Merge branch 'master' of bitbucket.org:bluetradesys/spark into fix2

doc/user/content/bts_spark/Spreader/_index.md

@@ -154,7 +154,7 @@ insert_anchor_links = "right"
 
         -  Pay Less - If enabled by checking the checkbox, the spreader will
             attempt to pay less when the quantity at the level of the calculated
-            hedge price is less than the threshold defined.  The hedge order is
+            hedge price is more than the threshold defined.  The hedge order is
             paid less by the “Payless Ticks” as defined per leg.
         -  Pay Up - If enabled by checking the checkbox, the spreader will pay
             up when the quantity at the level of the calculated hedge price is

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

@@ -227,7 +227,7 @@ namespace mbts.ui.spark {
       }
 
       DataGridColumn _column_factory(LegSpreaderParamsTuple l) {
-         var col = new DataGridColumnInternal(l.leg.Security, ParameterCellTemplateConverter, ParameterCellEditingTemplateConverter);
+         var col = new DataGridColumnInternal(l.leg.Security, ParameterCellTemplateConverter, ParameterCellEditingTemplateConverter) { Width = 75, };
          col.HeaderTemplate = (DataTemplate)FindResource(IsNew ? RemovableColumnHeaderTemplateKey : NonRemovableColumnHeaderTemplateKey);
          DataGridEx.SetRightBorder(col, new DataGridExVerticalLine(false, true, Colors.DarkGray, 1));
          return col;

src/client/spark/Modules/Trading/PNL/Data/PNLData.cs

@@ -501,12 +501,6 @@ namespace bts.shell.pnl {
          account_name == other.account_name &&
          sod == other.sod &&
          day == other.day &&
-         bid_price.Equals(other.bid_price) &&
-         ask_price.Equals(other.ask_price) &&
-         last_price.Equals(other.last_price) &&
-         mid_price.Equals(other.mid_price) &&
-         settlement_price.Equals(other.settlement_price) &&
-         calc_type.Equals(other.calc_type) &&
          raw_day == other.raw_day &&
          working.summary == other.working.summary;
 

src/client/spark/Modules/Trading/PNL/VM/PNLRowVM.cs

@@ -97,22 +97,22 @@ namespace bts.shell.pnl {
                if (security.HasValue && security.Value.ContractCase != Security.ContractOneofCase.Future) {
                   day_long = day_short = sod_long = sod_short = 0;
                } else {
-                  day_long = DoubleUtil.round_to_decimal(data.day.long_pos);
-                  day_short = DoubleUtil.round_to_decimal(data.day.short_pos);
-                  sod_long = DoubleUtil.round_to_decimal(data.sod.long_pos);
-                  sod_short = DoubleUtil.round_to_decimal(data.sod.short_pos);
+                  day_long = (decimal)DoubleUtil.nan_to_zero(data.day.long_pos);
+                  day_short = (decimal)DoubleUtil.nan_to_zero(data.day.short_pos);
+                  sod_long = (decimal)DoubleUtil.nan_to_zero(data.sod.long_pos);
+                  sod_short = (decimal)DoubleUtil.nan_to_zero(data.sod.short_pos);
                }
                var nd = new PNLNormalizedData(
-                  DoubleUtil.round_to_decimal(day_pnl.value),
+                  (decimal)DoubleUtil.nan_to_zero(day_pnl.value),
                   day_long,
                   day_short,
-                  DoubleUtil.round_to_decimal(data.raw_day.long_pos),
-                  DoubleUtil.round_to_decimal(data.raw_day.short_pos),
-                  DoubleUtil.round_to_decimal(sod_pnl.value),
+                  (decimal)DoubleUtil.nan_to_zero(data.raw_day.long_pos),
+                  (decimal)DoubleUtil.nan_to_zero(data.raw_day.short_pos),
+                  (decimal)DoubleUtil.nan_to_zero(sod_pnl.value),
                   sod_long,
                   sod_short,
-                  DoubleUtil.round_to_decimal(data.working_long_pos),
-                  DoubleUtil.round_to_decimal(data.working_short_pos));
+                  (decimal)DoubleUtil.nan_to_zero(data.working_long_pos),
+                  (decimal)DoubleUtil.nan_to_zero(data.working_short_pos));
                if (_normalized_data != nd) {
                   _normalized_data = nd;
                   updated?.Invoke(nd);

src/client/spark/Modules/Trading/PNL/VM/PNLVM.cs

@@ -103,7 +103,7 @@ namespace bts.shell.pnl {
          load_from(settings);
          _dispose = Disposable.Create(
             pnl_source.Operate(
-               _calculation_type.observe_current(true),
+               _calculation_type.observe_current(),
                (data, calc) => data.with(calc_type: calc)
             ).FilterWithRaw(filter_src, PNLRowData.key_fn, null)
             .OnDispatcher()

src/client/spark/Orders/OrdersModel.cs

@@ -75,6 +75,7 @@ namespace mbts.spark {
             .TableCheckedAutoCorrect(EqualityComparer<(SecurityImmutable? sec, PNLUnitImmutable data)>.Default)
             .Where(t => t.has_changes())
             .Cache();
+         on_account_pnl = _position_service.subscribei_pnl_account_data().Naggle(interval, scheduler).Table().Cache();
          var working_orders = on_orders.Filter(tup => tup.order.is_active());
          this.working_orders =
             on_orders.Scan(
@@ -264,6 +265,7 @@ namespace mbts.spark {
       public IObservable<IReadOnlyDictionary<uint, OrderSecurity>> working_orders { get; }
       public IObservable<TableUpdate<(SecurityImmutable?, PNLUnitImmutable), int>> on_pnl { get; }
       public IObservable<TableUpdate<PNLRowData, PNLKey>> security_account_pnl { get; }
+      public IObservable<TableUpdate<AccountPNLImmutable, uint>> on_account_pnl { get; }
       public IObservable<TableUpdate<(SecurityImmutable?, PositionUnitImmutable), int>> on_positions { get; }
       public IObservable<TableUpdate<(AlgoData algo, AlgoDefinitionMetadata? meta), AlgoKey>> studio_algos_with_meta { get; }
       public IObservable<TableUpdate<(SecurityImmutable?, ManualFillImmutable), int>> on_manual_fills_securities { get; }

src/client/spark/view/Controls/DIYGrid/DoubleUtil.cs

@@ -1,9 +1,10 @@
 using System;
 using System.Linq;
 
-namespace mbts.ui.controls {
-   static class DoubleUtil {
-      public const int API_DECIMAL_PRECISION = 9;
+namespace mbts.ui.controls
+{
+   internal class DoubleUtil
+   {
       /* smallest such that 1.0+DBL_EPSILON != 1.0 */
       private const double EPSILON  =   2.2204460492503131e-016;
       private const double BIG_EPSILON = EPSILON * 10;
@@ -35,9 +36,6 @@ namespace mbts.ui.controls {
             (double.IsNaN(right) ? double.NaN : -right) :
             (double.IsNaN(right) ? left : left - right);
 
-      public static decimal round_to_decimal(double value, int decimals = API_DECIMAL_PRECISION) =>
-         double.IsNaN(value) ? 0 : (decimal)Math.Round(value, decimals, MidpointRounding.AwayFromZero);
-
       internal static bool AreClose(double v1, double v2) {
          if (v1 == v2) return true;
          double delta = Math.Abs(v1 - v2);

src/client/spark_api/api/Update.cs

@@ -8,6 +8,7 @@ using System.Linq;
 using System.Reactive.Concurrency;
 using System.Reactive.Disposables;
 using System.Reactive.Linq;
+using System.Reactive.Subjects;
 using System.Text;
 
 namespace bts.api.core {
@@ -93,38 +94,38 @@ namespace bts.api.core {
          new Update<T, TKey>(new T[0], new T[0], new Change<T>[0], new T[0], key_extractor);
 
       public Update<T,TKey> merge(Update<T, TKey> next) {
-         var added = this.added as KeyedValueSet<TKey, T> ?? new KeyedValueSet<TKey, T>(this.added, _key);
+         var comp = new RowEqualityComparer<T, TKey>(_key);
+         var added = this.added as HashSet<T> ?? new HashSet<T>(this.added, comp);
          var changes = this.changed as ChangeDict<T,TKey> ?? new ChangeDict<T,TKey>(this.changes, _key);
-         var removed = this.removed as KeyedValueSet<TKey, T> ?? new KeyedValueSet<TKey, T>(this.removed, _key);
+         var removed = this.removed as HashSet<T> ?? new HashSet<T>(this.removed, comp);
 
          // Add
-         foreach (var v in next.added) {
-            var k = _key(v);
-            if (removed.Remove(k, out var oldval)) {
-               changes.AddOrMerge(new Change<T>(oldval, v));
-            } else {
-               added[k] = v;
-            }
-         }
+         added.UnionWith(next.added);
 
          // Change
          foreach (var c in next.changes) {
-            var k = _key(c.Old);
-            if (!added.Replace(k, c.New))
+            if (added.Contains(c.Old)) {
+               added.Remove(c.Old);
+               added.Add(c.New);
+            }
+            else {
                changes.AddOrMerge(c);
+            }
          }
 
          // Remove
          foreach (var r in next.removed) {
-            var k = _key(r);
-            if (!added.Remove(k))
-               removed[k] = changes.TryRemove(k, out var ch) ? ch.Old : r;
+            if (!added.Remove(r)) {
+               removed.Add(r);
+            }
+            changes.Remove(_key(r));
          }
 
          return new Update<T, TKey>(
             next.all,
             added, changes, removed, 
-            _key);
+            _key
+            );
       }
 
       public IEnumerable<T> all { get; }
@@ -147,39 +148,6 @@ namespace bts.api.core {
 #endif
    }
 
-   class KeyedValueSet<TKey, TValue> : IEnumerable<TValue> {
-      readonly Dictionary<TKey, TValue> _cache = new Dictionary<TKey, TValue>();
-
-      public KeyedValueSet(IEnumerable<TValue> value, Func<TValue, TKey> key) {
-         foreach (var v in value)
-            _cache[key(v)] = v;
-      }
-
-      public TValue this[TKey key] {
-         set => _cache[key] = value;
-      }
-
-      public bool Remove(TKey key) =>
-         _cache.Remove(key);
-
-      public bool Remove(TKey key, out TValue value) =>
-         _cache.TryGetValue(key, out value) && _cache.Remove(key);
-
-      public bool Replace(TKey key, TValue value) {
-         if (_cache.ContainsKey(key)) {
-            _cache[key] = value;
-            return true;
-         }
-         return false;
-      }
-
-      public IEnumerator<TValue> GetEnumerator() =>
-         _cache.Values.GetEnumerator();
-
-      IEnumerator IEnumerable.GetEnumerator() =>
-         GetEnumerator();
-   }
-
    class ChangeDict<T, TKey> : IEnumerable<Change<T>> {
       Dictionary<TKey, Change<T>> _changes;
       Func<Change<T>, TKey> _key;
@@ -199,11 +167,9 @@ namespace bts.api.core {
          return null;
       }
 
-      public bool Remove(TKey key) =>
+      public void Remove(TKey key) {
          _changes.Remove(key);
-
-      public bool TryRemove(TKey key, out Change<T> result) =>
-         _changes.TryGetValue(key, out result) && _changes.Remove(key);
+      }
 
       #region IEnumerable
       public IEnumerator<Change<T>> GetEnumerator() {
@@ -215,6 +181,31 @@ namespace bts.api.core {
       #endregion
    }
 
+   struct RowEqualityComparer<T,TKey> : IEqualityComparer<T>, IEqualityComparer<Change<T>>
+      where TKey : IEquatable<TKey> {
+      readonly Func<T,TKey> _key;
+
+      public RowEqualityComparer(Func<T,TKey> key) {
+         _key = key;
+      }
+
+      public bool Equals(T x, T y) {
+         return _key(x).Equals(_key(y));
+      }
+
+      public bool Equals(Change<T> x, Change<T> y) {
+         return Equals(x.New, y.New);
+      }
+
+      public int GetHashCode(T obj) {
+         return _key(obj).GetHashCode();
+      }
+
+      public int GetHashCode(Change<T> c) {
+         return GetHashCode(c.New);
+      }
+   }
+
    public class TableUpdate<T, TKey> where TKey : IEquatable<TKey> {
       // warning: this does not have a key_extractor
       public static readonly TableUpdate<T, TKey> empty = new TableUpdate<T, TKey>(ImmutableDictionary<TKey, T>.Empty, Array.Empty<T>(), Array.Empty<Change<T>>(), Array.Empty<T>(), null);
@@ -931,4 +922,4 @@ namespace bts.api.core {
             $"T is '{typeof(T)}', TKey is '{typeof(TKey)}'";
       }
    }
-}
+}