Windows.Controls;
+using System.Windows.Input;
+
+namespace mbts.ui.controls {
+   class AutoClosePopup : System.Windows.Controls.Primitives.Popup {
+      public AutoClosePopup() {
+         StaysOpen = false;
+         CommandBindings.Add(new CommandBinding(
+            ApplicationCommands.Close, 
+            (o,_) => { IsOpen = false; }
+         ));
+         InputBindings.Add(new KeyBinding(ApplicationCommands.Close, Key.Escape, ModifierKeys.None));
+      }
+
+      public new FrameworkElement Child {
+         get => base.Child as FrameworkElement;
+         set {
+            var old_child = Child;
+            base.Child = value;
+            hook_child_events(value);
+         }
+      }
+
+      private void hook_child_events(FrameworkElement fe) {
+         MouseDown += OnMouseDown;
+         fe.MouseDown += OnMouseDown;
+         fe.PreviewMouseDown += OnMouseDown;
+         if (fe is IRequestViewClose vc) {
+            vc.RequestClose += (o,_) => IsOpen = false;
+         }
+      }
+
+      private void OnMouseDown(object sender, MouseButtonEventArgs e) {
+         if (sender == this && e.MiddleButton == MouseButtonState.Pressed) IsOpen = false;
+         else {
+            if (!e.Handled) {
+               IsOpen = false;
+            }
+         }
+      }
+   }
+}
@@ -17,7 +17,7 @@ namespace bts.test {
   }
   [AttributeUsage(AttributeTargets.Method)]
   public class TestAttribute : Attribute {
-      public uint Timeout = 10;
+      public uint Timeout = 10; //timeout in seconds
   }

   // Use constructor for setup
@@ -61,7 +61,7 @@
     <None Include="$(OutputPath)\net471\spark_excel_example_2018.xlsm" pack="true" PackagePath=".\excel\spark_excel_example_2018.xlsm" />
     <None Include="$(OutputPath)\net471\spark_excel-addin64-packed.xll" pack="true" PackagePath=".\excel\spark_excel-addin64-packed.xll" />
     <None Include="$(OutputPath)\net471\spark_excel-addin64.dna" pack="true" PackagePath=".\excel\spark_excel-addin64.dna" />
-     <None Include="../../../doc/user/content/bts_spark_sdk/Client/**" pack="true" PackagePath=".\doc\" />
+     <None Include="doc/**" pack="true" PackagePath=".\doc\" />
  </ItemGroup>

  <Target Name="CopyProjectReferencesToPackage" DependsOnTargets="ResolveReferences" Condition= " '$(SparkRoot)' != '' ">
@@ -24,7 +24,10 @@ namespace bts.tests
      AdminService _admin_service;
      IDisposable _order_subscription;
      Update<OrderRecordImmutable, uint> _orders;
-      public LimitsTests (){
+      public LimitsTests (){}
+
+      private async Task setup_limits_tests() {
+         await TestUtils.wait_for_system_ready();
         _context = new ServiceContext();

         _order_service = _context.locate<OrderService>();
@@ -80,10 +83,9 @@ namespace bts.tests
         return securities;
      }

-   [Test(Timeout = 300)]
+   [Test(Timeout = 300000)]
      public async Task test_position_limits() {
-         bool system_ready = await TestUtils.test_for_system_ready(_context, TimeSpan.FromMinutes(5));
-         Assert.IsTrue(system_ready, "System is not ready");
+         await setup_limits_tests();

         string test_symbol = "CL";

@@ -212,8 +214,10 @@ namespace bts.tests
      }


-      [Test(Timeout = 10)]
+      [Test(Timeout = 300000)]
      public async Task test_clip_limits() {
+         await setup_limits_tests();
+
         //Get and set limit values from the admin service

         uint test_limit_value = 10u;
@@ -247,6 +251,8 @@ namespace bts.tests
            Quantity = test_limit_value
         });

+         Assert.IsTrue(no_limit_order_result.value.OrderKey > 0, "failed to enter order");
+
         var set_success = await AdminUtilities.set_clip_limit(_admin_service, test_limit_value, account_data, test_symbol);
         Assert.IsTrue(set_success, "Failed to set limit");

@@ -255,12 +261,15 @@ namespace bts.tests
            Price = 5,
            Quantity = test_limit_value
         });
+         Assert.IsTrue(under_limit_order_result.value.OrderKey > 0, "failed to enter order");

         Result<Response> over_limit_order_result = await _order_service.create_order_async(new Create() {
            NewOrder = order_def,
            Price = 5,
            Quantity = test_limit_value + 1
         });
+         Assert.IsTrue(over_limit_order_result.value.OrderKey > 0, "failed to enter order");
+

         under_limit_order_key = under_limit_order_result.value.OrderKey;
         over_limit_order_key = over_limit_order_result.value.OrderKey;
@@ -28,7 +28,10 @@ namespace bts.tests
      SyntheticSecurityService _synthetic_service;
      IDisposable _order_subscription;
      Update<OrderRecordImmutable, uint> _orders;
-      public SpreaderTests (){
+      public SpreaderTests (){}
+
+      public async Task setup_spreader_tests () {
+         await TestUtils.wait_for_system_ready();
         _context = new ServiceContext();

         _order_service = _context.locate<OrderService>();
@@ -52,10 +55,9 @@ namespace bts.tests
         Disposable.dispose(ref _order_subscription);
      }

-      [Test(Timeout = 30)]
+      [Test(Timeout = 300000)]
      public async Task spreader_simple_sanity() {
-         bool system_ready = await TestUtils.test_for_system_ready(_context, TimeSpan.FromMinutes(5));
-         Assert.IsTrue(system_ready, "System is not ready");
+         await setup_spreader_tests();

         string test_symbol = "SI";// don't use ES, the prices will be rounded to the same number and the result will be off
         var test_user = (name: "bts", id: 1u);
@@ -2,6 +2,7 @@
 using bts.api.admin;
 using bts.api.core;
 using bts.api.orderman;
+using bts.metrics;
 using bts.collections;
 using System;
 using System.Collections.Generic;
@@ -80,42 +81,110 @@ namespace bts.tests.utils {
         return tr.result;
      }

-
-      public static async Task<bool> test_for_system_ready(ServiceContext context, TimeSpan? timeout = null) {
+      public static async Task wait_for_system_ready(TimeSpan? timeout = null) {
         if(timeout == null) {
-            timeout = TimeSpan.FromSeconds(30);
+            timeout = TimeSpan.FromMinutes(2);
         }

         System.Diagnostics.Stopwatch sw = new System.Diagnostics.Stopwatch();
         sw.Start();
+         // bool shell_latency_service_ready = await wait_for_shell_latency_service_ready(timeout.Value.Subtract(sw.Elapsed));
+         // Console.WriteLine("Shell Latency Service Ready: " + shell_latency_service_ready);
+         // bts.test.Assert.IsTrue(shell_latency_service_ready, "System is not ready");

-         bool admin_ready = await test_for_admin_service_ready(context, timeout.Value.Subtract(sw.Elapsed));
-         Console.WriteLine("Admin Service Ready: " + admin_ready);
-         bool md_ready = await test_for_md_service_ready(context, timeout.Value.Subtract(sw.Elapsed));
+         bool md_ready = await wait_for_md_service_ready(timeout.Value.Subtract(sw.Elapsed));
         Console.WriteLine("MD Service Ready: " + md_ready);
+         bts.test.Assert.IsTrue(md_ready, "System is not ready");

-         return admin_ready && md_ready;
+         bool orders_ready = await wait_for_orders_service_ready(timeout.Value.Subtract(sw.Elapsed));
+         Console.WriteLine("Order Service Ready: " + orders_ready);
+         bts.test.Assert.IsTrue(orders_ready, "System is not ready");
+
+         // bool admin_ready = await wait_for_admin_service_ready(timeout.Value.Subtract(sw.Elapsed));
+         // Console.WriteLine("Admin Service Ready: " + admin_ready);
+         // bts.test.Assert.IsTrue(admin_ready, "System is not ready");
+
+         Console.WriteLine("System Ready after: " + sw.Elapsed.TotalSeconds + " seconds");
      }

-      public static async Task<bool> test_for_admin_service_ready(ServiceContext context, TimeSpan timeout) {
-         System.Diagnostics.Stopwatch sw = new System.Diagnostics.Stopwatch();
-         sw.Start();
+      public static async Task<bool> wait_for_shell_latency_service_ready(TimeSpan timeout) {
+         System.Diagnostics.Stopwatch watch = new System.Diagnostics.Stopwatch();
+         watch.Start();

-         var admin_service = context.locate<AdminService>();
+         Update<TickImmutable, int> service_value = null;
+         while(service_value == null && watch.Elapsed < timeout) {
+            var context = new ServiceContext();
+            var shell_latency_service = context.locate<ShellLatencyService>();

-         Update<AdminDataImmutable, int> admin_value = null;
-         var account_sub = admin_service.subscribei_admin_data().Subscribe(update => admin_value = update);
+            var clock_sub = shell_latency_service.subscribei_clock().Subscribe(update => service_value = update);

-         while(admin_value == null && sw.Elapsed < timeout) {
-            Console.WriteLine("Waiting for admin service...");
-            await Task.Delay(100);
+            Console.WriteLine("Waiting for shell latency service...");
+            await Task.Delay(15000);
+
+            clock_sub.Dispose();
+            context.Dispose();
+         }
+         return service_value != null;
+      }
+
+      public static async Task<bool> wait_for_orders_service_ready(TimeSpan timeout) {
+         System.Diagnostics.Stopwatch watch = new System.Diagnostics.Stopwatch();
+         watch.Start();
+
+         var odef = OrderDefinitionUtilities.create_limit_order_def(1, Side.Buy, ("bts", 1), ("ACC A", 1));
+
+         Update<OrderRecordImmutable, uint> service_value = null;
+         while(service_value == null && watch.Elapsed < timeout) {
+            var context = new ServiceContext();
+            var order_service = context.locate<OrderService>();
+
+            Result<Response> oret = await OrderUtilities.send_order(order_service, odef, 0,1);
+
+            var sub = order_service.subscribei_orders().Subscribe(async update => {
+                  if(service_value == null) {
+                     await OrderUtilities.cancel_orders(order_service, null, oret.value.OrderKey);
+                     service_value = update;
+                  }
+               });
+
+            if(service_value == null) {
+               if(watch.Elapsed.TotalSeconds < 3 || watch.Elapsed.TotalSeconds % 20 < 1) {
+                  Console.WriteLine("Waiting for order service...");
+               }
+               await Task.Delay(1000);
+            }
+
+            sub.Dispose();
+            context.Dispose();
         }

-         return admin_value != null;
+         return service_value != null;
+      }
+
+      public static async Task<bool> wait_for_admin_service_ready(TimeSpan timeout) {
+         System.Diagnostics.Stopwatch watch = new System.Diagnostics.Stopwatch();
+         watch.Start();
+
+         Update<AdminDataImmutable, int> service_value = null;
+         while(service_value == null && watch.Elapsed < timeout) {
+            var context = new ServiceContext();
+            var admin_service = context.locate<AdminService>();
+
+            var sub = admin_service.subscribei_admin_data().Subscribe(update => service_value = update);
+
+            Console.WriteLine("Waiting for admin service...");
+            await Task.Delay(15000);
+
+            sub.Dispose();
+            context.Dispose();
+            //mbts.config.Configuration.initialize_for_test();
+
+         }
+         return service_value != null;
      }


-      public static async Task<bool> test_for_md_service_ready(ServiceContext context, TimeSpan timeout) {
+      public static async Task<bool> wait_for_md_service_ready(TimeSpan timeout) {
         var md_request = new co2.MDRequest() {
            Host = "system_test",
            Channels = {
@@ -130,7 +199,7 @@ namespace bts.tests.utils {
               }
            }
         };
-
+         var context = new ServiceContext();
         var md_relay = context.locate<co2.MarketDataRelay>();
         Result<co2.MDReply>? md_result = await await_with_timeout(
                                                               md_relay.requestmd_async(md_request),
@@ -0,0 +1,19 @@
+#!/bin/bash
+
+if [ -d ~/sparkdata/ ]
+then
+   sparkdata_dir=~/sparkdata
+else
+   sparkdata_dir=/sparkdata
+fi
+
+if [ -d "$sparkdata_dir/data" ]
+then
+   [ -d $sparkdata_dir/data/databases/orders ] && rm -rf $sparkdata_dir/data/databases/orders
+   [ -d $sparkdata_dir/data/databases/fills ] && rm -rf $sparkdata_dir/data/databases/fills
+   [ -d $sparkdata_dir/data/databases/ex_sim_orders ] && rm -rf $sparkdata_dir/data/databases/ex_sim_orders
+
+   [ -d $sparkdata_dir/data/jetfix ] && rm -rf $sparkdata_dir/data/jetfix
+   [ -d $sparkdata_dir/data/exchange_sim ] && rm -rf $sparkdata_dir/data/exchange_sim
+
+fi
@@ -7,16 +7,13 @@ else
   sparkdata_dir=/sparkdata
 fi

+./delete_dbs.sh
+
 config=$sparkdata_dir/conf/spark.conf
 bak=$sparkdata_dir/conf/spark.conf.bak

-rm -r $sparkdata_dir/data/databases/ 2>/dev/null
-
 [ ! -d "$sparkdata_dir/conf" ] && mkdir $sparkdata_dir/conf/
-
-if  [ -f "$conf" ];then
-   mv $conf $bak 2>/dev/null
-fi
+[ -f "$conf" ] && mv $conf $bak

 cat << EOF > $sparkdata_dir/conf/spark.conf
   ExchangeSim {
@@ -38,17 +35,11 @@ nohup ./sparkd run &
 pid=$!
 echo "sparkd pid: " $pid

-echo "sleeping for 120 seconds..."
-sleep 120
-
 dotnet sparkcmd.dll test spreader_simple_sanity
 exit_status=$?

 pkill -P $$

-if  [ -f "$bak" ];then
-   mv $bak $conf
-fi
-
+[ -f "$bak" ] && mv $bak $conf
 [ $exit_status -eq 0 ] && echo "Test Finished" || echo "Test failed"
 exit $exit_status
@@ -7,17 +7,13 @@ else
   sparkdata_dir=/sparkdata
 fi

+./delete_dbs.sh
+
 config=$sparkdata_dir/conf/spark.conf
 bak=$sparkdata_dir/conf/spark.conf.bak

-
-rm -r $sparkdata_dir/data/databases/ 2>/dev/null
-
 [ ! -d "$sparkdata_dir/conf" ] && mkdir $sparkdata_dir/conf/
-
-if  [ -f "$conf" ];then
-   mv $conf $bak 2>/dev/null
-fi
+[ -f "$conf" ] && mv $conf $bak

 cat << EOF > $sparkdata_dir/conf/spark.conf
   ExchangeSim {
@@ -38,17 +34,11 @@ nohup ./sparkd run &
 pid=$!
 echo "sparkd pid: " $pid

-echo "sleeping for 120 seconds..."
-sleep 120
-
 dotnet sparkcmd.dll test test_clip_limits
 exit_status=$?

 pkill -P $$
-
-if  [ -f "$bak" ];then
-   mv $bak $conf
-fi
+[ -f "$bak" ] && mv $bak $conf

 [ $exit_status -eq 0 ] && echo "Test Finished" || echo "Test failed"
 exit $exit_status
@@ -7,16 +7,13 @@ else
   sparkdata_dir=/sparkdata
 fi

+./delete_dbs.sh
+
 config=$sparkdata_dir/conf/spark.conf
 bak=$sparkdata_dir/conf/spark.conf.bak

-rm -r $sparkdata_dir/data/databases/ 2>/dev/null
-
 [ ! -d "$sparkdata_dir/conf" ] && mkdir $sparkdata_dir/conf/
-
-if  [ -f "$conf" ];then
-   mv $conf $bak 2>/dev/null
-fi
+[ -f "$conf" ] && mv $conf $bak

 cat << EOF > $sparkdata_dir/conf/spark.conf
   ExchangeSim {
@@ -38,16 +35,12 @@ nohup ./sparkd run &
 pid=$!
 echo "sparkd pid: " $pid

-echo "sleeping for 120 seconds..."
-sleep 120
 dotnet sparkcmd.dll test test_position_limits
 exit_status=$?

 pkill -P $$

-if  [ -f "$bak" ];then
-   mv $bak $conf
-fi
+[ -f "$bak" ] && mv $bak $conf

 [ $exit_status -eq 0 ] && echo "Test Finished" || echo "Test failed"
 exit $exit_status
@@ -23,26 +23,14 @@ namespace bts {
         return 0;
      }
      
-      static void dump_mbo(UInt32 key, api.Side side) {
+      static void dump_mbo(uint 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) {
+            foreach(var e in data.Bid.Concat(data.Ask)) {
               if (e.Price != price) {
                  price = e.Price;
                  Console.WriteLine("================");
@@ -45,6 +45,9 @@ namespace bts {
         if (o.json) {
            _format = PrintFormat.Json;
         }
+         if (o.time) {
+            _timestamp = true;
+         }

         tail(split[0], split[1]);
         return 0;
@@ -13,16 +13,18 @@ message OrderPIQ {
 message OrderPosition {
  uint64 exchange_id = 1;
  uint32 order_id = 2;
-  float price = 10;
+  double price = 10;
  int32 size = 11;
 }
 message PositionData {
  uint32 security_id = 1;
  repeated OrderPosition bid = 10;
-  repeated OrderPosition ask = 20;
+  repeated OrderPosition ask = 11;
 }
 message MBOSecurityQuery {
  uint32 security_id = 1;
+  double price_level = 2;
+  uint32 limit = 3;
 }

 service MBOService {
@@ -5,9 +5,10 @@ message ExchangeSim {
    optional bool merge_with_md = 1 [default=true];
    optional bool forward_implied = 2 [default = false];
    oneof source {
-        string replay_url = 11 [default = "http://mdreplay.bluetradesys.local/spark/futures.coconut"];
+        string replay_url = 11 [default = "http://10.96.18.45/spark/futures.coconut"];
        string replay_file = 12 [default = "futures.coconut"];
        bool local_relay = 13;
    }
+    optional uint32 orders_per_level = 20 [default = 10];
 }

@@ -98,7 +98,7 @@ message CMEOptions
      // Defines amount of time Feed Engine keeps cycling before going to sleep when no useful activity can be done
      optional uint32 spin_time = 4 [default = 1];
      optional uint32 channels_per_thread = 5 [default = 3];
-      optional uint32 udp_socket_buffer_size = 11 [default = 33554432]; //32mb
+      optional uint32 udp_socket_buffer_size = 11 [default = 268435456]; //256mb
   }
   message CMEChannel {
      repeated string id = 2;
@@ -190,7 +190,8 @@ message RecordOptions {
 // Replay options
 // 
 message ReplayOptions {
-   optional string url = 1 [default = "http://mdreplay.bluetradesys.local/spark/futures.coconut"];
+   // Tired of fighting with dns
+   optional string url = 1 [default = "http://10.96.18.45/spark/futures.coconut"];

   // 2.0 = double speed, 0.5 = half speed
   optional double speed = 11 [default = 1.0];
@@ -69,6 +69,7 @@ message LadderKnobs {
  optional uint32 security_timeout_secs = 5 [default = 60];
  optional bool open_algo_popup_on_select = 6 [default = false];
  optional bool use_algo_param_grid = 7 [default = true];
+  optional uint32 max_mbo_orders = 8 [default = 200];
 }

 message OrderBookOptions {
@@ -1,15 +1,21 @@
 #include "MBOProcessor.h"
-#include  "lib/utils/Dispatcher.h"
 #include "lib/utils/ConcurrentPool.h"
 #include "lib/config/config.h"
 #include "lib/config/protos/toggles.pb.h"
+#include "lib/utils/thread_manager.h"

 #include <map>
 #include <functional>
 #include <vector>
 #include <sstream>
+#include <thread>
+#include <atomic>

+#ifndef _WIN32
+#include <google/btree/btree_set.h>
+#endif
 #include <tbb/concurrent_hash_map.h>
+#include <tbb/concurrent_queue.h>


 namespace bts {
@@ -57,34 +63,126 @@ void print_pool_stats(const utils::ConcurrentPool<MBOSnapshot>& pool) {
 }

 typedef tbb::concurrent_hash_map<SecurityKey, MBOSnapshot*, SecurityKeyHashCompare> MapType;
+struct Incremental {
+   MBOWorkingState* state;
+   inc::Update update;
+};
 struct MBOProcessorImpl {
   utils::ConcurrentPool<MBOSnapshot> pool;
+   tbb::concurrent_queue<Incremental> incremental_input;
   MapType snapshots;
-   utils::Dispatcher& dispatcher;
-   utils::DispatcherTimer timer;
-   MBOProcessorImpl(utils::Dispatcher& d) :
+   bool running;
+   utils::TimeStamp last_pool_print;
+   std::thread thread;
+
+   MBOProcessorImpl() :
      pool(2048,512),
      snapshots(),
-      dispatcher(d),
-      timer(d, 600*1000, [&]() { print_pool_stats(pool); })
-      {
-         if (config::get<config::toggles::MBOStats>().enabled()) {
-            timer.start();
-         }
+      running(true),
+      last_pool_print(utils::TimeStamp::invalid()),
+      thread(threading::make_thread("MBO", [=]() { process_incremental(); }))
+   {
+      if (config::get<config::toggles::MBOStats>().enabled()) {
+         last_pool_print = utils::TimeStamp::now();
      }
+
+   }
+
+   ~MBOProcessorImpl() {
+      running = false;
+      thread.join();
+   }
+
+   void publish_snapshot(SecurityKey key, MBOSnapshot** snapshot) {
+      bts_assert(*snapshot != nullptr);
+      MapType::accessor accessor;
+      snapshots.insert(accessor, key);
+      std::swap(accessor->second, *snapshot);
+      if (*snapshot != nullptr) {
+         // Note: relase() must happen inside accessor lifetime to ensure correctness
+         pool.release(snapshot);
+      }
+   }
+
+   void publish_incremental(MBOWorkingState& state) {
+      // determine if we need to publish
+      auto key = SecurityKey(state.handle.key());
+      if (key.value() != invalid_security_key) {
+         auto snap = pool.allocate();
+         snap->bids.reserve(state.bid.size());
+         snap->asks.reserve(state.ask.size());
+         copy_to_snapshot(state, snap);
+         publish_snapshot(key, &snap);
+      }
+   }
+
+   void process_incremental() {
+      #ifndef _WIN32
+      // drain queue and update state
+      // insert changed state pointers into a set
+      // after draining publish the set in small batches
+      // re-check input queue regularly 
+
+      btree::btree_set<MBOWorkingState*> dirty;
+      std::vector<MBOWorkingState*> clean;
+
+      while(running) {
+         Incremental temp;
+
+         // Drain entire input queue quickly
+         while(incremental_input.try_pop(temp)) {
+            bts_assert_d(temp.state != nullptr);
+            if (temp.state != nullptr) {
+               apply_incremental(*temp.state, temp.update);
+               dirty.insert(temp.state);
+            }
+         }
+
+         // publish a small batch of snapshots (then check queue again)
+         for (auto iter = dirty.begin(); iter != dirty.end(); ++iter) {
+            publish_incremental(**iter);
+            clean.push_back(*iter);
+            if (clean.size() >= 128) break;
+         }
+
+         // Remove 'clean' from set
+         for (const auto& iter : clean) {
+            dirty.erase(iter);
+         }
+         clean.clear();
+
+         // If the queue is still empty sleep briefly
+         if (incremental_input.empty()) { 
+            if (last_pool_print != TimeStamp::invalid()) {
+               auto now = TimeStamp::now();
+               if ((now - last_pool_print).seconds() > 600) {
+                  last_pool_print =  now;
+                  print_pool_stats(pool);
+               }
+            }
+            std::this_thread::sleep_for(
+               std::chrono::milliseconds(1)
+            );
+         }
+
+      }
+      #endif
+   }
+
 };

 //
 // Processor

-MBOProcessor::MBOProcessor(utils::Dispatcher* d) :
-   _me(std::make_shared<MBOProcessorImpl>(d == nullptr ? utils::Dispatcher::background() : *d)),
-   _producer(_me),
-   _consumer(_me)
-{}
+MBOProcessor::MBOProcessor() :
+   _me(std::make_shared<MBOProcessorImpl>()),
+   _writer(_me),
+   _reader(_me)
+{
+}

-MBOWriter& MBOProcessor::writer() { return _producer;}
-MBOReader& MBOProcessor::reader() { return _consumer; }
+MBOWriter& MBOProcessor::writer() { return _writer;}
+MBOReader& MBOProcessor::reader() { return _reader; }

 //
 // Writer
@@ -98,18 +196,11 @@ void MBOWriter::release_snapshot(MBOSnapshot** s) {
   _me->pool.release(s);
 }
 void MBOWriter::publish_snapshot(SecurityKey key, MBOSnapshot** snapshot) {
-   bts_assert(*snapshot != nullptr);
-   MapType::accessor accessor;
-   _me->snapshots.insert(accessor, key);
-   std::swap(accessor->second, *snapshot);
-   if (*snapshot != nullptr) {
-      // Note: relase() must happen inside accessor lifetime to ensure correctness
-      _me->pool.release(snapshot);
-   }
+   _me->publish_snapshot(key,snapshot);
 }

+#if 0
 bool MBOWriter::validate_snapshot(uint32_t exchid, SecurityKey key, MBOSnapshot* control) {
-   // bts_assert_msg(false, "TO USE THIS VALIDATION YOU MUST MAKE enqueue_incremental SYNCRONOUS");
   #define REQUIRE(a,b,y) \
      if ((a) != (b)) { \
         LOG(md,Error, "Validation error exch:{} sec:{} {}!={} other:{}", exchid, key.value(), a, b, y); \
@@ -137,25 +228,11 @@ bool MBOWriter::validate_snapshot(uint32_t exchid, SecurityKey key, MBOSnapshot*
   #undef REQUIRE
   return true;
 }
+#endif

 void MBOWriter::enqueue_incremental(MBOWorkingState& state, const inc::Update& update) {
   LOG(md,Diag, "sec:{} : {}", state.handle.key(), update);
-
-   _me->dispatcher.post([this,&state,update]() {
-      // fast part
-      apply_incremental(state,update);
-      // slow part
-      publish_incremental(state);
-   });
-}
-void MBOWriter::publish_incremental(MBOWorkingState& state) {
-   // determine if we need to publish
-   auto key = SecurityKey(state.handle.key());
-   if (key.value() != invalid_security_key) {
-      auto snap = allocate_snapshot(state.bid.size(), state.ask.size());
-      copy_to_snapshot(state, snap);
-      publish_snapshot(key, &snap);
-   }
+   _me->incremental_input.push({&state, update});
 }

 void copy_to_snapshot(MBOWorkingState& state, MBOSnapshot* dest) {
@@ -267,4 +344,4 @@ ostream& operator<<(ostream& os, const inc::Update& update) {
   return os;
 }

-}
+}
@@ -2,7 +2,6 @@
 #include "lib/domain_model/SecurityKey.h"
 #include "lib/domain_model/Security.h"
 #include "lib/utils/TimeStamp.h"
-#include "lib/utils/Dispatcher.h"
 #include "IntPrice.h"
 #include "ExchangeOrderKey.h"
 #include "MDProducerHandle.h"
@@ -152,8 +151,6 @@ class MBOWriter {

   // Enqueue the update to the mbo work queue.
   void enqueue_incremental(MBOWorkingState&, const inc::Update&);
-   // Update working state and publish directly.
-   void publish_incremental(MBOWorkingState&);
 };

 class MBOReader {
@@ -169,11 +166,11 @@ class MBOReader {

 class MBOProcessor {
   std::shared_ptr<MBOProcessorImpl> _me;
-   MBOWriter _producer;
-   MBOReader _consumer;
+   MBOWriter _writer;
+   MBOReader _reader;

 public:
-   MBOProcessor(utils::Dispatcher* _=nullptr);
+   MBOProcessor();
   MBOWriter& writer();
   MBOReader& reader();
 };
@@ -184,3 +181,4 @@ public:
 namespace std {
 std::ostream& operator<<(std::ostream& os, const bts::md::inc::Update&);
 }
+
@@ -4,6 +4,7 @@
 #include "lib/api/services/OrderService.client.pb.h"
 #include "lib/utils/Dispatcher.h"
 #include "lib/utils/TimeStamp.h"
+#include "lib/domain_model/Security.h"
 #include "MDClient.h"
 #include "ExchangeOrderKey.h"
 #include "MBOProcessor.h"
@@ -307,27 +308,41 @@ void MBOServiceServer::get_orders_for_security(const MBOSecurityQuery& request,
      reverse.insert(std::make_pair(pair.second.exchange_id(), pair.first));
   }

+   size_t count = 0;
+   auto tick = handle.get_minimum_tick();
   if(handle.is_initialized()) {
      auto mbo = handle.get_mbo();
      if (mbo) {
         for (const auto& o : mbo->bids) {
-            auto* entry = response.add_bid();
-            entry->set_exchange_id(o.id.value());
-            entry->set_price(o.price.price());
-            entry->set_size(o.size);
-            auto iter = reverse.find(o.id);
-            if (iter != reverse.end()) {
-               entry->set_order_id(iter->second.value());
+            double price = o.price.price();
+            bool isnan = os::is_nan(request.price_level());
+            if (isnan || securities::test_price_equality(request.price_level(), price, tick)) {
+               ++count;
+               if (request.limit() && count > request.limit()) break;
+               auto* entry = response.add_bid();
+               entry->set_exchange_id(o.id.value());
+               if (isnan) entry->set_price(price);
+               entry->set_size(o.size);
+               auto iter = reverse.find(o.id);
+               if (iter != reverse.end()) {
+                  entry->set_order_id(iter->second.value());
+               }
            }
         }
         for (const auto& o : mbo->asks) {
-            auto* entry = response.add_ask();
-            entry->set_exchange_id(o.id.value());
-            entry->set_price(o.price.price());
-            entry->set_size(o.size);
-            auto iter = reverse.find(o.id);
-            if (iter != reverse.end()) {
-               entry->set_order_id(iter->second.value());
+            double price = o.price.price();
+            bool isnan = os::is_nan(request.price_level());
+            if (isnan || securities::test_price_equality(request.price_level(), price, tick)) {
+               ++count;
+               if (request.limit() && count > request.limit()) break;
+               auto* entry = response.add_ask();
+               entry->set_exchange_id(o.id.value());
+               if (isnan) entry->set_price(price);
+               entry->set_size(o.size);
+               auto iter = reverse.find(o.id);
+               if (iter != reverse.end()) {
+                  entry->set_order_id(iter->second.value());
+               }
            }
         }
      }
@@ -169,6 +169,7 @@ MDProducerChannel MDProducer::get_channel(const char* symbol, SecurityType type,
 }

 void MDProducer::heartbeat() {
+   std::lock_guard<std::mutex> lock(*_mutex);
   for (auto& impl : _producers) {
      impl->heartbeat();
   }
@@ -358,7 +358,7 @@ OrderManager::free_buffers(std::string const &session_name) {
 }

 void OrderManager::init_order_services() {
-   auto& log = me->services_data.log;
+   auto &log = me->services_data.log;

   for (auto &s : me->services_data.sessions) {
      auto gw_name = GatewayName(s->session);
@@ -410,13 +410,14 @@ void OrderManager::init_order_services() {
          };
      s->exe_report_subs =
          std::make_unique<ContentSubscription<NewExecutionReportEvent>>(
-             *this, gw_name, on_exe_r,log);
+              *this, gw_name, on_exe_r, log);

      s->cancel_reject_subs =
-          std::make_unique<ContentSubscription<CancelRejectEvent>>(*this,
-                                                                   gw_name,log);
+          std::make_unique<ContentSubscription<CancelRejectEvent>>(
+              *this, gw_name, log);
      s->gateway_status_subs = std::make_unique<
-         ContentSubscription<GatewayStatusChangeEvent, NoKey>>(*this, gw_name,log);
+          ContentSubscription<GatewayStatusChangeEvent, NoKey>>(*this, gw_name,
+                                                                log);

      // publishers for execution reports, gateway status and cancel
      // reject evets
@@ -494,18 +495,18 @@ void OrderManager::init_order_services() {
          me->services_data.cor_id = ev.trace;
       };
   me->services_data.md_subs =
-       std::make_unique<ContentSubscription<BookUpdateEvent>>(*this, on_md_sub,
-                                                              on_book_update,log);
+       std::make_unique<ContentSubscription<BookUpdateEvent>>(
+           *this, on_md_sub, on_book_update, log);
   me->services_data.ticker_subs =
-       std::make_unique<ContentSubscription<TickerUpdateEvent>>(*this,
-                                                                on_ticker_sub,log);
+       std::make_unique<ContentSubscription<TickerUpdateEvent>>(
+           *this, on_ticker_sub, log);
   me->services_data.settlement_subs =
       std::make_unique<ContentSubscription<SettlementUpdateEvent>>(
-          *this, on_settlement_sub,log);
+           *this, on_settlement_sub, log);
   me->services_data.time_subs =
-      std::make_unique<ContentSubscription<TimerEvent, NoKey>>(*this,log);
+       std::make_unique<ContentSubscription<TimerEvent, NoKey>>(*this, log);
   me->services_data.order_creation_subs =
-      std::make_unique<ContentSubscription<CreateOrderReplyEvent>>(*this,log);
+       std::make_unique<ContentSubscription<CreateOrderReplyEvent>>(*this, log);
 }

 void OrderManager::after_event() {
@@ -514,7 +515,8 @@ void OrderManager::after_event() {
      for (auto &osd : me->services_data.sessions) {
         auto &fix_stream = osd->current_buffer->first_stream();
         if (fix_stream.n_msgs()) {
-            auto scoped_do_work = trace::log_scope(me->services_data.log, {}, "OrderManager::after_event");
+            auto scoped_do_work = trace::log_scope(me->services_data.log, {},
+                                                   "OrderManager::after_event");
            fix_stream.close();
            osd->gw.send_fix(osd->current_buffer, osd->current_trace);
            reload_fix_buffer(*osd);
@@ -536,8 +538,10 @@ void OrderManager::reload_fix_buffer(SessionServicesData &osd) {
   }
 }

-void OrderManager::on_poll(trace::PerfLog&log) {
-   auto scoped_do_work = trace::log_scope(log, {}, "OrderManager::dispatch_incoming_fix_messages");
+void OrderManager::on_poll(trace::PerfLog &log) {
+   auto scoped_do_work =
+       trace::log_scope(log, {}, "OrderManager::dispatch_incoming_fix_messages",
+                        utils::TimeStamp::Interval::from_microseconds(2));
   for (auto &osd : me->services_data.sessions)
      osd->gw.dispatch_incoming_fix_messages();
 }
@@ -207,7 +207,12 @@ OrderOpResult OrderServices::check_is_attachable() {
   // have either no parent or a dead parent.
   if (_owner->parent_key() != null_order_key()) {
      auto current_parent = _data->owner.lookup_order(_owner->parent_key());
-      bts_assert(current_parent);
+
+      // If we cannot find a parent that must mean the parent was
+      // removed by the order clean up process so it must be dead and
+      // therefore its fine to attach
+      if (current_parent == nullptr)
+         return OrderOpResult{};

      switch (current_parent->status()) {
      case ORDER_STATUS_PENDING_WORKING:
@@ -445,6 +445,7 @@ OrderOpResult NativeOrder::on_activate(Price p, Quantity q,
         // Early return so we skip the expensive report_state()
         // call. It is OK to spkip it because we are bound to report
         // our state once the excange aknowledges the order.
+         update_working_position();
         return OrderOpResult{};
      }

@@ -85,7 +85,7 @@ bool QHOWorkingStateWorker::_analyze_moving_out(){
               QueueHolderOrder::TerminationReason::UNEXPECTED_CHILD_CANCEL);
      return true;
   }
-   if(order_man.has_cancelled_order()){
+   if(order_man.has_errored_order()){
      _porder->_cancel_order(QueueHolderOrder::TerminationReason::CHILD_ERROR);
      return true;
   }
@@ -82,6 +82,13 @@ OrderOpResult SpreaderOrder::on_update(Price price, Quantity quantity){
   _report_state();
   return OrderOpResult {};
 }
+OrderOpResult SpreaderOrder::on_update(const api::orderman::Update& update){
+   if(update.has_custom())
+      return OrderOpResult{api::orderman::ORDER_ERROR_INVALID_OP,
+                        "Spreader parameter update is not supported"};
+   else
+      return on_update(Price(update.price()),Quantity(update.quantity()));
+}
 OrderOpResult SpreaderOrder::on_cancel(){
   if (!_active) return OrderOpResult{api::orderman::ORDER_ERROR_OP_NOT_SUPPORTED};
   LOG(OrderMan, Info, "SpreaderOrder.on_cancel key:{}", key().value());
@@ -115,6 +115,9 @@ public:
   // called when the user (or a higher level order)
   // updates the order's price or quantity
   OrderOpResult on_update(Price, Quantity) override;
+   // called when the user (or a higher level order)
+   // updates the order's params (including possibly price or quantity)
+   OrderOpResult on_update(const api::orderman::Update&) override;
   // called when the user (or higher level order) cancels an order
   OrderOpResult on_cancel() override;   
   // detach means to let the lower level orders lose from the higher
@@ -34,6 +34,10 @@
 #include <mutex>
 #include <sys/time.h>

+#include <unordered_set>
+#include <set>
+#include <google/btree/btree_set.h>
+
 #include <date/date.h>
 #include <tbb/concurrent_queue.h>
 namespace bts {
@@ -655,6 +659,73 @@ void int_price_less(benchmark::State& state) {
 }
 BENCHMARK(int_price_less)->Range(8, 8 << 11);

+
+void set_hashset_insert(benchmark::State& state) {
+   std::unordered_set<uintptr_t> s;
+   size_t x = 0;
+   for (auto _ : state) {
+      x = std::rand();
+      s.insert(x);
+   }
+}
+void set_stdset_insert(benchmark::State& state) {
+   std::set<uintptr_t> s;
+   size_t x = 0;
+   for (auto _ : state) {
+      x = std::rand();
+      s.insert(x);
+   }
+}
+void set_btreeset_insert(benchmark::State& state) {
+   btree::btree_set<uintptr_t> s;
+   size_t x = 0;
+   for (auto _ : state) {
+      x = std::rand();
+      s.insert(x);
+   }
+}
+
+void set_hashset_iterate(benchmark::State& state) {
+   std::unordered_set<uintptr_t> s;
+   size_t x = 0;
+   for (auto _ : state) {
+      x = std::rand();
+      s.insert(x);
+      for (const auto& p : s) {
+         benchmark::DoNotOptimize(p);
+      }
+   }
+}
+void set_stdset_iterate(benchmark::State& state) {
+   std::set<uintptr_t> s;
+   size_t x = 0;
+   for (auto _ : state) {
+      x = std::rand();
+      s.insert(x);
+      for (const auto& p : s) {
+         benchmark::DoNotOptimize(p);
+      }
+   }
+}
+void set_btreeset_iterate(benchmark::State& state) {
+   btree::btree_set<uintptr_t> s;
+   size_t x = 0;
+   for (auto _ : state) {
+      x = std::rand();
+      s.insert(x);
+      for (const auto& p : s) {
+         benchmark::DoNotOptimize(p);
+      }
+   }
+}
+
+BENCHMARK(set_hashset_insert);
+BENCHMARK(set_stdset_insert);
+BENCHMARK(set_btreeset_insert);
+BENCHMARK(set_hashset_iterate);
+BENCHMARK(set_stdset_iterate);
+BENCHMARK(set_btreeset_iterate);
+
 std::string Benchmark::help() {
   return "Run micro-benchmarks. Use --benchmark_filter=regex to run only "
          "specific benchmarks.";
@@ -59,7 +59,7 @@ int Run::execute(std::vector<std::string> const &) {
   persistence::PersistenceServiceServer settings_saver(sc, "settings");
   user::AuthServiceServer login_server(sc);

-   md::MBOProcessor mbo(&utils::Dispatcher::get_named("MBO"));
+   md::MBOProcessor mbo;
   auto* mbowriter = config::get<config::toggles::PlacementInQueue>().enabled() ? &mbo.writer() : nullptr;
   md::run_market_datapublishers(mbowriter);

@@ -2,6 +2,8 @@
 #include "lib/utils/bts_assert.h"
 #include "server/sparkd/exchange_sim/book/Book.h"
 #include "server/sparkd/exchange_sim/book/Order.h"
+#include "lib/config/config.h"
+#include "lib/config/protos/ExchangeSimCfg.pb.h"

 #include <set>

@@ -10,11 +12,12 @@ namespace ex_sim {

 struct OrderMatcher::PImpl {
   PImpl()
-       : bids(OrderCmp(false)), asks(OrderCmp(true)) {}
+       : bids(OrderCmp(false)), asks(OrderCmp(true)), max_orders(config::get<config::ExchangeSim>().orders_per_level()) {}

   OrdersSide bids;
   OrdersSide asks;
   std::vector<Trade> pending_trades;
+   size_t max_orders;
 };

 OrderMatcher::OrderMatcher()
@@ -53,24 +56,24 @@ void OrderMatcher::add_new(Order const &o, std::vector<Order> *out) {
   match(out);
 }

-std::pair<OrderMatcher::OrdersSide::iterator, OrderMatcher::OrdersSide::iterator>
-OrderMatcher::find_level(OrdersSide &side, double level)
+OrderMatcher::Level OrderMatcher::find_level(OrdersSide &side, double level)
 {
-   std::pair<OrdersSide::iterator, OrdersSide::iterator> result {side.end(), side.end()};
+   auto first = side.end(), second = side.end();
+   size_t count = 0;

   for (auto it = side.begin() ; it != side.end(); it++) {
-
      if (price_equals(it->price(),level)) {
-         result.first = it;
+         first = it;
         for (;it != side.end(); it++) {
+            ++count;
            if (!price_equals(it->price(),level))
               break;
         }
-         result.second = it;
+         second = it;
         break;
      }
   }
-   return result;
+   return { first, second, count };
 }

 void OrderMatcher::add_or_merge(Order const &o, std::vector<Order> *out) {
@@ -82,12 +85,12 @@ void OrderMatcher::add_or_merge(Order const &o, std::vector<Order> *out) {
      side = &me->asks;

   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()) {
+      // Keep enough orders to make MBO look good but don't grow forever
+      if (last->owner() == o.owner() && range.size > me->max_orders) {
         auto no_const = const_cast<Order *>(&(*last));
         no_const->set_open_quantity(last->open_quantity() + o.quantity());
         match(out);
@@ -139,11 +142,10 @@ void OrderMatcher::cancel(std::string const &clordid) {
 void OrderMatcher::try_reduce_quantity_at_level(
    api::Side side, Price level, Quantity by_quantity,
    std::string const &order_owner) {
-   std::pair<OrdersSide::iterator, OrdersSide::iterator> range;
-   if (side == api::SIDE_BUY)
-      range = find_level(me->bids,level.value());
-   else
-      range = find_level(me->asks,level.value());
+   auto range = 
+      side == api::SIDE_BUY ? 
+         find_level(me->bids,level.value()) :
+         find_level(me->asks,level.value());
   
   std::vector<std::string> orders_to_cancel;
   for (auto it = range.first; it != range.second && by_quantity.value();
@@ -9,6 +9,7 @@

 #include <memory>
 #include <set>
+#include <tuple>

 namespace bts {
 namespace ex_sim {
@@ -48,8 +49,12 @@ class OrderMatcher {
   std::unique_ptr<PImpl> me;
   void match(std::vector<Order> *out);
   void match(Order *bid, Order *ask);
-   std::pair<OrderMatcher::OrdersSide::iterator, OrderMatcher::OrdersSide::iterator>
-   find_level(OrdersSide &side, double level);
+   struct Level {
+      OrderMatcher::OrdersSide::iterator first;
+      OrderMatcher::OrdersSide::iterator second;
+      size_t size;
+   };
+   Level find_level(OrdersSide &side, double level);
 };


@@ -120,7 +120,8 @@ void MDP3Listener::onBookUpdate(onixs::Handler&, const onixs::Security& sec, con
   onBookUpdate<COCONUT_MAX_IMPLIED_DEPTH>(sec, book, book_type_implied);
 }

-void MDP3Listener::onBookUpdate(onixs::Handler&, const onixs::Security& sec, const onixs::MboBook& book) {
+void MDP3Listener::onBookUpdate(onixs::Handler&, const onixs::Security&, const onixs::MboBook& ) {
+   #if 0
   if (_mbo) {
      auto data = _index.get_security(sec.id());
      if (data == nullptr) return;
@@ -136,6 +137,7 @@ void MDP3Listener::onBookUpdate(onixs::Handler&, const onixs::Security& sec, con
      }
      _mbo->validate_snapshot(sec.id(), SecurityKey(key), snapshot);
   }
+   #endif
 }

 //
@@ -316,7 +316,12 @@ unique_ptr<onixs::Handler> MDP3Main::prepare_handler(const string& channel_id, M

   try {
      auto handler = unique_ptr<onixs::Handler>(new onixs::Handler(settings));
-      handler->bindFeedEngine(*_engines.at(options.feed_engine()));
+      auto iter = _engines.find(options.feed_engine());
+      if (iter == _engines.end()) {
+         LOG(md,Fatal, "Missing feed engine definition '{}' for channel id '{}'. Add a feed_engine entry with name:'{}' to the CMEOptions config key.", options.feed_engine(), channel_id, options.feed_engine());
+         bts_assert_msg(iter != _engines.end(), "Missing feed engine definition.");
+      }
+      handler->bindFeedEngine(*(iter->second));
      if (recovery) {
         handler->bindTcpRecovery(*recovery);
         _recovery.push_back(std::move(recovery));
@@ -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/AlgoDefinitionService.proto;../lib/api/services/AlgoService.proto;../lib/api/services/ApiUnitTestService.proto;../lib/api/services/AuthService.proto;../lib/api/services/ErrorReportService.proto;../lib/api/services/HelloService.proto;../lib/api/services/MBOService.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/domain_model/Security.proto;../lib/md/protos/co2.proto;../lib/sparkproto/SparkProtos.proto;api/build.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;ui/src/obj/Debug/netstandard2.0/ui.AssemblyInfo.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/AlgoDefinitionService.proto;../lib/api/services/AlgoService.proto;../lib/api/services/ApiUnitTestService.proto;../lib/api/services/AuthService.proto;../lib/api/services/ErrorReportService.proto;../lib/api/services/HelloService.proto;../lib/api/services/MBOService.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/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;ui/src/obj/Debug/netstandard2.0/ui.AssemblyInfo.fs)
@@ -28,12 +28,12 @@ the badge will have a green border, depicting the single-order limit order type
 the badge will have a dot in the upper right hand corner (7)

 2. Now place another limit order at the same level:
-the badge now has a triangle in the lower right, indicating we have multiple workikng orders (9)
+the badge now has a triangle in the lower right, indicating we have multiple working orders (9)
 the green border and dot have gone away (5, 7)

 Now place another limit below the bid:

-3. Outcome similar to 1, except the background color is ligther bid background color (blue)
+3. Outcome similar to 1, except the background color is lighter bid background color (blue)

 Now place an a Buy Iceberg at the same level with a sufficiently large qty, say 200, as your working ask

@@ -44,7 +44,7 @@ Test 2
 ------
 This will test characteristics 4,10

-1. Create a spreader comprised 1 quoting leg and 1 heding leg of your favorite instruments and place a spread order
+1. Create a spreader comprised 1 quoting leg and 1 hedging leg of your favorite instruments and place a spread order
 2. Pull up the spreader ladder and place a sell order above the market
 3. Pull up the quoting leg's ladder and observe the badge; it may be helpful to pull up the Orderbook to find the price at which the leg is being quoted.
 	The badge should have a rectangle filled in with the Spreader algo's color
@@ -0,0 +1,57 @@
+Introduction
+-------------
+
+Ideally this test should be done with a cert connection because the simulator can be quirky.  If you ignore this advice and use sim you must not admit it to anyone.
+
+Only exchange orders will have a PIQ so you should probably just use a Limit order for this test.
+
+General Stuff to Look For:
+--------------------------
+- The MBO popup is 'live' and should update as the market moves.
+- The MBO popup should increase in size if more orders are added while it is open.
+- The MBO popup should not shrink when orders are removed. It only grows.
+- The scale of the bars is based on the largest order seen by the popup.  
+    - If a larger order shows up it will scale down the other orders.
+    - When the large order goes away it should *not* expand the other bars.  The scale only increases while the popup is open.
+    - For example:
+        - You open the popup and there are 2 orders of size [1,2]
+        - size 1 will be about half way across the available space and 2 will fill the space.
+        - An order of size 5 comes around it will fill the available space and the other orders will be 20%, 40% across respectively.
+        - If the size 5 order is canceled the [1,2] orders stay at 20%, 40% rather than growing to fill the space.
+        - If you close and re-open the popup state is reset and [1,2] will be 50%/100% again.
+- Middle clicking on a row with no data does not open the popup.
+    - This doesn't mean clicking past the end of the visible book won't show anything.  The MBO tracks much deeper than the market by price.  If there's a gap between 2 prices that's a good spot to test.
+
+
+Part 1:
+-------
+- Find a security with a non-empty market that isn't moving too fast.  Cert can be temperamental so open the market view and filter for Qty > 0.
+- Open settings and turn on the PIQ column (settings -> column settings)
+- Choose a price near the top of the book and middle click the price column to show the MBO popup.
+- Add up the sizes in the popup and make sure they agree with the total size in the bid or ask column on the ladder. 
+    - Test both sides of the market near the top and away from the top.
+- Enter an order.
+    - The PIQ column should reflect the number of orders ahead of you in the queue.  The size in the bid/ask column is how many orders were there when you entered your order so you should expect the PIQ to be the size from before you entered your order.
+    When the market moves you should expect your PIQ to go down.  If cert is working correctly your PIQ should never go up.
+    - Open the MBO popup.  Your order should be shown in a different color from the other orders at that level.
+    - Verify that your order position matches the value from the PIQ column.
+    - Test both sides of the market near the top and away from the top.
+- Moving your order to a different price or *increasing* the size of your order will move you to the back of the queue.
+    - If you ignored the instructions and you're using sim this probably won't work.  You should have listened.
+- Reducing the size of your order should not change your queue position.  You might may have to be quick to observe this.
+
+Part 2:
+-------
+- Open several securities with varying tick sizes and make sure that the MBO popup opens for all levels of the book where there is a size.
+- Why? The ladder sends the price you click on to the server and the server must identify the right price level.  As you know, the IEEE double is out to get you.
+
+Part 3:
+-------
+- The MBO popup should expand either up or down from the mouse position to maximize the available space.
+- If the number of orders exceeds the space available the mouse wheel should work to let you scroll up/down to see the rest (up to LadderKnobs.max_mbo_orders which defaults to 200)
+- Find a security with enough orders to cause scrolling by either
+  - Connect to a demo system with production md and look at a ZN spread (i.e. ZNM9 - ZNU9)
+  - Enter a bunch of orders at the level on cert.
+  - If you try this on sim (you're not a very good listener, are you?) It will cap out at ExchangeSim.orders_per_level (default:10) 
+- Make sure that scrolling works.
+
@@ -0,0 +1,69 @@
+Test Author: Pedro 
+If it breaks: Pedro
+
+Spreader Requote Performance test
+
+Note: This test is fairly cumbersome to setup, because performance is
+very sensitive to a number of factors including compilation switches,
+hardware used, thread allocation and load on the machine. Pedro has
+the best handle on how do all this and should probably be the one
+doing this test.
+
+
+1) Make sure you are testing a release server build
+
+2) Make sure you use real hardware, with hyper threading turned off
+and cstates disabled, for the server side
+
+3) Make sure you isolate the CPU on which you are running the
+server. This is best done on Linux by editing /etc/default/grub like
+this:
+
+# this isolates CPU's 0 to 5 for better performance testing
+GRUB_CMDLINE_LINUX="isolcpus=0-5"
+
+4) Now make sure your configuration is set for the lowest latency,
+including dedicating a thread to the order manager on the isolated
+cores:
+
+OrdermanCfg {
+   value {
+      executor {
+         thread_name: "oman_orders"
+	 poll: true 
+	 hosted_actor: "MDSource"
+	 hosted_actor: "OrderManager"
+      }
+      executor {
+         thread_name: "oman_slow"
+	 poll: false 
+	 hosted_actor: "*"
+      }
+   }
+}
+
+Threads {
+   value {
+      thread_group {name_rx: "mdp3feed" core: 0}
+      thread_group {name_rx: "oman_orders" core: 1}
+      thread_group {name_rx: "jf_ar_sim" core: 2}
+      thread_group {name_rx: ".*" core:6 core:7 core:8 core:9 core:10 }
+   }
+}
+
+5) Now you are ready to start testing. Start a shell and create a new
+synthetic say with 2 CL futures. Use the near month (fast ticking)
+future as the non quoting leg, so that the other leg gets quoted
+often. Make sure to disable throtling in the synthetic definition
+dialog.
+
+6) Place an order for this synthetic, away from the market.
+
+7) Now run for say 3 minutes. Visit http://youserver:8000/perf_trace
+You should see a graph indicating the median requote times for the
+order you created in 5). Make sure you have at least 100 data points
+and data the median time is around 12us. If you get anything greater
+than 15us, the test has failed.
+
+
+
Author	SHA1	Message	Date
Pedro Pinto	9540a15585	Updated release notes and fixed bug that brought Haris down.	2019-05-28 07:06:39 -04:00
Taha Afzal	e8a467d5f1	1.Position limit check for QHO and 2. QHO crash for rejected orders	2019-05-27 16:03:44 -04:00
Taha Afzal	61556eb534	'Algo->spreader is not sending the price over' is fixed	2019-05-24 16:43:56 -04:00
Pedro Pinto	f6be20ce8d	Updated release notes.	2019-05-24 14:02:06 -04:00
Pedro Pinto	68428ab89d	Ran clang format.	2019-05-24 13:59:31 -04:00
Pedro Pinto	12d54fdb31	Added manual test to validate spreader performance.	2019-05-24 13:58:59 -04:00
Pedro Pinto	366e13ef05	Fixes requoted performance regression introduced in commit `e998edc`	2019-05-24 13:56:37 -04:00
Eric Harding	0fcdc9c493	Merged in SPARK-2474 (pull request #237 ) RTM: SPARK-2474 Improve mdp3 error message for missing feed_handler Approved-by: Pedro Pinto <pedro.pinto+atlassian@bluetradesys.com>	2019-05-23 15:32:56 +00:00
Eric Harding	0f967ae4cd	Bump up feed_engine default buffer to 256mb (support is using this as a default already)	2019-05-23 09:41:48 -04:00
Eric Harding	a232d738a0	Add instructions to error message	2019-05-23 09:40:40 -04:00
Eric Harding	3d3ac4e49f	SPARK-2474 Improve mdp3 error message for missing feed_handler	2019-05-23 09:24:29 -04:00
Eric Harding	bced75ea50	Ubuntu 18.04 broke dev dns for mdreplay. Back to IP address.	2019-05-22 14:03:15 -04:00
Jake Norbut	b48accf1f9	only iterate over workspaces that contains windows	2019-05-22 12:59:54 -05:00
Pedro Pinto	ca1217cd64	_index.md edited online with Bitbucket	2019-05-22 14:59:05 +00:00
John Colvin	4ed4e2e5e4	Merged in backwards-compatibility (pull request #234 ) Backwards compatibility Approved-by: Jake Norbut <jake.norbut@bluetradesys.com>	2019-05-22 14:57:09 +00:00
John Colvin	f6ca8286ea	SPARK-2467 fix backwards compatibility bug in orderbook settings	2019-05-21 19:05:13 -05:00
John Colvin	ae471b07fa	SPARK-2466 fix backwards compatibility bug in fills settings	2019-05-21 18:56:59 -05:00
Eric Harding	07fa55d317	Fix settingsmanager crash	2019-05-21 10:32:34 -04:00
Michael Harding	83650f1e1b	System tests: fix timeout, minor improvements	2019-05-20 11:13:36 -04:00
Michael Harding	523002ac56	Fix System tests	2019-05-17 16:57:24 -04:00
Pedro Pinto	9c25a8751e	Updated release notes.	2019-05-17 15:38:42 -04:00
Pedro Pinto	89fc99b59a	Updated docker subrepo ptr	2019-05-17 15:37:52 -04:00
Eric Harding	cd413d10ab	Merged in SPARK-2363 (pull request #231 ) RTM: SPARK-2363 - PIQ popup Approved-by: Jake Norbut <jake.norbut@bluetradesys.com>	2019-05-17 19:35:39 +00:00
Eric Harding	1c5cc9c1bb	Merged in SPARK-2455-crash-on-md-startup-server-si (pull request #232 ) SPARK-2455 crash on sim startup Approved-by: Pedro Pinto <pedro.pinto+atlassian@bluetradesys.com>	2019-05-17 19:33:53 +00:00
Eric Harding	7965743a80	SPARK-2455 crash on sim startup	2019-05-17 15:20:53 -04:00
Michael Harding	c9db5d13a9	System tests wait for system ready	2019-05-17 13:36:21 -04:00
Eric Harding	13e911760d	Middle click off popup shoudl close popup	2019-05-17 11:46:06 -04:00
Eric Harding	a12c3128a3	Don't allow mbo popup index number to flicker width	2019-05-17 11:45:22 -04:00
Eric Harding	6bb84b65a8	Merge branch 'master' of bitbucket.org:bluetradesys/spark into SPARK-2363	2019-05-17 10:34:11 -04:00
Eric Harding	6fb1140a97	test review feedback	2019-05-17 10:29:12 -04:00
Eric Harding	0e449844ca	Clarify this point	2019-05-17 10:25:28 -04:00
Eric Harding	476206edb0	add piq/mbo manual test	2019-05-17 10:21:12 -04:00
Eric Harding	3483ac0712	Code review feedback	2019-05-17 09:03:49 -04:00
Eric Harding	d6e586c4ce	SPARK2452 - Update release notes for MBO	2019-05-16 16:44:18 -04:00
Eric Harding	0f1735fba2	SPARK-2453 Do not end order on bid/ask middle click	2019-05-16 16:39:50 -04:00
Eric Harding	e5254dcf7f	btree_set benchmarks are veerry interesting	2019-05-16 15:40:17 -04:00
Eric Harding	7bd183c8a4	btree_set benchmarks are very interesting	2019-05-16 15:29:59 -04:00
Michael Harding	aaf09b197b	Fix sdk docs	2019-05-16 15:16:49 -04:00
Eric Harding	6081128b92	move sparkvm launch to the top of the debug menu	2019-05-16 15:11:26 -04:00
Eric Harding	6d6ecb33ba	SPARK-2450 Simulator MBO realism ™	2019-05-16 15:08:51 -04:00
Michael Harding	6e85612adc	deleting the right files this time	2019-05-16 14:01:35 -04:00
Eric Harding	f33a13bfc8	Wire mbo popup to ladder in order book	2019-05-16 13:36:19 -04:00
Jake Norbut	c4eeac8d0a	fixing ServiceTail time formatting option	2019-05-16 12:07:49 -05:00
Michael Harding	432f39a1fa	Don't delete everything	2019-05-16 12:54:39 -04:00
Eric Harding	6084da64a2	merge master	2019-05-16 12:18:45 -04:00
Jake Norbut	5ae484e6c1	adding comment to method	2019-05-16 10:07:59 -05:00
Eric Harding	a2d4eb7d10	SPARK-2444 MBO Polish 2 - the Scrollening	2019-05-16 10:43:23 -04:00
Michael Harding	8082ab12dd	Delete everything	2019-05-16 10:37:00 -04:00
Eric Harding	06520791fa	SPARK-2444 MBO UI polish	2019-05-15 17:19:46 -04:00
Eric Harding	6f630a0e62	MBOService should indicate bid/ask	2019-05-14 17:03:17 -04:00
Eric Harding	bee1df45ad	SPARK-2430 prioritize draining incremental queue over publishing shapshots	2019-05-14 11:52:51 -04:00
Eric Harding	3789d73593	Do not allow minTick to be 0 (infinite loop)	2019-05-09 16:25:25 -04:00
Eric Harding	dd049374d7	Fix equality comparison between mbo price levels	2019-05-09 14:26:14 -04:00
Eric Harding	96572539a7	SPARK-2381 View MBO in ladder	2019-05-09 13:05:47 -04:00
Eric Harding	74dd36bde1	SPARK-2380 add MBO popup	2019-05-07 18:02:59 -04:00