quantity divisor is 1 for 'ICE Lots' secs

Build improvements

CMakeLists.txt

@@ -55,7 +55,7 @@ else ()
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/web ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/data_files ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/lib/libspark.so ${CMAKE_BINARY_DIR}/server
-    COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.13.0.0 ${CMAKE_BINARY_DIR}/server
+    COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.16.0.0 ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libACE-5.7.5.so ${CMAKE_BINARY_DIR}/server
     COMMAND mkdir ARGS -p ${CMAKE_BINARY_DIR}/server/plugins
     COMMENT "Creating server runtime layout"

src/client/spark/Modules/Market/MarketShellModule.cs

@@ -17,7 +17,7 @@ namespace bts.shell {
    class MarketShellModule : IShellModule {
       [ImportingConstructor]
       public MarketShellModule(IBus bus, MDConsumer consumer, UserSettingsHub settings_hub, OrdersModel orders_model) {
-         _tsf = new TimeAndSalesWindowFactory(this, bus, consumer, settings_hub);
+         _tsf = new TimeAndSalesWindowFactory(this, bus, consumer, settings_hub, orders_model.security_auxiliary_model);
          _mvf = new MarketViewWindowFactory(this, bus, settings_hub, orders_model);
       }
 

src/client/spark/Modules/Market/MarketView/MarketViewRow.cs

@@ -1,10 +1,12 @@
 using bts.api;
 using bts.api.orderman;
 using bts.collections;
+using bts.utils;
 using mbts.co2;
 using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.controls;
+using mbts.ui.shell;
 using mbts.ui.spark;
 using mbts.ui.utility;
 using mbts.utils;
@@ -24,7 +26,6 @@ namespace mbts.spark {
          readonly AnimationManager _animation = new AnimationManager();
          readonly ObservableCollection<OrderRecordImmutable> _orders = new ObservableCollection<OrderRecordImmutable>();
          readonly ObservableFilterCollection<OrderRecordImmutable> _working_orders, _working_bids, _working_asks;
-         readonly string _security_text, _security_key_text;
          readonly Property<double> _bid_price, _ask_price, _last_price, _day_change, _settlement, _session_high, _session_low;
          readonly Property<bool> _last_price_from_spread;
          readonly CellProperty<int> _position;
@@ -33,48 +34,51 @@ namespace mbts.spark {
          readonly CellProperty<bool> _inside_bids, _inside_asks;
          readonly CellProperty<int> _working_bid_volume, _working_ask_volume;
          readonly CellProperty<double> _working_best_bid, _working_best_ask;
-         readonly CellProperty<string> _working_bids_text, _working_asks_text;
          readonly MyOrderSummarizer _order_summarizer = new MyOrderSummarizer();
          readonly MDDisplayHelper.SizeFormatter _size_formatter = MDDisplayHelper.get_formatter(MarketSizeDisplay.get_default());
-         Property<uint> _bid_direct_size, _bid_merged_size, _ask_direct_size, _ask_merged_size;
+         PropertyAutoWrapper<uint, uint>
+            _bid_direct_size,
+            _bid_implied_size,
+            _bid_merged_size,
+            _ask_direct_size,
+            _ask_implied_size,
+            _ask_merged_size;
          double _raw_day_position;
-         string _bid_merged_size_text, _ask_merged_size_text;
          ulong _bbo_ref, _last_ref;
+         uint? _display_qty_divisor_backing;
 
          public Row(IBus bus, SecurityMD smd, OrdersModel orders_model) : base(smd) {
             _bus = bus;
             _orders_model = orders_model;
-            _security_text = smd.security.ToString();
-            _security_key_text = security_key.ToString();
             string format_price(double price) => security.ContractSpec.format(price);
-            _position = new CellProperty<int>(this, nameof(position), 0);
+            _position = new CellProperty<int>(this, nameof(position), fmt_display_qty_int);
             _bid_price = backing(nameof(bid_price), double.NaN);
             _ask_price = backing(nameof(ask_price), double.NaN);
             _last_price = backing(nameof(last_price), double.NaN);
-            _last_size = new CellProperty<uint>(this, nameof(last_size), 0);
+            _last_size = new CellProperty<uint>(this, nameof(last_size), fmt_display_qty_uint);
             _day_change = backing(nameof(day_change), double.NaN);
             _session_low = backing(nameof(session_low), double.NaN);
             _session_high = backing(nameof(session_high), double.NaN);
             _last_price_from_spread = backing(nameof(last_price_from_spread), false);
             _settlement = backing(nameof(settlement), double.NaN);
-            _volume = new CellProperty<ulong>(this, nameof(volume), 0);
+            _volume = new CellProperty<ulong>(this, nameof(volume), fmt_display_qty_ulong, 0);
             _inside_bids = new CellProperty<bool>(this, nameof(inside_bids));
             _inside_asks = new CellProperty<bool>(this, nameof(inside_asks));
             _working_bid_volume = new CellProperty<int>(this, nameof(working_bid_volume));
             _working_ask_volume = new CellProperty<int>(this, nameof(working_ask_volume));
             //
-            _bid_direct_size = backing(nameof(bid_direct_size), default(uint));
-            _bid_merged_size = backing(nameof(bid_merged_size), default(uint));
-            _ask_direct_size = backing(nameof(ask_direct_size), default(uint));
-            _ask_merged_size = backing(nameof(ask_merged_size), default(uint));
+            _bid_direct_size = backing(nameof(bid_direct_size), 0u, convert_display_qty_uint);
+            _bid_implied_size = backing(nameof(bid_implied_size), 0u, convert_display_qty_uint);
+            _bid_merged_size = backing(nameof(bid_merged_size), 0u, convert_display_qty_uint);
+            _ask_direct_size = backing(nameof(ask_direct_size), 0u, convert_display_qty_uint);
+            _ask_implied_size = backing(nameof(ask_implied_size), 0u, convert_display_qty_uint);
+            _ask_merged_size = backing(nameof(ask_merged_size), 0u, convert_display_qty_uint);
             //
             _working_orders = new ObservableFilterCollection<OrderRecordImmutable>(_orders, o => o.is_active());
             _working_bids = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Buy);
             _working_asks = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Sell);
             _working_best_bid = new CellProperty<double>(this, nameof(working_best_bid), format_price, double.NaN);
             _working_best_ask = new CellProperty<double>(this, nameof(working_best_ask), format_price, double.NaN);
-            _working_bids_text = new CellProperty<string>(this, nameof(working_bids_text), string.Empty);
-            _working_asks_text = new CellProperty<string>(this, nameof(working_asks_text), string.Empty);
             //
             default_command = new DelegateCommand(_show_ladder);
             bid_price_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.Bid));
@@ -90,17 +94,45 @@ namespace mbts.spark {
             _animation.AnimationsChanged += on_animations_changed;
             void on_animations_changed() => RaisePropertyChanged(nameof(animations));
             _dispose = Disposable.Create(
+               attach_prop_changed_cb(_bid_direct_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(bid_direct_size_text))),
+               attach_prop_changed_cb(_bid_implied_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(bid_implied_size_text))),
+               attach_prop_changed_cb(_bid_merged_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(bid_merged_size_text))),
+               attach_prop_changed_cb(_ask_direct_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(ask_direct_size_text))),
+               attach_prop_changed_cb(_ask_implied_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(ask_implied_size_text))),
+               attach_prop_changed_cb(_ask_merged_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(ask_merged_size_text))),
                _orders_model.on_security_root_orders(security.Id).OnDispatcher().Subscribe(_on_orders),
                _position.OnDispatcher().Subscribe(v => _animation.animate_position(v.newval > v.oldval)),
                _orders_model.on_security_positions(security.Id).OnDispatcher().Subscribe(t => {
-                  if (Set(ref _raw_day_position, t.state.Values.Sum(p => p.Item2.raw_day_pos()), nameof(raw_day_position)))
+                  if (Set(ref _raw_day_position, t.state.Values.Sum(p => p.Item2.raw_day_pos()), nameof(raw_day_position))) {
+                     RaisePropertyChanged(nameof(raw_day_position_text));
                      raise_invalidated();
+                  }
                }),
                _inside_bids.OnDispatcher().Subscribe(v => _animation.animate_working_bids_inside(v.newval)),
                _inside_asks.OnDispatcher().Subscribe(v => _animation.animate_working_asks_inside(v.newval)),
                _day_change.OnDispatcher().Subscribe(v => _animation.animate_day_change(v.newval > v.oldval)),
                Disposable.Create(() => _animation.AnimationsChanged -= on_animations_changed)
             );
+
+            uint convert_display_qty_uint(uint value) =>
+               value.safe_divide(_display_qty_divisor);
+
+            string fmt_display_qty_int(int value) =>
+               value.safe_divide(_display_qty_divisor).ToString();
+
+            string fmt_display_qty_uint(uint value) =>
+               value.safe_divide(_display_qty_divisor).ToString();
+
+            string fmt_display_qty_ulong(ulong value) =>
+               value.safe_divide(_display_qty_divisor).ToString();
+
+            PropertyChange<T> mk_echo_prop_changed_cb<T>(params string[] props) =>
+               (oldval, newval) => RaisePropertyChanged(props);
+
+            IDisposable attach_prop_changed_cb<TView, TModel>(PropertyAutoWrapper<TModel, TView> prop, PropertyChange<(TModel, TView)> callback) {
+               prop.changed += callback;
+               return Disposable.Create(() => prop.changed -= callback);
+            }
          }
 
          public event Action invalidated;
@@ -109,32 +141,63 @@ namespace mbts.spark {
          public bool inside_bids => _inside_bids.value;
          public bool inside_asks => _inside_asks.value;
          public int position => _position.value;
+         public string position_text => _position.text;
          public double raw_day_position => _raw_day_position;
+         public string raw_day_position_text => SparkUtils.fmt_position(_raw_day_position.safe_divide(_display_qty_divisor));
          public double last_price => _last_price.Value;
          public bool last_price_from_spread => _last_price_from_spread.Value;
          public uint last_size => _last_size.value;
+         public string last_size_text => _last_size.text;
+         // bid price/size
          public double bid_price => _bid_price.Value;
-         public uint bid_direct_size => _bid_direct_size.Value;
-         public uint bid_implied_size => _bid_merged_size.Value - _bid_direct_size.Value;
-         public uint bid_merged_size => _bid_merged_size.Value;
-         public string bid_merged_size_text => _bid_merged_size_text ?? (_bid_merged_size_text = _size_formatter(_bid_merged_size.Value, bid_implied_size));
+         public uint bid_direct_size => _bid_direct_size.model;
+         public uint bid_implied_size => _bid_merged_size.model - _bid_direct_size.model;
+         public uint bid_merged_size => _bid_merged_size.model;
+         // bid size text
+         public string bid_direct_size_text => _bid_direct_size.view.ToString();
+         public string bid_implied_size_text => _bid_implied_size.view.ToString();
+         public string bid_merged_size_text => _bid_merged_size.view.ToString();
+         // ask price/size
          public double ask_price => _ask_price.Value;
-         public uint ask_direct_size => _ask_direct_size.Value;
-         public uint ask_implied_size => _ask_merged_size.Value - _ask_direct_size.Value;
-         public uint ask_merged_size => _ask_merged_size.Value;
-         public string ask_merged_size_text => _ask_merged_size_text ?? (_ask_merged_size_text = _size_formatter(_ask_merged_size.Value, ask_implied_size));
+         public uint ask_direct_size => _ask_direct_size.model;
+         public uint ask_implied_size => _ask_implied_size.model;
+         public uint ask_merged_size => _ask_merged_size.model;
+         // ask size text
+         public string ask_direct_size_text => _ask_direct_size.view.ToString();
+         public string ask_implied_size_text => _ask_implied_size.view.ToString();
+         public string ask_merged_size_text => _ask_merged_size.view.ToString();
+         //
          public ulong volume => _volume.value;
+         public string volume_text => _volume.text;
          public double settlement => _settlement.Value;
          public double day_change => _day_change.Value;
          public double session_low => _session_low.Value;
          public double session_high => _session_high.Value;
          public int working_bid_volume => _working_bid_volume.value;
          public int working_ask_volume => _working_ask_volume.value;
-         public string working_bids_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_bid, _order_summarizer.best_working_bid_qty, _order_summarizer.working_bid_qty, security.ContractSpec);
-         public string working_asks_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_ask, _order_summarizer.best_working_ask_qty, _order_summarizer.working_ask_qty, security.ContractSpec);
+         public string working_bids_text => OrderUtils.order_collection_summary(
+            _order_summarizer.best_working_bid,
+            _order_summarizer.best_working_bid_qty.safe_divide(_display_qty_divisor),
+            _order_summarizer.working_bid_qty.safe_divide(_display_qty_divisor),
+            security.ContractSpec);
+         public string working_asks_text => OrderUtils.order_collection_summary(
+            _order_summarizer.best_working_ask,
+            _order_summarizer.best_working_ask_qty.safe_divide(_display_qty_divisor),
+            _order_summarizer.working_ask_qty.safe_divide(_display_qty_divisor),
+            security.ContractSpec);
          public double working_best_bid => _working_best_bid.value;
          public double working_best_ask => _working_best_ask.value;
+         // ice props
+         public string market_description => security.market_description();
+         public string cleared_alias => security.cleared_alias();
+         public string product_description => security.product_name();
+         public string hub_alias => security.hub_alias();
+         public string strip_name => security.strip_name();
+         public string mic_code => security.mic_code();
+         // animations
          public IList<ui.spark.CellAnimation> animations => _animation.get_animations().ToList();
+         public ObservableCollection<RowAnimation> row_animations { get; } = new ObservableCollection<RowAnimation>();
+         // commands
          public ICommand bid_price_click { get; }
          public ICommand bid_merged_size_click { get; }
          public ICommand bid_direct_size_click { get; }
@@ -146,27 +209,30 @@ namespace mbts.spark {
          public ICommand ask_implied_size_click { get; }
          public ICommand working_asks_click { get; }
          public ICommand default_command { get; }
-         public string market_description {get;}
-         public string cleared_alias { get; }
-         public string product_description { get; }
-         public string hub_alias { get; }
-         public string strip_name{ get; }
-         public string mic_code { get; }
-
-         public ObservableCollection<RowAnimation> row_animations { get; } = new ObservableCollection<RowAnimation>();
 
          public IReadOnlyList<DIYGrid.IGridCellStore> cell_stores => new DIYGrid.IGridCellStore[0];
          #endregion
 
+         uint _display_qty_divisor => _display_qty_divisor_backing ??
+            (_display_qty_divisor_backing = _orders_model.security_auxiliary_model.get_display_quantity_divisor(security)).Value;
+
          public void raise_invalidated() => invalidated?.Invoke();
 
          public void refresh() {
             bool dirty = false;
             if (md.md.get_bbo(ref _bbo_ref, out NativePriceSize b, out NativePriceSize a)) {
                _bid_price.set(b.price);
-               refresh_size(ref b, _bid_direct_size, _bid_merged_size, ref _bid_merged_size_text, nameof(bid_merged_size_text));
+               // don't use the '||' operator - every 'set_new' call must be made
+               // (the operation mustn't terminate the first time a set_new call returns true).
+               dirty |= (
+                  _bid_direct_size.set_new(b.direct_size) |
+                  _bid_implied_size.set_new(b.implied_size) |
+                  _bid_merged_size.set_new(b.size) |
+                  _ask_direct_size.set_new(a.direct_size) |
+                  _ask_implied_size.set_new(a.implied_size) |
+                  _ask_merged_size.set_new(a.size));
+
                _ask_price.set(a.price);
-               refresh_size(ref a, _ask_direct_size, _ask_merged_size, ref _ask_merged_size_text, nameof(ask_merged_size_text));
                _inside_bids.on_next_distinct(_bid_price.Value >= _working_best_bid.value, ref dirty);
                _inside_asks.on_next_distinct(_ask_price.Value <= _working_best_ask.value, ref dirty);
             }
@@ -183,16 +249,6 @@ namespace mbts.spark {
             _volume.on_next_distinct(md.md.total_volume, ref dirty);
             if (dirty)
                invalidated?.Invoke();
-
-            void refresh_size(ref NativePriceSize nps, Property<uint> direct, Property<uint> merged, ref string text, string text_prop) {
-               if (nps.size != merged.Value || nps.direct_size != direct.Value) {
-                  merged.set(nps.size);
-                  direct.set(nps.direct_size);
-                  text = null;
-                  dirty = true;
-                  RaisePropertyChanged(text_prop);
-               }
-            }
          }
 
          public bool Equals(Row other) =>

src/client/spark/Modules/Market/MarketView/MarketViewVM.cs

@@ -9,6 +9,7 @@ using mbts.ui.utility;
 using System;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
+using System.Linq;
 using System.Reactive.Linq;
 using System.Windows.Data;
 using System.Windows.Media;
@@ -18,6 +19,9 @@ using static mbts.ui.spark.MarketViewView;
 
 namespace mbts.spark {
    partial class MarketViewVM : SecurityMDGrid<MarketViewVM.Row, SecurityMD> {
+      static IReadOnlyList<Func<MarketViewVM, IDataGridColumnFilter<Row>>> _filter_getters =
+         ObjectSnapshot.property_delegates_of_type<MarketViewVM, IDataGridColumnFilter<Row>>();
+
       readonly IBus _bus;
       readonly OrdersModel _orders_model;
       IWindowSettingsManager<GridSettings> _settings_manager;
@@ -37,21 +41,21 @@ namespace mbts.spark {
          const double working_orders_col_width = 105;
          IMultiValueConverter price_converter = new ui.spark.converters.TickDisplayConverter();
          add_col(Columns.Security, "Security", r => r.security.ToString(), nameof(Row.security), DefaultColumnWidths.Security, security_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.Volume, "Volume", r => r.volume.ToString(), nameof(Row.volume), DefaultColumnWidths.Volume, volume_filter, DataGridFilterKnownTemplates.ULongMinMax);
+         add_col(Columns.Volume, "Volume", r => r.volume_text, nameof(Row.volume), DefaultColumnWidths.Volume, volume_filter, DataGridFilterKnownTemplates.ULongMinMax);
          add_col(Columns.LastSpd, "Spd", r => r.last_price_from_spread ? "S" : "", nameof(Row.last_price_from_spread), DefaultColumnWidths.Side, last_price_from_spread_filter, DataGridFilterKnownTemplates.Regex);
          add_col(Columns.Last, "Last", r => r.format_price(r.last_price), nameof(Row.last_price), DefaultColumnWidths.Price, last_price_filter, DataGridFilterKnownTemplates.DoubleMinMax);         
-         add_col(Columns.LastSize, merged_size_col_header, r => r.last_size.ToString(), nameof(Row.last_size), DefaultColumnWidths.Size, last_size_filter, DataGridFilterKnownTemplates.UIntMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.Position, "Pos", r => r.position.ToString(), nameof(Row.position), DefaultColumnWidths.Size, position_filter, DataGridFilterKnownTemplates.IntMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.RawDayPosition, "Raw Day Pos", r => SparkUtils.fmt_position(r.raw_day_position), nameof(Row.raw_day_position), DefaultColumnWidths.Size, raw_day_position_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.LastSize, merged_size_col_header, r => r.last_size_text, nameof(Row.last_size), DefaultColumnWidths.Size, last_size_filter, DataGridFilterKnownTemplates.UIntMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.Position, "Pos", r => r.position_text, nameof(Row.position), DefaultColumnWidths.Size, position_filter, DataGridFilterKnownTemplates.IntMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.RawDayPosition, "Raw Day Pos", r => r.raw_day_position_text, nameof(Row.raw_day_position), DefaultColumnWidths.Size, raw_day_position_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_working_orders_col(Columns.WorkingBids, working_col_header, nameof(Row.working_bids_text), nameof(Row.working_best_bid), nameof(Row.working_bids_click), working_bid_volume_filter, BTSColors.MarketData.bid, System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.BidImpliedSize, implied_size_col_header, r => r.bid_implied_size.ToString(), nameof(Row.bid_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.BidDirectSize, direct_size_col_header, r => r.bid_direct_size.ToString(), nameof(Row.bid_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.BidImpliedSize, implied_size_col_header, r => r.bid_implied_size_text, nameof(Row.bid_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.BidDirectSize, direct_size_col_header, r => r.bid_direct_size_text, nameof(Row.bid_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_merged_size_col(Columns.BidMergedSize, merged_size_col_header, nameof(Row.bid_merged_size), nameof(Row.bid_merged_size_text), nameof(Row.bid_merged_size_click), bid_merged_size_filter, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_price_col(Columns.Bid, "Bid", nameof(Row.bid_price), nameof(Row.bid_price_click), bid_price_filter, BTSColors.header_text, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_price_col(Columns.Ask, "Ask", nameof(Row.ask_price), nameof(Row.ask_price_click), ask_price_filter, BTSColors.header_text, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_merged_size_col(Columns.AskMergedSize, merged_size_col_header, nameof(Row.ask_merged_size), nameof(Row.ask_merged_size_text), nameof(Row.ask_merged_size_click), ask_merged_size_filter, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.AskDirectSize, direct_size_col_header, r => r.ask_direct_size.ToString(), nameof(Row.ask_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.AskImpliedSize, implied_size_col_header, r => r.ask_implied_size.ToString(), nameof(Row.ask_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.AskDirectSize, direct_size_col_header, r => r.ask_direct_size_text, nameof(Row.ask_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.AskImpliedSize, implied_size_col_header, r => r.ask_implied_size_text, nameof(Row.ask_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_working_orders_col(Columns.WorkingAsks, working_col_header, nameof(Row.working_asks_text), nameof(Row.working_best_ask), nameof(Row.working_asks_click), working_ask_volume_filter, BTSColors.MarketData.ask, System.Windows.HorizontalAlignment.Right);
          add_col(Columns.Settlement, "Settlement", r => r.format_price(r.settlement), nameof(Row.settlement), DefaultColumnWidths.Settlement, settlement_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_col(Columns.DayChange, "Change", r => r.format_price(r.day_change), nameof(Row.day_change), DefaultColumnWidths.Price, day_change_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
@@ -151,14 +155,16 @@ namespace mbts.spark {
                      working_ask_volume_filter.load_state(filters.working_ask_volume);
                      volume_filter.load_state(filters.volume);
                      security_key_filter.load_state(filters.security_key);
+                     market_description_filter.load_state(filters.market_description);
+                     cleared_alias_filter.load_state(filters.cleared_alias);
+                     product_description_filter.load_state(filters.product_description);
+                     hub_alias_filter.load_state(filters.hub_alias);
+                     strip_name_filter.load_state(filters.strip_name);
+                     mic_code_filter.load_state(filters.mic_code);
                   }
                   rows_view.set_sort_descriptions(s.sorting_criterion, columns);
                }
-            }), DataGridFilterHelper.hook_filters(rows_view, security_filter,
-            bid_price_filter, bid_merged_size_filter, bid_direct_size_filter, bid_implied_size_filter,
-            ask_price_filter, ask_merged_size_filter, ask_direct_size_filter, ask_implied_size_filter,
-            last_price_filter, last_price_from_spread_filter, last_size_filter, day_change_filter, settlement_filter,
-            session_low_filter, session_high_filter, position_filter, raw_day_position_filter, working_bid_volume_filter, working_ask_volume_filter, volume_filter, security_key_filter),
+            }), DataGridFilterHelper.hook_filters(rows_view, _filters),
             settings_manager.subscribe_current().OnDispatcher().Subscribe(grid_settings_manager),
             WorkLoop.Start("MarketView", _refresh)
          );
@@ -233,13 +239,15 @@ namespace mbts.spark {
       public IDataGridColumnPersistentFilter<Row, ULongMinMaxState> volume_filter { get; } = new ULongMinMax<Row>(r => r.volume, nameof(Row.volume));
       public IDataGridColumnPersistentFilter<Row, string> security_key_filter { get; } = new RegexFilterVM<Row>(r => r.security_key.ToString(), nameof(Row.security_key));
       
-      public IDataGridColumnPersistentFilter<Row, string> market_description_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.MarketDescription : "", nameof(Row.market_description));
-      public IDataGridColumnPersistentFilter<Row, string> cleared_alias_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.ClearedAlias : "", nameof(Row.cleared_alias));
-      public IDataGridColumnPersistentFilter<Row, string> product_description_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.ProductName : "", nameof(Row.product_description));
-      public IDataGridColumnPersistentFilter<Row, string> hub_alias_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.HubAlias : "", nameof(Row.hub_alias));
-      public IDataGridColumnPersistentFilter<Row, string> strip_name_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.StripName : "", nameof(Row.strip_name));
-      public IDataGridColumnPersistentFilter<Row, string> mic_code_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.MicCode : "", nameof(Row.mic_code));
-      
+      public IDataGridColumnPersistentFilter<Row, string> market_description_filter { get; } = new RegexFilterVM<Row>(r => r.market_description, nameof(Row.market_description));
+      public IDataGridColumnPersistentFilter<Row, string> cleared_alias_filter { get; } = new RegexFilterVM<Row>(r => r.cleared_alias, nameof(Row.cleared_alias));
+      public IDataGridColumnPersistentFilter<Row, string> product_description_filter { get; } = new RegexFilterVM<Row>(r => r.product_description, nameof(Row.product_description));
+      public IDataGridColumnPersistentFilter<Row, string> hub_alias_filter { get; } = new RegexFilterVM<Row>(r => r.hub_alias, nameof(Row.hub_alias));
+      public IDataGridColumnPersistentFilter<Row, string> strip_name_filter { get; } = new RegexFilterVM<Row>(r => r.strip_name, nameof(Row.strip_name));
+      public IDataGridColumnPersistentFilter<Row, string> mic_code_filter { get; } = new RegexFilterVM<Row>(r => r.mic_code, nameof(Row.mic_code));
+
+      IEnumerable<IDataGridColumnFilter<Row>> _filters =>
+         _filter_getters.Select(fn => fn(this));
 
       public FilterStates get_filter_states() {
          return new FilterStates {

src/client/spark/Modules/Market/TimeAndSales/TimeAndSalesRowVM.cs

@@ -22,12 +22,15 @@ namespace bts.shell.time_and_sales {
          .to_safe();
 
       readonly TradeMessageImmutable _trade;
+      readonly Func<SecurityImmutable?, uint> _get_display_qty_divisor;
+      uint? _display_size;
 
-      public TimeAndSalesRowVM(int row_key, SecurityImmutable security, TradeMessageImmutable trade) {
+      public TimeAndSalesRowVM(int row_key, SecurityImmutable security, TradeMessageImmutable trade, Func<SecurityImmutable?, uint> get_display_qty_divisor) {
          this.row_key = row_key;
          this.security = security;
          _trade = trade;
          trade_key = trade.Key;
+         _get_display_qty_divisor = get_display_qty_divisor ?? new Func<SecurityImmutable?, uint>(sec => 1);
       }
 
       public event Action invalidated;
@@ -39,6 +42,8 @@ namespace bts.shell.time_and_sales {
       public DateTime time => ((ulong)_trade.Time).lldatetime().ToLocalTime();
       public double price => _trade.price();
       public uint size => _trade.Size;
+      public uint display_size => _display_size ??
+         (_display_size = size.safe_divide(_get_display_qty_divisor(security))).Value;
       public AggressorSide aggressor_side => _trade.AggressorSide;
 
       public void raise_invalidated() =>

src/client/spark/Modules/Market/TimeAndSales/TimeAndSalesVM.cs

@@ -40,6 +40,7 @@ namespace bts.shell.time_and_sales {
          _refresh_filter,
          _refresh_sort,
          _refresh_selected_rows;
+      readonly Func<SecurityImmutable?, uint> _get_display_qty_divisor;
       IComparer<TimeAndSalesRowVM> _comparer_backing;
       Func<TimeAndSalesRowVM, bool> _filter_backing;
       ImmutableHashSet<TimeAndSalesRowVM> _selected_rows = ImmutableHashSet<TimeAndSalesRowVM>.Empty;
@@ -58,8 +59,9 @@ namespace bts.shell.time_and_sales {
          _filter_change_count,
          _sort_change_count;
 
-      public TimeAndSalesVM(IWindowSettingsManager<GridSettings> settings_manager) {
+      public TimeAndSalesVM(IWindowSettingsManager<GridSettings> settings_manager, Func<SecurityImmutable?, uint> get_display_qty_divisor) {
          _sort_manager = new ColumnSortManager(columns.WrapSelector(c => c as ISortableDIYGridColumn, null), TimeAndSalesView.Columns.RowKey.ToString());
+         _get_display_qty_divisor = get_display_qty_divisor ?? new Func<SecurityImmutable?, uint>(sec => 1);
          _comparer_backing = _sort_manager.BuildComparer(_get_column_comparer);
          _log = new LoggerContext(Log.Ui, $"Time And Sales VM ({Interlocked.Increment(ref _id_counter)})", null);
          _settings_manager = settings_manager;
@@ -95,7 +97,7 @@ namespace bts.shell.time_and_sales {
             System.Windows.HorizontalAlignment.Right);
          add_column(
             TimeAndSalesView.Columns.Size,
-            r => r.size.ToString(),
+            r => r.display_size.ToString(),
             DefaultColumnHeaders.Size,
             DefaultColumnWidths.Size,
             size_filter,
@@ -304,7 +306,7 @@ namespace bts.shell.time_and_sales {
          }
          var all_rows_bd = _all_rows.ToBuilder();
          foreach (var t in trades) {
-            var r = _row_factory.create(t.security, t.trade);
+            var r = _row_factory.create(t.security, t.trade, _get_display_qty_divisor);
             all_rows_bd.Add(r);
             if (_filter_backing == null || _filter_backing(r))
                rows.InsertSorted(r, _comparer);
@@ -400,11 +402,11 @@ namespace bts.shell.time_and_sales {
          // the row key must be unique to each row in the collection
          int _row_id_counter;
 
-         public TimeAndSalesRowVM create(TradeInfo trade_info) =>
-            new TimeAndSalesRowVM(_row_id_counter++, trade_info.security, trade_info.trade);
+         public TimeAndSalesRowVM create(TradeInfo trade_info, Func<SecurityImmutable?, uint> get_display_qty_divisor) =>
+            new TimeAndSalesRowVM(_row_id_counter++, trade_info.security, trade_info.trade, get_display_qty_divisor);
 
-         public TimeAndSalesRowVM create(SecurityImmutable security, TradeMessageImmutable trade) =>
-            new TimeAndSalesRowVM(_row_id_counter++, security, trade);
+         public TimeAndSalesRowVM create(SecurityImmutable security, TradeMessageImmutable trade, Func<SecurityImmutable?, uint> get_display_qty_divisor) =>
+            new TimeAndSalesRowVM(_row_id_counter++, security, trade, get_display_qty_divisor);
       }
    }
 }

src/client/spark/Modules/Market/TimeAndSales/TimeAndSalesWindow.cs

@@ -26,6 +26,7 @@ namespace bts.shell.time_and_sales {
       readonly TimeAndSalesWindowFactory _factory;
       readonly IWindowSettingsManager<GridSettings> _settings_manager;
       readonly bool _can_pause_updates;
+      readonly Func<SecurityImmutable?, uint> _get_display_qty_divisor;
       TimeAndSalesVM _vm;
       TimeAndSalesModel _model;
       SecurityCriteria _security_criteria_backing;
@@ -35,12 +36,21 @@ namespace bts.shell.time_and_sales {
       SparkMenuDisplayVM _menu_display_vm;
       IDisposable _subscriptions;
 
-      public TimeAndSalesWindow(TimeAndSalesWindowFactory factory, IBus bus, MDConsumer consumer, TimeAndSalesSettings state, ImageSource icon, IWindowSettingsManager<GridSettings> settings_manager, bool can_pause_updates)
+      public TimeAndSalesWindow(
+         TimeAndSalesWindowFactory factory,
+         IBus bus,
+         MDConsumer consumer,
+         TimeAndSalesSettings state,
+         ImageSource icon,
+         IWindowSettingsManager<GridSettings> settings_manager,
+         bool can_pause_updates,
+         Func<SecurityImmutable?, uint> get_display_qty_divisor)
          : base("Time And Sales", bus, factory, SparkCommands.ShowTimeAndSales.icon) {
          Log.assert(state != null);
          _consumer = consumer;
          _factory = factory;
          _state = state ?? TimeAndSalesSettings.Default(new SecurityCriteria());
+         _get_display_qty_divisor = get_display_qty_divisor ?? new Func<SecurityImmutable?, uint>(sec => 1);
          if (_state.security_criteria == null)
             _state = _state.with(new SecurityCriteria());
          _security_criteria_backing = _state.security_criteria;
@@ -86,7 +96,7 @@ namespace bts.shell.time_and_sales {
             _settings_manager.instance_settings = _state.grid;
          _menu_display_vm = new SparkMenuDisplayVM();
          _menu_display_vm.load_from(_state.menu_display);
-         _vm = new TimeAndSalesVM(_settings_manager);
+         _vm = new TimeAndSalesVM(_settings_manager, _get_display_qty_divisor);
          var selected_rows_src = Observable.Create<ImmutableHashSet<TimeAndSalesRowVM>>(o => {
             _vm.selected_rows_changed += o.OnNext;
             return Disposable.Create(() => _vm.selected_rows_changed -= o.OnNext);

src/client/spark/Modules/Market/TimeAndSalesWindowFactory.cs

@@ -20,12 +20,15 @@ namespace bts.shell {
       readonly MDConsumer _consumer;
       readonly UserSettingsHub _settings_hub;
       readonly TimeAndSalesConfig _time_and_sales_conf;
+      readonly ISecurityAuxiliaryDataModel _security_auxiliary_model;
       IReadOnlyDictionary<uint, SecurityMD> _securities = new Dictionary<uint, SecurityMD>();
 
-      public TimeAndSalesWindowFactory(IShellModule module, IBus bus, MDConsumer consumer, UserSettingsHub settings_hub) : base(module, "TimeAndSales") {
+      public TimeAndSalesWindowFactory(IShellModule module, IBus bus, MDConsumer consumer, UserSettingsHub settings_hub, ISecurityAuxiliaryDataModel security_auxiliary_model)
+         : base(module, "TimeAndSales") {
          _bus = bus;
          _consumer = consumer;
          _settings_hub = settings_hub;
+         _security_auxiliary_model = security_auxiliary_model;
          _time_and_sales_conf = new TimeAndSalesConfig(Configuration.get<bts.config.TimeAndSalesOptions>());
          _dispose = Disposable.Create(
             bus.subscribe(SparkTags.SecuritiesTag).Subscribe(s => _securities = s),
@@ -38,7 +41,8 @@ namespace bts.shell {
       public override Task<IShellWindow> load(TimeAndSalesSettings state) =>
          Task.FromResult<IShellWindow>(new TimeAndSalesWindow(this, _bus, _consumer, state, SparkCommands.PickTimeAndSales.icon,
             new WindowSettingsManager<GridSettings>(_settings_hub, state.grid, s => s.time_and_sales_grid, (s, g) => s.with(time_and_sales:g)),
-            _time_and_sales_conf.can_pause_updates));
+            _time_and_sales_conf.can_pause_updates,
+            _security_auxiliary_model.get_display_quantity_divisor));
 
       public async void show(SecurityCriteria criteria) {
          var w = await load(new TimeAndSalesSettings(criteria));

src/client/spark/Modules/Trading/AlgoStudio/VM/AlgoDefinitionVM.cs

@@ -236,12 +236,20 @@ namespace mbts.spark {
          get => algo_root;
          set => algo_root = value;
       }
+      IAlgoVM IAlgoParamVM<IAlgoVM>.display_value {
+         get => algo_root;
+         set => algo_root = value;
+      }
       bool IAlgoParamVM.has_value => _algo_root != null;
       bool IAlgoParamVM.is_enabled { get; set; } = true;
       object IAlgoParamVM.value {
          get => algo_root;
          set => algo_root = (IAlgoVM)value;
       }
+      object IAlgoParamVM.display_value {
+         get => algo_root;
+         set => algo_root = (IAlgoVM)value;
+      }
       AlgoParamPermissions _permissions = AlgoParamPermissions.ReadWrite;
       AlgoParamPermissions IAlgoParamVM.permissions { get => _permissions; set => _permissions = value; }
 

src/client/spark/Modules/Trading/AlgoStudio/View/AlgoEditorGridView/AlgoEditorGridView.xaml

@@ -199,18 +199,30 @@
                 Grid.Column="1"
                 HorizontalAlignment="Center"
                 Foreground="{u:BTSColor MarketData.bid}"
-                Text="{Binding DataContext.bbo.bid_size, RelativeSource={RelativeSource AncestorType=usp:AlgoEditorGridView}}"
                 ToolTip="Best Bid Size"
-              />
+              >
+                <TextBlock.Text>
+                  <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}">
+                    <Binding Path="DataContext.bbo.bid_size" RelativeSource="{RelativeSource AncestorType=usp:AlgoEditorGridView}" Mode="OneWay"/>
+                    <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=usp:AlgoEditorGridView}" Mode="OneWay"/>
+                  </MultiBinding> 
+                </TextBlock.Text>
+              </TextBlock>
               <TextBlock
                 x:Name="ask_text"
                 Grid.Column="2"
                 HorizontalAlignment="Center"
                 Margin="4,0"
                 Foreground="{u:BTSColor MarketData.ask}"
-                Text="{Binding DataContext.bbo.ask_size, RelativeSource={RelativeSource AncestorType=usp:AlgoEditorGridView}}"
                 ToolTip="Best Ask Size"
-              />
+              >
+                <TextBlock.Text>
+                  <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}">
+                    <Binding Path="DataContext.bbo.ask_size" RelativeSource="{RelativeSource AncestorType=usp:AlgoEditorGridView}" Mode="OneWay"/>
+                    <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=usp:AlgoEditorGridView}" Mode="OneWay"/>
+                  </MultiBinding> 
+                </TextBlock.Text>
+              </TextBlock>
             </Grid>
             <DataTemplate.Triggers>
               <DataTrigger Binding="{Binding path_disambiguation}" Value="{x:Static sys:String.Empty}">
@@ -272,6 +284,14 @@
               </Grid>
             </DataTemplate>
           </u:TemplateSelectorKeyValue>
+          <!--TODO: replace all the param.value bindings with param.display_value.
+              The reason this has not already been done is that the display_value property is new,
+              and only necessary for the size param as of 6/8/2020 (slightly more uniform code doesn't warrant rocking the boat).-->
+          <u:TemplateSelectorKeyValue Key="{x:Static usp:AlgoParamTemplateKeys.Size}">
+            <DataTemplate>
+              <TextBlock Text="{Binding param.display_value}"/>
+            </DataTemplate>
+          </u:TemplateSelectorKeyValue>
         </usp:AlgoParamTemplateSelector.KeyedTemplates>
         <!--Bool-->
         <usp:AlgoParamTemplateSelector.BoolTemplate>
@@ -360,6 +380,22 @@
               />
             </DataTemplate>
           </u:TemplateSelectorKeyValue>
+          <!--TODO: replace all the param.value bindings with param.display_value.
+              The reason this has not already been done is that the display_value property is new,
+              and only necessary for the size param as of 6/8/2020 (slightly more uniform code doesn't warrant rocking the boat).-->
+          <u:TemplateSelectorKeyValue Key="{x:Static usp:AlgoParamTemplateKeys.Size}">
+            <DataTemplate>
+              <c:TickUpDownNullableInt Focusable="False" HorizontalAlignment="Stretch" Value="{Binding param.display_value, UpdateSourceTrigger=PropertyChanged}" ArrowKeyTickModifiers="Ctrl">
+                <c:TickUpDownNullableInt.CommandBindings>
+                  <CommandBinding Command="{x:Static u:NavigationHelper.MoveFocusCommand}" Executed="{x:Static u:NavigationHelper.KeyboardMoveFocusExecuted}"/>
+                </c:TickUpDownNullableInt.CommandBindings>
+                <c:TickUpDownNullableInt.InputBindings>
+                  <KeyBinding Key="Up" Command="{x:Static u:NavigationHelper.MoveFocusCommand}" CommandParameter="{x:Static FocusNavigationDirection.Up}"/>
+                  <KeyBinding Key="Down" Command="{x:Static u:NavigationHelper.MoveFocusCommand}" CommandParameter="{x:Static FocusNavigationDirection.Down}"/>
+                </c:TickUpDownNullableInt.InputBindings>
+              </c:TickUpDownNullableInt>
+            </DataTemplate>
+          </u:TemplateSelectorKeyValue>
         </usp:AlgoParamTemplateSelector.KeyedTemplates>
         <!--Bool-->
         <usp:AlgoParamTemplateSelector.BoolTemplate>

src/client/spark/Modules/Trading/Fills/FillsVM.cs

@@ -122,7 +122,7 @@ namespace mbts.spark {
          add_col(Columns.Account, DefaultColumnHeaders.Account, r => r.account, dv_filter_rx(_model.factory.subscribe_accounts().Select(d => d.Values.Ordered()), r => r.account), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.Account);
          add_col(Columns.Exchange, DefaultColumnHeaders.Exchange, r => r.exchange.ToString(), dv_filter(EnumHelper.get_values<Venue>().ToArray(), r => r.security.exchange_or_default()), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.Exchange);
          add_col(Columns.TimeInForce, DefaultColumnHeaders.TimeInForce, r => r.time_in_force.ToString(), dv_filter(EnumHelper.get_values<TimeInForce>().ToArray(), r => r.order?.time_in_force() ?? TimeInForce.Undefined), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.TimeInForce);
-         add_col(Columns.Size, DefaultColumnHeaders.Size, r => r.size.ToString(), new DoubleMinMax<FillTuple>(r => r.fill.LastShares), DataGridFilterKnownTemplates.UIntMinMax, DefaultColumnWidths.Size);
+         add_col(Columns.Size, DefaultColumnHeaders.Size, r => r.display_size.ToString(), new DoubleMinMax<FillTuple>(r => r.fill.LastShares), DataGridFilterKnownTemplates.UIntMinMax, DefaultColumnWidths.Size);
          add_col(Columns.Price, DefaultColumnHeaders.Price, r => r.format_price(r.price), new DoubleMinMax<FillTuple>(r => r.fill.LastPrice), DataGridFilterKnownTemplates.DoubleMinMax, DefaultColumnWidths.Price);
          add_col(Columns.FillKind, DefaultColumnHeaders.FillKind, r => r.fill_kind.ToString(), dv_filter(EnumHelper.get_values<FillKind>().ToArray(), r => r.fill.FillKind), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.FillKind);
          add_col(Columns.FillStatus, DefaultColumnHeaders.FillStatus, r => r.fill_status.ToString(), dv_filter(EnumHelper.get_values<FillStatus>().ToArray(), r => r.fill.FillStatus), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.FillKind);
@@ -286,6 +286,7 @@ namespace mbts.spark {
          Color? _root_algo_badge_color;
          OrderMetadata _order_metadata;
          bool _is_selected;
+         double? _display_size;
 
          public Row(FillTuple fill_tuple, OrdersModel model) : 
             base(fill_tuple.security ?? SecurityDataHelper.Defaults.SecurityImmutable) {
@@ -306,6 +307,8 @@ namespace mbts.spark {
          public Side side => _fill.Side;
          public double price => _fill.LastPrice;
          public double size => _fill.LastShares;
+         public double display_size => _display_size ??
+            (_display_size = size.safe_divide(_model.security_auxiliary_model.get_display_quantity_divisor(security))).Value;
          public FillKind fill_kind => _fill.FillKind;
          public FillStatus fill_status => _fill.FillStatus;
          public string fill_key => _fill.FillKey;

src/client/spark/Modules/Trading/Ladder/VM/LadderOrderVM.cs

@@ -4,6 +4,7 @@ using bts.shell.orderbook;
 using mbts.persist;
 using mbts.ui;
 using mbts.ui.shell;
+using mbts.ui.spark;
 using System;
 using System.Collections;
 using System.Collections.Generic;
@@ -169,7 +170,8 @@ namespace mbts.spark {
       }
 
       private void _set_badge_text() {
-         text_lines = BadgeRender.format(side, quantity, filled, _current_badge_style);
+         var fmt = MDDisplayHelper.get_value_formatter(_owner.display_quantity_divisor);
+         text_lines = BadgeRender.format(side, quantity, filled, _current_badge_style, fmt);
          RaisePropertyChanged(nameof(text_lines));
       }
 

src/client/spark/Modules/Trading/Ladder/VM/LadderVM.cs

@@ -1,6 +1,5 @@
 using bts.api;
 using bts.api.orderman;
-using bts.collections;
 using bts.shell;
 using bts.spark;
 using bts.utils;
@@ -8,6 +7,7 @@ using mbts.co2;
 using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.shell;
+using mbts.ui.spark;
 using mbts.utils;
 using System;
 using System.Collections.Generic;
@@ -66,6 +66,8 @@ namespace mbts.spark {
          current_settings = init;
          this.settings = settings;
          _equality = TickUtils.tick_equality_comparer(_model.security.ContractSpec);
+         display_quantity_divisor = model.order_gateway.security_auxiliary_model.get_display_quantity_divisor(model.security);
+         size_calculator.display_divisor = display_quantity_divisor;
          _slot_price_vs_orders = new Dictionary<double, LadderOrderVM>(_equality);
          this.order_properties_vm = order_properties_vm;
          _high = backing(nameof(high), double.NaN);
@@ -292,6 +294,7 @@ namespace mbts.spark {
          remove => _on_disposed_impl -= value;
       }
       public SecurityImmutable security => _model.security;
+      public uint display_quantity_divisor { get; }
       public LadderSettings current_settings { get; private set; }
       public double high => _high.Value;
       public double low => _low.Value;
@@ -369,14 +372,14 @@ namespace mbts.spark {
          get {
             string rv = null;
             if (show_day_position)
-               rv = SparkUtils.fmt_position(day_position);
+               rv = SparkUtils.fmt_position(day_position / display_quantity_divisor);
             if (show_raw_day_position) {
-               var raw_day_text = SparkUtils.fmt_position(raw_day_position);
+               var raw_day_text = SparkUtils.fmt_position(raw_day_position / display_quantity_divisor);
                rv = rv == null ? raw_day_text : $"{rv} / {raw_day_text}";
             }
             if (show_account_position) {
-               var acc_text = SparkUtils.fmt_position(position);
-               rv = rv == null ? SparkUtils.fmt_position(position) : $"{rv} ({acc_text})";
+               var acc_text = SparkUtils.fmt_position(position / display_quantity_divisor);
+               rv = rv == null ? acc_text : $"{rv} ({acc_text})";
             }
             return rv ?? "";
          }

src/client/spark/Modules/Trading/Ladder/VM/LadderVMContainer.cs

@@ -46,12 +46,12 @@ namespace mbts.spark {
       void _reset_ladder_vm() {
          if (_value == null && !_security_md.HasValue)
             return;
-         Disposable.replace(ref _value,
-            _security_md.HasValue ?
-               LadderVM.create_readonly(_bus,
-                  new LadderModel(security_md.Value, _model, _model.mbo_service,
-                  new Func<OrderSecurity, bool>(osec => _selected_order_tree.Contains(osec.order.Key))),
-                  Observable.Return(LadderSettings.sanitize(LadderSettings.Default))) : null);
+         _value?.Dispose();
+         _value = _security_md.HasValue ?
+            LadderVM.create_readonly(_bus,
+               new LadderModel(security_md.Value, _model, _model.mbo_service,
+               new Func<OrderSecurity, bool>(osec => _selected_order_tree.Contains(osec.order.Key))),
+               Observable.Return(LadderSettings.sanitize(LadderSettings.Default))) : null;
          RaisePropertyChanged(nameof(value));
       }
    }

src/client/spark/Modules/Trading/Ladder/View/LadderGridHost.cs

@@ -66,7 +66,8 @@ namespace mbts.spark {
       double _last_origin_price;
       MarketBreakLines _mkt_break_lines;
       NativePriceSize _last_trade;
-      Func<NativePriceSize, string> _fmt_size = MDDisplayHelper.get_formatter_nps(MarketSizeDisplay.get_default());
+      Func<NativePriceSize, string> _fmt_mkt_depth_item_impl = MDDisplayHelper.get_formatter_nps(MarketSizeDisplay.get_default());
+      Func<uint, string> _fmt_mkt_quantity_impl = v => v.ToString();
       int _old_tooltip_row = int.MaxValue;
       NativePriceSize? _old_last_trade;
       string _direction_arrow = string.Empty;
@@ -468,7 +469,7 @@ namespace mbts.spark {
             security_id: _vm.model.security.Id,
             price_level: price_for_point(point)
          );
-         var model = new MBOPopupModel(_vm.model.mbo_service, _vm.model.security, query);
+         var model = new MBOPopupModel(_vm.model.mbo_service, _vm.model.security, query, fmt_mbo_qty);
          // Load the first set of orders so we know if there are any before showing the popup
          var result = await model.load_orders();
          if (result.success && result.value.orders.Count > 0) {
@@ -489,6 +490,8 @@ namespace mbts.spark {
             };
             view.RequestClose += (o, _) => popup.IsOpen = false;
          }
+         string fmt_mbo_qty(int value) =>
+            value < 0 ? $"-{_fmt_mkt_quantity((uint)value)}" : _fmt_mkt_quantity((uint)value);
       }
 
       protected override void OnMouseDoubleClick(MouseButtonEventArgs e) {
@@ -656,7 +659,7 @@ namespace mbts.spark {
             }
             void render_market_col(NativePriceSize[] depth) {
                var mid = LadderRender.index_of(_price_list, _last_origin_price, _price_comparer);
-               LadderRender.render_sizes(column.visual_tup.visual, column.visual_tup.glyph_context, mid, _price_list, depth, _settings.row_height, security.ContractSpec, column.settings, _fmt_size);
+               LadderRender.render_sizes(column.visual_tup.visual, column.visual_tup.glyph_context, mid, _price_list, depth, _settings.row_height, security.ContractSpec, column.settings, _fmt_mkt_depth_item);
             }
          }
          _apply_column_visual_offset();
@@ -734,7 +737,7 @@ namespace mbts.spark {
                   _hide_tool_tip();
                }
 
-               tooltip_view.Content = $"{volume}";
+               tooltip_view.Content = _fmt_mkt_quantity(volume);
                tooltip_view.IsOpen = true;
                this.ToolTip = tooltip_view;
             } else {
@@ -850,7 +853,7 @@ namespace mbts.spark {
                if (last_trade_changed) {
                   var last_index = LadderRender.index_of(_price_list, _last_trade.price, _price_comparer);
                   if (last_index > 0)
-                     LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column);
+                     LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column, _fmt_mkt_quantity);
                }
                if (depth_changed)
                   _refresh_sizes();
@@ -892,21 +895,21 @@ namespace mbts.spark {
       void _refresh_last_trade() {
          var last_index = LadderRender.index_of(_price_list, _last_trade.price, _price_comparer);
          if (last_index > 0)
-            LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column);
+            LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column, _fmt_mkt_quantity);
       }
 
       void _refresh_piq() {
          if (!_settings.piq_column.show)
             return;
          int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
-         LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, origin_index, _price_list, _vm.price_vs_piq, _settings.row_height, security.ContractSpec, _settings.piq_column);
+         LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, origin_index, _price_list, _vm.price_vs_piq, _settings.row_height, security.ContractSpec, _settings.piq_column, _fmt_mkt_quantity);
       }
 
       void _refresh_sizes() {
          Log.assert_d(_price_list != null);
          int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
-         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, _bids, _settings.row_height, security.ContractSpec, _settings.bid_column, _fmt_size);
-         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, _asks, _settings.row_height, security.ContractSpec, _settings.ask_column, _fmt_size);
+         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, _bids, _settings.row_height, security.ContractSpec, _settings.bid_column, _fmt_mkt_depth_item);
+         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, _asks, _settings.row_height, security.ContractSpec, _settings.ask_column, _fmt_mkt_depth_item);
       }
 
       /// <summary>
@@ -928,7 +931,17 @@ namespace mbts.spark {
          if (vapls != null) {
             Log.assert_d(_price_list != null);
             var last_index = LadderRender.index_of(_price_list, _last_trade.price, _price_comparer);
-            LadderRender.render_volumes(_volume_vis_tup.visual, _volume_vis_tup.glyph_context, _price_list, vapls, _settings.row_height, security.ContractSpec, _settings.volume_column, last_index, _get_last_arrow_string());
+            LadderRender.render_volumes(
+               _volume_vis_tup.visual,
+               _volume_vis_tup.glyph_context,
+               _price_list,
+               vapls,
+               _settings.row_height,
+               security.ContractSpec,
+               _settings.volume_column,
+               last_index,
+               _get_last_arrow_string(),
+               _fmt_mkt_quantity);
             _old_last_trade = _last_trade;
          }
 
@@ -951,7 +964,7 @@ namespace mbts.spark {
             } 
             // regardless of if we've arrived here via a new Last (and new direction arrow)
             // or we're reusing the old one, this format bit is the same
-            return $"{_direction_arrow} {_last_trade.size} ";
+            return $"{_direction_arrow} {_fmt_mkt_quantity(_last_trade.size)} ";
          }
       }
 
@@ -1109,7 +1122,9 @@ namespace mbts.spark {
          GlyphContext glyph_context(LadderColumnSettings cs) =>
             GlyphContext.create(cs.font_family, cs.font_weight);
 
-         _fmt_size = MDDisplayHelper.get_formatter_nps(_settings.size_display);
+         var mkt_qty_display_divisor = _vm?.display_quantity_divisor ?? 1;
+         _fmt_mkt_depth_item_impl = MDDisplayHelper.get_formatter_nps(_settings.size_display, mkt_qty_display_divisor);
+         _fmt_mkt_quantity_impl = MDDisplayHelper.get_value_formatter(mkt_qty_display_divisor);
          _set_columns();
          _apply_column_visual_offset();
          if (prev_row_height != _settings.row_height)
@@ -1158,6 +1173,22 @@ namespace mbts.spark {
          }
          visible_columns_changed?.Invoke();
       }
+
+      // This is designed to be a redundant null check for _fmt_mkt_depth_item_impl.
+      string _fmt_mkt_depth_item(NativePriceSize value) {
+         // Assign the impl delegate to a local variable, just in case it is reassigned on another thread.
+         // This shouldn't happen, but better to avoid the potential null ref just in case it does. Expect the unexpected.
+         var impl = _fmt_mkt_depth_item_impl;
+         return impl is null ? MDDisplayHelper.get_formatter_nps(MarketSizeDisplay.get_default())?.ToString() ?? "Error" : impl(value);
+      }
+
+      // This is designed to be a redundant null check for _fmt_mkt_quantity_impl.
+      string _fmt_mkt_quantity(uint value) {
+         // Assign the impl delegate to a local variable, just in case it is reassigned on another thread.
+         // This shouldn't happen, but better to avoid the potential null ref just in case it does. Expect the unexpected.
+         var impl = _fmt_mkt_quantity_impl;
+         return impl is null ? value.ToString() : impl(value);
+      }
  
       void _init_tactile_adorner() {
          Disposable.dispose(ref _tactile_adorner);

src/client/spark/Modules/Trading/Ladder/View/LadderRender.cs

@@ -12,20 +12,24 @@ using System.Linq;
 using System.Threading.Tasks;
 using System.Windows;
 using System.Windows.Media;
+using bts.utils;
 
 namespace mbts.spark {
    static class BadgeRender {
       // IMPORTANT: the return values for this method MUST BE IN SYNC with the "format" method, else "measure_height" and "LadderRender.measure_row_height" will be broken.
       static int _line_count_for_style(LadderSettings.BadgeStyle badge_style) => badge_style == LadderSettings.BadgeStyle.Alternate ? 2 : 1;
       // IMPORTANT: at the risk of being redundant, see above comment.
-      public static IReadOnlyList<string> format(Side side, uint quantity, uint filled, LadderSettings.BadgeStyle style) {
+      public static IReadOnlyList<string> format(Side side, uint quantity, uint filled, LadderSettings.BadgeStyle style, Func<uint, string> fmt_value = null) {
+         if (fmt_value is null)
+            fmt_value = FormattingDelegates.default_string<uint>();
          switch (style) {
             case LadderSettings.BadgeStyle.Alternate:
+               var working_qty = quantity > filled ? quantity - filled : 0;
                return new[] {
-                  $"{side.abbreviate()}:{filled}",
-                  $"W:{quantity - filled}"
+                  $"{side.abbreviate()}:{fmt_value(filled)}",
+                  $"W:{fmt_value(working_qty)}"
                };
-            default: return new[] { $"{filled}/{quantity}" };
+            default: return new[] { $"{fmt_value(filled)}/{fmt_value(quantity)}" };
          }
       }
 
@@ -193,16 +197,17 @@ namespace mbts.spark {
       }
 
       public static void render_volumes(
-        DrawingVisual dv,
-        GlyphContext glyph_context,
-        double[] prices,
-        IEnumerable<VolumeAtPriceLevelImmutable> data,
-        double row_height,
-        ContractSpecificationImmutable spec,
-        VolumeColumnSettings settings,
-        int last_index,
-        string last_size_and_direction
-        ) {
+         DrawingVisual dv,
+         GlyphContext glyph_context,
+         double[] prices,
+         IEnumerable<VolumeAtPriceLevelImmutable> data,
+         double row_height,
+         ContractSpecificationImmutable spec,
+         VolumeColumnSettings settings,
+         int last_index,
+         string last_size_and_direction,
+         Func<uint, string> fmt_value) {
+         //
          if (!data.Any()) {
             _clear_visual(dv);
             return;
@@ -224,6 +229,8 @@ namespace mbts.spark {
             _clear_visual(dv);
             return;
          }
+         if (fmt_value is null)
+            fmt_value = FormattingDelegates.default_string<uint>();
          // inflate the max so that the graph never fills the available space
          double max = data.Max(v => v.Volume) * 1.1;
          _render_cells(dv, row_height, data.Select(d => (d.Price, d)), settings.general, prices, spec, render_cell);
@@ -255,11 +262,11 @@ namespace mbts.spark {
                }
                x_bar += width;
                if (show_numbers)
-                  numbers_text.Add(v.ToString());
+                  numbers_text.Add(fmt_value(v));
             }
 
             if (settings.total.show_numbers) {
-               numbers_text.Add(vap.Volume.ToString());
+               numbers_text.Add(fmt_value(vap.Volume));
             }
             if (settings.show_ltq && last_trade_here) {
                numbers_text.Clear();
@@ -309,19 +316,33 @@ namespace mbts.spark {
          }
       }
 
-      internal static void render_last(DrawingVisual dv, GlyphContext glyph_context, NativePriceSize last, int index, double row_height, LadderColumnSettings settings) {
+      internal static void render_last(DrawingVisual dv, GlyphContext glyph_context, NativePriceSize last, int index, double row_height, LadderColumnSettings settings, Func<uint, string> fmt_value) {
+         if (fmt_value is null)
+            fmt_value = FormattingDelegates.default_string<uint>();
          using (var dc = dv.RenderOpen()) {
-            var gr = format_text(last.size.ToString(), index, row_height, settings, glyph_context);
+            var gr = format_text(fmt_value(last.size), index, row_height, settings, glyph_context);
             dc.DrawGlyphRun(settings.foreground.rgb_brush(), gr);
          }
       }
 
       // this is basically a copy of redner_sizes up above
-      internal static void render_piqs(DrawingVisual dv, GlyphContext glyph_context, int origin_index, double[] prices, IEnumerable<(double price, uint piq)> pvp, double row_height, ContractSpecificationImmutable spec, LadderColumnSettings settings) {
+      internal static void render_piqs(
+         DrawingVisual dv,
+         GlyphContext glyph_context,
+         int origin_index,
+         double[] prices,
+         IEnumerable<(double price, uint piq)> pvp,
+         double row_height,
+         ContractSpecificationImmutable spec,
+         LadderColumnSettings settings,
+         Func<uint, string> fmt_value) {
+         //
          using (var dc = dv.RenderOpen()) {
             using (_draw_with_clip(dc, settings, row_height, prices.Length)) {
                if (!prices.within_range(origin_index) || pvp.is_null_or_empty())
                   return;
+               if (fmt_value is null)
+                  fmt_value = FormattingDelegates.default_string<uint>();
                var foreground = settings.foreground.rgb_brush();
                int curr_index = origin_index;
                double curr_price = prices[curr_index];
@@ -332,7 +353,7 @@ namespace mbts.spark {
                   curr_index += tick_diff;
                   curr_price = price;
                   if (curr_index >= 0 && curr_index < prices.Length) {
-                     var gr = format_text(entry.piq.ToString(), curr_index, row_height, settings, glyph_context);
+                     var gr = format_text(fmt_value(entry.piq), curr_index, row_height, settings, glyph_context);
                      dc.DrawGlyphRun(foreground, gr);
                   } else break;
                }
@@ -371,4 +392,4 @@ namespace mbts.spark {
          using (dv.RenderOpen()) { }
       }
    }
-}
+}

src/client/spark/Modules/Trading/Ladder/View/LadderView.xaml

@@ -426,9 +426,26 @@
                      Text="{Binding left_panel_width, Converter={StaticResource VolumeTextConverter}}"
                      Margin="0,0,0,4"
                      Visibility="{Binding show_volume, Converter={StaticResource BooleanToVisibilityConverter}}"/>
-              <TextBlock Grid.Column="2" Grid.Row="5" Text="{Binding volume, Mode=OneWay}" FontWeight="Bold"
-                     Margin="0,0,0,4"
-                     Visibility="{Binding show_volume, Converter={StaticResource BooleanToVisibilityConverter}}"/>
+              <TextBlock
+                Grid.Column="2"
+                Grid.Row="5"
+                FontWeight="Bold"
+                Margin="0,0,0,4"
+                Visibility="{Binding show_volume, Converter={StaticResource BooleanToVisibilityConverter}}"
+              >
+                <TextBlock.Text>
+                  <MultiBinding>
+                    <MultiBinding.Converter>
+                      <converters:MultiValueConverterPipe>
+                        <x:Static MemberType="{x:Type converters:DynamicDoubleDivisorConverter}" Member="Instance"/>
+                        <x:Static MemberType="{x:Type converters:ValueConverters}" Member="SimpleString"/>
+                      </converters:MultiValueConverterPipe>
+                    </MultiBinding.Converter>
+                    <Binding Path="volume" Mode="OneWay"/>
+                    <Binding Path="display_quantity_divisor" Mode="OneTime"/>
+                  </MultiBinding>
+                </TextBlock.Text>
+              </TextBlock>
             </Grid>
             <!-- Account combobox -->
             <ComboBox DataContext="{Binding order_properties_vm}" Margin="2,10,2,2" 
@@ -507,7 +524,7 @@
               mbts:TextBoxBehavior.IncrementDecrementOnMouseClick="True"
               HorizontalContentAlignment="Right"
               Margin="2"
-              Text="{Binding size_calculator.value, Mode=TwoWay, UpdateSourceTrigger=PropertyChanged}"
+              Text="{Binding size_calculator.display_value, Mode=TwoWay, UpdateSourceTrigger=PropertyChanged}"
               ContextMenu="{x:Null}"
             />
             <!-- Qty quick buttons -->
@@ -522,7 +539,14 @@
               </ItemsControl.ItemsPanel>
               <ItemsControl.ItemTemplate>
                 <DataTemplate>
-                  <Button Margin="2" Command="{Binding Path=DataContext.size_calculator.click, RelativeSource={RelativeSource AncestorType=ItemsControl}}" CommandParameter="{Binding}" Content="{Binding}" Focusable="False"/>
+                  <Button Margin="2" Command="{Binding Path=DataContext.size_calculator.click, RelativeSource={RelativeSource AncestorType=ItemsControl}}" Content="{Binding}" Focusable="False">
+                    <Button.CommandParameter>
+                      <MultiBinding Converter="{x:Static converters:DynamicDoubleMultiplierConverter.Instance}">
+                        <Binding/>
+                        <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=spark:LadderView}"/>
+                      </MultiBinding>
+                    </Button.CommandParameter>
+                  </Button>
                 </DataTemplate>
               </ItemsControl.ItemTemplate>
             </ItemsControl>

src/client/spark/Modules/Trading/ManualFills/ManualFillRow.cs

@@ -3,6 +3,7 @@ using bts.api.position;
 using bts.utils;
 using mbts;
 using mbts.spark;
+using mbts.ui;
 using mbts.ui.shell;
 using System;
 using System.Collections.Generic;
@@ -25,24 +26,27 @@ namespace bts.shell.manual_fills {
       readonly Property<bool> _is_dirty;
       readonly Property<EditableItemState> _editable_item_state;
       readonly DelegateProperty<bool> _is_valid;
+      readonly DisplayQuantityMultiplier _size = new DisplayQuantityMultiplier();
+      readonly Func<SecurityImmutable?, uint> _get_display_qty_divisor;
       SecurityImmutable? _security;
       AccountTuple? _account;
       UserTuple? _user;
       Side _side;
-      uint _size;
       double _price;
       bool _is_selected;
       ManualFillData? _data;
       IDisposable _committed_snapshot;
 
-      public ManualFillRow(ManualFillData data) {
+      public ManualFillRow(ManualFillData data, Func<SecurityImmutable?, uint> get_display_qty_divisor) {
          _data = data;
+         _get_display_qty_divisor = get_display_qty_divisor ?? new Func<SecurityImmutable?, uint>(sec => 1);
          key = data.key;
          _security = data.value.security;
          _account = data.value.account;
          _user = data.value.user;
          _side = data.value.manual_fill.Side;
-         _size = data.value.manual_fill.Quantity;
+         _size.actual_value = data.value.manual_fill.Quantity;
+         _size.conversion_data = new QuantityConversionData(_get_display_qty_divisor(data.value.security), QuantityConversionData.OpType.DivideActual);
          _price = data.value.manual_fill.Price;
          if (placeholder_key.HasValue) {
             _is_dirty = backing(nameof(is_dirty), false);
@@ -53,6 +57,7 @@ namespace bts.shell.manual_fills {
             _editable_item_state = backing(nameof(editable_item_state), _is_dirty, ch => ch.newval ? EditableItemState.Modified : EditableItemState.None);
          }
          _is_valid = backing(nameof(is_valid), () => _validate(this));
+         _dispose = _size.connect_owner(this, nameof(size), nameof(display_size));
       }
 
       public event Action<bool> is_selected_changed;
@@ -65,8 +70,10 @@ namespace bts.shell.manual_fills {
       public SecurityImmutable? security {
          get => _security;
          set {
-            if (_set(ref _security, value))
+            if (_set(ref _security, value)) {
+               _size.conversion_data = new QuantityConversionData(_get_display_qty_divisor(value), QuantityConversionData.OpType.DivideActual);
                RaisePropertyChanged(nameof(spec));
+            }
          }
       }
       public ContractSpecificationImmutable? spec => security.spec_or_default();
@@ -75,7 +82,8 @@ namespace bts.shell.manual_fills {
       public UserTuple? user { get => _user; set => _set(ref _user, value); }
       // side/size/price
       public Side side { get => _side; set => _set(ref _side, value); }
-      public uint size { get => _size; set => _set(ref _size, value); }
+      public uint size { get => _size.actual_value; set => _size.actual_value = value; }
+      public uint display_size { get => _size.display_value; set => _size.display_value = value; }
       public double price { get => _price; set => _set(ref _price, value); }
       // is selected
       public bool is_selected {

src/client/spark/Modules/Trading/ManualFills/ManualFillRowEditor.xaml

@@ -71,7 +71,7 @@
       <ComboBox Grid.Row="2" Grid.Column="2" ItemsSource="{DynamicResource ResourceKey={x:Static u:ResourceKeys.Accounts}}" SelectedItem="{Binding account}"/>
       <ComboBox Grid.Row="2" Grid.Column="4" ItemsSource="{DynamicResource ResourceKey={x:Static u:ResourceKeys.Users}}" SelectedItem="{Binding user}"/>
       <ComboBox Grid.Row="2" Grid.Column="6" ItemsSource="{DynamicResource ResourceKey={x:Static u:ResourceKeys.Sides}}" SelectedItem="{Binding side}" Width="48"/>
-      <c:TickUpDownUInt Grid.Row="2" Grid.Column="8" MinWidth="40" Value="{Binding size}"/>
+      <c:TickUpDownUInt Grid.Row="2" Grid.Column="8" MinWidth="40" Value="{Binding display_size}"/>
       <usp:PriceEntryControl Grid.Row="2" Grid.Column="10" MinWidth="55" Value="{Binding price}" ContractSpec="{Binding spec}"/>
     </Grid>
     <c:DialogSkirt Grid.Row="1" Margin="0,6,0,0">

src/client/spark/Modules/Trading/ManualFills/ManualFillsModel.cs

@@ -1,4 +1,5 @@
-using bts.api.core;
+using bts.api;
+using bts.api.core;
 using bts.api.position;
 using bts.collections;
 using mbts.spark;
@@ -103,5 +104,8 @@ namespace bts.shell.manual_fills {
 
       public async Task<bool> update_fills(IEnumerable<ManualFill> fills) =>
          await _model.update_manual_fills(fills);
+
+      public uint get_display_qty_divisor(SecurityImmutable? security) =>
+         _model.security_auxiliary_model.get_display_quantity_divisor(security);
    }
 }

src/client/spark/Modules/Trading/ManualFills/ManualFillsVM.cs

@@ -68,7 +68,7 @@ namespace bts.shell.manual_fills {
             RXCollection.connect(_persisted_rows,
                _model.manual_fills.OnDispatcher(),
                Observable.Return(Comparer<ManualFillData>.Create((a, b) => a.key.CompareTo(b.key))),
-               mfd => new ManualFillRow(mfd),
+               mfd => new ManualFillRow(mfd, model.get_display_qty_divisor),
                mfr => mfr.data),
             _bus.subscribe(SparkTags.SecuritiesTag).OnDispatcher().Subscribe(m => {
                security_map = new FilteredDictionary<uint, SecurityMD>(m, smd => smd.security.ContractCase == Security.ContractOneofCase.Future);
@@ -126,7 +126,8 @@ namespace bts.shell.manual_fills {
                new ManualFillKey(_placeholder_id_counter++),
                new ManualFillTuple(new ManualFillImmutable(new ManualFill {
                   Side = Side.Buy
-               }), null, accounts.FirstOrDefault(), users.FirstOrDefault())));
+               }), null, accounts.FirstOrDefault(), users.FirstOrDefault())),
+            _model.get_display_qty_divisor);
 
       void _add_fill(ManualFillRow new_row) =>
          _placeholder_rows.InsertSorted((new_row ?? (new_row = row_factory())).placeholder_key.HasValue ?
@@ -210,11 +211,20 @@ namespace bts.shell.manual_fills {
             } else {
                add_imported_fills();
             }
-            void add_imported_fills() =>
-               _placeholder_rows.InsertSorted(parsed_fills.Select(pmf => new ManualFillRow(new ManualFillData(new ManualFillKey(_placeholder_id_counter++), new ManualFillTuple(new ManualFillImmutable(pmf.result),
-                  pmf.result.SecurityKey != 0 && security_map.TryGetValue(pmf.result.SecurityKey, out var smd) ? smd.security : (SecurityImmutable?)null,
-                  accounts.FirstOrDefault(a => a?.id == pmf.result.AccountId),
-                  users.FirstOrDefault(a => a?.id == pmf.result.UserId))))), _row_key_comparer);
+            void add_imported_fills() {
+               _placeholder_rows.InsertSorted(parsed_fills.Select(mk_row), _row_key_comparer);
+
+               ManualFillRow mk_row(ParsedManualFill pmf) {
+                  var data = new ManualFillData(
+                     new ManualFillKey(_placeholder_id_counter++),
+                     new ManualFillTuple(
+                        new ManualFillImmutable(pmf.result),
+                        pmf.result.SecurityKey != 0 && security_map.TryGetValue(pmf.result.SecurityKey, out var smd) ? smd.security : (SecurityImmutable?)null,
+                        accounts.FirstOrDefault(a => a?.id == pmf.result.AccountId),
+                        users.FirstOrDefault(a => a?.id == pmf.result.UserId)));
+                  return new ManualFillRow(data, _model.get_display_qty_divisor);
+               }
+            }
          } catch (Exception ex) {
             BTSMessageBox.Error($"Error importing fills: {ex}.", ManualFillsWindowFactory.window_name);
          }

src/client/spark/Modules/Trading/ManualFills/ManualFillsView.xaml

@@ -212,12 +212,12 @@
           <DataGridTemplateColumn c:DataGridEx.CellKey="{x:Static Size, MemberType={u:Nested usp:ManualFillsView.Columns}}" Header="Qty" SortMemberPath="side">
             <DataGridTemplateColumn.CellTemplate>
               <DataTemplate>
-                <TextBlock Text="{Binding size}" VerticalAlignment="Center"/>
+                <TextBlock Text="{Binding display_size}" VerticalAlignment="Center"/>
               </DataTemplate>
             </DataGridTemplateColumn.CellTemplate>
             <DataGridTemplateColumn.CellEditingTemplate>
               <DataTemplate>
-                <c:TickUpDownUInt MinWidth="40" Value="{Binding size, UpdateSourceTrigger=PropertyChanged}"/>
+                <c:TickUpDownUInt MinWidth="40" Value="{Binding display_size, UpdateSourceTrigger=PropertyChanged}"/>
               </DataTemplate>
             </DataGridTemplateColumn.CellEditingTemplate>
           </DataGridTemplateColumn>

src/client/spark/Modules/Trading/OrderBook/OrderBookColumns.cs

@@ -597,19 +597,19 @@ namespace mbts.spark {
 
       public class SizeColumn : OrderbookColumnBase<UIntMinMaxState>, IRenderColumn<OrderBookRowVM> {
          public SizeColumn(IDataGridColumnPersistentFilter<OrderSecurityRootPair, UIntMinMaxState> filter)
-            : base(Columns.Size, "Qty", r => r.quantity.ToString(), DefaultColumnWidths.Size, filter, DataGridFilterKnownTemplates.UIntMinMax, _wrap_comparer(r => r.quantity)) { }
+            : base(Columns.Size, "Qty", r => r.display_quantity.ToString(), DefaultColumnWidths.Size, filter, DataGridFilterKnownTemplates.UIntMinMax, _wrap_comparer(r => r.quantity)) { }
 
          public void draw(OrderBookRowVM row, DrawingContext dc, ColumnGeometry position, double row_height) =>
-            CellRender.draw_text(dc, _get_glyph_context(row), font_size, row.quantity.ToString(), position, row_height,
+            CellRender.draw_text(dc, _get_glyph_context(row), font_size, row.display_quantity.ToString(), position, row_height,
                RenderUtils.get_side_brush(row), null, horizontal_alignment, VerticalAlignment.Center, DefaultCellPadding);
       }
 
       public class FilledColumn : OrderbookColumnBase<UIntMinMaxState>, IRenderColumn<OrderBookRowVM> {
          public FilledColumn(IDataGridColumnPersistentFilter<OrderSecurityRootPair, UIntMinMaxState> filter)
-            : base(Columns.Filled, "Filled Qty", r => r.filled_quantity.ToString(), DefaultColumnWidths.Size, filter, DataGridFilterKnownTemplates.UIntMinMax, _wrap_comparer(r => r.filled_quantity)) { }
+            : base(Columns.Filled, "Filled Qty", r => r.display_filled_quantity.ToString(), DefaultColumnWidths.Size, filter, DataGridFilterKnownTemplates.UIntMinMax, _wrap_comparer(r => r.filled_quantity)) { }
 
          public void draw(OrderBookRowVM row, DrawingContext dc, ColumnGeometry position, double row_height) =>
-            CellRender.draw_text(dc, _get_glyph_context(row), font_size, row.filled_quantity.ToString(), position, row_height,
+            CellRender.draw_text(dc, _get_glyph_context(row), font_size, row.display_filled_quantity.ToString(), position, row_height,
                RenderUtils.get_side_brush(row), null, horizontal_alignment, VerticalAlignment.Center, DefaultCellPadding);
       }
 
@@ -1163,7 +1163,7 @@ namespace mbts.spark {
 
          public override FrameworkElement view_factory() {
             var tick_up_down = new TickUpDownNullableUIntCommit();
-            tick_up_down.SetBinding(TickUpDownNullableUIntCommit.SourceValueProperty, nameof(OrderBookRowVM.prospective_quantity));
+            tick_up_down.SetBinding(TickUpDownNullableUIntCommit.SourceValueProperty, nameof(OrderBookRowVM.prospective_display_quantity));
             tick_up_down.SetBinding(TickUpDownNullableUIntCommit.OnCommitProperty, nameof(OrderBookRowVM.modify_order_quantity_andor_price));
             tick_up_down.InputBindings.Add(_create_keyinput_binding(Key.Enter, nameof(OrderBookRowVM.modify_order_quantity_andor_price)));
             tick_up_down.InputBindings.Add(_create_keyinput_binding(Key.Escape, nameof(OrderBookRowVM.revert_prospective_order_quantity_andor_price)));

src/client/spark/Modules/Trading/OrderBook/OrderBookRowVM.cs

@@ -29,7 +29,9 @@ namespace mbts.spark {
       int _depth_level;
       SecurityImmutable? _security => order_tuple.order.security;
       // for mini-ob 
-      uint _prospective_quantity;
+      DisplayQuantityMultiplier _prospective_qty_translator_backing;
+      uint _display_qty_divisor_backing;
+      bool _display_qty_divisor_dirty = true;
       double _prospective_price;
       Action<bool> _on_selection_changed;
 
@@ -37,7 +39,6 @@ namespace mbts.spark {
          _owner = owner;
          this.order_tuple = order_tuple;
          _is_expanded = is_expanded;
-         prospective_quantity = this.quantity;
          prospective_price = this.price;
          _on_selection_changed = on_selection_changed;
       }
@@ -94,14 +95,18 @@ namespace mbts.spark {
       public string last_price_text => _fmt_price(last_price);
       public string avg_price_text => _fmt_price(avg_price);
       public uint quantity => order.quantity();
+      public uint display_quantity => quantity.safe_divide(_display_qty_divisor);
       public uint filled_quantity => order.filled();
+      public uint display_filled_quantity => filled_quantity.safe_divide(_display_qty_divisor);
       public string last_msg => order.last_msg();
+      // piq
       public uint piq => order_tuple.order.piq ?? uint.MaxValue;
-      public string piq_text => piq == uint.MaxValue ? string.Empty : piq.ToString();
+      public string piq_text => piq == uint.MaxValue ? string.Empty : piq.safe_divide(_display_qty_divisor).ToString();
+
       public bool is_non_terminal => order.is_non_terminal();
       public bool is_attachable { get => _is_attachable; set => SetVisual(ref _is_attachable, value); }
       public bool is_detachable { get => _is_detachable; set => SetVisual(ref _is_detachable, value); }
-      public string filled_status_desc => order.filled_status_description(security.spec_or_default());
+      public string filled_status_desc => order.filled_status_description(security.spec_or_default(), _display_qty_divisor);
 
       // Root Algo
       public CustomOrderDefinition.CustomOneofCase root_algo_order_type => order_tuple.root.algo.value.CustomCase;
@@ -129,12 +134,12 @@ namespace mbts.spark {
          }
       }
       public uint prospective_quantity {
-         get => _prospective_quantity;
-         set {
-            if (Set(ref _prospective_quantity, value)) {
-               RaisePropertyChanged(nameof(is_qty_dirty));
-            }
-         }
+         get => _prospective_qty_translator.actual_value;
+         set => _prospective_qty_translator.actual_value = value;
+      }
+      public uint prospective_display_quantity {
+         get => _prospective_qty_translator.display_value;
+         set => _prospective_qty_translator.display_value = value;
       }
       public double prospective_price {
          get => _prospective_price;
@@ -224,6 +229,29 @@ namespace mbts.spark {
          }
       }
 
+      uint _display_qty_divisor {
+         get {
+            _sync_display_qty_if_dirty();
+            return _display_qty_divisor_backing;
+         }
+      }
+
+      IDisplayTranslator<uint> _prospective_qty_translator {
+         get {
+            if (_prospective_qty_translator_backing == null) {
+               _prospective_qty_translator_backing = new DisplayQuantityMultiplier {
+                  conversion_data = new QuantityConversionData(_display_qty_divisor, QuantityConversionData.OpType.DivideActual),
+                  actual_value = quantity
+               };
+               _prospective_qty_translator.value_changed += () =>
+                  RaisePropertyChanged(nameof(is_qty_dirty));
+            } else {
+               _sync_display_qty_if_dirty();
+            }
+            return _prospective_qty_translator_backing;
+         }
+      }
+
       #region IHierarchicalRow
       bool IHierarchicalRow.is_parent => is_parent;
       bool IHierarchicalRow.is_expanded => is_expanded;
@@ -267,22 +295,35 @@ namespace mbts.spark {
          if ((Columns.OrderType & dirty) != 0)
             RaisePropertyChanged(nameof(order_type), nameof(order_metadata));
          // quantity
-         if ((Columns.Size & dirty) != 0) {
-            RaisePropertyChanged(nameof(quantity), nameof(is_qty_dirty));
-            // we need to update the prospective_quantity here b/c an update could have come in while the row was in edit mode
-            // via the Mini OB update column mechanism (vs the EditableQty column)
-            // prospecive price does not need to be updated in the same manner b/c if the price is changed, the whole
-            // row will no longer match the filter
-            prospective_quantity = quantity;
-         }
          // price
          if ((Columns.Price & dirty) != 0) {
             RaisePropertyChanged(nameof(price));
             RaisePropertyChanged(nameof(is_price_dirty));
          }
          // security
-         if ((Columns.Security & dirty) != 0)
-            RaisePropertyChanged(nameof(security), nameof(security_text));
+         if ((Columns.Security & dirty) != 0) {
+            _display_qty_divisor_dirty = true;
+            RaisePropertyChanged(
+               // security props
+               nameof(security),
+               nameof(security_text),
+               // qty props
+               nameof(display_quantity),
+               nameof(prospective_quantity),
+               nameof(prospective_display_quantity),
+               nameof(is_qty_dirty),
+               //
+               nameof(piq_text),
+               nameof(display_filled_quantity));
+         }
+         if ((Columns.Size & dirty) != 0) {
+            RaisePropertyChanged(nameof(quantity), nameof(display_quantity));
+            if (_prospective_qty_translator_backing != null)
+               _prospective_qty_translator_backing.actual_value = quantity;
+         }
+         if ((Columns.Filled & dirty) != 0) {
+            RaisePropertyChanged(nameof(filled_quantity), nameof(display_filled_quantity));
+         }
          // badge fill
          if (old_order_tuple.order.meta?.badge_color != order_tuple.order.meta?.badge_color) {
             // invalidate by setting to null (will be re-instantiated in the public getter)
@@ -359,6 +400,15 @@ namespace mbts.spark {
          security.Value.ContractSpec.format(v) :
          Math.Round(v, _unknown_security_price_num_fractional_digits, MidpointRounding.AwayFromZero).ToString(_unknown_security_price_format_string);
 
+      void _sync_display_qty_if_dirty() {
+         if (_display_qty_divisor_dirty) {
+            _display_qty_divisor_dirty = false;
+            _display_qty_divisor_backing = _owner.get_display_qty_divisor(security);
+            if (_prospective_qty_translator_backing != null)
+               _prospective_qty_translator_backing.conversion_data = new QuantityConversionData(_display_qty_divisor_backing, QuantityConversionData.OpType.DivideActual);
+         }
+      }
+
       void RaisePropertyChanged(params string[] props) {
          var pc = PropertyChanged;
          if (pc == null)
@@ -397,6 +447,7 @@ namespace mbts.spark {
                Columns.LastMessage |
                Columns.Piq,
             filled_status_desc_mask =
+               Columns.Security |
                Columns.Filled |
                Columns.AvgFilled |
                Columns.Status;

src/client/spark/Modules/Trading/OrderBook/OrderBookVM.cs

@@ -639,6 +639,9 @@ namespace mbts.spark {
 
       public OrderMetadata get_metadata(OrderBookRowVM row) => _model.factory.get_metadata(row.order.actual_order_type());
 
+      internal uint get_display_qty_divisor(SecurityImmutable? security) =>
+         _model.security_auxiliary_model.get_display_quantity_divisor(security);
+
       internal void show_order_modify(OrderBookRowVM row) =>
          _bus.post(SparkTags.ShowModifyOrderTag, row.order_key);
 
@@ -798,7 +801,7 @@ namespace mbts.spark {
          readonly Property<bool> _is_dirty;
          IRaiseCanExecuteChangedCommand _payup_bid_cmd, _payup_ask_cmd;
          IAlgoParamVM<double> _price_param;
-         IAlgoParamVM<uint?> _size_param;
+         AlgoParamVM<uint?> _size_param;
          AlgoParamPermissions
             _price_permissions = AlgoParamPermissions.ReadOnly | AlgoParamPermissions.Write,
             _size_permissions = AlgoParamPermissions.ReadOnly | AlgoParamPermissions.Write;
@@ -835,7 +838,9 @@ namespace mbts.spark {
                      _price_param = null;
                      _size_param = null;
                   } else {
-                     _size_param = new AlgoParamVM<uint?>("size", "Size", owner._selected_params_mon.size) {
+                     _size_param = new AlgoParamVM<uint?>("size", "Size", owner._selected_params_mon.size, EqualityComparer<uint?>.Default,
+                        to_display_value: v => v.HasValue ? v.Value / display_quantity_divisor : v,
+                        from_display_value: v => v.HasValue ? v.Value * display_quantity_divisor : v) {
                         permissions = _size_permissions & _param_permissions
                      };
                      var price_param = new AlgoParamVM<double>("price", "Price", owner._selected_params_mon.price, spec?.tick_equality_comparer() ?? MathUtils.epsilon_eq_comparer) {
@@ -878,10 +883,11 @@ namespace mbts.spark {
             get => _security_md;
             set {
                if (Set(ref _security_md, value)) {
-                  RaisePropertyChanged(nameof(security), nameof(spec));
+                  RaisePropertyChanged(nameof(security), nameof(spec), nameof(display_quantity_divisor));
                   bbo.security_md = value;
                   _payup_bid_cmd.RaiseCanExecuteChanged();
                   _payup_ask_cmd.RaiseCanExecuteChanged();
+                  _size_param?.refresh_display_value();
                }
             }
          }
@@ -903,6 +909,7 @@ namespace mbts.spark {
          public AlgoDefinitionVM algo_vm { get; }
          public IReadOnlyObservableCollection<AlgoParamRowVM> param_rows { get; }
          public BBOVM bbo { get; }
+         public uint display_quantity_divisor => _owner.get_display_qty_divisor(security);
          public ICommand send_order { get; }
          public ICommand payup_bid_cmd => _payup_bid_cmd;
          public ICommand payup_ask_cmd => _payup_ask_cmd;

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

@@ -62,7 +62,7 @@
         </Setter>
       </Style>
       <Style x:Key="{x:Static usp:OrderParamsPanel.BestBidSizeButtonStyleKey}" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-        <Setter Property="Command" Value="{Binding DataContext.size_calculator.set_value_command, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
+        <Setter Property="Command" Value="{Binding DataContext.size_calculator.set_actual_value_command, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
         <Setter Property="CommandParameter" Value="{Binding BestBidSize, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
         <Setter Property="ToolTip">
           <Setter.Value>
@@ -82,7 +82,7 @@
         </Setter>
       </Style>
       <Style x:Key="{x:Static usp:OrderParamsPanel.BestAskSizeButtonStyleKey}" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-        <Setter Property="Command" Value="{Binding DataContext.size_calculator.set_value_command, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
+        <Setter Property="Command" Value="{Binding DataContext.size_calculator.set_actual_value_command, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
         <Setter Property="CommandParameter" Value="{Binding BestAskSize, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
         <Setter Property="ToolTip">
           <Setter.Value>
@@ -101,7 +101,7 @@
           <TextBlock.Inlines>
             <Run Text="{Binding security, Mode=OneWay}" FontWeight="Bold"/>
             <Run Text="{Binding side, Mode=OneWay}" Foreground="{Binding side, Converter={StaticResource SideToBrushConverter}}"/>
-            <Run Text="{Binding quantity, Mode=OneWay}"/>
+            <Run Text="{Binding display_quantity, Mode=OneWay}"/>
             <Run>@</Run>
             <Run>
               <Run.Text>

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

@@ -5,6 +5,7 @@ using bts.utils;
 using mbts;
 using mbts.spark;
 using mbts.spark.utilities;
+using mbts.ui;
 using mbts.ui.controls;
 using mbts.utils;
 using System;
@@ -140,15 +141,18 @@ namespace bts.shell.pnl {
       public PositionPriceSize summary =>
          new PositionPriceSize(long_data.working_total, long_data.avg_price, short_data.working_total, short_data.avg_price);
 
-      public static WorkingOrderData Create(IEnumerable<OrderRecordImmutable> orders) =>
-         orders.Aggregate(Empty, (seed, order) => seed.Add(order));
+      public static WorkingOrderData Create(IEnumerable<OrderRecordImmutable> orders, QuantityConversionData qty_conversion) =>
+         Create(orders.Select(o => (o, qty_conversion)));
 
-      public WorkingOrderData Add(OrderRecordImmutable order) {
+      public static WorkingOrderData Create(IEnumerable<(OrderRecordImmutable order, QuantityConversionData qty_conversion)> orders) =>
+         orders.Aggregate(Empty, (seed, tup) => seed.Add(tup.order, tup.qty_conversion));
+
+      public WorkingOrderData Add(OrderRecordImmutable order, QuantityConversionData qty_conversion) {
          if (order.working_quantity() <= 0)
             return new WorkingOrderData(long_data, short_data);
          switch (order.side()) {
-            case Side.Buy: return new WorkingOrderData(long_data.Add(order), short_data);
-            case Side.Sell: return new WorkingOrderData(long_data, short_data.Add(order));
+            case Side.Buy: return new WorkingOrderData(long_data.Add(order, qty_conversion), short_data);
+            case Side.Sell: return new WorkingOrderData(long_data, short_data.Add(order, qty_conversion));
             default: throw ExceptionBuilder.Argument.unexpected_case(order.side(), "order.side");
          }
       }
@@ -165,18 +169,21 @@ namespace bts.shell.pnl {
    }
 
    readonly struct WorkingOrderSideData {
-      public readonly double avg_price;
-      public readonly ImmutableSortedDictionary<double, ImmutableDictionary<uint, OrderRecordImmutable>> data;
+      public readonly double avg_price, display_avg_price;
+      public readonly ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable order, QuantityConversionData qty_conversion)>> data;
       public readonly int working_total;
+      public readonly int display_working_total;
 
-      WorkingOrderSideData(double avg_price, int working_total, ImmutableSortedDictionary<double, ImmutableDictionary<uint, OrderRecordImmutable>> data) {
+      WorkingOrderSideData(double avg_price, int working_total, double display_avg_price, int display_working_total, ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>> data) {
          this.avg_price = avg_price;
          this.working_total = working_total;
+         this.display_avg_price = display_avg_price;
          this.data = data;
+         this.display_working_total = display_working_total;
       }
 
-      public static WorkingOrderSideData EmptyLong => new WorkingOrderSideData(double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, OrderRecordImmutable>>(new ReverseComparer<double>(OrderDataHelper.PriceComparer)));
-      public static WorkingOrderSideData EmptyShort => new WorkingOrderSideData(double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, OrderRecordImmutable>>(OrderDataHelper.PriceComparer));
+      public static WorkingOrderSideData EmptyLong => new WorkingOrderSideData(double.NaN, 0, double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>>(new ReverseComparer<double>(OrderDataHelper.PriceComparer)));
+      public static WorkingOrderSideData EmptyShort => new WorkingOrderSideData(double.NaN, 0, double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>>(OrderDataHelper.PriceComparer));
 
       public double top_price =>
          data.Count > 0 ?
@@ -185,23 +192,35 @@ namespace bts.shell.pnl {
 
       public int top_volume =>
          data.Count > 0 ?
-            data.Values.First().Values.Sum(o => o.working_quantity()) :
+            data.Values.First().Values.Sum(o => o.order.working_quantity()) :
             0;
 
-      public WorkingOrderSideData Add(OrderRecordImmutable order_record) {
-         uint order = order_record.Key;
+      public int display_top_volume =>
+         data.Count > 0 ?
+            data.Values.First().Values.Sum(o => o.qty_conversion.to_display(o.order.working_quantity())) :
+            0;
+
+      public WorkingOrderSideData Add(OrderRecordImmutable order_record) =>
+         Add(order_record, new QuantityConversionData());
+
+      public WorkingOrderSideData Add(OrderRecordImmutable order_record, QuantityConversionData qty_conversion) {
          int working_qty = order_record.working_quantity();
-         double price = order_record.price();
          if (working_qty <= 0)
             throw new ArgumentException(nameof(working_qty));
+         uint order = order_record.Key;
+         int dworking_qty = qty_conversion.to_display(working_qty);
+         double price = order_record.price();
          if (working_total == 0) {
-            return new WorkingOrderSideData(price, working_qty, data.Add(price, ImmutableDictionary<uint, OrderRecordImmutable>.Empty.Add(order, order_record)));
+            Log.assert(display_working_total == 0);
+            return new WorkingOrderSideData(price, working_qty, display_avg_price, dworking_qty, data.Add(price, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>.Empty.Add(order, (order_record, qty_conversion))));
          } else return new WorkingOrderSideData(
               avg_price + ((price - avg_price) * ((double)working_qty / (working_total + working_qty))),
               working_total + working_qty,
+              display_avg_price + ((price - display_avg_price) * ((double)dworking_qty / (display_working_total + dworking_qty))),
+              display_working_total + dworking_qty,
               data.SetItem(price, data.TryGetValue(price, out var curr) ?
-                 curr.Add(order, order_record) :
-                 ImmutableDictionary<uint, OrderRecordImmutable>.Empty.Add(order, order_record)));
+                 curr.Add(order, (order_record, qty_conversion)) :
+                 ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>.Empty.Add(order, (order_record, qty_conversion))));
       }
 
       public WorkingOrderSideData Remove(uint order, double price) {
@@ -210,22 +229,30 @@ namespace bts.shell.pnl {
             throw new KeyNotFoundException(nameof(price));
          if (!wdata.TryGetValue(order, out var worder))
             throw new KeyNotFoundException(nameof(order));
-         var wqty = worder.working_quantity();
+         var wqty = worder.order.working_quantity();
+         var dwqty = worder.qty_conversion.to_display(wqty);
          wdata = wdata.Remove(order);
          if (wdata.Count == 0)
             tmp_data = tmp_data.Remove(price);
          if (tmp_data.Count == 0)
-            return new WorkingOrderSideData(double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, OrderRecordImmutable>>(data.KeyComparer));
+            return new WorkingOrderSideData(double.NaN, 0, double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>>(data.KeyComparer));
          return new WorkingOrderSideData(
             avg_price - ((price - avg_price) * (wqty / (working_total - wqty))),
             working_total - wqty,
+            display_avg_price - ((price - display_avg_price) * (dwqty / (display_working_total - dwqty))),
+            display_working_total - dwqty,
             tmp_data);
       }
 
       public override string ToString() {
          if (data.Count > 0) {
             var best_order = data.Values.First().Values.First();
-            return OrderUtils.order_collection_summary(best_order.price(), avg_price, best_order.working_quantity(), working_total, SecurityDataHelper.Defaults.ContractSpecificationImmutable);
+            return OrderUtils.order_collection_summary(
+               best_order.order.price(),
+               display_avg_price,
+               best_order.qty_conversion.to_display(best_order.order.working_quantity()),
+               display_working_total,
+               SecurityDataHelper.Defaults.ContractSpecificationImmutable);
          }
          return string.Empty;
       }
@@ -248,6 +275,7 @@ namespace bts.shell.pnl {
 
       public readonly PNLKey key;
       public readonly SecurityImmutable? security;
+      public readonly QuantityConversionData qty_conversion;
       public readonly string account_name;
       public readonly PNLCalculationType calc_type;
       public readonly PositionPriceSize day, raw_day, sod;
@@ -273,7 +301,8 @@ namespace bts.shell.pnl {
          WorkingOrderData? working = null,
          SecurityImmutable? security = null,
          string account_name = null,
-         PNLCalculationType calc_type = PNLCalculationType.Mid) {
+         PNLCalculationType calc_type = PNLCalculationType.Mid,
+         QuantityConversionData? qty_conversion = null) {
          //
          this.key = key;
          this.cpp = cpp;
@@ -288,6 +317,7 @@ namespace bts.shell.pnl {
          this.security = security;
          this.account_name = account_name;
          this.calc_type = calc_type;
+         this.qty_conversion = qty_conversion ?? new QuantityConversionData();
       }
 
       [Flags]
@@ -368,6 +398,10 @@ namespace bts.shell.pnl {
          MathUtils.weighted_average(
             sod_long_avg_price_delta_raw, sod.long_pos,
             sod_short_avg_price_delta_raw, sod.short_pos);
+      // display
+      public double display_sod_net_pos => qty_conversion.to_display(sod_net_pos);
+      public double display_sod_long_pos => qty_conversion.to_display(sod_long_pos);
+      public double display_sod_short_pos => qty_conversion.to_display(sod_short_pos);
 
       /// Day
       public double day_pnl => cpp *
@@ -395,11 +429,19 @@ namespace bts.shell.pnl {
          MathUtils.weighted_average(
             day_long_avg_price_delta_raw, day.long_pos,
             day_short_avg_price_delta_raw, day.short_pos);
+      // display
+      public double display_day_net_pos => qty_conversion.to_display(day_net_pos);
+      public double display_day_long_pos => qty_conversion.to_display(day_long_pos);
+      public double display_day_short_pos => qty_conversion.to_display(day_short_pos);
 
       /// Raw Day
       public double raw_day_long_pos => raw_day.long_pos;
       public double raw_day_short_pos => raw_day.short_pos;
       public double raw_day_net_pos => raw_day.net_pos;
+      // display
+      public double display_raw_day_net_pos => qty_conversion.to_display(raw_day_net_pos);
+      public double display_raw_day_long_pos => qty_conversion.to_display(raw_day_long_pos);
+      public double display_raw_day_short_pos => qty_conversion.to_display(raw_day_short_pos);
 
       /// Total
       public double total_pnl => DoubleUtil.nan_to_zero_sum(sod_pnl, day_pnl);
@@ -428,6 +470,10 @@ namespace bts.shell.pnl {
          MathUtils.weighted_average(
             total_long_avg_price_delta_raw, total_long_pos,
             total_short_avg_price_delta_raw, total_short_pos);
+      // display
+      public double display_total_net_pos => qty_conversion.to_display(total_net_pos);
+      public double display_total_long_pos => qty_conversion.to_display(total_long_pos);
+      public double display_total_short_pos => qty_conversion.to_display(total_short_pos);
 
       #region Working
       // long
@@ -453,6 +499,10 @@ namespace bts.shell.pnl {
          MathUtils.weighted_average(
             working_long_avg_price_delta_raw, working_long_pos,
             working_short_avg_price_delta_raw, working_short_pos);
+      // display
+      public double display_working_net_pos => qty_conversion.to_display(working_net_pos);
+      public double display_working_long_pos => qty_conversion.to_display(working_long_pos);
+      public double display_working_short_pos => qty_conversion.to_display(working_short_pos);
       #endregion
 
       WaterfallPriceFlags _waterfall_flags() {
@@ -508,7 +558,8 @@ namespace bts.shell.pnl {
          settlement_price.Equals(other.settlement_price) &&
          calc_type.Equals(other.calc_type) &&
          raw_day == other.raw_day &&
-         working.summary == other.working.summary;
+         working.summary == other.working.summary &&
+         qty_conversion == other.qty_conversion;
 
       public override bool Equals(object obj) =>
          obj is PNLRowData other && Equals(other);
@@ -523,7 +574,7 @@ namespace bts.shell.pnl {
    }
 
    static class PNLRowDataFactory {
-      public static PNLRowData create((SecurityImmutable? sec, PNLUnitImmutable value) t) =>
+      public static PNLRowData create((SecurityImmutable? sec, PNLUnitImmutable value, QuantityConversionData qty_conversion) t) =>
          new PNLRowData(new PNLKey(t.value.Pos.AccountId, t.value.Pos.SecurityId),
             t.value.CashValue,
             t.value.BidPrice,
@@ -535,7 +586,8 @@ namespace bts.shell.pnl {
             t.value.Pos.raw_day_pps(),
             WorkingOrderData.Empty,
             t.sec,
-            t.value.Pos.Account);
+            t.value.Pos.Account,
+            qty_conversion: t.qty_conversion);
    }
 
    static class PNLDataExtensions {
@@ -554,6 +606,7 @@ namespace bts.shell.pnl {
             working ?? pnl_data.working,
             security ?? pnl_data.security,
             account_name ?? pnl_data.account_name,
-            calc_type ?? pnl_data.calc_type);
+            calc_type ?? pnl_data.calc_type,
+            qty_conversion: pnl_data.qty_conversion);
    }
-}
+}

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

@@ -16,7 +16,15 @@ namespace bts.shell.pnl {
          decimal sod_long_pos,
          decimal sod_short_pos,
          decimal working_long_pos = 0,
-         decimal working_short_pos = 0) {
+         decimal working_short_pos = 0,
+         decimal? display_day_long_pos = null,
+         decimal? display_day_short_pos = null,
+         decimal? display_raw_day_long_pos = null,
+         decimal? display_raw_day_short_pos = null,
+         decimal? display_sod_long_pos = null,
+         decimal? display_sod_short_pos = null,
+         decimal? display_working_long_pos = null,
+         decimal? display_working_short_pos = null) {
          //
          this.day_pnl = day_pnl;
          this.day_long_pos = day_long_pos;
@@ -28,6 +36,15 @@ namespace bts.shell.pnl {
          this.sod_short_pos = sod_short_pos;
          this.working_long_pos = working_long_pos;
          this.working_short_pos = working_short_pos;
+         // display
+         this.display_day_long_pos = display_day_long_pos ?? day_long_pos;
+         this.display_day_short_pos = display_day_short_pos ?? day_short_pos;
+         this.display_raw_day_long_pos = display_raw_day_long_pos ?? raw_day_long_pos;
+         this.display_raw_day_short_pos = display_raw_day_short_pos ?? raw_day_short_pos;
+         this.display_sod_long_pos = display_sod_long_pos ?? sod_long_pos;
+         this.display_sod_short_pos = display_sod_short_pos ?? sod_short_pos;
+         this.display_working_long_pos = display_working_long_pos ?? working_long_pos;
+         this.display_working_short_pos = display_working_short_pos ?? working_short_pos;
       }
 
       // sod
@@ -35,24 +52,48 @@ namespace bts.shell.pnl {
       public decimal sod_long_pos { get; }
       public decimal sod_short_pos { get; }
       public decimal sod_net_pos => sod_long_pos - sod_short_pos;
+      // sod display
+      public decimal display_sod_long_pos { get; }
+      public decimal display_sod_short_pos { get; }
+      public decimal display_sod_net_pos => display_sod_long_pos - display_sod_short_pos;
+
       // day
       public decimal day_pnl { get; }
       public decimal day_long_pos { get; }
       public decimal day_short_pos { get; }
       public decimal day_net_pos => day_long_pos - day_short_pos;
+      // display
+      public decimal display_day_long_pos { get; }
+      public decimal display_day_short_pos { get; }
+      public decimal display_day_net_pos => display_day_long_pos - display_day_short_pos;
+
       // raw day
       public decimal raw_day_long_pos { get; }
       public decimal raw_day_short_pos { get; }
       public decimal raw_day_net_pos => raw_day_long_pos - raw_day_short_pos;
+      // display
+      public decimal display_raw_day_long_pos { get; }
+      public decimal display_raw_day_short_pos { get; }
+      public decimal display_raw_day_net_pos => display_raw_day_long_pos - display_raw_day_short_pos;
+
       // total
       public decimal total_pnl => sod_pnl + day_pnl;
       public decimal total_net_pos => total_long_pos - total_short_pos;
       public decimal total_long_pos => sod_long_pos + day_long_pos;
       public decimal total_short_pos => sod_short_pos + day_short_pos;
+      // display
+      public decimal display_total_long_pos => display_sod_long_pos + display_day_long_pos;
+      public decimal display_total_short_pos => display_sod_short_pos + display_day_short_pos;
+      public decimal display_total_net_pos => display_total_long_pos - display_total_short_pos;
+
       // working
       public decimal working_long_pos { get; }
-      public decimal working_net_pos => working_long_pos - working_short_pos;
       public decimal working_short_pos { get; }
+      public decimal working_net_pos => working_long_pos - working_short_pos;
+      // display
+      public decimal display_working_long_pos { get; }
+      public decimal display_working_short_pos { get; }
+      public decimal display_working_net_pos => display_working_long_pos - display_working_short_pos;
 
       public bool Equals(PNLNormalizedData other) =>
          day_pnl == other.day_pnl &&
@@ -64,6 +105,17 @@ namespace bts.shell.pnl {
          sod_long_pos == other.sod_long_pos &&
          sod_short_pos == other.sod_short_pos &&
          working_long_pos == other.working_long_pos &&
+         working_short_pos == other.working_short_pos &&
+         // display
+         sod_long_pos == other.sod_long_pos &&
+         sod_short_pos == other.sod_short_pos &&
+         day_long_pos == other.day_long_pos &&
+         day_short_pos == other.day_short_pos &&
+         raw_day_long_pos == other.raw_day_long_pos &&
+         raw_day_short_pos == other.raw_day_short_pos &&
+         total_long_pos == other.total_long_pos &&
+         total_short_pos == other.total_short_pos &&
+         working_long_pos == other.working_long_pos &&
          working_short_pos == other.working_short_pos;
 
       public override bool Equals(object obj) =>
@@ -102,7 +154,16 @@ namespace bts.shell.pnl {
             a.sod_long_pos + b.sod_long_pos,
             a.sod_short_pos + b.sod_short_pos,
             a.working_long_pos + b.working_long_pos,
-            a.working_short_pos + b.working_short_pos);
+            a.working_short_pos + b.working_short_pos,
+            // display
+            a.display_day_long_pos + b.display_day_long_pos,
+            a.display_day_short_pos + b.display_day_short_pos,
+            a.display_raw_day_long_pos + b.display_raw_day_long_pos,
+            a.display_raw_day_short_pos + b.display_raw_day_short_pos,
+            a.display_sod_long_pos + b.display_sod_long_pos,
+            a.display_sod_short_pos + b.display_sod_short_pos,
+            a.display_working_long_pos + b.display_working_long_pos,
+            a.display_working_short_pos + b.display_working_short_pos);
 
       public static PNLNormalizedData operator -(PNLNormalizedData a, PNLNormalizedData b) =>
          new PNLNormalizedData(
@@ -115,6 +176,15 @@ namespace bts.shell.pnl {
             a.sod_long_pos - b.sod_long_pos,
             a.sod_short_pos - b.sod_short_pos,
             a.working_long_pos - b.working_long_pos,
-            a.working_short_pos - b.working_short_pos);
+            a.working_short_pos - b.working_short_pos,
+            // display
+            a.display_day_long_pos - b.display_day_long_pos,
+            a.display_day_short_pos - b.display_day_short_pos,
+            a.display_raw_day_long_pos - b.display_raw_day_long_pos,
+            a.display_raw_day_short_pos - b.display_raw_day_short_pos,
+            a.display_sod_long_pos - b.display_sod_long_pos,
+            a.display_sod_short_pos - b.display_sod_short_pos,
+            a.display_working_long_pos - b.display_working_long_pos,
+            a.display_working_short_pos - b.display_working_short_pos);
    }
 }

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

@@ -14,7 +14,7 @@ namespace bts.shell.pnl {
       public readonly DIYGridAnimationModel<PNLView.Columns, TRow> animation_model = new DIYGridAnimationModel<PNLView.Columns, TRow>(TimeSpan.FromSeconds(0.3));
 
       static readonly Func<WorkingOrderSideData, string> _fmt_working_order_data =
-         d => OrderUtils.order_collection_summary(d.top_price, d.top_volume, d.working_total);
+         d => OrderUtils.order_collection_summary(d.top_price, d.display_top_volume, d.display_working_total);
 
       static readonly IComparer<WorkingOrderSideData> _working_total_comparer =
          Comparer<int>.Default.wrap<int, WorkingOrderSideData>(d => d.working_total);        

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

@@ -31,40 +31,40 @@ namespace bts.shell.pnl {
          security_type_cell = _cell_map.add(ColumnKeys.SecurityType, d => d.security?.ContractCase ?? Security.ContractOneofCase.None);
          exchange_cell = _cell_map.add(ColumnKeys.Exchange, d => d.security?.Exchange ?? Venue.Unset);
          symbol_cell = _cell_map.add(ColumnKeys.Symbol, d => d.security?.Symbol ?? string.Empty);
-         security_cell = _cell_map.add(ColumnKeys.Security, d => d.security, null, EqualityComparer<SecurityImmutable?>.Default, Comparer<SecurityImmutable>.Default.to_nullable());
+         security_cell = _cell_map.add(ColumnKeys.Security, d => (d.security), null, EqualityComparer<SecurityImmutable?>.Default, Comparer<SecurityImmutable>.Default.to_nullable());
          security_key = _cell_map.add(ColumnKeys.SecurityKey, d => d.key.security_id);
          cpp = _cell_map.add(ColumnKeys.CPP, d => d.cpp);
          // sod
          sod_pnl = _cell_map.add_pnl_double(ColumnKeys.SODPNL, d => d.sod_pnl);
-         sod_net_pos = _cell_map.add_net_pos(ColumnKeys.SODNetPos, d => d.sod_net_pos);
-         sod_long_pos = _cell_map.add_long_pos(ColumnKeys.SODLongPos, d => d.sod_long_pos);
+         sod_net_pos = _cell_map.add_net_pos(ColumnKeys.SODNetPos, d => d.display_sod_net_pos);
+         sod_long_pos = _cell_map.add_long_pos(ColumnKeys.SODLongPos, d => d.display_sod_long_pos);
          sod_long_avg_price = _cell_map.add_long_price(ColumnKeys.SODLongAvgPrice, d => d.sod_long_avg_price_raw);
-         sod_short_pos = _cell_map.add_short_pos(ColumnKeys.SODShortPos, d => d.sod_short_pos);
+         sod_short_pos = _cell_map.add_short_pos(ColumnKeys.SODShortPos, d => d.display_sod_short_pos);
          sod_short_avg_price = _cell_map.add_short_price(ColumnKeys.SODShortAvgPrice, d => d.sod_short_avg_price_raw);
          // day
          day_pnl = _cell_map.add_pnl_double(ColumnKeys.DayPNL, d => d.day_pnl);
-         day_net_pos = _cell_map.add_net_pos(ColumnKeys.DayNetPos, d => d.day_net_pos);
-         day_long_pos = _cell_map.add_long_pos(ColumnKeys.DayLongPos, d => d.day_long_pos);
+         day_net_pos = _cell_map.add_net_pos(ColumnKeys.DayNetPos, d => d.display_day_net_pos);
+         day_long_pos = _cell_map.add_long_pos(ColumnKeys.DayLongPos, d => d.display_day_long_pos);
          day_long_avg_price = _cell_map.add_long_price(ColumnKeys.DayLongAvgPrice, d => d.day_long_avg_price_raw);
-         day_short_pos = _cell_map.add_short_pos(ColumnKeys.DayShortPos, d => d.day_short_pos);
+         day_short_pos = _cell_map.add_short_pos(ColumnKeys.DayShortPos, d => d.display_day_short_pos);
          day_short_avg_price = _cell_map.add_short_price(ColumnKeys.DayShortAvgPrice, d => d.day_short_avg_price_raw);
          has_day_trades = _cell_map.add(ColumnKeys.HasDayTrades, d => d.has_day_trades, _fmt_has_day_trades);
          // raw day
-         raw_day_net_pos = _cell_map.add_net_pos(ColumnKeys.RawDayNetPos, d => d.raw_day_net_pos);
-         raw_day_long_pos = _cell_map.add_long_pos(ColumnKeys.RawDayLongPos, d => d.raw_day_long_pos);
-         raw_day_short_pos = _cell_map.add_short_pos(ColumnKeys.RawDayShortPos, d => d.raw_day_short_pos);
+         raw_day_net_pos = _cell_map.add_net_pos(ColumnKeys.RawDayNetPos, d => d.display_raw_day_net_pos);
+         raw_day_long_pos = _cell_map.add_long_pos(ColumnKeys.RawDayLongPos, d => d.display_raw_day_long_pos);
+         raw_day_short_pos = _cell_map.add_short_pos(ColumnKeys.RawDayShortPos, d => d.display_raw_day_short_pos);
          // working
-         working_net_pos = _cell_map.add_net_pos(ColumnKeys.WorkingNetPos, d => d.working_net_pos);
+         working_net_pos = _cell_map.add_net_pos(ColumnKeys.WorkingNetPos, d => d.display_working_net_pos);
          working_long_pos = _cell_map.add_working_long(ColumnKeys.WorkingLongPos, d => d.working.long_data, d => d.bid_price);
          working_long_avg_price = _cell_map.add_long_price(ColumnKeys.WorkingLongAvgPrice, d => d.working_long_avg_price_raw);
          working_short_pos = _cell_map.add_working_short(ColumnKeys.WorkingShortPos, r => r.working.short_data, r => r.ask_price);
          working_short_avg_price = _cell_map.add_short_price(ColumnKeys.WorkingShortAvgPrice, d => d.working_short_avg_price_raw);
          // total
          total_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalPNL, d => d.total_pnl);
-         total_net_pos = _cell_map.add_net_pos(ColumnKeys.TotalNetPos, d => d.total_net_pos);
-         total_long_pos = _cell_map.add_long_pos(ColumnKeys.TotalLongPos, d => d.total_long_pos);
+         total_net_pos = _cell_map.add_net_pos(ColumnKeys.TotalNetPos, d => d.display_total_net_pos);
+         total_long_pos = _cell_map.add_long_pos(ColumnKeys.TotalLongPos, d => d.display_total_long_pos);
          total_long_avg_price = _cell_map.add_long_price(ColumnKeys.TotalLongAvgPrice, d => d.total_long_avg_price_raw);
-         total_short_pos = _cell_map.add_short_pos(ColumnKeys.TotalShortPos, d => d.total_short_pos);
+         total_short_pos = _cell_map.add_short_pos(ColumnKeys.TotalShortPos, d => d.display_total_short_pos);
          total_short_avg_price = _cell_map.add_short_price(ColumnKeys.TotalShortAvgPrice, d => d.total_short_avg_price_raw);
          // market
          bid_price = _cell_map.add_price_double(ColumnKeys.BidPrice, d => d.bid_price);
@@ -112,7 +112,16 @@ namespace bts.shell.pnl {
                   sod_long,
                   sod_short,
                   DoubleUtil.round_to_decimal(data.working_long_pos),
-                  DoubleUtil.round_to_decimal(data.working_short_pos));
+                  DoubleUtil.round_to_decimal(data.working_short_pos),
+                  // display
+                  DoubleUtil.round_to_decimal(data.display_day_long_pos),
+                  DoubleUtil.round_to_decimal(data.display_day_short_pos),
+                  DoubleUtil.round_to_decimal(data.display_raw_day_long_pos),
+                  DoubleUtil.round_to_decimal(data.display_raw_day_short_pos),
+                  DoubleUtil.round_to_decimal(data.display_sod_long_pos),
+                  DoubleUtil.round_to_decimal(data.display_sod_short_pos),
+                  DoubleUtil.round_to_decimal(data.display_working_long_pos),
+                  DoubleUtil.round_to_decimal(data.display_working_short_pos));
                if (_normalized_data != nd) {
                   _normalized_data = nd;
                   updated?.Invoke(nd);
@@ -206,4 +215,4 @@ namespace bts.shell.pnl {
       public override string ToString() =>
          $"account: {account_name} exchange: {exchange} symbol: {symbol} security: {security} buy_quantity: {day_long_pos} sell_quantity: {day_short_pos} pnl: {total_pnl}";
    }
-}
+}

src/client/spark/Modules/Trading/PNL/View/PNLRowCollectionView.cs

@@ -112,27 +112,27 @@ namespace bts.shell.pnl {
          });
          // sod
          sod_pnl = _cell_map.add_pnl(ColumnKeys.SODPNL, d => d.sod_pnl);
-         sod_net_pos = _cell_map.add_net_pos(ColumnKeys.SODNetPos, d => d.sod_net_pos);
-         sod_long_pos = _cell_map.add_long_pos(ColumnKeys.SODLongPos, d => d.sod_long_pos);
-         sod_short_pos = _cell_map.add_short_pos(ColumnKeys.SODShortPos, d => d.sod_short_pos);
+         sod_net_pos = _cell_map.add_net_pos(ColumnKeys.SODNetPos, d => d.display_sod_net_pos);
+         sod_long_pos = _cell_map.add_long_pos(ColumnKeys.SODLongPos, d => d.display_sod_long_pos);
+         sod_short_pos = _cell_map.add_short_pos(ColumnKeys.SODShortPos, d => d.display_sod_short_pos);
          // day
          day_pnl = _cell_map.add_pnl(ColumnKeys.DayPNL, d => d.day_pnl);
-         day_net_pos = _cell_map.add_net_pos(ColumnKeys.DayNetPos, d => d.day_net_pos);
-         day_long_pos = _cell_map.add_long_pos(ColumnKeys.DayLongPos, d => d.day_long_pos);
-         day_short_pos = _cell_map.add_short_pos(ColumnKeys.DayShortPos, d => d.day_short_pos);
+         day_net_pos = _cell_map.add_net_pos(ColumnKeys.DayNetPos, d => d.display_day_net_pos);
+         day_long_pos = _cell_map.add_long_pos(ColumnKeys.DayLongPos, d => d.display_day_long_pos);
+         day_short_pos = _cell_map.add_short_pos(ColumnKeys.DayShortPos, d => d.display_day_short_pos);
          // raw day
-         raw_day_net_pos = _cell_map.add_net_pos(ColumnKeys.RawDayNetPos, d => d.raw_day_net_pos);
-         raw_day_long_pos = _cell_map.add_long_pos(ColumnKeys.RawDayLongPos, d => d.raw_day_long_pos);
-         raw_day_short_pos = _cell_map.add_short_pos(ColumnKeys.RawDayShortPos, d => d.raw_day_short_pos);
+         raw_day_net_pos = _cell_map.add_net_pos(ColumnKeys.RawDayNetPos, d => d.display_raw_day_net_pos);
+         raw_day_long_pos = _cell_map.add_long_pos(ColumnKeys.RawDayLongPos, d => d.display_raw_day_long_pos);
+         raw_day_short_pos = _cell_map.add_short_pos(ColumnKeys.RawDayShortPos, d => d.display_raw_day_short_pos);
          // total
          total_pnl = _cell_map.add(ColumnKeys.TotalPNL, d => d.total_pnl, FormattingDelegates.Price<decimal>.Value);
-         total_net_pos = _cell_map.add(ColumnKeys.TotalNetPos, d => d.total_net_pos);
-         total_long_pos = _cell_map.add(ColumnKeys.TotalLongPos, d => d.total_long_pos);
-         total_short_pos = _cell_map.add(ColumnKeys.TotalShortPos, d => d.total_short_pos);
+         total_net_pos = _cell_map.add(ColumnKeys.TotalNetPos, d => d.display_total_net_pos);
+         total_long_pos = _cell_map.add(ColumnKeys.TotalLongPos, d => d.display_total_long_pos);
+         total_short_pos = _cell_map.add(ColumnKeys.TotalShortPos, d => d.display_total_short_pos);
          // working
-         working_net_pos = _cell_map.add(ColumnKeys.WorkingNetPos, d => d.working_net_pos);
-         working_long_pos = _cell_map.add(ColumnKeys.WorkingLongPos, d => d.working_long_pos);
-         working_short_pos = _cell_map.add(ColumnKeys.WorkingShortPos, d => d.working_short_pos);
+         working_net_pos = _cell_map.add(ColumnKeys.WorkingNetPos, d => d.display_working_net_pos);
+         working_long_pos = _cell_map.add(ColumnKeys.WorkingLongPos, d => d.display_working_long_pos);
+         working_short_pos = _cell_map.add(ColumnKeys.WorkingShortPos, d => d.display_working_short_pos);
 
          _cell_map.on_row(data);
          _cell_map.set_appearances(_animator.cell_appearances);

src/client/spark/Orders/AlgoParamVM.cs

@@ -10,6 +10,7 @@ namespace mbts.spark {
    class AlgoParamVM<T> : IAlgoParamVM<T>, INotifyPropertyChanged, ITemplateSelectorKey {
       readonly IEqualityComparer<T> _comparer;
       readonly string _template_key;
+      readonly Func<T, T> _to_display_value, _from_display_value;
       AlgoParamPermissions _permissions;
       bool _is_enabled, _has_value;
       T _committed_value, _value;
@@ -20,13 +21,15 @@ namespace mbts.spark {
       public AlgoParamVM(string id, string display_name, T value, string template_key = null)
          : this(id, display_name, value, EqualityComparer<T>.Default, template_key) { }
 
-      public AlgoParamVM(string id, string display_name, T value, IEqualityComparer<T> comparer, string template_key = null) {
+      public AlgoParamVM(string id, string display_name, T value, IEqualityComparer<T> comparer, string template_key = null, Func<T, T> to_display_value = null, Func<T, T> from_display_value = null) {
          this.id = id;
          this.display_name = display_name;
          _value = value;
          _committed_value = value;
          _comparer = comparer;
          _template_key = template_key;
+         _to_display_value = to_display_value;
+         _from_display_value = from_display_value;
       }
 
       public event PropertyChangedEventHandler PropertyChanged;
@@ -43,6 +46,10 @@ namespace mbts.spark {
                _toggle_is_dirty();
          }
       }
+      public T display_value {
+         get => _to_display_value == null ? value : _to_display_value(value);
+         set => this.value = _from_display_value == null ? value : _from_display_value(value);
+      }
       public AlgoParamPermissions permissions {
          get => _permissions;
          set {
@@ -54,6 +61,7 @@ namespace mbts.spark {
       public bool has_value { get => _has_value; set => _set(ref _has_value, value); }
       public bool is_dirty { get; private set; }
       object IAlgoParamVM.value { get => value; set => this.value = (T)value; }
+      object IAlgoParamVM.display_value { get => display_value; set => display_value = (T)value; }
 
       string ITemplateSelectorKey.key => _template_key;
 
@@ -64,6 +72,9 @@ namespace mbts.spark {
          }
       }
 
+      public void refresh_display_value() =>
+         PropertyChanged?.Invoke(this, new PropertyChangedEventArgs(nameof(display_value)));
+
       public IObservable<T> subscribe_value() {
          return Observable.Create<T>(o => {
             o.OnNext(_value);
@@ -113,6 +124,7 @@ namespace mbts.spark {
             value_changed(_value, _value = new_value);
          }
          PropertyChanged?.Invoke(this, new PropertyChangedEventArgs(nameof(value)));
+         PropertyChanged?.Invoke(this, new PropertyChangedEventArgs(nameof(display_value)));
       }
 
       void _toggle_is_dirty() {

src/client/spark/Orders/ExistingOrderTicketVM.cs

@@ -18,6 +18,7 @@ namespace mbts.spark {
       readonly Property<TimeInForce> _current_time_in_force;
       readonly Property<CustomOrderDefinition.CustomOneofCase> _current_order_type;
       readonly Property<bool> _price_dirty, _size_dirty, _account_dirty, _time_in_force_dirty, _order_type_dirty;
+      uint _display_quantity_divisor = 1;
 
       public ExistingOrderTicketVM(OrdersModel model, IObservable<(SecurityMD? security_md, OrderRecordImmutable order)> order_source, IObservable<int[]> calculator_buttons) {
          uint? key = null;
@@ -40,7 +41,7 @@ namespace mbts.spark {
             (val, curr) => !double.IsNaN(val) && val != curr));
          _size_dirty = backing(
             nameof(size_dirty),
-            size_calculator.observe_current(true)
+            size_calculator.observe_actual_value()
             .CombineLatest(_current_size.observe_current(true),
             (val, curr) => val.HasValue && val.Value != curr));
          _account_dirty = backing(
@@ -83,14 +84,17 @@ namespace mbts.spark {
          _dispose = Disposable.Create(
             size_calculator,
             properties_vm,
-            security_md_source.OnDispatcher().Subscribe(smd => bbo.security_md = smd),
+            security_md_source.OnDispatcher().Subscribe(smd => {
+               bbo.security_md = smd;
+               display_quantity_divisor = model.security_auxiliary_model.get_display_quantity_divisor(smd.security);
+            }),
             bbo,
             order_source.OnDispatcher().Subscribe(ort => {
                key = ort.order.Key;
                if (DoubleHelper.IsNaNOrInfinity(price))
                   price = ort.order.State.Price;
                if (!size_calculator.value.HasValue || !size_calculator.value_setter_called)
-                  size_calculator.bypass_value_setter(ort.order.State.Quantity);
+                  size_calculator.bypass_value_setter(ort.order.State.Quantity, true);
             }),
             Observable.Merge(_price_dirty, _size_dirty, _account_dirty, _time_in_force_dirty, _order_type_dirty).OnDispatcher().Subscribe(_ => RaisePropertyChanged(nameof(dirty_items_text))),
             _price_dirty.observe_current(true).CombineLatest(_size_dirty.observe_current(true), (pd, sd) => pd || sd).DistinctUntilChanged().OnDispatcher().Subscribe(modify_order));
@@ -104,6 +108,13 @@ namespace mbts.spark {
       public OrderPropertiesEditorVM properties_vm { get; }
       public double price { get => _price.Value; set => _price.Value = value; }
       public CalculatorLogic size_calculator { get; }
+      public uint display_quantity_divisor {
+         get => _display_quantity_divisor;
+         private set {
+            Set(ref _display_quantity_divisor, value);
+            size_calculator.display_divisor = value;
+         }
+      }
       public double current_price => _current_price.Value;
       public uint current_size => _current_size.Value;
       public AccountTuple current_account => _current_account.Value;
@@ -137,4 +148,4 @@ namespace mbts.spark {
          if (_order_type_dirty.Value) yield return "type";
       }
    }
-}
+}

src/client/spark/Orders/NewOrderTicketVM.cs

@@ -31,6 +31,7 @@ namespace mbts.spark {
 
    class NewOrderTicketVM : DisposableViewModelBase, IRequestViewClose {
       readonly Property<SecurityImmutable> _security;
+      uint _display_quantity_divisor = 1;
 
       public NewOrderTicketVM(OrdersModel model, SecurityMD security_md, OrderDefinitionImmutable def, double price, uint size, IObservable<int[]> calculator_buttons)
          : this(model, Observable.Return(security_md), Observable.Return(new InlineOrderTicketProperties(model, def, price, size)), calculator_buttons) { }
@@ -61,7 +62,10 @@ namespace mbts.spark {
          set_price_command = new DelegateCommand<double>(set_price);
          _dispose = Disposable.Create(
             bbo,
-            security_md_source.OnDispatcher().Subscribe(smd => bbo.security_md = smd),
+            security_md_source.OnDispatcher().Subscribe(smd => {
+               bbo.security_md = smd;
+               display_quantity_divisor = model.security_auxiliary_model.get_display_quantity_divisor(smd.security);
+            }),
             size_calculator = new CalculatorLogic(0, calculator_buttons),
             props_source.OnDispatcher().Subscribe(p => on_props(p.price, p.size))
          );
@@ -83,6 +87,13 @@ namespace mbts.spark {
       public SecurityImmutable security => _security.Value;
       public double price { get; set; }
       public CalculatorLogic size_calculator { get; }
+      public uint display_quantity_divisor {
+         get => _display_quantity_divisor;
+         private set {
+            Set(ref _display_quantity_divisor, value);
+            size_calculator.display_divisor = value;
+         }
+      }
       public OrderPropertiesEditorVM properties_vm { get; }
       public BBOVM bbo { get; }
       public bool close_on_send { get; set; }

src/client/spark/Orders/OrderModificationControl.xaml

@@ -85,7 +85,7 @@
         usp:OrderModificationControl.IsDirty="{Binding size_dirty, FallbackValue={x:Null}}"
         CommitOnEnter="True"
         Focusable="False"
-        Value="{Binding size_calculator.value}"
+        Value="{Binding size_calculator.display_value}"
       />
     </Grid>
     <Grid Grid.Column="2">
@@ -114,15 +114,26 @@
         <ColumnDefinition/>
       </Grid.ColumnDefinitions>
       <Button
-        Content="{Binding bbo.bid_size}" Command="{Binding size_calculator.set_value_command}"
-        CommandParameter="{Binding bbo.bid_size}" Foreground="{u:BTSColor MarketData.bid}"
-      />
+        Command="{Binding size_calculator.set_actual_value_command}"
+        CommandParameter="{Binding bbo.bid_size}"
+        Foreground="{u:BTSColor MarketData.bid}"
+      >
+        <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}">
+          <Binding Path="bbo.bid_size"/>
+          <Binding Path="display_quantity_divisor"/>
+        </MultiBinding>
+      </Button>
       <Button
         Grid.Column="2"
-        Content="{Binding bbo.ask_size}" Command="{Binding size_calculator.set_value_command}"
+        Command="{Binding size_calculator.set_actual_value_command}"
         CommandParameter="{Binding bbo.ask_size}"
         Foreground="{u:BTSColor MarketData.ask}"
-      />
+      >
+        <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}">
+          <Binding Path="bbo.ask_size"/>
+          <Binding Path="display_quantity_divisor"/>
+        </MultiBinding>
+      </Button>
     </Grid>
     <Grid Grid.Row="4" Grid.RowSpan="3">
       <Grid.RowDefinitions>
@@ -139,9 +150,18 @@
         <ItemsControl.ItemTemplate>
           <DataTemplate>
             <Button
-              Margin="2,4,2,0" Content="{Binding}" Focusable="False" CommandParameter="{Binding}"
+              Margin="2,4,2,0"
+              Content="{Binding}"
+              Focusable="False"
               Command="{Binding Path=DataContext.click, RelativeSource={RelativeSource AncestorType=ItemsControl}}"
-            />
+            >
+              <Button.CommandParameter>
+                <MultiBinding Converter="{x:Static cv:DynamicDoubleMultiplierConverter.Instance}">
+                  <Binding/>
+                  <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=usp:OrderModificationControl}"/>
+                </MultiBinding>
+              </Button.CommandParameter>
+            </Button>
           </DataTemplate>
         </ItemsControl.ItemTemplate>
       </ItemsControl>

src/client/spark/Orders/OrderTicket.xaml

@@ -1,13 +1,16 @@
-<Window x:Class="mbts.ui.spark.OrderTicket"
-        xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
-        xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
-        xmlns:msys="clr-namespace:bts.api;assembly=spark_api"
-        xmlns:u="clr-namespace:mbts.ui"
-        xmlns:usp="clr-namespace:mbts.ui.spark"
-        xmlns:sys="clr-namespace:System;assembly=mscorlib"
-        u:WindowStyle.SizeToContent="WidthAndHeight"
-        u:WindowStyle.TitleContent="{Binding bbo, Mode=OneWay}"
-        Style="{StaticResource BTSWindowTitleTemplate}">
+<Window
+  x:Class="mbts.ui.spark.OrderTicket"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:msys="clr-namespace:bts.api;assembly=spark_api"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:cv="clr-namespace:mbts.ui.converters"
+  xmlns:usp="clr-namespace:mbts.ui.spark"
+  xmlns:sys="clr-namespace:System;assembly=mscorlib"
+  u:WindowStyle.SizeToContent="WidthAndHeight"
+  u:WindowStyle.TitleContent="{Binding bbo, Mode=OneWay}"
+  Style="{StaticResource BTSWindowTitleTemplate}"
+>
   <Window.Resources>
     <ResourceDictionary>
       <ResourceDictionary.MergedDictionaries>
@@ -123,7 +126,12 @@
       <TextBlock>
         <TextBlock.Inlines>
           <Run Text="{Binding security, Mode=OneWay}" FontWeight="Bold"/>
-          <Run Foreground="{u:BTSColor MarketData.bid}" FontSize="10" Text="{Binding bid_size, Mode=OneWay, StringFormat='{}({0})'}"/>
+          <Run Foreground="{u:BTSColor MarketData.bid}" FontSize="10">
+            <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}" Mode="OneWay" StringFormat="({0})">
+              <Binding Path="bid_size" Mode="OneWay"/>
+              <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
+            </MultiBinding>
+          </Run>
           <Run Foreground="{u:BTSColor MarketData.bid}" FontWeight="Bold">
             <Run.Text>
               <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
@@ -140,7 +148,12 @@
               </MultiBinding>
             </Run.Text>
           </Run>
-          <Run Foreground="{u:BTSColor MarketData.ask}" FontSize="10" Text="{Binding ask_size, Mode=OneWay, StringFormat='{}({0})'}"/>
+          <Run Foreground="{u:BTSColor MarketData.ask}" FontSize="10">
+            <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}" Mode="OneWay" StringFormat="({0})">
+              <Binding Path="ask_size" Mode="OneWay"/>
+              <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
+            </MultiBinding>
+          </Run>
         </TextBlock.Inlines>
       </TextBlock>
     </DataTemplate>

src/client/spark/Orders/OrderTypeVMs/IOrderTypeVM.cs

@@ -70,6 +70,7 @@ namespace mbts.spark {
       string id { get; }
       string display_name { get; }
       object value { get; set; }
+      object display_value { get; set; }
       bool is_enabled { get; set; }
       bool is_dirty { get; }
       bool has_value { get; }
@@ -81,6 +82,7 @@ namespace mbts.spark {
    interface IAlgoParamVM<T> : IAlgoParamVM {
       event PropertyChange<T> value_changed;
       new T value { get; set; }
+      new T display_value { get; set; }
    }
 
    interface IAlgoSelector : IAlgoParamVM<IAlgoVM>, IObserver<(IReadOnlyDictionary<AlgoKey, AlgoData> algo_data, AlgoKey? default_algo)> {

src/client/spark/Orders/OrderTypeVMs/OrderTypeVMFactory.cs

@@ -985,8 +985,10 @@ namespace mbts.spark {
 
          #region IAlgoParamVM
          IAlgoVM IAlgoParamVM<IAlgoVM>.value { get => selected_algo; set => selected_algo = value; }
+         IAlgoVM IAlgoParamVM<IAlgoVM>.display_value { get => selected_algo; set => selected_algo = value; }
          event PropertyChange<IAlgoVM> IAlgoParamVM<IAlgoVM>.value_changed { add => selected_algo_changed += value; remove => selected_algo_changed -= value; }
          object IAlgoParamVM.value { get => selected_algo; set => selected_algo = (IAlgoVM)value; }
+         object IAlgoParamVM.display_value { get => selected_algo; set => selected_algo = (IAlgoVM)value; }
          bool IAlgoParamVM.has_value => _algo != null;
          // changing child algos is not allowed, so an algo selector is never dirty
          bool IAlgoParamVM.is_dirty => false;

src/client/spark/Orders/OrderUtils.cs

@@ -240,8 +240,8 @@ namespace mbts.spark {
       public static string price_quantity_description(double price, uint quantity, ContractSpecificationImmutable spec) =>
          new StringBuilderEx(quantity.ToString(), " @ ", spec.format(price) ?? price.ToString("#0.00##")).ToString();
 
-      public static string filled_status_description(this OrderRecordImmutable order, ContractSpecificationImmutable spec) {
-         var sb = new StringBuilderEx("filled ", order.filled().ToString());
+      public static string filled_status_description(this OrderRecordImmutable order, ContractSpecificationImmutable spec, uint display_qty_divisor = 1) {
+         var sb = new StringBuilderEx("filled ", order.filled().safe_divide(display_qty_divisor).ToString());
          if (order.filled() > 0)
             sb.Add(" @ ", spec.format(order.avg_price()));
          sb.Add(", ", camel_to_title_case(order.status().ToString(), TextCapitalizationFormat.NoCaps));

src/client/spark/Orders/OrdersModel.cs

@@ -10,6 +10,7 @@ using bts.spark;
 using bts.utils;
 using mbts.config;
 using mbts.spark.utilities;
+using mbts.ui;
 using mbts.utils;
 using System;
 using System.Collections.Generic;
@@ -26,8 +27,9 @@ using OrderUpdatePiq = bts.api.core.TableUpdate<bts.api.orderman.OrderSecurity,
 namespace mbts.spark {
    [Export]
    class OrdersModel : IDisposable {
-      public readonly MarketDataAuxiliaryModel md_auxiliary_model;
       public static readonly bool piq_enabled = Configuration.get<bts.config.toggles.PlacementInQueue>().enabled;
+      public readonly MarketDataAuxiliaryModel md_auxiliary_model;
+      public readonly ISecurityAuxiliaryDataModel security_auxiliary_model;
 
       readonly IBus _bus;
       readonly OrderFactory _factory;
@@ -44,8 +46,20 @@ namespace mbts.spark {
       IDisposable _dispose;
 
       [ImportingConstructor]
-      OrdersModel(IBus bus, OrderFactory factory, OrderService service, PositionService position_service, MBOService mbo_service,
-         SpreaderModel spreader, DynamicOrderHelper dynamic_helper, AdminModel admin_model, IAlgoStudioModel algo_model, MarketDataAuxiliaryModel md_auxiliary_model, SecurityStore sstore, ErrorReporter error) {
+      OrdersModel(IBus bus,
+         OrderFactory factory,
+         OrderService service,
+         PositionService position_service,
+         MBOService mbo_service,
+         SpreaderModel spreader,
+         DynamicOrderHelper dynamic_helper,
+         AdminModel admin_model,
+         IAlgoStudioModel algo_model,
+         ISecurityAuxiliaryDataModel security_auxiliary_model,
+         MarketDataAuxiliaryModel md_auxiliary_model,
+         SecurityStore sstore,
+         ErrorReporter error) {
+         //
          _bus = bus;
          _factory = factory;
          _service = service;
@@ -57,6 +71,7 @@ namespace mbts.spark {
          this.admin_model = admin_model;
          this.algo_model = algo_model;
          this.md_auxiliary_model = md_auxiliary_model;
+         this.security_auxiliary_model = security_auxiliary_model;
          var scheduler = ThreadPoolScheduler.Instance;
          var interval = TimeSpan.FromMilliseconds(100);
          on_orders = admin_model
@@ -80,7 +95,10 @@ namespace mbts.spark {
                _position_service.subscribei_pnl_data().Naggle(interval, scheduler),
                p => p.Pos.AccountId)
             .join(sstore, p => p.Pos.SecurityId)
-            .TableCheckedAutoCorrect(EqualityComparer<(SecurityImmutable? sec, PNLUnitImmutable data)>.Default)
+            .Select(
+               tup => (tup.sec, tup.val, new QuantityConversionData(security_auxiliary_model.get_display_quantity_divisor(tup.sec), QuantityConversionData.OpType.DivideActual)),
+               tup => tup.val.RecordId)
+            .TableCheckedAutoCorrect(EqualityComparer<(SecurityImmutable?, PNLUnitImmutable, QuantityConversionData)>.Default)
             .Where(t => t.has_changes())
             .Cache();
          var working_orders = on_orders.Filter(tup => tup.order.is_active());
@@ -167,8 +185,8 @@ namespace mbts.spark {
                working_account_order_groups,
                PNLRowData.key_fn,
                acc_orders => acc_orders.group_key,
-               (pnl_row_data, acc_orders, pnl_key) => pnl_row_data.with(working: WorkingOrderData.Create(acc_orders.table.state.Values.Select(t => t.order))),
-               (pnl_row_data, pnl_id) => pnl_row_data,
+               (row, acc_orders, pnl_key) => row.with(working: WorkingOrderData.Create(acc_orders.table.state.Values.Select(t => t.order), row.qty_conversion)),
+               (row, pnl_id) => row,
                (acc_orders, pnl_id) => {
                   string account;
                   SecurityImmutable? security;
@@ -182,7 +200,9 @@ namespace mbts.spark {
                   return new PNLRowData(pnl_id,
                      security: security,
                      account_name: account,
-                     working: WorkingOrderData.Create(acc_orders.table.state.Values.Select(t => t.order)));
+                     working: WorkingOrderData.Create(
+                        acc_orders.table.state.Values.Select(t => t.order),
+                        new QuantityConversionData(security_auxiliary_model.get_display_quantity_divisor(security), QuantityConversionData.OpType.DivideActual)));
                },
                PNLRowData.key_fn)
                .Where(t => t.has_changes())
@@ -282,7 +302,7 @@ namespace mbts.spark {
       public IObservable<TableUpdate<FillTuple, string>> on_fill_tuples { get; }
       public IObservable<TableUpdate<FillTuple, string>> on_fill_tuples_with_root { get; }
       public IObservable<IReadOnlyDictionary<uint, OrderSecurity>> working_orders { get; }
-      public IObservable<TableUpdate<(SecurityImmutable?, PNLUnitImmutable), int>> on_pnl { get; }
+      public IObservable<TableUpdate<(SecurityImmutable?, PNLUnitImmutable, QuantityConversionData), int>> on_pnl { get; }
       public IObservable<TableUpdate<PNLRowData, PNLKey>> security_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; }

src/client/spark/Security/ISecurityAuxiliaryDataModel.cs

@@ -0,0 +1,45 @@
+using bts.api;
+using bts.utils;
+using mbts.config;
+using System.Collections.Generic;
+using System.ComponentModel.Composition;
+
+namespace mbts.spark {
+   interface ISecurityAuxiliaryDataModel {
+      SecurityAuxiliaryData? get_auxiliary_data(SecurityImmutable security);
+   }
+
+   readonly struct SecurityAuxiliaryData {
+      public SecurityAuxiliaryData(uint quantity_divisor) =>
+         this.quantity_divisor = quantity_divisor;
+
+      public static SecurityAuxiliaryData Default => new SecurityAuxiliaryData(1);
+
+      public uint quantity_divisor { get; }
+   }
+
+   [Export(typeof(ISecurityAuxiliaryDataModel))]
+   class SecurityAuxiliaryDataModel : ISecurityAuxiliaryDataModel {
+      readonly Dictionary<string, SecurityAuxiliaryData> _auxiliary_data = new Dictionary<string, SecurityAuxiliaryData>();
+
+      public SecurityAuxiliaryDataModel() {
+         var sym_config = Configuration.get<bts.config.SymbolUIConfiguration>();
+         var sym_config_items = Configuration.get<bts.config.SymbolUIConfiguration>().items;
+         foreach (var item in sym_config_items)
+            _auxiliary_data[item.symbol] = new SecurityAuxiliaryData(item.display_quantity_divisor);
+      }
+
+      public SecurityAuxiliaryData? get_auxiliary_data(SecurityImmutable security) =>
+         security.ToString().SafeContains("ICE Lots") ?
+            new SecurityAuxiliaryData(1) :
+            _auxiliary_data.TryGetValue(security.Symbol, out var d) ? d : (SecurityAuxiliaryData?)null;
+   }
+
+   static class SecurityAuxiliaryDataModelExtensions {
+      public static uint get_display_quantity(this ISecurityAuxiliaryDataModel model, SecurityImmutable? security, uint actual_qty) =>
+         actual_qty.safe_divide(model.get_display_quantity_divisor(security));
+
+      public static uint get_display_quantity_divisor(this ISecurityAuxiliaryDataModel model, SecurityImmutable? security) =>
+         security.HasValue ? model.get_auxiliary_data(security.Value)?.quantity_divisor ?? 1 : 1;
+   }
+}

src/client/spark/core/GlobalExtensions/DoubleHelper.cs

@@ -38,9 +38,6 @@ namespace mbts {
       public static bool IsNonZero(this double value) =>
          value != 0 && !double.IsNaN(value) && !double.IsInfinity(value);
 
-      public static bool IsRealNonZero(this double value) =>
-         value > 0 && value != double.PositiveInfinity;
-
       public static double CoerceNaN(double value) => CoerceNaN(value, 0.0);
       public static double CoerceNaN(double value, double if_nan) => double.IsNaN(value) ? if_nan : value;
       public static double CoerceNaNOrInfinity(double value) => CoerceNaNOrInfinity(value, 0.0);

src/client/spark/view/Controls/DataGridEx/Filters/VM/RegexFilterVM.cs

@@ -1,39 +1,43 @@
-using System;
-using System.Text.RegularExpressions;
+using System;
+using System.Text.RegularExpressions;
+
+namespace mbts.spark.filters {
+   static class RegexFilterUtils {
+      public static Regex build_regex(string str) {
+         if (str == null)
+            return null;
+         str = str.Trim();
+         if (str == string.Empty)
+            return null;
+         return new Regex(str, RegexOptions.IgnoreCase | RegexOptions.IgnorePatternWhitespace);
+      }
+   }
+   class RegexFilterVM<TRow> : FilterVMBase<TRow, string, string> {
+      string _text = string.Empty;
+      Regex _regex;
+
+      public RegexFilterVM(Func<TRow, string> get_row_val, string prop_name = null) : base(get_row_val, prop_name) { }
+
+      public string text {
+         get => _text;
+         set => _regex = RegexFilterUtils.build_regex(_text = (value ?? string.Empty));
+      }
+
+      public override string get_state() => _text ?? string.Empty;
+
+      protected override bool _get_active() => _regex != null;
+      protected override bool _filter(string value) =>
+         _regex != null && (
+            _regex.IsMatch(value) ||
+            (!string.IsNullOrEmpty(value) && _regex.IsMatch(value.Replace(" ", ""))));
 
-namespace mbts.spark.filters {
-   static class RegexFilterUtils {
-      public static Regex build_regex(string str) {
-         if (str == null)
-            return null;
-         str = str.Trim();
-         if (str == string.Empty)
-            return null;
-         return new Regex(str, RegexOptions.IgnoreCase | RegexOptions.IgnorePatternWhitespace);
-      }
-   }
-   class RegexFilterVM<TRow> : FilterVMBase<TRow, string, string> {
-      string _text = string.Empty;
-      Regex _regex;
-
-      public RegexFilterVM(Func<TRow, string> get_row_val, string prop_name = null) : base(get_row_val, prop_name) { }
-
-      public string text {
-         get => _text;
-         set => _regex = RegexFilterUtils.build_regex(_text = (value ?? string.Empty));
-      }
-
-      public override string get_state() => _text ?? string.Empty;
-
-      protected override bool _get_active() => _regex != null;
-      protected override bool _filter(string value) => _regex != null && _regex.IsMatch(value);
-      protected override void _load_state_internal(string state) => text = state;
-      protected override void _clear() {
-         _close();
-         _text = string.Empty;
-         _regex = null;
-         RaisePropertyChanged(nameof(text));
-         _raise_filter_changed();
-      }
-   }
+      protected override void _load_state_internal(string state) => text = state;
+      protected override void _clear() {
+         _close();
+         _text = string.Empty;
+         _regex = null;
+         RaisePropertyChanged(nameof(text));
+         _raise_filter_changed();
+      }
+   }
 }

src/client/spark/view/Converters/Numeric/DoubleDivisorConverter.cs

@@ -0,0 +1,38 @@
+using bts.utils;
+using System;
+using System.Globalization;
+using System.Windows.Controls;
+using System.Windows.Data;
+
+namespace mbts.ui.converters {
+   [ValueConversion(typeof(double), typeof(string))]
+   class DoubleDivisorConverter : IValueConverter {
+      public double Divisor { get; set; }
+
+      public object Convert(object value, Type targetType, object parameter, CultureInfo culture) =>
+         value is double d ? d.safe_divide(Divisor) :
+         value is int i ? i.safe_divide(Divisor) :
+         value is uint u ? u.safe_divide(Divisor) :
+         double.NaN;
+
+      public object ConvertBack(object value, Type targetType, object parameter, CultureInfo culture) =>
+         value is double d ? d * Divisor :
+         value is int i ? (double)i * Divisor :
+         value is uint u ? (double)u * Divisor :
+         double.NaN;
+   }
+
+   class DynamicDoubleDivisorConverter : IMultiValueConverter {
+      public static DynamicDoubleDivisorConverter Instance { get; } = new DynamicDoubleDivisorConverter();
+
+      public object Convert(object[] values, Type targetType, object parameter, CultureInfo culture) {
+         if (ConvertUtils.try_convert_args(values, out double value, out double div)) {
+            return value.safe_divide(div);
+         }
+         return new ValidationResult(false, "unable to convert values to doubles.");
+      }
+
+      public object[] ConvertBack(object value, Type[] targetTypes, object parameter, CultureInfo culture) =>
+         throw new NotSupportedException();
+   }
+}

src/client/spark/view/Converters/Numeric/DoubleMultiplierConverter.cs

@@ -1,5 +1,6 @@
 using System;
 using System.Globalization;
+using System.Windows.Controls;
 using System.Windows.Data;
 
 namespace mbts.ui.converters {
@@ -19,4 +20,18 @@ namespace mbts.ui.converters {
          value is uint u ? (double)u / Multiplier :
          double.NaN;
    }
-}
+
+   class DynamicDoubleMultiplierConverter : IMultiValueConverter {
+      public static DynamicDoubleMultiplierConverter Instance { get; } = new DynamicDoubleMultiplierConverter();
+
+      public object Convert(object[] values, Type targetType, object parameter, CultureInfo culture) {
+         if (ConvertUtils.try_convert_args(values, out double value, out double mult)) {
+            return value * mult;
+         }
+         return new ValidationResult(false, "unable to convert values to doubles.");
+      }
+
+      public object[] ConvertBack(object value, Type[] targetTypes, object parameter, CultureInfo culture) =>
+         throw new NotSupportedException();
+   }
+}

src/client/spark/view/Extensions/HighDpiExtensions.cs

@@ -183,7 +183,7 @@ namespace mbts.ui.dpi {
       }
 
       public static void DrawHorizontalLine(this DrawingContext drawing_context, System.Windows.Media.Pen pen, Point start, double length, bool snap_to_device_pixels) {
-         if (pen == null || !length.IsRealNonZero()) {
+         if (pen == null || !length.is_real_positive()) {
             // no need to flip out and throw an exception
             return;
          }

src/client/spark/view/Extensions/MarkupExtensions/Numeric/DoubleExtension.cs

@@ -1,4 +1,5 @@
-using System;
+using bts.utils;
+using System;
 using System.ComponentModel;
 using System.Windows.Markup;
 
@@ -19,7 +20,7 @@ namespace mbts.ui {
       public double RoundingUnit { get; set; }
 
       public override object ProvideValue(IServiceProvider serviceProvider) =>
-         RoundingUnit.IsRealNonZero() ? Math.Round(Value * RoundingUnit) / RoundingUnit : Value;
+         RoundingUnit.is_real_non_zero() ? Math.Round(Value * RoundingUnit) / RoundingUnit : Value;
    }
 
    internal class DoubleStringTypeConverter : TypeConverter

src/client/spark/view/Spark/Ladder/MBO/MBOPopupModel.cs

@@ -45,15 +45,16 @@ namespace mbts.spark {
       readonly SecurityImmutable _security;
       readonly MBOSecurityQueryImmutable _query;
       readonly Dictionary<(string,bool), FormattedText> _cache;
+      readonly Func<int, string> _fmt_mbo_qty;
       int _max_order_size = 1;
       double _height = 0;
       double _number_width = 0;
 
-
-      public MBOPopupModel(MBOService mbo, SecurityImmutable security, MBOSecurityQueryImmutable query) {
+      public MBOPopupModel(MBOService mbo, SecurityImmutable security, MBOSecurityQueryImmutable query, Func<int, string> fmt_mbo_qty) {
          _mbo = mbo;
          _security = security;
          _query = query;
+         _fmt_mbo_qty = fmt_mbo_qty ?? new Func<int, string>(v => v.ToString());
 
          // prime the cache with numbers on the left hand side
          _cache =
@@ -110,7 +111,7 @@ namespace mbts.spark {
 
          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() + (ismine(o) ? "*" : ""), ismine(o))).ToList();
+         pdp.row_labels = p.orders.Select(o => format_text(_fmt_mbo_qty(o.Size) + (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;

src/client/spark/view/Spark/Shell/CalculatorLogic.cs

@@ -7,26 +7,53 @@ using System.Windows.Input;
 namespace mbts.spark {
    public class CalculatorLogic : DisposableViewModelBase {
       readonly UserProperty<uint?> _value;
+      readonly OptionalDisplayQuantityMultiplier _display_translator = new OptionalDisplayQuantityMultiplier();
+      IDisposable _prop_changes_echo;
       int[] _buttons;
 
-      public CalculatorLogic(uint? initial_size) =>
+      public CalculatorLogic(uint? initial_size) {
          _value = new UserProperty<uint?>(backing(nameof(value), initial_size));
+         _echo_props_changed();
+      }
 
       public CalculatorLogic(uint? initial_size, IObservable<int[]> buttons_source) : this(initial_size) =>
          _dispose = buttons_source.Subscribe(newval => buttons = newval);
 
-      public uint? value { get => _value.Value; set => _value.Value = value; }
+      public uint display_divisor {
+         get => _display_translator.conversion_data.value;
+         set => _display_translator.conversion_data = new QuantityConversionData(value, QuantityConversionData.OpType.DivideActual);
+      }
+      public uint? value {
+         get => _display_translator.actual_value;
+         set => _display_translator.actual_value = value;
+      }
+      public uint? display_value {
+         get => _display_translator.display_value;
+         set => _display_translator.display_value = value;
+      }
       public bool value_setter_called => _value.setter_called;
-      public IObservable<uint?> value_observable => _value.Select(vals => vals.newval);
       public int[] buttons { get => _buttons; set => Set(ref _buttons, value); }
       public ICommand click => new DelegateCommand<uint>(handle_calculator_click);
-      public ICommand set_value_command => new DelegateCommand<uint>(v => _value.Value = v);
-      public ICommand clear => new DelegateCommand(() => _value.Value = null);
+      public ICommand set_display_value_command => new DelegateCommand<uint>(v => _display_translator.display_value = v);
+      public ICommand set_actual_value_command => new DelegateCommand<uint>(v => _display_translator.actual_value = v);
+      public ICommand clear => new DelegateCommand(() => _display_translator.actual_value = null);
 
-      public IObservable<uint?> observe_current(bool start_immediately = false) =>
-         _value.observe_current(start_immediately);
+      public IObservable<uint?> observe_actual_value() =>
+         _display_translator.subscribe_actual_value();
 
-      public void bypass_value_setter(uint value) => _value.bypass_setter(value);
+      // Don't use a default value for 'is_actual_value.'
+      // Quietly multiplying (or not multiplying) the size input is dangerous -
+      // force the caller to be specific.
+      public void bypass_value_setter(uint value, bool is_actual_value) {
+         Disposable.dispose(ref _prop_changes_echo);
+         if (is_actual_value) {
+            this.value = value;
+         } else {
+            display_value = value;
+         }
+         if (_prop_changes_echo != null)
+            _echo_props_changed();
+      }
 
       public bool validate() {
          if (!value.HasValue || value.Value == 0) {
@@ -38,25 +65,34 @@ namespace mbts.spark {
       public void flash_error() =>
          flash_error(nameof(value)).ignore();
 
+      protected override void Dispose(bool disposing) {
+         Disposable.dispose(ref _prop_changes_echo);
+         base.Dispose(disposing);
+      }
+
+      void _echo_props_changed() {
+         // dispose the echo to avoid raising prop changed events more than once
+         _prop_changes_echo?.Dispose();
+         _prop_changes_echo = _display_translator.connect_owner(this, nameof(display_value), nameof(value));
+      }
+
       void handle_calculator_click(uint value) {
          if (Keyboard.IsKeyDown(Key.LeftShift) || Keyboard.IsKeyDown(Key.RightShift) || value == 0) {
-            _value.Value = value;
+            _display_translator.actual_value = value;
          } else if (KeyboardExtensions.IsCtrlDown()) {
-            if (!_value.Value.HasValue)
-               _value.Value = 0;
-            else {
-               if (value > _value.Value)
-                  _value.Value = 0;
-               else
-                  _value.Value -= value;
+            if (!_display_translator.actual_value.HasValue) {
+               _display_translator.actual_value = 0;
+            } else if (value > _display_translator.actual_value) {
+               _display_translator.actual_value = 0;
+            } else {
+               _display_translator.actual_value -= value;
             }
-         }
-         else {
-            if (!_value.Value.HasValue)
-               _value.Value = value;
+         } else {
+            if (!_display_translator.actual_value.HasValue)
+               _display_translator.actual_value = value;
             else
-               _value.Value += value;
+               _display_translator.actual_value += value;
          }
       }
    }
-}
+}

src/client/spark/view/Utility/IDisplayTranslator.cs

@@ -0,0 +1,172 @@
+using bts.utils;
+using mbts.ui.shell;
+using System;
+using System.Collections.Generic;
+using System.Reactive.Linq;
+
+namespace mbts.ui {
+   interface IDisplayTranslator<T> {
+      T display_value { get; set; }
+      T actual_value { get; set; }
+      event Action value_changed;
+   }
+
+   readonly struct QuantityConversionData : IEquatable<QuantityConversionData> {
+      public QuantityConversionData(uint value, OpType op) {
+         this.value = value;
+         this.op = op;
+      }
+
+      public enum OpType {
+         None,
+         MultiplyActual,
+         DivideActual
+      }
+
+      public uint value { get; }
+      public OpType op { get; }
+
+      public bool Equals(QuantityConversionData other) =>
+         value == other.value &&
+         op == other.op;
+
+      public override bool Equals(object obj) =>
+         obj is QuantityConversionData other && Equals(other);
+
+      public override int GetHashCode() =>
+         EqualityComparer.auto_phase(value.GetHashCode(), op.GetHashCode());
+
+      public static bool operator ==(QuantityConversionData x, QuantityConversionData y) => x.Equals(y);
+      public static bool operator !=(QuantityConversionData x, QuantityConversionData y) => !x.Equals(y);
+   }
+
+   class DisplayQuantityMultiplier : IDisplayTranslator<uint> {
+      uint _actual_value;
+      QuantityConversionData _conversion_data;
+
+      public event Action value_changed;
+
+      public uint actual_value {
+         get => _actual_value;
+         set {
+            if (_actual_value != value) {
+               _actual_value = value;
+               value_changed?.Invoke();
+            }
+         }
+      }
+
+      public uint display_value {
+         get => _conversion_data.to_display(_actual_value);
+         set => actual_value = _conversion_data.from_display(value);
+      }
+
+      public QuantityConversionData conversion_data {
+         get => _conversion_data;
+         set {
+            if (_conversion_data != value) {
+               _conversion_data = value;
+               value_changed?.Invoke();
+            }
+         }
+      }
+   }
+
+   class OptionalDisplayQuantityMultiplier : IDisplayTranslator<uint?> {
+      uint? _actual_value;
+      QuantityConversionData _conversion_data;
+
+      public event Action value_changed;
+
+      public uint? actual_value {
+         get => _actual_value;
+         set {
+            if (_actual_value != value) {
+               _actual_value = value;
+               value_changed?.Invoke();
+            }
+         }
+      }
+
+      public uint? display_value {
+         get => _actual_value.HasValue ? _conversion_data.to_display(_actual_value.Value) : _actual_value;
+         set => actual_value = value.HasValue ? _conversion_data.from_display(value.Value) : value;
+      }
+
+      public QuantityConversionData conversion_data {
+         get => _conversion_data;
+         set {
+            if (_conversion_data != value) {
+               _conversion_data = value;
+               value_changed?.Invoke();
+            }
+         }
+      }
+   }
+
+   static class DisplayTranslatorExtensions {
+      public static IDisposable connect_owner<T>(this IDisplayTranslator<T> display_translator, IRaiseNotifyPropertyChanged owner, params string[] properties) {
+         if (display_translator is null)
+            throw new ArgumentNullException(nameof(display_translator));
+         if (owner is null)
+            throw new ArgumentNullException(nameof(owner));
+         display_translator.value_changed += on_value_changed;
+         return Disposable.Create(() => display_translator.value_changed -= on_value_changed);
+         void on_value_changed() {
+            for (int i = 0; i < properties.Length; i++)
+               owner.raise_notify_property_changed(properties[i]);
+         }
+      }
+
+      public static IObservable<T> subscribe_actual_value<T>(this IDisplayTranslator<T> display_translator) =>
+         subscribe_actual_value(display_translator, EqualityComparer<T>.Default);
+
+      public static IObservable<T> subscribe_actual_value<T>(this IDisplayTranslator<T> display_translator, IEqualityComparer<T> comparer) {
+         if (comparer is null)
+            throw new ArgumentNullException(nameof(comparer));
+         return Observable.Create<T>(o => {
+            var curr = display_translator.actual_value;
+            o.OnNext(curr);
+            display_translator.value_changed += on_value_changed;
+            return Disposable.Create(() => display_translator.value_changed -= on_value_changed);
+            void on_value_changed() {
+               var next = display_translator.actual_value;
+               if (!comparer.Equals(curr, next))
+                  o.OnNext(curr = next);
+            }
+         });
+      }
+
+      public static uint to_display(this QuantityConversionData quantity_conversion_data, uint actual_value) {
+         switch (quantity_conversion_data.op) {
+            case QuantityConversionData.OpType.DivideActual: return actual_value.safe_divide(quantity_conversion_data.value);
+            case QuantityConversionData.OpType.MultiplyActual: return actual_value * quantity_conversion_data.value;
+            default: return actual_value;
+         }
+      }
+
+      public static int to_display(this QuantityConversionData quantity_conversion_data, int actual_value) {
+         switch (quantity_conversion_data.op) {
+            case QuantityConversionData.OpType.DivideActual: return (int)(actual_value.safe_divide(quantity_conversion_data.value));
+            case QuantityConversionData.OpType.MultiplyActual: return (int)(actual_value * quantity_conversion_data.value);
+            default: return actual_value;
+         }
+      }
+
+      public static double to_display(this QuantityConversionData quantity_conversion_data, double actual_value) {
+         switch (quantity_conversion_data.op) {
+            case QuantityConversionData.OpType.DivideActual: return actual_value.safe_divide(quantity_conversion_data.value);
+            case QuantityConversionData.OpType.MultiplyActual: return actual_value * quantity_conversion_data.value;
+            default: return actual_value;
+         }
+      }
+
+      public static uint from_display(this QuantityConversionData quantity_conversion_data, uint display_value) {
+         switch (quantity_conversion_data.op) {
+            case QuantityConversionData.OpType.DivideActual: return display_value * quantity_conversion_data.value;
+            case QuantityConversionData.OpType.MultiplyActual: return display_value.safe_divide(quantity_conversion_data.value);
+            default: return display_value;
+         }
+      }
+   }
+}

src/client/spark/view/Utility/MDDisplayHelper.cs

@@ -109,6 +109,9 @@ namespace mbts.ui.spark {
       /// These are private members, so any code-readability cost is confined to a limited scope.
       delegate void _SizeFormatter(ref uint merged, ref uint implied, ref StringBuilder sb);
       delegate void _SizeFormatterNPS(ref NativePriceSize nps, ref StringBuilder sb);
+
+      public static Func<uint, string> get_value_formatter(uint divisor) =>
+         value => (value / divisor).ToString();
      
       public static Func<NativePriceSize, string> get_formatter_nps(MarketSizeDisplay size_display) {
          _SizeFormatterNPS implied_absent = _get_formatter_nps(size_display.normal);
@@ -120,6 +123,11 @@ namespace mbts.ui.spark {
          };
       }
 
+      public static Func<NativePriceSize, string> get_formatter_nps(MarketSizeDisplay size_display, uint display_divisor) {
+         var raw_fmt_size = get_formatter(size_display);
+         return nps => raw_fmt_size((nps.implied_size + nps.direct_size) / display_divisor, nps.implied_size / display_divisor);
+      }
+
       public static SizeFormatter get_formatter(MarketSizeDisplay size_display) {
          _SizeFormatter implied_absent = _get_formatter(size_display.normal);
          _SizeFormatter implied_present = _get_formatter(size_display.implied_present ?? size_display.normal);
@@ -281,4 +289,4 @@ namespace mbts.ui.spark {
          public void refresh() => _display.refresh();
       }
    }
-}
+}

src/client/spark_api/security/SecurityFormatter.cs

@@ -39,13 +39,18 @@ namespace bts.api {
 
       static string _format(SecurityImmutable? security) {
          switch (security?.ContractCase) {
-            case ContractOneofCase.Future: return format_future(security?.Symbol, security?.security_desc(), security.Value.Future);
+            case ContractOneofCase.Future:
+               if(security?.HasIce == true)
+                  return _format_ICE(security);
+               return format_future(security?.Symbol, security?.security_desc(), security.Value.Future);
             case ContractOneofCase.Spread:
                if (security?.HasGlbx == true) {
                   // In case we ever bring it back, pretty printed spread names can be found here:
                   // GlbxSecurityFormatter.FormatSpread(security, out string result)
                   return security?.Glbx.SecurityDesc;
                }
+               else if(security?.HasIce == true)
+                  return _format_ICE(security);
                return string.Join("", _format_future_legs(SecurityHelper.get_flat_future_legs(security?.Spread.Legs)));
             case ContractOneofCase.Synthetic: return security?.Synthetic.Name;
             default: return "Unknown-security";
@@ -79,5 +84,28 @@ namespace bts.api {
             default: return $"{fl.quantity:+0;-0}{sym_exp_name}";
          }
       }
+
+      static string _format_ICE (SecurityImmutable? security){
+         string symbol = security?.Symbol,
+                strip = security?.Ice.StripName,
+                md_desc = security?.Ice.MarketDescription,
+                type_append = "";
+  
+         if(md_desc.Contains("25k ICE Lots")){
+            if(md_desc.Contains("TAS"))
+               type_append = "TAS";
+         }
+         else if(md_desc.Contains("ICE Lots")){
+            if(md_desc.Contains("TAS"))
+               type_append = "ICE Lots TAS";
+            else
+               type_append = "ICE Lots";
+         }
+         else if(md_desc.Contains("TAS"))
+            type_append = "TAS";
+         type_append = string.IsNullOrEmpty(type_append) ? 
+                                                " " : $" {type_append} ";
+         return $"{symbol}{type_append}{strip}";
+      }
    }
 }

src/client/spark_api/utils/MathUtils.cs

@@ -110,6 +110,28 @@ namespace bts.utils {
          return epsilon_equals(with_int_value, d);
       }
 
+      public static bool is_real(this double value) {
+         switch (value) {
+            case double.PositiveInfinity:
+            case double.NegativeInfinity:
+            case double.NaN:
+               return false;
+            default:
+               return true;
+         }
+      }
+
+      public static bool is_real_positive(this double value) =>
+         value > 0 && value != double.PositiveInfinity;
+
+      public static bool is_real_negative(this double value) =>
+         value < 0 && value != double.NegativeInfinity;
+
+      public static bool is_real_non_zero(this double value) =>
+         value > 0 ?
+            !double.IsPositiveInfinity(value) :
+            value < 0 && !double.IsNegativeInfinity(value);
+
       public static double factor_out(double value, params double[] factors) {
          foreach (double f in factors)
             value = factor_out(value, f, out int _);
@@ -129,6 +151,27 @@ namespace bts.utils {
          return value;
       }
 
+      public static int safe_divide(this int value, int divisor) =>
+         divisor == 0 ? value : value / divisor;
+
+      public static int safe_divide(this int value, uint divisor) =>
+         divisor == 0 ? value : (int)(value / divisor);
+
+      public static double safe_divide(this int value, double divisor) =>
+         divisor.is_real_non_zero() ? value / divisor : value;
+
+      public static uint safe_divide(this uint value, uint divisor) =>
+         divisor == 0 ? value : value / divisor;
+
+      public static double safe_divide(this uint value, double divisor) =>
+         divisor.is_real_non_zero() ? value / divisor : value;
+
+      public static ulong safe_divide(this ulong value, uint divisor) =>
+         divisor == 0 ? value : value / divisor;
+
+      public static double safe_divide(this double value, double divisor) =>
+         divisor.is_real_non_zero() && value.is_real_non_zero() ? value / divisor : value;
+
       /// <summary>
       /// Adds <see cref="mod"/> to the modulos result if negative.
       /// </summary>

src/client/spark_core/utils/Delegates.cs

@@ -14,6 +14,9 @@ namespace bts.utils {
    }
 
    public static class FormattingDelegates {
+      public static Func<T, string> default_string<T>() =>
+         v => v.ToString();
+
       public static class Price {
          public static readonly Func<double, string> Value =
             p => double.IsNaN(p) ? "" : p.ToString("#,0.00");

src/client/spark_core/utils/StringExtensions.cs

@@ -13,5 +13,8 @@ namespace bts.utils {
       [Pure]
       public static bool IsNullOrEmpty(this string str) =>
          string.IsNullOrEmpty(str);
+
+      public static bool SafeContains(this string str, string value) =>
+         str != null && str.Contains(value);
    }
 }

src/data_files/files/onixs_ice/ConnectivityConfiguration.APITest.xml

@@ -15,7 +15,7 @@
         <server name="default">
             <ip>63.247.113.163</ip>
             <port>3000</port>
-            <userName>bluetrd-ps</userName>
+            <userName>katas2f-ps</userName>
             <password>Starts123</password>
             <getStripInfoMessages>N</getStripInfoMessages>
             <strategyPreference>New</strategyPreference>
@@ -24,8 +24,8 @@
         <server name="endex">
             <ip>63.247.113.77</ip>
             <port>3000</port>
-            <userName>Value from ICE Support</userName>
-            <password>Value from ICE Support</password>
+            <userName>katas2f-ps</userName>
+            <password>Starts123</password>
             <getStripInfoMessages>N</getStripInfoMessages>
             <strategyPreference>New</strategyPreference>
             <localNetworkInterface></localNetworkInterface>

src/lib/api/services/PositionService.proto

@@ -105,14 +105,35 @@ message BasePositionBatch {
   google.protobuf.Timestamp current_as_of = 10;  // UTC
 }
 
+// security overrides /////////////////////////////////////
+message CppOverride{
+   double value = 1;
+}
+
+message SecurityParameters{
+  uint32 security_key = 1;
+  CppOverride cpp_override = 2;
+  // other overrides
+}
+
+message SecurityParametersBatchOp{
+  repeated SecurityParameters op_params = 1;
+}
+
+message SecurityParametersBatchOpResponse {
+  bool ok = 1;
+  string msg = 2;
+}
+
 service PositionService {
   option (bts.api.service_description) = "Provides Position and PNL, per security, per account";
   
   rpc create_manual_fill (ManualFillBatch) returns (PositionServiceResponse);
   rpc update_manual_fill (ManualFillBatch) returns (PositionServiceResponse);
   rpc remove_manual_fill (ManualFillBatch) returns (PositionServiceResponse);
-  rpc set_base_position (BasePositionBatch) returns (SetBasePositionResponse);
-  
+  rpc set_base_position (BasePositionBatch) returns (SetBasePositionResponse);  
+  rpc update_security_parameters (SecurityParametersBatchOp) returns (SecurityParametersBatchOpResponse);
+
   // subscription
   rpc manual_fills(bts.api.VoidMessage) returns (stream ManualFill);
   rpc position_data(bts.api.VoidMessage) returns (stream PositionUnit);

src/lib/config/defaults/MarketData.conf

@@ -1,136 +1,130 @@
-#
-# Common Market data options
-#
-
-MarketDataConfig {
-   rule: "DeploymentType.type == 'PROD'"
-   value {
-      use_sim: false
-   }
-}
-
-PublisherOptions {
-    rule: "DeploymentType.type == 'dev'"
-    value {
-        disable_heartbeat: true
-    }
-}
-
-PlatformMap {
-    value {
-        glbx_platform: "PLATFORM_MDP3ONIXS"
-        ice_platform: "PLATFORM_ICEONIXS"
-    }
-}
-
-PublisherNamespace {
-	value {
-		shared_memory_namespace: @System.os_user
-	}
-}
-
-CMEOptions {
-    value {
-        feed_engine {
-            name: "mdp3feed"
-            # udp_socket_buffer_size: 425984
-            # channels_per_thread: 1
-            spin_time: 0
-        }
-        channel {
-            id: "*"
-            feed_engine: "mdp3feed"
-            use_tcp_replay: false
-        }
-    }
-}
-
-ICEPublisherOptions {
-   value { 
-      network_interface: "eth1"
-   }
-}
-
-#to make this work in dev clone the operations repo
-#go here: c:\\code\\bts\\operations\\ice\\ICE_iMpactMulticastFeed_GettingStarted-1_1_36\\bin\\easyTunnel>
-#modify the easyTunnelProxy.properties file to replace 
-#tunnel.multicast.interface=10.96.18.37 with your local ip
-#run easyTunnelProxy.bat BRENT-FI for Brent Full implied
-#you should see ice data
-
-ICEOptions {
-   value {
-      channel {
-         name: "oil" #these names are arbitrary and are for debugging
-         market_type: 3 
-         uds_market_type: 3
-         market_type: 4 #ICE IPE Gas Oil Futures
-         uds_market_type: 4         
-         market_type: 5 #ICE Futures Brent, IPE Brent Futures
-         uds_market_type: 5
-         market_type: 9 #ICE Futures WTI, ICE WTI Crude Futures                  
-         uds_market_type: 9
-         market_type: 13 #ICE Heating Oil Futures         
-         uds_market_type: 13
-         market_type: 15 #ICE NYH (RBOB) Gasoline Futures
-         uds_market_type: 15
-         ##market_type: 21 #ICE Futures US Agricultures, Coffee C
-         ##uds_market_type: 21
-         ##market_type: 23 #ICE Futures US Agricultures, FCOJ A
-         ##uds_market_type: 23               
-         
-         ##market_type: 26 #ICE Futures US Financials DX
-         ##uds_market_type: 26
-         
-         uds_market_type: 11 #ICE WTI-Brent spreads
-         uds_market_type: 14 #ICE Heating Oil/WTI Futures Crack
-         uds_market_type: 16 #ICE NYH (RBOB) Gasoline/WTI Futures Crack         
-         uds_market_type: 58 #ICE Futures UI Heating Oil / Brent
-         uds_market_type: 59 #ICE NYH (RBOB) Gasoline/Brent Futures Crack 
-         uds_market_type: 66 #ICE NYH (RBOB) Gasoline/Heating Oil Spread
-         uds_market_type: 70 #ICE Heating Oil/LS Gasoil Futures Spread
-         uds_market_type: 71 #ICE LS Gasoil/Brent Futures Crack
-         uds_market_type: 72 #ICE NYH (RBOB) Gasoline/LS Gasoil Futures Spread         
-         
-         #onixs_log_mode: Debug
-      }
-      # channel {
-      #    name: "juice"
-      #    market_type: 26 #ICE Futures US Agricultures, FCOJ A
-      # }
-      ice_config_file: "ConnectivityConfiguration.APITest.xml"      
-      #ice_config_file: "ConnectivityConfiguration.PerfTest.xml"      
-   }
-}
-
-MDBootDelayWindow {
-    rule: "DeploymentType.type == 'dev'"
-    value {
-        delay_seconds: 0
-    }
-}
-
-MDBootDelayWindow {
-    value {
-        delay_seconds: 120
-        standard {
-            start: "16:30"
-            end: "16:40"
-        }
-        sunday {
-            start: "14:00"
-            end: "14:10"
-        }
-    }
-}
-
-DisplayFactorOverride {
-    value {
-        override {
-            symbol: "SOM"
-            exchange: "GLBX"
-            type: "SPREAD"
-            price_multiplier: 1
-        }
-    }
-}
+#
+# Common Market data options
+#
+
+MarketDataConfig {
+   rule: "DeploymentType.type == 'PROD'"
+   value {
+      use_sim: false
+   }
+}
+
+PublisherOptions {
+    rule: "DeploymentType.type == 'dev'"
+    value {
+        disable_heartbeat: true
+    }
+}
+
+PlatformMap {
+    value {
+        glbx_platform: "PLATFORM_MDP3ONIXS"
+        ice_platform: "PLATFORM_ICEONIXS"
+    }
+}
+
+PublisherNamespace {
+	value {
+		shared_memory_namespace: @System.os_user
+	}
+}
+
+CMEOptions {
+    value {
+        feed_engine {
+            name: "mdp3feed"
+            # udp_socket_buffer_size: 425984
+            # channels_per_thread: 1
+            spin_time: 0
+        }
+        channel {
+            id: "*"
+            feed_engine: "mdp3feed"
+            use_tcp_replay: false
+        }
+    }
+}
+
+#to make this work in dev clone the operations repo
+#go here: c:\\code\\bts\\operations\\ice\\ICE_iMpactMulticastFeed_GettingStarted-1_1_36\\bin\\easyTunnel>
+#modify the easyTunnelProxy.properties file to replace 
+#tunnel.multicast.interface=10.96.18.37 with your local ip
+#run easyTunnelProxy.bat BRENT-FI for Brent Full implied
+#you should see ice data
+
+ICEOptions {
+   value {
+      channel {
+         name: "oil" #these names are arbitrary and are for debugging
+         market_type: 3 
+         uds_market_type: 3
+         market_type: 4 #ICE IPE Gas Oil Futures
+         uds_market_type: 4         
+         market_type: 5 #ICE Futures Brent, IPE Brent Futures
+         uds_market_type: 5
+         market_type: 9 #ICE Futures WTI, ICE WTI Crude Futures                  
+         uds_market_type: 9
+         market_type: 13 #ICE Heating Oil Futures         
+         uds_market_type: 13
+         market_type: 15 #ICE NYH (RBOB) Gasoline Futures
+         uds_market_type: 15
+         ##market_type: 21 #ICE Futures US Agricultures, Coffee C
+         ##uds_market_type: 21
+         ##market_type: 23 #ICE Futures US Agricultures, FCOJ A
+         ##uds_market_type: 23               
+         
+         ##market_type: 26 #ICE Futures US Financials DX
+         ##uds_market_type: 26
+         
+         uds_market_type: 11 #ICE WTI-Brent spreads
+         uds_market_type: 14 #ICE Heating Oil/WTI Futures Crack
+         uds_market_type: 16 #ICE NYH (RBOB) Gasoline/WTI Futures Crack         
+         uds_market_type: 58 #ICE Futures UI Heating Oil / Brent
+         uds_market_type: 59 #ICE NYH (RBOB) Gasoline/Brent Futures Crack 
+         uds_market_type: 66 #ICE NYH (RBOB) Gasoline/Heating Oil Spread
+         uds_market_type: 70 #ICE Heating Oil/LS Gasoil Futures Spread
+         uds_market_type: 71 #ICE LS Gasoil/Brent Futures Crack
+         uds_market_type: 72 #ICE NYH (RBOB) Gasoline/LS Gasoil Futures Spread         
+         
+         #onixs_log_mode: Debug
+      }
+      # channel {
+      #    name: "juice"
+      #    market_type: 26 #ICE Futures US Agricultures, FCOJ A
+      # }
+      ice_config_file: "ConnectivityConfiguration.APITest.xml"      
+      #ice_config_file: "ConnectivityConfiguration.PerfTest.xml"      
+   }
+}
+
+MDBootDelayWindow {
+    rule: "DeploymentType.type == 'dev'"
+    value {
+        delay_seconds: 0
+    }
+}
+
+MDBootDelayWindow {
+    value {
+        delay_seconds: 120
+        standard {
+            start: "16:30"
+            end: "16:40"
+        }
+        sunday {
+            start: "14:00"
+            end: "14:10"
+        }
+    }
+}
+
+DisplayFactorOverride {
+    value {
+        override {
+            symbol: "SOM"
+            exchange: "GLBX"
+            type: "SPREAD"
+            price_multiplier: 1
+        }
+    }
+}

src/lib/config/protos/UI.proto

@@ -168,4 +168,13 @@ message OffsetAttachUIOptions {
 
 message ManualFillsOptions {
    optional bool modal_transactions = 1 [default = true];
+}
+
+message SymbolUIConfigurationItem {
+   optional string symbol = 1 [default = ""];
+   optional uint32 display_quantity_divisor = 2 [default = 1];
+}
+
+message SymbolUIConfiguration {
+   repeated SymbolUIConfigurationItem items = 1;
 }

src/lib/config/protos/toggles.proto

@@ -59,6 +59,10 @@ message EnsureOnScreenWithWorkAreaRect {
    optional bool enabled = 1 [default = false];
 }
 
+message CustomFormatIceSecurities{
+   optional bool enabled = 1 [default = true];
+}
+
 message IgnoreNansInDayPnL {
    optional bool enabled = 1 [default = true];
 }

src/lib/orderman/orders/GLBXNativeOrder.cpp

@@ -170,7 +170,7 @@ void NativeOrder::on_init_recovered(OrderRecord const &rec,
    me->sec = serv.sec_db.resolve(SecurityKey(def.security_key()));
    me->previous_working_position = Quantity(0);
 
-   auto const &native_state = get_native_state(me->state);
+   auto &native_state = get_native_state(me->state);
    switch (me->state.status()) {
 
    case ORDER_STATUS_WORKING:
@@ -202,6 +202,8 @@ void NativeOrder::on_init_recovered(OrderRecord const &rec,
       }
       // if we made it this far we are good.
       me->routing_record = rq.routing_record; 
+      *native_state.mutable_routing_record() = rq.routing_record;
+      
       if (me->state.status() != ORDER_STATUS_PENDING_WORKING)
          me->exchange_order_id = native_state.exchange_order_id();
       init_fix();

src/lib/orderman/orders/ICENativeOrder.cpp

@@ -215,13 +215,6 @@ api::orderman::OrderDefinition
 ICENativeOrder::on_init_from_exe_report(const ExecutionReport& er, const PreActivationOrderServices& os) 
 {
    auto k = er.order_key;
-   auto nextid = me->services->gen_id();
-   if(k.value() < nextid)
-   {
-      k = OrderKey(nextid);
-      LOG(OrderMan, Error, "Updating recovered order id with newly generated id {}", k.value());
-   }
-
    OrderRecord orecord;
    orecord.set_key(k.value());
    orecord.set_parent_key(null_order_key().value());

src/server/sparkd/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources algo/AlgoDefinitionServiceServer.cpp;cmds/AdminReport.cpp;cmds/AutoCert.cpp;cmds/Benchmark.cpp;cmds/CmdRegistry.cpp;cmds/ConfigCheck.cpp;cmds/FIXSim.cpp;cmds/Help.cpp;cmds/KeyCode.cpp;cmds/Md.cpp;cmds/ParseHistoricalFIX.cpp;cmds/PrintHedgeOrders.cpp;cmds/QuickTest.cpp;cmds/Run.cpp;cmds/RunSim.cpp;cmds/Span.cpp;cmds/Test.cpp;cmds/TestCeloxica.cpp;cmds/Web.cpp;dspark/mirage/quick_queue/quick_queue.cpp;exchange_sim/ExchangeSim.cpp;exchange_sim/ExchangeSimApplication.cpp;exchange_sim/book/Book.cpp;exchange_sim/book/ExchangeSim.proto;exchange_sim/book/Order.cpp;exchange_sim/book/OrderMatcher.cpp;exchange_sim/book/book_transform.cpp;exchange_sim/tests/test_book_transform.cpp;http/ApiGateway.cpp;http/MultipartFormDecoder.cpp;http/WebServer.cpp;http/tests/MultiPartFormTests.cpp;main.cpp;md/ChannelVolume.cpp;md/MarketDataAuxiliaryServiceServer.cpp;md/VolumeAtPriceState.cpp;md/platforms/IMDPlatform.cpp;md/platforms/celoxica/CXListener.cpp;md/platforms/celoxica/CXMain.cpp;md/platforms/celoxica/tests/cx_tests.cpp;md/platforms/ice_onixs/ICEListener.cpp;md/platforms/ice_onixs/ICEMain.cpp;md/platforms/ice_onixs/tests/ice_tests.cpp;md/platforms/mdp3_onixs/MDP3Listener.cpp;md/platforms/mdp3_onixs/MDP3Main.cpp;md/platforms/mdp3_onixs/tests/mdp3_tests.cpp;md/run_md.cpp;position/IPositionObserver.cpp;position/MarginServiceCore.cpp;position/MarginServiceServer.cpp;position/PositionAggregator.cpp;position/PositionMap.cpp;position/PositionServicePNLHelper.cpp;position/PositionServiceServer.cpp;position/import/BasePositionServiceServer.cpp;position/import/DownloadCommonStateMachine.cpp;position/import/DownloadWindow.cpp;position/import/MoneyFileServiceServer.cpp;position/import/parsing/gmi_parser.cpp;position/import/parsing/money_parser.cpp;position/import/parsing/parser_common.cpp;position/tests/PositionTests.cpp;position/tests/position_tests_internal.cpp;subprocess/SubProcessRunner.cpp;support/ErrorReportService.cpp;support/ShellLatencyServer.cpp;user/AdminServiceServer.cpp;user/AuthServiceServer.cpp;user/tests/admin_service_tests.cpp)
+set(sources algo/AlgoDefinitionServiceServer.cpp;cmds/AdminReport.cpp;cmds/AutoCert.cpp;cmds/Benchmark.cpp;cmds/CmdRegistry.cpp;cmds/ConfigCheck.cpp;cmds/FIXSim.cpp;cmds/Help.cpp;cmds/KeyCode.cpp;cmds/Md.cpp;cmds/ParseHistoricalFIX.cpp;cmds/PrintHedgeOrders.cpp;cmds/QuickTest.cpp;cmds/Run.cpp;cmds/RunSim.cpp;cmds/Span.cpp;cmds/Test.cpp;cmds/Web.cpp;dspark/mirage/quick_queue/quick_queue.cpp;exchange_sim/ExchangeSim.cpp;exchange_sim/ExchangeSimApplication.cpp;exchange_sim/book/Book.cpp;exchange_sim/book/ExchangeSim.proto;exchange_sim/book/Order.cpp;exchange_sim/book/OrderMatcher.cpp;exchange_sim/book/book_transform.cpp;exchange_sim/tests/test_book_transform.cpp;http/ApiGateway.cpp;http/MultipartFormDecoder.cpp;http/WebServer.cpp;http/tests/MultiPartFormTests.cpp;main.cpp;md/ChannelVolume.cpp;md/MarketDataAuxiliaryServiceServer.cpp;md/VolumeAtPriceState.cpp;md/platforms/IMDPlatform.cpp;md/platforms/ice_onixs/ICEListener.cpp;md/platforms/ice_onixs/ICEMain.cpp;md/platforms/ice_onixs/tests/ice_tests.cpp;md/platforms/mdp3_onixs/MDP3Listener.cpp;md/platforms/mdp3_onixs/MDP3Main.cpp;md/platforms/mdp3_onixs/tests/mdp3_tests.cpp;md/run_md.cpp;position/IPositionObserver.cpp;position/MarginServiceCore.cpp;position/MarginServiceServer.cpp;position/PositionAggregator.cpp;position/PositionMap.cpp;position/PositionServicePNLHelper.cpp;position/PositionServiceServer.cpp;position/import/BasePositionServiceServer.cpp;position/import/DownloadCommonStateMachine.cpp;position/import/DownloadWindow.cpp;position/import/MoneyFileServiceServer.cpp;position/import/parsing/gmi_parser.cpp;position/import/parsing/money_parser.cpp;position/import/parsing/parser_common.cpp;position/tests/PositionTests.cpp;position/tests/position_tests_internal.cpp;subprocess/SubProcessRunner.cpp;support/ErrorReportService.cpp;support/ShellLatencyServer.cpp;user/AdminServiceServer.cpp;user/AuthServiceServer.cpp;user/tests/admin_service_tests.cpp)

src/server/sparkd/cmds/TestCeloxica.cpp

@@ -1,26 +0,0 @@
-#include "TestCeloxica.h"
-
-#include "server/sparkd/md/platforms/celoxica/CXMain.h"
-#include "server/sparkd/md/platforms/celoxica/CXListener.h"
-
-namespace bts 
-{
-namespace cmd 
-{
-
-int TestCeloxica::execute(const std::vector<std::string>&)
-{
-   bts::md::CXMain main;
-   main.initialize();
-   return 0;
-}
-
-std::string TestCeloxica::help()
-{
-   return "\t test BTS <> Celoxica integration \n";
-} 
-
-}
-}
-
-

src/server/sparkd/cmds/TestCeloxica.h

@@ -1,20 +0,0 @@
-#pragma once
-
-#include "ICmd.h"
-
-namespace bts 
-{
-namespace cmd 
-{
-
-class TestCeloxica : public ICmd
-{
-public:
-   int execute(std::vector<std::string> const &args);
-   std::string help();
-};
-
-}
-}
-
-

src/server/sparkd/main.cpp

@@ -19,7 +19,6 @@
 #include "server/sparkd/cmds/RunSim.h"
 #include "server/sparkd/cmds/Span.h"
 #include "server/sparkd/cmds/Test.h"
-#include "server/sparkd/cmds/TestCeloxica.h"
 #include "server/sparkd/cmds/Web.h"
 
 using namespace bts;
@@ -32,7 +31,6 @@ int main(int argc, char **argv) {
    REGISTER(Help);
    REGISTER(Run);
    REGISTER(Md);
-   REGISTER(TestCeloxica);
    REGISTER(ConfigCheck);
    REGISTER(KeyCode);
    REGISTER(RunSim);

src/server/sparkd/md/platforms/celoxica/CXListener.cpp

@@ -1,88 +0,0 @@
-#include "CXListener.h"
-
-#include "lib/utils/defer.h"
-#include "lib/utils/CallTimer.h"
-#include "lib/utils/helper_macros.h"
-#include <tuple>
-
-namespace celoxica { namespace gmac {} }
-#include "celoxica.h"
-using namespace celoxica::gmac;
-using namespace std;
-
-namespace bts 
-{
-namespace md 
-{
-
-CXListener::CXListener(CXSecurityIndex& index, MDProducer& producer, SecurityIDRecorder& recorder, 
-                       co2::SettlementRecorder& settles, std::vector<MDProducerChannel> channels, 
-                       utils::Dispatcher& disp) :
-    _index(index),
-    _producer(producer),
-    _packet_arrived(),
-    _latest_sequence(0),
-    _security_recorder(recorder),
-    _settlement_recorder(settles),
-    _symbol_filter_storage(),
-    _channels(channels),
-    _background(disp),
-    _security_recorder_input_timer(disp, 900, [&]() { dequeue_securities(); }),
-    _security_recorder_input(),
-    _concurrency_monitor(0),
-    _book_updates()
- {
-    _book_updates.reserve(32);
-    _security_recorder_input_timer.start();
- }
-
-CXListener::~CXListener() 
-{
-   _security_recorder_input_timer.stop();
-}
-
-void CXListener::add_software_filter(const std::string& symbol)
-{
-   _symbol_filter_storage.push_back(symbol);
-   //_symbol_filter.clear();
-   //for (const auto& str : _symbol_filter_storage) {
-   //   _symbol_filter.insert(onixs::StringRef(str));
-   //}
-}
-
-void CXListener::on_GMACMessageOrderDepthV3(const GMACMessageOrderDepthV3*)
-{
-}
-
-
-void CXListener::dequeue_securities()
-{
-}
-
-void CXListener::flush_books() 
-{
-   // This is called at the end of the packet
-   // Write all book updates to shared memory and reset for the next packet
-   //for (auto& entry : _book_updates) {
-   //   // bbo first
-   //   uint16_t sequence = (_latest_sequence & 0xFFFF);
-   //   entry.handle.update_bbo(_packet_arrived, entry.bids[0], entry.asks[0], sequence);
-
-   //   // Perf Note: the remainder of the book update could be done (carefully) with a memcpy
-   //   for (size_t x = 1; x < COCONUT_MAX_DEPTH; ++x) {
-   //      entry.handle.update_bid(_packet_arrived, entry.bids[x], x);
-   //      entry.handle.update_ask(_packet_arrived, entry.asks[x], x);
-   //   }
-   //}
-   //// Reset pending updates
-   //_book_updates.clear();
-}
-
-}
-
-md::CXListener::BookData::BookData(MDProducerHandle & handle) : handle(handle), bids(), asks()
-{ 
-}
-
-}//namespace
-

src/server/sparkd/md/platforms/celoxica/CXListener.h

@@ -1,61 +0,0 @@
-#pragma once
-
-#include "lib/utils/bts_no_copy.h"
-#include "lib/md/coconut2.h"
-#include "lib/utils/Dispatcher.h"
-#include "server/sparkd/md/platforms/celoxica/CXSecurityIndex.h"
-
-#include <tbb/concurrent_queue.h>
-#include <vector>
-#include <atomic>
-
-namespace bts 
-{
-namespace md 
-{
-struct GMACMessageOrderDepthV3;
-
-class CXListener 
-{
-public:
-   CXListener(CXSecurityIndex&, MDProducer&, SecurityIDRecorder&, 
-              co2::SettlementRecorder&, std::vector<MDProducerChannel>, utils::Dispatcher&);
-   ~CXListener();
-
-   void add_software_filter(const std::string& symbol);
-
-   void on_GMACMessageOrderDepthV3(const GMACMessageOrderDepthV3*);
-
-private: 
-   void flush_books();
-   void dequeue_securities();
-
-private:
-   BTS_NO_COPY(CXListener);
-
-   CXSecurityIndex& _index;
-   MDProducer& _producer;
-   utils::TimeStamp _packet_arrived;
-   uint64_t _latest_sequence;
-   SecurityIDRecorder& _security_recorder;
-   co2::SettlementRecorder& _settlement_recorder;
-   std::vector<std::string> _symbol_filter_storage;
-   std::vector<MDProducerChannel> _channels;
-   utils::Dispatcher& _background;
-   utils::DispatcherTimer _security_recorder_input_timer;
-   tbb::concurrent_queue<CXSecurityData*> _security_recorder_input;
-   std::atomic<int> _concurrency_monitor;
-
-   struct BookData {
-      BookData(MDProducerHandle& handle);
-      MDProducerHandle handle;
-      PriceSize bids[10];
-      PriceSize asks[10];
-   };
-
-   std::vector<BookData> _book_updates;   
-};
-
-
-}}//namespace
-

src/server/sparkd/md/platforms/celoxica/CXMain.cpp

@@ -1,83 +0,0 @@
-#include "CXMain.h"
-
-#include "lib/md/cme/MDP3Utils.h"
-#include "lib/config/config.h"
-#include "lib/md/coconut2.h"
-#include "lib/os/os.h"
-#include "lib/utils/Dispatcher.h"
-#include "lib/utils/proto_helper.h"
-#include "lib/utils/helper_macros.h"
-
-#include "lib/config/protos/MarketData.pb.h"
-#include "lib/config/protos/system.pb.h"
-
-namespace celoxica { namespace gmac {} }
-#include "celoxica.h"
-
-extern "C"
-{
-#define __retcode_start__
-#define __retcode_end__
-}
-
-#include <memory>
-#include <set>
-
-using namespace std;
-using namespace celoxica::gmac;
-
-namespace bts 
-{
-namespace md
-{
-
-void run_cx_server(UserSymbol* psyms, size_t symcount)
-{
-   CXMain main;
-   vector<UserSymbol> symbols;
-   for(size_t x = 0; x < symcount; ++x) {
-      symbols.push_back(psyms[x]);
-   }
-   main.run(symbols);
-}
-
-CXMain::CXMain() :
-   _producer(co2::PLATFORM_CELOXICA),
-   _security_recorder({}),
-   _settlement_recorder(co2::PLATFORM_CELOXICA),
-   _listeners()
-{
-}
-
-CXMain::~CXMain() {}
-
-void CXMain::initialize()
-{
-   //celoxica::gmac::GMACIdentify(stderr);
-   //const auto& options = config::get<CMEOptions>();
-
-}
-
-
-void CXMain::run(std::vector<UserSymbol>& symbols)
-{
-   bts::md::await_cme_config();
-   initialize();
-
-   parse_channels(symbols);
-   // const auto& channels = parse_channels(symbols);
-}
-
-
-
-std::unique_ptr<CXListener> CXMain::prepare_listener(const std::string& channel, const CMEChannel&)
-{
-   UNUSED(channel);
-   return std::unique_ptr<CXListener>();
-}
-
-
-}
-}
-
-

src/server/sparkd/md/platforms/celoxica/CXMain.h

@@ -1,49 +0,0 @@
-#pragma once
-
-#include "lib/utils/bts_no_copy.h"
-#include "lib/md/coconut2.h"
-#include "server/sparkd/md/platforms/celoxica/CXListener.h"
-#include "server/sparkd/md/platforms/celoxica/CXSecurityIndex.h"
-
-#include <memory>
-#include <vector>
-#include <map>
-
-namespace bts 
-{
-namespace md 
-{
-void run_cx_server(UserSymbol* sym, size_t symcount);
-
-struct CMEChannel;
-class CXListener;
-
-/*
- * The CX provider is very simple.  1 CXMain maps to 1 Celoxica Queue, which maps to 1 thread and one bound CPU.
- * Control starts in CXMain which starts the thread, binds to a cpu, provides a (currently unused) list of all the symbols we need 
- * prepare_handler configures an exchange channel to be owned by this queue, and prepare_listener sets up thing that sees 
- * all callbacks which maps the exchange id to the MDProducerHandle and writes to shared mem
- */
-class CXMain
-{
-public:
-   CXMain();
-   ~CXMain();
-
-   void run(std::vector<UserSymbol>&); //call initialize, start the pump
-   void initialize(); //set up channels, etc
-
-   std::unique_ptr<CXListener> prepare_listener(const std::string& channel, const CMEChannel&);
-
-private:
-   BTS_NO_COPY(CXMain);
-
-   CXSecurityIndex _index;
-   MDProducer _producer;
-   SecurityIDRecorder _security_recorder;
-   co2::SettlementRecorder _settlement_recorder;
-   std::vector<std::unique_ptr<CXListener>> _listeners;
-};
-
-}}//namespace
-

src/server/sparkd/md/platforms/celoxica/CXSecurityIndex.h

@@ -1,21 +0,0 @@
-#pragma once
-
-#include "lib/md/SecurityIndex.h"
-#include <string>
-
-namespace bts 
-{
-namespace md 
-{
-
-struct CXSecurityData 
-{
-   CXSecurityData(uint32_t id, MDProducerHandle& h) : id(id), handle(h) {}
-   uint32_t id; // exchange id
-   MDProducerHandle handle;
-};
-
-using CXSecurityIndex = ConcurrentSecurityIndex<uint32_t, CXSecurityData>;
-
-}}//namespace
-

src/server/sparkd/md/platforms/celoxica/celoxica.h

@@ -1,15 +0,0 @@
-#pragma once
-
-namespace celoxica
-{
-namespace gmac
-{
-
-#include "celoxica/gmac.h"
-#include "celoxica/gmac_template_v3.h"
-#include "celoxica/gmac_info.h"
-
-}
-}
-
-

src/server/sparkd/md/platforms/celoxica/tests/cx_tests.cpp

@@ -1,210 +0,0 @@
-// #include "catch/catch.hpp"
-
-// #include "lib/config/config.h"
-// #include "lib/config/protos/MarketData.pb.h"
-
-// #include <vector>
-// #include <string>
-// #include <functional>
-// #include <stdarg.h>
-
-// #include "../MDP3Utils.h"
-// #include "../onixs.h"
-
-// using namespace bts::md;
-// using namespace std;
-
-
-// namespace bts {
-// namespace md {
-
-// map<string, onixs::FeedEngineSettings> create_feed_engine_settings(const std::vector<CMEChannel>& channels);
-// const CMEOptions::CMEChannel channel_settings_for(const string& id);
-
-// namespace test {
-
-// vector<CMEChannel> test_channels(int count, ...) {
-//    // Doing this the C way because I still haven't updated VS
-//    vector<CMEChannel> result;
-//    va_list ap;
-//    va_start(ap, count);
-//    for (int x = 0; x < count; ++x) {
-//       const char* val = va_arg(ap, char*);
-//       CMEChannel temp;
-//       temp.id = val;
-//       result.push_back(temp);
-//    }
-//    va_end(ap);
-//    return result;
-// }
-   
-
-// TEST_CASE("mdp3_tests","[md]") {
-//    SECTION("test_defaults") {
-//       config::internal::initialize_for_test("CMEOptions {}");
-
-//       vector<CMEChannel> channels = test_channels(1, "310");
-//       auto result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-      
-//       channels = test_channels(2, "310", "311");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-
-//       channels = test_channels(4, "310", "311", "400", "412");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-      
-//       REQUIRE(!channel_settings_for("310").has_feed_engine());
-//       REQUIRE(!channel_settings_for("311").has_feed_engine());
-//       REQUIRE(!channel_settings_for("315").has_feed_engine());
-//    }
-
-//    SECTION("test_segregate_futures") {
-//       config::internal::initialize_for_test(
-//          "CMEOptions {\n"
-//          "    value {\n"
-//          "        feed_engine {\n"
-//          "            name: 'default'\n"
-//          "        }\n"
-//          "        feed_engine {\n"
-//          "            name: 'futures'\n"
-//          "            num_threads: 4\n"
-//          "        }\n"
-//          "        # Futures\n"
-//          "        channel {\n"
-//          "            id: '310'\n"
-//          "            id: '312'\n"
-//          "            feed_engine: 'futures'\n"
-//          "        }\n"
-//          "        # Options\n"
-//          "        channel {\n"
-//          "            id: '311'\n"
-//          "            id: '313'\n"
-//          "            id: '315'\n"
-//          "            feed_engine: 'default'\n"
-//          "        }\n"
-//          "    }\n"
-//          "}");
-      
-//       vector<CMEChannel> channels = test_channels(1, "310");
-//       auto result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 1);
-//       REQUIRE(result.begin()->first == "futures");
-//       REQUIRE(result.begin()->second.threadsCount() == 4);
-      
-//       channels = test_channels(1, "311");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 1);
-//       REQUIRE(result.begin()->first == "default");
-//       REQUIRE(result.begin()->second.threadsCount() == 1);
-      
-//       channels = test_channels(2, "311", "310");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 2);
-//       REQUIRE(result["default"].threadsCount() == 1);
-//       REQUIRE(result["futures"].threadsCount() == 4);
-      
-//       // Test channels not listed in config
-//       channels = test_channels(2, "317", "318");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-//    }
-
-//    SECTION("test_no_default") {
-//       config::internal::initialize_for_test(
-//          "CMEOptions {\n"
-//          "    value {\n"
-//          "        feed_engine {\n"
-//          "            name: 'futures'\n"
-//          "            num_threads: 4\n"
-//          "        }\n"
-//          "        # any channel not listed will use the default feed engine\n"
-//          "        # Futures\n"
-//          "        channel {\n"
-//          "            id: '310'\n"
-//          "            id: '312'\n"
-//          "            feed_engine: 'futures'\n"
-//          "        }\n"
-//          "        # Options\n"
-//          "        channel {\n"
-//          "            id: '311'\n"
-//          "            id: '313'\n"
-//          "            id: '315'\n"
-//          "            use_tcp_replay: false\n"
-//          "        }\n"
-//          "    }\n"
-//          "}");
-      
-//       vector<CMEChannel> channels = test_channels(1, "310");
-//       auto result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 1);
-//       REQUIRE(result.begin()->first == "futures");
-//       REQUIRE(result.begin()->second.threadsCount() == 4);
-      
-//       channels = test_channels(1, "311");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-      
-//       channels = test_channels(2, "311", "310");
-//       result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 1);
-//       REQUIRE(result["futures"].threadsCount() == 4);
-      
-      
-//       REQUIRE(channel_settings_for("310").use_tcp_replay() == true);
-//       REQUIRE(channel_settings_for("311").use_tcp_replay() == false);
-//       REQUIRE(channel_settings_for("315").use_tcp_replay() == false);
-//    }
-
-//    SECTION("test_one_thread_each") {
-//       config::internal::initialize_for_test(
-//          "CMEOptions {\n"
-//          "   value {\n"
-//          "      channel {\n"
-//          "         id: '*'\n"
-//          "      }\n"
-//          "   }\n"
-//          "}\n");
-
-//       vector<CMEChannel> channels = test_channels(1, "310", "311");
-//       auto result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 0);
-
-//       const auto& settings = channel_settings_for("311");
-//       REQUIRE(!settings.has_feed_engine());
-//    }
-
-//    SECTION("test_common_futures_thread") {
-//       config::internal::initialize_for_test(
-//          "CMEOptions {\n"
-//          "   value {\n"
-//          "        feed_engine {\n"
-//          "            name: 'futures'\n"
-//          "            num_threads: 4\n"
-//          "        }\n"
-//          "        channel {\n"
-//          "            id: '310'\n"
-//          "            feed_engine: 'futures'\n"
-//          "            udp_socket_buffer_size: 1234\n"
-//          "        }\n"
-//          "        channel {\n"
-//          "           id: '*'\n"
-//          "        }\n"
-//          "  }\n"
-//          "}\n");
-
-//       vector<CMEChannel> channels = test_channels(6, "310", "311", "315", "100", "10", "42");
-//       auto result = create_feed_engine_settings(channels);
-//       REQUIRE(result.size() == 1);
-//       result = create_feed_engine_settings(test_channels(1, "315"));
-//       REQUIRE(result.size() == 0);
-
-//       REQUIRE(!channel_settings_for("311").has_feed_engine());
-//       REQUIRE(channel_settings_for("310").has_feed_engine());
-//       REQUIRE(channel_settings_for("310").udp_socket_buffer_size() == 1234);
-//       REQUIRE(channel_settings_for("311").has_udp_socket_buffer_size() == false);
-//    }
-// }
-
-// }}}//namespace

src/server/sparkd/md/platforms/ice_onixs/ICEListener.cpp

@@ -1,421 +1,451 @@
-#include "ICEListener.h"
-#include "lib/utils/datetime.h"
-#include <vector>
-#include "lib/utils/helper_macros.h"
-#include "lib/config/protos/MarketData.pb.h"
-#include "lib/md/protos/co2.pb.h"
-
-using namespace std;
-using namespace bts::co2;
-using namespace bts::md::ice;
-
-namespace bts {
-namespace md {
-namespace ice {
-   
-template <>
-double double_of_price<onixs_ice::Rational>(const onixs_ice::Rational& price, int8_t denominator) 
-{
-   UNUSED(denominator);
-   double dbl = price.convertTo<double>();
-   return dbl;
-}   
-
-template<>
-void ICEListener::set_security_specific<onixs_ice::FuturesProductDefinition>(const onixs_ice::FuturesProductDefinition& def, 
-                                                                             FixedSecurity& fsec)
-{
-   //fsec.cash_per_point = double_of_price(def.tickValue, fsec.ice_price_denominator);
-   //fsec.cash_per_point = def.tickValue;   
-   fsec.cash_per_point = def.unitQuantity;
-}
-
-ICEListener::ICEListener(ICESecurityIndex& index, MDProducer& producer, const std::vector<MDProducerChannel> channels) :
-   _index(index),
-   _producer(producer),
-   _symbol_filter(),
-   _channels(channels),
-   _concurrency_monitor(0)
-{
-}
-
-ICEListener::~ICEListener() {}
-
-std::string ICEListener::parse_contract_symbol(const std::string& sym)
-{
-   auto end = sym.find(' ');
-   if(end == std::string::npos)
-      return sym;
-   else
-      return sym.substr(0, end);
-}
-
-//   
-//State change
-void ICEListener::onHandlerStateChange(const onixs_ice::HandlerStateChange&) 
-{
-}
-   
-void ICEListener::onMarketStateChange(const onixs_ice::MarketStateChange& , const onixs_ice::MessageInfo&)
-{
-}
-
-//
-// Warnings/Errors
-void ICEListener::onError(const onixs_ice::Error& error) 
-{
-   std::string error_desc(error.description());
-   LOG(md,Warn, "OnixS ICE Error: {} - {}", error.toString(), error_desc );
-}
-void ICEListener::onFeedError(onixs_ice::FeedId feedid, onixs_ice::ErrorCode code, const std::string& desc)
-{
-   LOG(md,Warn, "OnixS ICE FeedError: {} - {}", feedid, desc, code);   
-}
-void ICEListener::onWarning(const onixs_ice::Warning& warning) 
-{
-   LOG(md,Warn, "OnixS ICE Warn: {} - {}", warning.toString(), std::string(warning.description()) );
-}
-
-//
-// Security discovery
-void ICEListener::onFuturesProductDefinition(const onixs_ice::FuturesProductDefinition& msg, bool& is_interested) 
-{
-   if(msg.isSpread)
-      on_future_strip(msg, is_interested);
-   else
-      on_future(msg, is_interested);
-}
-
-void ICEListener::onNewExpiry(const onixs_ice::NewExpiry& msg, bool& is_interested, const onixs_ice::MessageInfo& ) 
-{   
-   on_future(msg, is_interested);
-}
-
-void ICEListener::onFuturesStrategyDefinition(const onixs_ice::FuturesStrategyDefinition& def, bool& is_interested) 
-{
-    on_uds_future_spread(def, is_interested);
-}
-//This is only for UDS
-void ICEListener::onNewFuturesStrategyDefinition(const onixs_ice::NewFuturesStrategyDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& )
-{
-   on_uds_future_spread(msg, is_interested);
-}
-   
-void ICEListener::onOptionsProductDefinition(const onixs_ice::OptionsProductDefinition& msg, bool& is_interested) 
-{ 
-   UNUSED(msg);
-   UNUSED(is_interested);
-}
-void ICEListener::onNewOptionsMarketDefinition(const onixs_ice::NewOptionsMarketDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& msg_info)  
-{ 
-   UNUSED(msg);
-   UNUSED(is_interested);
-   UNUSED(msg_info);
-}
-void ICEListener::onOptionsStrategyDefinition(const onixs_ice::OptionsStrategyDefinition& msg, bool& is_interested) 
-{
-   UNUSED(msg);
-   UNUSED(is_interested);
-}
-void ICEListener::onNewOptionsStrategyDefinition(const onixs_ice::NewOptionsStrategyDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& msg_info) 
-{
-   UNUSED(msg);
-   UNUSED(is_interested);
-   UNUSED(msg_info);
-}
-
-//
-
-void ICEListener::onMarketSnapshot(const onixs_ice::MarketSnapshot& msg, const onixs_ice::MessageInfo& msg_info) 
-{
-   UNUSED(msg_info);
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      auto ts = utils::TimeStamp::now();
-      auto settle_denominator = data->handle.security().ice_settle_denominator;
-      if (msg.settlePriceDateTime > 0) {
-         data->handle.update_settlement( ts,  convert_price(msg.settlementPrice, settle_denominator), date_of_timestamp(msg.settlePriceDateTime) );
-      }
-      
-      LOG(md,Diag,"OnixSICE Got Market Snap : {} - {}", std::to_string(data->id), std::to_string(msg.settlementPrice));
-      
-      auto deal_denominator = data->handle.security().ice_deal_denominator;
-      data->handle.update_opening( ts,  double_of_price(msg.openingPrice, deal_denominator), datetime::today() );
-      data->handle.update_session_high( ts,  double_of_price(msg.high, deal_denominator) );
-      data->handle.update_session_low( ts,  double_of_price(msg.low, deal_denominator) );      
-      
-      data->handle.set_last_trade( ts, pricesize_of_price_size(msg.lastTradePrice, deal_denominator, msg.lastTradeQuantity), 
-                                   ll_of_timestamp(msg.lastTradeDateTime), msg.volume );            
-   }        
-}
-
-void ICEListener::onMarketStatistics(const onixs_ice::MarketStatistics& msg, const onixs_ice::MessageInfo& msg_info)
-{
-   UNUSED(msg_info);
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      data->handle.set_total_volume(msg.volume);
-   }   
-}
-
-// Gap Recovery -- This is not necessary if we subscribe to the onOrderBookUpdated callback, they handle the breaks transparently 
-void ICEListener::onMarketSnapshotOrder(const onixs_ice::MarketSnapshotOrder& msg, const onixs_ice::MessageInfo& msg_info) 
-{
-   UNUSED(msg);
-   UNUSED(msg_info);
-}
-
-// Gap Recovery -- This is not necessary if we subscribe to the onOrderBookUpdated callback, they handle the breaks transparently 
-void ICEListener::onMarketSnapshotPriceLevel(const onixs_ice::MarketSnapshotPriceLevel& msg, const onixs_ice::MessageInfo& msg_info) 
-{
-   UNUSED(msg);
-   UNUSED(msg_info);
-}
-
-//
-// Book
-void ICEListener::onOrderBookUpdated(const onixs_ice::OrderBook& onixs_book, const onixs_ice::MessageInfo& msg_info) 
-{
-   //tracepoint (bts_trace,trace_order,(char*) "onBookUpdate", (uint32_t)msg_info.sequenceNumber, (uint16_t) msg_info.sequenceNumber, 0);
-      
-   auto data = _index.get_security(onixs_book.marketId());
-   if (data == nullptr) 
-      return;
-   bts_assert(data->id == onixs_book.marketId());
-   auto denominator = data->handle.security().ice_price_denominator;
-
-   // Overwrite all entries every time
-   size_t bids_size = onixs_book.bids().size();
-   size_t asks_size = onixs_book.offers().size();
-   if (!data->handle.has_depth()) 
-   {
-      bids_size = std::min(bids_size, size_t { 1 });
-      asks_size = std::min(asks_size, size_t { 1 });
-   }
-   std::array<PriceSize,COCONUT_MAX_DEPTH> dbids; dbids.fill(NO_MARKET);
-   std::array<PriceSize,COCONUT_MAX_IMPLIED_DEPTH> ibids; ibids.fill(NO_MARKET);
-   std::array<PriceSize,COCONUT_MAX_DEPTH> dasks; dasks.fill(NO_MARKET);
-   std::array<PriceSize,COCONUT_MAX_IMPLIED_DEPTH> iasks;  iasks.fill(NO_MARKET);
-   for (size_t x = 0; x < bids_size; ++x) 
-   {
-      auto& bid = onixs_book.bids()[x];
-      if(x < COCONUT_MAX_DEPTH)
-         dbids[x] = pricesize_of_price_size(bid.price, denominator, bid.quantity - bid.impliedQuantity);   
-      if(x < COCONUT_MAX_IMPLIED_DEPTH)
-         ibids[x] = pricesize_of_price_size(bid.price, denominator, bid.impliedQuantity);   
-   }      
-   for (size_t x = 0; x < asks_size; ++x) 
-   {
-      auto& ask = onixs_book.offers()[x];
-      if(x < COCONUT_MAX_DEPTH)
-         dasks[x] = pricesize_of_price_size(ask.price, denominator, ask.quantity - ask.impliedQuantity);
-      if(x < COCONUT_MAX_IMPLIED_DEPTH)
-         iasks[x] = pricesize_of_price_size(ask.price, denominator, ask.impliedQuantity);
-   } 
-   data->handle.update_books(TimeStamp::now(), dbids, dasks, ibids, iasks, (uint32_t) msg_info.sequenceNumber);
-} 
-
-
-//
-// Trades
-AggressorSide map_aggressor(onixs_ice::AggressorSide::Enum agside) 
-{
-   switch(agside) {
-      default:
-      case onixs_ice::AggressorSide::NoAggressor:
-         return AGGRESSOR_SIDE_NONE;
-      case onixs_ice::AggressorSide::Buy:
-         return AGGRESSOR_SIDE_BUY;
-      case onixs_ice::AggressorSide::Sell:
-         return AGGRESSOR_SIDE_SELL;
-   }
-}
-
-void on_trade(ICESecurityData* data, const onixs_ice::Price& price, int size, 
-              onixs_ice::AggressorSide::Enum agside, const onixs_ice::DateTime& onixs_date, bool from_spread) 
-{
-   auto ts = utils::TimeStamp::now();
-   PriceSize ps = pricesize_of_price_size(price, data->handle.security().ice_deal_denominator, size);
-   auto date = ll_of_timestamp(onixs_date);
-   data->handle.add_trade(ts, ps, date, map_aggressor(agside), 0u, from_spread);
-}
-
-void ICEListener::onTrade(const onixs_ice::Trade& msg, const onixs_ice::MessageInfo& ) 
-{
-   auto* data = _index.get_security(msg.marketId);
-   if (data != NULL) 
-   {
-      bts_assert(data->id == msg.marketId);
-      auto size = msg.quantity;
-      auto price = msg.price;
-      onixs_ice::AggressorSide::Enum agside = msg.aggressorSide;
-      on_trade(data, price, size, agside, msg.transactDateTime, msg.isSystemPricedLeg);
-   }   
-}
-
-//
-// RFQ
-void ICEListener::onRfq(const onixs_ice::Rfq& msg, const onixs_ice::MessageInfo& ) 
-{
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      auto ts = utils::TimeStamp::now();
-      co2::QuoteRequestMessage message;
-      message.set_key(data->handle.key());
-
-      auto time = ll_of_timestamp(msg.messageTimestamp);
-      message.set_time(time);
-
-      long long rfqid = msg.rfqSystemId;
-      message.set_request_id(std::to_string(rfqid));
-
-      //https://ref.onixs.biz/cpp-ice-impact-handler-guide/struct_onix_s_1_1_i_c_e_1_1i_mpact_1_1_market_data_1_1_side.html#a8150b7776c2a1749101acf22e868d091
-      switch(msg.side) 
-      {
-         case ' ':
-            message.set_side(co2::QuoteRequestMessage::UNDEFINED);
-            break;
-         case '1':
-            message.set_side(co2::QuoteRequestMessage::BUY);
-            break;
-         case '2':
-            message.set_side(co2::QuoteRequestMessage::SELL);
-            break;
-      }
-      message.set_size(msg.quantity);
-      data->handle.add_rfq(ts, message);
-   }   
-}
-
-//
-// Misc
-void ICEListener::onSettlementPrice(const onixs_ice::SettlementPrice& msg, const onixs_ice::MessageInfo& ) 
-{   
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      auto ts = utils::TimeStamp::now();
-      auto price = msg.settlementPrice;
-      auto time = msg.dateTime;
-      auto denominator = data->handle.security().ice_settle_denominator;
-      LOG(md,Diag,"OnixSICE Got Settlement: {} - {}", std::to_string(data->id), std::to_string(price));
-      data->handle.update_settlement(ts, convert_price(price, denominator), date_of_timestamp(time));
-   }   
-}
-
-void ICEListener::onOpenInterest(const onixs_ice::OpenInterest &msg, const onixs_ice::MessageInfo &msg_info) 
-{
-   UNUSED(msg);
-   UNUSED(msg_info);
-}
-
-void ICEListener::onOpenPrice(const onixs_ice::OpenPrice& msg, const onixs_ice::MessageInfo& ) 
-{
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      onixs_ice::Price price = msg.openPrice;
-      onixs_ice::DateTime time = msg.dateTime;
-      auto denominator = data->handle.security().ice_deal_denominator;
-      data->handle.update_opening( utils::TimeStamp::now(),  double_of_price(price, denominator), date_of_timestamp(time));
-   }   
-}
-
-void ICEListener::onClosePrice(const onixs_ice::ClosePrice& msg, const onixs_ice::MessageInfo& ) 
-{
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      onixs_ice::Price price = msg.closePrice;
-      onixs_ice::DateTime time = msg.dateTime;
-      auto denominator = data->handle.security().ice_deal_denominator;
-      data->handle.update_closing( utils::TimeStamp::now(),  double_of_price(price, denominator), date_of_timestamp(time));
-   }     
-}
-
-void ICEListener::onEndOfDayMarketSummary(const onixs_ice::EndOfDayMarketSummary& msg, const onixs_ice::MessageInfo& ) 
-{
-   auto* data = _index.get_security(msg.marketId);
-   if (data != nullptr) 
-   {
-      bts_assert(data->id == msg.marketId);
-      onixs_ice::DateTime time = msg.dateTime;
-      auto ts = utils::TimeStamp::now();
-      auto settle_denominator = data->handle.security().ice_settle_denominator;
-      data->handle.update_settlement( ts,  convert_price(msg.settlementPrice, settle_denominator), date_of_timestamp(time) );
-      
-      LOG(md,Warn,"OnixSICE Got EOD Market : {} - {}", std::to_string(data->id), std::to_string(msg.settlementPrice));
-      
-      auto deal_denominator = data->handle.security().ice_deal_denominator;
-      data->handle.update_opening( ts,  double_of_price(msg.openingPrice, deal_denominator), date_of_timestamp(time) );
-      data->handle.update_session_high( ts,  double_of_price(msg.high, deal_denominator) );
-      data->handle.update_session_low( ts,  double_of_price(msg.low, deal_denominator) );      
-   }        
-}
-
-//
-// Feed
-void ICEListener::onMulticastMessageBlockBegin(onixs_ice::FeedId feedId, const onixs_ice::MessageInfo& ) 
-{
-   UNUSED(feedId);
-}
-
-void ICEListener::onMulticastMessageBlockEnd(onixs_ice::FeedId feedId, const onixs_ice::MarketIds& marketIds) 
-{
-   UNUSED(feedId);
-   UNUSED(marketIds);
-}
-
-void ICEListener::onFeedStarted(onixs_ice::FeedId, const onixs_ice::MarketIds&) 
-{}
-
-void ICEListener::onFeedStopped(onixs_ice::FeedId) 
-{}
-
-void ICEListener::onSessionNumberChange(onixs_ice::FeedId , short , short )
-{}
-
-
-//
-// Non-onixs calls
-void ICEListener::add_filter_symbol(const std::string& symbol) 
-{
-   _symbol_filter.insert(symbol);
-}
-
-void ICEListener::heartbeat() 
-{
-   for (auto& c : _channels) { c.heartbeat(); }
-}
-
-//
-// Private functions
-void ICEListener::add_security(const FixedSecurity& security) 
-{
-   // Set up the shared memory for this security
-   auto handle = _producer.add_security(security);
-   bts_assert(security.numeric_id != 0);
-   // Add it to the index so it can receive messages
-   _index.add_security(security.numeric_id, handle);
-}
-
-void ICEListener::update_all_status(CoconutSecurityStatus status) 
-{
-   _index.walk_security_list([=](ICESecurityData& data) 
-   {
-      data.handle.set_status(status);
-   });
-}
-
-}}} //namespace
-
-
+#include "ICEListener.h"
+#include "lib/utils/datetime.h"
+#include <vector>
+#include "lib/utils/helper_macros.h"
+#include "lib/config/protos/MarketData.pb.h"
+#include "lib/md/protos/co2.pb.h"
+
+using namespace std;
+using namespace bts::co2;
+using namespace bts::md::ice;
+
+namespace bts {
+namespace md {
+namespace ice {
+   
+template <>
+double double_of_price<onixs_ice::Rational>(const onixs_ice::Rational& price, int8_t denominator) 
+{
+   UNUSED(denominator);
+   double dbl = price.convertTo<double>();
+   return dbl;
+}   
+
+template<>
+void ICEListener::set_security_specific<onixs_ice::FuturesProductDefinition>(const onixs_ice::FuturesProductDefinition& def, 
+                                                                             FixedSecurity& fsec)
+{
+   //fsec.cash_per_point = double_of_price(def.tickValue, fsec.ice_price_denominator);
+   //fsec.cash_per_point = def.tickValue;   
+   fsec.cash_per_point = def.unitQuantity;
+}
+
+ICEListener::ICEListener(ICESecurityIndex& index, MDProducer& producer, const std::vector<MDProducerChannel> channels) :
+   _index(index),
+   _producer(producer),
+   _symbol_filter(),
+   _channels(channels),
+   _concurrency_monitor(0)
+{
+}
+
+ICEListener::~ICEListener() {}
+
+std::string ICEListener::parse_contract_symbol(const std::string& sym)
+{
+   auto end = sym.find(' ');
+   if(end == std::string::npos)
+      return sym;
+   else
+      return sym.substr(0, end);
+}
+
+//   
+//State change
+void ICEListener::onHandlerStateChange(const onixs_ice::HandlerStateChange&) 
+{
+}
+   
+void ICEListener::onMarketStateChange(const onixs_ice::MarketStateChange& , const onixs_ice::MessageInfo&)
+{
+}
+
+//
+// Warnings/Errors
+void ICEListener::onError(const onixs_ice::Error& error) 
+{
+   std::string error_desc(error.description());
+   LOG(md,Warn, "OnixS ICE Error: {} - {}", error.toString(), error_desc );
+}
+void ICEListener::onFeedError(onixs_ice::FeedId feedid, onixs_ice::ErrorCode code, const std::string& desc)
+{
+   LOG(md,Warn, "OnixS ICE FeedError: {} - {}", feedid, desc, code);   
+}
+void ICEListener::onWarning(const onixs_ice::Warning& warning) 
+{
+   LOG(md,Warn, "OnixS ICE Warn: {} - {}", warning.toString(), std::string(warning.description()) );
+}
+
+//
+// Security discovery
+void ICEListener::onFuturesProductDefinition(const onixs_ice::FuturesProductDefinition& msg, bool& is_interested) 
+{
+   if(msg.isSpread)
+      on_future_strip(msg, is_interested);
+   else
+      on_future(msg, is_interested);
+   LOG(md,Info,"ICE_Future,{},{},{},{},{},{},{},{},{},{},{},{},{}",
+       is_interested,
+       msg.productName,       // NG Swing GDD Futures,
+       msg.hubAlias,          // Henry       
+       msg.marketDesc,        // NG Swing GDD Futures - Henry - 10 Jul 20,
+       msg.stripName,         // 10 Jul 20
+       msg.contractSymbol,    // CGS SDN1020.N1020,
+       msg.productId,
+       msg.marketId,
+       msg.requestMarketType,
+       msg.securitySubType,
+       msg.contractSymbolExtra,       
+       msg.clearedAlias,
+       msg.isSpread);
+}
+
+void ICEListener::onNewExpiry(const onixs_ice::NewExpiry& msg, bool& is_interested, const onixs_ice::MessageInfo& ) 
+{   
+   on_future(msg, is_interested);
+}
+
+void ICEListener::onFuturesStrategyDefinition(const onixs_ice::FuturesStrategyDefinition& msg, bool& is_interested) 
+{
+   on_uds_future_spread(msg, is_interested);
+   LOG(md,Info,"ICE_Strategy,{},{},{},{},{},{},{},{},{},{},{},{},{},{}",
+       is_interested,
+       msg.productName,
+       msg.hubAlias,
+       msg.marketDesc,
+       msg.stripName,
+       msg.contractSymbol,
+       msg.productId,
+       msg.marketId,
+       msg.requestMarketType,
+       msg.securitySubType,
+       log::CharPtrWrapper {""},       
+       msg.clearedAlias,
+       msg.productName,       
+       0);  
+}
+
+void ICEListener::onNewFuturesStrategyDefinition(const onixs_ice::NewFuturesStrategyDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& )
+{
+   on_uds_future_spread(msg, is_interested);
+}
+   
+void ICEListener::onOptionsProductDefinition(const onixs_ice::OptionsProductDefinition& msg, bool& is_interested) 
+{ 
+   UNUSED(msg);
+   UNUSED(is_interested);
+}
+void ICEListener::onNewOptionsMarketDefinition(const onixs_ice::NewOptionsMarketDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& msg_info)  
+{ 
+   UNUSED(msg);
+   UNUSED(is_interested);
+   UNUSED(msg_info);
+}
+void ICEListener::onOptionsStrategyDefinition(const onixs_ice::OptionsStrategyDefinition& msg, bool& is_interested) 
+{
+   UNUSED(msg);
+   UNUSED(is_interested);
+}
+void ICEListener::onNewOptionsStrategyDefinition(const onixs_ice::NewOptionsStrategyDefinition& msg, bool& is_interested, const onixs_ice::MessageInfo& msg_info) 
+{
+   UNUSED(msg);
+   UNUSED(is_interested);
+   UNUSED(msg_info);
+}
+
+//
+
+void ICEListener::onMarketSnapshot(const onixs_ice::MarketSnapshot& msg, const onixs_ice::MessageInfo& msg_info) 
+{
+   UNUSED(msg_info);
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      auto ts = utils::TimeStamp::now();
+      auto settle_denominator = data->handle.security().ice_settle_denominator;
+      if (msg.settlePriceDateTime > 0) {
+         data->handle.update_settlement( ts,  convert_price(msg.settlementPrice, settle_denominator), date_of_timestamp(msg.settlePriceDateTime) );
+      }
+      
+      LOG(md,Diag,"OnixSICE Got Market Snap : {} - {}", std::to_string(data->id), std::to_string(msg.settlementPrice));
+      
+      auto deal_denominator = data->handle.security().ice_deal_denominator;
+      data->handle.update_opening( ts,  double_of_price(msg.openingPrice, deal_denominator), datetime::today() );
+      data->handle.update_session_high( ts,  double_of_price(msg.high, deal_denominator) );
+      data->handle.update_session_low( ts,  double_of_price(msg.low, deal_denominator) );      
+      
+      data->handle.set_last_trade( ts, pricesize_of_price_size(msg.lastTradePrice, deal_denominator, msg.lastTradeQuantity), 
+                                   ll_of_timestamp(msg.lastTradeDateTime), msg.volume );            
+   }        
+}
+
+void ICEListener::onMarketStatistics(const onixs_ice::MarketStatistics& msg, const onixs_ice::MessageInfo& msg_info)
+{
+   UNUSED(msg_info);
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      data->handle.set_total_volume(msg.volume);
+   }   
+}
+
+// Gap Recovery -- This is not necessary if we subscribe to the onOrderBookUpdated callback, they handle the breaks transparently 
+void ICEListener::onMarketSnapshotOrder(const onixs_ice::MarketSnapshotOrder& msg, const onixs_ice::MessageInfo& msg_info) 
+{
+   UNUSED(msg);
+   UNUSED(msg_info);
+}
+
+// Gap Recovery -- This is not necessary if we subscribe to the onOrderBookUpdated callback, they handle the breaks transparently 
+void ICEListener::onMarketSnapshotPriceLevel(const onixs_ice::MarketSnapshotPriceLevel& msg, const onixs_ice::MessageInfo& msg_info) 
+{
+   UNUSED(msg);
+   UNUSED(msg_info);
+}
+
+//
+// Book
+void ICEListener::onOrderBookUpdated(const onixs_ice::OrderBook& onixs_book, const onixs_ice::MessageInfo& msg_info) 
+{
+   //tracepoint (bts_trace,trace_order,(char*) "onBookUpdate", (uint32_t)msg_info.sequenceNumber, (uint16_t) msg_info.sequenceNumber, 0);
+      
+   auto data = _index.get_security(onixs_book.marketId());
+   if (data == nullptr) 
+      return;
+   bts_assert(data->id == onixs_book.marketId());
+   auto denominator = data->handle.security().ice_price_denominator;
+
+   // Overwrite all entries every time
+   size_t bids_size = onixs_book.bids().size();
+   size_t asks_size = onixs_book.offers().size();
+   if (!data->handle.has_depth()) 
+   {
+      bids_size = std::min(bids_size, size_t { 1 });
+      asks_size = std::min(asks_size, size_t { 1 });
+   }
+   std::array<PriceSize,COCONUT_MAX_DEPTH> dbids; dbids.fill(NO_MARKET);
+   std::array<PriceSize,COCONUT_MAX_IMPLIED_DEPTH> ibids; ibids.fill(NO_MARKET);
+   std::array<PriceSize,COCONUT_MAX_DEPTH> dasks; dasks.fill(NO_MARKET);
+   std::array<PriceSize,COCONUT_MAX_IMPLIED_DEPTH> iasks;  iasks.fill(NO_MARKET);
+   for (size_t x = 0; x < bids_size; ++x) 
+   {
+      auto& bid = onixs_book.bids()[x];
+      if(x < COCONUT_MAX_DEPTH)
+         dbids[x] = pricesize_of_price_size(bid.price, denominator, bid.quantity - bid.impliedQuantity);   
+      if(x < COCONUT_MAX_IMPLIED_DEPTH)
+         ibids[x] = pricesize_of_price_size(bid.price, denominator, bid.impliedQuantity);   
+   }      
+   for (size_t x = 0; x < asks_size; ++x) 
+   {
+      auto& ask = onixs_book.offers()[x];
+      if(x < COCONUT_MAX_DEPTH)
+         dasks[x] = pricesize_of_price_size(ask.price, denominator, ask.quantity - ask.impliedQuantity);
+      if(x < COCONUT_MAX_IMPLIED_DEPTH)
+         iasks[x] = pricesize_of_price_size(ask.price, denominator, ask.impliedQuantity);
+   } 
+   data->handle.update_books(TimeStamp::now(), dbids, dasks, ibids, iasks, (uint32_t) msg_info.sequenceNumber);
+} 
+
+
+//
+// Trades
+AggressorSide map_aggressor(onixs_ice::AggressorSide::Enum agside) 
+{
+   switch(agside) {
+      default:
+      case onixs_ice::AggressorSide::NoAggressor:
+         return AGGRESSOR_SIDE_NONE;
+      case onixs_ice::AggressorSide::Buy:
+         return AGGRESSOR_SIDE_BUY;
+      case onixs_ice::AggressorSide::Sell:
+         return AGGRESSOR_SIDE_SELL;
+   }
+}
+
+void on_trade(ICESecurityData* data, const onixs_ice::Price& price, int size, 
+              onixs_ice::AggressorSide::Enum agside, const onixs_ice::DateTime& onixs_date, bool from_spread) 
+{
+   auto ts = utils::TimeStamp::now();
+   PriceSize ps = pricesize_of_price_size(price, data->handle.security().ice_deal_denominator, size);
+   auto date = ll_of_timestamp(onixs_date);
+   data->handle.add_trade(ts, ps, date, map_aggressor(agside), 0u, from_spread);
+}
+
+void ICEListener::onTrade(const onixs_ice::Trade& msg, const onixs_ice::MessageInfo& ) 
+{
+   auto* data = _index.get_security(msg.marketId);
+   if (data != NULL) 
+   {
+      bts_assert(data->id == msg.marketId);
+      auto size = msg.quantity;
+      auto price = msg.price;
+      onixs_ice::AggressorSide::Enum agside = msg.aggressorSide;
+      on_trade(data, price, size, agside, msg.transactDateTime, msg.isSystemPricedLeg);
+   }   
+}
+
+//
+// RFQ
+void ICEListener::onRfq(const onixs_ice::Rfq& msg, const onixs_ice::MessageInfo& ) 
+{
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      auto ts = utils::TimeStamp::now();
+      co2::QuoteRequestMessage message;
+      message.set_key(data->handle.key());
+
+      auto time = ll_of_timestamp(msg.messageTimestamp);
+      message.set_time(time);
+
+      long long rfqid = msg.rfqSystemId;
+      message.set_request_id(std::to_string(rfqid));
+
+      //https://ref.onixs.biz/cpp-ice-impact-handler-guide/struct_onix_s_1_1_i_c_e_1_1i_mpact_1_1_market_data_1_1_side.html#a8150b7776c2a1749101acf22e868d091
+      switch(msg.side) 
+      {
+         case ' ':
+            message.set_side(co2::QuoteRequestMessage::UNDEFINED);
+            break;
+         case '1':
+            message.set_side(co2::QuoteRequestMessage::BUY);
+            break;
+         case '2':
+            message.set_side(co2::QuoteRequestMessage::SELL);
+            break;
+      }
+      message.set_size(msg.quantity);
+      data->handle.add_rfq(ts, message);
+   }   
+}
+
+//
+// Misc
+void ICEListener::onSettlementPrice(const onixs_ice::SettlementPrice& msg, const onixs_ice::MessageInfo& ) 
+{   
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      auto ts = utils::TimeStamp::now();
+      auto price = msg.settlementPrice;
+      auto time = msg.dateTime;
+      auto denominator = data->handle.security().ice_settle_denominator;
+      LOG(md,Diag,"OnixSICE Got Settlement: {} - {}", std::to_string(data->id), std::to_string(price));
+      data->handle.update_settlement(ts, convert_price(price, denominator), date_of_timestamp(time));
+   }   
+}
+
+void ICEListener::onOpenInterest(const onixs_ice::OpenInterest &msg, const onixs_ice::MessageInfo &msg_info) 
+{
+   UNUSED(msg);
+   UNUSED(msg_info);
+}
+
+void ICEListener::onOpenPrice(const onixs_ice::OpenPrice& msg, const onixs_ice::MessageInfo& ) 
+{
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      onixs_ice::Price price = msg.openPrice;
+      onixs_ice::DateTime time = msg.dateTime;
+      auto denominator = data->handle.security().ice_deal_denominator;
+      data->handle.update_opening( utils::TimeStamp::now(),  double_of_price(price, denominator), date_of_timestamp(time));
+   }   
+}
+
+void ICEListener::onClosePrice(const onixs_ice::ClosePrice& msg, const onixs_ice::MessageInfo& ) 
+{
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      onixs_ice::Price price = msg.closePrice;
+      onixs_ice::DateTime time = msg.dateTime;
+      auto denominator = data->handle.security().ice_deal_denominator;
+      data->handle.update_closing( utils::TimeStamp::now(),  double_of_price(price, denominator), date_of_timestamp(time));
+   }     
+}
+
+void ICEListener::onEndOfDayMarketSummary(const onixs_ice::EndOfDayMarketSummary& msg, const onixs_ice::MessageInfo& ) 
+{
+   auto* data = _index.get_security(msg.marketId);
+   if (data != nullptr) 
+   {
+      bts_assert(data->id == msg.marketId);
+      onixs_ice::DateTime time = msg.dateTime;
+      auto ts = utils::TimeStamp::now();
+      auto settle_denominator = data->handle.security().ice_settle_denominator;
+      data->handle.update_settlement( ts,  convert_price(msg.settlementPrice, settle_denominator), date_of_timestamp(time) );
+      
+      LOG(md,Warn,"OnixSICE Got EOD Market : {} - {}", std::to_string(data->id), std::to_string(msg.settlementPrice));
+      
+      auto deal_denominator = data->handle.security().ice_deal_denominator;
+      data->handle.update_opening( ts,  double_of_price(msg.openingPrice, deal_denominator), date_of_timestamp(time) );
+      data->handle.update_session_high( ts,  double_of_price(msg.high, deal_denominator) );
+      data->handle.update_session_low( ts,  double_of_price(msg.low, deal_denominator) );      
+   }        
+}
+
+//
+// Feed
+void ICEListener::onMulticastMessageBlockBegin(onixs_ice::FeedId feedId, const onixs_ice::MessageInfo& ) 
+{
+   UNUSED(feedId);
+}
+
+void ICEListener::onMulticastMessageBlockEnd(onixs_ice::FeedId feedId, const onixs_ice::MarketIds& marketIds) 
+{
+   UNUSED(feedId);
+   UNUSED(marketIds);
+}
+
+void ICEListener::onFeedStarted(onixs_ice::FeedId, const onixs_ice::MarketIds&) 
+{}
+
+void ICEListener::onFeedStopped(onixs_ice::FeedId) 
+{}
+
+void ICEListener::onSessionNumberChange(onixs_ice::FeedId , short , short )
+{}
+
+
+//
+// Non-onixs calls
+void ICEListener::add_filter_symbol(const std::string& symbol) 
+{
+   LOG(md, Info, "ICEListener::add_filter_symbol: adding {}", symbol);
+   _symbol_filter.insert(symbol);
+}
+
+void ICEListener::heartbeat() 
+{
+   for (auto& c : _channels) { c.heartbeat(); }
+}
+
+//
+// Private functions
+void ICEListener::add_security(const FixedSecurity& security) 
+{
+   // Set up the shared memory for this security
+   auto handle = _producer.add_security(security);
+   bts_assert(security.numeric_id != 0);
+   // Add it to the index so it can receive messages
+   _index.add_security(security.numeric_id, handle);
+}
+
+void ICEListener::update_all_status(CoconutSecurityStatus status) 
+{
+   _index.walk_security_list([=](ICESecurityData& data) 
+   {
+      data.handle.set_status(status);
+   });
+}
+
+}}} //namespace
+
+

src/server/sparkd/md/platforms/ice_onixs/ICEListener.h

@@ -119,7 +119,20 @@ private:
    enum SecurityFilterAction { ADD, SKIP, DELETE };
    
    std::string parse_contract_symbol(const std::string& sym);
-      
+   template<typename Definition>
+   std::string get_contract_symbol(const Definition& def){
+      const auto& sym = def.contractSymbol;
+      // TODO : this is only exception right now but for HHD sstrips
+      // def.contractSymbol is empty ! 
+      if (sym.size() == 0 && def.marketDesc.rfind("NG Swing GDD Futures - Henry", 0) == 0)
+         return "HHD";
+      auto end = sym.find(' ');
+      if(end == std::string::npos)
+         return sym;
+      else
+         return sym.substr(0, end);
+   }
+
    template<typename Definition>
    SecurityFilterAction filter_security(int exchange_id, const Definition& def) 
    {
@@ -130,7 +143,7 @@ private:
       }
       if(_symbol_filter.count("*") > 0)
          return ADD;
-      return _symbol_filter.count( parse_contract_symbol(def.contractSymbol) ) > 0 ? ADD : SKIP;
+      return _symbol_filter.count(get_contract_symbol(def)) > 0 ? ADD : SKIP;
    }
    void flush_books();
    void update_all_status(co2::CoconutSecurityStatus status);
@@ -146,7 +159,7 @@ template<typename Definition>
 void ICEListener::set_security_common(const Definition& def, FixedSecurity& fsec) 
 {
    fsec.numeric_id = def.marketId;
-   std::string sym = parse_contract_symbol(def.contractSymbol);
+   std::string sym = get_contract_symbol(def);
    if(!sym.empty())
    {
       fsec.symbol( sym );
@@ -165,7 +178,7 @@ void ICEListener::set_security_common(const Definition& def, FixedSecurity& fsec
    fsec.ice_settle_denominator = (int8_t)(def.settlePriceDenominator - '0');
    double min_tick = double_of_price(def.incrementPrice, fsec.ice_price_denominator);
    fsec.low_tick = fsec.high_tick = min_tick;
-   fsec.price_break = 0.0;    
+   fsec.price_break = 0.0;
    
    fsec.ice_market_description(def.marketDesc);
    fsec.ice_cleared_alias(def.clearedAlias);
@@ -207,12 +220,12 @@ void ICEListener::on_uds_future_spread(const Definition& def, bool& is_intereste
    // auto expiration = date_of_maturity(sec);
    // if (expiration < datetime::today()) return;
 
-   FixedSpreadSecurityL fsec;
+   FixedSpreadSecurityXL fsec;
    set_security_common(def, fsec);
    fsec.alt_symbol(def.strategySymbol);      
    
-   const auto& legs = def.legs;
-   if (legs.size() > 0) {
+   const auto& legs = def.legs;   
+   if (legs.size() > 0 && legs.size() <= 512) {
       fsec.set_leg_count(legs.size());
       for(size_t x = 0; x < fsec.leg_count(); ++x) 
       {
@@ -238,6 +251,8 @@ void ICEListener::on_uds_future_spread(const Definition& def, bool& is_intereste
       add_security(fsec);
       is_interested = true;            
    }
+   else
+      LOG(md, Error, "Ignoring security {} with {} legs", def.marketDesc, legs.size());
 }
 
 
@@ -248,7 +263,7 @@ void ICEListener::on_future_strip(const FutureDefinition& def, bool& is_interest
    auto exchange_id = def.marketId;
    if (filter_security(exchange_id, def) != ADD) return;   
 
-   FixedSpreadSecurityXS fsec;
+   FixedSpreadSecurityXL fsec;
    set_security_common(def, fsec);
    fsec.alt_symbol(def.stripName);      
    

src/server/sparkd/md/platforms/ice_onixs/ICEMain.cpp

@@ -73,31 +73,17 @@ onixs_ice::MarketSubscriptions market_subcription_for_channel(const ICEChannel&
    onixs_ice::MarketSubscriptions subs;
    for(const auto& x : chan.market_types)
    {
-      //onixs_ice::MarketSubType::NonImplied
-      if(x == 26)
-      {
-         onixs_ice::MarketSubscription futures(x, onixs_ice::MarketSubType::NonImplied, onixs_ice::SecurityType::Futures, onixs_ice::BookDepth::FOD);
-         subs.push_back(futures);
-      }
-      else
-      {
-         onixs_ice::MarketSubscription futures(x, onixs_ice::MarketSubType::FullImplied, onixs_ice::SecurityType::Futures, onixs_ice::BookDepth::FOD);      
-         subs.push_back(futures);
-      }
+      onixs_ice::MarketSubscription futures(x, onixs_ice::MarketSubType::NonImplied, onixs_ice::SecurityType::Futures, onixs_ice::BookDepth::FOD);
+      subs.push_back(futures);
+
+      onixs_ice::MarketSubscription spreads(x, onixs_ice::MarketSubType::NonImplied, onixs_ice::SecurityType::UdsFuturesMarkets, onixs_ice::BookDepth::FOD);
+      subs.push_back(spreads);
    }
    for(const auto& x : chan.uds_market_types)
    {
-      if(x == 26)
-      {
-         onixs_ice::MarketSubscription spreads(x, onixs_ice::MarketSubType::NonImplied, onixs_ice::SecurityType::UdsFuturesMarkets, onixs_ice::BookDepth::FOD);
-         subs.push_back(spreads);
-      }
-      else
-      {
-         onixs_ice::MarketSubscription spreads(x, onixs_ice::MarketSubType::FullImplied, onixs_ice::SecurityType::UdsFuturesMarkets, onixs_ice::BookDepth::FOD);
-         subs.push_back(spreads);
-      }
-   }   
+      onixs_ice::MarketSubscription spreads(x, onixs_ice::MarketSubType::NonImplied, onixs_ice::SecurityType::UdsFuturesMarkets, onixs_ice::BookDepth::FOD);
+      subs.push_back(spreads);      
+   }
    return subs;
 }
 

src/server/sparkd/position/PositionServicePNLHelper.cpp

@@ -138,6 +138,7 @@ struct PositionServicePNLHelper::PImpl {
 void PositionServicePNLHelper::compute_pnl(
       const std::map<int, PositionUnit const*>& in_pos,
       const std::map<std::string,uint32_t>& account_map,
+      const std::map<uint32_t,double>& cpp_override_map,
       std::vector<PNLUnit>& out_pnl,      
       std::vector<AccountPNL>& out_account_pnl){
    out_account_pnl.clear();
@@ -145,6 +146,8 @@ void PositionServicePNLHelper::compute_pnl(
       const PositionUnit& pu = *(p.second);
       uint32_t sec_key = pu.security_id();
       double cpp = me->handle_index.get_cpp(SecurityKey(sec_key));
+      auto it = cpp_override_map.find(sec_key);
+      cpp = (it != cpp_override_map.end()) ? it->second : cpp;
       double bid, ask, last, settle;
       me->handle_index.get_md(SecurityKey(sec_key),bid,ask,last,settle);
       PNLUnit pnlu;

src/server/sparkd/position/PositionServicePNLHelper.h

@@ -17,7 +17,7 @@ private:
    std::unique_ptr<PImpl> me;
 private:
    double _compute_day_pnl (const bts::api::position::PNLUnit&);
-   double _get_cpp (uint32_t);
+   //double _get_cpp (uint32_t);
    // aggregates [sec, account]->pnl tp [account]->pnl
    void _aggregate_account_pnl(
          const std::vector<api::position::PNLUnit>& in_pnl,
@@ -29,6 +29,7 @@ private:
    ~PositionServicePNLHelper();
    void compute_pnl(const std::map<int, bts::api::position::PositionUnit const*>& in_pos,
                      const std::map<std::string,uint32_t>& account_map,
+                     const std::map<uint32_t,double>& cpp_override_map,
                      std::vector<bts::api::position::PNLUnit>& out_pnl,
                      std::vector<bts::api::position::AccountPNL>& out_account_pnl);
 };

src/server/sparkd/position/PositionServiceServer.cpp

@@ -28,6 +28,7 @@ using namespace bts::api::position;
 using namespace bts::md;
 
 static auto const manual_fills_ns = "manual_fills";
+static auto const security_params_ns = "security_parameters";
 
 struct PositionServiceServer::PImpl {
    bts::orderman::PositionMap state;
@@ -37,6 +38,7 @@ struct PositionServiceServer::PImpl {
    int id;
    // manual fills management
    std::unique_ptr<persistence::IStore> manual_fills_store;
+   std::unique_ptr<persistence::IStore> security_params_store;
    PositionServiceBase::Manual_fillsStatefulPublisher manual_fills_publisher;
    // pnl
    PositionServiceBase::Pnl_dataStatefulPublisher pnl_publisher;
@@ -47,6 +49,7 @@ struct PositionServiceServer::PImpl {
    bts::api::admin::AdminService admin_service;
    api::admin::AdminData admin_data;
    std::map<std::string, uint32_t> account_map;
+   std::map<uint32_t, double> cpp_override_map;
 
    PImpl(
        bts::api::ServiceContext &context,
@@ -64,6 +67,8 @@ struct PositionServiceServer::PImpl {
          // manual fills
          manual_fills_store(
              std::make_unique<persistence::SqliteStore>("manual_fills")),
+         security_params_store(
+             std::make_unique<persistence::SqliteStore>("security_parameters")),
          manual_fills_publisher(manual_fills_publisher),
          // pnl
          pnl_publisher(pnl_publisher),
@@ -73,7 +78,9 @@ struct PositionServiceServer::PImpl {
          // admin
          admin_service(context.locate<bts::api::admin::AdminService>()),
          admin_data(),
-         account_map() {}
+         account_map(),
+         cpp_override_map()
+         {}
 };
 
 PositionServiceServer::PositionServiceServer(bts::api::ServiceContext &context,
@@ -196,6 +203,27 @@ void PositionServiceServer::_clear_and_publish_pos(){
       me->pos_publisher.add_or_update(*p.second);   
    me->pos_publisher.flush();
 }
+
+void PositionServiceServer::_load_security_params(){
+   me->cpp_override_map.clear();
+   auto all = me->security_params_store->retrieve_all()[security_params_ns];
+   SecurityParameters rec;
+   for (auto const &kvp : all)
+      if (utils::pb::from_string<SecurityParameters>(kvp.second, &rec)){
+         if(rec.has_cpp_override()){
+            LOG(OrderMan, Info, "Overriding cpp, key:{} cpp:{}", 
+                                                   rec.security_key(),
+                                                   rec.cpp_override().value());
+            me->cpp_override_map[rec.security_key()] = rec.cpp_override().value();
+         }
+      }
+      else {
+         LOG(OrderMan, Error,
+             "Could not recover security parameter for security {} from storage. "
+             "This should be investigated",
+             kvp.first);
+      }
+}
 ///////////////////////////////////////////////////////////////////////////////
 /// Manual Fills API //////////////////////////////////////////////////////////
 void PositionServiceServer::create_manual_fill(
@@ -294,6 +322,30 @@ void PositionServiceServer::set_base_position(
    _clear_and_publish_pos();
 }
 
+void PositionServiceServer::update_security_parameters(
+       const SecurityParametersBatchOp& req,
+       const api::Response<SecurityParametersBatchOpResponse>&){
+   LOG(persist, Info, "PositionServiceServer::update_security_parameters bp count:{}",
+                       req.op_params_size());
+   for (const auto& p : req.op_params()){
+      std::string key_str = std::to_string(p.security_key());
+      auto db_p = me->security_params_store->retrieve_one(security_params_ns, key_str);
+      auto found = db_p.first;
+      if (!found) {
+         me->security_params_store->insert(security_params_ns,
+                                           key_str,
+                                           utils::pb::to_string(p));
+      } 
+      else {
+         me->security_params_store->insert(security_params_ns,
+                                          key_str,
+                                          utils::pb::to_string(p));
+      }
+   }
+   _load_security_params();
+   _compute_pnl_and_publish();
+}
+
 ///////////////////////////////////////////////////////////////////////////////
 /// PNL helpers ///////////////////////////////////////////////////////////////
 void PositionServiceServer::_compute_pnl_and_publish() {
@@ -301,7 +353,8 @@ void PositionServiceServer::_compute_pnl_and_publish() {
    me->state.get_pos(in_pos);   
    std::vector<PNLUnit> pnl;
    std::vector<AccountPNL> account_pnl;
-   me->pnl_helper.compute_pnl(in_pos, me->account_map, pnl, account_pnl);
+   me->pnl_helper.compute_pnl(in_pos, me->account_map, me->cpp_override_map,
+                              pnl, account_pnl);
    for (const auto &u : pnl)
       me->pnl_publisher.add_or_update(u);
    for (const auto &u : account_pnl)

src/server/sparkd/position/PositionServiceServer.h

@@ -52,6 +52,7 @@ class PositionServiceServer : public bts::api::position::PositionServiceBase {
    void _compute_pnl_and_publish();
    void _set_admin_data(const api::admin::AdminData &admin_data);
    void _clear_and_publish_pos();
+   void _load_security_params();
  public:
    PositionServiceServer(bts::api::ServiceContext &context, md::MDClient &);
 
@@ -74,6 +75,11 @@ class PositionServiceServer : public bts::api::position::PositionServiceBase {
        const ::bts::api::position::BasePositionBatch &request,
        const api::Response<::bts::api::position::SetBasePositionResponse>
            &reply) override;
+   
+   void update_security_parameters(
+       const ::bts::api::position::SecurityParametersBatchOp &request,
+       const api::Response<::bts::api::position::SecurityParametersBatchOpResponse>
+           &reply) override;
 
    ~PositionServiceServer();
 };

src/web/api/build.sh

@@ -2,11 +2,6 @@
 export DOTNET_SKIP_FIRST_TIME_EXPERIENCE=1
 export PATH="$PATH:/root/.dotnet/tools"
 
-# install npx
-if ! [ -x "$(command -v npx)" ]; then
-    npm install -g npx
-fi
-
 export OUT=${BUILD_DIR:-../../../build}/web
 MODE=manual
 case "$OUT" in
@@ -39,9 +34,6 @@ PROTOC=../../../externals/linux/bin/protoc
 ORANGE='\033[0;33m'
 NOCOLOR='\033[0m'
 
-npm install
-
-
 # Run pbjs to produce protobuf module
 echo -e \* ${ORANGE} pbjs ${NOCOLOR}
 npx --no-install pbjs -t json-module -w commonjs -o $OUT/api/proto.js $PROTO_LIST
@@ -79,11 +71,10 @@ if [ "$FULL" ==  "1" ]; then
     export DOTNET_SKIP_FIRST_TIME_EXPERIENCE=1
     echo -e \* ${ORANGE} fable ${NOCOLOR}
     cd ../ui/
-    npm install
     cd src
     mkdir -p $OUT/ui/
     cp -r ../public/* $OUT/ui/
-    dotnet restore
+    dotnet restore -s ../../../../externals/nuget/packages
     if [ "$MODE" == "release" ]; then
         dotnet fable webpack -- --env.BUILD_PATH=$OUT -p
     else

tools/celoxica.cmake

@@ -1,22 +0,0 @@
-cmake_minimum_required(VERSION 3.5)
-
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libbase.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libutils.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libfix_lib.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libclxlog.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libade_version.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libade.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libclx.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libgmac_version.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libgmac.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libcputimestamp.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libclxconfig.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libconfigfile.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libac.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/librc.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/liblldt.so")
-LIST(APPEND CELOXICA_LIB "${SPARK_LIB}/celoxica/libregister.so")
-
-file(COPY ${CELOXICA_LIB} DESTINATION ${CMAKE_BINARY_DIR}/src/server/sparkd)
-
-

tools/jenkinsbuild.cmd

@@ -7,7 +7,7 @@ if not exist build\src\lib\libspark.vcxproj (
 )
 
 call "C:\Program Files (x86)\Microsoft Visual Studio\2017\BuildTools\Common7\Tools\VsDevCmd.bat"
-msbuild /m /p:debugtype=portable /p:platform=x64 /clp:verbosity=minimal /clp:summary /t:restore spark_client.sln /p:Configuration=release
+msbuild /m /p:debugtype=portable /p:platform=x64 /clp:verbosity=minimal /clp:summary /t:restore /p:RestoreSources=externals\windows\nuget\packages spark_client.sln /p:Configuration=release
 IF %ERRORLEVEL% NEQ 0 GOTO :ERROR_AND_END
 
 msbuild /m /p:debugtype=portable /p:platform=x64 /clp:verbosity=minimal /clp:summary spark_client.sln /p:Configuration=release

tools/linux_control/build_in_docker.sh

@@ -1,9 +1,8 @@
 #!/bin/bash
-BUILD=clang_debug
-BUILD_LOC=/home/ppinto/temp/spark_build
+
 if [ -f /.dockerenv ]; then
-    cd $BUILD_LOC/$BUILD && ninja
+    (cd `readlink -f .` && ninja)
 else
     cid=`docker ps | grep -P "emacs_ide|bluetradingsystems/linux_docker" | awk '{print $1}'`
-    docker exec $cid /bin/bash -c "cd $BUILD_LOC/$BUILD && ninja"
+    docker exec $cid /bin/bash -c "(cd `readlink -f .` && ninja)"
 fi

tools/nuget_restore.cmd

@@ -2,6 +2,6 @@
 setlocal
 call "C:\Program Files (x86)\Microsoft Visual Studio\2017\Professional\Common7\Tools\VsDevCmd.bat" > nul
 cd /d %~dp0/../
-msbuild /m /p:platform=x64 /clp:verbosity=minimal /clp:summary /t:restore spark_client.sln
-msbuild /m /p:platform=x64 /clp:verbosity=minimal /clp:summary /p:Configuration=release /t:restore spark_client.sln
+msbuild /m /p:platform=x64 /clp:verbosity=minimal /clp:summary /t:restore /p:RestoreSources=externals\windows\nuget\packages spark_client.sln
+msbuild /m /p:platform=x64 /clp:verbosity=minimal /clp:summary /p:Configuration=release /t:restore /p:RestoreSources=externals\windows\nuget\packages spark_client.sln
 

tools/setup_builds.sh

@@ -4,6 +4,11 @@ SRC_ROOT=$DIR/../
 mkdir -p $SRC_ROOT/build/
 BUILD_ROOT=`readlink -f $SRC_ROOT/build`
 
+rm -f $SRC_ROOT/src/web/ui/node_modules
+rm -f $SRC_ROOT/src/web/api/node_modules
+ln -s $SRC_ROOT/externals/npm/node_modules $SRC_ROOT/src/web/ui/node_modules
+ln -s $SRC_ROOT/externals/npm/node_modules $SRC_ROOT/src/web/api/node_modules
+
 rm -rf $BUILD_ROOT/clang_debug 
 mkdir $BUILD_ROOT/clang_debug
 cd $BUILD_ROOT/clang_debug