Merge branch 'master' into prod

Fix documentation deploy
Merged in SPARK-2489-ladder-settings (pull request #257 )
2019-06-14 10:13:40 -04:00 · 2019-06-13 12:49:13 -04:00 · 2019-06-10 21:31:24 +00:00 · 2019-06-10 17:27:46 -04:00 · 2019-06-10 15:23:58 -05:00 · 2019-06-10 15:12:38 -05:00
68 changed files with 1867 additions and 1309 deletions
@@ -4,6 +4,35 @@ weight = 3
 sort_by = "weight"
 insert_anchor_links = "right"
 +++
+## 2.2.0
+### User Visible Changes
+  - Made our orders easier to spot in MBO display
+  - Changed middle-click on center column to recenter ladder and introduced Alt middle-click on center to bring up the MBO popup
+  - Fixed Net/Absolute radio button in risk admin UI
+  - Fixed double counting of spread legs in limits
+  - Removed expired fills from the system
+  - Improved handling of orders with undiscovered securities
+  - Added feedback to the ladder when the user attempts to middle click on bid/ask columns using an order that does not have parameters
+  - Fixed display of algo studio algo types in order book
+  - Hid net change setting in synthetic ladders 
+  - Fixed a number of problems with filtering on the Fills form
+  - On the Lean algo, OnToward and Away are now calculated with respect to the opposite inside market at time of the order launch
+  - Iceberg Spreaders with queue holders are not erroneously cancelled after the first fill
+  - Added security symbol column to fills window
+  - Re-organized ladder settings dialog to make it clearer and easier to use
+  
+## 2.1.4
+### User Visible Changes
+  - Fixed handling of cancel button in security picker
+  
+## 2.1.3
+### User Visible Changes
+  - Fixed a simulator bug in the handling of 0 sized orders 
+
+## 2.2.1
+### User Visible Changes
+  - Fixed order book form exception when display a spreader order for whichs the legs were not present yet
+  
 ## 2.1.1
 ### User Visible Changes
  - Added PIQ to GLBX Iceberg orders
@@ -1,7 +1,6 @@
 #/bin/bash
 #python -m mkdocs build -d site

-cp -r ../../src/sdk/doc/* ./content/bts_spark_sdk/Server/
 ./run_zola.sh build

 scp -r ./public bts@bluetradesys.com:/home/bts/doc/
@@ -14,7 +13,3 @@ sudo mv ./public/* /var/www/documentation/
 EOF

 rm -r public
-cd ./content/bts_spark_sdk/server/
-find  . -not -name '_index.md' -delete
-cd ../..
-
@@ -73,6 +73,7 @@ namespace bts {
            window.Close();
            message.complete(select_result(vm)).execute(_bus);
         };
+         vm.cancel_action = () => window.Close();
         window.move_to_mouse();
         window.Show();
      }
@@ -1,6 +1,7 @@
 using bts;
 using bts.api;
 using bts.shell;
+using bts.shell.fills;
 using bts.spark;
 using bts.utils;
 using mbts.persist;
@@ -117,8 +118,8 @@ namespace mbts.spark {
         // show fills
         var show_fills_cmd = new DelegateCommand(() => {
            var sc = _selected_security_criteria;
-            _bus.post(SparkTags.ShowFillsTag, new FillsWindowFactory.StartupData(
-               new FillsWindowFactory.FilterStates {
+            _bus.post(SparkTags.ShowFillsTag, new FillsSettings(
+               new FillsFilterStates {
                  security = sc.is_defined() ? sc : _state.security_criteria
               }));
         });
@@ -1,6 +1,7 @@
 using bts;
 using bts.api;
 using bts.shell;
+using bts.shell.fills;
 using bts.spark;
 using mbts.co2;
 using mbts.persist;
@@ -92,8 +93,8 @@ namespace mbts.spark {
         _initialize();

         bool always_true<T>(T _) => true;
-         FillsWindowFactory.StartupData get_fills_startup_data(IReadOnlyList<SecurityImmutable> secs) =>
-            new FillsWindowFactory.StartupData(new FillsWindowFactory.FilterStates {
+         FillsSettings get_fills_startup_data(IReadOnlyList<SecurityImmutable> secs) =>
+            new FillsSettings(new FillsFilterStates {
               security = secs.Count > 0 ? new SecurityCriteria(secs) : _state.security_criteria
            });
         void update_criteria(SecurityCriteria c) {
@@ -321,9 +321,12 @@ namespace mbts.spark {
         return string.Empty;
      }

-      static IEnumerable<LegSpreaderParamsTuple> _get_legs(Security synthetic, ExecutionStrategyImmutable strategy) =>
-         synthetic.Synthetic.Legs
-         .Select(l => new LegSpreaderParamsTuple(l, strategy.LegParamsMap[l.Security.Id].Clone()));
+      static IEnumerable<LegSpreaderParamsTuple> _get_legs(Security synthetic, ExecutionStrategyImmutable strategy) {
+         foreach (var l in synthetic.Synthetic.Legs) {
+            if (strategy.LegParamsMap.TryGetValue(l.Security.Id, out var p))
+               yield return new LegSpreaderParamsTuple(l, p);
+         }
+      }

      void _close_new_leg_popup() {
         is_new_leg_popup_open = false;
@@ -2,6 +2,7 @@
 using bts.api.core;
 using bts.api.orderman;
 using bts.collections;
+using bts.shell.fills;
 using bts.spark;
 using bts.utils;
 using mbts.collections;
@@ -18,7 +19,6 @@ using System;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
 using System.Collections.Specialized;
-using System.ComponentModel;
 using System.Linq;
 using System.Reactive.Disposables;
 using System.Reactive.Linq;
@@ -34,21 +34,19 @@ using OrderType = bts.api.orderman.CustomOrderDefinition.CustomOneofCase;
 namespace mbts.spark {
   class FillsVM : DisposableViewModelBase, IHandleGridSorting {
      readonly OrdersModel _model;
-      readonly DIYGridSortManager<Columns> _sort_manager;
-      readonly IDIYGridFiltersManager<FillTuple, Columns, FilterStates> _filters_manager;
+      readonly DIYGridRowsManager<FillTuple, Columns, FillsFilterStates> _rows_manager;
      readonly ObservableKeyedCollection<ColumnBase, Columns> _columns = new ObservableKeyedCollection<ColumnBase, Columns>(_col_key);
-      List<(ColumnBase col, Columns key, ListSortDirection direction)> _active_comparers = new List<(ColumnBase col, Columns key, ListSortDirection direction)>();
      IWindowSettingsManager<GridSettings> _settings_manager;
      int _total_row_count;

-      public FillsVM(IBus bus, OrdersModel model, IObservable<StartupData> state_obs, IWindowSettingsManager<GridSettings> settings_manager)
+      public FillsVM(IBus bus, OrdersModel model, IObservable<FillsSettings> state_obs, IWindowSettingsManager<GridSettings> settings_manager)
         : this(bus, model, state_obs, _get_observable(bus, model, state_obs), settings_manager) { }

-      public FillsVM(IBus bus, OrdersModel model, IObservable<StartupData> state_obs, IObservable<TableUpdate<FillTuple, string>> fills_source, IWindowSettingsManager<GridSettings> settings_manager) {
+      public FillsVM(IBus bus, OrdersModel model, IObservable<FillsSettings> state_obs, IObservable<TableUpdate<FillTuple, string>> fills_source, IWindowSettingsManager<GridSettings> settings_manager) {
         _model = model;
         _settings_manager = settings_manager;
         /// Columns
-         var col_tups = new ObservableKeyedCollection<DIYGridColumnData<FillTuple, Columns, FilterStates>, Columns>(c => c.key);
+         var col_tups = new ObservableKeyedCollection<DIYGridColumnData<FillTuple, Columns, FillsFilterStates>, Columns>(c => c.key);
         // security
         add_col(Columns.Security, DefaultColumnHeaders.Security, r => r.security.ToString(),
            DiscreteValuesFilterVM.Create<FillTuple, SecurityImmutable, SecurityCriteria>(
@@ -63,6 +61,14 @@ namespace mbts.spark {
            equality_comparer: SecurityDataHelper.EqualityComparer.IDComparer,
            comparer: Comparer<SecurityImmutable>.Default
         ), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.Security);
+         // symbol
+         add_col(Columns.Symbol, DefaultColumnHeaders.Symbol, r => r.security.Symbol,
+            DiscreteValuesFilterVM.Create<FillTuple, string>(
+               co2.UserSymbol.get_all().Select(u => u.symbol).Distinct().ToList(),
+               ft => ft.security?.Symbol ?? string.Empty,
+               nameof(OrderBookRowVM.symbol)),
+               DataGridFilterKnownTemplates.DiscreteValues,
+               DefaultColumnWidths.Symbol);
         // order type
         var order_type_filter = dv_filter(OrderDataHelper.all_order_types, r => r.order?.order_type() ?? OrderType.None);
         add_col_expl(Columns.OrderType,
@@ -85,25 +91,15 @@ namespace mbts.spark {
         add_col(Columns.FillKey, DefaultColumnHeaders.FillKey, r => r.fill_key.ToString(), new RegexFilterVM<FillTuple>(r => r.fill.FillKey), DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.FillKey);
         add_col(Columns.OrderKey, DefaultColumnHeaders.OrderKey, r => r.order_key.ToString(), new RegexFilterVM<FillTuple>(r => r.fill.OrderKey.ToString()), DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.OrderKey);
         add_col(Columns.SecurityKey, DefaultColumnHeaders.SecurityKey, r => r.security_key.ToString(), new RegexFilterVM<FillTuple>(r => r.fill.SecurityKey.ToString()), DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.SecurityKey);
-         /// Rows
-         rows = new OperableCollection<Row, FillTuple, string>(
-            (ft, fk) => new Row(ft, model),
-            ft => ft.fill.FillKey,
-            new ComparerBuilder<FillTuple>(new[] {
-               _get_column_comparer(Columns.FillTime),
-               _get_column_comparer(Columns.FillKey)
-            }).to_comparer());
-         // row sort/filter managers
-         _sort_manager = new DIYGridSortManager<Columns>(col_tups.WrapSelector(t => (t.col, t.key)), Columns.FillKey);
-         _filters_manager = DIYGridFiltersManager.create(col_tups);
-         var rows_manager = new DIYGridRowsManager<FillTuple, Columns, FilterStates>(_filters_manager, _sort_manager, _get_column_comparer, FillsWindow.window_type_name);
+         // rows
+         _rows_manager = DIYGridRowsManager.create(FillsWindow.window_type_name, Columns.FillKey, col_tups, col_tups.WrapSelector(t => (t.col, t.key)), _get_column_comparer, fs => fs.build_predicate());
         // grid settings
         grid_settings_manager = new SimpleGridSettingsManager<Row>(columns, new Dictionary<string, GridColumnSettingsFeatureFlags> { }, rows);
         // this will initialize the immutable properties that correspond to the col_settings_flags above (e.g. Bid/Ask font_color_override, etc.)
         if (_settings_manager != null)
            grid_settings_manager.load_from(_settings_manager.current_settings());
-         var filter_src = Observable.FromEvent<Action<Func<FillTuple, bool>>, Func<FillTuple, bool>>(cb => rows_manager.filter_changed += cb, cb => rows_manager.filter_changed -= cb);
-         var comp_src = Observable.FromEvent<Action<IComparer<FillTuple>>, IComparer<FillTuple>>(cb => rows_manager.comparer_changed += cb, cb => rows_manager.comparer_changed -= cb);
+         var filter_src = Observable.FromEvent<Action<Func<FillTuple, bool>>, Func<FillTuple, bool>>(cb => _rows_manager.filter_changed += cb, cb => _rows_manager.filter_changed -= cb);
+         var comp_src = Observable.FromEvent<Action<IComparer<FillTuple>>, IComparer<FillTuple>>(cb => _rows_manager.comparer_changed += cb, cb => _rows_manager.comparer_changed -= cb);
         TableUpdate<FillTuple, string> last_unfiltered_fills = TableUpdate<FillTuple, string>.mk_empty(FillTuple.key_fn);
         var fills_buffer = Observable.Create<TableUpdate<FillTuple, string>>(o => {
            // this is what .Cache() does, but is a little cheaper, since we know subscriptions and callbacks occur on the same thread (i.e., on this Dispatcher).
@@ -125,13 +121,13 @@ namespace mbts.spark {
                  // Note: settings_manager in turn notifies grid_settings_manager of this update
                  _settings_manager.instance_settings = s.grid;
               }
-               var fs = s.filters ?? new FilterStates {
+               var fs = s.filters ?? new FillsFilterStates {
                  fill_time = new TimeFilterTuple(
                     TimeFilterMode.CMEOpen,
                     TimeTextTuple.FromDateTime(DateTime.Today),
                     TimeTextTuple.FromDateTime(DateTime.Today.AddDays(1)))
               };
-               rows_manager.on_settings(fs, s.sorting_criterion);
+               _rows_manager.on_settings(fs, s.sorting_criterion);
            }),
            settings_manager == null ? Disposable.empty : settings_manager.subscribe_current().OnDispatcher().Subscribe(grid_settings_manager),
            (fills_source as IConnectableObservable<TableUpdate<FillTuple, string>>)?.Connect() ?? Disposable.empty
@@ -144,7 +140,7 @@ namespace mbts.spark {
               Width = width
            }, filter);
         void add_col_expl<TFilter>(Columns col_key, ColumnBase col, IDataGridColumnPersistentFilter<FillTuple, TFilter> filter) =>
-            col_tups.Add(col_key, DIYGridColumnData.create<FillTuple, Columns, FilterStates, TFilter>(col, filter, _get_column_comparer(col_key)));
+            col_tups.Add(col_key, DIYGridColumnData.create<FillTuple, Columns, FillsFilterStates, TFilter>(col, filter, _get_column_comparer(col_key)));
         // discrete-values-filter factories
         IDataGridColumnPersistentFilter<FillTuple, T[]> dv_filter<T>(IReadOnlyCollection<T> items, Func<FillTuple, T> get_row_val) => DiscreteValuesFilterVM.Create<FillTuple, T>(items, get_row_val);
         IDataGridColumnPersistentFilter<FillTuple, T[]> dv_filter_rx<T>(IObservable<IEnumerable<T>> items, Func<FillTuple, T> get_row_val) => DiscreteValuesFilterVM.Create<FillTuple, T>(items, get_row_val);
@@ -166,26 +162,26 @@ namespace mbts.spark {
            return grid_settings_manager.create();
      }

+      public FillsFilterStates get_filters() =>
+         _rows_manager.get_filters();
+
      public IEnumerable<SortingCriteria> get_sorting_criterion() =>
-         _sort_manager.create();
+         _rows_manager.get_sorting_criterion();

      public void on_sorting(object sender, DIYGridSortingEventArgs e) =>
-         _sort_manager.on_sorting(e);
+         _rows_manager.on_sorting(e);

      static Columns _col_key(ColumnBase column) =>
         ((IKeyedColumn<Columns>)column).key;

-      public FilterStates get_filters() =>
-         _filters_manager.create();
-
-      static IObservable<TableUpdate<FillTuple, string>> _get_observable(IBus bus, OrdersModel model, StartupData state) {
+      static IObservable<TableUpdate<FillTuple, string>> _get_observable(IBus bus, OrdersModel model, FillsSettings state) {
         if (!state.orders.is_null_or_empty()) {
            var orders_hash = new HashSet<uint>(state.orders);
            return model.on_fill_tuples.Filter(f => orders_hash.Contains(f.fill.OrderKey));
         } else return model.on_fill_tuples;
      }

-      static IConnectableObservable<TableUpdate<FillTuple, string>> _get_observable(IBus bus, OrdersModel model, IObservable<StartupData> state) =>
+      static IConnectableObservable<TableUpdate<FillTuple, string>> _get_observable(IBus bus, OrdersModel model, IObservable<FillsSettings> state) =>
         state.SelectManyInSeries(s => _get_observable(bus, model, s));

      static IComparer<FillTuple> _get_column_comparer(Columns col) {
@@ -202,6 +198,7 @@ namespace mbts.spark {
            case Columns.SecurityKey: return wrap(ft => ft.fill.SecurityKey);
            case Columns.Side: return wrap_default(ft => ft.fill.Side);
            case Columns.Size: return wrap(ft => ft.fill.LastShares);
+            case Columns.Symbol: return wrap(ft => ft.security?.Symbol ?? string.Empty);
            case Columns.TimeInForce: return wrap_default(ft => ft.order?.time_in_force() ?? TimeInForce.Undefined);
            case Columns.User: return wrap(ft => ft.order?.user() ?? string.Empty);
            default: goto case Columns.FillTime;
@@ -7,7 +7,23 @@ namespace mbts.ui.spark {
   /// Interaction logic for FillsView.xaml
   /// </summary>
   partial class FillsView : UserControl {
-      public enum Columns { FillTime, User, Account, Exchange, Security, TimeInForce, OrderType, Side, Price, Size, FillKind, FillKey, OrderKey, SecurityKey }
+      public enum Columns {
+         FillTime,
+         User,
+         Account,
+         Exchange,
+         Security,
+         Symbol,
+         TimeInForce,
+         OrderType,
+         Side,
+         Price,
+         Size,
+         FillKind,
+         FillKey,
+         OrderKey,
+         SecurityKey
+      }

      public FillsView() =>
         InitializeComponent();
@@ -1,6 +1,7 @@
 using bts;
 using bts.api;
 using bts.shell;
+using bts.shell.fills;
 using bts.spark;
 using mbts.persist;
 using mbts.ui;
@@ -13,21 +14,20 @@ using System.Collections.Generic;
 using System.Linq;
 using System.Reactive.Linq;
 using System.Windows;
-using StartupData = bts.shell.FillsWindowFactory.StartupData;

 namespace mbts.spark {
-   class FillsWindow : SparkWindow<StartupData>, ISharedWindow {
+   class FillsWindow : SparkWindow<FillsSettings>, ISharedWindow {
      public const string window_type_name = "Fills";
      readonly AllowOnce _init_guard = new AllowOnce("Fills");
      readonly OrdersModel _orders_model;
      readonly IWindowSettingsManager<GridSettings> _settings_manager;
      FillsVM _vm;
      FillsView _view;
-      StartupData _state;
+      FillsSettings _state;
      IReadOnlyList<SparkCommand> _commands;
      IDisposable _subscriptions;

-      public FillsWindow(FillsWindowFactory factory, IBus bus, OrdersModel orders_model, StartupData state, WindowSettingsManager<GridSettings> settings_manager)
+      public FillsWindow(FillsWindowFactory factory, IBus bus, OrdersModel orders_model, FillsSettings state, WindowSettingsManager<GridSettings> settings_manager)
         : base("Fills", bus, factory, SparkCommands.ShowFills().icon) {
         _orders_model = orders_model;
         _state = state;
@@ -35,15 +35,15 @@ namespace mbts.spark {
         thread_id = config.Configuration.get<bts.config.MultiThreadedWindows>().fills ? "Fills" : null;
      }

-      event Action<FillsWindowFactory.StartupData> _state_changed;
+      event Action<FillsSettings> _state_changed;

      public override string window_type => window_type_name;
      public override UIElement Content => _view;
      public override IEnumerable<SparkCommand> Commands => _commands;

-      public override StartupData SaveState => _state = new StartupData(_state.orders, _vm.get_sorting_criterion().ToList(), _vm.get_filters(), _vm.get_grid_save_state());
+      public override FillsSettings SaveState => _state = new FillsSettings(_state.orders, _vm.get_sorting_criterion().ToList(), _vm.get_filters(), _vm.get_grid_save_state());
      public override double MinWidth =>
-         StartupData.DefaultGridSettings.columns.Sum(gcs => gcs.width)
+         FillsSettings.DefaultGridSettings.columns.Sum(gcs => gcs.width)
         + SPARK_MENU_COLLAPSED_WIDTH
         + LAUNCHER_BUTTON_BORDER_WIDTH
         + EXTRA_FOR_NO_HORIZONTAL_SCROLLBAR_WIDTH;
@@ -53,7 +53,7 @@ namespace mbts.spark {
      public void thread_init() {
         _init_guard.check_access();
         Log.notnull(_state);
-         var state_src = Observable.FromEvent<Action<FillsWindowFactory.StartupData>, FillsWindowFactory.StartupData>(cb => _state_changed += cb, cb => _state_changed -= cb).StartWith(_state);
+         var state_src = Observable.FromEvent<Action<FillsSettings>, FillsSettings>(cb => _state_changed += cb, cb => _state_changed -= cb).StartWith(_state);
         _vm = new FillsVM(_bus, _orders_model, state_src, _settings_manager);
         _view = new FillsView { DataContext = _vm };

@@ -79,7 +79,7 @@ namespace mbts.spark {
         };
         _subscriptions = Disposable.Create(() =>
           _state_changed?.Invoke(
-                 _state = new StartupData(_state.orders,
+                 _state = new FillsSettings(_state.orders,
                    _vm.get_sorting_criterion().ToList(),
                    _vm.get_filters(),
                    _vm.grid_settings_manager.create()
@@ -1,5 +1,6 @@
 using bts.api;
 using bts.api.orderman;
+using bts.shell.fills;
 using mbts.persist;
 using mbts.spark;
 using mbts.spark.filters;
@@ -16,7 +17,7 @@ using static mbts.ui.controls.DIYGrid;
 using static mbts.ui.spark.FillsView;

 namespace bts.shell {
-   class FillsWindowFactory : ShellWindowFactory<FillsWindowFactory.StartupData> {
+   class FillsWindowFactory : ShellWindowFactory<FillsSettings> {
      readonly IBus _bus;
      readonly OrdersModel _orders_model;
      readonly UserSettingsHub _settings_hub;
@@ -52,13 +53,13 @@ namespace bts.shell {

      public static string col_id(Columns col) => col.ToString();

-      public override Task<IShellWindow> load(StartupData state) =>
+      public override Task<IShellWindow> load(FillsSettings state) =>
        Task.FromResult(_create(state));

-      public async void show(StartupData state) =>
+      public async void show(FillsSettings state) =>
         _bus.post(SparkTags.ShowWindow, await load(state));

-      IShellWindow _create(StartupData state) {
+      IShellWindow _create(FillsSettings state) {
         GridSettingsHelper.normalize_sorting_criterion(state.sorting_criterion, _sort_member_to_id);
         var settings_manager = new WindowSettingsManager<GridSettings>(_settings_hub,
            state.grid,
@@ -66,162 +67,5 @@ namespace bts.shell {
            set: (us, gs) => us.with(provided_fills_gridsettings: gs));
         return new FillsWindow(this, _bus, _orders_model, state, settings_manager);
      }
-
-      [ProtoContract]
-      public class StartupData {
-         public const int Version = 1;
-
-         [ProtoMember(1)]
-         public uint[] orders;
-         [ProtoMember(2)]
-         List<SortingCriteria> _sorting_criteria;
-         [ProtoMember(3)]
-         public FilterStates filters;
-         [ProtoMember(4)]
-         public GridSettings grid;
-
-         public StartupData() { }
-         public StartupData(uint[] orders) : this(orders, null, null) { }
-         public StartupData(FilterStates filters) : this(null, null, filters) { }
-         public StartupData(uint[] orders, List<SortingCriteria> sorting_criteria, FilterStates filters, GridSettings grid = default) {
-            this.orders = orders;
-            this._sorting_criteria = sorting_criteria;
-            this.filters = filters;
-            this.grid = grid;
-         }
-
-         public static GridSettings DefaultGridSettings => GridSettings.Default.with(DefaultColumns.all, DefaultColumns.default_sorting_criterion);
-         public static GridSettings MiniGridSettings => GridSettings.Default.with(DefaultColumns.Mini.all, DefaultColumns.Mini.sorting_criterion);
-         public IReadOnlyList<SortingCriteria> sorting_criterion => _sorting_criteria ?? (_sorting_criteria = DefaultColumns.default_sorting_criterion.ToList());
-         public static StartupData Default() =>
-            new StartupData(null, null, new FilterStates(), null);
-
-         static class DefaultColumns {
-            public static GridColumnSettings security => new GridColumnSettings(col_id(Columns.Security), DefaultColumnHeaders.Security, width: DefaultColumnWidths.Security);
-            public static GridColumnSettings fill_time => new GridColumnSettings(col_id(Columns.FillTime), DefaultColumnHeaders.FillTime, width: DefaultColumnWidths.Time);
-            public static GridColumnSettings user => new GridColumnSettings(col_id(Columns.User), DefaultColumnHeaders.User, width: DefaultColumnWidths.User);
-            public static GridColumnSettings account => new GridColumnSettings(col_id(Columns.Account), DefaultColumnHeaders.Account, width: DefaultColumnWidths.Account);
-            public static GridColumnSettings exchange => new GridColumnSettings(col_id(Columns.Exchange), DefaultColumnHeaders.Exchange, width: DefaultColumnWidths.Exchange);
-            public static GridColumnSettings time_in_force => new GridColumnSettings(col_id(Columns.TimeInForce), DefaultColumnHeaders.TimeInForce, width: DefaultColumnWidths.TimeInForce);
-            public static GridColumnSettings order_type => new GridColumnSettings(col_id(Columns.OrderType), DefaultColumnHeaders.OrderType, width: DefaultColumnWidths.OrderType);
-            public static GridColumnSettings side => new GridColumnSettings(col_id(Columns.Side), DefaultColumnHeaders.Side, width: DefaultColumnWidths.Side);
-            public static GridColumnSettings quantity => new GridColumnSettings(col_id(Columns.Size), DefaultColumnHeaders.Size, width: DefaultColumnWidths.Size, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
-            public static GridColumnSettings price => new GridColumnSettings(col_id(Columns.Price), DefaultColumnHeaders.Price, width: DefaultColumnWidths.Price, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
-            public static GridColumnSettings fill_kind => new GridColumnSettings(col_id(Columns.FillKind), DefaultColumnHeaders.FillKind, width: DefaultColumnWidths.FillKind);
-            public static GridColumnSettings fill_key => new GridColumnSettings(col_id(Columns.FillKey), DefaultColumnHeaders.FillKey, width: DefaultColumnWidths.FillKey);
-            public static GridColumnSettings order_key => new GridColumnSettings(col_id(Columns.OrderKey), DefaultColumnHeaders.OrderKey, width: DefaultColumnWidths.OrderKey);
-            public static GridColumnSettings security_key => new GridColumnSettings(col_id(Columns.SecurityKey), DefaultColumnHeaders.SecurityKey, is_visible: false, width: DefaultColumnWidths.SecurityKey);
-            public static IEnumerable<SortingCriteria> default_sorting_criterion {
-               get {
-                  yield return new SortingCriteria(fill_time.id, false);
-               }
-            }
-            
-            public static IEnumerable<GridColumnSettings> all {
-               get {
-                  yield return security;
-                  yield return fill_time;
-                  yield return user;
-                  yield return account;
-                  yield return exchange;
-                  yield return time_in_force;
-                  yield return order_type;
-                  yield return side;
-                  yield return quantity;
-                  yield return price;
-                  yield return fill_kind;
-                  yield return fill_key;
-                  yield return order_key;
-                  yield return security_key;
-               }
-            }
-
-            public static class Mini {
-               static readonly IReadOnlyDictionary<Columns, (bool is_visible, double? width_override)> _mini_cols_data =
-                  new Dictionary<Columns, (bool is_visible, double? width_override)> {
-                     { Columns.Security, (true, null) },
-                     { Columns.FillTime, (true, ShortColumnWidths.Time) },
-                     { Columns.OrderType, (true, ShortColumnWidths.OrderType) },
-                     { Columns.Side, (true, ShortColumnWidths.Side) },
-                     { Columns.Size, (true, ShortColumnWidths.Size) },
-                     { Columns.Price, (true, ShortColumnWidths.Price) },
-                  };
-
-               public static IEnumerable<GridColumnSettings> all => DefaultColumns.all.Select(_convert);
-               public static IEnumerable<SortingCriteria> sorting_criterion => default_sorting_criterion.Where(c => _try_get_data(c.col_name, out (bool is_visible, double? _) d) && d.is_visible);
-
-               static bool _try_get_data(string id_str, out (bool is_visible, double? width_override) data) {
-                  if (Enum.TryParse(id_str, out Columns k) && _mini_cols_data.TryGetValue(k, out data))
-                     return true;
-                  data = default;
-                  return false;
-               }
-
-               static GridColumnSettings _convert(GridColumnSettings default_col) =>
-                  _try_get_data(default_col.id, out (bool is_visible, double? width_override) d) ?
-                     default_col.with(is_visible: d.is_visible, width: d.width_override) :
-                     default_col.with(is_visible: false);
-            }
-         }
-      }
-
-      [ProtoContract]
-      public class FilterStates {
-         [ProtoMember(1)]
-         [DIYGridColumnID(nameof(Columns.FillTime))]
-         public TimeFilterTuple fill_time { get; set; }
-
-         [ProtoMember(2)]
-         [DIYGridColumnID(nameof(Columns.TimeInForce))]
-         public TimeInForce[] time_in_force { get; set; }
-
-         [ProtoMember(3)]
-         [DIYGridColumnID(nameof(Columns.OrderType))]
-         public CustomOrderDefinition.CustomOneofCase[] order_type { get; set; }
-
-         [ProtoMember(4)]
-         [DIYGridColumnID(nameof(Columns.Account))]
-         public string[] account { get; set; }
-
-         [ProtoMember(5)]
-         [DIYGridColumnID(nameof(Columns.User))]
-         public string[] user { get; set; }
-
-         [ProtoMember(6)]
-         [DIYGridColumnID(nameof(Columns.Exchange))]
-         public Venue[] exchange { get; set; }
-
-         [ProtoMember(7)]
-         [DIYGridColumnID(nameof(Columns.Security))]
-         public SecurityCriteria security { get; set; }
-
-         [ProtoMember(8)]
-         [DIYGridColumnID(nameof(Columns.Side))]
-         public Side[] side { get; set; }
-
-         [ProtoMember(9)]
-         [DIYGridColumnID(nameof(Columns.Price))]
-         public DoubleMinMaxState price { get; set; }
-
-         [ProtoMember(10)]
-         [DIYGridColumnID(nameof(Columns.Size))]
-         public DoubleMinMaxState size { get; set; }
-
-         [ProtoMember(11)]
-         [DIYGridColumnID(nameof(Columns.FillKey))]
-         public string fill_key { get; set; }
-
-         [ProtoMember(12)]
-         [DIYGridColumnID(nameof(Columns.OrderKey))]
-         public string order_key { get; set; }
-
-         [ProtoMember(13)]
-         [DIYGridColumnID(nameof(Columns.SecurityKey))]
-         public string security_key { get; set; }
-
-         [ProtoMember(14)]
-         [DIYGridColumnID(nameof(Columns.FillKind))]
-         public Fill.Types.FillKind[] fill_kind { get; set; }
-      }
   }
 }
@@ -0,0 +1,100 @@
+using bts.api;
+using bts.api.orderman;
+using mbts.spark;
+using mbts.spark.filters;
+using mbts.ui;
+using mbts.ui.controls;
+using ProtoBuf;
+using System;
+using Columns = mbts.ui.spark.FillsView.Columns;
+
+namespace bts.shell.fills {
+   [ProtoContract]
+   class FillsFilterStates {
+      [ProtoMember(1)]
+      [DIYGridColumnID(nameof(Columns.FillTime))]
+      public TimeFilterTuple fill_time { get; set; }
+
+      [ProtoMember(2)]
+      [DIYGridColumnID(nameof(Columns.TimeInForce))]
+      public TimeInForce[] time_in_force { get; set; }
+
+      [ProtoMember(3)]
+      [DIYGridColumnID(nameof(Columns.OrderType))]
+      public CustomOrderDefinition.CustomOneofCase[] order_type { get; set; }
+
+      [ProtoMember(4)]
+      [DIYGridColumnID(nameof(Columns.Account))]
+      public string[] account { get; set; }
+
+      [ProtoMember(5)]
+      [DIYGridColumnID(nameof(Columns.User))]
+      public string[] user { get; set; }
+
+      [ProtoMember(6)]
+      [DIYGridColumnID(nameof(Columns.Exchange))]
+      public Venue[] exchange { get; set; }
+
+      [ProtoMember(7)]
+      [DIYGridColumnID(nameof(Columns.Security))]
+      public SecurityCriteria security { get; set; }
+
+      [ProtoMember(8)]
+      [DIYGridColumnID(nameof(Columns.Side))]
+      public Side[] side { get; set; }
+
+      [ProtoMember(9)]
+      [DIYGridColumnID(nameof(Columns.Price))]
+      public DoubleMinMaxState price { get; set; }
+
+      [ProtoMember(10)]
+      [DIYGridColumnID(nameof(Columns.Size))]
+      public DoubleMinMaxState size { get; set; }
+
+      [ProtoMember(11)]
+      [DIYGridColumnID(nameof(Columns.FillKey))]
+      public string fill_key { get; set; }
+
+      [ProtoMember(12)]
+      [DIYGridColumnID(nameof(Columns.OrderKey))]
+      public string order_key { get; set; }
+
+      [ProtoMember(13)]
+      [DIYGridColumnID(nameof(Columns.SecurityKey))]
+      public string security_key { get; set; }
+
+      [ProtoMember(14)]
+      [DIYGridColumnID(nameof(Columns.FillKind))]
+      public Fill.Types.FillKind[] fill_kind { get; set; }
+
+      [ProtoMember(15)]
+      [DIYGridColumnID(nameof(Columns.Symbol))]
+      public string[] symbol { get; set; }
+   }
+
+   static class FillsFilterStatesExtensions {
+      public static Func<FillTuple, bool> build_predicate(this FillsFilterStates fs) {
+         var pb = new ColumnPredicateBuilder<FillTuple>();
+         // fill time
+         pb.add_time_filter(fs.fill_time, ft => ft.fill_time());
+         // security
+         pb.add_security_criteria(fs.security, ft => ft.security);
+         // regex
+         pb.add_regex(fs.fill_key, ft => ft.fill.FillKey);
+         pb.add_regex(fs.order_key, ft => ft.order_key().ToString());
+         // discrete values
+         pb.add_discrete_values(fs.user, ft => ft.user());
+         pb.add_discrete_values(fs.account, ft => ft.account);
+         pb.add_discrete_values(fs.exchange, ft => ft.exchange());
+         pb.add_discrete_values(fs.time_in_force, ft => ft.time_in_force());
+         pb.add_discrete_values(fs.order_type, ft => ft.order_type());
+         pb.add_discrete_values(fs.side, ft => ft.fill.Side);
+         pb.add_discrete_values(fs.fill_kind, ft => ft.fill.FillKind);
+         pb.add_discrete_values(fs.symbol, ft => ft.security?.Symbol ?? string.Empty);
+         // numeric
+         pb.add_numeric(fs.size, ft => ft.fill.LastShares);
+         pb.add_numeric(fs.price, ft => ft.fill.LastPrice);
+         return pb.to_predicate();
+      }
+   }
+}
@@ -0,0 +1,111 @@
+using mbts.ui;
+using mbts.ui.settings;
+using ProtoBuf;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using static bts.shell.FillsWindowFactory;
+using static mbts.ui.controls.DIYGrid;
+using Columns = mbts.ui.spark.FillsView.Columns;
+
+namespace bts.shell.fills {
+   [ProtoContract]
+   class FillsSettings {
+      public const int Version = 1;
+
+      [ProtoMember(1)]
+      public uint[] orders;
+      [ProtoMember(2)]
+      List<SortingCriteria> _sorting_criteria;
+      [ProtoMember(3)]
+      public FillsFilterStates filters;
+      [ProtoMember(4)]
+      public GridSettings grid;
+
+      public FillsSettings() { }
+      public FillsSettings(uint[] orders) : this(orders, null, null) { }
+      public FillsSettings(FillsFilterStates filters) : this(null, null, filters) { }
+      public FillsSettings(uint[] orders, List<SortingCriteria> sorting_criteria, FillsFilterStates filters, GridSettings grid = default) {
+         this.orders = orders;
+         this._sorting_criteria = sorting_criteria;
+         this.filters = filters;
+         this.grid = grid;
+      }
+
+      public static GridSettings DefaultGridSettings => GridSettings.Default.with(DefaultColumns.all, DefaultColumns.default_sorting_criterion);
+      public static GridSettings MiniGridSettings => GridSettings.Default.with(DefaultColumns.Mini.all, DefaultColumns.Mini.sorting_criterion);
+      public IReadOnlyList<SortingCriteria> sorting_criterion => _sorting_criteria ?? (_sorting_criteria = DefaultColumns.default_sorting_criterion.ToList());
+      public static FillsSettings Default() =>
+         new FillsSettings(null, null, new FillsFilterStates(), null);
+
+      static class DefaultColumns {
+         public static GridColumnSettings security => new GridColumnSettings(col_id(Columns.Security), DefaultColumnHeaders.Security, width: DefaultColumnWidths.Security);
+         public static GridColumnSettings symbol => new GridColumnSettings(col_id(Columns.Symbol), DefaultColumnHeaders.Symbol, width: DefaultColumnWidths.Symbol);
+         public static GridColumnSettings fill_time => new GridColumnSettings(col_id(Columns.FillTime), DefaultColumnHeaders.FillTime, width: DefaultColumnWidths.Time);
+         public static GridColumnSettings user => new GridColumnSettings(col_id(Columns.User), DefaultColumnHeaders.User, width: DefaultColumnWidths.User);
+         public static GridColumnSettings account => new GridColumnSettings(col_id(Columns.Account), DefaultColumnHeaders.Account, width: DefaultColumnWidths.Account);
+         public static GridColumnSettings exchange => new GridColumnSettings(col_id(Columns.Exchange), DefaultColumnHeaders.Exchange, width: DefaultColumnWidths.Exchange);
+         public static GridColumnSettings time_in_force => new GridColumnSettings(col_id(Columns.TimeInForce), DefaultColumnHeaders.TimeInForce, width: DefaultColumnWidths.TimeInForce);
+         public static GridColumnSettings order_type => new GridColumnSettings(col_id(Columns.OrderType), DefaultColumnHeaders.OrderType, width: DefaultColumnWidths.OrderType);
+         public static GridColumnSettings side => new GridColumnSettings(col_id(Columns.Side), DefaultColumnHeaders.Side, width: DefaultColumnWidths.Side);
+         public static GridColumnSettings quantity => new GridColumnSettings(col_id(Columns.Size), DefaultColumnHeaders.Size, width: DefaultColumnWidths.Size, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
+         public static GridColumnSettings price => new GridColumnSettings(col_id(Columns.Price), DefaultColumnHeaders.Price, width: DefaultColumnWidths.Price, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
+         public static GridColumnSettings fill_kind => new GridColumnSettings(col_id(Columns.FillKind), DefaultColumnHeaders.FillKind, width: DefaultColumnWidths.FillKind);
+         public static GridColumnSettings fill_key => new GridColumnSettings(col_id(Columns.FillKey), DefaultColumnHeaders.FillKey, width: DefaultColumnWidths.FillKey);
+         public static GridColumnSettings order_key => new GridColumnSettings(col_id(Columns.OrderKey), DefaultColumnHeaders.OrderKey, width: DefaultColumnWidths.OrderKey);
+         public static GridColumnSettings security_key => new GridColumnSettings(col_id(Columns.SecurityKey), DefaultColumnHeaders.SecurityKey, is_visible: false, width: DefaultColumnWidths.SecurityKey);
+         public static IEnumerable<SortingCriteria> default_sorting_criterion {
+            get {
+               yield return new SortingCriteria(fill_time.id, false);
+            }
+         }
+
+         public static IEnumerable<GridColumnSettings> all {
+            get {
+               yield return security;
+               yield return symbol;
+               yield return fill_time;
+               yield return user;
+               yield return account;
+               yield return exchange;
+               yield return time_in_force;
+               yield return order_type;
+               yield return side;
+               yield return quantity;
+               yield return price;
+               yield return fill_kind;
+               yield return fill_key;
+               yield return order_key;
+               yield return security_key;
+            }
+         }
+
+         public static class Mini {
+            static readonly IReadOnlyDictionary<Columns, (bool is_visible, double? width_override)> _mini_cols_data =
+               new Dictionary<Columns, (bool is_visible, double? width_override)> {
+                     { Columns.Security, (true, null) },
+                     { Columns.FillTime, (true, ShortColumnWidths.Time) },
+                     { Columns.OrderType, (true, ShortColumnWidths.OrderType) },
+                     { Columns.Side, (true, ShortColumnWidths.Side) },
+                     { Columns.Size, (true, ShortColumnWidths.Size) },
+                     { Columns.Price, (true, ShortColumnWidths.Price) },
+               };
+
+            public static IEnumerable<GridColumnSettings> all => DefaultColumns.all.Select(_convert);
+            public static IEnumerable<SortingCriteria> sorting_criterion => default_sorting_criterion.Where(c => _try_get_data(c.col_name, out (bool is_visible, double? _) d) && d.is_visible);
+
+            static bool _try_get_data(string id_str, out (bool is_visible, double? width_override) data) {
+               if (Enum.TryParse(id_str, out Columns k) && _mini_cols_data.TryGetValue(k, out data))
+                  return true;
+               data = default;
+               return false;
+            }
+
+            static GridColumnSettings _convert(GridColumnSettings default_col) =>
+               _try_get_data(default_col.id, out (bool is_visible, double? width_override) d) ?
+                  default_col.with(is_visible: d.is_visible, width: d.width_override) :
+                  default_col.with(is_visible: false);
+         }
+      }
+   }
+}
@@ -327,7 +327,15 @@ namespace mbts.spark {

      public enum BadgeStyle { Normal, Alternate }

-      public enum NetChangeTerms { None, Dollars, Ticks }
+      // TODO: rename to PriceDisplayFormat (today is merge monday, since this isn't a functional change, it is not worth the potential merge headaches right now)
+      public enum NetChangeTerms {
+         [Description("Standard Ticks")]
+         None,
+         [Description("Net Change Dollars")]
+         Dollars,
+         [Description("Net Change Ticks")]
+         Ticks
+      }

      [ProtoMember(1)]
      public double row_height { get; set; }
@@ -23,6 +23,7 @@ namespace mbts.spark {
      readonly Property<LadderSettings.BadgeStyle> _badge_style;
      readonly Property<uint> _alternate_order_size;
      readonly DelegateProperty<double> _row_height;
+      LadderSettings.NetChangeTerms _price_format;
      Func<double> _get_order_entry_panel_width, _get_zoom_factor;
      LadderSettings _current;
      LadderColumnSettingsVM
@@ -30,8 +31,8 @@ namespace mbts.spark {
         _bid = new LadderColumnSettingsVM("Bid"),
         _price = new LadderColumnSettingsVM("Price"),
         _ask = new LadderColumnSettingsVM("Ask"),
-         _last = new LadderColumnSettingsVM("Last", true),
-         _piq = new LadderColumnSettingsVM("PIQ", true);
+         _last = new LadderColumnSettingsVM("Last", LadderSettingsView.LastColumnTemplateKey, true),
+         _piq = new LadderColumnSettingsVM("PIQ", can_toggle_show: true);
      VolumeColumnVM _volume = new VolumeColumnVM();
      LadderMarketBreakLineVM
         _bid_mkt_line = new LadderMarketBreakLineVM("Bid"),
@@ -59,10 +60,6 @@ namespace mbts.spark {
         _cancel_buys_visibility = new OrderEntryPanelItemVisibilityVM("Cancel Buys"),
         _cancel_sells_visibility = new OrderEntryPanelItemVisibilityVM("Cancel Sells"),
         _cancel_all_visibility = new OrderEntryPanelItemVisibilityVM("Cancel All");
-      readonly Property<bool> 
-         _show_in_net_change,
-         _show_in_net_change_dollars,
-         _show_in_net_change_ticks;

      public LadderSettingsVM(OrdersModel model, bool is_synthetic, Func<double> get_left_panel_width, Func<double> get_zoom_factor) {
         this.is_synthetic = is_synthetic;
@@ -74,10 +71,6 @@ namespace mbts.spark {
         _alternate_order_size = backing<uint>(nameof(alternate_order_size));
         _get_order_entry_panel_width = get_left_panel_width;
         _get_zoom_factor = get_zoom_factor;
-         _show_in_net_change = backing<bool>(nameof(show_in_net_change));
-         _show_in_net_change_dollars = backing<bool>(nameof(show_in_net_change_dollars));
-         _show_in_net_change_ticks = backing<bool>(nameof(show_in_net_change_ticks));
-         
         // be sure to initialize backings before this measure_row_height call
         _row_height = backing(nameof(row_height), () => LadderRender.measure_row_height(get_result()));
         _orders.font_size_changed += on_font_size_changed;
@@ -110,6 +103,8 @@ namespace mbts.spark {
      }

      public MarketSizeDisplayVM size_display { get; } = new MarketSizeDisplayVM();
+      public LadderSettings.NetChangeTerms price_format { get => _price_format; set => Set(ref _price_format, value); }
+      public IEnumerable<LadderSettings.NetChangeTerms> price_format_options => EnumHelper.get_values<LadderSettings.NetChangeTerms>();
      public FavoriteAlgosVM favorite_algos_vm { get; }

      public double row_height => _row_height.Value;
@@ -175,32 +170,6 @@ namespace mbts.spark {
         }
      }

-      public bool show_in_net_change {
-         get => _show_in_net_change.Value;
-         set {
-            // when unchecking, clear out dollars and ticks
-            if (!value) {
-               show_in_net_change_dollars = false;
-               show_in_net_change_ticks = false;
-            }
-            // when checking, by defalt check dollars
-            if (value) {
-               show_in_net_change_dollars = true;
-            }
-            _show_in_net_change.Value = value;
-         }
-      }
-      public bool show_in_net_change_dollars {
-         get => _show_in_net_change_dollars.Value;
-         set => _show_in_net_change_dollars.Value = value;
-      }
-
-      public bool show_in_net_change_ticks {
-         get => _show_in_net_change_ticks.Value;
-         set => _show_in_net_change_ticks.Value = value;
-      }
-
-
      public string key => GridSettingsTemplateKeys.Ladder;

      public void load(LadderSettings settings) {
@@ -241,13 +210,11 @@ namespace mbts.spark {
         _cancel_buys_visibility.show = settings.cancel_buys_visible;
         _cancel_sells_visibility.show = settings.cancel_sells_visible;
         _cancel_all_visibility.show = settings.cancel_all_visible;
+         price_format = settings.net_change;
         // do not read the order entry panel width here from settings
         // because it could have changed from the UI
         // there might be a better way of doing this, like how
         // does the widths of the ladder grid column pull this off?
-         show_in_net_change = settings.net_change != LadderSettings.NetChangeTerms.None;
-         show_in_net_change_dollars = settings.net_change == LadderSettings.NetChangeTerms.Dollars;
-         show_in_net_change_ticks = settings.net_change == LadderSettings.NetChangeTerms.Ticks;
      }

      public LadderSettings get_result() {
@@ -291,19 +258,8 @@ namespace mbts.spark {
         clone.order_entry_panel_initial_width = _get_order_entry_panel_width();
         clone.zoom_slider_visible = _zoom_slider_visbility.show;
         clone.zoom_factor = _get_zoom_factor();
-         clone.net_change = _create_net_change_terms(show_in_net_change_dollars, show_in_net_change_ticks);
+         clone.net_change = price_format;
         return clone;
-
-         LadderSettings.NetChangeTerms _create_net_change_terms(bool dollars, bool ticks) {
-            if (dollars) {
-               return LadderSettings.NetChangeTerms.Dollars;
-            }
-            if (ticks) {
-               return LadderSettings.NetChangeTerms.Ticks;
-            }
-            return LadderSettings.NetChangeTerms.None;
-         }
-
      }

      public void Dispose() => favorite_algos_vm.Dispose();
@@ -323,11 +279,12 @@ namespace mbts.spark {
         readonly DelegateProperty<FontWeight> _font_weight;
         readonly DelegateProperty<string> _font_display_name;
         readonly Property<bool> _show;
-         readonly bool _can_toggle_visibility;
+         readonly string _template_key;

-         public LadderColumnSettingsVM(string name, bool can_toggle_visibility = false) {
+         public LadderColumnSettingsVM(string name, string template_key = null, bool can_toggle_show = false) {
            this.name = name;
-            _can_toggle_visibility = can_toggle_visibility;
+            _template_key = template_key;
+            this.can_toggle_show = can_toggle_show;
            foreground_palettes = new ObservableCollection<ColorPaletteVM>(ColorPalette.all_presets().Select(p => new ColorPaletteVM(p)));
            background_palettes = new ObservableCollection<ColorPaletteVM>(ColorPalette.all_presets().Select(p => new ColorPaletteVM(p)));
            _show = backing(nameof(show), true);
@@ -340,8 +297,14 @@ namespace mbts.spark {
            _font_display_name = backing(nameof(font_display_name),
               () => TextUtils.display_name(font_family, font_weight, font_size), nameof(font_family), nameof(font_weight), nameof(font_size));
            _font_size.Changed += (oldval, newval) => font_size_changed?.Invoke(oldval, newval);
+            toggle_show_details_cmd = new DelegateCommand(() => {
+               show_details = !show_details;
+               RaisePropertyChanged(nameof(show_details));
+            });
         }

+         public event Action<double, double> font_size_changed;
+
         public string name { get; }
         public Typeface typeface { get => _typeface.Value; set => _typeface.Value = value; }
         public FontFamily font_family => _font_family.Value;
@@ -350,14 +313,17 @@ namespace mbts.spark {
         public double font_size { get => _font_size.Value; set => _font_size.Value = value; }
         public uint width { get; set; }
         public bool show { get => _show.Value; set => _show.Value = value; }
+         public bool can_toggle_show { get; }
+         public bool show_details { get; private set; }
         public Color foreground { get => _foreground.Value; set => _foreground.Value = value; }
         public Color background { get => _background.Value; set => _background.Value = value; }
         public ObservableCollection<ColorPaletteVM> foreground_palettes { get; }
         public ObservableCollection<ColorPaletteVM> background_palettes { get; }
-         public event Action<double, double> font_size_changed;
-
         public virtual string sample_text => "999-56789.01234";
-         string ITemplateSelectorKey.key => _can_toggle_visibility ? ui.spark.LadderSettingsView.ColumnVisibilityToggleTemplateKey : null;
+
+         public ICommand toggle_show_details_cmd { get; }
+
+         string ITemplateSelectorKey.key => _template_key;

         public void assign_from(LadderColumnSettings settings) {
            typeface = new Typeface(
@@ -395,7 +361,7 @@ namespace mbts.spark {
         public Brush badge_border { get; } = new SolidColorBrush(BTSColors.MarketData.ask);
         public Brush badge_background { get; } = Brushes.White;

-         string ITemplateSelectorKey.key => ui.spark.LadderSettingsView.OrdersColumnSampleTemplateKey;
+         string ITemplateSelectorKey.key => ui.spark.LadderSettingsView.OrdersColumnTemplateKey;
      }

      public class LadderMarketBreakLineVM : ViewModelBase {
@@ -463,7 +429,7 @@ namespace mbts.spark {
            }
         }

-         public LadderColumnSettingsVM general { get; } = new LadderColumnSettingsVM("Volume", true);
+         public LadderColumnSettingsVM general { get; } = new LadderColumnSettingsVM("Volume", LadderSettingsView.VolumeColumnTemplateKey, true);
         public VolumeAtPriceAnimationVM buy { get; }
         public VolumeAtPriceAnimationVM sell { get; }
         public VolumeAtPriceAnimationVM passive { get; }
@@ -390,12 +390,16 @@ namespace mbts.spark {
         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 || (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;
-         if (!size_from_alternate && (!size_calculator.value.HasValue || size_calculator.value.Value == 0))
+         }
+         if (!size_from_alternate && (!size_calculator.value.HasValue || size_calculator.value.Value == 0)) {
            size_calculator.flash_error();
-         uint size = size_from_alternate ? s.alternate_order_size : (uint)Math.Abs(size_calculator.value.Value);
-         send_order_async(args.side.Value, size, args.price).ignore();
+         }
+         else {
+            uint size = size_from_alternate ? s.alternate_order_size : (uint)Math.Abs(size_calculator.value ?? 0);
+            send_order_async(args.side.Value, size, args.price).ignore();
+         }
      }

      public async Task send_order_async(Side side, uint size, double price) {
@@ -337,8 +337,15 @@ namespace mbts.spark {
         if (e.ChangedButton == MouseButton.Middle) {
            if (bs.HasValue) {
               _send_parameterized_order(point, bs.Value);
+               return;
            } else if (column.column_type == ColumnType.Price) {
-               show_mbo_popup(point).ignore();
+               if (Keyboard.IsKeyDown(Key.LeftShift) || Keyboard.IsKeyDown (Key.RightShift) ||
+                   Keyboard.IsKeyDown(Key.LeftAlt) || Keyboard.IsKeyDown(Key.RightAlt)) {
+                  show_mbo_popup(point).ignore();
+               } else {
+                  _scroll_to_center();
+               }
+               return;
            }
         }
         var pbs = (price, bs, e.ChangedButton);
@@ -10,10 +10,15 @@ namespace mbts.ui.spark {
   /// </summary>
   partial class LadderSettingsView : UserControl {
      public const string
-         OrdersColumnSampleTemplateKey = nameof(OrdersColumnSampleTemplateKey),
-         ColumnVisibilityToggleTemplateKey = nameof(ColumnVisibilityToggleTemplateKey),
+         OrdersColumnTemplateKey = nameof(OrdersColumnTemplateKey),
+         VolumeColumnTemplateKey = nameof(VolumeColumnTemplateKey),
+         LastColumnTemplateKey = nameof(LastColumnTemplateKey),
         FavoriteAlgoAddButtonTemplateKey = nameof(FavoriteAlgoAddButtonTemplateKey);

+      public static readonly IMultiValueConverter LadderColumnToggleShowToolTipConverter =
+         ValueConverter.create<bool, bool, string, string>((can_toggle_show, show, col_name) =>
+            can_toggle_show ? $"{(show ? "Hide" : "Show")} {col_name}" : $"{col_name} cannot be {(show ? "hidden" : "shown")}.");
+
      public LadderSettingsView() =>
         InitializeComponent();

@@ -149,11 +149,33 @@ namespace mbts.spark {
         }

         void _host_PreviewMouseDown(object sender, MouseButtonEventArgs e) {
+            // When middle click over bid or ask columns:
+            //   Non-parameterizalbe order: change cursor to No indicating sending an order is not possible
+            //   Parameterizable order:  if qty is null/0, flash and No cursor
+            var pos = e.GetPosition(_host);
+            var column_type = _host._column_for_point(pos).column_type;
+            var selected_algo_can_expand = _host._vm.order_properties_vm?.selected_algo_definition?.algo_root?.can_expand ?? true;
+            if (e.MiddleButton == MouseButtonState.Pressed &&
+               (column_type == LadderGridHost.ColumnType.Bid || column_type == LadderGridHost.ColumnType.Ask)) {
+               if (!selected_algo_can_expand) {
+                  _host.Cursor = Cursors.No;
+               }
+               if (selected_algo_can_expand && (_host._vm.size_calculator.value ?? 0) == 0) {
+                  _host._vm.size_calculator.flash_error();
+                  _host.Cursor = Cursors.No;
+               }
+            }
+
            _is_mouse_down = true;
            InvalidateVisual();
         }

          void _host_MouseUp(object sender, MouseButtonEventArgs e) {
+            // This will reset the cursor appropriately if the middle mouse button
+            // has been pressed while over the bid or ask columns
+            var point = e.GetPosition(_host);
+            _set_current_row_and_column(point);
+
            _is_mouse_down = false;
            _is_mouse_dragging = false;
            InvalidateVisual();
@@ -3,12 +3,11 @@ using bts.api;
 using bts.api.core;
 using bts.api.orderman;
 using bts.collections;
-using bts.md;
 using bts.shell;
+using bts.shell.fills;
 using bts.shell.orderbook;
 using bts.spark;
 using bts.utils;
-using mbts.collections;
 using mbts.persist;
 using mbts.spark.utilities;
 using mbts.ui;
@@ -45,7 +44,7 @@ namespace mbts.spark {
      readonly OperableHierarchicalCollection<OrderBookRowVM, OrderSecurity, uint> _row_collection;
      readonly OrderBookColumnCollection _columns;
      readonly IWindowSettingsManager<OrderBookGridSettings> _settings_manager;
-      readonly IWindowSettingsManager<GridSettings> _fills_settings_manager = new WindowSettingsManager<GridSettings>.DisconnectedImpl(FillsWindowFactory.StartupData.MiniGridSettings, FillsWindowFactory.StartupData.MiniGridSettings);
+      readonly IWindowSettingsManager<GridSettings> _fills_settings_manager = new WindowSettingsManager<GridSettings>.DisconnectedImpl(FillsSettings.MiniGridSettings, FillsSettings.MiniGridSettings);
      readonly SelectedOrderParamsMon _selected_params_mon;
      readonly RightPanelModel _right_panel = new RightPanelModel();
      OrderBookFillsGridSettings _cached_fills_settings = OrderBookStartupData.DefaultFillsGrid;
@@ -1,6 +1,7 @@
 using bts.api;
 using bts.api.orderman;
 using bts.shell;
+using bts.shell.fills;
 using bts.shell.orderbook;
 using bts.spark;
 using bts.view;
@@ -68,7 +69,7 @@ namespace mbts.spark {
         _vm.load_from(_state);
         _view = new OrderBookView(_vm);

-         var show_fills_command = SparkCommands.ShowFills(SparkCommands.KeyGestures.ShowFills).complete(() => new FillsWindowFactory.StartupData(_vm.selected_orders.Select(r => r.Key).ToArray()));
+         var show_fills_command = SparkCommands.ShowFills(SparkCommands.KeyGestures.ShowFills).complete(() => new FillsSettings(_vm.selected_orders.Select(r => r.Key).ToArray()));

         var toggle_show_right_panel_command = new SparkCommandCommand(
            get_toggle_show_right_panel_cmd_title(),
@@ -1,4 +1,5 @@
-using mbts.ui;
+using bts.shell.fills;
+using mbts.ui;
 using ProtoBuf;
 using System.Collections.Generic;
 using GridSettings = mbts.ui.settings.GridSettings;
@@ -9,11 +10,11 @@ namespace bts.shell.orderbook {
      [ProtoMember(1)]
      public GridSettings general { get; set; }
      [ProtoMember(2)]
-      public FillsWindowFactory.FilterStates filters { get; set; }
+      public FillsFilterStates filters { get; set; }
      [ProtoMember(3)]
      public List<SortingCriteria> sorting_criterion { get; set; }

-      public FillsWindowFactory.StartupData to_startup_data() =>
-         new FillsWindowFactory.StartupData(null, sorting_criterion, filters, general);
+      public FillsSettings to_startup_data() =>
+         new FillsSettings(null, sorting_criterion, filters, general);
   }
 }
@@ -7,8 +7,6 @@ using mbts.spark.filters;
 using mbts.ui;
 using ProtoBuf;
 using System;
-using System.Collections.Generic;
-using System.Linq;

 namespace bts.shell.orderbook {
   [ProtoContract]
@@ -121,86 +119,36 @@ namespace bts.shell.orderbook {

   static class FilterStatesExtensions {
      public static Func<OrderSecurity, bool> build_predicate(this FilterStates fs) {
-         var predicates = new List<Func<OrderSecurity, bool>>();
+         var pb = new ColumnPredicateBuilder<OrderSecurity>();
         // security
-         if (fs.security_criteria?.is_defined() ?? false)
-            predicates.Add(o => o.security.HasValue && ContractPickerModel.security_in_criteria(fs.security_criteria, o.security.Value));
+         pb.add_security_criteria(fs.security_criteria, o => o.security);
         // regex
-         add_regex(fs.order_key_regex, o => o.order.Key.ToString());
-         add_regex(fs.exchange_message_regex, o => o.order.State.LastMsg);
-         add_regex(fs.attached_target_order_key_regex, o => o.order.attached_target_order_key().ToString());
-         add_regex(fs.parent_key_regex, o => o.order.ParentKey.ToString());
+         pb.add_regex(fs.order_key_regex, o => o.order.Key.ToString());
+         pb.add_regex(fs.exchange_message_regex, o => o.order.State.LastMsg);
+         pb.add_regex(fs.attached_target_order_key_regex, o => o.order.attached_target_order_key().ToString());
+         pb.add_regex(fs.parent_key_regex, o => o.order.ParentKey.ToString());
         // time
-         add_time_filter(fs.time_created, o => o.order.created());
-         add_time_filter(fs.last_change, o => o.order.last_change());
+         pb.add_time_filter(fs.time_created, o => o.order.created());
+         pb.add_time_filter(fs.last_change, o => o.order.last_change());
         // discrete values
-         add_discrete_values(fs.users, o => o.order.user());
-         add_discrete_values(fs.accounts, o => o.order.account());
-         add_discrete_values(fs.exchanges, o => o.security?.Exchange ?? Venue.Unset);
-         add_discrete_values(fs.tifs, o => o.order.time_in_force());
-         add_discrete_values(fs.order_types, o => AlgoID.from_order_def(o.order.Def));
-         add_discrete_values(fs.root_algo_types, o => AlgoID.from_algo_key(o.root_algo.key));
-         add_discrete_values(fs.order_sub_types, o => o.order.sub_type());
-         add_discrete_values(fs.sides, o => o.order.side());
-         add_discrete_values(fs.statuses, o => o.order.status());
-         add_discrete_values(fs.symbols, o => o.security?.Symbol);
+         pb.add_discrete_values(fs.users, o => o.order.user());
+         pb.add_discrete_values(fs.accounts, o => o.order.account());
+         pb.add_discrete_values(fs.exchanges, o => o.security?.Exchange ?? Venue.Unset);
+         pb.add_discrete_values(fs.tifs, o => o.order.time_in_force());
+         pb.add_discrete_values(fs.order_types, o => AlgoID.from_order_def(o.order.Def));
+         pb.add_discrete_values(fs.root_algo_types, o => AlgoID.from_algo_key(o.root_algo.key));
+         pb.add_discrete_values(fs.order_sub_types, o => o.order.sub_type());
+         pb.add_discrete_values(fs.sides, o => o.order.side());
+         pb.add_discrete_values(fs.statuses, o => o.order.status());
+         pb.add_discrete_values(fs.symbols, o => o.security?.Symbol);
         // numeric
-         add_numeric(fs.qty, o => o.order.quantity());
-         add_numeric(fs.price, o => o.order.price());
-         add_numeric(fs.qty_filled, o => o.order.filled());
-         add_numeric(fs.avg_price, o => o.order.avg_price());
-         add_numeric(fs.last_price, o => o.order.last_price());
-         add_numeric(fs.piq, o => o.piq ?? uint.MaxValue);
-         return predicates.Count == 0 ? null : new Func<OrderSecurity, bool>(o => predicates.All(p => p(o)));
-         // local methods (impl)
-         void add_regex(string str, Func<OrderSecurity, string> selector) {
-            var regex = RegexFilterUtils.build_regex(str);
-            if (regex == null)
-               return;
-            predicates.Add(impl);
-            bool impl(OrderSecurity o) => regex.IsMatch(selector(o) ?? string.Empty);
-         }
-         void add_time_filter(TimeFilterTuple t, Func<OrderSecurity, DateTime> selector) {
-            if (!t.is_active)
-               return;
-            var dt_pred = TimeFilterUtils.build_predicate(t);
-            predicates.Add(impl);
-            bool impl(OrderSecurity o) => dt_pred(selector(o));
-         }
-         void add_discrete_values<T>(T[] values, Func<OrderSecurity, T> selector) {
-            if (values.is_null_or_empty())
-               return;
-            if (values.Length < 16) {
-               predicates.Add(impl);
-               bool impl(OrderSecurity o) => values.Contains(selector(o));
-            } else {
-               var set = new HashSet<T>(values);
-               predicates.Add(impl);
-               bool impl(OrderSecurity o) => set.Contains(selector(o));
-            }
-         }
-         void add_numeric<T>(IMinMaxState<T> value, Func<OrderSecurity, T> selector) where T : struct, IComparable<T> {
-            if (value == null)
-               return;
-            if (value.minimum.active) {
-               var min = value.minimum.value.Value;
-               if (value.maximum.active) {
-                  var max = value.maximum.value.Value;
-                  predicates.Add(impl);
-                  bool impl(OrderSecurity o) {
-                     var v = selector(o);
-                     return min.CompareTo(v) <= 0 && max.CompareTo(v) >= 0;
-                  }
-               } else {
-                  predicates.Add(impl);
-                  bool impl(OrderSecurity o) => min.CompareTo(selector(o)) <= 0;
-               }
-            } else if (value.maximum.active) {
-               var max = value.maximum.value.Value;
-               predicates.Add(impl);
-               bool impl(OrderSecurity o) => max.CompareTo(selector(o)) >= 0;
-            }
-         }
+         pb.add_numeric(fs.qty, o => o.order.quantity());
+         pb.add_numeric(fs.price, o => o.order.price());
+         pb.add_numeric(fs.qty_filled, o => o.order.filled());
+         pb.add_numeric(fs.avg_price, o => o.order.avg_price());
+         pb.add_numeric(fs.last_price, o => o.order.last_price());
+         pb.add_numeric(fs.piq, o => o.piq ?? uint.MaxValue);
+         return pb.to_predicate();
      }
   }
 }
@@ -1,4 +1,5 @@
 using bts.api.orderman;
+using bts.shell.fills;
 using mbts;
 using mbts.ui;
 using mbts.ui.controls;
@@ -127,11 +128,11 @@ namespace bts.shell.orderbook {

      public static OrderBookFillsGridSettings DefaultFillsGrid {
         get {
-            var default_fills = FillsWindowFactory.StartupData.Default();
+            var default_fills = FillsSettings.Default();
            var rv = new OrderBookFillsGridSettings {
               sorting_criterion = default_fills.sorting_criterion.ToList(),
               filters = default_fills.filters,
-               general = FillsWindowFactory.StartupData.MiniGridSettings
+               general = FillsSettings.MiniGridSettings
            };
            return rv;
         }
@@ -1,4 +1,5 @@
 using bts.api;
+using bts.shell.fills;
 using bts.shell.manual_fills;
 using bts.spark;
 using mbts.persist;
@@ -48,7 +49,7 @@ namespace bts.shell {

      public IEnumerable<SparkCommand> actions => new [] {
         SparkCommands.ShowOrders.complete(() => bts.shell.orderbook.OrderBookStartupData.Default),
-         SparkCommands.ShowFills(null).complete(() => new FillsWindowFactory.StartupData()),
+         SparkCommands.ShowFills(null).complete(() => new FillsSettings()),
         SparkCommands.ShowPAndL.complete(() => new PAndLWindowFactory.PAndLStartupData()),
         SparkCommands.PickLadder,
         SparkCommands.PickOrderTicket,
@@ -46,4 +46,24 @@ namespace mbts.spark {
            order.HasValue ? order.Value.Key.GetHashCode() : 0,
            security.HasValue ? security.Value.Id.GetHashCode() : 0);
   }
+
+   static class FillTupleExtensions {
+      public static DateTime fill_time(this FillTuple fill_tuple) =>
+         fill_tuple.fill.Timestamp.to_local_time();
+
+      public static TimeInForce time_in_force(this FillTuple fill_tuple) =>
+         fill_tuple.order.HasValue ? fill_tuple.order.Value.time_in_force() : TimeInForce.Undefined;
+
+      public static CustomOrderDefinition.CustomOneofCase order_type(this FillTuple fill_tuple) =>
+         fill_tuple.order.HasValue ? fill_tuple.order.Value.order_type() : CustomOrderDefinition.CustomOneofCase.None;
+
+      public static Venue exchange(this FillTuple fill_tuple) =>
+         fill_tuple.security.HasValue ? fill_tuple.security.Value.Exchange : Venue.Unset;
+
+      public static uint order_key(this FillTuple fill_tuple) =>
+         fill_tuple.order.HasValue ? fill_tuple.order.Value.Key : 0u;
+
+      public static string user(this FillTuple fill_tuple) =>
+         fill_tuple.order.HasValue ? fill_tuple.order.Value.user() : string.Empty;
+   }
 }
@@ -37,8 +37,8 @@ namespace bts.api.orderman {
         this.piq = piq;
         this.algo = algo;
         this.meta = meta;
-         root_algo = new AlgoData(order.Def.CustomDef);
-         root_meta = null;
+         root_algo = algo ?? new AlgoData(order.Def.CustomDef);
+         root_meta = meta;
      }
      public OrderSecurity(SecurityImmutable? sec, OrderRecordImmutable order, uint? piq, AlgoData? algo, AlgoDefinitionMetadata? meta, AlgoData? rootalgo = null, AlgoDefinitionMetadata? rootmeta = null) {
         this.security = sec;
@@ -1,6 +1,7 @@
 using bts.api;
 using bts.api.orderman;
 using bts.shell;
+using bts.shell.fills;
 using bts.shell.manual_fills;
 using mbts;
 using mbts.spark;
@@ -27,7 +28,7 @@ namespace bts.spark {
         SparkCommand.create("Order Book", Icons.Book, SparkTags.ShowOrderBookTag);

      // Fills
-      public static PartialCommand<FillsWindowFactory.StartupData> ShowFills(KeyGesture key_gesture = null) =>
+      public static PartialCommand<FillsSettings> ShowFills(KeyGesture key_gesture = null) =>
         SparkCommand.create("Fills", Icons.Payment, SparkTags.ShowFillsTag, key_gesture);

      public static PartialCommand<ManualFillsSettings> ShowManualFills(KeyGesture key_gesture = null) =>
@@ -1,6 +1,7 @@
 using bts.api;
 using bts.api.orderman;
 using bts.shell;
+using bts.shell.fills;
 using bts.shell.manual_fills;
 using bts.spark;
 using mbts.ui;
@@ -52,7 +53,7 @@ namespace mbts.spark
      #endregion

      #region Spark Window
-      public static ITag<FillsWindowFactory.StartupData> ShowFillsTag { get; } = new SparkTag<FillsWindowFactory.StartupData>(nameof(ShowFillsTag));
+      public static ITag<FillsSettings> ShowFillsTag { get; } = new SparkTag<FillsSettings>(nameof(ShowFillsTag));
      public static ITag<ManualFillsSettings> ShowManualFillsTag { get; } = new SparkTag<ManualFillsSettings>(nameof(ShowManualFillsTag));
      // TODO: maybe get rid of the singlular ShowLadderTag, and just use the plural ShowLaddersTag.
      // The owners of the various SparkWindows may remove dependencies on the former at their leasure.
@@ -17,7 +17,7 @@ namespace mbts.spark {
            _ladder = LadderSettings.Default,
            _notification = NotificationSettings.Default,
            _market_view_grid = bts.shell.MarketViewWindowFactory.StartupData.DefaultGridSettings,
-            _fills_grid = bts.shell.FillsWindowFactory.StartupData.DefaultGridSettings,
+            _fills_grid = bts.shell.fills.FillsSettings.DefaultGridSettings,
            _time_and_sales_grid = bts.shell.TimeAndSalesWindowFactory.StartupData.DefaultGridSettings,
            _synthetic_management_grid = bts.shell.SyntheticManagementWindowFactory.StartupData.DefaultGridSettings,
            _order_book_grid = bts.shell.orderbook.OrderBookStartupData.DefaultGrid
@@ -48,7 +48,7 @@ namespace mbts.spark {
      public NotificationSettings notification => _notification ?? (_notification = NotificationSettings.Default);
      public GridSettings market_view_grid => _market_view_grid ?? (_market_view_grid = bts.shell.MarketViewWindowFactory.StartupData.DefaultGridSettings);
      public GridSettings time_and_sales_grid => _time_and_sales_grid ?? (_time_and_sales_grid = GridSettings.Default.with(bts.shell.TimeAndSalesWindowFactory.StartupData.DefaultColumns.all));
-      public GridSettings fills_grid => _fills_grid ?? (_fills_grid = bts.shell.FillsWindowFactory.StartupData.DefaultGridSettings);
+      public GridSettings fills_grid => _fills_grid ?? (_fills_grid = bts.shell.fills.FillsSettings.DefaultGridSettings);
      public GridSettings synthetic_management_grid => _synthetic_management_grid ?? (_synthetic_management_grid = bts.shell.SyntheticManagementWindowFactory.StartupData.DefaultGridSettings);
      public GridSettings pnl_grid => _pnl_grid ?? (_pnl_grid = bts.shell.PAndLWindowFactory.PAndLStartupData.DefaultGridSettings);
      public bts.shell.orderbook.OrderBookGridSettings order_book_grid => _order_book_grid ?? (_order_book_grid = bts.shell.orderbook.OrderBookStartupData.Default.grid_settings_wrapper());
@@ -0,0 +1,69 @@
+using bts.api;
+using mbts.ui;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace mbts.spark.filters {
+   class ColumnPredicateBuilder<TRow> {
+      readonly List<Func<TRow, bool>> _predicates = new List<Func<TRow, bool>>();
+
+      public void add_discrete_values<T>(T[] values, Func<TRow, T> selector) {
+         if (values.is_null_or_empty())
+            return;
+         var set = new HashSet<T>(values);
+         _predicates.Add(impl);
+         bool impl(TRow o) => set.Contains(selector(o));
+      }
+
+      public void add_numeric<T>(IMinMaxState<T> value, Func<TRow, T> selector) where T : struct, IComparable<T> {
+         if (value == null)
+            return;
+         if (value.minimum.active) {
+            var min = value.minimum.value.Value;
+            if (value.maximum.active) {
+               var max = value.maximum.value.Value;
+               _predicates.Add(impl);
+               bool impl(TRow o) {
+                  var v = selector(o);
+                  return min.CompareTo(v) <= 0 && max.CompareTo(v) >= 0;
+               }
+            } else {
+               _predicates.Add(impl);
+               bool impl(TRow o) => min.CompareTo(selector(o)) <= 0;
+            }
+         } else if (value.maximum.active) {
+            var max = value.maximum.value.Value;
+            _predicates.Add(impl);
+            bool impl(TRow o) => max.CompareTo(selector(o)) >= 0;
+         }
+      }
+
+      public void add_regex(string str, Func<TRow, string> selector) {
+         var regex = RegexFilterUtils.build_regex(str);
+         if (regex == null)
+            return;
+         _predicates.Add(impl);
+         bool impl(TRow o) => regex.IsMatch(selector(o) ?? string.Empty);
+      }
+
+      public void add_security_criteria(SecurityCriteria security_criteria, Func<TRow, SecurityImmutable?> selector) {
+         if (security_criteria != null && security_criteria.is_defined())
+            _predicates.Add(r => {
+               var sec = selector(r);
+               return sec.HasValue && ContractPickerModel.security_in_criteria(security_criteria, sec.Value);
+            });
+      }
+
+      public void add_time_filter(TimeFilterTuple t, Func<TRow, DateTime> selector) {
+         if (!t.is_active)
+            return;
+         var dt_pred = TimeFilterUtils.build_predicate(t);
+         _predicates.Add(impl);
+         bool impl(TRow o) => dt_pred(selector(o));
+      }
+
+      public Func<TRow, bool> to_predicate() =>
+         _predicates.Count == 0 ? null : new Func<TRow, bool>(o => _predicates.All(p => p(o)));
+   }
+}
@@ -77,7 +77,7 @@
      </u:TemplateSelectorKeyValue>
      <u:TemplateSelectorKeyValue Key="{x:Static usp:GridSettingsTemplateKeys.Ladder}">
        <DataTemplate>
-          <usp:LadderSettingsView Margin="0,4,0,0"/>
+          <usp:LadderSettingsView Margin="0,-16,0,0"/>
        </DataTemplate>
      </u:TemplateSelectorKeyValue>
      <u:TemplateSelectorKeyValue Key="{x:Static usp:GridSettingsTemplateKeys.OrderBook}">
@@ -1,5 +1,6 @@
 using bts;
 using bts.utils;
+using mbts.collections;
 using mbts.utils;
 using System;
 using System.Collections.Generic;
@@ -7,13 +8,30 @@ using System.ComponentModel;
 using System.Linq;

 namespace mbts.ui.controls {
+   static class DIYGridRowsManager {
+      public static DIYGridRowsManager<T, TColKey, TFiltersState> create<T, TColKey, TFiltersState>(
+         string window_name,
+         TColKey primary_key,
+         ObservableKeyedCollection<DIYGridColumnData<T, TColKey, TFiltersState>, TColKey> columns,
+         IReadOnlyObservableKeyedCollection<(DIYGrid.ColumnBase col, TColKey key), TColKey> map,
+         Func<TColKey, IComparer<T>> get_comparer_for_column,
+         Func<TFiltersState, Func<T, bool>> build_filter_from_state = null) where TColKey : struct where TFiltersState : new() =>
+         //
+         new DIYGridRowsManager<T, TColKey, TFiltersState>(
+            DIYGridFiltersManager.create(columns),
+            new DIYGridSortManager<TColKey>(map, primary_key),
+            get_comparer_for_column,
+            window_name,
+            build_filter_from_state);
+   }
+
   class DIYGridRowsManager<T, TColKey, TFiltersState> where TColKey : struct {
      readonly IDIYGridFiltersManager<T, TColKey, TFiltersState> _filters;
      readonly DIYGridSortManager<TColKey> _sorting;
      readonly DeferrableActionWrapper _update;
      bool _filters_dirty, _sorting_dirty;

-      public DIYGridRowsManager(IDIYGridFiltersManager<T, TColKey, TFiltersState> filters_manager, DIYGridSortManager<TColKey> sort_manager, Func<TColKey, IComparer<T>> get_comparer_for_column, string window_name) {
+      public DIYGridRowsManager(IDIYGridFiltersManager<T, TColKey, TFiltersState> filters_manager, DIYGridSortManager<TColKey> sort_manager, Func<TColKey, IComparer<T>> get_comparer_for_column, string window_name, Func<TFiltersState, Func<T, bool>> build_filter_from_state = null) {
         _filters = filters_manager;
         _sorting = sort_manager;
         _update = new DeferrableActionWrapper(() => {
@@ -59,10 +77,15 @@ namespace mbts.ui.controls {
               desc = "(none)";
               return null;
            } else {
-               // TODO: the actual IDataGridFilter implementations should be able to provide a concise description of their filter state/parameters (e.g., for a min/max filter: 'min=40, max=60')
               desc = string.Join(", ", col_filters.Select(f => f.col));
-               var filters = Array.ConvertAll(col_filters, cf => cf.filter);
-               return new Func<T, bool>(r => filters.All(f => f.filter(r)));
+               if (build_filter_from_state != null) {
+                  var filter_state = filters_manager.create();
+                  return build_filter_from_state(filter_state);
+               } else {
+                  // TODO: the actual IDataGridFilter implementations should be able to provide a concise description of their filter state/parameters (e.g., for a min/max filter: 'min=40, max=60')
+                  var filters = Array.ConvertAll(col_filters, cf => cf.filter);
+                  return new Func<T, bool>(r => filters.All(f => f.filter(r)));
+               }
            }
         }
      }
@@ -70,6 +93,10 @@ namespace mbts.ui.controls {
      public event Action<Func<T, bool>> filter_changed;
      public event Action<IComparer<T>> comparer_changed;

+      public TFiltersState get_filters() => _filters.create();
+      public IEnumerable<SortingCriteria> get_sorting_criterion() => _sorting.create();
+
+      public void on_sorting(DIYGridSortingEventArgs e) => _sorting.on_sorting(e);
      public void on_settings(TFiltersState filters, IEnumerable<SortingCriteria> sorting) {
         using (_update.defer_execution()) {
            _filters.load_from(filters);
@@ -44,7 +44,7 @@ namespace mbts.spark {
      readonly MBOService _mbo;
      readonly SecurityImmutable _security;
      readonly MBOSecurityQueryImmutable _query;
-      readonly Dictionary<string, FormattedText> _cache;
+      readonly Dictionary<(string,bool), FormattedText> _cache;
      int _max_order_size = 1;
      double _height = 0;
      double _number_width = 0;
@@ -60,17 +60,17 @@ namespace mbts.spark {
            Enumerable.Range(1, 1+(int)default_query.Limit)
            .AsParallel()
            .Select(i => TextUtils.GetFormattedText(i.ToString(), font_size))
-            .ToDictionary(ft => ft.Text);
+            .ToDictionary(ft => (ft.Text,false));
      }

      FormattedText format_text(string s, bool bold=false) {
         // cache FormattedText for the life of the popup
-         if (_cache.TryGetValue(s, out FormattedText ft)) {
+         var key = (s, bold);
+         if (_cache.TryGetValue(key, out FormattedText ft)) {
            return ft;
         }
-         else
         ft = bold ? TextUtils.GetFormattedTextBold(s, font_size) : TextUtils.GetFormattedText(s, font_size);
-         _cache.TryAdd(s, ft);
+         _cache.TryAdd(key, ft);
         return ft;
      }

@@ -98,6 +98,8 @@ namespace mbts.spark {
         }
      }

+      public static bool ismine(OrderPositionImmutable op) => op.OrderId != 0;
+
      public MBOPopupDrawParams compute_layout(MBOPopupData p) {
         var pdp = new MBOPopupDrawParams { data = p };
         pdp.header = format_text(
@@ -106,9 +108,9 @@ namespace mbts.spark {
         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.row_numbers = p.orders.Select((o, i) => format_text((i+1).ToString(), ismine(o))).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();
+         pdp.row_labels = p.orders.Select(o => format_text(o.Size.ToString() + (ismine(o) ? "*" : ""), ismine(o))).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;
@@ -57,7 +57,7 @@ namespace mbts.spark {
      }

      static Brush brush_for(Side side, OrderPositionImmutable order) {
-         if (order.OrderId != 0) return Brushes.Black;
+         if (MBOPopupModel.ismine(order)) return Brushes.Black;
         switch (side) {
            case Side.Buy: return BTSColors.MarketData.bid_brush;
            case Side.Sell: return BTSColors.MarketData.ask_brush;
@@ -1,14 +1,11 @@
-using bts;
-using bts.api.core;
+using bts.api.core;
 using bts.collections;
-using bts.utils;
 using mbts.utils;
 using System;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
 using System.Collections.Specialized;
 using System.Linq;
-using System.Reactive;
 using System.Reactive.Linq;

 namespace mbts.ui.utility {
@@ -37,16 +34,16 @@ namespace mbts.ui.utility {
            table_update_source.Subscribe(on_table));
         // on comparer
         void on_comp(IComparer<T> new_comp) {
+            comp = new_comp;
            if (table != null) {
               target.Clear();
-               target.InsertSorted(table.state.Values, comp);
+               target.InsertSorted(table.state.Values, new_comp);
            }
-            comp = new_comp;
         }
         // on table update
         void on_table(TableUpdate<T, TKey> new_table) {
+            table = table == null ? new_table.as_snapshot() : new_table;
            if (comp != null) {
-               table = table == null ? new_table.as_snapshot() : new_table;
               target.RemoveSorted(table.removed.Concat(table.changes.Old()), comp);
               target.InsertSorted(table.added.Concat(table.changed), comp);
            }
@@ -27,7 +27,8 @@ cat << EOF > $sparkdata_dir/conf/spark.conf
            syslog { default_level: "Error" }
            file { default_level: "Error" }
      }
-}
+   }
+   MarketDataConfig { value { use_onixs: false; } }
 EOF


@@ -27,7 +27,8 @@ cat << EOF > $sparkdata_dir/conf/spark.conf
            syslog { default_level: "Error" }
            file { default_level: "Error" }
      }
-}
+   }
+   MarketDataConfig { value { use_onixs: false; } }
 EOF

 nohup ./sparkd run &
@@ -60,25 +60,28 @@ say_verbose() {
    fi
 }

-is_merge_with_md_on() {
+# is_merge_with_md_on() {
+#     eval $invocation
+
+#     if [ $(./sparkd configcheck ExchangeSim | grep merge_with_md: | cut -d " " -f 2) == "false" ]; then
+#         return 0
+#     else
+#         return 1
+#     fi
+# }
+
+set_config() {
    eval $invocation

-    if [ $(./sparkd configcheck ExchangeSim | grep merge_with_md: | cut -d " " -f 2) == "false" ]; then
-        return 0
-    else
-        return 1
-    fi
-}
-
-set_merge_with_md_off() {
-    eval $invocation
+    [ ! -d "$sparkdata_dir/conf" ] && mkdir $sparkdata_dir/conf/
+    [ -f "$spark_conf" ] && mv $spark_conf $spark_conf_bak

    if [ -f $config_file_path ]; then
        say_verbose "config file exists ... removing"
        rm $config_file_path
    fi

-    echo "$merge_with_md_key" >> $config_file_path && test_config_file_created=true
+    echo "$test_conf" >> $config_file_path && test_config_file_created=true

    return 0
 }
@@ -97,14 +100,6 @@ get_tests_in_class() {
    return 0
 }

-# Start sparkd
-nohup ./sparkd run &
-pid=$!
-echo "sparkd pid: " $pid
-echo "sleeping for 120 seconds..."
-sleep 120
-
-
 # args
 # class_name - $1
 run_bts_test() {
@@ -125,27 +120,43 @@ run_bts_test() {

 test_script_name=$(basename "$0")
 verbose=true
+spark_conf=$sparkdata_dir/conf/spark.conf
+spark_conf_bak=$sparkdata_dir/conf/spark.conf.bak
 config_file_path="$sparkdata_dir/conf/test_join_algo_tests.conf"
 test_config_file_created=false
-merge_with_md_key=$(/bin/cat <<'END_HEREDOC'
+test_conf=$(/bin/cat <<'END_HEREDOC'
 ExchangeSim {
  value {
    merge_with_md: false
  }
 }
+MarketDataConfig {
+    value {
+        use_onixs: false;
+    }
+}
 END_HEREDOC
 )

-if is_merge_with_md_on; then
-    set_merge_with_md_off
-    if is_merge_with_md_on; then
-        say_err "Could not turn off merge_with_md"
-        say_err "Please investigate manually"
-        exit 1
-    fi
-else
-    say_verbose "merge with md is already off"
-fi
+# Start sparkd
+set_config
+nohup ./sparkd run &
+pid=$!
+echo "sparkd pid: " $pid
+echo "sleeping for 60 seconds..."
+sleep 60
+
+
+# if is_merge_with_md_on; then
+#     set_config
+#     if is_merge_with_md_on; then
+#         say_err "Could not turn off merge_with_md"
+#         say_err "Please investigate manually"
+#         exit 1
+#     fi
+# else
+#     say_verbose "merge with md is already off"
+# fi

 run_bts_test "JoinAlgoTests"

@@ -153,6 +164,8 @@ if [ "$test_config_file_created" = true ]; then
    rm $config_file_path
 fi

+[ -f "$spark_conf_bak" ] && mv $spark_conf_bak $spark_conf
+
 # Kill sparkd
 pkill -P $$

@@ -27,7 +27,8 @@ cat << EOF > $sparkdata_dir/conf/spark.conf
            syslog { default_level: "Error" }
            file { default_level: "Error" }
      }
-}
+   }
+   MarketDataConfig { value { use_onixs: false; } }
 EOF


@@ -5,6 +5,7 @@ using bts.api.core;
 using bts.md;
 using CommandLine;
 using System.Linq;
+using bts.test;

 namespace bts {

@@ -26,17 +27,32 @@ namespace bts {
      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 });
+            var data = mbo.get_orders_for_security(new MBOSecurityQuery { SecurityId = key, PriceLevel = double.NaN });

            Console.WriteLine($"Order data for {data.SecurityId}");
            var price = 0.0;
-            foreach(var e in data.Bid.Concat(data.Ask)) {
-               if (e.Price != price) {
-                  price = e.Price;
-                  Console.WriteLine("================");
+            var color = Console.ForegroundColor;
+            if (side == api.Side.Sell || side == api.Side.Undefined) {
+               Console.ForegroundColor = ConsoleColor.Red;
+               foreach(var e in data.Ask.Reverse()) {
+                  if (e.Price != price) {
+                     price = e.Price;
+                     Console.WriteLine("================");
+                  }
+                  Console.WriteLine(e);
               }
-               Console.WriteLine(e);
            }
+            if (side == api.Side.Buy || side == api.Side.Undefined) {
+               Console.ForegroundColor = ConsoleColor.Blue;
+               foreach(var e in data.Bid) {
+                  if (e.Price != price) {
+                     price = e.Price;
+                     Console.WriteLine("================");
+                  }
+                  Console.WriteLine(e);
+               }
+            }
+            Console.ForegroundColor = color;
         }
      }
   }
@@ -1 +1 @@
-set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/spreader.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/AuthToken.cpp;utils/Dispatcher.cpp;utils/GrowableSPSCQueue.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;utils/Puid.cpp;utils/SecureLogon.cpp;utils/SharedMemory.cpp;utils/Sqlite_utils.cpp;utils/Uuid.cpp;utils/datetime.cpp;utils/download.cpp;utils/file_utils.cpp;utils/init_spark_lib.cpp;utils/is_unittest_environment.cpp;utils/stats.cpp;utils/tests/AuthTokenTests.cpp;utils/thread_manager.cpp)
+set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/spreader.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/AuthToken.cpp;utils/Dispatcher.cpp;utils/GrowableSPSCQueue.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;utils/Puid.cpp;utils/SecureLogon.cpp;utils/SharedMemory.cpp;utils/Sqlite_utils.cpp;utils/Uuid.cpp;utils/datetime.cpp;utils/download.cpp;utils/file_utils.cpp;utils/init_spark_lib.cpp;utils/is_unittest_environment.cpp;utils/stats.cpp;utils/tests/AuthTokenTests.cpp;utils/tests/SingleWriterConcurrentVectorTests.cpp;utils/thread_manager.cpp)
@@ -27,7 +27,9 @@ message ToastNotifications {
 message SoundNotifications {
 	optional bool enabled = 1 [default = true];
 }
-
+message FilterExpiredFills {
+  optional bool enabled = 1 [default = true];
+}
 message VolumeAtPrice{
   optional bool enabled = 1 [default = true];
 }
@@ -3,31 +3,74 @@

 #include <google/protobuf/text_format.h>

+#include "lib/utils/datetime.h"
+#include <boost/date_time/posix_time/posix_time.hpp>
+
 namespace bts {
 namespace securities {

-std::string to_str (api::Security const&sec)
-{
+std::string to_str(api::Security const &sec) {
   std::string serialized;
-   google::protobuf::TextFormat::PrintToString (sec, &serialized);
+   google::protobuf::TextFormat::PrintToString(sec, &serialized);
   return serialized;
 }

-std::pair<bool, api::Security> from_str(std::string const&str)
-{
+std::pair<bool, api::Security> from_str(std::string const &str) {
   api::Security result;
-   auto success = google::protobuf::TextFormat::ParseFromString (str,&result);
-   return std::make_pair(success,result);
+   auto success = google::protobuf::TextFormat::ParseFromString(str, &result);
+   return std::make_pair(success, result);
 }

-std::string descriptor(api::Security const&sec)
-{
+std::string descriptor(api::Security const &sec) {
   if (sec.has_glbx())
      return sec.glbx().security_desc();
   else if (sec.has_ice())
-      return sec.ice().security_desc();      
+      return sec.ice().security_desc();
   else
      return "No descriptor for non glbx exchange";
 }

-}}
+boost::gregorian::date smallest_leg(
+    ::google::protobuf::RepeatedPtrField<::bts::api::ContractLeg> const &l) {
+   bts_assert(l.size());
+   auto smallest = expiration(l[0].security());
+   for (const auto &leg : l) {
+      auto this_date = expiration(leg.security());
+      if (this_date < smallest) {
+         smallest = this_date;
+      }
+   }
+   return smallest;
+}
+
+boost::gregorian::date expiration(api::Security const &security) {
+   switch (security.Contract_case()) {
+   case api::Security::kFuture:
+      return {
+          boost::gregorian::greg_year(security.future().expiration_year()),
+          boost::gregorian::greg_month(security.future().expiration_month()),
+          boost::gregorian::greg_day(security.future().expiration_day())};
+   case api::Security::kOption:
+      return {
+          boost::gregorian::greg_year(security.option().expiration_year()),
+          boost::gregorian::greg_month(security.option().expiration_month()),
+          boost::gregorian::greg_day(security.option().expiration_day())};
+   case api::Security::kSpread:
+      return smallest_leg(security.spread().legs());
+   case api::Security::kSynthetic:
+      return smallest_leg(security.synthetic().legs());
+   default:
+      return {};
+   }
+}
+
+bool is_expired(api::Security const &security) {
+   auto e = expiration(security);
+   if (e == boost::gregorian::date())
+      return false;
+   else
+      return e < boost::posix_time::microsec_clock::universal_time().date();
+}
+
+} // namespace securities
+} // namespace bts
@@ -7,6 +7,8 @@
 #include "lib/domain_model/common.h"
 #include "lib/utils/bts_assert.h"

+namespace boost {namespace gregorian {class date;}}
+
 namespace bts {

 namespace api {
@@ -149,6 +151,9 @@ inline Price round_to_quote_price(api::Security const &sec, Price in,
          raw_round_to_quote_price(p, sec.contract_spec().low_tick(), side));
 }

+boost::gregorian::date expiration(api::Security const&sec);
+bool is_expired(api::Security const &security) ;
+
 inline Price tick_size(api::Security const &sec) {
   return Price(sec.contract_spec().low_tick());
 }
@@ -1,6 +1,10 @@

-#include "catch/catch.hpp"
 #include "../Security.h"
+#include "catch/catch.hpp"
+#include "lib/domain_model/Security.h"
+#include "lib/utils/PBUtils.h"
+
+#include <boost/date_time/gregorian/gregorian.hpp>

 namespace bts {
 namespace test {
@@ -8,33 +12,30 @@ namespace test {
 TEST_CASE("rounding_tests", "[md]") {
   SECTION("test_price_size") {

-      const double tick_sizes[] {
-         // Dan's production system
-         // ./sparkd configcheck Symbols | grep future | sed -e 's/.*future: \"\(.*\)\"/\1/' | xargs -I{} sh -c "./sparkd md dump {} future glbx" | grep -o low_tick': [0-9.]\+
-            0.0078125,
-            0.015625,
-            0.03125,
-            0.1,
-            0.25,
-            1,
-         // From Kevin's ramblings
-            // 2.5/320, 
-            // 31./32,
-            // 10./32,
-            // 10.25/32,
-            // 10.375/32,
-            // 10.125/32,
-            // 10.25/32,
-            // .0025,
-            // .0000001,
-            // 1./32,
-            // 0.5/32,
-            // 0.25/32,
-            // 0.125/32,
-            // 0.01,
-            // 0.005,
-            // 1./100000,
-            // 1./16,
+      const double tick_sizes[]{
+          // Dan's production system
+          // ./sparkd configcheck Symbols | grep future | sed -e 's/.*future:
+          // \"\(.*\)\"/\1/' | xargs -I{} sh -c "./sparkd md dump {} future
+          // glbx" | grep -o low_tick': [0-9.]\+
+          0.0078125, 0.015625, 0.03125, 0.1, 0.25, 1,
+          // From Kevin's ramblings
+          // 2.5/320,
+          // 31./32,
+          // 10./32,
+          // 10.25/32,
+          // 10.375/32,
+          // 10.125/32,
+          // 10.25/32,
+          // .0025,
+          // .0000001,
+          // 1./32,
+          // 0.5/32,
+          // 0.25/32,
+          // 0.125/32,
+          // 0.01,
+          // 0.005,
+          // 1./100000,
+          // 1./16,
      };

      for (double tick : tick_sizes) {
@@ -43,15 +44,105 @@ TEST_CASE("rounding_tests", "[md]") {
         for (double price = 0; price < 101; price += tick) {
            // Since all prices are valid ticks rounding should not change them
            const double epsilon = 1e-9;
-            for (api::Side side : { api::Side::SIDE_BUY, api::Side::SIDE_SELL }) {
-               double rounded = securities::raw_round_to_quote_price(price, tick, side);
-               REQUIRE(std::abs(price-rounded) <= epsilon);
+            for (api::Side side : {api::Side::SIDE_BUY, api::Side::SIDE_SELL}) {
+               double rounded =
+                   securities::raw_round_to_quote_price(price, tick, side);
+               REQUIRE(std::abs(price - rounded) <= epsilon);
            }
         }
      }
   }
 }

+auto spread_txt = "id: 17\n"
+                  "symbol: \"ES\"\n"
+                  "exchange: VENUE_GLBX\n"
+                  "contract_spec {\n"
+                  "  low_tick: 0.05\n"
+                  "  high_tick: 0.05\n"
+                  "  price_multiplier: 0.01\n"
+                  "}\n"
+                  "spread {\n"
+                  "  legs {\n"
+                  "    security {\n"
+                  "      id: 6\n"
+                  "      symbol: \"ES\"\n"
+                  "      exchange: VENUE_GLBX\n"
+                  "      contract_spec {\n"
+                  "        low_tick: 0.25\n"
+                  "        high_tick: 0.25\n"
+                  "        cash_per_point: 50\n"
+                  "        price_multiplier: 0.01\n"
+                  "      }\n"
+                  "      future {\n"
+                  "        expiration_year: 2019\n"
+                  "        expiration_month: 1\n"
+                  "        expiration_day: 20\n"
+                  "      }\n"
+                  "      glbx {\n"
+                  "        exchange_id: 16145\n"
+                  "        security_desc: \"ESZ9\"\n"
+                  "        cfi_code: \"FFIXSX\"\n"
+                  "        cme_symbol: \"ES\"\n"
+                  "        market_segment_id: 64\n"
+                  "      }\n"
+                  "    }\n"
+                  "    quantity: 1\n"
+                  "    side: SIDE_SELL\n"
+                  "    leg_delta: 1\n"
+                  "  }\n"
+                  "  legs {\n"
+                  "    security {\n"
+                  "      id: 2\n"
+                  "      symbol: \"ES\"\n"
+                  "      exchange: VENUE_GLBX\n"
+                  "      contract_spec {\n"
+                  "        low_tick: 0.25\n"
+                  "        high_tick: 0.25\n"
+                  "        cash_per_point: 50\n"
+                  "        price_multiplier: 0.01\n"
+                  "      }\n"
+                  "      future {\n"
+                  "        expiration_year: 3020\n"
+                  "        expiration_month: 6\n"
+                  "        expiration_day: 19\n"
+                  "      }\n"
+                  "      glbx {\n"
+                  "        exchange_id: 21336\n"
+                  "        security_desc: \"ESM0\"\n"
+                  "        cfi_code: \"FFIXSX\"\n"
+                  "        cme_symbol: \"ES\"\n"
+                  "        market_segment_id: 64\n"
+                  "      }\n"
+                  "    }\n"
+                  "    quantity: 1\n"
+                  "    side: SIDE_BUY\n"
+                  "    leg_delta: 1\n"
+                  "  }\n"
+                  "}\n"
+                  "glbx {\n"
+                  "  exchange_id: 35451\n"
+                  "  security_desc: \"ESZ9-ESM0\"\n"
+                  "  cfi_code: \"FMIXSX\"\n"
+                  "  cme_symbol: \"ES\"\n"
+                  "  market_segment_id: 64\n"
+                  "}";

+TEST_CASE("expiration_tests", "[security]") {
+   SECTION("test_expiration_retrieval") {

-}}
+      using namespace boost::gregorian;
+
+      auto spread = utils::pb::from_string<api::Security>(spread_txt);
+      REQUIRE(securities::expiration(spread) ==
+              date(greg_year(2019), greg_month(1), greg_day(20)));
+      auto &leg = spread.spread().legs(1).security();
+      REQUIRE(securities::expiration(leg) ==
+              date(greg_year(3020), greg_month(6), greg_day(19)));
+      REQUIRE(securities::is_expired(spread));
+      REQUIRE(!securities::is_expired(leg));
+   }
+}
+
+} // namespace test
+} // namespace bts
@@ -8,6 +8,7 @@
 #include "lib/config/protos/system.pb.h"
 #include "lib/md/Shm/FixedSecurity.h"
 #include "lib/config/protos/MarketData.pb.h"
+#include "lib/domain_model/Security.h"

 #include <boost/container/flat_set.hpp>
 #include <boost/filesystem.hpp>
@@ -141,7 +142,15 @@ Result insert_or_replace(const std::vector<SecurityPtr>& securities) {
            insert.bind(3, psecurity->exchange());
            insert.bind(4, securitytype_of(*psecurity));
            insert.bind(5, buffer);
-            insert.bind(6, expiration(*psecurity).to_short());
+            auto greg_date = securities::expiration(*psecurity);
+            if (greg_date == boost::gregorian::date()) {
+               insert.bind(6, datetime::Date(9999,1,1).to_short());
+            } else {
+               ushort year = greg_date.year();
+               ushort month = greg_date.month();
+               ushort day = greg_date.day();
+               insert.bind(6, datetime::Date(year,month,day).to_short());
+            }
            insert.exec();
            insert.reset();
         }
@@ -204,33 +213,4 @@ SecurityPtr find_security(SecurityKey) { return nullptr; }

 #endif

-template <class L>
-datetime::Date smallest_leg(L l) {
-   // Iterate though all legs and choose the smallest
-   datetime::Date date(std::numeric_limits<uint16_t>::max(),0,0);
-   for (const auto& leg : l) {
-      auto legDate = expiration(leg.security());
-      if (legDate < date) {
-         date = legDate;
-      }
-   }
-   return date;
-}
-
-datetime::Date expiration(const api::Security& security) {
-   switch(security.Contract_case()) {
-      case api::Security::kFuture:
-         return datetime::Date(security.future().expiration_year(), security.future().expiration_month(), security.future().expiration_day());
-      case api::Security::kOption:
-         return datetime::Date(security.option().expiration_year(), security.option().expiration_month(), security.option().expiration_day());
-      case api::Security::kSpread: 
-         return smallest_leg(security.spread().legs());
-      case api::Security::kSynthetic: 
-         return smallest_leg(security.synthetic().legs()); 
-      default:
-         // return a 0 date which will always be considered expired.
-         return datetime::Date();
-   }
-}
-
 }}}//namespace
@@ -36,6 +36,5 @@ Result insert_or_replace(const std::vector<SecurityPtr>&);
 std::vector<api::synthetic::Metadata> load_metadata();
 bool store_metadata(const api::synthetic::Metadata&);

-datetime::Date expiration(const api::Security& security);

-}}}//namespace
+}}}//namespace
@@ -1270,10 +1270,10 @@ struct Co2RelayTests {
         // That's right. Expirations daily.
         out_producers->push_back(
            producer.add_security(
-               *mkfixedfuture("FOO", invalid_security_key, 2017, 1+(x/28), x%28)));
+               *mkfixedfuture("FOO", invalid_security_key, 2017, 1+(x/28), x%27+1)));
         out_producers->push_back(
            producer.add_security(
-               *mkfixedfuture("FOOF", invalid_security_key, 2017, 1+(x/28), x%28)));
+               *mkfixedfuture("FOOF", invalid_security_key, 2017, 1+(x/28), x%27+1)));
      }
      assign_ids(out_producers->begin(), out_producers->end(), 1000);
      
@@ -3,6 +3,7 @@
 #include "lib/jetfix/common/OutFIX.h"
 #include "lib/jetfix/gateway/JetFIXGateway.h"
 #include "lib/logging/logging.h"
+#include "lib/md/SecurityOracle.h"
 #include "lib/orderman/events/CancelRejectEvent.h"
 #include "lib/orderman/events/GatewayStatusChangeEvent.h"
 #include "lib/orderman/events/NewExecutionReportEvent.h"
@@ -24,10 +25,11 @@ using JFGw =
                  fix::RejectMsg, fix::CancelRejectMsg>;

 struct ExecutionGateway::PImpl {
-   PImpl(config::JetFIX::Connection const &cfg, trace::PerfLog &l)
+   PImpl(config::JetFIX::Connection const &cfg, trace::PerfLog &l,
+         md::SecurityOracle o)
       : gw(cfg, l), exe_report_pool(), state(State::WAITING_FOR_SECURITIES),
         securities(), securities_by_descriptor(), gw_name(cfg.name()),
-         cfg(cfg), perf_log(l) {}
+         cfg(cfg), perf_log(l), sec_oracle(o) {}

   JFGw gw;
   boost::object_pool<ExecutionReport> exe_report_pool;
@@ -41,11 +43,12 @@ struct ExecutionGateway::PImpl {
   OnGwStatusChange on_gw_status_change;
   OnCancelReject on_cancel_reject;
   trace::PerfLog &perf_log;
+   md::SecurityOracle sec_oracle;
 };

 ExecutionGateway::ExecutionGateway(config::JetFIX::Connection const &cfg,
-                                   trace::PerfLog &log)
-    : me(new PImpl(cfg, log)) {
+                                   trace::PerfLog &log, md::SecurityOracle o)
+    : me(new PImpl(cfg, log, o)) {
   me->state = State::WAITING_FOR_SECURITIES;
 }
 ExecutionGateway::~ExecutionGateway() {}
@@ -111,11 +114,17 @@ void ExecutionGateway::on_exe_report(
   SecurityKey sk;
   decode_clorid(msg.get<fix::ClOrdID>(), &ok, &sk);

-   auto scoped_log = trace::log_scope(me->perf_log, msg.trace(), "ExecutionGateway::on_exe_report", ok.value());
+   auto scoped_log =
+       trace::log_scope(me->perf_log, msg.trace(),
+                        "ExecutionGateway::on_exe_report", ok.value());

   LOG(Latency, Info, "Started handling of execution report for order {}",
       ok.value());
-   auto sec = me->securities[sk.value()];
+   auto &sec = me->securities[sk.value()];
+   if (!sec) {
+      sec = me->sec_oracle.get_security(SecurityKey(sk.value()));
+      me->securities_by_descriptor[securities::descriptor(*sec)] = sec;
+   }

   if (!sec)
      LOG(OrderMan, Error,
@@ -303,8 +312,9 @@ void ExecutionGateway::dispatch_incoming_fix_messages() {

 void ExecutionGateway::send_fix(jetfix::OutFIXPtr const &fix,
                                trace::CorID trace) {
-   auto scoped_log = trace::log_scope(me->perf_log,trace,"ExecutionGateway::send_fix");
-   me->gw.send(fix,trace);
+   auto scoped_log =
+       trace::log_scope(me->perf_log, trace, "ExecutionGateway::send_fix");
+   me->gw.send(fix, trace);
   me->gw.dispatch_events();
 }

@@ -9,6 +9,7 @@
 #include <memory>

 namespace bts {
+namespace md { class SecurityOracle;}
 namespace trace {struct CorID;class PerfLog;}
 namespace orderman {
 class NewSecuritiesEvent;
@@ -22,7 +23,8 @@ using OnCancelReject = std::function<void(OrderKey, std::string const &)>;
 // fix execution gateway for a single FIX session
 class ExecutionGateway {
 public:
-   ExecutionGateway(config::JetFIX::Connection const &, trace::PerfLog &);
+   ExecutionGateway(config::JetFIX::Connection const &, trace::PerfLog &,
+                    md::SecurityOracle);
   ~ExecutionGateway();

   void start();
@@ -1,5 +1,8 @@
 #include "FillStore.h"
 #include "lib/api/services/OrderService.pb.h"
+#include "lib/config/config.h"
+#include "lib/config/protos/toggles.pb.h"
+#include "lib/domain_model/Security.h"
 #include "lib/orderman/actors/SODPosition.h"
 #include "lib/orderman/events/NewExecutionReportEvent.h"
 #include "lib/orderman/events/OrderDefinitionUpdateEvent.h"
@@ -53,10 +56,15 @@ void FillStore::init() {

         auto sec = me->oracle.get_security(SecurityKey(fill.security_key()));
         if (sec) {
-            auto fk = kvp.first;
-            if (!me->sod_pos_map.add_fill_to_sod_pos(fill))
-               stored_batch.emplace_back(fill, *sec);
-            me->known_fills.insert(fk);
+            if (config::get<config::toggles::FilterExpiredFills>().enabled() &&
+                securities::is_expired(*sec))
+               continue;
+            else {
+               auto fk = kvp.first;
+               if (!me->sod_pos_map.add_fill_to_sod_pos(fill))
+                  stored_batch.emplace_back(fill, *sec);
+               me->known_fills.insert(fk);
+            }
         } else
            LOG(persist, Error,
                "Stored fill {} contains unresolved security {}. ", kvp.first,
@@ -78,7 +86,7 @@ void FillStore::init() {
   // account ids for future execution reports
   subscribe<OrderDefinitionUpdateEvent>(
       [this](auto const &ev) { this->on_order_definition_update(ev); });
-}
+} // namespace orderman

 FillStore::~FillStore() {}

@@ -118,7 +118,7 @@ void OrderManager::on_fill_recovery(
                boost::algorithm::trim_copy(ev.fill.account());
            me->services_data.limiter.add(*ev.security, trimmed_account_name,
                                          ev.fill.side(),
-                                          Quantity(ev.fill.last_shares()));
+                                          Quantity(ev.fill.last_shares()),false);
         }

         me->stored_order_sub = subscribe<StoredOrderEvent>(
@@ -16,7 +16,7 @@ OrderServicesData::OrderServicesData(OrderManager &owner,

   auto &all_connections = config::get<config::JetFIX>().connection();
   for (auto const &c : all_connections)
-      sessions.push_back(std::make_unique<SessionServicesData>(c, l));
+      sessions.push_back(std::make_unique<SessionServicesData>(c, l,o));
 }
 } // namespace orderman
 } // namespace bts
@@ -48,10 +48,10 @@ struct ParentKey {

 struct SessionServicesData {
   SessionServicesData(config::JetFIX::Connection const &cfg,
-                       trace::PerfLog &log)
+                       trace::PerfLog &log, md::SecurityOracle o)
       : session(cfg.name()), gw_connected(false), cfg(cfg),
         governor(cfg.max_order_msgs_per_window(), cfg.window_duration_msecs()),
-         gw(cfg, log) {}
+         gw(cfg, log,o) {}

   std::string session;
   std::vector<jetfix::OutFIXPtr> free_buffers;
@@ -62,29 +62,29 @@ public:
   void copy_positions_from(LimitStore& source);
   void add_position(const api::Security& security,
                     AccountID account_id, api::Side side,
-                     Quantity quantity){
+                     Quantity quantity, bool recurse){
      SecurityLimitTree* sec_tree = _find_security(security.id());
      bts_assert(sec_tree != nullptr);
      sec_tree->add_position(account_id, side, quantity);
-      if (security.has_spread()){
+      if (recurse && security.has_spread()){
         for (const api::ContractLeg& leg : security.spread().legs()){
            api::Side effective_leg_side = side == api::Side::SIDE_BUY ? leg.side() : LimiterUtils::invert_side(leg.side());
            Quantity effective_leg_qty = Quantity (quantity.value() * std::abs(leg.quantity()));
-            add_position (leg.security(), account_id, effective_leg_side, effective_leg_qty);
+            add_position (leg.security(), account_id, effective_leg_side, effective_leg_qty, recurse);
         }
      }
   }
   void remove_position(const api::Security& security,
                        AccountID account_id, 
-                        api::Side side, Quantity quantity){
+                        api::Side side, Quantity quantity, bool recurse){
      SecurityLimitTree* sec_tree = _find_security(security.id());
      bts_assert(sec_tree != nullptr);
      sec_tree->remove_position(account_id, side, quantity);
-      if (security.has_spread()){
+      if (recurse && security.has_spread()){
         for (const api::ContractLeg& leg : security.spread().legs()){
            api::Side effective_leg_side = side == api::Side::SIDE_BUY ? leg.side() : LimiterUtils::invert_side(leg.side());
            Quantity effective_leg_qty = Quantity (quantity.value() * std::abs(leg.quantity()));
-            remove_position (leg.security(), account_id, effective_leg_side, effective_leg_qty);
+            remove_position (leg.security(), account_id, effective_leg_side, effective_leg_qty,recurse);
         }
      }
   }
@@ -98,7 +98,7 @@ public:
   //iv.  account should be activated
   Limiter::LimiterQueryResult can_trade(UserID user_id,
                                         AccountID account_id) const{
-      Limiter::LimiterQueryResult result; result.ok = true;
+      Limiter::LimiterQueryResult result; result.result = Limiter::OK;
      auto user_it = _user_data_map.find(user_id.value());
      if (user_it != _user_data_map.end()){
         const UserData& user_data = user_it->second;
@@ -106,23 +106,23 @@ public:
            const api::admin::BTSAccount* account_ptr = user_data.find_account(account_id);
            if (account_ptr != nullptr){
               if (!account_ptr->is_active()){
-                  result.ok=false;
+                  result.result=Limiter::ACCOUNT_DEACTIVATED;
                  result.error_msg = "Account is de-activated";
               }
            }
            else{
-               result.ok=false;
+               result.result=Limiter::NO_SUCH_ACCOUNT;
               result.error_msg = "Can not find account";
            }
         }
         else
         {
-            result.ok=false;
+            result.result=Limiter::USER_DEACTIVATED;
            result.error_msg = "User is de-activated";
         }
      }
      else{
-         result.ok=false;
+         result.result=Limiter::NO_SUCH_USER;
         result.error_msg = "Can not find user";
      }      
      return result;
@@ -131,11 +131,11 @@ public:
                                                   const api::Security& security,
                                                   api::Side side,
                                                   Quantity quantity) const{
-      Limiter::LimiterQueryResult rv; rv.ok = true;
+      Limiter::LimiterQueryResult rv; rv.result = Limiter::OK;
      const SecurityLimitTree* sec_tree = _find_security(security.id());
      bts_assert(sec_tree != nullptr);
      rv = sec_tree->can_send_new_order(account_id, side, quantity);
-      if (rv.ok && security.has_spread()){
+      if (rv.ok() && security.has_spread()){
         // if its rejected we dont need to validate further,
         // however if its ok and its a spread we need to check
         // the legs
@@ -143,7 +143,7 @@ public:
            api::Side effective_leg_side = side == api::Side::SIDE_BUY ? leg.side() : LimiterUtils::invert_side(leg.side());
            Quantity effective_leg_qty = Quantity (quantity.value() * std::abs(leg.quantity()));
            rv = can_send_new_order (account_id, leg.security(), effective_leg_side, effective_leg_qty);
-            if (!rv.ok)
+            if (!rv.ok())
               return rv;
         }
      }
@@ -153,18 +153,18 @@ public:
                                                const api::Security& security,
                                                api::Side side,
                                                Quantity from, Quantity to) const{
-      Limiter::LimiterQueryResult rv; rv.ok = true;
+      Limiter::LimiterQueryResult rv; rv.result = Limiter::OK;
      const SecurityLimitTree* sec_tree = _find_security(security.id());
      bts_assert(sec_tree != nullptr);
      rv = sec_tree->can_update_order(account_id, side, from, to);
      // same logic for the spread legs as above
-      if (rv.ok && security.has_spread()){
+      if (rv.ok() && security.has_spread()){
         for (const api::ContractLeg& leg : security.spread().legs()){
            api::Side effective_leg_side = side == api::Side::SIDE_BUY ? leg.side() : LimiterUtils::invert_side(leg.side());
            Quantity effective_leg_from_qty = Quantity (from.value() * std::abs(leg.quantity()));
            Quantity effective_leg_to_qty = Quantity (to.value() * std::abs(leg.quantity()));
            rv = can_update_order (account_id, leg.security(), effective_leg_side, effective_leg_from_qty, effective_leg_to_qty);
-            if (!rv.ok)
+            if (!rv.ok())
               return rv;
         }
      }
@@ -33,45 +33,45 @@ void Limiter::add_security(api::Security const &security) {
   _reset(me->limit_store->admin_data());
 }
 void Limiter::add(api::Security const &security, AccountID account_id,
-                  api::Side side, Quantity quantity) {
+                  api::Side side, Quantity quantity, bool recurse) {
   if (!_contains_security(&security))
      add_security(security);
   if (!me->limit_store->has_account(account_id)) {
      // add a temporary account, so trades can go in there
      _add_account_and_reset(account_id);
   }
-   me->limit_store->add_position(security, account_id, side, quantity);
+   me->limit_store->add_position(security, account_id, side, quantity, recurse);
 }
 void Limiter::remove(api::Security const &security, AccountID account_id,
-                     api::Side side, Quantity quantity) {
+                     api::Side side, Quantity quantity, bool recurse) {
   if (!_contains_security(&security))
      add_security(security);
   if (!me->limit_store->has_account(account_id)) {
      _add_account_and_reset(account_id);
   }
-   me->limit_store->remove_position(security, account_id, side, quantity);
+   me->limit_store->remove_position(security, account_id, side, quantity, recurse);
 }
 void Limiter::add(const api::Security &security,
                  const std::string &account_name, api::Side side,
-                  Quantity quantity) {
+                  Quantity quantity, bool recurse) {
   const auto *acct_ptr = bts::admin::AdminServiceUtils::find_account(
       me->limit_store->admin_data(), account_name);
   if (acct_ptr == nullptr)
      LOG(OrderMan, Error, "Limiter::add can not find account:{}",
          account_name);
   else
-      add(security, AccountID(acct_ptr->id()), side, quantity);
+      add(security, AccountID(acct_ptr->id()), side, quantity, recurse);
 }
 void Limiter::remove(const api::Security &security,
                     const std::string &account_name, api::Side side,
-                     Quantity quantity) {
+                     Quantity quantity, bool recurse) {
   const auto *acct_ptr = bts::admin::AdminServiceUtils::find_account(
       me->limit_store->admin_data(), account_name);
   if (acct_ptr == nullptr)
      LOG(OrderMan, Error, "Limiter::remove can not find account:{}",
          account_name);
   else
-      remove(security, AccountID(acct_ptr->id()), side, quantity);
+      remove(security, AccountID(acct_ptr->id()), side, quantity, recurse);
 }
 Limiter::LimiterQueryResult Limiter::can_trade(UserID user_id,
                                               AccountID account_id) const {
@@ -80,21 +80,32 @@ Limiter::LimiterQueryResult Limiter::can_trade(UserID user_id,
 }
 Limiter::LimiterQueryResult
 Limiter::can_send_new_order(AccountID account_id, api::Security const &security,
-                            api::Side side, Quantity quantity) const {
-   LimiterQueryResult rv = me->limit_store->can_send_new_order(
+                            api::Side side, Quantity quantity)  {
+   LimiterQueryResult rv =
+      me->limit_store->can_send_new_order(
       account_id, security, side, quantity);
-   // rv.ok = true;
+   if (rv.result == Limiter::NO_SUCH_SECURITY) {
+      add_security(security);
+      rv = me->limit_store->can_send_new_order(
+         account_id, security, side, quantity);
+   }
   return rv;
 }
 Limiter::LimiterQueryResult
 Limiter::can_update_order(AccountID account_id, api::Security const &security,
-                          api::Side side, Quantity from, Quantity to) const {
+                          api::Side side, Quantity from, Quantity to) {
   LimiterQueryResult rv;
   if (from == to)
-      rv.ok = true;
-   else
+      rv.result = Limiter::OK;
+   else {
      rv = me->limit_store->can_update_order(account_id, security, side, from,
                                             to);
+      if (rv.result == Limiter::NO_SUCH_SECURITY) {
+         add_security(security);
+         rv = me->limit_store->can_update_order(account_id, security, side, from,
+                                                to);
+      }
+   }
   return rv;
 }
 void Limiter::_add_account_and_reset(AccountID account_id) {
@@ -24,26 +24,45 @@ class Limiter {
   void add_securities(std::vector<api::Security const *> const &secs);
   void add_security(api::Security const &new_sec);

-   void add(api::Security const &, AccountID, api::Side, Quantity);
-   void remove(api::Security const &, AccountID, api::Side, Quantity);
+   void add(api::Security const &, AccountID, api::Side, Quantity,
+            bool recurse);
+   void remove(api::Security const &, AccountID, api::Side, Quantity,
+               bool recurse);

   void add(api::Security const &, std::string const & /* account_name */,
-            api::Side, Quantity);
+            api::Side, Quantity, bool recurse);
   void remove(api::Security const &, std::string const & /* account_name */,
-               api::Side, Quantity);
+               api::Side, Quantity, bool recurse);
+
+   enum LimiterErrorCode {
+      OK,
+      NO_SUCH_SECURITY,
+      SEC_LONG_POS_BREACHED,
+      PROD_LONG_POS_BREACHED,
+      SEC_SHORT_POS_BREACHED,
+      PROD_SHORT_POS_BREACHED,
+      CLIP_SIZE_BREACHED,
+      ACCOUNT_DEACTIVATED,
+      NO_SUCH_ACCOUNT,
+      USER_DEACTIVATED,
+      NO_SUCH_USER
+   };

   struct LimiterQueryResult {
-      bool ok;
      std::string error_msg;
+      LimiterErrorCode result;
+      bool ok() const { return result == OK; }
+      bool error() const { return result != OK; }
   };
+
   LimiterQueryResult can_trade(UserID user, AccountID into_account) const;
   LimiterQueryResult can_send_new_order(AccountID into_account,
                                         api::Security const &sec,
                                         api::Side side,
-                                         Quantity quantity) const;
+                                         Quantity quantity) ;
   LimiterQueryResult can_update_order(AccountID account,
                                       api::Security const &sec, api::Side side,
-                                       Quantity from, Quantity to) const;
+                                       Quantity from, Quantity to) ;
   ~Limiter();
   // for testing purposes only
   LimitStore &limit_store();
@@ -16,7 +16,7 @@ public:
                                      int short_pos_limit,
                                      int net_pos,
                                      Limiter::LimiterQueryResult& out_res){
-      out_res.ok = true;
+      out_res.result = Limiter::OK;
      bts_assert(long_pos_limit >= 0);
      bts_assert(short_pos_limit <= 0);
      int net_pos_new = 0;
@@ -25,18 +25,24 @@ public:
      else if(side == api::Side::SIDE_SELL)
         net_pos_new = net_pos - quantity.value();
      if (net_pos_new > long_pos_limit && side==api::Side::SIDE_BUY){
-         out_res.ok = false;
-         if (is_security_level)
+         if (is_security_level) {
+            out_res.result = Limiter::SEC_LONG_POS_BREACHED; 
            out_res.error_msg = fmt::format("Security Long Position (Max {} Current {})", long_pos_limit, net_pos);
-         else
+         }
+         else {
+            out_res.result = Limiter::PROD_LONG_POS_BREACHED; 
            out_res.error_msg = fmt::format("Product Long Position (Max {} Current {})", long_pos_limit, net_pos);
+         }
      }
      else if (net_pos_new < short_pos_limit && side==api::Side::SIDE_SELL){
-         out_res.ok = false;
-         if (is_security_level)
+         if (is_security_level) {
+            out_res.result = Limiter::SEC_SHORT_POS_BREACHED;
            out_res.error_msg = fmt::format("Security Short Position (Max {} Current {})", short_pos_limit, net_pos);
-         else
+         }
+         else {
+            out_res.result = Limiter::PROD_SHORT_POS_BREACHED;
            out_res.error_msg = fmt::format("Product Short Position (Max {} Current {})", short_pos_limit, net_pos);
+         }
      }
   }  
   static void can_update_order_net (api::Side side,
@@ -47,7 +53,7 @@ public:
                                     int short_pos_limit,
                                     int net_pos,
                                     Limiter::LimiterQueryResult& out_res){
-      out_res.ok = true;
+      out_res.result = Limiter::OK;
      if (to.value() > from.value()){
         int net_pos_new = 0;
         uint32_t diff = to.value() - from.value();
@@ -56,18 +62,24 @@ public:
         else if(side == api::Side::SIDE_SELL)
            net_pos_new = net_pos - diff;
         if (net_pos_new > long_pos_limit){
-            out_res.ok = false;
-            if (is_security_level)
+            if (is_security_level) {
+               out_res.result = Limiter::SEC_LONG_POS_BREACHED;
               out_res.error_msg = fmt::format("Security Long Position (Max {} Current {})", long_pos_limit, net_pos);
-            else
+            }
+            else {
+               out_res.result = Limiter::PROD_LONG_POS_BREACHED;
               out_res.error_msg = fmt::format("Product Long Position (Max {} Current {})", long_pos_limit, net_pos);
+            }
         }
         else if (net_pos_new < short_pos_limit){
-            out_res.ok = false;
-            if (is_security_level)
+            if (is_security_level) {
+               out_res.result = Limiter::SEC_SHORT_POS_BREACHED;
               out_res.error_msg = fmt::format("Security Short Position (Max {} Current {})", short_pos_limit, net_pos);
-            else
+            }
+            else {
+               out_res.result = Limiter::SEC_SHORT_POS_BREACHED;
               out_res.error_msg = fmt::format("Product Short Position (Max {} Current {})", short_pos_limit, net_pos);
+            }
         }
      }
   }
@@ -78,13 +90,13 @@ public:
                                      uint32_t long_pos,
                                      uint32_t short_pos,
                                      Limiter::LimiterQueryResult& out_res){
-      out_res.ok = true;
+      out_res.result = Limiter::OK;
      if(side == api::Side::SIDE_BUY){
         if(long_pos + quantity.value() > long_pos_limit){
            out_res.error_msg = fmt::format("Long Position (Abs) "
                                            "(Max {} Current {})",
                                            long_pos_limit,long_pos);
-            out_res.ok = false; 
+            out_res.result = Limiter::SEC_LONG_POS_BREACHED; 
         }
      }
      else{
@@ -92,7 +104,7 @@ public:
            out_res.error_msg = fmt::format("Short Position (Abs) "
                                            "(Max {} Current {})",
                                            short_pos_limit,short_pos);
-            out_res.ok = false; 
+            out_res.result = Limiter::SEC_SHORT_POS_BREACHED; 
         }
      }
   }
@@ -104,7 +116,7 @@ public:
                                     uint32_t long_pos,
                                     uint32_t short_pos,
                                     Limiter::LimiterQueryResult& out_res){
-      out_res.ok = true;
+      out_res.result = Limiter::OK;
      if (to.value() > from.value()){
         uint32_t diff = to.value() - from.value();
         if(side == api::Side::SIDE_BUY){
@@ -112,7 +124,7 @@ public:
               out_res.error_msg = fmt::format("Long Position (Abs) "
                                               "(Max {} Current {})",
                                               long_pos_limit,long_pos);
-               out_res.ok = false;
+               out_res.result = Limiter::SEC_LONG_POS_BREACHED; 
            }
         }
         else{
@@ -120,7 +132,7 @@ public:
               out_res.error_msg = fmt::format("Short Position (Abs) "
                                               "(Max {} Current {})",
                                               short_pos_limit,short_pos);
-               out_res.ok = false;
+               out_res.result = Limiter::SEC_SHORT_POS_BREACHED; 
            }
         }
      }
@@ -64,9 +64,9 @@ public:
   // risk limit checks
   ////////////////////
   Limiter::LimiterQueryResult can_send_new_order(api::Side side, Quantity quantity) const{
-      Limiter::LimiterQueryResult result;result.ok=true;
+      Limiter::LimiterQueryResult result;result.result= Limiter::OK;
      if (quantity.value() > _clip_size){
-         result.ok = false;
+         result.result = Limiter::CLIP_SIZE_BREACHED;
         result.error_msg = fmt::format("Security Clip Size (Max {} Qty {})", _clip_size, quantity.value());
         return result;
      }
@@ -74,14 +74,14 @@ public:
         LimiterUtils::can_send_new_order_net (side, quantity, true,
                                               _long_pos_limit, _short_pos_limit,
                                               _net_pos, result);
-      if (result.ok)
+      if (result.ok())
         result = _product_node.can_send_new_order(side, quantity);
      return result;
   }
   Limiter::LimiterQueryResult can_update_order(api::Side side, Quantity from, Quantity to) const{ 
-      Limiter::LimiterQueryResult result;result.ok=true;
+      Limiter::LimiterQueryResult result;result.result=Limiter::OK;
      if (to.value() > _clip_size){
-         result.ok = false;
+         result.result = Limiter::CLIP_SIZE_BREACHED;
         result.error_msg = fmt::format("Security Clip Size (Max {} Qty {})", _clip_size, to.value());
         return result;
      }
@@ -89,7 +89,7 @@ public:
         LimiterUtils::can_update_order_net (side, from, to, true, 
                                             _long_pos_limit, _short_pos_limit,
                                             _net_pos, result);
-      if (result.ok)
+      if (result.ok())
         result = _product_node.can_update_order(side, from, to);
      return result;
   }
@@ -270,8 +270,7 @@ NativeOrder::on_init_from_exe_report(ExecutionReport const &er,
      if (er.max_show.value() == 0) {
         def.mutable_custom_def()->mutable_limit();
         state.mutable_limit();
-      }
-      else {
+      } else {
         def.mutable_custom_def()->mutable_glbx_iceberg();
         state.mutable_glbx_iceberg();
      }
@@ -370,7 +369,7 @@ NativeOrder::_on_activate(log::Level reject_level, log::Level transition_level,
   auto lqr = me->services->limiter().can_trade(
       UserID(me->definition.user_id()),
       AccountID(me->definition.account_id()));
-   if (!lqr.ok) {
+   if (!lqr.ok()) {
      LOG(OrderMan, reject_level,
          "Unauthorized order attempted. User: {} on "
          "Account: {}. Msg: {} Order: {}. Dropping order",
@@ -387,7 +386,7 @@ NativeOrder::_on_activate(log::Level reject_level, log::Level transition_level,
       AccountID(me->definition.account_id()), *me->sec, me->definition.side(),
       q);

-   if (!lqr.ok) {
+   if (!lqr.ok()) {
      LOG(OrderMan, reject_level,
          "New order would breach limit. User: {} Account: "
          "{} Msg: {} Order: {}. Dropping order",
@@ -587,7 +586,7 @@ OrderOpResult NativeOrder::on_update(api::orderman::Update const &update) {
          Quantity(current_working_qty));

      // are we under the position limits?
-      if (!lqr.ok) {
+      if (!lqr.ok()) {
         auto msg = fmt::format("Cannot update order due to limit breach: {}",
                                lqr.error_msg);
         LOG(OrderMan, Error,
@@ -1047,12 +1046,14 @@ void NativeOrder::update_working_position() {
         me->services->limiter().add(
             *me->sec, AccountID(me->definition.account_id()),
             me->definition.side(),
-             Quantity(current_position.value() - previous_position.value()));
+             Quantity(current_position.value() - previous_position.value()),
+             true);
      else if (previous_position.value() > current_position.value())
         me->services->limiter().remove(
             *me->sec, AccountID(me->definition.account_id()),
             me->definition.side(),
-             Quantity(previous_position.value() - current_position.value()));
+             Quantity(previous_position.value() - current_position.value()),
+             true);
   } else
      LOG(OrderMan, Error,
          "Order {} ignored for purposes of limit enforcing "
@@ -1194,9 +1195,8 @@ void NativeOrder::init_fix() {
          securities::encode_exchange_price(*me->sec, Price(stop_px)).value();
      create_encoding.add<fix::StopPx>(encoded_stop_px,
                                       me->price_encoding_precision, -1);
-      me->update_stop_px_bm= 
-         update_encoding.add<fix::StopPx>(encoded_stop_px,
-                                          me->price_encoding_precision, -1);
+      me->update_stop_px_bm = update_encoding.add<fix::StopPx>(
+          encoded_stop_px, me->price_encoding_precision, -1);

      // price
      me->create_price_bm = create_encoding.add<fix::Price>(
@@ -20,11 +20,11 @@ struct LeanAlgo::PImpl {
   IAlgoServices* algo_services;
   double tick_size = os::nan();
   Status status = Status::WAITING_FOR_MD;
-   Price initial_observed_price = Price(os::nan());
+   // the first observed opp inside price
+   Price anchor_price = Price(os::nan());
   Price observed_price = Price(os::nan());
   OrderKey child_key = null_order_key();
   ChildTemplate *child_template = nullptr;
-   md::PriceSize last_opp_inside = md::PriceSize();
   Book curr_book;
   Price out_price = Price(os::nan());
   Quantity out_qty = Quantity(0);
@@ -106,8 +106,8 @@ void LeanAlgo::on_book(SecurityKey, const Book &book) {
   switch (me->status) {
   case LeanAlgo::Status::WAITING_FOR_MD:
      if (_opp_inside_market().size() != 0) {
-         me->initial_observed_price = Price(_opp_inside_market().price());
-         me->observed_price = me->initial_observed_price;
+         me->anchor_price = Price(_opp_inside_market().price());
+         me->observed_price = me->anchor_price;
         me->status = LeanAlgo::Status::WORKING;
         _analyze_and_act();
      }
@@ -158,11 +158,11 @@ LeanAlgo::_on_toward_behaviour() const {
 bool LeanAlgo::_book_moved_toward() const {
   return securities::is_better(_opp_side(),
                                Price(_opp_inside_market().price()),
-                                Price(me->last_opp_inside.price()));
+                                me->anchor_price);
 }
 bool LeanAlgo::_book_moved_away() const {
   return securities::is_better(_opp_side(), 
-                                Price(me->last_opp_inside.price()),
+                                me->anchor_price,
                                Price(_opp_inside_market().price()));
 }
 md::PriceSize LeanAlgo::_opp_inside_market() const {
@@ -173,29 +173,29 @@ api::Side LeanAlgo::_opp_side() const {
 }
 bool LeanAlgo::_within_chase_band(Price price) const{
   return securities::is_better(algo().definition().side(),                                
-                                me->initial_observed_price,
+                                me->anchor_price,
                                price) ||
         static_cast<uint32_t>(std::abs(
            securities::price_diff_to_ticks(price.value(),
-                              me->initial_observed_price.value(),
+                              me->anchor_price.value(),
                              me->tick_size))) <= _max_chase_ticks();
 }
 Price LeanAlgo::_chase_limit() const{
   double offset=me->tick_size*_max_chase_ticks();
   return securities::improve_price(algo().definition().side(),
-                                   me->initial_observed_price,
+                                   me->anchor_price,
                                   Price(offset));
 }
-LeanAlgo::MarketChange LeanAlgo::_market_change() const{
+LeanAlgo::OppMarketState LeanAlgo::_market_state() const{
   md::PriceSize opp_inside=_opp_inside_market();
   if(opp_inside.size()==0)
-      return MarketChange::NO_MARKET;
+      return OppMarketState::NO_MARKET;
   else if (_book_moved_away())
-      return MarketChange::AWAY;
+      return OppMarketState::AWAY;
   else if (_book_moved_toward())
-      return MarketChange::TOWARD;
+      return OppMarketState::TOWARD;
   else
-      return MarketChange::SIZE_CHANGE;
+      return OppMarketState::NO_DIRECTIONAL_CHANGE;
 }
 Price LeanAlgo::_get_price_to_pass (Price price) const{
   // if it has crossed once, then the
@@ -208,24 +208,25 @@ Price LeanAlgo::_get_price_to_pass (Price price) const{
 ///////////////////////////////////////////////////////////////////////////////
 void LeanAlgo::_analyze_and_act() {
   bts_assert(me->status == LeanAlgo::Status::WORKING);
-   auto market_change=_market_change();
-   me->last_opp_inside=_opp_inside_market();
+   auto market_change=_market_state();
   switch(market_change){
-   case MarketChange::NO_MARKET:
+   case OppMarketState::NO_MARKET:
      _go_furthest_possible();
      break;
-   case MarketChange::SIZE_CHANGE:
+   case OppMarketState::NO_DIRECTIONAL_CHANGE:
      _try_cross(me->observed_price);
      break;
-   case MarketChange::AWAY:
+   case OppMarketState::AWAY:
      me->observed_price = Price(_opp_inside_market().price());   
      _go_furthest_possible();
      break;
-   case MarketChange::TOWARD:
+   case OppMarketState::TOWARD:
      _on_toward_me();
      break;
   }
 }
+// since this is more complicated than the
+// other market states
 void LeanAlgo::_on_toward_me() {
   switch (_on_toward_behaviour()) {
   case LeanOrderDefinition_OnToward_CANCEL:
@@ -242,7 +243,7 @@ void LeanAlgo::_on_toward_me() {
      algo().cancel("Opposite inside market moved towards order(detaching)");
      break;
   case LeanOrderDefinition_OnToward_REPRICE:
-      LOG(OrderMan, Diag,
+      LOG(OrderMan, Info,
          "LeanAlgo {} changing its target to {} because opposite moved "
          "towards order",
          algo().order_key().value(), _opp_inside_market().price());
@@ -250,7 +251,7 @@ void LeanAlgo::_on_toward_me() {
      _try_cross(me->observed_price);
      break;
   case LeanOrderDefinition_OnToward_NO_CHANGE:
-      LOG(OrderMan, Diag, "LeanAlgo {} ignoring opposite move towards order",
+      LOG(OrderMan, Info, "LeanAlgo {} ignoring opposite move towards order",
          algo().order_key().value());
      _try_cross(me->observed_price);
      break;
@@ -259,10 +260,11 @@ void LeanAlgo::_on_toward_me() {
      break;
   }
 }
-// this assumes the opposite side is there
-// and will always try to cross into the other side
-// IF the qty threshold AND chase band condition is met.
-// it returns true if it successfully crossed.
+// if the price is within the chase bands
+// (which is only applied on AWAY prices),
+// and the cum qty on the opposite side
+// up to the price is less than 
+// the threshold, then it jumps to that price.
 bool LeanAlgo::_try_cross(Price price) {
   if(_within_chase_band(price)){
      Quantity cumm_qty;
@@ -271,6 +273,13 @@ bool LeanAlgo::_try_cross(Price price) {
                                             price,
                                             me->tick_size,
                                             cumm_qty);
+      // if we are within the chase bands and 
+      // the price happens to be better than 
+      // the opposite inside market (ie for buy orders
+      // the price < top sell market)
+      // then cumm_qty will be 0, which
+      // means the price will always be modified
+      // to the arg
      Quantity trigger_quantity = _cross_threshold();
      if(cumm_qty.value()<trigger_quantity.value()){         
         _modify_price_price_qty(price,algo().quantity());
@@ -279,14 +288,28 @@ bool LeanAlgo::_try_cross(Price price) {
   }
   return false;
 }
+// this function is called when NO_MARKET or AWAY
+// it tries to place the order as far as it can; 
+// with the priority:
+// 1. observed_price
+// 2. chase_limit
+// 3. opp inside-1 (for buys)
+// 4. same side inside
 void LeanAlgo::_go_furthest_possible(){
   if(!_try_cross(me->observed_price)){
+      // this will be false if the observed price
+      // is outside the chase OR qty threshold
+      // is not met
      if(!_try_cross(_chase_limit())){
-         // this will only be false if chase_limit is
-         // on the opposite side and the qty > threshold
-         // (if it was on the same side, cum_qty==0)
+         // this will only be false 
+         // if chase_limit is on the opposite side 
+         // and the qty > threshold (if it was on the 
+         // same side, cum_qty==0 and it should go at
+         // that price, see try_cross)
         auto opp_inside=_opp_inside_market();
         if(opp_inside.size()>0){
+            // goes to the opp side, improves a tick to get 
+            // to the same market top, and crosses there
            auto inside = securities::worsen_price(algo().definition().side(),
                                                   Price(opp_inside.price()),
                                                   Price(me->tick_size));
@@ -21,7 +21,15 @@ class LeanAlgo : public IAlgoOrder {
   void on_child_change(OrderKey, ChildState const &) override;

 private:
-   enum class MarketChange {NO_MARKET,SIZE_CHANGE,AWAY,TOWARD};
+   // this is the state of opposite inside market (oim)
+   // NO_MARKET: oim.qty==0
+   // NO_DIRECTIONAL_CHANGE: oim.price==anchor_price
+   // AWAY: anchor_price is_better_than oim.price
+   // TOWARD: oim.price is_better_than anchor_price
+   // since lean order is placed away from the market
+   // on the same size, AWAY means opp inside moves
+   // AWAY from the order, similiarly TOWARD
+   enum class OppMarketState {NO_MARKET,NO_DIRECTIONAL_CHANGE,AWAY,TOWARD};
   struct PImpl;
   enum class Status;
   IAlgoServices &algo() const ;
@@ -34,7 +42,7 @@ class LeanAlgo : public IAlgoOrder {
   api::Side _opp_side() const;
   bool _within_chase_band(Price price) const;
   Price _chase_limit() const;
-   MarketChange _market_change() const;
+   OppMarketState _market_state() const;
   Price _get_price_to_pass (Price price) const;
   void _analyze_and_act();
   bool _try_cross(Price);
@@ -24,6 +24,7 @@ _order_builder(),
 _order_manager(),
 _services(nullptr),
 _reported_state(),
+_sent_state(),
 _book(),
 _state_worker(nullptr),
 _start_state_worker(this),
@@ -120,7 +121,7 @@ void QueueHolderOrder::_switch_state(QueueHolderOrderState new_state) {
   LOG(OrderMan, Info, "QueueHolderOrder::_switch_state key:{} {}->{}",
                        key(), s0,_state_int());
 }
-api::orderman::OrderStatus QueueHolderOrder::status(std::string& message) const{
+api::orderman::OrderStatus QueueHolderOrder::_status(std::string& message) const{
      QueueHolderOrderState curr_state=
            _state_worker==nullptr?QueueHolderOrderState::START:_state();
      switch (curr_state){
@@ -11,6 +11,7 @@
 #include "lib/orderman/orders/queue_holder/state_workers/QHOEndStateWorker.h"
 #include "lib/orderman/orders/queue_holder/QHOOrderManager.h"
 #include "lib/orderman/orders/OrderOpResult.h"
+#include "lib/domain_model/Security.h"

 namespace bts {
 namespace api {namespace orderman {class OrderDefinition;}}
@@ -83,12 +84,13 @@ private:
      _termination_reason=termination_reason;
      _switch_state(QueueHolderOrderState::WAITING_FOR_CANCEL_ALL);
   }
-   api::orderman::OrderStatus status(std::string& message) const;      
+   api::orderman::OrderStatus _status(std::string& message) const;
   // sends orders for the first time
   void _report_state(){
      if(_activated()){
-         std::string err_msg;
-         _reported_state.set_status(status(err_msg));
+         std::string& err_msg = *(_reported_state.mutable_last_msg());
+         // both status and err_msg are set here
+         _reported_state.set_status(_status(err_msg));
         double filled_price;
         uint32_t filled_qty;
         _order_manager.filled_price(filled_price,filled_qty);
@@ -104,8 +106,10 @@ private:
         }
         _reported_state.set_avg_price(filled_price);
         _reported_state.set_filled_quantity(filled_qty);
-         _reported_state.set_last_msg(err_msg);
-         _services->report_state(_reported_state);
+         if(!_state_eq()){
+            _sent_state=_reported_state;
+            _services->report_state(_reported_state);
+         }
      }
   }
   void _set_state_price_qty(Price price, Quantity qty){
@@ -124,6 +128,18 @@ private:
      oss << str << " key:" << key();
      bts_assert_msg(false, oss.str());
   }
+   bool _state_eq() const{
+      return _reported_state.status() == _sent_state.status() &&
+             securities::is_same(Price(_reported_state.price()),
+                                 Price(_sent_state.price())) &&
+             _reported_state.quantity() == _sent_state.quantity() &&
+             _reported_state.filled_quantity() == _sent_state.filled_quantity() &&
+             securities::is_same(Price(_reported_state.last_price()),
+                                 Price(_sent_state.last_price())) &&
+             securities::is_same(Price(_reported_state.avg_price()),
+                                 Price(_sent_state.avg_price())) &&
+             _reported_state.last_msg() == _sent_state.last_msg();
+   }
 private:
   // if the init call succeeded which means
   // i.  order is properly built
@@ -138,7 +154,7 @@ private:
   OrderBuilder _order_builder;
   QHOOrderManager _order_manager;
   OrderServices *_services;
-   api::orderman::OrderState _reported_state;   
+   api::orderman::OrderState _reported_state, _sent_state;   
   Book _book;   
   IQueueHolderOrderStateWorker* _state_worker;
   QHOStartStateWorker _start_state_worker;
@@ -304,11 +304,12 @@ void DynamicJoin::on_child_change(OrderKey, ChildState const &st) {
   }
 }

+// This is called by the spark daemon at startup. In this call we
+// describe our algo's parameters and register a factory function to
+// create an instance of the algo.
 extern "C" void init_spark_plugin(bts::SparkServices &serv) {
   using namespace bts;

-   // Describe our new algo order so that Spark can generate a GUI for
-   // it.
   DynamicOrderDescriptor join_desc;

   // Start by naming our order type
@@ -222,7 +222,7 @@ void ExchangeSimApplication::onMessage(const FIX42::NewOrderSingle &message,
      order.set_type(convert(ordType));

      if (orderQty.getValue() == 0)
-         throw new std::logic_error("Quantity must be greater than 0");
+         throw std::logic_error("Quantity must be greater than 0");

      if (order.type() == api::orderman::NATIVE_ORDER_TYPE_LIMIT)
         order.set_price(price);
@@ -232,13 +232,13 @@ void ExchangeSimApplication::onMessage(const FIX42::NewOrderSingle &message,
            if (book.asks.size())
               order.set_price(book.asks.begin()->first.value());
            else
-               throw new std::logic_error("No sell market");
+               throw std::logic_error("No sell market");
         } else {

            if (book.bids.size())
               order.set_price(book.bids.begin()->first.value());
            else
-               throw new std::logic_error("No buy market");
+               throw std::logic_error("No buy market");
         }
      }
      order.set_quantity(orderQty);
@@ -348,8 +348,8 @@ let clipLimitsView model dispatch =
      TableControl.createDataTable (Some headerRow) rws (Button.button "Add" "" "plus-circle" Button.Enabled addRow)
    ]

-let lazyClipLimitsView model dispatch = 
-  lazyView2With (fun a b -> 
+let lazyClipLimitsView model dispatch =
+  lazyView2With (fun a b ->
    LanguagePrimitives.PhysicalEquality a.SelectedClipLimits b.SelectedClipLimits &&
    LanguagePrimitives.PhysicalEquality a.scratch.securityClipLimits b.scratch.securityClipLimits)
    clipLimitsView
@@ -542,10 +542,11 @@ let productLimits model dispatch =
      br []
    ]

-let lazyProductLimitsView model dispatch = 
-  lazyView2With (fun a b -> 
+let lazyProductLimitsView model dispatch =
+  lazyView2With (fun a b ->
    LanguagePrimitives.PhysicalEquality a.SelectedPositionLimits b.SelectedPositionLimits &&
-    LanguagePrimitives.PhysicalEquality a.scratch.productPositionLimits b.scratch.productPositionLimits)
+    LanguagePrimitives.PhysicalEquality a.scratch.productPositionLimits b.scratch.productPositionLimits &&
+    a.scratch.riskLimitEnforcement = b.scratch.riskLimitEnforcement)
    productLimits
    model dispatch

@@ -764,7 +765,7 @@ let tabContent model dispatch =
  div [Key (string model.scratch.id); ClassName "is-tab-content"] [
   //  (match model.tab with
    (match model.tab, (accountIsSelected model.scratch Access.Accounts.empty) with
-    | _ , false -> p [Style [ Color "Red" ]] [ str "You are not authorized to view this data" ]   
+    | _ , false -> p [Style [ Color "Red" ]] [ str "You are not authorized to view this data" ]
    | General, _ -> generalView model dispatch
    | LimitsTab, _ -> LimitsView model dispatch
    | ConnectionsTab, _ -> ConnectionsView model dispatch
@@ -871,7 +872,7 @@ let menuItem account selectedAccount model dispatch =
                 ]
             ]
         ]
-      else span[][])      
+      else span[][])
    ]

 let NavRoot (accounts:BTSAccount[]) selectedAccount model dispatch =
@@ -881,10 +882,10 @@ let NavRoot (accounts:BTSAccount[]) selectedAccount model dispatch =
              span [Class "is-size-4"] [str "Accounts"]
              span [ Class "is-pulled-right circle-icon" ]
               (if model.can_create then
-                  [ Button.fabutton                                      
+                  [ Button.fabutton
                     "Add Account"
                     "plus-circle"
-                     "" 
+                     ""
                     Button.Enabled
                     (fun _ -> dispatch AddAccount) ]
               else [])
@@ -929,7 +930,7 @@ let root (model:Model) dispatch =
        [ NavRoot data.accounts (selectedAccount model) model dispatch
          div [ Class "column is-main-content" ]
              [
-                 
+
                div [ ClassName "tabs is-boxed" ] [
                  ul [] [
                    (if (Array.length data.accounts > 0) then (tabHeader General model.tab dispatch) else span [][] )
Author	SHA1	Message	Date
Pedro Pinto	ff461d42b8	Merge branch 'master' into prod	2019-06-14 10:13:40 -04:00
Michael Harding	12dd3909bf	Fix documentation deploy	2019-06-13 12:49:13 -04:00
John Colvin	0af5b78318	Merged in SPARK-2489-ladder-settings (pull request #257 ) RTM SPARK-2489 ladder settings Approved-by: Pedro Pinto <pedro.pinto+atlassian@bluetradesys.com>	2019-06-10 21:31:24 +00:00
Pedro Pinto	c652032ddf	Updated release notes.	2019-06-10 17:27:46 -04:00
John Colvin	7bd868b753	Merge remote-tracking branch 'origin/master' into SPARK-2489-ladder-settings	2019-06-10 15:23:58 -05:00
John Colvin	1bc4510862	LadderSettingsView - touch up 'Market Price And Size Display' tab	2019-06-10 15:12:38 -05:00
John Colvin	b1fb964648	Merged in SPARK-2508-fills-symbol-column (pull request #256 ) RTM SPARK-2508 fills symbol column	2019-06-10 19:45:37 +00:00
Pedro Pinto	ee19f7c7da	Updated release notes.	2019-06-10 15:44:00 -04:00
John Colvin	cd41632b53	LadderSettingsView - touch up 'Order Quantities' tab	2019-06-10 14:27:54 -05:00
John Colvin	ecd384501e	align LadderSettingsView (content in settings dialog) with hamburger button	2019-06-10 12:22:05 -05:00
John Colvin	0483460ac9	Merge remote-tracking branch 'origin/master' into SPARK-2489-ladder-settings	2019-06-10 12:00:08 -05:00
John Colvin	0bc24fa7b7	SPARK-2508 Fills - add 'Symbol' column	2019-06-10 11:48:09 -05:00
John Colvin	ac60a1447e	stack FillsView.Columns enum values vertically (easier to merge column changes)	2019-06-10 11:32:35 -05:00
Pedro Pinto	0ff4624778	Updated release notes.	2019-06-10 11:05:59 -04:00
Taha Afzal	ab04b4afab	Merged in SPARK-2505_qho_ib_1 (pull request #254 ) RTM	2019-06-10 15:02:57 +00:00
Taha Afzal	ac226ddd3b	Merged in SPARK-2488-LeanAlgoBug (pull request #255 ) RTM	2019-06-10 14:36:18 +00:00
Pedro Pinto	0223e43aa2	Updated release notes.	2019-06-10 10:20:51 -04:00
John Colvin	73e5cfdada	Merged in SPARK-2481-fills-filter-fix (pull request #249 ) SPARK-2481 fills filter fix Approved-by: Jake Norbut <jake.norbut@bluetradesys.com> Approved-by: Pedro Pinto <pedro.pinto+atlassian@bluetradesys.com>	2019-06-10 14:19:31 +00:00
Eric Harding	33b4b88af1	For some strange reason the gregorian calender does not start counting days at 0. Maybe 0 hadn't been invented yet.	2019-06-10 10:12:44 -04:00
Pedro Pinto	12f4b4b25b	Merged with master	2019-06-10 08:49:56 -04:00
Taha Afzal	96cacb8bb9	qho's were reporting their cancelled state twice, which was causing the spreader to cancel it	2019-06-09 21:16:41 -04:00
John Colvin	300a1ed17f	SPARK-2481 filtering in fills window is badly broken (2nd take)	2019-06-07 23:06:14 -05:00
John Colvin	1a0836ca6d	RXCollection.connect - always assign local table in callback	2019-06-07 20:41:04 -05:00
Jake Norbut	88908543e1	Merged in SPARK-2165 (pull request #244 ) RTM - Ladder Settings - hide net change group setting for synthetic ladders Approved-by: Eric Harding <eric.harding@bluetradesys.com>	2019-06-07 21:26:37 +00:00
Pedro Pinto	80c9b6a534	Merged with master	2019-06-07 17:26:05 -04:00
Pedro Pinto	f6282c0676	Updated release notes	2019-06-07 17:20:17 -04:00
Pedro Pinto	02fe83f20b	Merge branch 'master' into SPARK-2165	2019-06-07 17:15:18 -04:00
John Colvin	84d666c29c	Merged in SPARK-2476-OB-KeyNotFoundException (pull request #248 ) RTM: SPARK-2476 OB _get_legs KeyNotFoundException Approved-by: Jake Norbut <jake.norbut@bluetradesys.com>	2019-06-07 21:14:14 +00:00
Pedro Pinto	147e43b464	Merged with master	2019-06-07 16:58:35 -04:00
Pedro Pinto	b909a6062e	Updated release notes	2019-06-07 15:58:32 -04:00
Pedro Pinto	421b3af6a7	Merge branch 'master' into SPARK-2481-fills-filter-fix	2019-06-07 15:54:05 -04:00
Pedro Pinto	46a340d493	Merged in fix-fill-accounting (pull request #251 ) RTM. Fix fill accounting	2019-06-07 19:52:02 +00:00
Pedro Pinto	3cc7d76a1b	Merged with master	2019-06-07 15:49:10 -04:00
Jake Norbut	5123b928f2	Merged in SPARK-2480 (pull request #247 ) RTM - SPARK-2480 - fixing Composite order type showing in root algo Approved-by: Eric Harding <eric.harding@bluetradesys.com>	2019-06-07 19:40:43 +00:00
Pedro Pinto	c2631e3257	Merged with master	2019-06-07 15:16:34 -04:00
John Colvin	445bbb10f5	LadderSettingsView - normalize spacing	2019-06-07 13:42:27 -05:00
John Colvin	70c006f797	SPARK-2489 / SPARK-2502 move 'Alternate Order Qty' into 'Order Quantities' tab	2019-06-07 13:42:27 -05:00
Pedro Pinto	685181ae28	Merge branch 'fix-fill-accounting' of bitbucket.org:bluetradesys/spark into fix-fill-accounting	2019-06-07 13:50:58 -04:00
Pedro Pinto	929492c2f0	Made Limiter more robust for orders with undiscovered securities.	2019-06-07 13:50:44 -04:00
Pedro Pinto	be023ff6cb	Made Limiter more robust for orders with undiscovered securities.	2019-06-07 13:21:06 -04:00
John Colvin	3a5810d8ac	LadderGridHost.OnMouseDown impl should return after handling middle click	2019-06-07 10:12:10 -05:00
John Colvin	29c772cbb6	SPARK-2489 / SPARK-2501 rename 'Add Size' -> 'Add Quantity'	2019-06-06 23:41:45 -05:00
John Colvin	0b03180c4d	SPARK-2489 / SPARK-2500 rename 'Size Presets' -> 'Order Quantities'	2019-06-06 23:39:02 -05:00
John Colvin	1518906b7f	SPARK-2489 / SPARK-2498 remove 'Order Badge Style' option	2019-06-06 23:35:45 -05:00
John Colvin	31fe708907	touch up LadderSettingsView	2019-06-06 23:35:37 -05:00
John Colvin	4b2f39c536	LadderSettingsView - drop 'Show/Hide' from 'Advanced' hyperlinks	2019-06-06 22:42:55 -05:00
John Colvin	040960d33b	SPARK-2489 / SPARK-2495 merge 'Volume Display' tab into the 'Ladder Columns' tab	2019-06-06 19:31:36 -05:00
Taha Afzal	a4d63a1421	this should fix the confusion	2019-06-06 19:13:46 -04:00
John Colvin	dcd8984b33	SPARK-2489 / SPARK-2494 rename 'Column Settings' tab 'Ladder Columns'	2019-06-06 12:35:09 -05:00
Pedro Pinto	baac6a893d	Re-directed SecurityDB's expiration to securities::expiration	2019-06-06 11:14:56 -04:00
Pedro Pinto	df681ca209	Removed duplicate declaration.	2019-06-06 11:03:36 -04:00
Jake Norbut	21b34434ef	Merged in SPARK-2464 (pull request #233 ) RTM - SPARK-2464 - ladder cursor provides visual feedback when middle clicking over bid ask cols Approved-by: Eric Harding <eric.harding@bluetradesys.com>	2019-06-05 21:57:43 +00:00
Pedro Pinto	0c17dbb55b	Updated release notes.	2019-06-05 17:57:11 -04:00
Pedro Pinto	fd6c6a3055	Merge branch 'master' into SPARK-2464	2019-06-05 17:52:29 -04:00
Pedro Pinto	259355d629	Updated release notes.	2019-06-05 17:51:22 -04:00
Michael Harding	c6c2d3448d	Merged in net_contracts_fix (pull request #250 ) RTM. Fix lazyview updating net cotracts	2019-06-05 21:49:54 +00:00
Eric Harding	f860649996	Merged in SPARK-2472-rerun (pull request #245 ) RTM. SPARK-2472 rerun * SPARK-2482 - End Jake's left handed discrimination * SPARK-2472 add * to our order size Approved-by: Pedro Pinto <pedro.pinto+atlassian@bluetradesys.com>	2019-06-05 21:43:03 +00:00
Pedro Pinto	05c3c97713	Hid fills for expired securities.	2019-06-05 17:11:14 -04:00
Pedro Pinto	f3be277484	Fixed limits double counting of spread leg fills	2019-06-05 17:10:16 -04:00
John Colvin	0ba311788c	DIYGridRowsManager - expose fills/sort manager methods, so callers don't need to hang on to fills/sort manager references	2019-06-05 11:35:32 -05:00
John Colvin	341eda5962	FillsVM - rows does not need to be an OperableCollection (just a regular ObservableCollection)	2019-06-05 11:35:32 -05:00
John Colvin	3398bb5b86	FillsVM - remove unusued field '_active_comparers'	2019-06-05 11:35:28 -05:00
John Colvin	dc7cacc126	get rid of hashset-vs-array optimization (doesn't actually help)	2019-06-05 10:59:43 -05:00
John Colvin	6d3d4e1f56	SPARK-2481 Filtering in fills window is badly broken	2019-06-04 18:57:36 -05:00
John Colvin	433b1abecd	abstract out OrderBookFilterStates.build_predicate method for generic use	2019-06-04 18:55:41 -05:00
John Colvin	4544180c5f	move 'FillsStartupData' into its own file, change typename to 'FillsSettings'	2019-06-04 18:54:43 -05:00
John Colvin	5722fcffc3	SPARK-2476 OB _get_legs KeyNotFoundException	2019-06-04 16:08:47 -05:00
Jake Norbut	f1880615b1	SPARK-2480 - fixing a particular overload of the OrderSecurity constructor (root_* specific)	2019-06-04 14:08:46 -05:00
Jake Norbut	e60f5678ec	PR nits from chat	2019-06-04 10:22:10 -05:00
Pedro Pinto	e9a70e51e4	Merged with master	2019-06-04 10:40:56 -04:00
Jake Norbut	e98d18a5aa	Merged in SPARK-2482 (pull request #243 ) RTM - SPARK-2482 - Ladder middle click change - middle click recentering is back; alt + middle click now brings up mbo popup Approved-by: Eric Harding <eric.harding@bluetradesys.com>	2019-06-04 14:35:16 +00:00
Pedro Pinto	513cc248b8	Updated release notes and added shift+middle click to trigger MBO (Alt+Middle Click doesn't work very well on the linux rdesktop client)	2019-06-04 10:33:54 -04:00
Pedro Pinto	c024095f75	Merged master	2019-06-04 10:02:19 -04:00
Pedro Pinto	3e5eb80a7c	Updated release notes	2019-06-04 09:57:59 -04:00
Eric Harding	942dc1640e	Merged in SPARK-2472 (pull request #242 ) RTM: 🏭 SPARK-2472 - our orders are hard to identify Approved-by: Michael Harding <michael.harding@bluetradesys.com> Approved-by: Jake Norbut <jake.norbut@bluetradesys.com>	2019-06-04 13:17:29 +00:00
Pedro Pinto	b5c3abb782	Merged from prod	2019-06-04 09:15:36 -04:00
Pedro Pinto	3478d1ad52	Updated release notes.	2019-06-04 09:14:10 -04:00
Pedro Pinto	d54e9233d1	Improved comment.	2019-06-04 09:12:11 -04:00
Jake Norbut	e94759cd89	Ladder Settings - hide net change group setting for synthetic ladders	2019-06-03 15:47:54 -05:00
Jake Norbut	b58da4a20e	SPARK-2482 - Ladder middle click change - middle click recentering is back; alt + middle click now brings up mbo popup	2019-06-03 12:43:44 -05:00
Jake Norbut	8426399a23	SPARK-2479 - bug introduced in 8dd0709; Contract Pickers launched via the Security Picker Daemon now close on cancel button being pressed	2019-06-03 12:11:17 -05:00
Eric Harding	9b2f41c805	SPARK-2472 our orders are hard to identify in mbo	2019-05-30 17:00:09 -04:00
Eric Harding	15f96dda3e	Fix mbo command line diagnostic utility	2019-05-30 16:02:07 -04:00
Michael Harding	715b629778	Set use_onixs to false; for system tests	2019-05-30 12:04:21 -04:00
Eric Harding	dd82d127ea	Merged in shell_crash_empty_size (pull request #241 ) RTM: Fix for shell able to send 0 size orders Approved-by: Pedro Pinto <pedro.pinto+atlassian@bluetradesys.com>	2019-05-29 21:37:27 +00:00
Pedro Pinto	f97e22d6eb	Updated release notes.	2019-05-29 17:31:34 -04:00
Eric Harding	f9e04ee28c	Fix for shell able to send 0 size orders	2019-05-29 17:31:24 -04:00
Pedro Pinto	1ce00ca13d	Fixed simulator's handling of 0 sized quantities.	2019-05-29 17:27:08 -04:00
Jake Norbut	3b9c2f5d70	adding a try/catch around the leg lookup	2019-05-28 16:58:27 -05:00
Jake Norbut	31b2ba9165	PR suggestion - if statement readability	2019-05-28 14:38:27 -05:00
Jake Norbut	2b1b1f1681	Merge branch 'master' of bitbucket.org:bluetradesys/spark into SPARK-2464	2019-05-28 13:23:17 -05:00
Jake Norbut	7e75a71898	check root algo's can_expand to see if we should draw Cursor.No	2019-05-28 10:47:11 -05:00
Jake Norbut	7e47d7f8a5	Merge branch 'master' of bitbucket.org:bluetradesys/spark into SPARK-2464	2019-05-28 10:08:14 -05:00
Jake Norbut	90526a8bfd	SPARK-2464 - ladder cursor provides visual feedback when middle clicking over bid ask cols	2019-05-21 14:18:58 -05:00