Updated release notes.

guard against UI setting cash and leverage factors for accounts I don't know about when span is off

Approved-by: Pedro Pinto <pedro.pinto+atlassian@bluetradesys.com>

.gitignore

@@ -32,3 +32,4 @@ trace_data/
 /src/lib/orderman/perf_analysis/last_pretty_log.csv
 /src/lib/orderman/perf_analysis/log.csv
 /doc/user/public/*
+.ionide/*

doc/user/content/release_notes/_index.md

@@ -4,6 +4,48 @@ weight = 3
 sort_by = "weight"
 insert_anchor_links = "right"
 +++
+## 2.7.1
+### User Visible Changes
+  - Fixed some issues with the Cover algo, where in some circumstances
+    it would erroneously cancel launched hedges on completion.
+	
+## 2.7.0
+### User Visible Changes
+  - Allowed algos to process "in-flight" fills while shutting down
+  - Changed the cover algo to continue to hedge while shutting down
+### API Changes
+  - Changed the API so that algos do not fully terminate until all
+    their children are terminated. Algos that are in the process of
+    shutting down in response to a complete or cancel call will still
+    receive child updates, which they can use to calculate and report
+    an accurate fill count (during this shutdown stage algos cannot
+    create, cancel or update children). A new IAlgoServices method,
+    is_shutting_down(), can be used to determine if an algo is
+    shutting down.
+
+## 2.6.2
+### User Visible Changes
+  - Fixed an issue in the ladder where in some cases the mini order book could not be brought up from a badge
+  - Fixed a rare race condition that could lead to erroneous limit enforcement
+  - Fixed an issue with the margin limits where an error could occur if an account name with more than 12 chars was used  
+
+## 2.6.1
+### User Visible Changes
+  - Fixed an issue in the ladder where an error could occur when trying to change ladder settings for the first time
+  
+## 2.6.0
+### User Visible Changes
+  - In the ladder made last trade more distinctive when overlayed on the volumn column
+  - In the ladder, corrected display of volume tool tip 
+  - In the ladder, changed the consolidation of last trade to consider only the price ignoring aggressor changes
+  - Added an option for the Top Algo to delete itself if within N ticks from top of book
+  - Address a rare issue that could lead to an error report on UI exit
+  - Added margin risk limits
+  - Added the "Offset" algo. Offset prices a child algo at a parameterizable distance from the top of the book
+  - Avoided switching the current account and order type on open ladders when limits are changed 
+### Internal Changes
+  - Ensure that admin logins are always allowed to login, regardless of keycode status.
+  
 ## 2.5.0
 ### User Visible Changes
   - Added loss limit risk check
@@ -293,7 +335,7 @@ insert_anchor_links = "right"
   - The zoom slider can be enabled from Ladder Form -> Settings button -> Left Pane tab -> check Zoom Slider checkbox
   - The zoom functionality can also be performed via hotkey and mouse wheel combinations
     - Zoom In = CTRL + Mouse wheel up
-    - Zoom Out = CTRL + Mouse wheel down
+    - Zoom Out = CTRL + Mouse wheel down␍
     - Reset zoom = CTRL + Mouse wheel click or double click on the zoom slider
 ### Exchange simulator
   - Improved the exchange simulator to track real market data more closely
@@ -398,7 +440,8 @@ insert_anchor_links = "right"
   - This is configurable from a ladder's settings as well
 ### Customized settings in all windows
  - All windows now contain a settings page where grid settings (font color, size, etc) are applied
- - These settings can be saved on a per-window basis or as a Default for newly-launched windows␍
+ - These settings can be saved on a per-window basis or as a Default for newly-launched windows
+
 
 ## 1.3.1 Through 1.3.4
 

src/client/spark/Modules/Trading/Ladder/LadderSettings.cs

@@ -339,6 +339,7 @@ namespace mbts.spark {
                zoom_slider_visible = false,
                zoom_factor = _default_zoom_factor,
                net_change = NetChangeTerms.None,
+               mini_ob = new LadderMiniOrderBookSettings(bts.shell.orderbook.OrderBookStartupData.default_mini_grid.general),
             };
             rv.row_height = LadderRender.measure_row_height(rv);
             return rv;

src/client/spark/Modules/Trading/Ladder/LadderWindowFactory.cs

@@ -113,7 +113,7 @@ namespace bts.shell {
                });
             });
             // vm
-            vm = LadderVM.create(_bus, model, last_value ?? _settings_hub.current.ladder, settings_source);
+            vm = LadderVM.create(_bus, model, LadderSettings.sanitize(last_value ?? _settings_hub.current.ladder), settings_source);
             vm.settings_invalidated += on_settings_invalidated;
             vm.order_properties_vm.open_algo_popup_on_select = _ladder_conf.open_algo_popup_on_select;
             vm.order_properties_vm.use_algo_param_grid = _ladder_conf.use_algo_param_grid;

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

@@ -363,7 +363,9 @@ namespace mbts.spark {
          } else {
             clone = SparkUtils.clone_proto(_current);
 #pragma warning disable CS0612 // Type or member is obsolete
-            clone.mini_ob = new LadderMiniOrderBookSettings(mini_ob.create().with(sorting_criterion: _current.mini_ob.value.sorting_criterion));
+            clone.mini_ob = new LadderMiniOrderBookSettings(_current.mini_ob.value != null ? 
+               mini_ob.create().with(sorting_criterion: _current.mini_ob.value.sorting_criterion) :
+               mini_ob.create());
 #pragma warning restore CS0612 // Type or member is obsolete
          }
          clone.badge_style = badge_style;

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

@@ -51,7 +51,7 @@ namespace mbts.spark {
                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.Default)) : null);
+                  Observable.Return(LadderSettings.sanitize(LadderSettings.Default))) : null);
          RaisePropertyChanged(nameof(value));
       }
    }

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

@@ -694,12 +694,14 @@ namespace mbts.spark {
                   // At any rate, we need this part hiding the tooltip so that we don't leave random tooltips around
                   // and we have to reset to old row so that when we go back to what could be our preivous row, the tooltip gets drawn again
                   //System.Diagnostics.Debug.WriteLine("   Tooltip - Volume is 0");
+                  _old_tooltip_row = int.MaxValue;
                   _hide_tool_tip();
                   //_old_tooltip_row = Int32.MaxValue;
                }
             }
          } else {
             //System.Diagnostics.Debug.WriteLine("   Tooltip - not over Volume column");
+            _old_tooltip_row = int.MaxValue;
             _hide_tool_tip();
          }
       }

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

@@ -215,16 +215,16 @@ namespace mbts.spark {
          Brush total_brush = null;
          if (settings.total.bars.result.HasValue) {
             total_brush = new SolidColorBrush(settings.total.bars.result.Value);
-         } else if (components.Count == 0) {
+         } else if (components.Count == 0 && !settings.show_ltq) {
             _clear_visual(dv);
             return;
          }
          // inflate the max so that the graph never fills the available space
          double max = data.Max(v => v.Volume) * 1.1;
-         Brush text_brush = settings.general.foreground.rgb_brush();
          _render_cells(dv, row_height, data.Select(d => (d.Price, d)), settings.general, prices, spec, render_cell);
          /// local methods
          void render_cell(DrawingContext dc, int r, VolumeAtPriceLevelImmutable vap) {
+            Brush text_brush = settings.general.foreground.rgb_brush();
             double y = row_height * r;
             var last_trade_here = r == last_index;
 
@@ -259,6 +259,7 @@ namespace mbts.spark {
             if (settings.show_ltq && last_trade_here) {
                numbers_text.Clear();
                numbers_text.Add(last_size_and_direction);
+               text_brush = BTSCoreColors.white;
             }
             if (numbers_text.Count > 0) {
                string str = string.Join("/", numbers_text);

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

@@ -994,11 +994,13 @@ namespace mbts.spark {
             var join = config.Configuration.get<bts.config.JoinAttachUIOptions>();
             var lean = config.Configuration.get<bts.config.LeanAttachUIOptions>();
             var top = config.Configuration.get<bts.config.TopAttachUIOptions>();
+            var offset = config.Configuration.get<bts.config.OffsetAttachUIOptions>();
             _algo_type_conf = new Dictionary<CustomOrderDefinition.CustomOneofCase, (bool, bool)> {
                { CustomOrderDefinition.CustomOneofCase.Cover, (cover.show_price, cover.show_quantity) },
                { CustomOrderDefinition.CustomOneofCase.Join, (join.show_price, join.show_quantity) },
                { CustomOrderDefinition.CustomOneofCase.Lean, (lean.show_price, lean.show_quantity) },
-               { CustomOrderDefinition.CustomOneofCase.Top, (top.show_price, top.show_quantity) }
+               { CustomOrderDefinition.CustomOneofCase.Top, (top.show_price, top.show_quantity) },
+               { CustomOrderDefinition.CustomOneofCase.Offset, (offset.show_price, offset.show_quantity) }
             };
          }
 

src/client/spark/Modules/Trading/OrderBook/Settings/OrderBookFilterStates.cs

@@ -144,7 +144,7 @@ namespace bts.shell.orderbook {
          pb.add_discrete_values(fs.symbols, o => o.security?.Symbol);
          // numeric
          pb.add_numeric(fs.qty, o => o.order.quantity());
-         pb.add_numeric(fs.price, o => o.order.price());
+         pb.add_price(fs.price, o => o.order.price(), o => o.security);
          pb.add_numeric(fs.qty_filled, o => o.order.filled());
          pb.add_numeric(fs.avg_price, o => o.order.avg_price());
          pb.add_numeric(fs.last_price, o => o.order.last_price());

src/client/spark/Orders/OrderDataHelper.cs

@@ -602,7 +602,8 @@ namespace mbts.spark.utilities {
             CustomOrderDefinition.CustomOneofCase.Lean,
             CustomOrderDefinition.CustomOneofCase.Join,
             CustomOrderDefinition.CustomOneofCase.Cover,
-            CustomOrderDefinition.CustomOneofCase.Top
+            CustomOrderDefinition.CustomOneofCase.Top,
+            CustomOrderDefinition.CustomOneofCase.Offset
          },
          // The following spreader types are not yet ready for production use:
          // CustomOrderDefinition.CustomOneofCase.Dynamic,
@@ -619,7 +620,8 @@ namespace mbts.spark.utilities {
             CustomOrderDefinition.CustomOneofCase.Lean,
             CustomOrderDefinition.CustomOneofCase.Join,
             CustomOrderDefinition.CustomOneofCase.Cover,
-            CustomOrderDefinition.CustomOneofCase.Top
+            CustomOrderDefinition.CustomOneofCase.Top,
+            CustomOrderDefinition.CustomOneofCase.Offset
          },
          outright_order_types = new[] {
             CustomOrderDefinition.CustomOneofCase.Market,
@@ -715,7 +717,7 @@ namespace mbts.spark.utilities {
                !b.HasChild);
 
          public static bool top_equals(TopOrderDefinitionImmutable a, TopOrderDefinitionImmutable b) =>
-            a.WatchLevelTickOffset == b.WatchLevelTickOffset &&
+            a.TicksOff == b.TicksOff &&
             (a.HasTopThreshold ?
                b.HasTopThreshold && quantity_measure_equals(a.TopThreshold, b.TopThreshold) :
                !b.HasTopThreshold) &&
@@ -906,7 +908,7 @@ namespace mbts.spark.utilities {
                      add_component(_get_hash(_get_tick_child(tick)));
                      break;
                   case CustomOrderDefinition.CustomOneofCase.Top:
-                     add_component(def.Top.WatchLevelTickOffset.GetHashCode());
+                     add_component(def.Top.TicksOff.GetHashCode());
                      add_component(def.Top.HasTopThreshold ? def.Top.TopThreshold.GetHashCode() : 0);
                      add_component(_get_top_child(def.Top).GetHashCode());
                      break;

src/client/spark/Orders/OrderPropertiesEditorVM.cs

@@ -105,13 +105,18 @@ namespace mbts.spark {
          var inline_account_src = order_properties.AggregateLatest(
             model.factory.subscribe_accounts(),
             (last, change, cache) => convert_inline_account(change.New.account, cache),
-            (last, props, change) => convert_inline_account(props.account, change.New),
+            (last, props, change) => convert_inline_account(props.account, change.New, false),
             () => new InlineUserProperty<AccountTuple>(),
             new InlineOrderProperties(),
             DictionaryHelper.empty<uint, string>());
+         // Note that with the .Where on the account_tuples, we will ignore any
+         // updates for which all accounts have been removed.
+         // This was a safer change than changing SelectorProperty's IEnumberable.OnNext
+         // so that it would not reset the selected item on server reboots; i.e. this
+         // change only affects this IObservable.
          _accounts = backing(
             nameof(selected_account),
-            model.factory.subscribe_account_tuples(),
+            model.factory.subscribe_account_tuples().Where(items => items.Any()),
             inline_account_src,
             a => new AccountTuple?(a),
             () => accounts.Cast<AccountTuple?>().FirstOrDefault(),
@@ -263,9 +268,18 @@ namespace mbts.spark {
                   break;
             }
          }
-         InlineUserProperty<AccountTuple> convert_inline_account(InlineUserProperty<uint> account_id, IReadOnlyDictionary<uint, string> account_map) =>
+         //
+         //  Regarding the 3rd parameter, force_override_from_inline_property:
+         //    When using an InlineUserProperty, in the context of assigning a default vs selected item,
+         //    there is somewhat of a conflict between the IObserver<InlineUserProperty<TItem>> and the 
+         //    IObserver<IEnumerable<TItem>> OnNext methods.  This 3rd paramter provides yet another override
+         //    to say if the force_override should come from the inline property or if the force_override should
+         //    be disbled, by way of the immediate return in ViewModelBase._try_auto_select when force_override
+         //    is false.  Our intent is then accomplished because we are no longer attempting to set a default/
+         //    selected item when the account_tuples potentially changes
+         InlineUserProperty<AccountTuple> convert_inline_account(InlineUserProperty<uint> account_id, IReadOnlyDictionary<uint, string> account_map, bool force_override_from_inline_property = true) =>
             account_id.has_value && account_map.TryGetValue(account_id.value, out string name) ?
-               new InlineUserProperty<AccountTuple>(new AccountTuple(account_id.value, name), account_id.force_override) :
+               new InlineUserProperty<AccountTuple>(new AccountTuple(account_id.value, name), force_override_from_inline_property ? account_id.force_override : false) :
                new InlineUserProperty<AccountTuple>();
       }
 

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

@@ -5,13 +5,16 @@ using TopDefi = bts.api.orderman.TopOrderDefinitionImmutable;
 namespace mbts.spark {
    static partial class OrderTypeVMFactory {
       class TopOrderVM : OrderTypeVMBase<TopDef, TopDefi> {
+         readonly Property<uint?> _ticks_off;
          readonly Property<QuantityMeasureImmutable?> _top_threshold;
 
          public TopOrderVM(AlgoKey key, string display_name, AlgoEditingPermissions editing_permissions)
             : base(key, display_name, editing_permissions) {
+            _ticks_off = add_nullable_property<uint>(nameof(ticks_off), TopDef.TicksOffFieldNumber);
             _top_threshold = add_property<QuantityMeasure, QuantityMeasureImmutable>(nameof(top_threshold), TopDef.TopThresholdFieldNumber, new QuantityMeasureImmutable(new QuantityMeasure { Ratio = 1.0, Absolute = 1 }));
          }
 
+         public uint? ticks_off { get => _ticks_off.Value; set => _ticks_off.set(value); }
          public QuantityMeasureImmutable? top_threshold { get => _top_threshold.Value; set => _top_threshold.set(value); }
       }
    }

src/client/spark/core/Utility/ViewModelBase.cs

@@ -820,6 +820,11 @@ namespace mbts.ui.shell {
 
          void _try_auto_select() {
             if (_is_user_selected_item) {
+               // if we have a user-selected item and the _desired_item for which we might want to set as the selected item
+               // isn't force_override, then no change
+               if (!_desired_item.force_override) {
+                  return;
+               }
                if (desired_item_valid() && _desired_item.force_override && _try_match_item(_desired_item.value, out TValue match)) {
                   _set_selected_item(match, SelectionReason.SettingsMandatedSelection);
                   return;

src/client/spark/view/Controls/DIYGrid/Columns/ColumnPredicateBuilder.cs

@@ -37,6 +37,51 @@ namespace mbts.spark.filters {
             _predicates.Add(impl);
             bool impl(TRow o) => max.CompareTo(selector(o)) >= 0;
          }
+      }
+
+      // this is a copy of add_numeric except we do a tick_equals comparsion
+      // if the ticks are not equals, then it falls back to a regular double comparison
+      //
+      // if the SecurityImmutable? doesn't have a value
+      // then we fallback to double comparison
+      public void add_price(DoubleMinMaxState value, Func<TRow, double> selector, Func<TRow, SecurityImmutable?> si_selector) {
+         if (value == null)
+            return;
+         if (value.minimum.active) {
+            var min = value.minimum.value.Value;
+            if (value.maximum.active) {
+               var max = value.maximum.value.Value;
+               _predicates.Add(impl);
+               bool impl(TRow o) {
+                  var v = selector(o);
+                  var si = si_selector(o);
+                  if (si.HasValue) {
+                     return si.Value.ContractSpec.compare_tick_fallback_to_double(min, v) <= 0 &&
+                        si.Value.ContractSpec.compare_tick_fallback_to_double(max, v) >= 0;
+                  }
+                  return min.CompareTo(v) <= 0 && max.CompareTo(v) >= 0;
+               }
+            } else {
+               _predicates.Add(impl);
+               bool impl(TRow o) {
+                  var si = si_selector(o);
+                  if (si.HasValue) {
+                     return si.Value.ContractSpec.compare_tick_fallback_to_double(min, selector(o)) <= 0;
+                  }
+                  return min.CompareTo(selector(o)) <= 0;
+               }
+            }
+         } else if (value.maximum.active) {
+            var max = value.maximum.value.Value;
+            _predicates.Add(impl);
+            bool impl(TRow o) {
+               var si = si_selector(o);
+               if (si.HasValue) {
+                  return si.Value.ContractSpec.compare_tick_fallback_to_double(max, selector(o)) >= 0;
+               }
+               return max.CompareTo(selector(o)) >= 0;
+            }
+         }
       }
 
       public void add_regex(string str, Func<TRow, string> selector) {

src/client/spark/view/Controls/Order/AlgoContentTemplateSelector.xaml

@@ -489,6 +489,8 @@
             </VisualStateGroup>
           </VisualStateManager.VisualStateGroups>
           <Grid.RowDefinitions>
+            <RowDefinition Height="Auto"/>
+            <RowDefinition Height="{Binding Source={StaticResource VerticalPush1}}"/>
             <RowDefinition Height="Auto"/>
             <RowDefinition Height="{Binding Source={StaticResource VerticalPush3}}"/>
             <RowDefinition Height="*"/>
@@ -503,9 +505,11 @@
             <c:HelpButton Margin="{StaticResource Margin.LP1}" ToolTip="If the order is at the top of book, the quantity remaining below which the order will be canceled."/>
           </StackPanel>
           <uag:QuantityMeasureControl x:Name="PART_TopThreshold_QuantityMeasureControl" Grid.Column="2" QuantityMeasure="{Binding top_threshold}"/>
+          <TextBlock Grid.Row="2">Ticks Off</TextBlock>
+          <c:TickUpDownUInt Grid.Row="2" Grid.Column="2" Value="{Binding ticks_off}"/>
           <uag:AlgoPickerNodeView
             x:Name="PART_Child_AlgoPickerNodeView"
-            Grid.Row="2"
+            Grid.Row="4"
             Grid.ColumnSpan="3"
             ItemsSource="{Binding children_vm.child.algos_view}"
             SelectedItem="{Binding children_vm.child.selected_algo}"

src/client/spark/view/Spark/Core/TickUtils.cs

@@ -128,6 +128,9 @@ namespace mbts.spark {
       public static IEqualityComparer<double> tick_equality_comparer(this ContractSpecificationImmutable contract) =>
          EqualityComparer.Create((double a, double b) => tick_equals(contract, a, b), x => MathUtils.RoundFractionalUnits(x, contract.LowTick));
 
+      public static int compare_tick_fallback_to_double(this ContractSpecificationImmutable contract, double x, double y) =>
+         tick_equals(contract, x, y) ? 0 : x.CompareTo(y);
+
       public static double round_to_tick(this ContractSpecificationImmutable spec, double value) {
          double intpart = (long)value;
          double floatpart = value % 1;

src/client/spark_api/Co2/MDConsumerHandle.cs

@@ -253,14 +253,13 @@ namespace mbts.co2 {
          }
       }
 
-      [StructLayout(LayoutKind.Sequential, Size = 712)]
+      [StructLayout(LayoutKind.Sequential, Size = 704)]
       internal struct ColdEntry {
          public int exchange_status;
          // Last trade
          public AtomicPriceSize last_trade;
          public ulong total_volume;
          public utils.LLDateTime last_trade_time;
-         private AggressorSide last_side; 
 
          //// Settlement
          public UInt64 misc_timestamp;

src/client/spark_excel/rtd/formatting/JsonFormatter.cs

@@ -13,6 +13,8 @@ namespace bts.excel.rtd
    class JsonFormatter : IExcelFormatter
    {
       private object _data;
+      static Google.Protobuf.JsonFormatter _protoformatter =
+         new Google.Protobuf.JsonFormatter(Google.Protobuf.JsonFormatter.Settings.Default.WithFormatDefaultValues(true));
       public JsonFormatter(object data)
       {
          _data = data;
@@ -81,7 +83,7 @@ namespace bts.excel.rtd
       {
          string json = null;
          if(data is IMessage imsg)
-            json = Google.Protobuf.JsonFormatter.Default.Format(imsg);
+            json = _protoformatter.Format(imsg);
          else
             json = JsonConvert.SerializeObject(data);
 

src/client/spark_sdk/README.md

@@ -73,6 +73,10 @@ Commands:
    order <exchange> <security_type> <symbol> <security_desc> <signed_quantity> [<price>]
 Arguments:
    --pump=<pump_interval_in_ms=100 default>
+   
+Example:
+   To print simulated market data to the screen:
+   spark_sdk.exe md SIM FUTURE ES SIM:ESU9 --user=bts
 ```
 
 * Check out sample code

src/lib/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/spreader.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;jetfix/codec/FIXArray.cpp;jetfix/common/OutFIX.cpp;jetfix/connection/AsyncReader.cpp;jetfix/connection/IConnection.cpp;jetfix/connection/SocketConnection.cpp;jetfix/gateway/CoreGateway.cpp;jetfix/gateway/JetFIXGateway.cpp;jetfix/gateway/Session.cpp;jetfix/store/FIXFileStore.cpp;jetfix/store/session_name.cpp;jetfix/tests/async_reader_tests.cpp;jetfix/tests/decoding_tests.cpp;jetfix/tests/fix_encoding_stream_tests.cpp;jetfix/tests/fix_fragment_tests.cpp;jetfix/tests/jetfix_performance_tests.cpp;jetfix/tests/sample_fix.cpp;jetfix/tests/store_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;mercury/actors/IPollableActor.cpp;mercury/broker/Broker.cpp;mercury/broker/BrokerProxy.cpp;mercury/broker/ILocalBroker.cpp;mercury/broker/IRemoteBroker.cpp;mercury/common/mercury_common.cpp;mercury/events/TimerEvent.cpp;mercury/executor/Executor.cpp;mercury/topics/Topic.cpp;metrics/metrics.cpp;metrics/system_metrics.cpp;orderman/actors/AsyncFactory.cpp;orderman/actors/ExecutionGateway.cpp;orderman/actors/FillStore.cpp;orderman/actors/MDSupplementarySource.cpp;orderman/actors/OrderStore.cpp;orderman/actors/SODPosition.cpp;orderman/actors/SecuritySrc.cpp;orderman/actors/ServiceBridge.cpp;orderman/actors/order_manager/OrderBuilder.cpp;orderman/actors/order_manager/OrderManager.cpp;orderman/actors/order_manager/OrderServices.cpp;orderman/actors/order_manLine truncated
+set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;jetfix/codec/FIXArray.cpp;jetfix/common/OutFIX.cpp;jetfix/connection/AsyncReader.cpp;jetfix/connection/IConnection.cpp;jetfix/connection/SocketConnection.cpp;jetfix/gateway/CoreGateway.cpp;jetfix/gateway/JetFIXGateway.cpp;jetfix/gateway/Session.cpp;jetfix/store/FIXFileStore.cpp;jetfix/store/session_name.cpp;jetfix/tests/async_reader_tests.cpp;jetfix/tests/decoding_tests.cpp;jetfix/tests/fix_encoding_stream_tests.cpp;jetfix/tests/fix_fragment_tests.cpp;jetfix/tests/jetfix_performance_tests.cpp;jetfix/tests/sample_fix.cpp;jetfix/tests/store_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;mercury/actors/IPollableActor.cpp;mercury/broker/Broker.cpp;mercury/broker/BrokerProxy.cpp;mercury/broker/ILocalBroker.cpp;mercury/broker/IRemoteBroker.cpp;mercury/common/mercury_common.cpp;mercury/events/TimerEvent.cpp;mercury/executor/Executor.cpp;mercury/topics/Topic.cpp;metrics/metrics.cpp;metrics/system_metrics.cpp;orderman/actors/AsyncFactory.cpp;orderman/actors/ExecutionGateway.cpp;orderman/actors/FillStore.cpp;orderman/actors/MDSupplementarySource.cpp;orderman/actors/OrderStore.cpp;orderman/actors/SODPosition.cpp;orderman/actors/SecuritySrc.cpp;orderman/actors/ServiceBridge.cpp;orderman/actors/order_manager/OrderBuilder.cpp;orderman/actors/order_manager/OrderMLine truncated

src/lib/CMakeDeps_win.cmake

@@ -1 +1 @@
-set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/spreader.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/AuthSessionManager.cpp;utils/AuthToken.cpp;utils/Dispatcher.cpp;utils/GrowableSPSCQueue.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;utils/Puid.cpp;utils/SecureLogon.cpp;utils/SharedMemory.cpp;utils/Sqlite_utils.cpp;utils/Uuid.cpp;utils/crypto/CipherType.cpp;utils/crypto/CryptoInit.cpp;utils/crypto/Digest.cpp;utils/crypto/KeyCodeHelper.cpp;utils/crypto/PasswordCallback.cpp;utils/crypto/PrivateKey.cpp;utils/crypto/PublicKey.cpp;utils/crypto/iostreambio.cpp;utils/datetime.cpp;utils/download.cpp;utLine truncated
+set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/AuthSessionManager.cpp;utils/AuthToken.cpp;utils/Dispatcher.cpp;utils/GrowableSPSCQueue.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;utils/Puid.cpp;utils/SecureLogon.cpp;utils/SharedMemory.cpp;utils/Sqlite_utils.cpp;utils/Uuid.cpp;utils/crypto/CipherType.cpp;utils/crypto/CryptoInit.cpp;utils/crypto/Digest.cpp;utils/crypto/KeyCodeHelper.cpp;utils/crypto/PasswordCallback.cpp;utils/crypto/PrivateKey.cpp;utils/cryptoLine truncated

src/lib/api/apicore.proto

@@ -50,6 +50,7 @@ message VoidMessage {}
 message BytesMessage {
 	bytes buffer = 1;
 }
-message BoolResultMessage {
-	bool success = 1;
+message ResultMessage {
+   bool success = 1;
+   string error_message = 2;
 }

src/lib/api/services/MarginService.proto

@@ -0,0 +1,67 @@
+syntax="proto3";
+package bts.api.position;
+option csharp_namespace="bts.api.position";
+import "lib/api/apioptions.proto";
+import "lib/api/apicore.proto";
+import "lib/api/services/PositionService.proto";
+
+message MarginResult {
+   enum ResultStatus { NewValid = 0; CachedValid = 1; Error = 2; }
+   
+   string account = 10 [(bts.api.key)=true];    
+   ResultStatus status = 12;
+   string portfolio_id = 15; 
+   string settle_indicator = 20;
+   string settle_qualifier = 30;   
+   string as_of_time = 40;
+   string calculation_id = 50;   
+   
+   double opt_value = 100;
+   double nonopt_value = 110;
+   double maint_margin = 120;
+   double initial_margin = 130;
+}
+
+message ExcessLiquidityReport { 
+   string account = 10 [(bts.api.key)=true];    
+   uint32 account_id = 11;
+   double leverage_factor = 20;
+   double cash_balance = 30;
+   MarginResult margin_result = 40;
+   AccountPNL account_pnl = 50;
+   bool should_enforce_margin = 60;
+   double excess_liquidity = 100;   
+}
+
+
+message MarginRequest {
+   string account = 10;
+}
+
+message CashFactorUpdate {
+   string account = 10;
+   double leverage_factor = 20;
+}
+
+message CashBalanceUpdate {
+   string account = 10;
+   double cash_balance = 20;
+}
+
+message EnforceUpdate {
+   string account = 10;
+   bool should_enforce_margin = 20;
+}
+
+service MarginService {
+   option (bts.api.service_description) = "Provides CME Margin Information per account";
+
+   rpc get_margin(MarginRequest) returns (MarginResult);
+   rpc get_excess_liquidity_report(MarginRequest) returns (ExcessLiquidityReport);
+   rpc set_should_enforce_margin(EnforceUpdate) returns (bts.api.ResultMessage);
+   rpc set_cash_factor(CashFactorUpdate) returns (bts.api.ResultMessage);
+   rpc set_cash_balance(CashBalanceUpdate) returns (bts.api.ResultMessage);
+   
+   rpc margin_data(bts.api.VoidMessage) returns (stream MarginResult);
+   rpc excess_liquidity_report(bts.api.VoidMessage) returns (stream ExcessLiquidityReport);
+}

src/lib/api/services/OrderService.proto

@@ -160,8 +160,8 @@ message JoinOrderDefinition {
   CustomOrderDefinition child = 6;
 }
 message TopOrderDefinition {
-  uint32 watch_level_tick_offset = 1;
   spark.QuantityMeasure top_threshold = 2;
+  uint32 ticks_off = 3;
   CustomOrderDefinition child = 6;
 }
 message TriggerOrderDefinition {

src/lib/api/services/PositionService.proto

@@ -32,6 +32,7 @@ message PNLUnit{
 
 message AccountPNL{
    uint32 account_id = 1 [(bts.api.key)=true];
+   string account_name = 10;
    double day_pnl = 20;
 }
 

src/lib/config/defaults/span.conf

@@ -0,0 +1,9 @@
+
+SpanMargin {
+   value {
+      enabled: false
+      login: 'api_bts1'
+      password: 'Summer123'
+      url: 'https://cmecorenr.cmegroup.com/MarginServiceApi/1.4/'
+   }
+}

src/lib/config/defaults/toggles.conf

@@ -8,4 +8,4 @@ OrdersSoftCleanup {
    value {
       enabled: true
    }
-}
+}

src/lib/config/protos/UI.proto

@@ -141,6 +141,11 @@ message TopAttachUIOptions {
    optional bool show_quantity = 2 [default = false];
 }
 
+message OffsetAttachUIOptions {
+   optional bool show_price = 1 [default = false];
+   optional bool show_quantity = 2 [default = false];
+}
+
 message ManualFillsOptions {
    optional bool modal_transactions = 1 [default = true];
 }

src/lib/config/protos/span.proto

@@ -0,0 +1,10 @@
+syntax='proto2';
+package bts.config;
+
+message SpanMargin
+{
+   optional bool enabled = 10;
+   optional string login = 20; 
+   optional string password = 30; 
+   optional string url = 40;    
+}

src/lib/config/protos/toggles.proto

@@ -53,4 +53,4 @@ message EnsureOnScreenWithWorkAreaRect {
    // and the new ensure_onscreen code has only been tested with a single monitor arrangement.
    // Should verify that the code works with every monitor arrangement before enabling by default.
    optional bool enabled = 1 [default = false];
-}
+}

src/lib/md/MDProducerHandle.cpp

@@ -102,14 +102,13 @@ void MDProducerHandle::set_status(CoconutSecurityStatus status) {
 }
 
 void MDProducerHandle::add_trade(TimeStamp time, const PriceSize price, LLDateTime tradetime, co2::AggressorSide agside, uint32_t volume) {
-   // Add this trade to the last trade if price/side match
+   // Add this trade to the last trade if price match
    auto current = std::get<PriceSize>(cdata().last_trade.load());
-   if (current.int_price() == price.int_price() && agside == cdata().last_side) {
+   if (current.int_price() == price.int_price()) {
       cdata().last_trade.store(PriceSize { price.int_price(), price.size() + current.size() }, time);
    }
    else {
       cdata().last_trade.store(price,time);
-      cdata().last_side = agside;
    }
    cdata().last_trade_time = tradetime;
    cdata().total_volume = volume;

src/lib/md/SecurityCache.cpp

@@ -22,6 +22,7 @@ void SecurityCacheImpl::enqueue_update_db(const SecurityPtr& security) {
 }
 
 void SecurityCacheImpl::flush() {
+   #ifndef _WIN32
    if (!update_queue.empty()) {
       std::vector<SecurityPtr> work;
       SecurityPtr temp;
@@ -33,6 +34,7 @@ void SecurityCacheImpl::flush() {
          }
       }
    }
+   #endif
 }
 
 //////////////////

src/lib/md/Shm/MDStructure.h

@@ -26,7 +26,7 @@ namespace md {
 
 using utils::TimeStamp;
 
-const uint32_t shm_version = 101;
+const uint32_t shm_version = 102;
 
 struct ALIGNED_(CACHE_LINE) HotHeader {
    size_t count;
@@ -214,7 +214,6 @@ struct ColdEntry {
       last_trade(),
       total_volume(0),
       last_trade_time(),
-      last_side(co2::AggressorSide::AGGRESSOR_SIDE_NONE),
       misc(),
       deleted(false)
    {
@@ -230,7 +229,6 @@ struct ColdEntry {
    AtomicPriceSize last_trade;
    size_t total_volume;
    datetime::LLDateTime  last_trade_time;
-   co2::AggressorSide last_side;
 
    MiscData misc;
 

src/lib/md/test/synthetic_book_merge_tests.cpp

@@ -111,7 +111,7 @@ tuple<shared_ptr<SyntheticStrategy>,vector<Co2TestInstrument>> make_securities(c
       l->mutable_security()->mutable_contract_spec()->set_low_tick(tick_size);
       l->mutable_security()->mutable_contract_spec()->set_high_tick(tick_size);
       l->set_quantity(quantity);
-      l->set_price_multiplier(quantity * (side == api::SIDE_BUY ? 1.0 : -1));
+      l->set_price_multiplier(mult);
       l->set_side(side);
       synthetic->legs.push_back(instr.consumer());
       legs.push_back(instr);
@@ -126,7 +126,8 @@ tuple<shared_ptr<SyntheticStrategy>,vector<Co2TestInstrument>> make_securities(c
       double quantity, tick_size;
       api::Side side;
       std::tie(quantity, tick_size, side) = t;
-      legs.push_back({ quantity, quantity, tick_size, side });
+      double mult = quantity * (side == api::SIDE_BUY ? 1.0 : -1);
+      legs.push_back({ quantity, mult, tick_size, side });
    }
    return make_securities(legs);
 }
@@ -457,6 +458,113 @@ TEST_CASE("Synthetic_net_change", "[md][synthetic]") {
    }
 }
 
+TEST_CASE("HCL_SP_104", "[md][synthetic]") {
+   shared_ptr<SyntheticStrategy> synthetic;
+   vector<Co2TestInstrument> test_instr;
+   tie(synthetic, test_instr) = make_securities({ 
+      // (quantity, multiplier, tick_size, side)
+      {1.0, 1.0,  0.01, api::SIDE_BUY},
+      {1.0, 1.0,  0.01, api::SIDE_BUY},
+      {1.0, -1.0, 0.01, api::SIDE_SELL},
+      {1.0, -1.0, 0.01, api::SIDE_SELL }
+   });
+   auto leg1 = test_instr[0]; // CLQ9-CLU9
+   auto leg2 = test_instr[1]; // HCLQ9-CLQ9
+   auto leg3 = test_instr[2]; // HCLQ9-HCLU9
+   auto leg4 = test_instr[3]; // HCLU9-CLU9
+
+   setup_market(leg1.producer(),
+      {
+         { -0.10, 3299 },
+         { -0.11, 2885 },
+         { -0.12, 2558 },
+         { -0.13, 2447 },
+         { -0.14, 1540 },
+         { -0.15, 2334 },
+         { -0.16, 1396 },
+         { -0.17, 1190 },
+         { -0.18, 1221 },
+         { -0.19, 812  }
+      },
+      { 
+         { -0.09, 1318 },
+         { -0.08, 2174 },
+         { -0.07, 3057 },
+         { -0.06, 2331 },
+         { -0.05, 2543 },
+         { -0.04, 2638 },
+         { -0.03, 2232 },
+         { -0.02, 3221 },
+         { -0.01, 2863 },
+         {  0.00, 3327 }
+      });
+   
+   setup_market(leg2.producer(),
+      {
+         { 4.06,  1 },
+         { 4.05,  2 },
+         { 4.04,  3 },
+         { 4.03, 12 },
+         { 4.02,  6 },
+         { 4.01,  1 }
+      },
+      {
+         { 4.07, 1 },
+         { 4.08, 2 },
+         { 4.10, 8 },
+         { 4.11, 10 },
+         { 4.12, 2 },
+         { 4.14, 1 }
+      });
+   
+   setup_market(leg3.producer(),
+      {
+         { 0.20, 2  },
+         { 0.19, 6  },
+         { 0.18, 5  },
+         { 0.17, 18 },
+         { 0.16, 2  },
+         { 0.15, 3  },
+         { 0.14, 2  }
+      },
+      {
+         { 0.22, 2 },
+         { 0.23, 4 },
+         { 0.24, 9 },
+         { 0.25, 17},
+         { 0.26, 5 },
+         { 0.27, 5 },
+         { 0.28, 4 },
+         { 0.29, 2 },
+         { 0.30, 2 }
+      });
+
+   setup_market(leg4.producer(),
+      {
+         { 3.75, 1 },
+         { 3.74, 3 },
+         { 3.73, 4 },
+         { 3.72, 12 },
+         { 3.71, 1 },
+         { 3.70, 3 }
+      },
+      {
+         { 3.78, 1 },
+         { 3.79, 2 },
+         { 3.80, 6 },
+         { 3.81, 1 },
+         { 3.82, 10 },
+         { 3.83, 1 }
+      });
+
+      MDConsumerHandle synthetic_handle(synthetic);
+      // dump_market(synthetic_handle);
+      expect_market(synthetic_handle,
+         { { -0.04,1 },{ -0.06,1 },{ -0.07,1 },{ -0.09,3 },{ -0.11,3 },{ -0.12,1 },{ -0.13,5 },{ -0.14,3 },{ -0.15,2 },{ -0.16,1 } },
+         {  { 0.03,1 },{ 0.05,1 },{ 0.06,1 },{ 0.08,1 },{ 0.09,4 },{ 0.11,3 },{ 0.12,2 },{ 0.13,7 },{ 0.14,1 },{ 0.16,2 } }
+      );
+}
+
 
 //
 // Benchmarks

src/lib/orderman/actors/ServiceBridge.cpp

@@ -1,12 +1,14 @@
 #include "ServiceBridge.h"
 
 #include "lib/api/public/ServiceContext.h"
+#include "lib/api/services/OrderService.pb.h"
 #include "lib/api/services/PositionService.pb.h"
 #include "lib/mercury/broker/BrokerProxy.h"
 #include "lib/orderman/events/AccountPnLUpdateEvent.h"
 #include "lib/orderman/events/ActivateOrderEvent.h"
 #include "lib/orderman/events/CancelOrderEvent.h"
 #include "lib/orderman/events/DetachOrderEvent.h"
+#include "lib/orderman/events/ExcessLiquidityUpdateEvent.h"
 #include "lib/orderman/events/NewAdminDataEvent.h"
 #include "lib/orderman/events/OrderManagerReadyEvent.h"
 #include "lib/orderman/events/OrderOpResultEvent.h"
@@ -15,13 +17,11 @@
 #include "lib/orderman/events/UpdateOrderEvent.h"
 #include "lib/orderman/order_factory/OrderFactory.h"
 #include "lib/orderman/order_router/OrderRouter.h"
+#include "lib/orderman/orderman_utils/orderman_common.h"
+#include "lib/orderman/orders/Order.h"
 #include "lib/orderman/securities/MapSecurityDB.h"
 #include "lib/tracing/PerfLog.h"
 #include "lib/utils/PBUtils.h"
-
-#include "lib/api/services/OrderService.pb.h"
-#include "lib/orderman/orderman_utils/orderman_common.h"
-#include "lib/orderman/orders/Order.h"
 #include <future>
 
 namespace bts {
@@ -53,6 +53,7 @@ struct ServiceBridge::PImpl {
    mercury::Stream<DetachOrderEvent> detach_order_pub;
    mercury::Stream<NewAdminDataEvent> new_admin_data_pub;
    mercury::Stream<AccountPnLUpdateEvent> account_pnl_pub;
+   mercury::Stream<ExcessLiquidityUpdateEvent> excess_liquidity_pub;
    std::unordered_set<OrderKey> known_orders;
    std::vector<std::shared_ptr<const api::admin::AdminData>> admin_data_updates;
    mercury::BrokerProxy &service_call_marshaller;
@@ -85,6 +86,7 @@ void ServiceBridge::init() {
    me->detach_order_pub = make_stream<DetachOrderEvent>();
    me->new_admin_data_pub = make_stream<NewAdminDataEvent>();
    me->account_pnl_pub = make_stream<AccountPnLUpdateEvent>();
+   me->excess_liquidity_pub = make_stream<ExcessLiquidityUpdateEvent>();
    me->ready.set_value();
 }
 
@@ -236,6 +238,21 @@ void ServiceBridge::update_account_pnl(
    });
 }
 
+void ServiceBridge::update_excess_liquidity_report(
+    api::position::Excess_liquidity_reportUpdate const &elr) {
+   me->service_call_marshaller.schedule_action([this, elr]() {
+      for (auto const &elr : elr.added()) {
+         publish(me->excess_liquidity_pub, AccountID(elr->account_id()),
+                 elr->excess_liquidity());
+      }
+      for (auto const &elr : elr.changed()) {
+         publish(me->excess_liquidity_pub,
+                 AccountID(elr.current()->account_id()),
+                 elr.current()->excess_liquidity());
+      }
+   });
+}
+
 bool ServiceBridge::is_ready() const {
    return me->have_orders && me->order_manager_ready;
 }

src/lib/orderman/actors/ServiceBridge.h

@@ -1,5 +1,6 @@
 #pragma once
 
+#include "lib/api/services/MarginService.client.pb.h"
 #include "lib/api/services/PositionService.client.pb.h"
 #include "lib/config/protos/jetfix.pb.h"
 #include "lib/md/SecurityOracle.h"
@@ -77,6 +78,8 @@ class ServiceBridge : public mercury::Actor {
    void
    update_admin_data(std::shared_ptr<api::admin::AdminData const> const &admin);
    void update_account_pnl(api::position::Pnl_account_dataUpdate const &);
+   void update_excess_liquidity_report(
+       api::position::Excess_liquidity_reportUpdate const &);
 
  private:
    struct PImpl;

src/lib/orderman/actors/order_manager/OrderManager.cpp

@@ -5,6 +5,7 @@
 #include "lib/orderman/actors/order_manager/OrderServices.h"
 #include "lib/orderman/actors/order_manager/OrderServicesData.h"
 #include "lib/orderman/events/AccountPnLUpdateEvent.h"
+#include "lib/orderman/events/ExcessLiquidityUpdateEvent.h"
 #include "lib/orderman/events/NewAdminDataEvent.h"
 #include "lib/orderman/events/NewSecuritiesEvent.h"
 #include "lib/orderman/events/OrderManagerReadyEvent.h"
@@ -55,6 +56,9 @@ void OrderManager::init() {
        [this](auto const &admin_update) { this->on_admin_data(admin_update); });
    subscribe<AccountPnLUpdateEvent>(
        [this](auto const &pnl_update) { this->on_pnl_update(pnl_update); });
+   subscribe<ExcessLiquidityUpdateEvent>([this](auto const &liq_update) {
+      this->on_excess_liquidity_update(liq_update);
+   });
 }
 
 void OrderManager::on_admin_data(const mercury::Update<NewAdminDataEvent> &m) {
@@ -77,10 +81,18 @@ void OrderManager::on_admin_data(const mercury::Update<NewAdminDataEvent> &m) {
    }
 }
 
-void OrderManager::on_pnl_update(const mercury::Update<AccountPnLUpdateEvent> &u) {
-   if (u.events) 
-      for (auto ev : *u.events) 
-         me->services_data.limiter.set_day_pnl(ev.account_id,ev.day_pnl);
+void OrderManager::on_pnl_update(
+    const mercury::Update<AccountPnLUpdateEvent> &u) {
+   if (u.events)
+      for (auto ev : *u.events)
+         me->services_data.limiter.set_day_pnl(ev.account_id, ev.day_pnl);
+}
+
+void OrderManager::on_excess_liquidity_update(
+    const mercury::Update<ExcessLiquidityUpdateEvent> &u) {
+   if (u.events)
+      for (auto ev : *u.events)
+         me->services_data.limiter.set_excess_liquidity(ev.account_id, ev.excess_liquidity);
 }
 
 void OrderManager::on_securities(

src/lib/orderman/actors/order_manager/OrderManager.h

@@ -35,6 +35,7 @@ class CreateFIXBufferReplyEvent;
 class GatewayStatusChangeEvent;
 class NewAdminDataEvent;
 class AccountPnLUpdateEvent;
+class ExcessLiquidityUpdateEvent;
 struct SessionServicesData;
 class DynamicOrderRegistry;
 } // namespace orderman
@@ -85,6 +86,7 @@ class OrderManager : public mercury::Actor, public mercury::IPollableActor {
    void on_timer(const mercury::Update<mercury::TimerEvent> &);
    void on_admin_data(const mercury::Update<NewAdminDataEvent> &);
    void on_pnl_update(const mercury::Update<AccountPnLUpdateEvent> &);
+   void on_excess_liquidity_update(const mercury::Update<ExcessLiquidityUpdateEvent> &);
    void on_poll(trace::PerfLog& log) override;
    // end external events
 

src/lib/orderman/events/ExcessLiquidityUpdateEvent.h

@@ -0,0 +1,25 @@
+#pragma once
+
+#include "lib/mercury/common/mercury_common.h"
+#include "lib/mercury/events/Event.h"
+#include "lib/mercury/synopsis/MergeByKey.h"
+
+#include <memory>
+
+namespace bts {
+namespace orderman {
+
+class ExcessLiquidityUpdateEvent : public mercury::Event<ExcessLiquidityUpdateEvent> {
+ public:
+   using SynopsisPolicy = mercury::MergeByKey<ExcessLiquidityUpdateEvent>;
+   AccountID key() const { return account_id; }
+
+   ExcessLiquidityUpdateEvent(AccountID id, double excess_liquidity)
+       : account_id(id), excess_liquidity(excess_liquidity) {}
+
+   AccountID account_id;
+   double excess_liquidity;
+};
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/limiter/LimitStore.cpp

@@ -32,11 +32,13 @@ void LimitStore::copy_data_from(LimitStore &source) {
       if (source_security_limit_tree != nullptr)
          it->second.copy_positions_from(*source_security_limit_tree);
    }
-   // copy pnl's
+   // copy pnl's and liqs
    for (auto it=_account_data_map.begin();it!=_account_data_map.end();it++){
       auto source_it = source._account_data_map.find(it->first);
-      if(source_it !=  source._account_data_map.end())
+      if(source_it !=  source._account_data_map.end()) {
          it->second.curr_day_pnl = source_it->second.curr_day_pnl;
+         it->second.excess_liquidity = source_it->second.excess_liquidity;
+      }
    }
 }
 void LimitStore::set_pnl (AccountID account_id, double pnl){
@@ -44,6 +46,12 @@ void LimitStore::set_pnl (AccountID account_id, double pnl){
    bts_assert(it != _account_data_map.end());
    it->second.curr_day_pnl = pnl;
 }
+void LimitStore::set_excess_liquidity (AccountID account_id,
+                                       double excess_liquidity){
+   auto it = _account_data_map.find(account_id.value());
+   bts_assert(it != _account_data_map.end());
+   it->second.excess_liquidity = excess_liquidity;
+}
 void LimitStore::_add_product_entry(
     const api::Security &security,
     const bts::api::admin::AdminData &admin_data) {

src/lib/orderman/limiter/LimitStore.h

@@ -10,6 +10,9 @@
 #include "ProductLimitTree.h"
 #include "SecurityLimitTree.h"
 #include "lib/os/os.h"
+#include "lib/config/config.h"
+#include "lib/config/protos/span.pb.h"
+
 
 namespace bts {
 namespace orderman {
@@ -39,10 +42,12 @@ private:
    public:
       const bts::api::admin::BTSAccount& account;
       double curr_day_pnl;
+      double excess_liquidity;
       AccountData (const bts::api::admin::BTSAccount& account)
       :
       account(account),
-      curr_day_pnl (os::nan())
+      curr_day_pnl (os::nan()),
+      excess_liquidity (os::nan())
       {}
    };
    const bts::api::admin::AdminData _admin_data;
@@ -107,6 +112,7 @@ public:
       }
    }
    void set_pnl (AccountID account_id, double pnl);
+   void set_excess_liquidity (AccountID account_id, double excess_liquidity);
    // risk limit checks
    ////////////////////
    // checks to see if the user is allowed to trade
@@ -152,7 +158,13 @@ public:
                                                    Quantity quantity,
                                                    bool enforce_clip = true) const{
       Limiter::LimiterQueryResult rv; rv.result = Limiter::OK;
-      _loss_limit(account_id, rv);
+      const auto acct_it = _account_data_map.find(account_id.value());
+      AccountData const* account_ptr = (acct_it == _account_data_map.end()) ? 
+                                       nullptr : &(acct_it->second);
+      _loss_limit(account_ptr, rv);
+      if(!rv.ok())
+         return rv;
+      _margin_limit(account_ptr,rv);
       if(!rv.ok())
          return rv;
       const SecurityLimitTree* sec_tree = _find_security(security.id());
@@ -183,10 +195,13 @@ public:
                                                 Quantity from, Quantity to,
                                                 bool enforce_clip = true) const{
       Limiter::LimiterQueryResult rv; rv.result = Limiter::OK;
+      const auto acct_it = _account_data_map.find(account_id.value());
+      AccountData const* account_ptr = (acct_it == _account_data_map.end()) ? 
+                                       nullptr : &(acct_it->second);
       // in case of order modifications, loss limits are only checked
       // for size increases
       if (to.value() > from.value())
-         _loss_limit(account_id, rv);
+         _loss_limit(account_ptr, rv);
       if(!rv.ok())
          return rv;
       const SecurityLimitTree* sec_tree = _find_security(security.id());
@@ -226,16 +241,15 @@ private:
    void _add_product_entry(const api::Security& security, 
                            const bts::api::admin::AdminData& admin_data);
    void _set_user_data();
-   void _loss_limit(AccountID account_id,
+   void _loss_limit(AccountData const* account_ptr,
                     Limiter::LimiterQueryResult& out_res) const{
       // the usual flow should not alter out_res.
       // its set to an error state iff :
       // i.  account is not found
       // ii. limit check is enabled but pnl is nan
       // iii. limit check is enable and it actually fails
-      const auto acct_it = _account_data_map.find(account_id.value());
-      if(acct_it != _account_data_map.end()){            
-         const auto& account_data = acct_it->second;
+      if(account_ptr != nullptr){
+         const auto& account_data = *account_ptr;
          const auto& account = account_data.account;
          if (account.has_account_loss_limit() && 
                               account.account_loss_limit().enforce()){
@@ -260,5 +274,33 @@ private:
          out_res.error_msg = "Could not find account";
       }
    }
+   void _margin_limit(AccountData const* account_ptr,
+                      Limiter::LimiterQueryResult& out_res) const{
+      // similiar flow as the loss_limit above
+      if(account_ptr != nullptr){            
+         const auto& account_data = *account_ptr;
+         const auto& account = account_data.account;
+         if(config::get<bts::config::SpanMargin>().enabled()) {
+            if (account.has_margin_limit() && account.margin_limit().enforce_margin()){
+               double ex_liq = account_data.excess_liquidity;
+               if(os::is_nan(ex_liq)){
+                  out_res.result = Limiter::LimiterErrorCode::MARGIN_LIMIT_BREACHED;
+                  out_res.error_msg = "Could not find account Excess Liquidity";
+               }
+               else{               
+                  if(ex_liq < 0){
+                     out_res.result = Limiter::LimiterErrorCode::MARGIN_LIMIT_BREACHED;
+                     out_res.error_msg = fmt::format("Margin Limit Excess Liquidity : {}",
+                                                   ex_liq); 
+                  }
+               }
+            }
+         }
+      }
+      else{
+         out_res.result = Limiter::LimiterErrorCode::NO_SUCH_ACCOUNT;
+         out_res.error_msg = "Could not find account";
+      }
+   }
 };
 }}

src/lib/orderman/limiter/Limiter.cpp

@@ -78,6 +78,15 @@ void Limiter::set_day_pnl (AccountID account_id, double pnl){
       _add_account_and_reset(account_id);
    me->limit_store->set_pnl(account_id, pnl);
 }
+void Limiter::set_excess_liquidity (AccountID account_id, 
+                                    double excess_liquidity) {
+   LOG(OrderMan, Info, 
+       "Limiter::set_excess_liquidity account:{} excess_liquidity: {}",
+       account_id, excess_liquidity);
+   if (!me->limit_store->has_account(account_id))
+      _add_account_and_reset(account_id);
+   me->limit_store->set_excess_liquidity(account_id, excess_liquidity);
+}
 Limiter::LimiterQueryResult Limiter::can_trade(UserID user_id,
                                                AccountID account_id) const {
    LimiterQueryResult rv = me->limit_store->can_trade(user_id, account_id);

src/lib/orderman/limiter/Limiter.h

@@ -34,7 +34,8 @@ class Limiter {
    void remove(api::Security const &, std::string const & /* account_name */,
                api::Side, Quantity, bool recurse);
    void set_day_pnl (AccountID account_id, double pnl);
-
+   void set_excess_liquidity(AccountID account_id, double excesss_liquidity);
+   
    enum LimiterErrorCode {
       OK,
       NO_SUCH_SECURITY,
@@ -47,7 +48,8 @@ class Limiter {
       NO_SUCH_ACCOUNT,
       USER_DEACTIVATED,
       NO_SUCH_USER,
-      LOSS_LIMIT_BREACHED
+      LOSS_LIMIT_BREACHED,
+      MARGIN_LIMIT_BREACHED
    };
 
    struct LimiterQueryResult {

src/lib/orderman/order_factory/OrderFactory.cpp

@@ -19,8 +19,8 @@
 #include "lib/orderman/orders/algo/algo_orders/TopAlgo.h"
 #include "lib/orderman/orders/algo/algo_orders/IcebergAlgo.h"
 #include "lib/orderman/orders/algo/algo_orders/LeanAlgo.h"
+#include "lib/orderman/orders/algo/algo_orders/OffsetAlgo.h"
 #include "lib/orderman/orders/book_algos/OCOOrder.h"
-#include "lib/orderman/orders/book_algos/OffsetOrder.h"
 #include "lib/orderman/orders/book_algos/PricerOrder.h"
 #include "lib/orderman/orders/spreader_orders/SpreaderOrder.h"
 #include "lib/orderman/orders/CompositeOrder.h"
@@ -183,7 +183,7 @@ Order &OrderFactory::allocate(OrderKey k, OrderKey pk,
           new orderman::AlgoWrapperOrder(std::make_unique<CoverAlgo>()));
       break;
    case CustomOrderDefinition::kOffset:
-      order_ptr.reset(new orderman::OffsetOrder());
+      order_ptr.reset(new orderman::AlgoWrapperOrder(std::make_unique<OffsetAlgo>()));
       break;
    case CustomOrderDefinition::kQueueHolder:
       order_ptr.reset(new orderman::QueueHolderOrder());

src/lib/orderman/orderman_utils/orderman_utils.cpp

@@ -14,6 +14,7 @@ bool can_consume_attachment(api::orderman::CustomOrderDefinition::CustomCase ord
    case CustomOrderDefinition::kTop:
    case CustomOrderDefinition::kCover:
    case CustomOrderDefinition::kLean:
+   case CustomOrderDefinition::kOffset:
       return true;
    default:
       return false;
@@ -44,6 +45,10 @@ bool should_forward_attachment(
       return
          cdef.lean().has_child() &&
          can_consume_attachment(cdef.lean().child().custom_case());
+   case CustomOrderDefinition::kOffset:
+      return
+         cdef.offset().has_child() &&
+         can_consume_attachment(cdef.offset().child().custom_case());
    default:
       return false;
    }

src/lib/orderman/orders/algo/AlgoWrapperOrder.cpp

@@ -16,7 +16,13 @@ namespace orderman {
 
 using namespace api::orderman;
 template <class K, class V> using Map = boost::container::flat_map<K, V>;
-enum class AlgoWrapperOrder::Status { INACTIVE, W_ATTACH, WORKING, COMPLETED };
+enum class AlgoWrapperOrder::Status {
+   INACTIVE,
+   W_ATTACH,
+   WORKING,
+   SHUTTING_DOWN,
+   COMPLETED
+};
 
 class ChildTemplate {
  public:
@@ -62,6 +68,7 @@ struct AlgoWrapperOrder::PImpl {
    OrderKey attach_target = null_order_key();
 
    std::optional<api::orderman::Update> pending_update;
+   std::optional<std::pair<OrderStatus, std::string>> pending_terminate;
    OrderStatus external_status() const { return _state.status(); }
 
    void set_external_status(OrderStatus s) {
@@ -222,6 +229,7 @@ OrderOpResult AlgoWrapperOrder::on_activate(Price p, Quantity q,
       return {};
 
    case Status::W_ATTACH:
+   case Status::SHUTTING_DOWN:
    case Status::WORKING:
       bts_assert(false);
    }
@@ -238,6 +246,7 @@ OrderOpResult AlgoWrapperOrder::on_update(Update const &update) {
       me->pending_update = update;
       return {};
    case Status::COMPLETED:
+   case Status::SHUTTING_DOWN:
       return {};
    case Status::WORKING: {
       me->set_price_quantity(Price(update.price()),
@@ -275,6 +284,7 @@ orderman::OrderOpResult AlgoWrapperOrder::on_detach() {
    switch (me->status) {
    case Status::W_ATTACH:
    case Status::WORKING:
+   case Status::SHUTTING_DOWN:
       for (auto &[_, c] : me->children) {
          (void)_;
          c.order.mark_detached_from_parent();
@@ -309,6 +319,7 @@ orderman::OrderOpResult AlgoWrapperOrder::on_cancel() {
          break;
       }
       break;
+   case Status::SHUTTING_DOWN:
    case Status::COMPLETED:
       break;
    case Status::INACTIVE:
@@ -347,13 +358,20 @@ Quantity AlgoWrapperOrder::total_fills() const {
    return Quantity(me->state().filled_quantity());
 }
 
+bool AlgoWrapperOrder::is_shutting_down() const {
+   return me->status == Status::SHUTTING_DOWN;
+}
+
 void AlgoWrapperOrder::subscribe_book(SecurityKey k) {
    if (!is_working())
       return;
    bts_assert(me->book_subs.find(k) == me->book_subs.end());
 
    me->book_subs[k] = me->services->subscribe_to_book(
-       k, [this, k](auto const &ev) { me->algo->on_book(k, ev.book); });
+       k, [this, k](auto const &ev) {
+          ReportStateGuard _(*this);
+          me->algo->on_book(k, ev.book);
+       });
 }
 
 void AlgoWrapperOrder::unsubscribe_book(SecurityKey k) {
@@ -392,7 +410,10 @@ void AlgoWrapperOrder::subscribe_timer() {
    bts_assert(!me->has_timer_sub);
    me->has_timer_sub = true;
    me->services->subscribe_to_time(
-       [this](auto const &) { me->algo->on_timer(); });
+       [this](auto const &) {
+          ReportStateGuard _(*this);
+          me->algo->on_timer();
+       });
 }
 
 void AlgoWrapperOrder::unsubscribe_timer() {
@@ -485,10 +506,9 @@ void AlgoWrapperOrder::detach_all_children() {
 }
 
 void AlgoWrapperOrder::update_fill_state(Quantity q, Price p) {
-   if (!is_working())
+   if (!is_working() && !is_shutting_down())
       return;
 
-   ReportStateGuard _(*this);
    auto previous_qty = me->state().filled_quantity();
    if (previous_qty > q.value()) {
       LOG(OrderMan, Error,
@@ -510,35 +530,37 @@ void AlgoWrapperOrder::update_fill_state(Quantity q, Price p) {
 void AlgoWrapperOrder::set_ladder_visibility(bool is_visible) {
    if (!is_working())
       return;
-
-   ReportStateGuard _(*this);
    me->set_ladder_visibility(is_visible);
 }
 
 void AlgoWrapperOrder::cancel(std::string const &msg) {
    if (!is_working())
       return;
-   ReportStateGuard _(*this);
-   terminate(ORDER_STATUS_CANCELED, msg);
+   if (working_children_count() == 0)
+      terminate(ORDER_STATUS_CANCELED, msg);
+   else
+      shutdown(ORDER_STATUS_CANCELED, msg);
 }
 
 void AlgoWrapperOrder::terminate_error(std::string const &msg) {
-   if (!is_working() && me->status != Status::W_ATTACH)
+   if (!is_working() && !is_shutting_down() && me->status != Status::W_ATTACH)
       return;
-   ReportStateGuard _(*this);
    // If we attached and an error was signaled we do not want to
    // cancel our child because that child might be a long running
    // order with a good queue position that we want to preserve
    if (is_attaching())
       me->children.erase(me->attach_target);
+
    terminate(ORDER_STATUS_ERROR, msg);
 }
 
 void AlgoWrapperOrder::complete() {
    if (!is_working())
       return;
-   ReportStateGuard _(*this);
-   terminate(ORDER_STATUS_COMPLETED);
+   if (working_children_count() == 0)
+      terminate(ORDER_STATUS_COMPLETED);
+   else
+      shutdown(ORDER_STATUS_COMPLETED);
 }
 
 // --------------------------------------------------------------------------------
@@ -573,6 +595,7 @@ void AlgoWrapperOrder::on_attach_complete(
       break;
    case Status::COMPLETED:
       break;
+   case Status::SHUTTING_DOWN:
    case Status::INACTIVE:
    case Status::WORKING:
       bts_assert(false);
@@ -587,6 +610,7 @@ void AlgoWrapperOrder::on_child_order_update(
    switch (me->status) {
    case Status::WORKING:
    case Status::W_ATTACH:
+   case Status::SHUTTING_DOWN:
       if (auto it = me->children.find(child_key); it != me->children.end()) {
          auto &child_record = it->second;
          switch (new_child_state.status()) {
@@ -625,16 +649,38 @@ void AlgoWrapperOrder::on_child_order_update(
             break;
          }
       } else
-         terminate_error(
-             fmt::format("Unknown child order update: {}", child_key.value()));
-      return;
+         LOG(OrderMan, Info,
+             "AlgoOrder {} received update for presumably detached order {}. "
+             "Ignoring it",
+             key().value(), child_key.value());
+      break;
    case Status::COMPLETED:
       return;
    case Status::INACTIVE:
       bts_assert(false);
       return;
    }
-   bts_assert(false);
+
+   if (me->status == Status::SHUTTING_DOWN)
+      try_complete_shutdown();
+}
+
+void AlgoWrapperOrder::try_complete_shutdown() {
+   bts_assert(me->status == Status::SHUTTING_DOWN);
+   bts_assert(me->children.size());
+   bts_assert(me->pending_terminate.has_value());
+
+   if (working_children_count() == 0) {
+      LOG(OrderMan, Info, "AlgoOrder {} completed shutdown. Terminated",
+          key().value());
+      terminate(me->pending_terminate.value().first,
+                me->pending_terminate.value().second);
+   } else {
+      LOG(OrderMan, Info,
+          "AlgoOrder {} still has {} orders working. Shutdown still in "
+          "progress",
+          key().value(), working_children_count());
+   }
 }
 
 void AlgoWrapperOrder::setup_transitions() {
@@ -676,8 +722,21 @@ void AlgoWrapperOrder::setup_transitions() {
    // From WORKING
    me->transition_actions[{Status::WORKING, Status::COMPLETED}] = [this]() {
       cleanup();
+      me->children.clear();
       _transition(Status::COMPLETED);
    };
+   me->transition_actions[{Status::WORKING, Status::SHUTTING_DOWN}] = [this]() {
+      cleanup();
+      _transition(Status::SHUTTING_DOWN);
+   };
+
+   // From SHUTTING_DOWN
+   me->transition_actions[{Status::SHUTTING_DOWN, Status::COMPLETED}] =
+       [this]() {
+          me->children.clear();
+          me->pending_terminate.reset();
+          _transition(Status::COMPLETED);
+       };
 }
 
 void AlgoWrapperOrder::check_invariants() {
@@ -697,6 +756,7 @@ void AlgoWrapperOrder::check_invariants() {
       bts_assert(me->book_subs.empty());
       bts_assert(me->children.empty());
       bts_assert(!me->has_timer_sub);
+      bts_assert(!me->pending_terminate.has_value());
       break;
 
    case Status::WORKING:
@@ -704,10 +764,23 @@ void AlgoWrapperOrder::check_invariants() {
       bts_assert(me->security);
       bts_assert(me->external_status() == ORDER_STATUS_WORKING);
       bts_assert(!me->pending_update.has_value());
+      bts_assert(!me->pending_terminate.has_value());
+      break;
+
+   case Status::SHUTTING_DOWN:
+      bts_assert(working_children_count());
+      bts_assert(me->services);
+      bts_assert(me->security);
+      bts_assert(me->external_status() == ORDER_STATUS_WORKING);
+      bts_assert(me->book_subs.empty());
+      bts_assert(!me->has_timer_sub);
+      bts_assert(!me->pending_update.has_value());
+      bts_assert(me->pending_terminate.has_value());
       break;
 
    case Status::COMPLETED:
       bts_assert(me->children.empty());
+      bts_assert(!me->pending_update.has_value());
       bts_assert(me->external_status() == ORDER_STATUS_CANCELED ||
                  me->external_status() == ORDER_STATUS_COMPLETED ||
                  me->external_status() == ORDER_STATUS_ERROR ||
@@ -715,6 +788,7 @@ void AlgoWrapperOrder::check_invariants() {
       bts_assert(me->book_subs.empty());
       bts_assert(!me->has_timer_sub);
       bts_assert(!me->pending_update.has_value());
+      bts_assert(!me->pending_terminate.has_value());
       break;
    }
 }
@@ -745,15 +819,25 @@ void AlgoWrapperOrder::terminate(api::orderman::OrderStatus st,
    transition(Status::COMPLETED);
 }
 
+void AlgoWrapperOrder::shutdown(api::orderman::OrderStatus st,
+                                std::string const &error) {
+   bts_assert(!me->pending_terminate.has_value());
+   bts_assert(working_children_count());
+   me->pending_terminate = std::make_pair(st, error);
+   LOG(OrderMan, Info,
+       "AlgoOrder {} is shutting down. Waiting for {} child orders to complete "
+       "before terminating",
+       key().value(), working_children_count());
+   transition(Status::SHUTTING_DOWN);
+}
+
 void AlgoWrapperOrder::cleanup() {
    for (auto const &s : me->book_subs) {
       me->services->unsubscribe_from_book(s.second);
       me->book_subs.clear();
    }
-   for (auto &c : me->children) {
+   for (auto &c : me->children)
       c.second.order.cancel();
-      me->children.clear();
-   }
    if (me->has_timer_sub)
       unsubscribe_timer();
    me->pending_update.reset();
@@ -785,6 +869,16 @@ OrderKey AlgoWrapperOrder::index_and_launch_child(ChildOrder &&child, Price p,
    return k;
 }
 
+size_t AlgoWrapperOrder::working_children_count() const {
+   auto working_children_count = 0;
+   for (auto &c : me->children)
+      if (!c.second.state.has_value() ||
+          c.second.state.value().status == ChildStatus::WORKING) {
+         working_children_count++;
+      }
+   return working_children_count;
+}
+
 bool AlgoWrapperOrder::is_working() const {
    return me->status == Status::WORKING;
 }
@@ -799,6 +893,8 @@ log::CharPtrWrapper AlgoWrapperOrder::state_name(Status st) {
       return {"INACTIVE"};
    case Status::WORKING:
       return {"WORKING"};
+   case Status::SHUTTING_DOWN:
+      return {"SHUTTING_DOWN"};
    }
    bts_assert(false);
    return {""};

src/lib/orderman/orders/algo/AlgoWrapperOrder.h

@@ -40,6 +40,7 @@ class AlgoWrapperOrder : public Order,
    Price price() const override;
    Quantity quantity() const override;
    Quantity total_fills() const override;
+   bool is_shutting_down() const override;
    void subscribe_book(SecurityKey) override;
    void unsubscribe_book(SecurityKey) override;
    void subscribe_child_change(OrderKey) override;
@@ -75,10 +76,13 @@ class AlgoWrapperOrder : public Order,
    void transition(Status);
    void _transition(Status);
    void terminate(api::orderman::OrderStatus, std::string const &error = "");
+   void shutdown(api::orderman::OrderStatus, std::string const &error = "");
+   void try_complete_shutdown();
    void cleanup();
    void update_child_record(api::orderman::OrderState const &, ChildRecord *);
    OrderKey index_and_launch_child(ChildOrder &&, Price, Quantity, bool);
    bool is_working() const ;
+   size_t working_children_count() const;
    log::CharPtrWrapper state_name(Status) ;
    ChildStatus map_child_status(api::orderman::OrderStatus) ;
    bool _is_attaching(api::orderman::OrderDefinition const &) const ;

src/lib/orderman/orders/algo/IAlgoServices.h

@@ -20,6 +20,13 @@ class IAlgoServices : public IBeforeLaunchAlgoServices {
    // Returns the filled quantity for this algo
    virtual Quantity total_fills() const = 0;
 
+   // Returns wheter the algo is in the process of shutting down (due
+   // to a cancel, an error, or just having completed its work). When
+   // algo is shutting down any requests to create, update or cancel
+   // child orders will be ignored.
+   virtual bool is_shutting_down() const = 0;
+   
+   
    // --------------------------------------------------------------
    // Event Subscriptions
    // --------------------------------------------------------------

src/lib/orderman/orders/algo/algo_orders/CoverAlgo.cpp

@@ -10,18 +10,8 @@ namespace orderman {
 
 using namespace api::orderman;
 
-enum class CoverAlgo::Status { WORKING, WAITING_FOR_HEDGES, DONE };
-const char *CoverAlgo::status_name(Status st) {
-   switch (st) {
-   case Status::WORKING:
-      return "WORKING";
-   case Status::WAITING_FOR_HEDGES:
-      return "WAITING_FOR_HEDGES";
-   case Status::DONE:
-      return "Done";
-   }
-   return nullptr;
-}
+enum class CoverAlgo::Status { WORKING, WAITING_FOR_HEDGES, DONE, CANCELING };
+
 struct CoverAlgo::PImpl {
    IAlgoServices *algo;
    OrderKey child_key = null_order_key();
@@ -92,8 +82,11 @@ void CoverAlgo::do_launch_attached(IAlgoServices &algo, OrderKey k,
    on_child_change(k, st);
 }
 
-void CoverAlgo::on_child_change(OrderKey k, ChildState const &st) {
-   if (k == me->child_key) {
+void CoverAlgo::on_covered_change(ChildState const &st) {
+   // First launch hedge if appropriate
+   switch (me->status) {
+   case Status::WORKING:
+   case Status::CANCELING:
       if (st.total_fills.value() > me->hedged_fills.value()) {
          auto hedge_qty =
              Quantity(st.total_fills.value() - me->hedged_fills.value());
@@ -116,6 +109,15 @@ void CoverAlgo::on_child_change(OrderKey k, ChildState const &st) {
              hedge_qty.value(), hedge_price.value());
       }
       algo().update_fill_state(st.total_fills, st.last_price);
+      break;
+   case Status::WAITING_FOR_HEDGES:
+   case Status::DONE:
+      break;
+   }
+
+   // Now analyze child to figure out wheter we should terminate
+   switch (me->status) {
+   case Status::WORKING:
       switch (st.status) {
       case ChildStatus::WORKING:
          break;
@@ -125,36 +127,67 @@ void CoverAlgo::on_child_change(OrderKey k, ChildState const &st) {
              algo().order_key().value());
          algo().set_ladder_visibility(false);
          me->status = Status::WAITING_FOR_HEDGES;
+         terminate_if_hedges_complete();
          break;
       case ChildStatus::CANCELED:
-         LOG(OrderMan, Info, "CoverAlgo {}. Child was canceled, terminating",
+         LOG(OrderMan, Info, "CoverAlgo {}. Child was unexpectadly canceled, terminating",
              algo().order_key().value());
-         me->status = Status::DONE;
+         on_done();
          algo().terminate_error("Unexpected child cancel");
          break;
       }
-   } else {
+      break;
+   case Status::CANCELING:
       switch (st.status) {
       case ChildStatus::WORKING:
          break;
       case ChildStatus::CANCELED:
-         if (me->cancel_on_external_hedge_cancel) {
-            LOG(OrderMan, Info, "CoverAlgo {}. Hedge was canceled, terminating",
-                algo().order_key().value());
-            me->status = Status::DONE;
-            algo().terminate_error("Unexpected child cancel");
-         } else
-            me->hedges.erase(
-                std::remove(me->hedges.begin(), me->hedges.end(), k),
-                me->hedges.end());
-         break;
       case ChildStatus::COMPLETED:
-         me->hedges.erase(std::remove(me->hedges.begin(), me->hedges.end(), k),
-                          me->hedges.end());
+         LOG(OrderMan, Info, "CoverAlgo {}. Shutdown complete",
+             algo().order_key().value());
+         on_done();
+         algo().cancel();
          break;
       }
+      break;
+   case Status::WAITING_FOR_HEDGES:
+   case Status::DONE:
+      break;
    }
-   check_terminate();
+}
+
+void CoverAlgo::on_hedge_change(OrderKey k, ChildState const &st) {
+
+   // First adjust our hedge count or cancel if something went wrong
+   switch (st.status) {
+   case ChildStatus::WORKING:
+      break;
+   case ChildStatus::COMPLETED:
+      me->hedges.erase(std::remove(me->hedges.begin(), me->hedges.end(), k),
+                       me->hedges.end());
+      break;
+   case ChildStatus::CANCELED:
+      if (me->cancel_on_external_hedge_cancel) {
+         LOG(OrderMan, Info, "CoverAlgo {}. Hedge was canceled, terminating",
+             algo().order_key().value());
+         on_done();
+         algo().terminate_error("Unexpected child cancel");
+         return;
+      } else
+         me->hedges.erase(std::remove(me->hedges.begin(), me->hedges.end(), k),
+                          me->hedges.end());
+      break;
+   }
+
+   // Now if we are waiting for hedges to complete, bail
+   terminate_if_hedges_complete();
+}
+
+void CoverAlgo::on_child_change(OrderKey k, ChildState const &st) {
+   if (k == me->child_key)
+      on_covered_change(st);
+   else
+      on_hedge_change(k, st);
 }
 
 void CoverAlgo::do_update(api::orderman::Update const &update) {
@@ -211,7 +244,7 @@ void CoverAlgo::update_definition(
        cover.cancel_on_external_hedge_cancel();
 }
 
-void CoverAlgo::check_terminate() {
+void CoverAlgo::terminate_if_hedges_complete() {
    LOG(OrderMan, Diag,
        "CoverAlgo {} check_terminate. State: {} Hedge count: {}",
        algo().order_key(), log::CharPtrWrapper{status_name(me->status)},
@@ -220,15 +253,61 @@ void CoverAlgo::check_terminate() {
    if (me->status == Status::WAITING_FOR_HEDGES && me->hedges.empty()) {
       LOG(OrderMan, Info, "CoverAlgo {}. Last hedge completed, terminating",
           algo().order_key().value());
+      on_done();
       algo().complete();
    }
 }
 
 IAlgoOrder::OnCancelResponse CoverAlgo::on_cancel() {
+   switch (me->status) {
+   case Status::WORKING: {
+      algo().cancel_child(me->child_key);
+      LOG(OrderMan, Info,
+          "CoverAlgo {} received cancel. Canceling child and waiting for an "
+          "ack",
+          algo().order_key());
+      me->status = Status::CANCELING;
+      return IAlgoOrder::OnCancelResponse::IGNORE;
+   }
+   case Status::CANCELING:
+      return IAlgoOrder::OnCancelResponse::IGNORE;
+   case Status::WAITING_FOR_HEDGES:
+      maybe_detach_hedges();
+      return IAlgoOrder::OnCancelResponse::HONOR;
+   case Status::DONE:
+      bts_assert(false);
+      return IAlgoOrder::OnCancelResponse::HONOR;
+   }
+
+   bts_assert(false);
+   return IAlgoOrder::OnCancelResponse::HONOR;
+}
+
+void CoverAlgo::on_done()
+{
+   me->status = Status::DONE;
+   maybe_detach_hedges();
+}
+
+
+void CoverAlgo::maybe_detach_hedges() {
    if (!me->cancel_hedges_on_cancel)
       for (auto &k : me->hedges)
          algo().detach_child(k);
-   return IAlgoOrder::OnCancelResponse::HONOR;
+}
+
+const char *CoverAlgo::status_name(Status st) {
+   switch (st) {
+   case Status::WORKING:
+      return "WORKING";
+   case Status::WAITING_FOR_HEDGES:
+      return "WAITING_FOR_HEDGES";
+   case Status::DONE:
+      return "DONE";
+   case Status::CANCELING:
+      return "CANCELING";
+   }
+   return nullptr;
 }
 
 } // namespace orderman

src/lib/orderman/orders/algo/algo_orders/CoverAlgo.h

@@ -30,8 +30,13 @@ private:
                                api::orderman::CoverOrderDefinition const &);
    void init_hedge_template(IBeforeLaunchAlgoServices &,
                             api::orderman::CustomOrderDefinition const &);
-   void check_terminate();
+   void terminate_if_hedges_complete();
+
+   void on_hedge_change(OrderKey hedge, ChildState const&) ;
+   void on_covered_change(ChildState const&); 
    const char *status_name(Status st);
+   void maybe_detach_hedges();
+   void on_done();
 };
 
 } // namespace orderman

src/lib/orderman/orders/algo/algo_orders/IcebergAlgo.cpp

@@ -145,7 +145,7 @@ void IcebergAlgo::on_child_change(OrderKey k, ChildState const &st) {
          on_timer();
          return;
       case ChildStatus::CANCELED:
-         algo().terminate_error("Unexpected child cancel");
+         algo().cancel("Unexpected child cancel");
          return;
       }
    }

src/lib/orderman/orders/algo/algo_orders/OffsetAlgo.cpp

@@ -0,0 +1,190 @@
+#include "lib/orderman/orders/algo/IAlgoServices.h"
+#include "lib/orderman/orders/algo/algo_orders/OffsetAlgo.h"
+#include "lib/orderman/order_factory/IOrderFactory.h"
+#include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
+#include "lib/os/os.h"
+#include "lib/utils/PBUtils.h"
+
+namespace bts {
+namespace orderman {
+
+using namespace api::orderman;
+using namespace std;
+
+enum class OffsetAlgo::Status { WAITING_FOR_MD, DEPLOYED };
+
+struct OffsetAlgo::PImpl {
+   IAlgoServices *algo;
+   Status status = Status::WAITING_FOR_MD;
+   OrderKey child_key = null_order_key();
+   ChildTemplate *child_template = nullptr;
+   Book last_book;
+   uint32_t tick_offset_on_deploy;
+   double child_price = os::nan();
+};
+
+OffsetAlgo::OffsetAlgo() : me(new PImpl()) {}
+OffsetAlgo::~OffsetAlgo() {}
+IAlgoServices &OffsetAlgo::algo() const { return *me->algo; }
+
+OrderOpResult OffsetAlgo::do_before_launch(IBeforeLaunchAlgoServices &serv) {
+   auto &def = serv.definition();
+   bts_assert(def.has_custom_def());
+   bts_assert(def.custom_def().has_offset());
+   // Validate the offset part of the definition
+   auto &offset = def.custom_def().offset();
+   if (!offset.has_child() &&
+       OrderKey(def.attach_target_order_key()) == null_order_key()) {
+      return OrderOpResult{
+          ORDER_ERROR_INVALID_ORDER_DEFINITON,
+          "Offset order must have either a child order definition or an "
+          "order to attach to"};
+   }
+   me->tick_offset_on_deploy = offset.tick_offset_on_deploy();
+   if (!serv.is_attaching()) {
+      // if we are not attaching create a child template so we can
+      // quickly launch our child when the time comes.
+      auto child_def = def;
+      *child_def.mutable_custom_def() = def.custom_def().offset().child();
+      me->child_template = &(serv.make_child_template(child_def));
+   }
+   return {};
+}
+
+void OffsetAlgo::do_launch(IAlgoServices &algo) {
+   me->algo = &algo;
+   bts_assert(me->child_template);
+   algo.subscribe_book(SecurityKey(algo.security().id()));
+}
+
+void OffsetAlgo::do_launch_attached(IAlgoServices &algo, OrderKey k,
+                                    ChildState st) {
+   me->algo = &algo;
+   me->child_key = k;
+   me->child_price = st.price.value();
+   algo.subscribe_book(SecurityKey(algo.security().id()));
+}
+
+void OffsetAlgo::do_update(api::orderman::Update const &update) {
+   LOG(OrderMan, Diag, "OffsetAlgo order {} receiving update: {}",
+       algo().order_key().value(), utils::pb::to_string(update));
+   if (update.has_custom()) {
+      if (!update.custom().has_offset()) {
+         algo().terminate_error("Invalid update");
+         return;
+      }
+      me->tick_offset_on_deploy =
+          update.custom().offset().tick_offset_on_deploy();
+   }
+   switch (me->status) {
+   case Status::WAITING_FOR_MD:
+      if (update.has_custom()) {
+         if (algo().is_attaching()) {
+            // don't change the child's price
+            // (need md to determine initial deploy price)
+            bts_assert(!os::is_nan(me->child_price));
+            algo().update_child(me->child_key, mk_child_update(update, me->child_price));
+         } else {
+            auto &def = algo().definition();
+            auto child_def = def;
+            *child_def.mutable_custom_def() = update.custom().offset().child();
+            me->child_template = &(algo().make_child_template(child_def));
+         }
+      }
+      break;
+   case Status::DEPLOYED:
+      algo().update_child(me->child_key, mk_child_update(update));
+      break;
+   }
+}
+
+void OffsetAlgo::on_book(SecurityKey, Book const &b) {
+   me->last_book = b;
+   // log top of book
+   LOG(OrderMan, Diag, "OffsetAlgo order {} on book. BID: {}@{} ASK: {}@{}",
+       algo().order_key().value(), b.side(api::SIDE_BUY)[0].size(),
+       b.side(api::SIDE_BUY)[0].price(), b.side(api::SIDE_SELL)[0].size(),
+       b.side(api::SIDE_SELL)[0].price());
+   // attempt deploy
+   if (me->status == Status::WAITING_FOR_MD)
+      try_deploy();
+}
+
+Update OffsetAlgo::mk_child_update(const Update &source, const double &price_override) {
+   Update target;
+   if (source.has_custom()) {
+      bts_assert(source.custom().has_offset());
+      *target.mutable_custom() = source.custom().offset().child();
+   }
+   if (!os::is_nan(price_override))
+      target.set_price(price_override);
+   else
+      target.set_price(source.price());
+   target.set_quantity(source.quantity());
+   return target;
+}
+
+void OffsetAlgo::try_deploy() {
+   bts_assert(me->status == Status::WAITING_FOR_MD);
+   auto side = algo().definition().side();
+   auto &top_psz = me->last_book.side(side)[0];
+   if (!top_psz.size()) {
+      // log state (still waiting for md)
+      LOG(OrderMan, Diag,
+          "OffsetAlgo order {} still waiting for md.  Order: {} {}@ {} ticks "
+          "away.",
+          algo().order_key().value(), algo().definition().side(),
+          algo().quantity().value(), me->tick_offset_on_deploy);
+
+   } else {
+      const double &offset = securities::tick_size(algo().security()).value() *
+                             me->tick_offset_on_deploy;
+      me->child_price =
+          securities::worsen_price(side, Price(top_psz.price()), Price(offset)).value();
+      if (algo().is_attaching()) {
+         // log imminent update
+         LOG(OrderMan, Diag,
+             "OffsetAlgo order {} attaching child {}.  Order: {} {}@ {} ({} ticks "
+             "away).",
+             algo().order_key().value(),
+             me->child_key.value(), side,
+             algo().quantity().value(),
+             me->child_price, me->tick_offset_on_deploy);
+         // update
+         Update child_update;
+         child_update.set_quantity(algo().quantity().value());
+         child_update.set_price(me->child_price);
+         algo().update_child(me->child_key, child_update);
+      } else {
+         // log imminent deploy
+         LOG(OrderMan, Diag,
+             "OffsetAlgo order {} deploying child.  Order: {} {}@ {} ({} ticks "
+             "away).",
+             algo().order_key().value(), side,
+             algo().quantity().value(),
+             me->child_price, me->tick_offset_on_deploy);
+         // deploy
+         me->child_key =
+             algo().launch_child(*me->child_template, Price(me->child_price), algo().quantity());
+      }
+      algo().set_ladder_visibility(false);
+      me->status = Status::DEPLOYED;
+   }
+}
+
+void OffsetAlgo::on_child_change(OrderKey, ChildState const &st) {
+   me->child_price = st.price.value();
+   algo().update_fill_state(st.total_fills, st.last_price);
+   switch (st.status) {
+   case ChildStatus::WORKING:
+      return;
+   case ChildStatus::COMPLETED:
+      algo().complete();
+      return;
+   case ChildStatus::CANCELED:
+      algo().cancel("Unexpected child cancel");
+      return;
+   }
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/OffsetAlgo.h

@@ -0,0 +1,38 @@
+#pragma once
+
+#include "lib/orderman/orders/algo/IAlgoOrder.h"
+
+using Update = bts::api::orderman::Update;
+
+namespace bts {
+namespace orderman {
+
+// Offset sends a child-order/algo N ticks away from the top of the book.
+// If necessary, it will wait for the market to arrive before shooting the
+// child.
+
+class OffsetAlgo : public IAlgoOrder {
+ public:
+   OffsetAlgo();
+   ~OffsetAlgo();
+
+   OrderOpResult do_before_launch(IBeforeLaunchAlgoServices &) override;
+   void do_launch(IAlgoServices &) override;
+   void do_launch_attached(IAlgoServices &, OrderKey, ChildState) override;
+   void do_update(Update const &) override;
+   void on_book(SecurityKey, Book const &) override;
+   void on_child_change(OrderKey, ChildState const &) override;
+
+ private:
+   enum class Status;
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+
+   static Update mk_child_update(const Update& source_update, const double& price_override = os::nan());
+
+   IAlgoServices &algo() const;
+   void try_deploy();
+};
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/TopAlgo.cpp

@@ -16,6 +16,7 @@ using namespace api::orderman;
 struct TopAlgo::PImpl {
    IAlgoServices *algo;
    spark::QuantityMeasure top_threshold_measure;
+   uint32_t ticks_off = 0;
    OrderKey child_key = null_order_key();
    ChildTemplate *child_template = nullptr;
    Book last_book;
@@ -41,7 +42,7 @@ OrderOpResult TopAlgo::do_before_launch(IBeforeLaunchAlgoServices &serv) {
    }
 
    me->top_threshold_measure = top.top_threshold();
-
+   me->ticks_off = top.ticks_off();
    if (!serv.is_attaching()) {
       // if we are not attaching create a child template so we can
       // quickly launch our child when the time comes.
@@ -87,13 +88,14 @@ void TopAlgo::do_update(api::orderman::Update const &update) {
       auto &top_update = update.custom().top();
       *child_update.mutable_custom() = top_update.child();
       me->top_threshold_measure = top_update.top_threshold();
+      me->ticks_off = top_update.ticks_off();
    }
    algo().update_child(me->child_key, child_update);
 }
 
 void TopAlgo::on_book(SecurityKey, Book const &b) {
    me->last_book = b;
-   ensure_min_quantity();
+   ensure_order_meets_constraints();
 }
 
 void TopAlgo::on_child_change(OrderKey, ChildState const &st) {
@@ -111,14 +113,14 @@ void TopAlgo::on_child_change(OrderKey, ChildState const &st) {
    }
 }
 
-bool TopAlgo::ensure_min_quantity() {
+bool TopAlgo::ensure_order_meets_constraints() {
    LOG(OrderMan, Diag,
        "Top order {} received book update. Current top of book: {}@{}",
        algo().order_key().value(), top_of_book_quantity().value(),
        top_of_book_price().value());
 
    if (better_than_top()) {
-      LOG(OrderMan, Diag,
+      LOG(OrderMan, Info,
           "Top order {} became better than the top of the book, canceling",
           algo().order_key().value());
       algo().cancel("Order would become BBO");
@@ -135,7 +137,7 @@ bool TopAlgo::ensure_min_quantity() {
           algo().order_key().value(), total_min_quantity,
           top_of_book_quantity().value());
       if (top_of_book_quantity() < Quantity(total_min_quantity)) {
-         LOG(OrderMan, Diag,
+         LOG(OrderMan, Info,
              "Top order {} is canceling because min quantiy is not met",
              algo().order_key().value());
          algo().cancel("Top of book is below threshold");
@@ -147,6 +149,26 @@ bool TopAlgo::ensure_min_quantity() {
           algo().order_key().value(), algo().price().value(),
           top_of_book_price().value());
 
+   if (me->ticks_off > 0) {
+      auto tick_diff = securities::price_diff_to_ticks(
+          algo().price().value(), top_of_book_price().value(),
+          securities::tick_size(algo().security()).value());
+      if (std::abs(tick_diff) <= (int)me->ticks_off) {
+         LOG(OrderMan, Info,
+             "Top order {} price {} is less than {} ticks away from top ({}). "
+             "Canceling",
+             algo().order_key().value(), algo().price().value(),
+             me->ticks_off + 1, top_of_book_price().value());
+         algo().cancel("Order is too close to top of the book");
+         return false;
+      } else
+         LOG(OrderMan, Diag,
+             "Top order {} price {} is {} ticks away from top. Top: {} Ticks "
+             "off: {}",
+             algo().order_key().value(), algo().price().value(),
+             std::abs(tick_diff), top_of_book_price().value(), me->ticks_off);
+   }
+
    return true;
 }
 

src/lib/orderman/orders/algo/algo_orders/TopAlgo.h

@@ -27,7 +27,7 @@ class TopAlgo : public IAlgoOrder {
    bool at_top_of_book() const;
    bool better_than_top() const;
    Quantity min_quantity_at_top() const;
-   bool ensure_min_quantity();
+   bool ensure_order_meets_constraints();
    bool has_running_child() const;
    Price top_of_book_price() const;
    Quantity top_of_book_quantity() const;

src/lib/orderman/orders/algo/doc/state_machine.org

@@ -0,0 +1,39 @@
+#+TITLE: Algo Wrapper State Machien
+#+OPTIONS: ^:nil
+#+OPTIONS: H:2
+#+OPTIONS: ^:nil H:2 author:nil creator:nil timestamp:nil toc:nil
+#+OPTIONS: html-postamble:nil
+
+
+* State Machine
+#+begin_src dot :file algo_wrapper_sm.png :cmdline -Kdot -Tpng
+digraph G {
+   bgcolor="transparent";
+   edge                       [ fontname=Helvetica, fontsize=12 ];
+
+   start                      [style=invisible];
+   COMPLETED                  [style=filled] ;
+   start -> INACTIVE;
+   INACTIVE -> COMPLETED      [label="qty=0|error"];
+   INACTIVE -> W_ATTACH       [label="ok & attach"];
+   INACTIVE -> WORKING        [label="ok & !attach"]; 
+   W_ATTACH -> COMPLETED      [label=attach_fail];
+   W_ATTACH -> WORKING        [label=attach_ok];
+   WORKING  -> COMPLETED      [label="[wchild=0]cancel|complete"];
+   WORKING  -> COMPLETED      [label=error];
+   WORKING  -> SHUTTING_DOWN  [label="[wchild>0]cancel|complete"];
+   SHUTTING_DOWN -> COMPLETED [label="wchild==0|error|on_detach"];
+}
+#+END_SRC
+
+#+RESULTS:
+[[file:algo_wrapper_sm.png]]
+
+* Invariants
+|               | attach_target | exernal_status                       | pending_update | pending_terminate | working_children | subs |
+|---------------+---------------+--------------------------------------+----------------+-------------------+------------------+------|
+| INACTIVE      |               |                                      |                |                   |                  |    0 |
+| W_ATTACH      |             1 | WORKING                              |                |                 0 |                0 |    0 |
+| WORKING       |               | WORKING                              |              0 |                 0 |                  |      |
+| SHUTTING_DOWN |               | WORKING                              |              0 |                 1 |               >0 |    0 |
+| COMPLETED     |               | CANCELED, COMPLETED, ERROR, REJECTED |              0 |                 0 |                0 |    0 |

src/lib/orderman/orders/book_algos/OffsetOrder.cpp

@@ -1,102 +0,0 @@
-#include "OffsetOrder.h"
-
-#include "lib/orderman/actors/order_manager/OrderBuilder.h"
-#include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
-#include "lib/utils/PBUtils.h"
-#include <google/protobuf/timestamp.pb.h>
-
-namespace bts {
-namespace orderman {
-
-using namespace api::orderman;
-
-struct OffsetOrder::PImpl 
-{
-   PImpl() {}
-   
-   uint32_t tick_offset_on_deploy;  
-};
-
-
-OffsetOrder::OffsetOrder() : me(new PImpl()) {}
-
-OffsetOrder::~OffsetOrder() {}
-
-void OffsetOrder::setup_child(const api::orderman::OrderDefinition& this_def, const PreActivationOrderServices&, 
-                            api::orderman::OrderState& initial_state, api::orderman::OrderDefinition* out_child)
-{
-   initial_state.mutable_offset();
-   auto const &offset_def = this_def.custom_def().offset();   
-   *out_child->mutable_custom_def() = offset_def.child();
-   
-   me->tick_offset_on_deploy = offset_def.tick_offset_on_deploy();   
-}
-
-
-void OffsetOrder::on_book_update(const bts::orderman::BookUpdateEvent& book)
-{
-   switch (this_state().status()) 
-   {
-   case ORDER_STATUS_WORKING:
-      switch (child_state().status()) 
-      {
-         case ORDER_STATUS_INACTIVE: 
-         {
-            if(definition().side() == api::SIDE_BUY)
-            {
-               const auto& same = book.book.side(api::Side::SIDE_BUY)[0];               
-               double price = same.price() - tick_size() * me->tick_offset_on_deploy;
-               activate_child(Price(price), Quantity(this_state().quantity()));
-               transition(ORDER_STATUS_WORKING);
-            }
-            else
-            {               
-               const auto& same = book.book.side(api::Side::SIDE_SELL)[0];
-               double price = same.price() + tick_size() * me->tick_offset_on_deploy;
-               activate_child(Price(price), Quantity(this_state().quantity()));
-               transition(ORDER_STATUS_WORKING);
-            }
-            report_state();   
-         }
-         break;
-         case ORDER_STATUS_WORKING:
-         {
-            detach();
-         }               
-         break;
-            
-         case ORDER_STATUS_PENDING_WORKING:
-            break;
-
-         // child cannot be in any of these states if we are in the working state
-         case ORDER_STATUS_DISCONNECTED: 
-         case ORDER_STATUS_ERROR:
-         case ORDER_STATUS_REJECTED_BY_SPARK:
-         case ORDER_STATUS_COMPLETED:
-         case ORDER_STATUS_CANCELED:
-         case OrderStatus_INT_MIN_SENTINEL_DO_NOT_USE_:
-         case OrderStatus_INT_MAX_SENTINEL_DO_NOT_USE_:
-            bts_assert(false);
-            break;
-         }
-      break;
-
-   case ORDER_STATUS_COMPLETED:
-   case ORDER_STATUS_CANCELED:
-   case ORDER_STATUS_ERROR:
-      break;
-
-   case ORDER_STATUS_INACTIVE:
-   case ORDER_STATUS_REJECTED_BY_SPARK:
-   case ORDER_STATUS_PENDING_WORKING:
-   case ORDER_STATUS_DISCONNECTED:
-   case OrderStatus_INT_MIN_SENTINEL_DO_NOT_USE_:
-   case OrderStatus_INT_MAX_SENTINEL_DO_NOT_USE_:
-      bts_assert(false);
-      break;
-   }   
-}
-
-}
-}
-

src/lib/orderman/orders/book_algos/OffsetOrder.h

@@ -1,29 +0,0 @@
-#pragma once
-
-#include "lib/orderman/orders/book_algos/BookAlgo.h"
-
-namespace bts {
-namespace orderman {
-
-class OrderStateUpdateEvent;
-class BookUpdateEvent;
-
-//OffsetOrder deploys N ticks away from the initial same-side inside market it's mainly for composition / fat finger
-
-class OffsetOrder : public BookAlgo
-{
-public:
-   OffsetOrder();
-   virtual ~OffsetOrder();
-   
-protected:
-   void setup_child(const api::orderman::OrderDefinition& this_def, const PreActivationOrderServices&, 
-                    api::orderman::OrderState&, api::orderman::OrderDefinition*) override;
-   void on_book_update(const bts::orderman::BookUpdateEvent&) override;   
-   
-private:   
-   struct PImpl;
-   std::unique_ptr<PImpl> me;
-};
-
-}}

src/lib/orderman/server/OrderServiceServer.cpp

@@ -1,6 +1,7 @@
 #include "OrderServiceServer.h"
 #include "lib/api/public/ServiceContext.h"
 #include "lib/api/services/AdminService.client.pb.h"
+#include "lib/api/services/MarginService.client.pb.h"
 #include "lib/api/services/PositionService.client.pb.h"
 #include "lib/config/config.h"
 #include "lib/config/protos/jetfix.pb.h"
@@ -98,6 +99,7 @@ struct OrderServiceServer::PImpl {
          publish_orders(), publish_fills(),
          admin_service(ctx.locate<api::admin::AdminService>()),
          position_service(ctx.locate<api::position::PositionService>()),
+         margin_service(ctx.locate<api::position::MarginService>()),
          md_consumer(mdc.current_consumer()), stats(stats),
          dyn_order_registry(d), log(log), in_flight_order_ops(),
          current_req_op_id(0) {}
@@ -114,6 +116,7 @@ struct OrderServiceServer::PImpl {
    OrderServiceServer::FillsPublisher publish_fills;
    api::admin::AdminService admin_service;
    api::position::PositionService position_service;
+   api::position::MarginService margin_service;
    bts::md::MDConsumer &md_consumer;
    metrics::MetricsContainer &stats;
    DynamicOrderRegistry const &dyn_order_registry;
@@ -240,10 +243,16 @@ OrderServiceServer::OrderServiceServer(bts::api::ServiceContext &ctx,
 
    // subscribe to position updates and foward them to the service bridge
    me->position_service.subscribe_pnl_account_data() |
-      rxcpp::operators::subscribe<api::position::Pnl_account_dataUpdate>(
-         [this](auto const &update) {
-            me->service_bridge->update_account_pnl(update);
-         });
+       rxcpp::operators::subscribe<api::position::Pnl_account_dataUpdate>(
+           [this](auto const &update) {
+              me->service_bridge->update_account_pnl(update);
+           });
+
+   me->margin_service.subscribe_excess_liquidity_report() |
+       rxcpp::operators::subscribe<api::position::Excess_liquidity_reportUpdate>(
+           [this](auto const &update) {
+              me->service_bridge->update_excess_liquidity_report(update);
+           });
 }
 
 OrderServiceServer::~OrderServiceServer() {

src/lib/utils/AuthSessionManager.cpp

@@ -86,7 +86,7 @@ bool AuthSessionManager::add_or_replace_session(const api::user::TokenPayload& t
       return true;      
    if(datetime::ll_diff_in_us(datetime::ll_now(), _expiration) < 0)      
    {
-      LOG(Gen,Error, "Your BTS Keycode is expired!");   
+      LOG(User,Error, "Your BTS Keycode is expired!");
       if(msg)
          *msg = "Your BTS Keycode is EXPIRED!  Please contact sales@bluetradesys.com";
       return false;
@@ -105,13 +105,18 @@ bool AuthSessionManager::add_or_replace_session(const api::user::TokenPayload& t
    if(it != _map.end())
    {
       _map[tok.id()] = Session{tok};
+      LOG(User, Warn, "KEYCODE: Replacing session {} ", tok.id());
       return true;
    }
    else if(_map.size() < _nusers)
    {
       _map[tok.id()] = Session{tok};
+      LOG(User, Warn, "KEYCODE: Creating session {} ", tok.id());
       return true;         
    }            
+   if(msg)
+      *msg = "KEYCODES: Not Enough Logins available for session";
+   LOG(User, Error, "KEYCODES: Not Enough Logins available for session {}", tok.id());
    return false;
 }
 

src/lib/utils/AuthToken.cpp

@@ -51,6 +51,35 @@ AuthSessionManager& session_manager()
    return mgr;
 }
 
+bool requires_auth_session(const admin::BTSUser& user)
+{
+   //if the user can trade in any account or see market data, it needs a session
+   if(user.has_user_data() && 
+      user.user_data().has_account_permissions() && 
+      user.user_data().account_permissions().account_permissions_size())
+   {
+      for(const auto& i: user.user_data().account_permissions().account_permissions())
+      {
+         if(i.second.has_trading_permission() && i.second.trading_permission().has_permissions())
+            return true;
+      }
+   }   
+   
+   if(user.has_user_data() && 
+      user.user_data().has_exchange_user_data())
+   {
+      if(user.user_data().exchange_user_data().has_cme_data())
+      {
+         for(const auto& i: user.user_data().exchange_user_data().cme_data().md_permissions())
+         {
+            if(i.enabled())
+               return true;
+         }
+      }
+   }  
+   return false; 
+}
+
 AuthToken generate_token(const admin::BTSUser& user, std::string* msg) 
 {
    api::user::TokenPayload payload;
@@ -58,7 +87,9 @@ AuthToken generate_token(const admin::BTSUser& user, std::string* msg)
    payload.set_id(user.id());
    if(user.name() == "bts") 
       payload.set_wheel(true);
-   session_manager().add_or_replace_session(payload, msg);
+      
+   if(requires_auth_session(user))
+      session_manager().add_or_replace_session(payload, msg);      
    auto token = encrypt(payload.SerializeAsString()); 
    bts_assert_d(token.size() < 255-8);
    AuthToken result;

src/lib/utils/Dispatcher.cpp

@@ -214,6 +214,20 @@ void Dispatcher::post(Action&& action, int64_t delay_ms)
    }
 }
 
+void Dispatcher::post_copy(Action action, int64_t delay_ms)
+{
+   if (delay_ms > 0)
+   {
+      shared_ptr<deadline_timer> timer = make_shared<deadline_timer>(_me->service);
+      timer->expires_from_now(boost::posix_time::milliseconds(delay_ms));
+      timer->async_wait([timer, action] (const boost::system::error_code& err) { if (!err) action(); });
+   }
+   else
+   {
+      _me->service.post(action);
+   }
+}
+
 io_service* Dispatcher::io_service() { return &_me->service; }
 
 //

src/lib/utils/Dispatcher.h

@@ -88,6 +88,7 @@ public:
    void invoke(Action action);
    // Queue an action on the dispatcher thread and return immediately.
    void post(Action&& action, int64_t delay_ms=0);
+   void post_copy(Action action, int64_t delay_ms=0);
 
    boost::asio::io_service* io_service();
 

src/lib/utils/tests/AuthTokenTests.cpp

@@ -5,19 +5,34 @@ namespace bts {
 namespace test {
 
 TEST_CASE("AuthToken", "[security]") {
-   api::admin::BTSUser user;
-   user.set_id(42);
-   user.set_name("user1");
+   api::admin::BTSUser admin_user;
+   admin_user.set_id(42);
+   admin_user.set_name("user1");
+   
+   api::admin::BTSUser trader_user;
+   trader_user.set_id(43);
+   trader_user.set_name("trader1");   
+   trader_user.mutable_user_data()->mutable_exchange_user_data()->mutable_cme_data()->add_md_permissions()->set_enabled(true);
 
-   SECTION("round trip") {
-      auto token = api::auth::generate_token(user);
+   SECTION("round trip admin") {
+      auto token = api::auth::generate_token(admin_user);
+      // We use 1 byte for api header size
+      REQUIRE(token.ByteSize() <= 240);
+      api::user::TokenPayload payload;
+      REQUIRE(!api::auth::decode_token(token, &payload));
+      REQUIRE(payload.id() == admin_user.id());
+      REQUIRE(payload.wheel() == false);
+   }
+   
+   SECTION("round trip trader") {
+      auto token = api::auth::generate_token(trader_user);
       // We use 1 byte for api header size
       REQUIRE(token.ByteSize() <= 240);
       api::user::TokenPayload payload;
       REQUIRE(api::auth::decode_token(token, &payload));
-      REQUIRE(payload.id() == user.id());
+      REQUIRE(payload.id() == trader_user.id());
       REQUIRE(payload.wheel() == false);
-   }
+   }   
 
    SECTION("empty token") {
       api::user::TokenPayload payload;
@@ -28,11 +43,11 @@ TEST_CASE("AuthToken", "[security]") {
    }
 
    SECTION("bts is the big wheel") {
-      user.set_name("bts");
-      auto token = api::auth::generate_token(user);
+      admin_user.set_name("bts");
+      auto token = api::auth::generate_token(admin_user);
       api::user::TokenPayload payload;
       REQUIRE(api::auth::decode_token(token, &payload));
-      REQUIRE(payload.id() == user.id());
+      REQUIRE(payload.id() == admin_user.id());
       REQUIRE(payload.wheel());
    }
 }

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/Help.cpp;cmds/KeyCode.cpp;cmds/Md.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/WebServer.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/IMarginObserver.cpp;position/IPositionObserver.cpp;position/MarginServiceCore.cpp;position/PositionServiceCore.cpp;position/PositionServicePNLHelper.cpp;position/PositionServiceServer.cpp;position/tests/PositionTests.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/Help.cpp;cmds/KeyCode.cpp;cmds/Md.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/WebServer.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/PositionServicePNLHelper.cpp;position/PositionServiceServer.cpp;position/tests/PositionTests.cpp;support/ErrorReportService.cpp;support/ShellLatencyServer.cpp;user/AdminServiceServer.cpp;user/AuthServiceServer.cpp;user/tests/admin_service_tests.cpp)

src/server/sparkd/cmds/QuickTest.cpp

@@ -27,6 +27,7 @@ struct Proxy : public IAlgoServices {
    Price price() const { return Price(0); }
    Quantity quantity() const { return Quantity(0); }
    Quantity total_fills() const { return Quantity(0); }
+   bool is_shutting_down() const {return false;}
    void subscribe_book(SecurityKey){};
    void unsubscribe_book(SecurityKey) {}
    void subscribe_child_change(OrderKey) {}

src/server/sparkd/cmds/Run.cpp

@@ -29,6 +29,7 @@
 #include "server/sparkd/md/MarketDataAuxiliaryServiceServer.h"
 #include "server/sparkd/md/run_md.h"
 #include "server/sparkd/position/PositionServiceServer.h"
+#include "server/sparkd/position/MarginServiceServer.h"
 #include "server/sparkd/support/ErrorReportService.h"
 #include "server/sparkd/support/ShellLatencyServer.h"
 #include "server/sparkd/user/AdminServiceServer.h"
@@ -84,11 +85,10 @@ int Run::execute(std::vector<std::string> const &) {
    md::auxiliary::MarketDataAuxiliaryServiceServer md_aux_server(sc);
    //orderman::AlgoServiceServer algo_server(sc);
    bts::api::orderman::algo::AlgoDefinitionServiceServer algo_definition_server(sc);
-   
-   
-   
+      
    
    position::PositionServiceServer position_service(sc,mdclient);
+   position::MarginServiceServer margin_service(sc, mdclient);
    metrics::ShellLatencyServer shell_latency_service(
        sc, stats, utils::Dispatcher::background());
 

src/server/sparkd/cmds/Span.cpp

@@ -1,15 +1,61 @@
 #include "Span.h"
 
+#include "server/sparkd/position/PositionAggregator.h"
 #include "server/sparkd/position/MarginServiceCore.h"
+#include "server/sparkd/position/Position.h"
 
+#include "lib/orderman/orderman_utils/orderman_common.h"
 
-namespace bts 
-{
-namespace cmd 
-{
+#include "lib/config/config.h"
+#include "lib/api/public/ServiceContext.h"
+#include "lib/api/services/AuthService.client.pb.h"
+#include "lib/domain_model/Security.pb.h"
+#include "lib/utils/helper_macros.h"
+#include "lib/utils/Dispatcher.h"
+
+#include <google/protobuf/text_format.h>
+#include <future>
+#include <memory>
+#include <stdlib.h>
+#include <condition_variable>
+#include <mutex>
+#include <time.h>
+
+using namespace bts::position;
+using namespace bts::api::position;
+
+namespace bts {
+namespace cmd {
 
 int Span::execute(const std::vector<std::string>&)
 {
+   srand(time(NULL));   
+   auto& disp = utils::Dispatcher::current();
+   MarginServiceCore core(disp);
+   
+   auto acct = std::string("ACC A");   
+   Position p;
+   p.security_desc = "ESU9";
+   p.account = acct;
+   p.position = Quantity(rand() % 100);
+   p.side = api::SIDE_BUY;
+   std::vector<Position> pos;
+   pos.push_back(p);
+   p.position = Quantity(rand() % 200);
+   p.side = api::SIDE_SELL;
+   pos.push_back(p);
+   
+   //core.set_verbose_debugging(true);
+   core.compute_margin(acct, pos, [](const api::position::MarginResult& m)
+      {
+         std::string str;
+         google::protobuf::TextFormat::PrintToString(m, &str);
+         
+         std::cout << std::endl << str << std::endl << std::endl;
+      });
+      
+   std::cout << "Waiting for margin results, press any key to exit" << std::endl;
+   disp.run();
    return 0;
 }
 
@@ -18,7 +64,6 @@ std::string Span::help()
    return "\t test CME CORE Span integration \n";
 } 
 
-}
-}
+}}
 
 

src/server/sparkd/position/IMarginObserver.cpp

@@ -1,9 +0,0 @@
-#include "IMarginObserver.h"
-
-namespace bts 
-{
-namespace position 
-{
-   IMarginObserver::~IMarginObserver() {}
-}
-}

src/server/sparkd/position/IMarginObserver.h

@@ -1,18 +0,0 @@
-#pragma once
-
-#include "lib/orderman/orderman_utils/orderman_common.h"
-
-namespace bts 
-{
-namespace position 
-{
-struct MarginResult;
-class 
-IMarginObserver
-{
-public:
-   virtual ~IMarginObserver();
-   virtual void on_margin_change(const orderman::AccountName&, const MarginResult&) = 0;  
-};
-}
-}

src/server/sparkd/position/MarginResult.h

@@ -1,25 +0,0 @@
-#pragma once
-
-#include "lib/orderman/orderman_utils/orderman_common.h"
-#include "lib/domain_model/Security.pb.h"
-
-namespace bts 
-{
-namespace position 
-{
-struct MarginResult
-{
-   bool valid;
-   std::string settle_indicator;
-   std::string settle_qualifier;
-   std::string portfolio_id;
-   std::string as_of_time;
-   std::string calculation_id;   
-   
-   double opt_value;
-   double nonopt_value;
-   double maint_margin;
-   double initial_margin;
-};  
-}
-}

src/server/sparkd/position/MarginServiceCore.cpp

@@ -1,18 +1,16 @@
 #include "MarginServiceCore.h"
 
-#include "PositionServiceCore.h"
 #include "Position.h"
-#include "MarginResult.h"
-#include "IMarginObserver.h"
-
 #include "lib/config/config.h"
 #include "lib/api/services/AuthService.pb.h"
 #include "lib/utils/bts_assert.h"
 #include "lib/utils/Uuid.h"
+#include "lib/utils/Dispatcher.h"
 #include "lib/utils/bts_chrono.h"
 #include "lib/logging/logging.h"
 #include "lib/utils/helper_macros.h"
 #include "lib/utils/datetime.h"
+#include "lib/config/protos/span.pb.h"
 
 
 #include "curl/curl.h"
@@ -23,46 +21,42 @@
 #include <boost/date_time/posix_time/posix_time.hpp>
 #include <utility>
 
-#define CONSOLE_LOG(...) std::cout , __VA_ARGS__  , std::endl
-
-template <typename T> std::ostream& operator,(std::ostream& out, const T& t) { out << t; return out; }
-std::ostream& operator,(std::ostream& out, std::ostream&(*f)(std::ostream&)) { out << f; return out; }
-#define MARGIN_LOG(subsystem,level,...) \
-   bts::log::_thread_logger.logger->enqueue(log::log_ts(),bts::log::subsystem,level,__FILE__,__LINE__,__VA_ARGS__); \
-CONSOLE_LOG(__VA_ARGS__)
+using bts::api::position::MarginResult;
 
 namespace bts 
 {
 namespace position
 {
    
-using MarginMap = boost::container::flat_map<orderman::AccountName, MarginResult>;
+using MarginMap = boost::container::flat_map<std::string, MarginResult>;
+
 struct MarginServiceCore::PImpl
 {
-   securities::ISecurityDB& db;
-   PositionServiceCore position_service;
-   IMarginObserver* observer;
-   MarginMap last_results, last_valid_results;
-   
+   utils::Dispatcher& dispatcher;
+   MarginMap last_results, last_valid_results;   
    std::string url_base, core_user, core_password, post_margin_path, get_margin_path;   
-   size_t max_iterations;
    bool verbose;
    int throttle;
-   bts::datetime::PTime last_update;
-   PImpl(securities::ISecurityDB& d, IMarginObserver* obs) : 
-      db(d), position_service(d), observer(obs), last_results(), last_valid_results(),
-      url_base("https://cmecorenr.cmegroup.com/MarginServiceApi/1.4/"), core_user("api_bts1"), core_password("BT5u53r!"),
+   PImpl(utils::Dispatcher& disp) : 
+      dispatcher(disp),
+      last_results(), last_valid_results(), //api_bts_span BT5Margin!
+      url_base("https://cmecorenr.cmegroup.com/MarginServiceApi/1.4/"), core_user("api_bts1"), core_password("Summer123"),
       post_margin_path("margins/?complete=true"),
       get_margin_path("margins/"),
-      max_iterations(20),
       verbose(false),
-      throttle(30000),
-      last_update()
+      throttle(30000)
    {
+      if(config::get<bts::config::SpanMargin>().login() != "")
+         core_user = config::get<bts::config::SpanMargin>().login();
+      if(config::get<bts::config::SpanMargin>().password() != "")
+         core_password = config::get<bts::config::SpanMargin>().password();
+      if(config::get<bts::config::SpanMargin>().url() != "")
+         url_base = config::get<bts::config::SpanMargin>().url();
+      
       auto res = curl_global_init(CURL_GLOBAL_DEFAULT);
       if(res != CURLE_OK) 
       {
-         MARGIN_LOG(Gen,Error,"curl_global_init() failed: ", std::string(curl_easy_strerror(res)));
+         LOG(Gen,Error,"curl_global_init() failed: {}", std::string(curl_easy_strerror(res)));
       }
    }
    ~PImpl()
@@ -151,7 +145,7 @@ struct MarginServiceCore::PImpl
    struct curl_slist* setup_url_and_headers(CURL* curl, const std::string& xpath)
    {
       std::string full_url = url_base + xpath;
-      MARGIN_LOG(Gen,Info,"CORE Margin URL: ",full_url);
+      LOG(Gen,Info,"CORE Margin URL: {}",full_url);
       curl_easy_setopt(curl, CURLOPT_URL, full_url.c_str());
       //curl_easy_setopt(curl, CURLOPT_URL, "https://cmecorenr.cmegroup.com/MarginServiceApi/1.4/margins/");
       curl_easy_setopt(curl, CURLOPT_DEBUGFUNCTION, debug_callback);
@@ -182,19 +176,19 @@ struct MarginServiceCore::PImpl
          curl_easy_setopt(curl, CURLOPT_WRITEDATA, (void*)&reply);
          curl_easy_setopt(curl, CURLOPT_POSTFIELDS, payload.c_str());         
          
-         MARGIN_LOG(Gen,Info,"CORE Margin Payload: ", payload);
+         LOG(Gen,Info,"CORE Margin Payload: {}", payload);
          auto res = curl_easy_perform(curl); 
          if(res == CURLE_OK)
          {
             std::string resp(reply.data.begin(), reply.data.end());
-            MARGIN_LOG(Gen,Info,"CORE Margin Post Response: ", resp);
+            LOG(Gen,Info,"CORE Margin Post Response: {}", resp);
             succ = true;
          }         
          else 
          {
             std::string error(curl_easy_strerror(res));
-            MARGIN_LOG(Gen,Error,"POST curl_easy_perform() failed: ", error);
-            std::cout << fmt::format("CORE Margin CURL Error: ", error);            
+            LOG(Gen,Error,"POST curl_easy_perform() failed: {}", error);
+            //std::cout << fmt::format("CORE Margin CURL Error: ", error);            
          }
          curl_easy_cleanup(curl);
          if(header)
@@ -202,7 +196,7 @@ struct MarginServiceCore::PImpl
       }
       else 
       {
-         MARGIN_LOG(Gen,Error,"curl_easy_init() failed\n");
+         LOG(Gen,Error,"curl_easy_init() failed\n");
       }
       return succ; 
    }
@@ -221,12 +215,12 @@ struct MarginServiceCore::PImpl
          if(res == CURLE_OK)
          {
             std::string resp(reply.data.begin(), reply.data.end());
-            MARGIN_LOG(Gen,Info,"CORE Margin GET Response: ", resp);                     
+            LOG(Gen,Info,"CORE Margin GET Response: {}", resp);                     
             succ = true;
          }
          else         
          {
-            MARGIN_LOG(Gen,Error,"GET curl_easy_perform() failed: ", std::string(curl_easy_strerror(res)));            
+            LOG(Gen,Error,"GET curl_easy_perform() failed: {}", std::string(curl_easy_strerror(res)));            
          }
          curl_easy_cleanup(curl);
          if(header)
@@ -234,7 +228,7 @@ struct MarginServiceCore::PImpl
       }
       else 
       {
-         MARGIN_LOG(Gen,Error,"curl_easy_init() failed\n");
+         LOG(Gen,Error,"curl_easy_init() failed\n");
       }
       return succ;
    }
@@ -284,7 +278,7 @@ struct MarginServiceCore::PImpl
    
    void parse_margin_calculation(const CurlMsg& msg, MarginResult& result)
    {
-      result.valid = false;
+      result.set_status(MarginResult::Error);
       std::string str(msg.data.begin(), msg.data.end());
       pugi::xml_document doc;
       doc.load_string(str.c_str());
@@ -293,19 +287,19 @@ struct MarginServiceCore::PImpl
       child = child.child("margin");
       if(child) 
       {
-         result.settle_indicator = child.attribute("settleInd").as_string();
-         result.settle_qualifier = child.attribute("settleQual").as_string();
-         result.portfolio_id = child.attribute("portfolioId").as_string();
-         result.as_of_time = child.attribute("asOfTime").as_string();
-         result.calculation_id = child.attribute("id").as_string();
+         result.set_settle_indicator(child.attribute("settleInd").as_string());
+         result.set_settle_qualifier(child.attribute("settleQual").as_string());
+         result.set_portfolio_id(child.attribute("portfolioId").as_string());
+         result.set_as_of_time(child.attribute("asOfTime").as_string());
+         result.set_calculation_id(child.attribute("id").as_string());
          auto val = child.child("amounts");
-         if(val && result.portfolio_id != "")
+         if(val && result.portfolio_id() != "")
          {
-            result.opt_value = child.attribute("optVal").as_double();
-            result.nonopt_value = child.attribute("nonOptVal").as_double();
-            result.maint_margin = child.attribute("maint").as_double();
-            result.initial_margin = child.attribute("init").as_double();
-            result.valid = true;
+            result.set_opt_value(val.attribute("optVal").as_double());
+            result.set_nonopt_value(val.attribute("nonOptVal").as_double());
+            result.set_maint_margin(val.attribute("maint").as_double());
+            result.set_initial_margin(val.attribute("init").as_double());
+            result.set_status(MarginResult::NewValid);
          }         
       }
    }
@@ -321,9 +315,8 @@ struct MarginServiceCore::PImpl
    };   
    
    bool compute_margin(const std::string& account_name, const std::string& portfolid_id, 
-                       const std::vector<Position>& pos, MarginResult& margin)
-   {
-      margin.valid = false;
+                       const std::vector<Position>& pos, std::function<void(const MarginResult&)> cb)
+   {      
       pugi::xml_document doc;
       pugi::xml_node trades_node;
       create_margin_request(portfolid_id, doc, trades_node);
@@ -331,12 +324,9 @@ struct MarginServiceCore::PImpl
       size_t count = 0;
       for(const auto& i : pos)
       {
-         if(i.security && i.security->has_glbx())
-         {
-            int p = i.position.value() * (i.side == api::SIDE_SELL ? -1 : 1);
-            request += fmt::format("BTS, {}, {}, {} {}", account_name, i.security->glbx().security_desc(), p, "\n");
-            count++;
-         }
+         int p = i.position.value() * (i.side == api::SIDE_SELL ? -1 : 1);
+         request += fmt::format("BTS, {}, {}, {}, {}", account_name, i.security_desc, p, "\n");
+         count++;
       }
       if(count > 0)
       {
@@ -345,78 +335,88 @@ struct MarginServiceCore::PImpl
          xml_string_writer writer(xml);
          doc.save(writer);
          
-         size_t iters = 0;
-         while(iters++ < max_iterations)
-         {
-            CurlMsg reply;
-            sleep_for(5s);
-            post(post_margin_path, xml, reply);      
-            std::string portid_resp, calcid_resp;
-            if(parse_margin_response(reply, portid_resp, calcid_resp))
-            {
-               CurlMsg reply2;
-               sleep_for(2s);
-               if(get(get_margin_path + calcid_resp, reply2))
+         CurlMsg reply;
+         post(post_margin_path, xml, reply);      
+         std::string portid_resp, calcid_resp;
+         if(parse_margin_response(reply, portid_resp, calcid_resp))
+         {            
+           std::function<void()> do_web;
+           do_web = 
+               [=]()
                {
-                  parse_margin_calculation(reply2, margin);
-                  return true;
-               }
-            }                  
+                  MarginResult margin;
+                  margin.set_status(MarginResult::Error);
+                  margin.set_account(account_name);
+                  CurlMsg reply2; bool done = false;
+                  try
+                  {
+                     if(get(get_margin_path + calcid_resp, reply2))
+                     {
+                        parse_margin_calculation(reply2, margin);
+                        cb(margin);
+                        done = true;
+                     }
+                  }
+                  catch(const std::exception& ex)
+                  {
+                     LOG(Gen, Error, "Exception in parse_margin_calculation {}", std::string(ex.what()));
+                  }   
+                  catch(...)
+                  {
+                     LOG(Gen, Error, "Unknown Exception in parse_margin_calculation");
+                  }    
+                  if(!done)
+                     dispatcher.post_copy(do_web, 5000);   
+               };            
+            dispatcher.post_copy(do_web, 5000);
+            return true;
          }
       }
       return false;
    }
 };
 
-MarginServiceCore::MarginServiceCore(securities::ISecurityDB& db, IMarginObserver* obs)
-   : me(new PImpl(db, obs))
+MarginServiceCore::MarginServiceCore(utils::Dispatcher& disp) : me(new PImpl(disp))
 {
 }
 
 MarginServiceCore::~MarginServiceCore() {}
 
-bool MarginServiceCore::pump(const orderman::AccountName& acct)
-{
-   MarginResult result;
-   return compute_margin(acct, result);
-}
 
-bool MarginServiceCore::compute_margin(const orderman::AccountName& acct, MarginResult& result)
+void MarginServiceCore::compute_margin(const std::string& acct, const std::vector<Position>& pos, 
+                                       std::function<void(const MarginResult&)> cb)
 {
-   auto now = bts::datetime::now();
-   auto diff = bts::datetime::ptime_diff_in_ms(now, me->last_update);
-   if(me->last_update.is_not_a_date_time() || abs(diff) > me->throttle)
+   me->dispatcher.post([=] ()
    {
-      query_margin_webapi(acct, result);
-      me->last_update = now;
-      return true;
-   }
-   else
-   {
-      get_last_valid_result(acct, result);
-      return false; //false, we did not get new data
-   }
+      query_margin_webapi(acct, pos, cb);
+   }, me->throttle);   
 }
 
-bool MarginServiceCore::query_margin_webapi(const orderman::AccountName& acct, MarginResult& margin)
-{
-   std::vector<Position> pos;
-   me->position_service.query_all_positions(acct, pos);
-   utils::Uuid guid;
-   bool succ = me->compute_margin(orderman::to_str(acct), guid.to_text_string(), pos, margin);
-   if(me->observer)
-      me->observer->on_margin_change(acct, margin);
-   me->last_results.insert_or_assign(acct, margin);
-   if(succ && margin.valid)
-      me->last_valid_results.insert_or_assign(acct, margin);
-   return succ;
-}
-
-bool MarginServiceCore::query_margin_webapi(const std::vector<Position>& pos, MarginResult& margin)
+bool MarginServiceCore::query_margin_webapi(const std::string& acct, const std::vector<Position>& pos, 
+                                            std::function<void(const MarginResult&)> cb)
 {
    utils::Uuid guid;
-   std::string str = guid.to_text_string();
-   return me->compute_margin(str.substr(0, 3), str, pos, margin);      
+   try
+   {
+      return me->compute_margin(acct, guid.to_text_string(), pos, 
+         [=] (const MarginResult& m)
+         {
+            me->last_results.insert_or_assign(acct, m);
+            if(m.status() == MarginResult::NewValid)
+               me->last_valid_results.insert_or_assign(acct, m);
+            cb(m);
+         });
+   }
+   catch(const std::exception& ex)
+   {
+      LOG(Gen, Error, "Exception in query_margin_webapi {}", std::string(ex.what()));
+      return false;
+   }   
+   catch(...)
+   {
+      LOG(Gen, Error, "Unknown Exception in query_margin_webapi");
+      return false;
+   }
 }
 
 void MarginServiceCore::set_verbose_debugging(bool verb)
@@ -424,7 +424,7 @@ void MarginServiceCore::set_verbose_debugging(bool verb)
    me->verbose = verb;
 }
 
-bool MarginServiceCore::get_last_valid_result(const orderman::AccountName& acct, MarginResult& result)
+bool MarginServiceCore::get_last_valid_result(const std::string& acct, MarginResult& result)
 {
    auto it = me->last_valid_results.find(acct);
    if(it != me->last_valid_results.end())
@@ -435,7 +435,7 @@ bool MarginServiceCore::get_last_valid_result(const orderman::AccountName& acct,
    return false;
 }
 
-bool MarginServiceCore::get_last_result(const orderman::AccountName& acct, MarginResult& result)
+bool MarginServiceCore::get_last_result(const std::string& acct, MarginResult& result)
 {
    auto it = me->last_results.find(acct);
    if(it != me->last_results.end())

src/server/sparkd/position/MarginServiceCore.h

@@ -1,6 +1,7 @@
 #pragma once
 
 #include "lib/orderman/orderman_utils/orderman_common.h"
+#include "lib/api/services/MarginService.pb.h"
 #include "server/sparkd/position/Position.h"
 #include "lib/domain_model/Security.pb.h"
 
@@ -8,33 +9,33 @@
 
 namespace bts 
 {
+namespace utils { class Dispatcher; }
 namespace securities { class ISecurityDB; }
 namespace position
 {
-struct MarginResult;
 class IMarginObserver;
+
 class MarginServiceCore
 {
    BTS_NO_COPY(MarginServiceCore);
 public:
-   MarginServiceCore(securities::ISecurityDB&, IMarginObserver* obs = nullptr);
+
+   MarginServiceCore(utils::Dispatcher&);
    ~MarginServiceCore();
-   
-   //Call as much as you want; it will update IMarginObserver at most once every 30s 
-   bool pump(const orderman::AccountName&);
-   //Call as much as you want; it will query the webapi at most once every 30s 
-   bool compute_margin(const orderman::AccountName&, MarginResult&);
+   void compute_margin(const std::string&, const std::vector<Position>&, 
+                       std::function<void(const api::position::MarginResult&)>);                       
+   void set_verbose_debugging(bool);
+   bool get_last_valid_result(const std::string&, api::position::MarginResult&);
+   bool get_last_result(const std::string&, api::position::MarginResult&);   
+
    
 private:
    friend class PositionTests;
-   bool get_last_valid_result(const orderman::AccountName&, MarginResult&);
-   bool get_last_result(const orderman::AccountName&, MarginResult&);   
-   //This is a blocking call to a WebAPI.  Very Slow.
-   bool query_margin_webapi(const orderman::AccountName&, MarginResult&);
-   //This is a blocking call to a WebAPI.  Very Slow.
-   bool query_margin_webapi(const std::vector<Position>&, MarginResult&);   
-   void set_verbose_debugging(bool);
-
+   
+   //This is a blocking call to a WebAPI.  Very Slow.   
+   bool query_margin_webapi(const std::string&, const std::vector<Position>&, 
+                            std::function<void(const api::position::MarginResult&)>);
+   
 private:
    struct PImpl;
    std::unique_ptr<PImpl> me;

src/server/sparkd/position/MarginServiceServer.cpp

@@ -0,0 +1,312 @@
+#include "MarginServiceServer.h"
+#include "MarginServiceCore.h"
+#include "PositionAggregator.h"
+#include "Position.h"
+
+#include "lib/api/service_helpers/AdminServiceUtils.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/persistence/SqliteStore.h"
+#include "lib/config/config.h"
+#include "lib/config/protos/span.pb.h"
+#include "lib/domain_model/Security.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/bts_assert.h"
+#include "lib/utils/TimeStamp.h"
+#include "lib/utils/Dispatcher.h"
+#include "lib/os/os.h"
+
+#include <set>
+#include <utility>
+
+using namespace bts::api::orderman;
+using namespace bts::api::position;
+using namespace bts::admin;
+using namespace std;
+using bts::api::position::MarginResult;
+
+namespace bts {
+namespace position {
+
+MarginServiceServer::MarginServiceServer(bts::api::ServiceContext& context, md::MDClient& mdclient)
+   : bts::api::position::MarginServiceBase (context),
+   _admin_service(context.locate<bts::api::admin::AdminService>()),
+   _publisher(make_margin_data_stateful_publisher()),
+   _report_publisher(make_excess_liquidity_report_stateful_publisher()),
+   _dispatcher(utils::Dispatcher::get_named("MarginServiceServer")),
+   _timer(_dispatcher, 30000, [=]() { publish_all();} ),
+   _position(new PositionAggregator(context.locate<bts::api::position::PositionService>(), mdclient)),
+   _margin(new MarginServiceCore(_dispatcher)),
+   //state below
+   _lock(),
+   _last_update(),
+   _admin_data(),
+   _last_report(),
+   _first_time(true)
+{
+   if(!config::get<bts::config::SpanMargin>().enabled())
+      return;
+
+   LOG(Gen, Info, "MarginServiceServer: service started");
+
+   _admin_service.subscribe_admin_data() |
+       rxcpp::operators::subscribe<api::admin::Admin_dataUpdate>(
+           [this](auto const &update) 
+           {
+              std::scoped_lock<std::recursive_mutex> l(_lock);
+              bts_assert(update.all().size() == 1);
+              _admin_data = *update.all()[0];
+              
+              if(_first_time)
+              {
+                  auto accts =  AdminServiceUtils::accounts(_admin_data, false);
+                  for(const auto& i : accts)
+                  {                     
+                     incremental_update_report(i->name(), i->id());
+                  }
+                 _first_time = false;
+              }
+           });   
+      
+   _timer.start();
+}
+
+void MarginServiceServer::publish_all()
+{
+   if(config::get<bts::config::SpanMargin>().enabled())   
+   {
+      std::scoped_lock<std::recursive_mutex> l(_lock);            
+      auto accts =  AdminServiceUtils::accounts(_admin_data, false);
+      for(const auto& i : accts)
+      {         
+         datetime::LLDateTime since = 0;
+         std::string acct = i->name();
+         auto it = _last_update.find(acct);
+         if(it != _last_update.end())
+            since = it->second;
+         std::vector<Position> pos;  AccountPNL pnl;
+         if(_position->query_positions(acct, pos, pnl, &since) && pos.size())
+         {
+            LOG(Gen, Info, "MarginServiceServer: requesting margin for {} ", acct);
+            _margin->compute_margin(acct, pos, [this, since, acct, pnl](const MarginResult& m) 
+               { 
+                  std::scoped_lock<std::recursive_mutex> l(_lock);
+                  publish_margin(m);
+                  publish_excess_liquidity_report(m, pnl);
+                  _last_update[acct] = since;
+               });            
+         }                     
+      }
+   }   
+}
+
+MarginServiceServer::~MarginServiceServer() {}
+
+void MarginServiceServer::get_margin(const api::position::MarginRequest& request, 
+                                     const api::Response<api::position::MarginResult>& reply) 
+{
+   if(!config::get<bts::config::SpanMargin>().enabled())
+   {
+      MarginResult res;
+      res.set_account(request.account());
+      reply(res);
+   }
+   else
+   {
+      std::vector<Position> pos; AccountPNL pnl;
+      _position->query_positions(request.account(), pos, pnl);            
+      _margin->compute_margin(request.account(), pos, [=](const MarginResult& m)
+         {
+            reply(m);
+         });
+      }
+}
+
+void MarginServiceServer::get_excess_liquidity_report(const api::position::MarginRequest& request,
+                                                      const api::Response<api::position::ExcessLiquidityReport>& reply)
+{
+   std::scoped_lock<std::recursive_mutex> l(_lock);
+   ExcessLiquidityReport rep;
+   rep.set_account(request.account());
+   auto it = _last_report.find(request.account());
+   if(it != _last_report.end())
+      rep.CopyFrom(it->second);
+   reply(rep);
+}
+
+
+
+void MarginServiceServer::publish_margin(const api::position::MarginResult& result)
+{
+   std::scoped_lock<std::recursive_mutex> l(_lock);
+   _publisher.add_or_update(result);
+   _publisher.flush();      
+}
+
+void MarginServiceServer::publish_excess_liquidity_report(const api::position::MarginResult& result, const api::position::AccountPNL& pnl)
+{
+   std::scoped_lock<std::recursive_mutex> l(_lock);
+   ExcessLiquidityReport report;
+   report.set_account(result.account());
+   report.set_account_id(pnl.account_id());
+   report.mutable_account_pnl()->CopyFrom(pnl);
+   report.mutable_margin_result()->CopyFrom(result);
+   auto acct = AdminServiceUtils::find_account(_admin_data, result.account(), false);   
+   if(acct && acct->has_margin_limit())
+   {
+      report.set_leverage_factor( acct->margin_limit().leverage_factor_percentage() );      
+      report.set_cash_balance(acct->margin_limit().cash_balance());        
+      report.set_should_enforce_margin(acct->margin_limit().enforce_margin() && 
+                                       config::get<bts::config::SpanMargin>().enabled());
+   }   
+
+   double netliq = report.leverage_factor() * report.cash_balance();
+   if(!bts::os::is_nan(result.maint_margin()))
+      netliq -= result.maint_margin();
+   if(!bts::os::is_nan(pnl.day_pnl()))
+      netliq += pnl.day_pnl();
+   report.set_excess_liquidity(netliq);
+   _last_report[result.account()] = report;
+   _report_publisher.add_or_update(report);
+   _report_publisher.flush();      
+}
+
+//so the admin ui knows what to do
+void MarginServiceServer::incremental_update_report(const std::string& account, uint32_t account_id)
+{   
+   std::scoped_lock<std::recursive_mutex> l(_lock);
+   
+   MarginResult margin;
+   if(!_margin->get_last_valid_result(account, margin))
+   {
+      margin.Clear();
+      margin.set_account(account);
+   }
+   AccountPNL pnl;
+   if(!_position->query_pnl(account, pnl))
+   {
+      pnl.Clear();
+      pnl.set_account_name(account);
+      pnl.set_account_id(account_id);
+   }
+   publish_excess_liquidity_report(margin, pnl);
+   _last_update[account] = 0;
+}
+
+
+void MarginServiceServer::set_cash_factor(const ::bts::api::position::CashFactorUpdate& request,
+                                          const api::Response<::bts::api::ResultMessage>& reply)
+{   
+   if(!config::get<bts::config::SpanMargin>().enabled())
+   {
+      api::ResultMessage resp; resp.set_success(true);
+      reply(resp);
+      return;
+   }
+      
+   std::scoped_lock<std::recursive_mutex> l(_lock);
+   auto acct = AdminServiceUtils::find_account(_admin_data, request.account(), false);
+   if(!acct)
+   {
+      auto msg = "Account " + request.account() +"not found";
+      api::ResultMessage resp;
+      resp.set_success(false);
+      resp.set_error_message(msg);      
+      reply(resp);
+   }
+   else
+   {
+      acct->mutable_margin_limit()->set_leverage_factor_percentage(request.leverage_factor());
+      AccountUpdateAPIArgument update;
+      update.mutable_complete_data()->CopyFrom(*acct);
+      
+      _admin_service.update_account(update, 
+         [this, request, reply, update](const api::Result<bts::api::admin::AdminServiceOperationResult>& admin_result) 
+         {
+            api::ResultMessage resp;
+            resp.set_success(admin_result.success());
+            resp.set_error_message(admin_result.error_message());
+            reply(resp);
+            incremental_update_report(request.account(), update.complete_data().id());
+         });         
+   }
+}
+                        
+void MarginServiceServer::set_cash_balance(const ::bts::api::position::CashBalanceUpdate& request,
+                                           const api::Response<::bts::api::ResultMessage>& reply) 
+{
+   if(!config::get<bts::config::SpanMargin>().enabled())
+   {
+      api::ResultMessage resp; resp.set_success(true);
+      reply(resp);
+      return;
+   }
+      
+   std::scoped_lock<std::recursive_mutex> l(_lock);
+   auto acct = AdminServiceUtils::find_account(_admin_data, request.account(), false);
+   if(!acct)
+   {
+      auto msg = "Account " + request.account() +"not found";
+      api::ResultMessage resp;
+      resp.set_success(false);
+      resp.set_error_message(msg);      
+      reply(resp);
+   }
+   else
+   {
+      acct->mutable_margin_limit()->set_cash_balance(request.cash_balance());
+      AccountUpdateAPIArgument update;
+      update.mutable_complete_data()->CopyFrom(*acct);
+      
+      _admin_service.update_account(update, 
+         [this, request, reply, update](const api::Result<bts::api::admin::AdminServiceOperationResult>& admin_result) 
+         {
+            api::ResultMessage resp;
+            resp.set_success(admin_result.success());
+            resp.set_error_message(admin_result.error_message());
+            reply(resp);
+            incremental_update_report(request.account(), update.complete_data().id());
+         });      
+   }
+}
+
+void MarginServiceServer::set_should_enforce_margin(const ::bts::api::position::EnforceUpdate& request,
+                                                    const api::Response<::bts::api::ResultMessage>& reply) 
+{
+   if(!config::get<bts::config::SpanMargin>().enabled())
+   {
+      api::ResultMessage resp; resp.set_success(true);
+      reply(resp);
+      return;
+   }
+      
+   std::scoped_lock<std::recursive_mutex> l(_lock);
+   auto acct = AdminServiceUtils::find_account(_admin_data, request.account(), false);
+   if(!acct)
+   {
+      auto msg = "Account " + request.account() +"not found";
+      api::ResultMessage resp;
+      resp.set_success(false);
+      resp.set_error_message(msg);      
+      reply(resp);
+   }
+   else
+   {
+      acct->mutable_margin_limit()->set_enforce_margin(request.should_enforce_margin());
+      AccountUpdateAPIArgument update;
+      update.mutable_complete_data()->CopyFrom(*acct);
+      
+      _admin_service.update_account(update, 
+         [this, request, reply, update](const api::Result<bts::api::admin::AdminServiceOperationResult>& admin_result) 
+         {
+            api::ResultMessage resp;
+            resp.set_success(admin_result.success());
+            resp.set_error_message(admin_result.error_message());
+            reply(resp);
+            incremental_update_report(request.account(), update.complete_data().id());
+         });      
+   }   
+}
+
+
+}}
+

src/server/sparkd/position/MarginServiceServer.h

@@ -0,0 +1,72 @@
+#pragma once
+
+#include "lib/orderman/orderman_utils/orderman_common.h"
+#include "lib/md/SecurityOracle.h"
+#include "lib/persistence/IStore.h"
+#include "lib/api/public/ServiceContext.h"
+#include "lib/api/services/MarginService.server.pb.h"
+#include "lib/api/services/AdminService.pb.h"
+#include "lib/api/services/AdminService.client.pb.h"
+#include "lib/api/services/PositionService.pb.h"
+#include "lib/api/services/PositionService.client.pb.h"
+#include "lib/utils/bts_no_copy.h"
+#include "lib/utils/datetime.h"
+#include <map>
+#include <memory>
+#include <mutex>
+
+namespace bts {
+namespace utils { class Dispatcher; }
+namespace position {
+   
+struct Position;
+class PositionAggregator;
+class MarginServiceCore;
+
+class MarginServiceServer : public api::position::MarginServiceBase
+{
+public:
+   MarginServiceServer(bts::api::ServiceContext&, md::MDClient&);
+   ~MarginServiceServer();
+   
+   void get_margin(const api::position::MarginRequest& request,
+                   const api::Response<api::position::MarginResult>& reply) override;
+                   
+   void get_excess_liquidity_report(const api::position::MarginRequest& request,
+                                    const api::Response<api::position::ExcessLiquidityReport>& reply) override;                   
+                   
+   void set_cash_factor(const ::bts::api::position::CashFactorUpdate& request,
+                        const api::Response<::bts::api::ResultMessage>& reply) override;
+                        
+   void set_cash_balance(const ::bts::api::position::CashBalanceUpdate& request,
+                         const api::Response<::bts::api::ResultMessage>& reply) override;
+                         
+   void set_should_enforce_margin(const ::bts::api::position::EnforceUpdate& request,
+                                  const api::Response<::bts::api::ResultMessage>& reply) override;
+                         
+   
+private:
+   void publish_margin(const api::position::MarginResult&);
+   void publish_excess_liquidity_report(const api::position::MarginResult&, const api::position::AccountPNL&);
+   void publish_all();
+   void incremental_update_report(const std::string& account, uint32_t account_id);
+
+private:
+   api::admin::AdminService _admin_service;  
+   MarginServiceBase::Margin_dataStatefulPublisher _publisher;   
+   MarginServiceBase::Excess_liquidity_reportStatefulPublisher _report_publisher;   
+   utils::Dispatcher& _dispatcher;
+   utils::DispatcherTimer _timer;
+   std::unique_ptr<PositionAggregator> _position;
+   std::unique_ptr<MarginServiceCore> _margin;   
+   
+private:
+   //state
+   std::recursive_mutex _lock;
+   std::map<std::string, datetime::LLDateTime> _last_update;
+   bts::api::admin::AdminData _admin_data;
+   std::map<std::string, api::position::ExcessLiquidityReport> _last_report;
+   bool _first_time;
+   
+};
+}}

src/server/sparkd/position/Position.h

@@ -1,19 +1,14 @@
 #pragma once
 
 #include "lib/orderman/orderman_utils/orderman_common.h"
-#include "lib/domain_model/Security.pb.h"
 
-namespace bts 
-{
-namespace position 
-{
+namespace bts {
+namespace position {
 struct Position
 {
-   orderman::AccountName account;
-   const api::Security* security;    
+   std::string account;
+   std::string security_desc;    
    Quantity position;
    api::Side side;
-   Price avg_price;   
 };   
-}
-}
+}}

src/server/sparkd/position/PositionAggregator.cpp

@@ -0,0 +1,132 @@
+
+#include "PositionAggregator.h"
+#include "Position.h"
+
+#include "lib/domain_model/Security.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/bts_assert.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/utils/TimeStamp.h"
+#include "lib/utils/Dispatcher.h"
+
+#include <set>
+#include <utility>
+
+using namespace bts::api::orderman;
+using namespace bts::api::position;
+using namespace std;
+
+namespace bts {
+namespace position {
+
+PositionAggregator::PositionAggregator(api::position::PositionService&& pos, md::MDClient& mdclient)
+ : _position_service(std::move(pos)),
+   _position_map(),
+   _pnl_map(),
+   _accounts(),
+   _oracle(mdclient), 
+   _lock()
+{
+   _position_service.subscribe_position_data() |
+      rxcpp::operators::subscribe<api::position::Position_dataUpdate>(
+           [this](auto const& update) 
+           {
+           std::scoped_lock<std::recursive_mutex> l(_lock);
+              for (const auto& o : update.removed())
+              {
+                 const auto& it = _position_map.find(o->record_id());
+                 if(it != _position_map.end())
+                    _position_map.erase(it); 
+              }
+              for (const auto& ch : update.changed()) 
+              {
+                 const auto& o = ch.current();
+                 _position_map[o->record_id()] = *o;
+                 _accounts[o->account()] = bts::datetime::ll_now();
+              }
+              for (const auto& o : update.added())
+              {
+                 _position_map[o->record_id()] = *o;
+                 _accounts[o->account()] = bts::datetime::ll_now();
+              }
+           });
+   _position_service.subscribe_pnl_account_data() |
+      rxcpp::operators::subscribe<api::position::Pnl_account_dataUpdate>(
+           [this](auto const& update) 
+           {
+           std::scoped_lock<std::recursive_mutex> l(_lock);
+              for (const auto& o : update.removed())
+              {
+                 const auto& it = _pnl_map.find(o->account_name());
+                 if(it != _pnl_map.end())
+                    _pnl_map.erase(it); 
+              }
+              for (const auto& ch : update.changed()) 
+              {
+                 const auto& o = ch.current();
+                 _pnl_map[o->account_name()] = *o;
+              }
+              for (const auto& o : update.added())
+              {
+                 _pnl_map[o->account_name()] = *o;
+              }
+           });
+      
+}
+
+PositionAggregator::~PositionAggregator() {}
+
+
+void eraseSubStr(std::string & mainStr, const std::string & toErase)
+{
+	size_t pos = mainStr.find(toErase);
+	if (pos != std::string::npos)
+		mainStr.erase(pos, toErase.length());
+}
+
+bool PositionAggregator::query_pnl(const std::string& account, api::position::AccountPNL& pnl)
+{
+   auto pit = _pnl_map.find(account);
+   if(pit != _pnl_map.end())
+   {
+      pnl = pit->second;
+      return true;
+   }
+   return false;
+}
+
+bool PositionAggregator::query_positions(const std::string& account, std::vector<Position>& result, 
+                                         api::position::AccountPNL& pnl,
+                                         datetime::LLDateTime* since)
+{
+   auto last_update = _accounts[account];
+   if(!since || *since == 0 || bts::datetime::ll_diff_in_us(*since, last_update) > 0)   
+   {
+      std::scoped_lock<std::recursive_mutex> l(_lock);
+      for(auto& entry : _position_map)
+      {      
+         const PositionUnit& unit = entry.second;         
+         if(unit.account() != account)
+            continue;      
+         auto sec = _oracle.get_security( SecurityKey(unit.security_id()) );
+         if(sec && sec->has_glbx() && sec->has_future())
+         {
+            Position pos;
+            pos.account = account;
+            pos.security_desc = securities::descriptor(*sec);
+            eraseSubStr(pos.security_desc, "SIM:");
+            int32_t totalpos = unit.sod_long_pos() + unit.day_long_pos() - unit.sod_short_pos() - unit.day_short_pos();
+            pos.position = Quantity(abs(totalpos));
+            pos.side = (totalpos < 0.0 ? api::SIDE_SELL : api::SIDE_BUY);                  
+            result.push_back(pos);
+         }
+      }   
+      if(since)
+         *since = last_update;
+      return query_pnl(account, pnl);
+   }
+   return false;
+}
+
+}}
+

src/server/sparkd/position/PositionAggregator.h

@@ -0,0 +1,37 @@
+#pragma once
+
+#include "lib/orderman/orderman_utils/orderman_common.h"
+#include "lib/md/SecurityOracle.h"
+#include "lib/api/services/PositionService.pb.h"
+#include "lib/api/services/PositionService.client.pb.h"
+#include "lib/utils/bts_no_copy.h"
+#include "lib/utils/datetime.h"
+
+#include <map>
+#include <memory>
+#include <mutex>
+
+namespace bts {
+namespace position {
+struct Position;
+
+class PositionAggregator 
+{
+public:
+   PositionAggregator(api::position::PositionService&&, md::MDClient&);
+   ~PositionAggregator();
+
+   bool query_positions(const std::string& account, std::vector<Position>& result, api::position::AccountPNL& pnl,
+                        datetime::LLDateTime* since = nullptr);
+                        
+   bool query_pnl(const std::string& account, api::position::AccountPNL& pnl);
+
+private:
+   api::position::PositionService _position_service;
+   std::map<int32_t,api::position::PositionUnit> _position_map;
+   std::map<std::string,api::position::AccountPNL> _pnl_map;
+   std::map<std::string, datetime::LLDateTime> _accounts;
+   md::SecurityOracle _oracle;   
+   std::recursive_mutex _lock;
+};
+}}

src/server/sparkd/position/PositionServiceCore.cpp

@@ -1,141 +0,0 @@
-#include "PositionServiceCore.h"
-
-#include "Position.h"
-#include "IPositionObserver.h"
-#include "lib/orderman/orderman_utils/orderman_common.h"
-#include "lib/orderman/securities/ISecurityDB.h"
-
-#include "lib/utils/bts_assert.h"
-#include "lib/logging/logging.h"
-
-#include <boost/container/flat_map.hpp>
-#include <utility>
-
-namespace bts 
-{
-namespace position
-{
-   
-template <typename T> int sgn(T val) {
-    return (T(0) < val) - (val < T(0));
-}   
-   
-class BookEntry
-{
-public:
-   orderman::AccountName account;
-   SecurityKey security_key;
-   double position;
-   double avg_price;
-public:
-   BookEntry(const orderman::AccountName& acc, SecurityKey k) : 
-      account(acc), security_key(k), position(0.0), avg_price(0.0)
-   {
-   }
-   void add_fill(double last_size, double last_price, api::Side side)
-   {
-      if(side == api::SIDE_SELL)
-         last_size = -last_size;         
-      if(position == 0.0 || sgn(position) == sgn(last_size))
-      {
-         double prev = position * avg_price;   
-         position += last_size;
-         avg_price = prev + (last_size*last_price) / position;
-      }         
-      else            
-         position += last_size;         
-   }   
-};
-
-struct PositionServiceCore::PImpl
-{
-   typedef std::pair<orderman::AccountName, SecurityKey> KeyType;
-   boost::container::flat_map<KeyType, std::shared_ptr<BookEntry>> book;
-   IPositionObserver* observer;
-   PImpl(IPositionObserver* obs) : book(), observer(obs)
-   {
-   }
-   
-   BookEntry& find_entry(const orderman::AccountName& account, SecurityKey skey)
-   {         
-      KeyType key(account, skey);
-      auto& entry = book[key];
-      if(!entry)
-         entry = std::make_shared<BookEntry>(account, skey);
-      return *entry;   
-   }   
-   
-   void book_raw_fill(const orderman::AccountName& account, SecurityKey sec,
-                      double last_size, double last_price, api::Side side)
-   {
-      auto& entry = find_entry(account, sec);
-      entry.add_fill(last_size, last_price, side);
-      if(observer)
-         observer->on_position_change(account, sec, entry.position, entry.avg_price);
-   }
-};
-
-PositionServiceCore::PositionServiceCore(securities::ISecurityDB& db, IPositionObserver* obs)
-   : me(new PImpl(obs)), _db(db)
-{
-}
-
-PositionServiceCore::~PositionServiceCore() {}
-
-bool PositionServiceCore::query_position(const orderman::AccountName& account, SecurityKey seckey, Position& result)
-{   
-   auto& entry = me->find_entry(account, seckey);
-   auto sec = _db.resolve(entry.security_key);
-   if(sec)
-   {
-      result.account = entry.account;
-      result.avg_price = Price(entry.avg_price);
-      result.position = Quantity(abs(entry.position));
-      result.side = (entry.position < 0.0 ? api::SIDE_SELL : api::SIDE_BUY);
-      result.security = sec;
-      return true;
-   }
-   else
-      return false;
-}
-
-void PositionServiceCore::query_all_positions(const orderman::AccountName& account, std::vector<Position>& result)
-{
-   result.reserve(me->book.size());
-   for(auto& entry : me->book)
-   {
-      if(entry.first.first != account)
-         continue;
-      auto sec = _db.resolve(entry.second->security_key);
-      if(sec)
-      {
-         Position pos;
-         pos.account = entry.second->account;
-         pos.avg_price = Price(entry.second->avg_price);
-         pos.position = Quantity(abs(entry.second->position));
-         pos.side = (entry.second->position < 0.0 ? api::SIDE_SELL : api::SIDE_BUY);
-         pos.security = sec;
-         result.push_back(pos);
-      }
-   }
-}
-
-void PositionServiceCore::consume_raw_fill(const std::string& account, uint32_t security_key, 
-                                           double last_size, double last_price, api::Side side)
-{
-   orderman::AccountName acc = orderman::to<orderman::AccountName>(account);
-   SecurityKey skey(security_key);
-   auto sec = _db.resolve(skey);
-   if(sec->Contract_case() == api::Security::ContractCase::kSpread)
-   {
-      //TODO this is wrong; need the leg fills
-      for(int i = 0; i < sec->spread().legs_size(); i++)
-         me->book_raw_fill(acc, SecurityKey(sec->spread().legs(i).security().id()), 
-                           0.0, 0.0, side);      
-   } 
-   else
-      me->book_raw_fill(acc, skey, last_size, last_price, side);   
-}
-
-}
-}

src/server/sparkd/position/PositionServiceCore.h

@@ -1,36 +0,0 @@
-#pragma once
-
-#include "lib/orderman/orderman_utils/orderman_common.h"
-#include "lib/utils/bts_no_copy.h"
-#include "lib/domain_model/Security.pb.h"
-
-#include <memory>
-
-namespace bts 
-{
-namespace securities { class ISecurityDB; }
-namespace position
-{
-struct Position;
-class IPositionObserver;
-class PositionServiceCore
-{
-   BTS_NO_COPY(PositionServiceCore);
-public:
-   PositionServiceCore(securities::ISecurityDB&, IPositionObserver* obs = nullptr);
-   ~PositionServiceCore();
-   
-   bool query_position(const orderman::AccountName&, SecurityKey, Position&);
-   void query_all_positions(const orderman::AccountName&, std::vector<Position>&);
-                     
-private:
-   void consume_raw_fill(const std::string& account, uint32_t security_key, 
-                         double last_size, double last_price, api::Side side);
-      
-private:
-   struct PImpl;
-   std::unique_ptr<PImpl> me;   
-   securities::ISecurityDB& _db;
-};
-}
-}

src/server/sparkd/position/PositionServicePNLHelper.cpp

@@ -174,10 +174,12 @@ void PositionServicePNLHelper::_aggregate_account_pnl(
    std::map<uint32_t, AccountPNL> acc_pnl;
    for (const auto& pnlu : in_pnl){
       uint32_t acct_id = pnlu.pos().account_id();
+      const std::string& acct_name = pnlu.pos().account();
       auto it=acc_pnl.find(acct_id);
       if(it==acc_pnl.end()){
          AccountPNL new_acc;
          new_acc.set_account_id(acct_id);
+         new_acc.set_account_name(acct_name);
          new_acc.set_day_pnl(0.0);
          acc_pnl[acct_id]=new_acc;
          it=acc_pnl.find(acct_id);
@@ -188,10 +190,12 @@ void PositionServicePNLHelper::_aggregate_account_pnl(
    }
    // for accounts with no positions add 0
    for (const auto& p : account_map){
+      const std::string& acct_name = p.first;
       uint32_t acct_id = p.second;
       if(acc_pnl.find(acct_id) == acc_pnl.end()){
          AccountPNL new_acc;
          new_acc.set_account_id(acct_id);
+         new_acc.set_account_name(acct_name);
          new_acc.set_day_pnl(0.0);
          acc_pnl[acct_id]=new_acc;
       }

src/server/sparkd/position/PositionServiceServer.cpp

@@ -84,16 +84,12 @@ me(new PImpl(context,
       rxcpp::operators::subscribe<api::orderman::FillsUpdate>(
            [this](auto const& update) {
               for (const auto& f : update.removed())
-                 if(_valid_account_id(*f))
-                    me->publisher.add_or_update(_on_fill(*f,false));
+                 me->publisher.add_or_update(_on_fill(*f,false));
               for (const auto& f : update.added())
-                 if(_valid_account_id(*f))
-                    me->publisher.add_or_update(_on_fill(*f,true));             
+                 me->publisher.add_or_update(_on_fill(*f,true));             
               for (const auto& f : update.changed()) {
-                 if(_valid_account_id(*f.previous()) && _valid_account_id(*f.current())){
-                    me->publisher.add_or_update(_on_fill(*f.previous(),false));
-                    me->publisher.add_or_update(_on_fill(*f.current(),true));
-                 }
+                 me->publisher.add_or_update(_on_fill(*f.previous(),false));
+                 me->publisher.add_or_update(_on_fill(*f.current(),true));
               }
               me->publisher.flush();
               _compute_pnl_and_publish();

src/server/sparkd/position/tests/PositionTests.cpp

@@ -1,11 +1,6 @@
 #include "catch/catch.hpp"
 
-#include "../MarginServiceCore.h"
-#include "../PositionServiceCore.h"
 #include "../Position.h"
-#include "../MarginResult.h"
-#include "../IMarginObserver.h"
-
 #include "lib/orderman/orderman_utils/orderman_common.h"
 
 #include "lib/config/config.h"
@@ -26,14 +21,14 @@ namespace position
 class PositionTests
 {
 public:
-   static bool query_margin_webapi(MarginServiceCore& svc, const std::vector<Position>& pos, MarginResult& res) 
-   {
-      return svc.query_margin_webapi(pos, res);
-   }
-   static void set_verbose_debugging(MarginServiceCore& svc, bool verb) 
-   {
-      return svc.set_verbose_debugging(verb);
-   }
+   // static bool query_margin_webapi(MarginServiceCore& svc, const std::vector<Position>& pos, MarginResult& res) 
+   // {
+   //    return svc.query_margin_webapi(pos, res);
+   // }
+   // static void set_verbose_debugging(MarginServiceCore& svc, bool verb) 
+   // {
+   //    return svc.set_verbose_debugging(verb);
+   // }
    
 };
 

src/server/sparkd/user/AdminServiceServer.cpp

@@ -155,7 +155,7 @@ void AdminServiceServer::get_filtered_admin_data(
             const api::Response<AdminData>& reply)
 {
    bts::api::user::TokenPayload toke;
-   if(bts::api::auth::decode_token(token, &toke))
+   bts::api::auth::decode_token(token, &toke);
    {
       if(toke.wheel())
          reply(_state);

src/web/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources ../../externals/linux/include/google/protobuf/descriptor.proto;../../externals/linux/include/google/protobuf/timestamp.proto;../lib/api/apicore.proto;../lib/api/apigateway.proto;../lib/api/apioptions.proto;../lib/api/services/AdminService.proto;../lib/api/services/AlgoDefinitionService.proto;../lib/api/services/AlgoService.proto;../lib/api/services/ApiUnitTestService.proto;../lib/api/services/AuthService.proto;../lib/api/services/ErrorReportService.proto;../lib/api/services/HelloService.proto;../lib/api/services/MBOService.proto;../lib/api/services/MarketDataAuxiliaryService.proto;../lib/api/services/MarketDataRelay.proto;../lib/api/services/OrderService.proto;../lib/api/services/OutOfProcessURLListener.proto;../lib/api/services/PersistenceService.proto;../lib/api/services/PositionService.proto;../lib/api/services/ShellDiagnosticService.proto;../lib/api/services/ShellLatencyService.proto;../lib/api/services/SyntheticSecurityService.proto;../lib/domain_model/Security.proto;../lib/md/protos/co2.proto;../lib/sparkproto/SparkProtos.proto;api/build.sh;api/node_modules/exit/test/fixtures/create-files.sh;api/node_modules/protobufjs/cli/node_modules/acorn-jsx/node_modules/acorn/bin/update_authors.sh;api/node_modules/watch/release.sh;api/quiet_build.sh;api/src/DynamicService.ts;api/src/ServiceContext.ts;api/src/bts_assert.ts;ui/src/Access.fs;ui/src/Accounts/ClipLimits.fs;ui/src/Accounts/ProductLimits.fs;ui/src/Accounts/SecurityLimits.fs;ui/src/Accounts/State.fs;ui/src/Accounts/Types.fs;ui/src/Accounts/View.fs;ui/src/App.fs;ui/src/Cmd.fs;ui/src/Controls/Button.fs;ui/src/Controls/DataGrid.fs;ui/src/Controls/Fields.fs;ui/src/Controls/Modal.fs;ui/src/Controls/ReactGrid.fs;ui/src/Controls/Table.fs;ui/src/Controls/nbsp.fs;ui/src/Global.fs;ui/src/Imports.fs;ui/src/Lens.fs;ui/src/Login/Login.fs;ui/src/Nav.fs;ui/src/State.fs;ui/src/Types.fs;ui/src/Users/State.fs;ui/src/Users/Types.fs;ui/src/Users/View.fs;ui/src/Util/EnumUtils.fs;ui/src/Util/JSMap.fs;ui/src/obj/Debug/netstandard2.0/ui.AssemblyInfo.fs)
+set(sources ../../externals/linux/include/google/protobuf/descriptor.proto;../../externals/linux/include/google/protobuf/timestamp.proto;../lib/api/apicore.proto;../lib/api/apigateway.proto;../lib/api/apioptions.proto;../lib/api/services/AdminService.proto;../lib/api/services/AlgoDefinitionService.proto;../lib/api/services/AlgoService.proto;../lib/api/services/ApiUnitTestService.proto;../lib/api/services/AuthService.proto;../lib/api/services/ErrorReportService.proto;../lib/api/services/HelloService.proto;../lib/api/services/MBOService.proto;../lib/api/services/MarginService.proto;../lib/api/services/MarketDataAuxiliaryService.proto;../lib/api/services/MarketDataRelay.proto;../lib/api/services/OrderService.proto;../lib/api/services/OutOfProcessURLListener.proto;../lib/api/services/PersistenceService.proto;../lib/api/services/PositionService.proto;../lib/api/services/ShellDiagnosticService.proto;../lib/api/services/ShellLatencyService.proto;../lib/api/services/SyntheticSecurityService.proto;../lib/domain_model/Security.proto;../lib/md/protos/co2.proto;../lib/sparkproto/SparkProtos.proto;api/build.sh;api/node_modules/exit/test/fixtures/create-files.sh;api/node_modules/protobufjs/cli/node_modules/acorn-jsx/node_modules/acorn/bin/update_authors.sh;api/node_modules/psl/scripts/ci-build.sh;api/node_modules/watch/release.sh;api/quiet_build.sh;api/src/DynamicService.ts;api/src/ServiceContext.ts;api/src/bts_assert.ts;ui/src/Access.fs;ui/src/Accounts/ClipLimits.fs;ui/src/Accounts/ProductLimits.fs;ui/src/Accounts/SecurityLimits.fs;ui/src/Accounts/State.fs;ui/src/Accounts/Types.fs;ui/src/Accounts/View.fs;ui/src/App.fs;ui/src/Cmd.fs;ui/src/Controls/Button.fs;ui/src/Controls/DataGrid.fs;ui/src/Controls/Fields.fs;ui/src/Controls/Modal.fs;ui/src/Controls/ReactGrid.fs;ui/src/Controls/Table.fs;ui/src/Controls/nbsp.fs;ui/src/Global.fs;ui/src/Imports.fs;ui/src/Lens.fs;ui/src/Login/Login.fs;ui/src/Nav.fs;ui/src/State.fs;ui/src/Types.fs;ui/src/Users/State.fs;ui/src/Users/Types.fs;ui/src/Users/View.fs;ui/src/Util/EnumUtils.fs;ui/src/Util/JSMap.fs;ui/src/obj/Debug/netstandard2.0/ui.AssemblyInfo.fs)

src/web/ui/src/Access.fs

@@ -1,6 +1,7 @@
 [<AutoOpen>]
 module Access
 open bts.api.admin
+open bts.api.position
 open bts.api
 open Elmish
 open bts.api.orderman
@@ -20,6 +21,12 @@ let getAccountOrdersData (admin:IAdminService) (success) (fail) =
     success
     (fun e -> fail e.Message)
 
+let getMarginData (span:IMarginService) (account_name: string) (success) (fail) =
+  Cmd.ofPromise
+    span.get_excess_liquidity_report
+    { account = account_name }
+    success
+    (fun e -> fail e.Message)
 
 module Lens =
   // type Setter<'a,'b> = {
@@ -106,13 +113,39 @@ module Accounts =
       riskLimitEnforcement =
         { productLimitInNetTerms = true
         }
-      accountLossLimit = 
+      accountLossLimit =
       {
         enforce = false
         totalLossLimit = 0u
       }
     }
 
+  let emptyMargin : ExcessLiquidityReport = {
+      account = "ERROR NO DATA"
+      accountId = 0u
+      marginResult = {
+        account = "ERROR NO DATA"
+        status = bts.api.position.MarginResult.ResultStatus.Error
+        portfolioId = ""
+        settleIndicator = ""
+        settleQualifier = ""
+        asOfTime = ""
+        calculationId = ""
+        optValue = 0.0
+        nonoptValue = 0.0
+        maintMargin = 0.0
+        initialMargin = 0.0
+      }
+      shouldEnforceMargin = false
+      leverageFactor = 0.0
+      cashBalance = 0.0
+      accountPnl = {
+        accountId = 0u
+        accountName = ""
+        dayPnl = 0.0
+      }
+      excessLiquidity = 0.0
+    }
 
 
 

src/web/ui/src/Accounts/State.fs

@@ -2,12 +2,14 @@ module Accounts.State
 
 open Accounts.Types
 open bts.api.admin
+open Global
 open Elmish
 open Fable.PowerPack.PromiseImpl
 open Fable.Import
 open bts.co2
 open Fable
 open Fable.PowerPack
+open bts.api.position
 
 let isNewAccount (account:BTSAccount) =
   account.id = 0u && account.isPresent
@@ -17,8 +19,12 @@ let currentAccountIsDefault (account:BTSAccount) = (account.id = 0u)
 let init (context:ServiceContext.ServiceContext) =
   let admin = AdminService.Create context ""
   let mdr = MarketDataRelay.Create context ""
+  let span = MarginService.Create context ""
   { tab = General
     admin = admin
+    marginService = span
+    marginData = emptyMargin
+    marginScratch = emptyMargin
     adminData = None
     ordersData = []
     SelectedOrders = []
@@ -75,11 +81,21 @@ let applySIMUpdate (data:SIMAccountData) = function
 
 let saveAccount (admin:IAdminService) (account:BTSAccount) (model:Model) = promise {
   let! result = admin.update_account { completeData = account }
-  if result.isSuccess then
+  let! result2 = model.marginService.set_cash_factor  { account = model.scratch.name; leverageFactor = model.marginScratch.leverageFactor }
+  let! result3 = model.marginService.set_cash_balance  { account = model.scratch.name; cashBalance = model.marginScratch.cashBalance }
+  let! result4 = model.marginService.set_should_enforce_margin  { account = model.scratch.name; shouldEnforceMargin = model.marginScratch.shouldEnforceMargin }
+
+  if (result.isSuccess && result2.success && result3.success && result4.success) then
     let! data = admin.get_filtered_admin_data ()
     return UpdateAdminData data
+  elif (not result.isSuccess) then
+    return (ErrorOccured (sprintf "Error saving account: %s" result.errorText))
+  elif (not result2.success) then
+    return ErrorOccured (sprintf "Error saving leverage factor: %s" result2.errorMessage)
+  elif (not result4.success) then
+    return ErrorOccured (sprintf "Error saving Enfrce Margin: %s" result4.errorMessage)
   else
-    return ErrorOccured (sprintf "Error saving account: %s" result.errorText)
+    return ErrorOccured (sprintf "Error saving cash balence: %s" result3.errorMessage)
 }
 
 let createAccount (admin:IAdminService) (account:BTSAccount) (model:Model) = promise {
@@ -194,7 +210,31 @@ let update msg (model:Model) : Model * Cmd<Msg> =
               | _ -> []
     {model with SelectedOrders = so}, Cmd.Empty
   | SelectAccount account ->
-    { (clearSelection model) with previousScratch = model.scratch; scratch = account }, Cmd.Empty
+    { (clearSelection model) with previousScratch = model.scratch; scratch = account; marginScratch = emptyMargin }, Cmd.ofMsg <| GetMarginData
+  | GetMarginData ->
+    { model with ShowLoading = false}, (getMarginData model.marginService model.scratch.name UpdateMarginData (box>>ErrorOccured))
+  | UpdateMarginData newData ->
+    let cmd = Cmd.ofPromise (fun _ -> promise { do! Promise.sleep 10000 } ) () (fun _ -> GetMarginData) (fun _ -> GetMarginData)
+    match (model.marginScratch = emptyMargin || model.marginScratch.account <> model.scratch.name),
+          (compareDouble model.marginData.leverageFactor model.marginScratch.leverageFactor 10000u),
+          (compareDouble model.marginData.cashBalance model.marginScratch.cashBalance 10000u),
+          (model.marginData.shouldEnforceMargin = model.marginScratch.shouldEnforceMargin) with
+    | true, _, _, _ -> {model with marginData = newData; marginScratch = newData}, cmd
+    | false, true, true, true -> {model with marginData = newData; marginScratch = newData}, cmd
+    | false, false, true, true -> {model with marginData = newData; marginScratch = {model.marginScratch with cashBalance = newData.cashBalance; shouldEnforceMargin = newData.shouldEnforceMargin}}, cmd
+    | false, true, false, true -> {model with marginData = newData; marginScratch = {model.marginScratch with leverageFactor = newData.leverageFactor; shouldEnforceMargin = newData.shouldEnforceMargin}}, cmd
+    | false, false, false, true -> {model with marginData = newData; marginScratch = { model.marginScratch with shouldEnforceMargin = newData.shouldEnforceMargin}}, cmd
+    | false, true, true, false -> {model with marginData = newData; marginScratch = {model.marginScratch with cashBalance = newData.cashBalance; leverageFactor = newData.leverageFactor}}, cmd
+    | false, false, true, false -> {model with marginData = newData; marginScratch = {model.marginScratch with cashBalance = newData.cashBalance}}, cmd
+    | false, true, false, false -> {model with marginData = newData; marginScratch = {model.marginScratch with leverageFactor = newData.leverageFactor}}, cmd
+    | false, false, false, false -> {model with marginData = newData}, cmd
+
+  | SetMarginCashBalance newBalance ->
+    { model with marginScratch = { model.marginScratch with cashBalance = newBalance}},Cmd.Empty
+  | SetMarginCashFactor newFactor ->
+    { model with marginScratch = { model.marginScratch with leverageFactor = newFactor}},Cmd.Empty
+  | SetEnforceMargin enf ->
+    { model with marginScratch = { model.marginScratch with shouldEnforceMargin = enf}},Cmd.Empty
   | DeleteAccount account ->
     let mdl = { model with OptionsMenuOpen = ""}
     match Fable.Import.Browser.window.confirm (sprintf "Are you sure you want to delete '%s'" account.name) with
@@ -208,7 +248,7 @@ let update msg (model:Model) : Model * Cmd<Msg> =
   | SaveScratch ->
     match isNewAccount model.scratch with
     | true -> model, Cmd.ofExistingPromise (createAccount model.admin model.scratch model ) id (box>>ErrorOccured)
-    | false -> model, Cmd.ofExistingPromise (saveAccount model.admin model.scratch model ) id (box>>ErrorOccured)
+    | false -> { model with marginScratch = model.marginData }, Cmd.ofExistingPromise (saveAccount model.admin model.scratch model ) id (box>>ErrorOccured)
   | ErrorOccured msg ->
     Global.alert Global.Error (string msg)
     Browser.console.log msg
@@ -217,6 +257,8 @@ let update msg (model:Model) : Model * Cmd<Msg> =
     match tab with
     | OrdersTab ->
       { (clearSelection model) with tab = tab }, Cmd.ofMsg GetOrdersData
+    | MarginTab ->
+      { (clearSelection model) with tab = tab }, Cmd.ofMsg GetMarginData
     | _ ->
       { (clearSelection model) with tab = tab }, Cmd.Empty
   | Update field ->
@@ -227,8 +269,8 @@ let update msg (model:Model) : Model * Cmd<Msg> =
     { model with scratch = { model.scratch with securityClipLimits = { limit = limits } }; SelectedClipLimits = selectedlimits }, Cmd.Empty
   | AddClipLimit limit ->
     let limits = match (Array.exists (fun (elm:AccountSecurityClipLimitUnit) -> elm.security.securitySymbol = "") model.scratch.securityClipLimits.limit) with
-                 | true -> model.scratch.securityClipLimits.limit
-                 | false -> Array.concat [ model.scratch.securityClipLimits.limit; [| limit |] ]
+                  | true -> model.scratch.securityClipLimits.limit
+                  | false -> Array.concat [ model.scratch.securityClipLimits.limit; [| limit |] ]
 
     { model with scratch = { model.scratch with securityClipLimits = { limit = limits } }}, Cmd.Empty
   | ChangeMultipleClipLimits (value, selectedLimits) ->
@@ -326,7 +368,7 @@ let update msg (model:Model) : Model * Cmd<Msg> =
   | RequestExpirationNames ->
       model, Cmd.ofExistingPromise (requestExpNames model.mdRelay) id (box>>ErrorOccured)
   | UpdateExpirationNames (data:ExpirationNameList[]) ->
-      { model with mdRelayExpNameData = data }, Cmd.Empty
+      { model with mdRelayExpNameData = data }, Cmd.ofMsg GetMarginData
   | OpenOptionsMenu acc ->
     {model with OptionsMenuOpen = acc}, Cmd.Empty
   | OpenConfirmModal (title, okMessage) ->

src/web/ui/src/Accounts/Types.fs

@@ -5,6 +5,7 @@ open bts.api
 open bts.api.orderman
 open JSMap
 open bts.co2
+open bts.api.position
 
 type Tab =
   | General
@@ -13,6 +14,7 @@ type Tab =
   | ExchangeSettingsTab
   | ConnectionsTab
   | OrdersTab
+  | MarginTab
 
 let venues = [| Venue.GLBX; Venue.SIM |]
 
@@ -50,10 +52,20 @@ type Msg =
   | UpdateOrdersData of OrdersSummary
   | SelectOrder of bool * OrdersSummaryUnit list
   | CancelOrders of OrdersSummaryUnit list
+  // Margin / Span
+  | GetMarginData
+  | UpdateMarginData of ExcessLiquidityReport
+  | SetMarginCashBalance of double
+  | SetMarginCashFactor of double
+  | SetEnforceMargin of bool
+
   | SelectAccount of BTSAccount
   | DeleteAccount of BTSAccount
   | AddAccount
+  | SaveLeverageFactor
+  | SaveCashBalance
   | SaveScratch
+
   | ErrorOccured of obj
   // Tabs
   | SelectTab of Tab
@@ -94,6 +106,9 @@ type Msg =
 type Model = {
   tab : Tab
   admin : IAdminService
+  marginService: IMarginService
+  marginData: ExcessLiquidityReport
+  marginScratch: ExcessLiquidityReport
   adminData : AdminData option
   ordersData : OrdersSummaryUnit list
   SelectedOrders: OrdersSummaryUnit list

src/web/ui/src/Accounts/View.fs

@@ -11,10 +11,17 @@ open Fable
 open System
 open bts.co2
 open Elmish.React.Common
-
+open Fable.Core.JsInterop
+open Fable.Core
 
 let accountIsSelected (initialState:BTSAccount) (scratch:BTSAccount) = scratch <> initialState
 
+[<Emit("$0.toLocaleString('en-US')")>]
+let withCommas (n:float) : string = jsNative
+
+[<Emit("$0.toLocaleString('en-US', {maximumFractionDigits: 2})")>]
+let withCommasAndTwoDigits (n:float) : string = jsNative
+
 let selectedAccount model =
   match model.adminData with
   | Some data ->
@@ -23,9 +30,13 @@ let selectedAccount model =
   | None -> None
 
 let isDirty model =
+  let marginDirty = model.marginData.cashBalance <> model.marginScratch.cashBalance ||
+                    model.marginData.leverageFactor <> model.marginScratch.leverageFactor ||
+                    model.marginData.shouldEnforceMargin <> model.marginScratch.shouldEnforceMargin
   match selectedAccount model with
   | Some account ->
-      account <> model.scratch
+      account <> model.scratch ||
+      marginDirty
   | None -> false
 
 let saveButton model dispatch =
@@ -80,6 +91,56 @@ let generalView model dispatch =
       accountControls model dispatch
   ]
 
+let marginView model dispatch =
+  let disabled = not model.marginScratch.shouldEnforceMargin
+
+  let headerRow:TableControl.row =
+    {
+      cells =
+        [
+          TableControl.Cell (div [Style [MinWidth "3em"]][str "Time"])
+          TableControl.Cell (str "Account")
+          TableControl.Cell (str "Leverage Factor")
+          TableControl.Cell (str "Cash Balance")
+          TableControl.Cell (str "Non Opt Value")
+          TableControl.Cell (str "Opt Value")
+          TableControl.Cell (str "Initial Margin")
+          TableControl.Cell (str "Maint. Margin")
+          TableControl.Cell (str "Day PnL")
+          TableControl.Cell (str "Excess Liquidity")
+        ]
+      className = ""
+      header = None
+    }
+
+  let rws:TableControl.row =
+    {
+      cells =
+        [
+          TableControl.Cell (str model.marginData.marginResult.asOfTime.[0..9])
+          TableControl.Cell (str model.marginData.account)
+          TableControl.Cell (Fields.disabledSpan (withCommas model.marginData.leverageFactor) disabled)
+          TableControl.Cell (Fields.disabledSpan (withCommas model.marginData.cashBalance) disabled)
+          TableControl.Cell (str (withCommasAndTwoDigits model.marginData.marginResult.nonoptValue))
+          TableControl.Cell (str (withCommasAndTwoDigits model.marginData.marginResult.optValue))
+          TableControl.Cell (str  (withCommasAndTwoDigits model.marginData.marginResult.initialMargin))
+          TableControl.Cell (str (withCommasAndTwoDigits model.marginData.marginResult.maintMargin))
+          TableControl.Cell (str (withCommasAndTwoDigits model.marginData.accountPnl.dayPnl))
+          TableControl.Cell (str (withCommasAndTwoDigits model.marginData.excessLiquidity))
+        ]
+      className = ""
+      header = None
+    }
+
+  div [][
+    TableControl.createDataTable (Some headerRow) [rws] (span [][])
+    Fields.checkbox "Enforce Margin Limit" "" (model.marginScratch.shouldEnforceMargin) [] (SetEnforceMargin >> dispatch)
+    Fields.double "Leverage Factor:" (model.marginScratch.leverageFactor) [Disabled disabled] (double >> SetMarginCashFactor >> dispatch)
+    Fields.number "Cash Balance:" (int model.marginScratch.cashBalance) [Disabled disabled] (double >> SetMarginCashBalance >> dispatch)
+    accountControls model dispatch
+  ]
+
+
 let GetSymbolArray (model:Model) =
     Array.map<bts.api.Product, string> (fun a -> a.symbol ) model.mdRelayProductData
   |> Array.distinct
@@ -681,9 +742,10 @@ let securityLimitsView model dispatch =
 
 let LimitsView model dispatch =
   div [ Class "limits-container"] [
+    lossLimitView model dispatch
+    br []
     lazyClipLimitsView model dispatch
     lazyProductLimitsView model dispatch
-    lossLimitView model dispatch
     //securityLimitsView model dispatch
 
     accountControls model dispatch
@@ -784,7 +846,8 @@ let tabContent model dispatch =
     | ConnectionsTab, _ -> ConnectionsView model dispatch
     | CreditLimitsTab, _ -> creditLimitsView model dispatch
     | ExchangeSettingsTab, _ -> exchangeSettings model dispatch
-    | OrdersTab, _ -> ordersView model dispatch)
+    | OrdersTab, _ -> ordersView model dispatch
+    | marginTab, _ -> marginView model dispatch)
   ]
 
 let isActive account = function
@@ -918,6 +981,7 @@ let tabName = function
   | ConnectionsTab -> "Connections"
   | ExchangeSettingsTab -> "Exchange Settings"
   | OrdersTab -> "Orders"
+  | MarginTab -> "Margin"
   | other -> string other
 
 let tabHeader tab currentTab dispatch =
@@ -952,6 +1016,7 @@ let root (model:Model) dispatch =
                     // tabHeader CreditLimits model.tab dispatch
                     (if (Array.length data.accounts > 0) then (tabHeader ExchangeSettingsTab model.tab dispatch) else span [][] )
                     (if (Array.length data.accounts > 0) then (tabHeader OrdersTab model.tab dispatch) else span [][] )
+                    (if (Array.length data.accounts > 0) then (tabHeader MarginTab model.tab dispatch) else span [][] )
                   ]
                 ]
                 tabContent model dispatch

src/web/ui/src/Controls/Fields.fs

@@ -16,6 +16,11 @@ let Label (lbl:string) =
         label [ ClassName "label" ]
           [ str lbl ]
 
+let disabledSpan (text:string) (disabled: bool) =
+  match disabled with
+  | true -> span [Class "disabled-label"] [str text]
+  | false -> span [] [str text]
+
 
 let text (lbl:string) (dv:string) (attrs:IHTMLProp list) onchange =
   div [ ClassName "field" ]
@@ -150,6 +155,9 @@ let password (lbl:string) (dv:string) (attrs:IHTMLProp list) onchange =
 let number (lbl:string) (dv:int) (attrs:IHTMLProp list) onchange =
   text lbl (string dv) attrs (int>>onchange)
 
+let double (lbl:string) (dv:double) (attrs:IHTMLProp list) onchange =
+  text lbl (string dv) attrs (double>>onchange)
+
 let enumSelect<'a> (lbl:string) (dv:'a) (values:'a[]) (attrs:IHTMLProp list) (onchange:'a->unit) =
   let vals = match (Array.tryFindIndex (fun elm -> unbox elm = unbox dv) values) with
               | None -> Array.concat [[| dv |]; values]

src/web/ui/src/Global.fs

@@ -11,6 +11,8 @@ type AlertLevel =
 [<Emit("alert($1)")>]
 let alert (_:AlertLevel) (_:string) = Fable.Core.Exceptions.jsNative
 
+let compareDouble (d1:double) (d2:double) (precision: uint32) = (int (d1 * (double precision))) = (int (d2 * (double precision)))
+
 
 module Reflection =
   open Fable.Core.JsInterop
@@ -21,7 +23,7 @@ module Reflection =
   [<Emit("Object.values($0)")>]
   let values<'a> x : 'a[]  = jsNative
 
-  let iterate<'a> x : (string*'a)[] = 
+  let iterate<'a> x : (string*'a)[] =
     Array.zip (keys x) (values x)
 
   let spread<'a> (a:'a) (b:obj) : 'a  = Imports.DynamicService.merge (a,b)

src/web/ui/src/Users/Types.fs

@@ -70,4 +70,5 @@ let CMEMicMap:Map<string, bts.api.CMEMics> = Map.empty
                                                   .Add("XCME", bts.api.CMEMics.CME)
                                                   .Add("XNYM", bts.api.CMEMics.NYMEX)
                                                   .Add("XCBT", bts.api.CMEMics.CBT)
-                                                  .Add("XCEC", bts.api.CMEMics.COMEX)
+                                                  .Add("XCEC", bts.api.CMEMics.COMEX)
+                                                  .Add("DME", bts.api.CMEMics.DME)

src/web/ui/src/ui.fsproj

@@ -28,6 +28,8 @@
     <Compile Include="$(API)/fable/HelloService.fable.fs" />
     <Compile Include="$(API)/fable/OrderService.fable.fs" />
     <Compile Include="$(API)/fable/AdminService.fable.fs" />
+    <Compile Include="$(API)/fable/PositionService.fable.fs" />
+    <Compile Include="$(API)/fable/MarginService.fable.fs" />
     <Compile Include="$(API)/fable/co2.fable.fs" />
     <Compile Include="$(API)/fable/MarketDataRelay.fable.fs" />
     <!-- Global to the app -->

testing/manual/keycodes/keycode.txt

@@ -15,7 +15,7 @@ This will test our ability to generate and enforce keycodes.
 
 You should see keycode details printed to screen
 
-4) Now test concurrent logins.  Start a sparkd.
+4) Now test concurrent logins.  Start a sparkd.  Make sure bts_2 and bts_3 have market data permission
 	a) Start a spark -multiple login as bts and go to where you would see some market data
 	b) Start another spark -multiple but log in as bts_2 and display some data
 	c) Start a third spark -multiple, log in as bts_2 and display some data.  
@@ -37,5 +37,19 @@ You should see keycode details printed to screen
 	d) remove the expired keycode you just generated by:
 	rm ~/sparkdata/conf/keycode.conf
 	e) restart sparkd, you should see data as normal in bts_2
+	
+6) Test admin vs trading logins
+Note that an admin login is one that does not have trading permission in any account
+AND does not have the ability to see any market data
+
+	a) start sparkd again.  make sure bts_2 and bts_3 have market data and trading permissions in webui
+	b) Start a spark -multiple login as bts_2 and go to where you would see some market data.  You should see data
+	c) Start a webui and log in as bts_3, you should see data
+	d) close your shell and log out of web ui, now log in bts_3 into the webui and log in bts_2 in a shell (
+	this is the reverse of the previous order), you should see a message in the shell about keycodes, but it will let you log in, just not see market data
+	e) from the webui, de-permission bts_3 from trading AND market data, 
+	f) exit shell, log out of webui and kill sparkd, restart sparkd
+	
+	g)now try d again-- you should not get the same shell error
 
 

testing/manual/span/span.txt

@@ -0,0 +1,29 @@
+Test Author: Kevin
+If it breaks: Kevin 
+
+This will test our ability to compute and enforce span margin at CME
+
+1) Make sure span.conf looks like:
+
+SpanMargin {
+   value {
+      enabled: true
+      login: 'api_bts1'
+      password: 'Summer123'
+      url: 'https://cmecorenr.cmegroup.com/MarginServiceApi/1.4/'
+   }
+}
+
+2) Fire up a shell and trade 1 ES into ACC A
+
+3) Open a webui, look at Margin Tab in ACC A
+
+You should see a value of around 6300 in maintenance margin after a minute or two
+
+4) If not already zero, set your cash balance to zero.
+
+5) Try to trade an ES in ACC A, you should be blocked by a limit breach
+
+6) Increase your cash balance to 10,000 and set leverage factor to 1.0
+
+7) Try to trade again, you should be able to.