Merged in SP-208 (pull request #330)

SP-208 - no nullref when clearing empty discrete filter

Approved-by: Kevin Darby <kevin.darby@bluetradesys.com>

.vscode/launch.json

@@ -135,13 +135,13 @@
             "name": "Spreader Tests",
             "type": "cppdbg",
             "request": "launch",
-            "program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
+            "program": "/home/bts/spark/build/ninja_debug/server/sparkd",
             "args": [
                 "test",
                 "[spreader]"
             ],
             "stopAtEntry": false,
-            "cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
+            "cwd": "/home/bts/spark/build/ninja_debug/server/",
             "environment": [],
             "externalConsole": true,
             "MIMode": "gdb",

doc/user/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources /home/ppinto/Dropbox/bts/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Algos/_index.md;content/bts_spark/Glossary/index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Help/index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Launcher/index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Logging-In-to-the-System/index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/index.md;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/My-Windows/index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Settings/index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Spreader/index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/index.md;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)
+set(sources /home/ppinto/Dropbox/bts/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)

doc/user/content/release_notes/_index.md

@@ -4,6 +4,17 @@ weight = 3
 sort_by = "weight"
 insert_anchor_links = "right"
 +++
+## 2.8.3
+### Bug Fixes
+  - Fixed a bug that could cause an OrderBook's Security column filter to be blank
+  - Fixed a bug that could cause a UI failure when clearing a filter selection on a filtering widget
+## 2.8.2
+### Bug Fixes
+  - Added proper display factors for SOM spreads
+  - Fixed a bug that could cause a UI failure when trying to change settings in a synthetic ladder
+## 2.8.1
+### Bug fixes
+  - Fixed an error in the UI grids filtering widget
 ## 2.8.0
 ### User Visible Changes
   - Added ProRata and Scratch algos
@@ -14,6 +25,9 @@ insert_anchor_links = "right"
   - Fixed a bug that cause cause a failure on startup if the user
     loaded a workspace with a Ladder that had a dynamic order type
     selected by default
+  - Increased width of login panel to better show login error messages
+  - Added optional 'Maker/Taker' pricing to Spreader algo
+  - Algo buttons in ladder can now be made to deactivate after launching an algo or remain 'sticky'
 ### Internal changes
   - Made it easier to generate simple UI's for new order types
 ### API Changes
@@ -362,7 +376,8 @@ 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

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

@@ -26,7 +26,6 @@ namespace mbts.spark {
          readonly ObservableFilterCollection<OrderRecordImmutable> _working_orders, _working_bids, _working_asks;
          readonly string _security_text, _security_key_text;
          readonly Property<double> _bid_price, _ask_price, _last_price, _day_change, _settlement, _session_high, _session_low;
-         readonly Property<bool> _last_price_from_spread;
          readonly CellProperty<int> _position;
          readonly CellProperty<uint> _last_size;
          readonly CellProperty<ulong> _volume;
@@ -54,7 +53,6 @@ namespace mbts.spark {
             _day_change = backing(nameof(day_change), double.NaN);
             _session_low = backing(nameof(session_low), double.NaN);
             _session_high = backing(nameof(session_high), double.NaN);
-            _last_price_from_spread = backing(nameof(last_price_from_spread), false);
             _settlement = backing(nameof(settlement), double.NaN);
             _volume = new CellProperty<ulong>(this, nameof(volume), 0);
             _inside_bids = new CellProperty<bool>(this, nameof(inside_bids));
@@ -105,7 +103,6 @@ namespace mbts.spark {
          public bool inside_asks => _inside_asks.value;
          public int position => _position.value;
          public double last_price => _last_price.Value;
-         public bool last_price_from_spread => _last_price_from_spread.Value;
          public uint last_size => _last_size.value;
          public double bid_price => _bid_price.Value;
          public uint bid_direct_size => _bid_direct_size.Value;
@@ -164,17 +161,15 @@ namespace mbts.spark {
                _inside_bids.on_next_distinct(_bid_price.Value >= _working_best_bid.value, ref dirty);
                _inside_asks.on_next_distinct(_ask_price.Value <= _working_best_ask.value, ref dirty);
             }
-            if (md.md.get_last_trade(ref _last_ref, out NativePriceSize ps, out DateTime ts, out ulong v, out bool from_spread)) {               
+            if (md.md.get_last_trade(ref _last_ref, out NativePriceSize ps, out DateTime ts, out ulong v)) {
                _last_price.set(ps.price);
-               _last_price_from_spread.set(from_spread);
                _last_size.on_next_distinct(ps.size, ref dirty);
                _volume.on_next_distinct(v, ref dirty);
             }
-            dirty |= _settlement.set_new(md.md.settlement_price);
-            dirty |= _session_low.set_new(md.md.session_low);
-            dirty |= _session_high.set_new(md.md.session_high);
-            dirty |= _day_change.set_new(last_price - settlement);
-            _volume.on_next_distinct(md.md.total_volume, ref dirty);
+            _settlement.set(md.md.settlement_price);
+            _session_low.set(md.md.session_low);
+            _session_high.set(md.md.session_high);
+            _day_change.set(last_price - settlement);
             if (dirty)
                invalidated?.Invoke();
 

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

@@ -39,8 +39,7 @@ namespace mbts.spark {
          IMultiValueConverter price_converter = new ui.spark.converters.TickDisplayConverter();
          add_col(Columns.Security, "Security", r => r.security.ToString(), nameof(Row.security), DefaultColumnWidths.Security, security_filter, DataGridFilterKnownTemplates.Regex);
          add_col(Columns.Volume, "Volume", r => r.volume.ToString(), nameof(Row.volume), DefaultColumnWidths.Volume, volume_filter, DataGridFilterKnownTemplates.ULongMinMax);
-         add_col(Columns.LastSpd, "Spd", r => r.last_price_from_spread ? "S" : "", nameof(Row.last_price_from_spread), DefaultColumnWidths.Side, last_price_from_spread_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.Last, "Last", r => r.format_price(r.last_price), nameof(Row.last_price), DefaultColumnWidths.Price, last_price_filter, DataGridFilterKnownTemplates.DoubleMinMax);         
+         add_col(Columns.Last, "Last", r => r.format_price(r.last_price), nameof(Row.last_price), DefaultColumnWidths.Price, last_price_filter, DataGridFilterKnownTemplates.DoubleMinMax);
          add_col(Columns.LastSize, merged_size_col_header, r => r.last_size.ToString(), nameof(Row.last_size), DefaultColumnWidths.Size, last_size_filter, DataGridFilterKnownTemplates.UIntMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_col(Columns.Position, "Pos", r => r.position.ToString(), nameof(Row.position), DefaultColumnWidths.Size, position_filter, DataGridFilterKnownTemplates.IntMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_working_orders_col(Columns.WorkingBids, working_col_header, nameof(Row.working_bids_text), nameof(Row.working_best_bid), nameof(Row.working_bids_click), working_bid_volume_filter, BTSColors.MarketData.bid, System.Windows.HorizontalAlignment.Right);
@@ -146,7 +145,6 @@ namespace mbts.spark {
                      ask_direct_size_filter.load_state(filters.ask_direct_size);
                      ask_implied_size_filter.load_state(filters.ask_implied_size);
                      last_price_filter.load_state(filters.last_price);
-                     last_price_from_spread_filter.load_state(filters.last_price_from_spread);
                      last_size_filter.load_state(filters.last_size);
                      day_change_filter.load_state(filters.day_change);
                      settlement_filter.load_state(filters.settlement);
@@ -163,7 +161,7 @@ namespace mbts.spark {
             }), DataGridFilterHelper.hook_filters(rows_view, security_filter,
             bid_price_filter, bid_merged_size_filter, bid_direct_size_filter, bid_implied_size_filter,
             ask_price_filter, ask_merged_size_filter, ask_direct_size_filter, ask_implied_size_filter,
-            last_price_filter, last_price_from_spread_filter, last_size_filter, day_change_filter, settlement_filter,
+            last_price_filter, last_size_filter, day_change_filter, settlement_filter,
             session_low_filter, session_high_filter, position_filter, working_bid_volume_filter, working_ask_volume_filter, volume_filter, security_key_filter),
             settings_manager.subscribe_current().OnDispatcher().Subscribe(grid_settings_manager),
             WorkLoop.Start("MarketView", _refresh)
@@ -226,7 +224,6 @@ namespace mbts.spark {
       public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_direct_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_direct_size, nameof(Row.ask_direct_size));
       public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_implied_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_implied_size, nameof(Row.ask_implied_size));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> last_price_filter { get; } = new DoubleMinMax<Row>(r => r.last_price, nameof(Row.last_price));
-      public IDataGridColumnPersistentFilter<Row, string> last_price_from_spread_filter { get; } = new RegexFilterVM<Row>(r => r.last_price_from_spread.ToString(), nameof(Row.last_price_from_spread));
       public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> last_size_filter { get; } = new UIntMinMax<Row>(r => r.last_size, nameof(Row.last_size));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> day_change_filter { get; } = new DoubleMinMax<Row>(r => r.day_change, nameof(Row.day_change));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> settlement_filter { get; } = new DoubleMinMax<Row>(r => r.settlement, nameof(Row.settlement));
@@ -258,7 +255,6 @@ namespace mbts.spark {
             ask_direct_size = ask_direct_size_filter.get_state(),
             ask_implied_size = ask_implied_size_filter.get_state(),
             last_price = last_price_filter.get_state(),
-            last_price_from_spread = last_price_from_spread_filter.get_state(),
             last_size = last_size_filter.get_state(),
             day_change = day_change_filter.get_state(),
             settlement = settlement_filter.get_state(),

src/client/spark/Modules/Market/MarketView/MarketViewView.xaml.cs

@@ -8,7 +8,7 @@ namespace mbts.ui.spark {
    /// Interaction logic for MarketSheetsView.xaml
    /// </summary>
    partial class MarketViewView : UserControl {
-      public enum Columns { Security, Volume, Last, LastSpd, LastSize, Position, WorkingBids, Bid, BidMergedSize, BidDirectSize, BidImpliedSize, Ask, AskMergedSize, AskDirectSize, AskImpliedSize, WorkingAsks, Settlement, DayChange, SessionLow, SessionHigh, SecurityKey,
+      public enum Columns { Security, Volume, Last, LastSize, Position, WorkingBids, Bid, BidMergedSize, BidDirectSize, BidImpliedSize, Ask, AskMergedSize, AskDirectSize, AskImpliedSize, WorkingAsks, Settlement, DayChange, SessionLow, SessionHigh, SecurityKey,
          MarketDescription, ClearedAlias, ProductDescription, HubAlias, StripName, MicCode
       }
 

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

@@ -80,7 +80,6 @@ namespace bts.shell {
             public static GridColumnSettings security => new GridColumnSettings(col_id(Columns.Security), DefaultColumnHeaders.Security, width: DefaultColumnWidths.Security);
             public static GridColumnSettings volume => new GridColumnSettings(col_id(Columns.Volume), DefaultColumnHeaders.Volume, width: DefaultColumnWidths.Volume);
             public static GridColumnSettings last => new GridColumnSettings(col_id(Columns.Last), DefaultColumnHeaders.Last, width: DefaultColumnWidths.Price);
-            public static GridColumnSettings last_from_spread => new GridColumnSettings(col_id(Columns.LastSpd), DefaultColumnHeaders.S, width: DefaultColumnWidths.Price, is_visible: false);
             public static GridColumnSettings last_size => new GridColumnSettings(col_id(Columns.LastSize), DefaultColumnHeaders.Size, width: DefaultColumnWidths.Size, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
             public static GridColumnSettings position => new GridColumnSettings(col_id(Columns.Position), DefaultColumnHeaders.Pos, width: DefaultColumnWidths.Size, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
             public static GridColumnSettings working_bids => new GridColumnSettings(col_id(Columns.WorkingBids), DefaultColumnHeaders.Working, font_color_override: BTSColors.MarketData.bid, width: DefaultColumnWidths.Working, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
@@ -118,7 +117,6 @@ namespace bts.shell {
                   yield return security;
                   yield return volume;
                   yield return last;
-                  yield return last_from_spread;
                   yield return last_size;
                   yield return position;
                   yield return working_bids;
@@ -202,8 +200,6 @@ namespace bts.shell {
          [ProtoMember(25)]
          public string strip_name;
          [ProtoMember(26)]
-         public string last_price_from_spread;
-         [ProtoMember(27)]         
          public string mic_code;
       }
    }

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

@@ -374,6 +374,72 @@
       Height="{TemplateBinding Height}"
       Padding="{TemplateBinding Padding}"
     >
+      <Border.Resources>
+        <!--Leg Count States-->
+        <sys:String x:Key="LegCountStates">LegCountStates</sys:String>
+        <sys:String x:Key="LegCountStates.TwoOrFewer">TwoOrFewerLegsState</sys:String>
+        <sys:String x:Key="LegCountStates.ThreeOrMore">ThreeOrMoreLegsState</sys:String>
+        <cv:ValueConverterPipe x:Key="LegCountStateConverter">
+          <cv:IntGreaterThanConverter Value="2"/>
+          <cv:BooleanToObjectConverter ValueForFalse="{StaticResource LegCountStates.TwoOrFewer}" ValueForTrue="{StaticResource LegCountStates.ThreeOrMore}"/>
+        </cv:ValueConverterPipe>
+        <!--Persistance States-->
+        <sys:String x:Key="PersistanceStates">PersistanceStates</sys:String>
+        <sys:String x:Key="PersistanceStates.Unpersisted">UnpersistedState</sys:String>
+        <sys:String x:Key="PersistanceStates.Persisted">PersistedState</sys:String>
+        <cv:BooleanToObjectConverter x:Key="PersistanceStateConverter" ValueForFalse="{StaticResource PersistanceStates.Persisted}" ValueForTrue="{StaticResource PersistanceStates.Unpersisted}"/>
+      </Border.Resources>
+      <u:StateManager.Groups>
+        <u:StateGroupsManager AttachToMembers="True">
+          <u:StateDefinitionCollection>
+            <u:StateDefinition State="{Binding Group.Target.TemplatedParent.LegTuples.Count, RelativeSource={RelativeSource Self}, Converter={StaticResource LegCountStateConverter}}"/>
+            <u:StateDefinition State="{Binding Group.Target.TemplatedParent.IsNew, RelativeSource={RelativeSource Self}, Converter={StaticResource PersistanceStateConverter}}"/>
+          </u:StateDefinitionCollection>
+        </u:StateGroupsManager>
+      </u:StateManager.Groups>
+      <VisualStateManager.VisualStateGroups>
+        <VisualStateGroup Name="{StaticResource LegCountStates}">
+          <VisualState Name="{StaticResource LegCountStates.TwoOrFewer}"/>
+          <VisualState Name="{StaticResource LegCountStates.ThreeOrMore}">
+            <Storyboard>
+              <ObjectAnimationUsingKeyFrames Storyboard.TargetName="PART_HedgePricing_Label" Storyboard.TargetProperty="(UIElement.Visibility)">
+                <DiscreteObjectKeyFrame KeyTime="0" Value="{x:Static Visibility.Visible}"/>
+              </ObjectAnimationUsingKeyFrames>
+              <ObjectAnimationUsingKeyFrames Storyboard.TargetName="PART_HedgePricing_DropDown" Storyboard.TargetProperty="(UIElement.Visibility)">
+                <DiscreteObjectKeyFrame KeyTime="0" Value="{x:Static Visibility.Visible}"/>
+              </ObjectAnimationUsingKeyFrames>
+            </Storyboard>
+          </VisualState>
+        </VisualStateGroup>
+        <VisualStateGroup Name="{StaticResource PersistanceStates}">
+          <VisualState Name="{StaticResource PersistanceStates.Unpersisted}"/>
+          <VisualState Name="{StaticResource PersistanceStates.Persisted}">
+            <Storyboard>
+              <!--Name-->
+              <BooleanAnimationUsingKeyFrames Storyboard.TargetName="PART_Name_Label" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+              </BooleanAnimationUsingKeyFrames>
+              <BooleanAnimationUsingKeyFrames Storyboard.TargetName="PART_Name_TextBox" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+              </BooleanAnimationUsingKeyFrames>
+              <!--Tick Factors-->
+              <BooleanAnimationUsingKeyFrames Storyboard.TargetName="PART_TickFactors_Label" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+              </BooleanAnimationUsingKeyFrames>
+              <BooleanAnimationUsingKeyFrames Storyboard.TargetName="PART_TickFactors_Picker" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+              </BooleanAnimationUsingKeyFrames>
+              <!--Pricing-->
+              <BooleanAnimationUsingKeyFrames Storyboard.TargetName="PART_Pricing_Label" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+              </BooleanAnimationUsingKeyFrames>
+              <BooleanAnimationUsingKeyFrames Storyboard.TargetName="PART_Pricing_DropDown" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+              </BooleanAnimationUsingKeyFrames>
+            </Storyboard>
+          </VisualState>
+        </VisualStateGroup>
+      </VisualStateManager.VisualStateGroups>
       <Grid>
         <Grid.RowDefinitions>
           <RowDefinition Height="Auto"/>
@@ -388,8 +454,9 @@
             <ColumnDefinition Width="Auto"/>
             <ColumnDefinition Width="Auto"/>
             <ColumnDefinition Width="Auto"/>
+            <ColumnDefinition Width="Auto"/>
           </Grid.ColumnDefinitions>
-          <TextBlock VerticalAlignment="Center" IsEnabled="{TemplateBinding IsNew}">Name</TextBlock>
+          <TextBlock x:Name="PART_Name_Label" VerticalAlignment="Center" IsEnabled="{TemplateBinding IsNew}">Name</TextBlock>
           <TextBox
             x:Name="PART_Name_TextBox"
             Grid.Column="1"
@@ -408,20 +475,37 @@
             </u:Behavior.BindingUpdateGroups>
           </TextBox>
           <TextBlock
-            Grid.Column="2" VerticalAlignment="Center" Margin="{StaticResource Margin.LHeaderPanelItem}" Text="Ticks" IsEnabled="{TemplateBinding IsNew}"
+            x:Name="PART_TickFactors_Label"
+            Grid.Column="2"
+            VerticalAlignment="Center"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
+            Text="Ticks"
+            IsEnabled="True"
             Visibility="{Binding LegTuples.Count, RelativeSource={RelativeSource TemplatedParent}, Converter={StaticResource IntNotZeroVisibilityConverter}}"
           />
           <c:TickFactorsPicker
-            x:Name="PART_TickFactorsPicker" Grid.Column="3" Margin="{StaticResource Margin.LHeaderPanelItem}" IsEnabled="{TemplateBinding IsNew}" HorizontalAlignment="Stretch"
+            x:Name="PART_TickFactors_Picker"
+            Grid.Column="3"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
+            HorizontalAlignment="Stretch"
+            IsEnabled="True"
             SelectedTickFactors="{Binding TickFactors, RelativeSource={RelativeSource TemplatedParent}, Mode=TwoWay}"
             Visibility="{Binding LegTuples.Count, RelativeSource={RelativeSource TemplatedParent}, Converter={StaticResource IntNotZeroVisibilityConverter}}"
           />
-          <TextBlock Grid.Column="4" VerticalAlignment="Center" Margin="{StaticResource Margin.LHeaderPanelItem}" IsEnabled="{TemplateBinding IsNew}" >Pricing</TextBlock>
+          <TextBlock
+            x:Name="PART_Pricing_Label"
+            Grid.Column="4"
+            VerticalAlignment="Center"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
+            IsEnabled="True"
+            Text="Pricing"
+          />
           <ComboBox
+            x:Name="PART_Pricing_DropDown"
             Grid.Column="5"
             Margin="{StaticResource Margin.LHeaderPanelItem}"
             Width="90"
-            IsEnabled="{TemplateBinding IsNew}"
+            IsEnabled="True"
             ItemsSource="{x:Static usp:ExecutionStrategyEditor.PriceCalcItems}"
             SelectedItem="{Binding price_calc}"
           >
@@ -431,6 +515,24 @@
               </DataTemplate>
             </ComboBox.ItemTemplate>
           </ComboBox>
+          <TextBlock
+            Grid.Column="6"
+            x:Name="PART_HedgePricing_Label"
+            VerticalAlignment="Center"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
+            Text="Hedge"
+            Visibility="Collapsed"
+          />
+          <ComboBox
+            x:Name="PART_HedgePricing_DropDown"
+            Grid.Column="7"
+            HorizontalAlignment="Stretch"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
+            ItemsSource="{TemplateBinding HedgePricingItemsSource}"
+            ItemTemplate="{StaticResource EnumDescriptionTemplate}"
+            SelectedItem="{Binding HedgePricing, RelativeSource={RelativeSource TemplatedParent}}"
+            Visibility="Collapsed"
+          />
         </Grid>
         <c:DataGridEx
           x:Name="PART_DataGrid"

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

@@ -8,6 +8,7 @@ using mbts.ui.utility;
 using mbts.user.settings;
 using mbts.utils;
 using System;
+using System.Collections;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
 using System.Collections.Specialized;
@@ -183,6 +184,29 @@ namespace mbts.ui.spark {
       public mbts.spark.ContractPickerModel ContractPickerModel { get => GetValue(ContractPickerModelProperty) as mbts.spark.ContractPickerModel; set => SetValue(ContractPickerModelProperty, value); }
       #endregion
 
+      #region HedgePricingItemsSource
+      public static readonly DependencyProperty HedgePricingItemsSourceProperty =
+         WPFHelper.create_dp<IEnumerable, ExecutionStrategyEditor>(
+            nameof(HedgePricingItemsSource));
+
+      public IEnumerable HedgePricingItemsSource {
+         get => GetValue(HedgePricingItemsSourceProperty) as IEnumerable;
+         set => SetValue(HedgePricingItemsSourceProperty, value);
+      }
+      #endregion
+
+      #region HedgePricing
+      public static readonly DependencyProperty HedgePricingProperty =
+         WPFHelper.create_dp<object, ExecutionStrategyEditor>(
+            nameof(HedgePricing),
+            FrameworkPropertyMetadataOptions.BindsTwoWayByDefault);
+
+      public object HedgePricing {
+         get => GetValue(HedgePricingProperty);
+         set => SetValue(HedgePricingProperty, value);
+      }
+      #endregion
+
       public override void OnApplyTemplate() =>
          _connect_leg_tuples();
 
@@ -251,7 +275,7 @@ namespace mbts.ui.spark {
 
          public ExecutionStrategyErrorAdorner(ExecutionStrategyEditor editor) : base(editor) {
             _name_text_box = child_property<TextBox>("PART_Name_TextBox");
-            _tick_factors_picker = child_property<TickFactorsPicker>("PART_TickFactorsPicker");
+            _tick_factors_picker = child_property<TickFactorsPicker>("PART_TickFactors_Picker");
          }
 
          protected override void OnRender(DrawingContext drawing_context) {

src/client/spark/Modules/Spreader/SyntheticEditorView.xaml

@@ -34,6 +34,8 @@
       LegTuples="{Binding leg_tuples}"
       RemoveLegCommand="{Binding remove_leg}"
       ContractPickerModel="{Binding contract_picker_model}"
+      HedgePricing="{Binding hedge_pricing}"
+      HedgePricingItemsSource="{Binding hedge_pricing_options}"
     />
     <c:DialogSkirtOKCancel Grid.Row="1" OKCommand="{Binding commit}" CloseOnOK="False"/>
   </Grid>

src/client/spark/Modules/Spreader/VM/SyntheticEditorVM.cs

@@ -17,6 +17,7 @@ using System.Reactive.Linq;
 using System.Threading.Tasks;
 using System.Windows.Input;
 using System.Windows.Media;
+using HedgePricing = bts.spark.ExecutionStrategy.Types.HedgePricing;
 
 namespace mbts.spark {
    /// <summary>
@@ -32,6 +33,7 @@ namespace mbts.spark {
       bool _set_name_automatically, _set_ticks_automatically, _set_quantities_automatically, _set_price_mults_automatically, _is_setting_quantities, _is_setting_price_mults;
       TickFactors _tick_factors;
       ExecutionStrategyImmutable _strategy;
+      HedgePricing _hedge_pricing;
 
       /// <summary>
       /// Inititalizes a new instance of SyntheticEditorVM class.  This constructor may only be used for already-existing synthetic securities (id must be non-zero).
@@ -294,6 +296,9 @@ namespace mbts.spark {
       public IRaiseCanExecuteChangedCommand commit { get; }
       public ICommand remove_leg { get; }
       public ContractPickerModel contract_picker_model { get; }
+      // hedge pricing
+      public HedgePricing hedge_pricing { get => _hedge_pricing; set => Set(ref _hedge_pricing, value); }
+      public IEnumerable<HedgePricing> hedge_pricing_options => EnumHelper.get_values<HedgePricing>();
 
       public ExecutionStrategyImmutable get_strategy() {
          var mutable_strategy = _strategy.CloneToMutable();
@@ -301,6 +306,7 @@ namespace mbts.spark {
          foreach (var lt in leg_tuples) {
             mutable_strategy.LegParamsMap.Add(lt.leg.Security.Id, lt.leg_params);
          }
+         mutable_strategy.HedgePricing = hedge_pricing;
          return new ExecutionStrategyImmutable(mutable_strategy);
       }
 
@@ -308,6 +314,7 @@ namespace mbts.spark {
          _synthetic = synthetic.CloneToMutable();
          _synthetic.Exchange = Venue.Bts;
          _strategy = strategy;
+         hedge_pricing = strategy.HedgePricing;
          leg_tuples.SetItems(_get_legs(_synthetic, strategy));
          RaisePropertyChanged(nameof(name), nameof(tick_factors));
       }

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

@@ -514,6 +514,8 @@
                       RemoveLegCommand="{Binding remove_leg}"
                       ContractPickerModel="{Binding contract_picker_model}"
                       IsEnabled="{Binding IsReadOnly, RelativeSource={RelativeSource AncestorType=usp:AlgoEditorGridView}, Converter={StaticResource NotConverter}}"
+                      HedgePricing="{Binding hedge_pricing}"
+                      HedgePricingItemsSource="{Binding hedge_pricing_options}"
                     />
                   </AdornerDecorator>
                 </DataTemplate>

src/client/spark/Modules/Trading/AlgoStudio/View/AlgoEditorGridView/AlgoParamRowsHelper.cs

@@ -10,7 +10,7 @@ using System.Reactive.Disposables;
 namespace mbts.spark {
    static class AlgoParamRowsHelper {
       public static IDisposable connect(AlgoDefinitionVM algo, ObservableAggregateCollection<AlgoParamRowVM> rows, bool include_algo_type_rows) =>
-         algo == null ? null : new CompositeDisposable(algo.observe_algo_root().SubscribeEach(a => {
+         algo == null ? null : new CompositeDisposable(algo.observe_algo_root().OnDispatcher().SubscribeEach(a => {
             rows.clear_collections();
             if (a == null)
                return Disposable.empty;
@@ -77,7 +77,7 @@ namespace mbts.spark {
                include_algo_type_rows ?
                   (ObservableCollection<AlgoParamRowVM>)new ObservableAppendCollection<AlgoParamRowVM>(child_rows, selector_wrapper) :
                   child_rows,
-               s.subscribe_selected_algo().SubscribeEach(a => {
+               s.subscribe_selected_algo().OnDispatcher().SubscribeEach(a => {
                   s.value = a;
                   child_rows.clear_collections();
                   return _wrap_rows(a, selector_wrapper, child_rows, include_algo_type_rows);

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

@@ -87,7 +87,6 @@ namespace mbts.spark {
          add_col(Columns.Size, DefaultColumnHeaders.Size, r => r.size.ToString(), new DoubleMinMax<FillTuple>(r => r.fill.LastShares), DataGridFilterKnownTemplates.UIntMinMax, DefaultColumnWidths.Size);
          add_col(Columns.Price, DefaultColumnHeaders.Price, r => r.format_price(r.price), new DoubleMinMax<FillTuple>(r => r.fill.LastPrice), DataGridFilterKnownTemplates.DoubleMinMax, DefaultColumnWidths.Price);
          add_col(Columns.FillKind, DefaultColumnHeaders.FillKind, r => r.fill_kind.ToString(), dv_filter(EnumHelper.get_values<FillKind>().ToArray(), r => r.fill.FillKind), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.FillKind);
-         add_col(Columns.FillStatus, DefaultColumnHeaders.FillStatus, r => r.fill_status.ToString(), dv_filter(EnumHelper.get_values<FillStatus>().ToArray(), r => r.fill.FillStatus), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.FillKind);
          add_col(Columns.FillKey, DefaultColumnHeaders.FillKey, r => r.fill_key.ToString(), new RegexFilterVM<FillTuple>(r => r.fill.FillKey), DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.FillKey);
          add_col(Columns.OrderKey, DefaultColumnHeaders.OrderKey, r => r.order_key.ToString(), new RegexFilterVM<FillTuple>(r => r.fill.OrderKey.ToString()), DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.OrderKey);
          add_col(Columns.SecurityKey, DefaultColumnHeaders.SecurityKey, r => r.security_key.ToString(), new RegexFilterVM<FillTuple>(r => r.fill.SecurityKey.ToString()), DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.SecurityKey);
@@ -189,7 +188,6 @@ namespace mbts.spark {
             case Columns.Exchange: return wrap_default(ft => ft.security.exchange_or_default());
             case Columns.FillKey: return wrap(ft => ft.fill.FillKey);
             case Columns.FillKind: return wrap_default(ft => ft.fill.FillKind);
-            case Columns.FillStatus: return wrap_default(ft => ft.fill.FillStatus);
             case Columns.FillTime: return wrap(ft => ft.fill.Timestamp.to_local_time());
             case Columns.OrderKey: return wrap(ft => ft.fill.OrderKey);
             case Columns.OrderType: return wrap_default(ft => ft.order?.order_type() ?? OrderType.None);
@@ -251,7 +249,6 @@ namespace mbts.spark {
          public double price => _fill.LastPrice;
          public double size => _fill.LastShares;
          public FillKind fill_kind => _fill.FillKind;
-         public FillStatus fill_status => _fill.FillStatus;
          public string fill_key => _fill.FillKey;
          public string order_key => _order.Key.ToString();
 

src/client/spark/Modules/Trading/Fills/FillsView.xaml.cs

@@ -20,7 +20,6 @@ namespace mbts.ui.spark {
          Price,
          Size,
          FillKind,
-         FillStatus,
          FillKey,
          OrderKey,
          SecurityKey

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

@@ -67,8 +67,5 @@ namespace bts.shell {
             set: (us, gs) => us.with(provided_fills_gridsettings: gs));
          return new FillsWindow(this, _bus, _orders_model, state, settings_manager);
       }
-         [ProtoMember(15)]
-         [DIYGridColumnID(nameof(Columns.FillStatus))]
-         public Fill.Types.FillStatus[] fill_status { get; set; }
    }
 }

src/client/spark/Modules/Trading/Fills/Settings/FillsFilterStates.cs

@@ -70,10 +70,6 @@ namespace bts.shell.fills {
       [ProtoMember(15)]
       [DIYGridColumnID(nameof(Columns.Symbol))]
       public string[] symbol { get; set; }
-
-      [ProtoMember(16)]
-      [DIYGridColumnID(nameof(Columns.FillStatus))]
-      public Fill.Types.FillStatus[] fill_status { get; set; }
    }
 
    static class FillsFilterStatesExtensions {
@@ -95,7 +91,6 @@ namespace bts.shell.fills {
          pb.add_discrete_values(fs.side, ft => ft.fill.Side);
          pb.add_discrete_values(fs.fill_kind, ft => ft.fill.FillKind);
          pb.add_discrete_values(fs.symbol, ft => ft.security?.Symbol ?? string.Empty);
-         pb.add_discrete_values(fs.fill_status, ft => ft.fill.FillStatus);
          // numeric
          pb.add_numeric(fs.size, ft => ft.fill.LastShares);
          pb.add_numeric(fs.price, ft => ft.fill.LastPrice);

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

@@ -194,20 +194,27 @@ namespace mbts.spark {
       readonly bts.persist.algo.AlgoPersistedKey[] _favorite_algos;
       [ProtoMember(2)]
       public readonly int column_count;
+      [ProtoMember(3)]
+      readonly bts.persist.algo.AlgoPersistedKey[] _stickied_algos;
 
-      public LadderFavoriteAlgosSettings(AlgoKey[] favorite_algos, int column_count)
-         : this(ArrayHelper.safe_convert(favorite_algos, k => new bts.persist.algo.AlgoPersistedKey(k.persisted)), column_count) { }
+      public LadderFavoriteAlgosSettings(AlgoKey[] favorite_algos, int column_count, AlgoKey[] stickied_algos)
+         : this(ArrayHelper.safe_convert(favorite_algos, k => new bts.persist.algo.AlgoPersistedKey(k.persisted)),
+              column_count,
+              ArrayHelper.safe_convert(stickied_algos, k => new bts.persist.algo.AlgoPersistedKey(k.persisted))) { }
 
-      LadderFavoriteAlgosSettings(bts.persist.algo.AlgoPersistedKey[] favorite_algos, int column_count) {
+      LadderFavoriteAlgosSettings(bts.persist.algo.AlgoPersistedKey[] favorite_algos, int column_count, bts.persist.algo.AlgoPersistedKey[] stickied_algos) {
          _favorite_algos = favorite_algos;
          this.column_count = column_count;
+         _stickied_algos = stickied_algos;
       }
 
       public IReadOnlyList<AlgoKey> favorite_algos => ArrayHelper.safe_convert(_favorite_algos, k => k.to_algo_key());
+      public IReadOnlyList<AlgoKey> stickied_algos => ArrayHelper.safe_convert(_stickied_algos, k => k.to_algo_key());
 
       public bool Equals(LadderFavoriteAlgosSettings other) =>
          column_count == other.column_count &&
-         favorite_algos.SequenceEqual(other.favorite_algos);
+         favorite_algos.SequenceEqual(other.favorite_algos) &&
+         stickied_algos.SequenceEqual(other.stickied_algos);
 
       public override bool Equals(object obj) =>
          EqualityComparer.equals_obj(this, obj);
@@ -215,7 +222,8 @@ namespace mbts.spark {
       public override int GetHashCode() =>
          EqualityComparer.aggregate_hash(
             column_count,
-            EqualityComparer.aggregate_hash_limited(favorite_algos));
+            EqualityComparer.aggregate_hash_limited(favorite_algos),
+            EqualityComparer.aggregate_hash_limited(stickied_algos));
 
       public static bool operator ==(LadderFavoriteAlgosSettings a, LadderFavoriteAlgosSettings b) => a.Equals(b);
       public static bool operator !=(LadderFavoriteAlgosSettings a, LadderFavoriteAlgosSettings b) => !a.Equals(b);
@@ -273,7 +281,7 @@ namespace mbts.spark {
          order_entry_panel_initial_width = _default_order_entry_panel_width;
          zoom_factor = _default_zoom_factor;
          use_defaults = true;
-         favorite_algos = new LadderFavoriteAlgosSettings(null, 2);
+         favorite_algos = new LadderFavoriteAlgosSettings(null, 2, null);
          show_warn_on_cross = _default_show_warn_on_cross;
       }
 

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

@@ -11,6 +11,7 @@ using ProtoBuf;
 using System;
 using System.Collections.Generic;
 using System.Collections.Immutable;
+using System.IO;
 using System.Linq;
 using System.Reactive.Linq;
 using System.Reactive.Subjects;
@@ -22,6 +23,7 @@ using LadderSettings = mbts.spark.LadderSettings;
 namespace bts.shell {
    class LadderWindowFactory : ShellWindowFactory<LadderSaveState> {
       const string _window_type = "ladder";
+      const int _version_where_stickied_algos_introduced = 2;
       readonly LadderConfig _ladder_conf;
       readonly IBus _bus;
       readonly IWindowManager _wm;
@@ -38,7 +40,7 @@ namespace bts.shell {
          OrdersModel orders_model,
          MBOService mbo)
 
-         : base(owner, "SparkLadder") {
+         : base(owner, "SparkLadder", 2) {
          _bus = bus;
          _wm = wm;
          _settings_hub = settings_hub;
@@ -60,6 +62,16 @@ namespace bts.shell {
          return null;
       }
 
+      protected override Task<IShellWindow> try_upgrade_state(Stream load_stream, int version) {
+         var state = ProtoBuf.Serializer.DeserializeWithLengthPrefix<LadderSaveState>(load_stream, ProtoBuf.PrefixStyle.Fixed32);
+         if (version < _version_where_stickied_algos_introduced) {
+            // We want to assign any existing favorite algos to stickied algos upon setting upgrade
+            var favorite_algos_array = state.settings.favorite_algos.favorite_algos.ToArray();
+            state.settings.favorite_algos = new LadderFavoriteAlgosSettings(favorite_algos_array, state.settings.favorite_algos.column_count, favorite_algos_array);
+         }
+         return load(state);
+      }
+
       LadderSaveState _get_state(LadderVM vm, uint id) {
          LadderSettings s = vm.get_save_state();
          if (id != 0) {

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

@@ -2,6 +2,7 @@
 using bts.api;
 using bts.api.orderman;
 using bts.collections;
+using bts.persist.algo;
 using bts.shell.orderbook;
 using bts.utils;
 using mbts.collections;
@@ -136,7 +137,7 @@ namespace mbts.spark {
                c.PropertyChanged -= on_prop_changed;
          }
          AccountTuple? account_factory(KeyValuePair<uint, string> kv) => new AccountTuple(kv.Key, kv.Value);
-         AlgoDefinitionVM algo_factory(AlgoData data) => AlgoDefinitionVM.create(_model, data);
+         AlgoDefinitionVM algo_factory(AlgoData data) => AlgoDefinitionVM.create(_model, data, is_synthetic ? AlgoFormats.Spreader : AlgoFormats.Exchange);
       }
 
       public event Action result_changed;
@@ -723,12 +724,15 @@ namespace mbts.spark {
          readonly IObservableCollection<AlgoDefinitionVM> _algo_definitions;
          readonly ObservableCollection<FavoriteAlgoItem> _raw_items = new ObservableCollection<FavoriteAlgoItem>();
          int _column_count = 2;
+         HashSet<AlgoPersistedKey> _sticky_algo_keys;
+         IDisposable _sticky_algos_hook;
 
          public FavoriteAlgosVM(IObservableCollection<AlgoDefinitionVM> algo_definitions) {
             _algo_definitions = algo_definitions;
             items = new ObservableAggregateCollection<FavoriteAlgoItem>(_raw_items, new ObservableCollection<FavoriteAlgoItem> { FavoriteAlgoItem.AddButtonPlaceholderItem });
             add_item_cmd = new DelegateCommand(() => _raw_items.Add(_item_factory()));
             remove_item_cmd = new DelegateCommand<FavoriteAlgoItem>(fai => _raw_items.Remove(fai));
+            _dispose = Disposable.Create(() => Disposable.dispose(ref _sticky_algos_hook));
          }
 
          public ObservableCollection<FavoriteAlgoItem> items { get; }
@@ -745,6 +749,17 @@ namespace mbts.spark {
                fai.selector.try_select(k);
                return fai;
             }));
+            _sticky_algo_keys = new HashSet<AlgoPersistedKey>(value.stickied_algos.Where(k => k.is_persisted).Select(x => new AlgoPersistedKey(x.persisted)));
+            Disposable.replace(ref _sticky_algos_hook,
+               ObservableAutoWrapper.connect_item_hooks(_raw_items, x =>
+                  x.selector.subscribe_value().Subscribe(algo => {
+                     if (algo != null &&
+                        algo.key.is_persisted &&
+                        (x.is_sticky = _sticky_algo_keys.Remove(new AlgoPersistedKey(algo.key.persisted))) &&
+                        _sticky_algo_keys.Count == 0)
+                        //
+                        Disposable.dispose(ref _sticky_algos_hook);
+                  })));
          }
 
          public LadderFavoriteAlgosSettings create() =>
@@ -753,7 +768,13 @@ namespace mbts.spark {
                .Where(k => k.HasValue && k.Value.is_persisted)
                .Select(k => k.Value)
                .ToArray(),
-               column_count);
+               column_count,
+               _raw_items
+               .Where(fai => fai.is_sticky)
+               .Select(fai => fai.algo_definition?.key ?? fai.selector.desired_key)
+               .Where(k => k.HasValue && k.Value.is_persisted)
+               .Select(k => k.Value)
+               .ToArray());
 
          FavoriteAlgoItem _item_factory() =>
             new FavoriteAlgoItem(_algo_definitions, new ListCollectionView<AlgoDefinitionVM>(_algo_definitions) {
@@ -766,6 +787,7 @@ namespace mbts.spark {
          public static readonly FavoriteAlgoItem AddButtonPlaceholderItem = new _AddButtonPlaceholderItem();
 
          internal readonly KeyedItemSelector<AlgoDefinitionVM, AlgoKey> selector;
+         bool _is_sticky;
 
          protected FavoriteAlgoItem() { }
 
@@ -776,6 +798,7 @@ namespace mbts.spark {
 
          public ICollectionView<AlgoDefinitionVM> algo_definitions_view { get; }
          public AlgoDefinitionVM algo_definition { get => selector.value; set => selector.value = value; }
+         public bool is_sticky { get => _is_sticky; set => Set(ref _is_sticky, value); }
 
          class _AddButtonPlaceholderItem : FavoriteAlgoItem, ITemplateSelectorKey {
             public string key => LadderSettingsView.FavoriteAlgoAddButtonTemplateKey;

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

@@ -1,9 +1,11 @@
 using bts.api;
 using bts.api.orderman;
+using bts.collections;
 using bts.shell;
 using bts.spark;
 using bts.utils;
 using mbts.co2;
+using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.shell;
 using mbts.utils;
@@ -32,6 +34,7 @@ namespace mbts.spark {
          _show_tif, _show_order_type, _show_size_preset, _show_auto_clear, _show_clear, _show_cancel_buys,
          _show_cancel_sells, _show_cancel_all, _show_zoom;
       readonly PropertyAutoWrapper<LadderSettings, Brush> _bid_background, _bid_foreground, _ask_background, _ask_foreground;
+      readonly HashSet<AlgoKey> _sticky_algos = new HashSet<AlgoKey>();
       double _position, _day_position;
       bool _show_account_position, _show_day_position;
       ulong _misc_time = 0;
@@ -133,7 +136,7 @@ namespace mbts.spark {
          //_window_height = backing(nameof(window_height), settings_manager.subscribe_current().OnDispatcher().Select(s => s.zoom_factor), (scale) => scale * 600);
          //_window_width = backing(nameof(window_width), settings_manager.subscribe_current().OnDispatcher().Select(s => s.zoom_factor), (scale) => scale * 420);
          position_click_command = new DelegateCommand(() => size_calculator.value = DoubleHelper.safe_convert_to_uint(Math.Abs(_show_day_position ? day_position : position)));
-         send_order_command = new DelegateCommand<(double price, Side? side, MouseButton button)>(send_order);
+         send_order_command = new AsyncCommand<(double price, Side? side, MouseButton button)>(send_order_async);
          cancel_command = new AsyncCommand<LadderModel.CancelType>(_model.cancel_orders, true);
          show_book_command = new DelegateCommand(_show_book);
          show_ticket_command = new DelegateCommand(_show_ticket);
@@ -223,7 +226,10 @@ namespace mbts.spark {
                .SelectManyInSeries(a => _model.order_gateway.on_security_positions(security.Id)
                   .Select(table => table.state.Values.FirstOrDefault(pos => pos.Item2.Account == a, tup => tup.Item2, (bts.api.position.PositionUnitImmutable?)null)));
             return Disposable.Create(
-               settings.OnDispatcher().Subscribe(s => order_properties_vm.on_favorite_algos(s.favorite_algos)),
+               settings.OnDispatcher().Subscribe(s => {
+                  _sticky_algos.SetItems(s.favorite_algos.stickied_algos);
+                  order_properties_vm.on_favorite_algos(s.favorite_algos);
+               }),
                order_properties_vm,
                position_src.OnDispatcher().Subscribe(pos => {
                   double total, day;
@@ -400,20 +406,19 @@ namespace mbts.spark {
          settings_invalidated?.Invoke();
       }
 
-      public void send_order((double price, Side? side, MouseButton button) args) {
-         if (order_properties_vm == null || args.button == MouseButton.Middle)
-            return;
-         var size_from_alternate = args.button == MouseButton.Right;
-         if (DoubleHelper.IsNaNOrInfinity(args.price) || !args.side.HasValue || HasErrors || order_properties_vm.HasErrors || (size_from_alternate && current_settings.alternate_order_size == 0)) {
-            return;
-         }
-         if (!size_from_alternate && (!size_calculator.value.HasValue || size_calculator.value.Value == 0)) {
-            size_calculator.flash_error();
-         }
-         else {
-            uint size = size_from_alternate ? current_settings.alternate_order_size : (uint)Math.Abs(size_calculator.value ?? 0);
-            send_order_async(args.side.Value, size, args.price).ignore();
+      public Task send_order_async((double price, Side? side, MouseButton button) args) {
+         if (order_properties_vm != null && args.button != MouseButton.Middle) {
+            var size_from_alternate = args.button == MouseButton.Right;
+            if (!DoubleHelper.IsNaNOrInfinity(args.price) && args.side.HasValue && !HasErrors && !order_properties_vm.HasErrors && (!size_from_alternate || current_settings.alternate_order_size > 0)) {
+               if (!size_from_alternate && (!size_calculator.value.HasValue || size_calculator.value.Value == 0)) {
+                  size_calculator.flash_error();
+               } else {
+                  uint size = size_from_alternate ? current_settings.alternate_order_size : (uint)Math.Abs(size_calculator.value ?? 0);
+                  return send_order_async(args.side.Value, size, args.price);
+               }
+            }
          }
+         return Task.CompletedTask;
       }
 
       public async Task send_order_async(Side side, uint size, double price) {
@@ -433,6 +438,13 @@ namespace mbts.spark {
          await _model.order_gateway.send_order(order, price, size);
          if (auto_clear)
             size_calculator.value = 0;
+         var fav_algo = order_properties_vm.selected_favorite_algo_definition;
+         if (fav_algo != null && !_sticky_algos.Contains(fav_algo.key) && !order_properties_vm.try_pop_selected_algo_definition()) {
+            var key = new AlgoKey(OrderDataHelper.get_default_algo(OrderDataHelper.get_algo_format(security.ContractCase)));
+            if (order_properties_vm.try_get_algo_definition(key, out var r)) {
+               order_properties_vm.selected_algo_definition = r;
+            }
+         }
       }
 
       void _update_header() {

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

@@ -805,6 +805,7 @@
                     <Grid.ColumnDefinitions>
                       <ColumnDefinition Width="Auto" SharedSizeGroup="c0"/>
                       <ColumnDefinition Width="*"/>
+                      <ColumnDefinition Width="Auto" SharedSizeGroup="c1"/>
                     </Grid.ColumnDefinitions>
                     <Button Command="{Binding DataContext.remove_item_cmd, RelativeSource={RelativeSource AncestorType=ItemsControl}}" CommandParameter="{Binding}" Style="{StaticResource RoundCloseButton}"/>
                     <ComboBox Grid.Column="1" ItemsSource="{Binding algo_definitions_view}" SelectedItem="{Binding algo_definition}">
@@ -814,6 +815,7 @@
                         </DataTemplate>
                       </ComboBox.ItemTemplate>
                     </ComboBox>
+                    <CheckBox Grid.Column="2" VerticalAlignment="Center" VerticalContentAlignment="Center" IsChecked="{Binding is_sticky}"> Stay Enabled?</CheckBox>
                   </Grid>
                 </DataTemplate>
               </u:KeyedTemplateSelector.Default>
@@ -823,6 +825,7 @@
                     <Grid.ColumnDefinitions>
                       <ColumnDefinition Width="Auto" SharedSizeGroup="c0"/>
                       <ColumnDefinition Width="*"/>
+                      <ColumnDefinition Width="Auto" SharedSizeGroup="c1"/>
                     </Grid.ColumnDefinitions>
                     <Button Grid.Column="1" HorizontalAlignment="Stretch" Command="{Binding DataContext.add_item_cmd, RelativeSource={RelativeSource AncestorType=ItemsControl}}">Add</Button>
                   </Grid>

src/client/spark/Orders/OrderPropertiesEditorVM.cs

@@ -60,6 +60,7 @@ namespace mbts.spark {
       readonly ListCollectionView<AlgoDefinitionVM> _algo_definitions_view, _favorite_algo_definitions_view;
       readonly TableUpdateBuffer<AlgoData, AlgoKey> _definitions_buffer = new TableUpdateBuffer<AlgoData, AlgoKey>(d => d.key);
       readonly ObservableAggregateCollection<AlgoParamRowVM> _algo_param_rows = new ObservableAggregateCollection<AlgoParamRowVM>();
+      readonly AlgoDefinitionVM the_anchor_algo_def_vm;
       IReadOnlyDictionary<AlgoKey, AlgoDefinitionMetadata> _algo_metadata = DictionaryHelper.empty<AlgoKey, AlgoDefinitionMetadata>();
       IReadOnlyDictionary<AlgoKey, int> _favorite_algos_index = DictionaryHelper.empty<AlgoKey, int>();
       IDisposable _algo_param_rows_hook;
@@ -68,6 +69,7 @@ namespace mbts.spark {
 
       public OrderPropertiesEditorVM(OrdersModel model, IObservable<SecurityMD> security_md_source, IObservable<InlineOrderProperties> order_properties) {
          _model = model;
+         the_anchor_algo_def_vm = AlgoDefinitionVM.create(_model, OrderDataHelper.Defaults.AlgoData(CustomOrderDefinition.CustomOneofCase.Limit));
          var security_source = security_md_source.Select(smd => smd.security);
          _security = backing(nameof(security), security_source, SecurityDataHelper.Defaults.SecurityImmutable);
          security_source = _security.observe_current(true);
@@ -237,11 +239,15 @@ namespace mbts.spark {
 
       void _selected_algo_definition_Changed(AlgoDefinitionVM old_value, AlgoDefinitionVM new_value, SelectionReason reason) {
          Disposable.dispose(ref _algo_param_rows_hook);
+         if (old_value != null)
+            // Taha feels that we should always revert to a Limit order either when the user explicity unchecks a sticky button
+            // or when a non-sticky button is pressed. Rather than completely remove the stack at this time (b/c it may be come
+            // back in the future), let's just always push a specfic def_vm.key onto it [Limit] ;)
+            //_selected_algo_stack.Push(old_value.key);
+            _selected_algo_stack.Push(the_anchor_algo_def_vm.key);
          if (new_value != null) {
             if (use_algo_param_grid)
                _algo_param_rows_hook = _connect_algo_param_rows(new_value, _algo_param_rows);
-            if (reason != SelectionReason.Explicit)
-               _selected_algo_stack.Push(new_value.key);
          }
          if (open_algo_popup_on_select) {
             if (reason == SelectionReason.UserSelectedNewValue && new_value?.algo_root is IAlgoVM ar && ar.can_expand)
@@ -277,6 +283,18 @@ namespace mbts.spark {
          get => _selected_algo_definition.selected_item;
          set => _selected_algo_definition.selected_item = value;
       }
+
+      public bool try_get_algo_definition(AlgoKey a, out AlgoDefinitionVM result) =>
+         _algo_definitions.TryGetValue(a, out result);
+
+      public bool try_pop_selected_algo_definition() {
+         if (_selected_algo_stack.TryPop(out AlgoKey k) && _algo_definitions.TryGetValue(k, out AlgoDefinitionVM vm)) {
+            _selected_algo_definition.select_explicit(vm);
+            return true;
+         }
+         return false;
+      }
+
       public AlgoDefinitionVM selected_favorite_algo_definition {
          get => selected_algo_definition?.is_favorite ?? false ? selected_algo_definition : null;
          set {
@@ -353,6 +371,7 @@ namespace mbts.spark {
             d.favorite_index = _get_favorite_algo_index(d.key);
          }
          favorite_algos_column_count = value.column_count;
+         RaisePropertyChanged(nameof(selected_favorite_algo_definition));
       }
 
       static IDisposable _connect_algo_param_rows(AlgoDefinitionVM def, ObservableAggregateCollection<AlgoParamRowVM> rows) =>
@@ -371,4 +390,4 @@ namespace mbts.spark {
          algo_definitions_view.Refresh();
       }
    }
-}
+}

src/client/spark/core/ShellInterface/IShellWindowFactory.cs

@@ -34,13 +34,14 @@ namespace bts.shell {
          Disposable.dispose(ref _dispose);
       }
       public abstract Task<IShellWindow> load(T state);
+      protected virtual Task<IShellWindow> try_upgrade_state(Stream load_stream, int version) => null;
 
       public Task<IShellWindow> load_window(Stream load_stream, int version) {
          if (version == this.version) {
             var t = ProtoBuf.Serializer.DeserializeWithLengthPrefix<T>(load_stream, ProtoBuf.PrefixStyle.Fixed32);
             return load(t);
          }
-         return null;
+         return try_upgrade_state(load_stream, version);
       }
       public void save(T data, Stream output) {
          var header = new ShellSerializationHeader() {

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

@@ -96,7 +96,6 @@ namespace mbts.ui.controls {
             Aggressor = "Aggressor",
             Volume = "Volume",
             Last = "Last",
-            S = "S",
             Pos = "Pos",
             Working = "Working",
             Bid = "Bid",
@@ -106,7 +105,6 @@ namespace mbts.ui.controls {
             SessionLow = "Low",
             SessionHigh = "High",
             FillKind = "Fill Kind",
-            FillStatus = "Fill Status",
             Name = "Name",
             Description = "Description",
             N_Legs = "# Legs",

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

@@ -110,10 +110,11 @@ namespace mbts.spark.filters {
 
       class DynamicItemsFilter<TRow, TValue, TState> : FilterVMBase<TRow, TValue, TState>, IDisposable {
          readonly IEqualityComparer<TValue> _equality_comparer;
+         readonly IComparer<TValue> _comparer;
          readonly Func<ISet<TValue>, TState> _get_state;
          readonly Func<TState, IObservable<IEnumerable<TValue>>> _load_state;
          readonly HashSet<TValue> _items_set, _selected_items_set;
-         readonly ObservableCollection<TValue> _unsorted_items;
+         readonly ObservableCollection<TValue> _items = new ObservableCollection<TValue>();
          bool _override_desired_selection;
          IDisposable _desired_items_sub, _items_sub;
 
@@ -129,7 +130,7 @@ namespace mbts.spark.filters {
             //
             _items_sub = items.OnDispatcher().Subscribe(new_items => {
                _items_set.SetItems(new_items.Concat(_selected_items_set));
-               _unsorted_items.sync_with(_items_set);
+               _sync_items();
             });
          }
  
@@ -148,7 +149,7 @@ namespace mbts.spark.filters {
                   _items_set.Remove(v);
                foreach (var v in update.added)
                   _items_set.Add(v);
-               _unsorted_items.sync_with(_items_set);
+               _sync_items();
             });
          }
 
@@ -164,11 +165,12 @@ namespace mbts.spark.filters {
             _get_state = get_state;
             _load_state = load_state;
             _equality_comparer = equality_comparer;
+            _comparer = comparer;
             _selected_items_set = new HashSet<TValue>(_equality_comparer);
             _items_set = new HashSet<TValue>(_equality_comparer);
-            _unsorted_items = new ObservableCollection<TValue>();
-            items = comparer != null ? ObservableAutoWrapper.create_sorted_wrapper(_unsorted_items, comparer) : ObservableAutoWrapper.create_read_only_wrapper(_unsorted_items);
+            items = ObservableAutoWrapper.create_read_only_wrapper(_items);
             selected_items.CollectionChanged += _on_selected_items_CollectionChanged;
+            _sync_items();
          }
 
          public IReadOnlyObservableCollection<TValue> items { get; }
@@ -238,9 +240,11 @@ namespace mbts.spark.filters {
                var copy = new HashSet<TValue>(_selected_items_set, _equality_comparer);
                _selected_items_set.SetItems(dsi);
                using (selected_items.SuspendHandler(_on_selected_items_CollectionChanged)) {
-                  foreach (var item in _selected_items_set) {
-                     if (_items_set.Add(item))
-                        _unsorted_items.Add(item);
+                  var to_add = _selected_items_set.Where(_items_set.Add);
+                  if (_comparer != null) {
+                     _items.InsertSorted(to_add, _comparer);
+                  } else {
+                     _items.AddRange(to_add);
                   }
                   selected_items.sync_with(_selected_items_set);
                }
@@ -248,6 +252,14 @@ namespace mbts.spark.filters {
                   _raise_filter_changed();
             }
          }
+
+         void _sync_items() {
+            if (_comparer != null) {
+               _items.sync_with(_items_set.Ordered(_comparer));
+            } else {
+               _items.sync_with(_items_set);
+            }
+         }
       }
 
       class TableUpdateItemsFilter<TRow, TValue, TKey, TState> : FilterVMBase<TRow, TValue, TState>, IObserver<TableUpdate<TValue, TKey>> where TKey : struct, IEquatable<TKey> {

src/client/spark/view/Controls/ListBoxEx/ListBoxEx.xaml.cs

@@ -101,7 +101,8 @@ namespace mbts.ui.controls
 					case NotifyCollectionChangedAction.Replace:
 						if (e.OldItems != null) foreach (var item in e.OldItems) _set_is_selected(item, false);
 						if (e.NewItems != null) foreach (var item in e.NewItems) _set_is_selected(item, true); break;
-					case NotifyCollectionChangedAction.Reset: foreach (var item in ItemsSource) _set_is_selected(item, false); break;
+					case NotifyCollectionChangedAction.Reset:
+                  if (ItemsSource != null) foreach (var item in ItemsSource) _set_is_selected(item, false); break;
 				}
 				_update_is_all_selected();
 			}

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

@@ -687,7 +687,10 @@
             <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush3}}"/>
             <ColumnDefinition Width="*"/>
           </Grid.ColumnDefinitions>
-          <TextBlock VerticalAlignment="Center">Tick Offset</TextBlock>
+          <StackPanel Orientation="Horizontal">
+            <TextBlock VerticalAlignment="Center" >Tick Offset</TextBlock>
+            <c:HelpButton Margin="{StaticResource Margin.LP1}" ToolTip="How many ticks off the inside market to deploy the order, this guards against crossing the market inadventently" />
+          </StackPanel>
           <c:TickUpDownUInt x:Name="PART_TickOffsetOnDeploy_TickUpDownUInt" Grid.Column="2" Value="{Binding tick_offset_on_deploy}"/>
           <uag:AlgoPickerNodeView
             x:Name="PART_Child_AlgoPickerNodeView"
@@ -905,7 +908,10 @@
             <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush1}}" MaxWidth="{Binding Source={StaticResource HorizontalPush1}}"/>
             <ColumnDefinition Width="*"/>
           </Grid.ColumnDefinitions>
-          <TextBlock HorizontalAlignment="Left" VerticalAlignment="Center" Margin="{StaticResource Margin.LP3}">Max Show Quantity</TextBlock>
+          <StackPanel Orientation="Horizontal">
+            <TextBlock VerticalAlignment="Center" Margin="{StaticResource Margin.LP3}">Max Show Quantity</TextBlock>
+            <c:HelpButton Margin="{StaticResource Margin.LP3}" ToolTip="Maximum size to show on GLBX, this is the exchange provided iceberg" />
+          </StackPanel>
           <c:TickUpDownNullableUInt x:Name="PART_MaxShowQuantity_TickUpDownNullableUInt" Grid.Column="2" HorizontalAlignment="Stretch" Value="{Binding max_show_quantity}"/>
         </Grid>
       </DataTemplate>
@@ -944,7 +950,10 @@
             <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush1}}" MaxWidth="{Binding Source={StaticResource HorizontalPush1}}"/>
             <ColumnDefinition Width="*"/>
           </Grid.ColumnDefinitions>
-          <TextBlock HorizontalAlignment="Left" VerticalAlignment="Center" Margin="{StaticResource Margin.LP3}">Show Quantity</TextBlock>
+          <StackPanel Orientation="Horizontal">
+            <TextBlock HorizontalAlignment="Left" VerticalAlignment="Center" Margin="{StaticResource Margin.LP3}">Show Quantity</TextBlock>
+            <c:HelpButton Margin="{StaticResource Margin.LP3}" ToolTip="Maximum size to show on exchange, this is the BTS provided iceberg" />
+          </StackPanel>
           <c:TickUpDownDouble x:Name="PART_ShowQuantity_TickUpDownDouble" Grid.Column="2" HorizontalAlignment="Stretch" Value="{Binding show_quantity}"/>
           <uag:AlgoPickerNodeView
             x:Name="PART_Child_AlgoPickerNodeView"
@@ -1001,6 +1010,8 @@
             LegTuples="{Binding leg_tuples}"
             RemoveLegCommand="{Binding remove_leg}"
             ContractPickerModel="{Binding contract_picker_model}"
+            HedgePricing="{Binding hedge_pricing}"
+            HedgePricingItemsSource="{Binding hedge_pricing_options}"
           />
           <c:DialogSkirt Grid.Row="1" Margin="-4" VerticalAlignment="Top" RightItems="{Binding skirt_items}"/>
         </Grid>
@@ -1020,9 +1031,16 @@
             <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush1}}" MaxWidth="{Binding Source={StaticResource HorizontalPush1}}"/>
             <ColumnDefinition Width="*"/>
           </Grid.ColumnDefinitions>
-          <TextBlock Grid.Row="0" Grid.Column="0" HorizontalAlignment="Left" VerticalAlignment="Center" Margin="{StaticResource Margin.LP3}">Expose Quantity</TextBlock>
+          <StackPanel Orientation="Horizontal" Grid.Row="0" >
+            <TextBlock Grid.Row="0" Grid.Column="0" HorizontalAlignment="Left" VerticalAlignment="Center" Margin="{StaticResource Margin.LP3}">Expose Quantity</TextBlock>
+            <c:HelpButton Margin="4,0,0,0" ToolTip="The quantity we want visible on the exchange" />
+          </StackPanel>
           <c:TickUpDownUInt Grid.Column="2" HorizontalAlignment="Stretch" Value="{Binding exposed}"/>
-          <TextBlock Grid.Row="1" Grid.Column="0" HorizontalAlignment="Left" VerticalAlignment="Center" Margin="{StaticResource Margin.LP3}">Max Order Quantity</TextBlock>
+
+          <StackPanel Orientation="Horizontal" Grid.Row="1" >
+            <TextBlock Grid.Row="1" Grid.Column="0" HorizontalAlignment="Left" VerticalAlignment="Center" Margin="{StaticResource Margin.LP3}">Max Order Quantity</TextBlock>
+            <c:HelpButton Margin="{StaticResource Margin.LP3}" ToolTip="No single order will have a quantity greater than this quantity (Clip Size)" />
+          </StackPanel>
           <c:TickUpDownUInt Grid.Row="1" Grid.Column="2" HorizontalAlignment="Stretch" Value="{Binding max_order_qty}"/>
           <uag:AlgoPickerNodeView
             x:Name="PART_Child_AlgoPickerNodeView"

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

@@ -236,12 +236,12 @@ namespace mbts.ui {
             throw new NotImplementedException("This ICommand does not implement IRaiseCanExecuteChanged");
       }
 
-      public static async Task ExecuteAsync(this ICommand command, object parameter) {
+      public static Task ExecuteAsync(this ICommand command, object parameter) {
          ExceptionAssert.Argument.NotNull(command, nameof(command));
          if (command is IAsyncCommand acmd)
-            await acmd.Execute(parameter);
+            return acmd.Execute(parameter);
          else
-            await Task.Run(() => command.Execute(parameter));
+            return Task.Run(() => command.Execute(parameter));
       }
 
       public static void TryExecuteIfCan(this ICommand command, object parameter) {

src/client/spark/view/Shell/Login/LoginView.xaml

@@ -10,8 +10,8 @@
   xmlns:autocomplete="clr-namespace:WPFTextBoxAutoComplete;assembly=WPFTextBoxAutoComplete"
   xmlns:sys="clr-namespace:System;assembly=mscorlib"
   x:Name="_login_view"
-  Width="460"
-  Height="254"
+  Width="520"
+  Height="230"
   WindowStyle="None"
   ResizeMode="NoResize"
   WindowStartupLocation="CenterScreen"
@@ -27,7 +27,7 @@
   </ui:StateManager.Groups>
   <Window.Resources>
     <ResourceDictionary>
-      <sys:Double x:Key="LoginControlPaddingLeft">40</sys:Double>
+      <sys:Double x:Key="LoginControlPaddingLeft">10</sys:Double>
       <sys:Double x:Key="LoginControlPaddingTop">10</sys:Double>
       <sys:Double x:Key="LoginControlPaddingRight">22</sys:Double>
       <converters:BooleanToVisibilityConverter x:Key="InverseBoolToVisibility" VisibilityForFalse="Visible" VisibilityForTrue="Collapsed"/>
@@ -206,7 +206,7 @@
         x:Name="_error_control"
         Grid.Column="1"
         VerticalAlignment="Center"
-        HorizontalAlignment="Center"
+        HorizontalAlignment="Left"
         Visibility="Hidden"
         Opacity="0"
       >
@@ -251,10 +251,10 @@
       <c:DialogSkirt x:Name="_dialog_skirt" Grid.Row="1" Grid.ColumnSpan="2" HorizontalAlignment="Stretch" VerticalAlignment="Bottom">
         <c:DialogSkirt.RightItems>
           <x:Array Type="{x:Type Button}">
-            <Button x:Name="_login_button" Width="60" Margin="10" IsDefault="True" IsHitTestVisible="True" Command="{Binding LoginCommand}">
+            <Button x:Name="_login_button" Width="60" Margin="10,0" IsDefault="True" IsHitTestVisible="True" Command="{Binding LoginCommand}">
               Login
             </Button>
-            <Button x:Name="_cancel_button" Width="60" Margin="10" IsCancel="True" IsHitTestVisible="True" Command="{Binding CancelCommand}">
+            <Button x:Name="_cancel_button" Width="60" Margin="10,0" IsCancel="True" IsHitTestVisible="True" Command="{Binding CancelCommand}">
               Cancel
             </Button>
           </x:Array>

src/client/spark/view/Shell/Settings/ShellSettingsDialogVM.cs

@@ -136,8 +136,8 @@ namespace mbts.spark {
          var skip_local = profiles.WrapSkip(1);
          var skip_local_wrapper = skip_local.WrapSelector(
             p => new SettingsProfile<T>(p.id, p.name, p.value.create(), p.security_criteria),
-            ns => new ProfileVM(ns.id, vm_factory(ns.value), ns.name, ns.security_criteria));
-         profiles.Add(_local_profile = new ProfileVM(0, vm_factory(init), "Custom", template_key: ShellSettingsDialog.LocalProfileItemTemplateKey));
+            ns => new ProfileVM(ns.id, vm_factory(ns.value), ns.name, ns.security_criteria, target_value: ns.value));
+         profiles.Add(_local_profile = new ProfileVM(0, vm_factory(init), "Custom", template_key: ShellSettingsDialog.LocalProfileItemTemplateKey, target_value: init));
          _selected_profile = backing(nameof(selected_profile), _local_profile);
          // dialog skirt items
          _apply_item = new DialogSkirtItem("Apply", new DelegateCommand(apply));
@@ -325,26 +325,37 @@ namespace mbts.spark {
          //
          SecurityCriteria _security_criteria;
          SettingsProfile<T> _committed, _last_result;
+         T _target_value;
          string _name, _template_key;
          bool _is_selected;
          IDisposable _dispose;
 
-         public ProfileVM(uint id, TVM value, string name, SecurityCriteria security_criteria = null, string template_key = null) {
+         public ProfileVM(uint id, TVM value, string name, SecurityCriteria security_criteria = null, string template_key = null, T target_value = null) {
             this.id = id;
             this.value = value;
             _name = name;
             _security_criteria = security_criteria;
             _template_key = template_key;
+            _target_value = target_value;
             _committed = _last_result = create();
             _is_dirty = backing(nameof(is_dirty), () => !_last_result.Equals(_committed));
             _refresh_is_dirty = new DeferrableActionWrapper(_is_dirty.refresh);
             var sub = value.Subscribe(v => {
                _last_result = _last_result.with(value: v);
                _refresh_is_dirty.execute();
+               _on_value_changed();
             });
             _dispose = value is IDisposable d ? Disposable.Create(sub, d) : sub;
          }
 
+         void _on_value_changed() {
+            if (_target_value != null && is_dirty && _last_result.value.Equals(_target_value)) {
+               _target_value = null;
+               _committed = _last_result;
+               _refresh_is_dirty.execute();
+            }
+         }
+
          public uint id { get; }
          public TVM value { get; }
          public string name {
@@ -380,21 +391,26 @@ namespace mbts.spark {
                /// assign directly to <see cref="_last_result"/>, to capture props that aren't visible in the dialog (i.e., props that are manipulated in the main window)
                _last_result = data;
             }
+            _on_value_changed();
          }
 
          public void load_value_from(T value) {
             using (_refresh_is_dirty.defer_execution())
                this.value.load_from(value);
+            _on_value_changed();
          }
 
          public void commit(SettingsProfile<T> data) {
             using (_refresh_is_dirty.defer_execution())
                _load_from(_committed = data);
+            _on_value_changed();
          }
 
          public void commit_current() {
             _committed = _last_result;
+            _target_value = _committed.value;
             _refresh_is_dirty.execute();
+            _on_value_changed();
          }
 
          public void revert() {
@@ -402,6 +418,7 @@ namespace mbts.spark {
                _load_from(_committed);
                _last_result = _committed;
             }
+            _on_value_changed();
          }
 
          public IObservable<bool> subscribe_is_dirty() => _is_dirty.observe_current(true);
@@ -414,6 +431,7 @@ namespace mbts.spark {
          public override string ToString() => _name;
 
          void _load_from(SettingsProfile<T> data) {
+            _target_value = data.value;
             name = data.name;
             security_criteria = data.security_criteria;
             value.load_from(data.value);

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

@@ -197,6 +197,7 @@ namespace mbts.spark {
       static class TickStore {
          public static readonly RegionalTickFactors default_rtf = new RegionalTickFactors(new TickFactors(1000, 1), new TickFactors(1000, 1), double.MaxValue);
          static readonly ConcurrentDictionary<SpecKey, RegionalTickFactors> _exchange_ticks = new ConcurrentDictionary<SpecKey, RegionalTickFactors>();
+         static readonly bool _som_ticks_fix_enabled = config.Configuration.get<bts.config.toggles.SOMTicksFix>().enabled;
 
          public static RegionalTickFactors get(ContractSpecification spec) =>
             _exchange_ticks.GetOrAdd(new SpecKey(spec), _create_rtf);
@@ -249,8 +250,23 @@ namespace mbts.spark {
             var tf = _try_create_tf(tick_size, tick_base);
             if (tf != null && display_digits_override > 0) {
                int display_digit_diff = (int)display_digits_override - tf.display_digits();
-               if (display_digit_diff != 0)
+               if (_som_ticks_fix_enabled) {
+                  // we can always add display_digits (i.e. dislpay_digit_diff > 0), of course the ticks can be expressed precisely with extra 0s.
+                  // but if we are going to remove display_digits (i.e display_digit_diff < 0), we must make sure the tick_unit is large enough to be expressed precisely with that many fewer digits
+                  //    - "-display_digit_diff <= Math.Ceiling(Math.Log10(tf.tick_unit))" will tell us if the digits can be removed without compromising precision
+                  //    - unfortunately, we cannot rely on the exchange's ContractSpec for this, there is 1 known case where the data they give us is incorrect
+                  //       SOM spreads ContractSpec (from the exchange):
+                  //          LowTick:            0.0025 (aka 1/400, or 2/800)
+                  //          MainFraction:       8
+                  //          SubFraction:        0
+                  //          PriceDisplayFormat: 1
+                  //       - as you can see, this cannot possibly be formatted with 1 display digit, it ticks in increments of 1/400
+                  //       - in practice, to maintain the '8' base, we format this in increments of 2/800 (e.g. 1-000, 1-002, 1-004, and so on up to 1-778, 2-000)
+                  if (display_digit_diff > 0 || (display_digit_diff < 0 && -display_digit_diff <= Math.Ceiling(Math.Log10(tf.tick_unit))))
+                     tf = _inflate_to_base(tf, tf.tick_base * Math.Pow(10, display_digit_diff));
+               } else if (display_digit_diff != 0) {
                   tf = _inflate_to_base(tf, tf.tick_base * Math.Pow(10, display_digit_diff));
+               }
             }
             return tf;
          }

src/client/spark_api/Co2/MDConsumerHandle.cs

@@ -133,12 +133,6 @@ namespace mbts.co2 {
          total_volume = _cold->total_volume;
          return (_cold->last_trade.load_if_new(ref time, out ps));
       }
-      public bool get_last_trade(ref ulong time, out NativePriceSize ps, out DateTime timestamp, out ulong total_volume, out bool from_spread) {
-         timestamp = _cold->last_trade_time;
-         total_volume = _cold->total_volume;
-         from_spread = (_cold->from_spread != 0);
-         return (_cold->last_trade.load_if_new(ref time, out ps));
-      }      
       public ulong misc_timestamp { get { return _cold->misc_timestamp; } }
 
       public ulong total_volume { get { return _cold->total_volume; } }
@@ -265,7 +259,7 @@ namespace mbts.co2 {
          // Last trade
          public AtomicPriceSize last_trade;
          public ulong total_volume;
-         public utils.LLDateTime last_trade_time;         
+         public utils.LLDateTime last_trade_time;
 
          //// Settlement
          public UInt64 misc_timestamp;
@@ -286,7 +280,6 @@ namespace mbts.co2 {
          public double session_low_offer;
          public double fixing_price;
 
-         public int from_spread;
          public int deleted;
          // FixedSecurity will not be directly addressable.  Instead the security is available through the callback
          public Int64 security_size;

src/client/spark_sdk/README.md

@@ -87,22 +87,11 @@ Example:
 
  ### Excel
  ```
- spark_sdk\bin\Debug\net471> start spark_excel-addin64-packed.xll 
+ spark_sdk\bin\Debug\net471> start spark_excel-addin64.xll 
  ```
  * This will start excel and load the bts addin
  * Check the [```excel```](excel/) directory for an example spreadsheet
  
 
-### Dotnet core
-
-   * Right now we only support c# Windows 10 clients, but the package targets both net471 and .net core 2.1.6, so in theory one could run a .net core or c++ client on linux with a little work.  
-
-   * https://dotnet.microsoft.com/
-   
-
-      ```
-      spark_client_sdk\src\spark_sdk> dotnet build
-      ...> dotnet spark_sdk.dll
-      ```
 
 * Send us an email for help: api_support@bluetradesys.com

src/client/spark_sdk/samples/SDKMain.cs

@@ -142,7 +142,7 @@ namespace bts.sdk
          Console.WriteLine("This command subscribes to market data for an exchange-type-symbol channel and writes to console.");
          Console.WriteLine("Marketdata is read off the wire on the same thread as is used to read and print");
          Console.WriteLine("   example: md GLBX Future ES --user=bts --pass=password");
-         Console.WriteLine("            md GLBX Future ES ESZ8 --user=bts --pass=password");
+         Console.WriteLine("            md SIM Future ES SIM:ESZ8 --user=bts --pass=password");
          Console.WriteLine("            md GLBX Spread ES --user=bts --pass=password");
          Environment.Exit(1);
       }

src/client/spark_test/Co2/Co2Tests.cs

@@ -142,8 +142,7 @@ namespace mbts.co2.tests
          Assert.IsTrue(entry.session_low_offer == 5.5);
          Assert.IsTrue(entry.fixing_price == 6.6);
 
-         Assert.IsTrue(entry.from_spread == 0);
-         Assert.IsTrue(entry.deleted == 1);         
+         Assert.IsTrue(entry.deleted == 1);
       }
 
       [Test]

src/client/spark_test/Utils/TestUtils.cs

@@ -85,8 +85,6 @@ namespace bts.tests.utils {
          if(timeout == null) {
             timeout = TimeSpan.FromMinutes(2);
          }
-         Console.WriteLine("Please Wait... this is going to take some time...");
-         await Task.Delay(180000);
 
          System.Diagnostics.Stopwatch sw = new System.Diagnostics.Stopwatch();
          sw.Start();

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

@@ -11,6 +11,7 @@
 -->
 <connectivityConfiguration>
     <!-- TCP Connection Information -->
+
     <tcp>
         <server name="default">
             <ip>63.247.113.163</ip>
@@ -18,7 +19,7 @@
             <userName>bluetrd-ps</userName>
             <password>Starts123</password>
             <getStripInfoMessages>N</getStripInfoMessages>
-            <strategyPreference>New</strategyPreference>
+            <strategyPreference>Legacy</strategyPreference>
             <localNetworkInterface></localNetworkInterface>
         </server>
         <server name="endex">
@@ -27,7 +28,7 @@
             <userName>Value from ICE Support</userName>
             <password>Value from ICE Support</password>
             <getStripInfoMessages>N</getStripInfoMessages>
-            <strategyPreference>New</strategyPreference>
+            <strategyPreference>Legacy</strategyPreference>
             <localNetworkInterface></localNetworkInterface>
         </server>
         <server name="liffe-eu">
@@ -36,7 +37,7 @@
             <userName>bluetrdl-ps</userName>
             <password>Starts123</password>
             <getStripInfoMessages>N</getStripInfoMessages>
-            <strategyPreference>New</strategyPreference>
+            <strategyPreference>Legacy</strategyPreference>
             <localNetworkInterface></localNetworkInterface>
         </server>
         <settings>

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

@@ -17,10 +17,10 @@
         <server name="default">
             <ip>63.247.113.214</ip>
             <port>3000</port>
-            <userName>bt_ps</userName>
-            <password>Starts123</password>
+            <userName>Value from ICE Support</userName>
+            <password>Value from ICE Support</password>
             <getStripInfoMessages>N</getStripInfoMessages>
-            <strategyPreference>New</strategyPreference>
+            <strategyPreference>Legacy</strategyPreference>
             <localNetworkInterface></localNetworkInterface>
         </server>
         <settings>

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/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
+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/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
+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/SecurityMapper.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/PrivaLine truncated

src/lib/api/service_helpers/AdminServiceUtils.cpp

@@ -42,15 +42,12 @@ bool AdminServiceUtils::has_exchange(const ExchangeConnection& conn,
       break;
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_SIM:
-   case api::Venue::VENUE_SIMICE:
       rv = conn.has_sim_connection();
-      break;      
-   case api::Venue::VENUE_ICE:
-      rv = conn.has_ice_connection();
       break;
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
    case api::Venue::VENUE_CBOECFE:
+   case api::Venue::VENUE_ICE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
    case api::Venue::Venue_INT_MAX_SENTINEL_DO_NOT_USE_:
       rv = false;
@@ -87,23 +84,6 @@ AdminServiceUtils::resolve_cme_connection(const bts::api::admin::AdminData& data
    return nullptr;                                                               
 }
 
-const bts::api::admin::ExchangeConnection*
-AdminServiceUtils::resolve_ice_connection(const bts::api::admin::AdminData& data,
-                                          const bts::api::admin::BTSAccount& account,
-                                          const bts::api::Security&)
-{
-   if(account.has_connections())
-   {
-      for (const std::string& conn_name : account.connections().exchange_connection_names())
-      {
-         const bts::api::admin::ExchangeConnection* conn = find_connection(data, conn_name);
-         if (conn!=nullptr && conn->has_ice_connection())
-            return conn;  
-      }
-   }
-   return nullptr;                                                               
-}
-
 const bts::api::admin::ExchangeConnection*
 AdminServiceUtils::resolve_sim_connection(const bts::api::admin::AdminData& data,
                                           const bts::api::admin::BTSAccount& account,
@@ -132,22 +112,14 @@ AdminServiceUtils::resolve_connection(const bts::api::admin::AdminData& data,
          rv = resolve_sim_connection(data, account, sec);
       break;
    }
-   case api::Venue::VENUE_ICE: 
-   {      
-      rv = resolve_ice_connection(data, account, sec);
-      auto deployment_type = boost::to_lower_copy(config::get<config::DeploymentType>().type());
-      if (rv == nullptr && (deployment_type == "dev" || deployment_type == "demo"))
-         rv = resolve_sim_connection(data, account, sec);
-      break;
-   }   
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_SIM:
-   case api::Venue::VENUE_SIMICE:
       rv = resolve_sim_connection(data, account, sec);
       break;
    case api::Venue::VENUE_CBOE:
    case api::Venue::VENUE_CBOECFE:      
+   case api::Venue::VENUE_ICE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
       case api::Venue::Venue_INT_MAX_SENTINEL_DO_NOT_USE_:
       rv = nullptr;
@@ -184,15 +156,9 @@ void AdminServiceUtils::fill_connections_from_config(bts::api::admin::AdminData&
       case config::JetFIX::Connection::CBOE:
          break;
       case config::JetFIX::Connection::SIM:
-      case config::JetFIX::Connection::SIMICE:
          connection.mutable_sim_connection();
          add_connection(admin_data,connection);
          break;
-      case config::JetFIX::Connection::ICE:
-         connection.mutable_ice_connection()->set_sender_compid(c.sender_compid());
-         add_connection(admin_data,connection);
-         break;
-         
       }
    }
    for(int i=0;i<admin_data.accounts_size();i++)
@@ -274,18 +240,6 @@ const bts::api::admin::CMEAccountData* AdminServiceUtils::get_account_cme_data(c
    return nullptr;
 }
 
-const bts::api::admin::ICEAccountData* AdminServiceUtils::get_account_ice_data(const bts::api::admin::BTSAccount& account, 
-                                                                               const bts::api::admin::AdminData& data){
-   if (account.has_exchange_account_data() && account.exchange_account_data().has_ice_account_data())
-      return &(account.exchange_account_data().ice_account_data());
-   else if (has_id(account.parent_account_id())){
-      const bts::api::admin::BTSAccount* parent_account = find_account(data, account.parent_account_id());
-      if (parent_account != nullptr)
-         return get_account_ice_data (*parent_account, data);
-   }
-   return nullptr;
-}
-
 const bts::api::admin::SIMAccountData* AdminServiceUtils::get_account_sim_data(const bts::api::admin::BTSAccount& account, 
                                                                                const bts::api::admin::AdminData& data){
    if (account.has_exchange_account_data() && account.exchange_account_data().has_sim_account_data())
@@ -321,16 +275,7 @@ std::string AdminServiceUtils::find_account_exchange_account (const bts::api::ad
          rv = cme_account_data->clearing_account();
       break;
    }
-   case api::Venue::VENUE_ICE:
-   {
-      auto ice_account_data = get_account_ice_data(account, data);
-      if (ice_account_data != nullptr)
-         rv = ice_account_data->clearing_account();
-      break;      
-   }
-   case api::Venue::VENUE_SIM: 
-   case api::Venue::VENUE_SIMICE:
-   {
+   case api::Venue::VENUE_SIM: {
       auto sim_account_data = get_account_sim_data(account, data);
       if (sim_account_data != nullptr)
          rv = sim_account_data->clearing_account();
@@ -339,7 +284,8 @@ std::string AdminServiceUtils::find_account_exchange_account (const bts::api::ad
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
-   case api::Venue::VENUE_CBOECFE:         
+   case api::Venue::VENUE_CBOECFE:      
+   case api::Venue::VENUE_ICE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
    case api::Venue::Venue_INT_MAX_SENTINEL_DO_NOT_USE_:      
       out_result.set_is_success(false); out_result.set_error_text("Exchange not supported");
@@ -439,46 +385,6 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(const bt
       return rv;
    }
    switch (sec.exchange()) {
-   case api::Venue::VENUE_ICE:
-   {
-      const bts::api::admin::ICEUserData* ice_user_data = get_user_ice_data(*user_ptr, data);
-      if(ice_user_data==nullptr)
-      {
-        out_result.set_is_success(false);
-        out_result.set_error_text("Could not find ICE data for user");
-        return rv;
-      }     
-      const bts::api::admin::ICEAccountData* ice_account_data = get_account_ice_data(*account_ptr, data);
-      if(ice_account_data==nullptr)
-      {
-         out_result.set_is_success(false);
-         out_result.set_error_text("Could not find ICE data for account");
-         return rv;
-      }        
-      // check for data corectness
-      if (ice_user_data->operator_id().length() == 0)
-      {
-         out_result.set_is_success(false);
-         out_result.set_error_text("Operator ID is not set");
-         return rv;
-      }
-
-      rv.set_session(conn_ptr->name());
-      rv.set_sender_compid(conn_ptr->ice_connection().sender_compid());
-      rv.set_account(ice_account_data->clearing_account());
-      rv.set_operator_id(ice_user_data->operator_id());   
-      rv.set_cti_code(ice_account_data->cti());
-      rv.set_customer_or_firm(ice_account_data->origin());
-      rv.set_clearing_firm(ice_account_data->clearing_firm());
-      rv.set_customer_account_ref_id(ice_account_data->customer_account_ref_id());
-      rv.set_account_code(ice_account_data->account_code());
-      rv.set_company_id(std::to_string(ice_user_data->company_id()));
-      rv.set_authorized_trader(ice_user_data->authorized_trader());
-      rv.set_authorized_group(ice_user_data->authorized_group());      
-      rv.set_cust_order_handing_inst(ice_user_data->cust_order_handing_inst());
-      
-      return rv;             
-   }
    case bts::api::Venue::VENUE_GLBX: {
      const bts::api::admin::CMEUserData* cme_user_data = get_user_cme_data(*user_ptr, data);
      if(cme_user_data==nullptr){
@@ -529,9 +435,7 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(const bt
      rv.set_customer_or_firm(cme_account_data->origin());
      return rv;
    }
-   case api::Venue::VENUE_SIM: 
-   case api::Venue::VENUE_SIMICE: 
-   {
+   case api::Venue::VENUE_SIM: {
      const bts::api::admin::SIMUserData* sim_user_data = get_user_sim_data(*user_ptr, data);
      if(sim_user_data==nullptr){
         out_result.set_is_success(false);
@@ -577,7 +481,8 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(const bt
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
-   case api::Venue::VENUE_CBOECFE:   
+   case api::Venue::VENUE_CBOECFE:
+   case api::Venue::VENUE_ICE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
    case api::Venue::Venue_INT_MAX_SENTINEL_DO_NOT_USE_:
       out_result.set_is_success(false);
@@ -724,18 +629,6 @@ const bts::api::admin::CMEUserData* AdminServiceUtils::get_group_cme_data(const
    return nullptr;
 }
 
-const bts::api::admin::ICEUserData* AdminServiceUtils::get_group_ice_data(const bts::api::admin::BTSUserGroup& group,
-                                                                          const bts::api::admin::AdminData& data){
-   if (group.has_user_data() && group.user_data().has_exchange_user_data() && group.user_data().exchange_user_data().has_ice_data())
-      return &(group.user_data().exchange_user_data().ice_data());
-   else if (has_id(group.parent_group_id())){
-      const bts::api::admin::BTSUserGroup* parent_group = find_group(data, group.parent_group_id());
-      if (parent_group != nullptr)
-         return get_group_ice_data(*parent_group, data);
-   }
-   return nullptr;
-}
-
 const bts::api::admin::SIMUserData* AdminServiceUtils::get_group_sim_data(const bts::api::admin::BTSUserGroup& group,
                                                                           const bts::api::admin::AdminData& data){
    if (group.has_user_data() && group.user_data().has_exchange_user_data() && group.user_data().exchange_user_data().has_sim_data())
@@ -866,18 +759,6 @@ const bts::api::admin::CMEUserData* AdminServiceUtils::get_user_cme_data(const b
    return nullptr;
 }
 
-const bts::api::admin::ICEUserData* AdminServiceUtils::get_user_ice_data(const bts::api::admin::BTSUser& user, 
-                                                                         const bts::api::admin::AdminData& data){
-   if (user.has_user_data() && user.user_data().has_exchange_user_data() && user.user_data().exchange_user_data().has_ice_data())
-      return &(user.user_data().exchange_user_data().ice_data());
-   else{
-      const bts::api::admin::BTSUserGroup* parent_group = find_group(data, user.parent_group_id());
-         if (parent_group != nullptr)
-            return get_group_ice_data(*parent_group, data);
-   }
-   return nullptr;
-}
-
 const bts::api::admin::SIMUserData* AdminServiceUtils::get_user_sim_data(const bts::api::admin::BTSUser& user, 
                                                                          const bts::api::admin::AdminData& data){
    if (user.has_user_data() && user.user_data().has_exchange_user_data() && user.user_data().exchange_user_data().has_sim_data())
@@ -905,16 +786,7 @@ std::string AdminServiceUtils::find_user_exchange_id (const bts::api::admin::Adm
          rv = cme_user_data->operator_id();
       break;
    }
-   case api::Venue::VENUE_ICE:
-   {
-      auto ice_user_data = get_user_ice_data(user, data);
-      if (ice_user_data != nullptr)
-         rv = ice_user_data->operator_id();
-      break;      
-   }
-   case api::Venue::VENUE_SIM: 
-   case api::Venue::VENUE_SIMICE:
-   {
+   case api::Venue::VENUE_SIM: {
       auto sim_user_data = get_user_sim_data(user, data);
       if (sim_user_data != nullptr)
          rv = sim_user_data->operator_id();
@@ -924,38 +796,8 @@ std::string AdminServiceUtils::find_user_exchange_id (const bts::api::admin::Adm
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
-   case api::Venue::VENUE_CBOECFE:         
-   case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
-   case api::Venue::Venue_INT_MAX_SENTINEL_DO_NOT_USE_:      
-      out_result.set_is_success(false); out_result.set_error_text("Exchange not supported");
-      break;
-   }
-   return rv;
-}
-
-std::string AdminServiceUtils::find_user_company_id (const bts::api::admin::AdminData& data,
-                                                     const bts::api::admin::BTSUser& user,
-                                                     api::Venue exchange,
-                                                     bts::api::admin::AdminServiceOperationResult& out_result)
-{
-   out_result.set_is_success(true);
-   std::string rv = "";
-   switch(exchange)
-   {
+   case api::Venue::VENUE_CBOECFE:      
    case api::Venue::VENUE_ICE:
-   {
-      auto ice_user_data = get_user_ice_data(user, data);
-      if (ice_user_data != nullptr)
-         rv = std::to_string(ice_user_data->company_id());
-      break;      
-   }
-   case api::Venue::VENUE_SIM: 
-   case api::Venue::VENUE_SIMICE:
-   case api::Venue::VENUE_GLBX:
-   case api::Venue::VENUE_UNSET:
-   case api::Venue::VENUE_BTS:
-   case api::Venue::VENUE_CBOE:
-   case api::Venue::VENUE_CBOECFE:         
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
    case api::Venue::Venue_INT_MAX_SENTINEL_DO_NOT_USE_:      
       out_result.set_is_success(false); out_result.set_error_text("Exchange not supported");
@@ -963,7 +805,6 @@ std::string AdminServiceUtils::find_user_company_id (const bts::api::admin::Admi
    }
    return rv;
 }
-
 std::pair<const bts::api::admin::BTSAccount*, const bts::api::admin::BTSUser*>
 AdminServiceUtils::find_user_account_matches (const bts::api::admin::AdminData& admin_data,
                                               const std::string& connection, const std::string& exchange_account,
@@ -974,22 +815,14 @@ AdminServiceUtils::find_user_account_matches (const bts::api::admin::AdminData&
    auto user_ptrs = users(admin_data, false);
    for(const bts::api::admin::BTSAccount* account_ptr : account_ptrs){
       if (account_has_connection(*account_ptr, connection)){
-         if (boost::algorithm::iequals(exchange_account, find_account_exchange_account(admin_data,*account_ptr,exchange,find_account_result)) &&
-                                       find_account_result.is_success())
-         {
-            for(const bts::api::admin::BTSUser* user_ptr : user_ptrs)
-            {
-               if (boost::algorithm::iequals(exchange_user,find_user_exchange_id(admin_data,*user_ptr,exchange,find_user_result)) &&
+         if (boost::algorithm::iequals(exchange_account,
+                                       find_account_exchange_account(admin_data,*account_ptr,exchange,find_account_result)) &&
+                            find_account_result.is_success()){
+            for(const bts::api::admin::BTSUser* user_ptr : user_ptrs){
+               if (boost::algorithm::iequals(exchange_user,
+                                             find_user_exchange_id(admin_data,*user_ptr,exchange,find_user_result)) &&
                    find_user_result.is_success())
                   return std::pair<const bts::api::admin::BTSAccount*, const bts::api::admin::BTSUser*>(account_ptr,user_ptr);
-                  
-               //This code eventually gets called by get_reverse_routing_record(...)
-               //At the ice, they send back the login level tag50 in exec reports which doesn't match any user level tag50s in the exchange_user
-               //so instead we look for the CompanyID (or client_id, tag 109) field here.  If this field matches we have a good bet that 
-               //the user we find is enough to fulfill the routing record enough to cancel or modify orphaned orders, etc
-               if (boost::algorithm::iequals(exchange_user,find_user_company_id(admin_data,*user_ptr,exchange,find_user_result)) &&
-                   find_user_result.is_success())
-                  return std::pair<const bts::api::admin::BTSAccount*, const bts::api::admin::BTSUser*>(account_ptr,user_ptr);                  
             }
          }
       }
@@ -1212,6 +1045,13 @@ void AdminServiceUtils::set_user_exchange_data(bts::api::admin::BTSUser* user,
    if (!user->user_data().has_exchange_user_data())
       user->mutable_user_data()->mutable_exchange_user_data()->CopyFrom(exchange_user_data);
 }
+void AdminServiceUtils::set_user_md_entitlement_data(bts::api::admin::BTSUser* user,
+                                                     const bts::api::admin::ExchangeUserMarketDataEntitlementData& exchange_user_md_entitelemnt_data){
+   if (!user->has_user_data())
+      user->mutable_user_data();
+   if (!user->user_data().has_exchange_md_entitlement_data())
+      user->mutable_user_data()->mutable_exchange_md_entitlement_data()->CopyFrom(exchange_user_md_entitelemnt_data);
+}
 void AdminServiceUtils::clear_user_accounts (bts::api::admin::BTSUser* user){
    if(user->has_user_data() && user->user_data().has_account_permissions())
       user->mutable_user_data()->clear_account_permissions();
@@ -1456,7 +1296,6 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    auto account_1 = create_account(data, parent_account->id(), std::string("ACC A1"), std::string("description"), true, account_result); account_1->set_is_active(true);      
    auto account_2 = create_account(data, parent_account->id(), std::string("ACC A2"), std::string("description"), true, account_result); account_2->set_is_active(true);
    auto account_3 = create_account(data, parent_account->id(), std::string("ACC A3"), std::string("description"), true, account_result); account_3->set_is_active(true);
-   auto account_4 = create_account(data, parent_account->id(), std::string("BLUETST"), std::string("description"), true, account_result); account_4->set_is_active(true);
    create_account(data, parent_account->id(), std::string("ACC A4"), std::string("description"), true, account_result);
    // add group
    auto def_group = create_group(data, 0, std::string("default"), result);
@@ -1468,6 +1307,7 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    auto user_3 = create_user(data, def_group->id(), std::string("bts_3"), std::string("bts_3"), empty, empty, false, license_data, license_entitlements, user_result); user_3->set_is_active(true);
    //associate users
    bts::api::admin::UserAccountPermissionUnit permission_unit;
+   permission_unit.mutable_trading_permission()->set_submit_market_orders(true);
    permission_unit.mutable_trading_permission()->set_has_permissions(true);
    permission_unit.mutable_admin_permission()->set_has_permissions(true);
    bts::api::admin::UserAccountPermissions account_permissions;
@@ -1475,7 +1315,6 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    account_permissions.mutable_account_permissions()->insert(google::protobuf::MapPair<uint32_t, bts::api::admin::UserAccountPermissionUnit>(account_1->id(), permission_unit));
    account_permissions.mutable_account_permissions()->insert(google::protobuf::MapPair<uint32_t, bts::api::admin::UserAccountPermissionUnit>(account_2->id(), permission_unit));
    account_permissions.mutable_account_permissions()->insert(google::protobuf::MapPair<uint32_t, bts::api::admin::UserAccountPermissionUnit>(account_3->id(), permission_unit));      
-   account_permissions.mutable_account_permissions()->insert(google::protobuf::MapPair<uint32_t, bts::api::admin::UserAccountPermissionUnit>(account_4->id(), permission_unit));      
    set_user_accounts(user_1, account_permissions);
    set_user_accounts(user_2, account_permissions);
    set_user_accounts(user_3, account_permissions);
@@ -1485,12 +1324,6 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    exchange_account_data.mutable_cme_account_data()->set_cti(bts::api::orderman::CTICode::CTI_CODE_CTI_CODE1);
    exchange_account_data.mutable_cme_account_data()->set_origin(bts::api::orderman::CustomerOrFirm::CUSTOMER_OR_FIRM_FIRM);
    exchange_account_data.mutable_cme_account_data()->set_clearing_account(parent_account->name());
-   
-   exchange_account_data.mutable_ice_account_data()->set_cti(bts::api::orderman::CTICode::CTI_CODE_UNDEFINED);
-   exchange_account_data.mutable_ice_account_data()->set_origin(bts::api::orderman::CustomerOrFirm::CUSTOMER_OR_FIRM_FIRM);
-   exchange_account_data.mutable_ice_account_data()->set_clearing_account(parent_account->name());
-   exchange_account_data.mutable_ice_account_data()->set_clearing_firm("649");
-   
    exchange_account_data.mutable_sim_account_data()->set_cti(bts::api::orderman::CTICode::CTI_CODE_CTI_CODE1);
    exchange_account_data.mutable_sim_account_data()->set_origin(bts::api::orderman::CustomerOrFirm::CUSTOMER_OR_FIRM_FIRM);
    exchange_account_data.mutable_sim_account_data()->set_clearing_account(parent_account->name());
@@ -1498,87 +1331,33 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
 
 
    exchange_account_data.mutable_cme_account_data()->set_clearing_account(account_1->name());
-   exchange_account_data.mutable_ice_account_data()->set_clearing_account(account_1->name());
    exchange_account_data.mutable_sim_account_data()->set_clearing_account(account_1->name());
    set_account_exchange_data(account_1, exchange_account_data);
 
    exchange_account_data.mutable_cme_account_data()->set_clearing_account(account_2->name());
-   exchange_account_data.mutable_ice_account_data()->set_clearing_account(account_2->name());
    exchange_account_data.mutable_sim_account_data()->set_clearing_account(account_2->name());
    set_account_exchange_data(account_2, exchange_account_data);
    
    exchange_account_data.mutable_cme_account_data()->set_clearing_account(account_3->name());
-   exchange_account_data.mutable_ice_account_data()->set_clearing_account(account_3->name());
    exchange_account_data.mutable_sim_account_data()->set_clearing_account(account_3->name());
    set_account_exchange_data(account_3, exchange_account_data);
 
-   exchange_account_data.mutable_ice_account_data()->set_clearing_account(account_4->name());
-   set_account_exchange_data(account_4, exchange_account_data);
-   
-
    // add cme and sim user data
    bts::api::admin::ExchangeUserData exchange_user_data;
    exchange_user_data.mutable_cme_data()->set_operator_id("op_id_" + user_1->name());
    exchange_user_data.mutable_cme_data()->set_location("us,nc");
-   
-   exchange_user_data.mutable_ice_data()->set_operator_id("op_id_" + user_1->name());
-   exchange_user_data.mutable_ice_data()->set_company_id(51251);
-   exchange_user_data.mutable_ice_data()->set_authorized_trader("bluetrd-fx");
-   exchange_user_data.mutable_ice_data()->set_authorized_group("Group");
-   exchange_user_data.mutable_ice_data()->set_password("Starts123");
-   exchange_user_data.mutable_ice_data()->set_mifid_direct_electronic_access(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_trading_capacity(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_liquidity_provision(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_commodity_deriv_indicator(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_investment_decision(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_execution_decision(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_client_id_code(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_id(1);
-      
    exchange_user_data.mutable_sim_data()->set_operator_id("op_id_" + user_1->name());
    exchange_user_data.mutable_sim_data()->set_location("us,nc");
    set_user_exchange_data(user_1, exchange_user_data);
 
    exchange_user_data.mutable_cme_data()->set_operator_id("op_id_" + user_2->name());
    exchange_user_data.mutable_cme_data()->set_location("us,nc");
-   
-   exchange_user_data.mutable_ice_data()->set_operator_id("op_id_" + user_2->name());
-   exchange_user_data.mutable_ice_data()->set_company_id(51251);
-   exchange_user_data.mutable_ice_data()->set_authorized_trader("bluetrd-fx");
-   exchange_user_data.mutable_ice_data()->set_authorized_group("Group");
-   exchange_user_data.mutable_ice_data()->set_password("Starts123");
-   exchange_user_data.mutable_ice_data()->set_mifid_direct_electronic_access(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_trading_capacity(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_liquidity_provision(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_commodity_deriv_indicator(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_investment_decision(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_execution_decision(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_client_id_code(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_id(1);
-   
-   
    exchange_user_data.mutable_sim_data()->set_operator_id("op_id_" + user_2->name());
    exchange_user_data.mutable_sim_data()->set_location("us,nc");
    set_user_exchange_data(user_2, exchange_user_data);
 
    exchange_user_data.mutable_cme_data()->set_operator_id("op_id_" + user_3->name());
    exchange_user_data.mutable_cme_data()->set_location("us,nc");
-   
-   exchange_user_data.mutable_ice_data()->set_operator_id("op_id_" + user_3->name());
-   exchange_user_data.mutable_ice_data()->set_company_id(51251);
-   exchange_user_data.mutable_ice_data()->set_authorized_trader("bluetrd-fx");
-   exchange_user_data.mutable_ice_data()->set_authorized_group("Group");
-   exchange_user_data.mutable_ice_data()->set_password("Starts123");
-   exchange_user_data.mutable_ice_data()->set_mifid_direct_electronic_access(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_trading_capacity(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_liquidity_provision(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_commodity_deriv_indicator(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_investment_decision(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_execution_decision(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_client_id_code(-1);
-   exchange_user_data.mutable_ice_data()->set_mifid_id(1);
-   
-   
    exchange_user_data.mutable_sim_data()->set_operator_id("op_id_" + user_3->name());
    exchange_user_data.mutable_sim_data()->set_location("us,nc");
    set_user_exchange_data(user_3, exchange_user_data);
@@ -1620,13 +1399,6 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    add_security_clip_sizes_to_account(account_1, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_SPREAD,100);
    add_security_clip_sizes_to_account(account_1, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_FUTURE,100);
    add_security_clip_sizes_to_account(account_1, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_SPREAD,100);
-
-   //ICE limits   
-   add_product_position_limits(account_4, api::Venue::VENUE_ICE, api::SecurityType::SECURITYTYPE_FUTURE,50000);
-   add_product_position_limits(account_4, api::Venue::VENUE_ICE, api::SecurityType::SECURITYTYPE_SPREAD,50000);
-   add_security_clip_sizes_to_account(account_4, api::Venue::VENUE_ICE, api::SecurityType::SECURITYTYPE_FUTURE,50);
-   add_security_clip_sizes_to_account(account_4, api::Venue::VENUE_ICE, api::SecurityType::SECURITYTYPE_SPREAD,50);
-   
 }
 bool AdminServiceUtils::has_id (uint32_t id){return id>0;}
 bool AdminServiceUtils::is_symbol_set (const std::string& symbol){

src/lib/api/service_helpers/AdminServiceUtils.h

@@ -35,10 +35,6 @@ public:
                                                    const AdminData& data,
                                                    const BTSAccount& account,
                                                    const api::Security& sec);
-   static const ExchangeConnection* resolve_ice_connection(
-                                                   const AdminData& data,
-                                                   const BTSAccount& account,
-                                                   const api::Security& sec);                                                   
    static const ExchangeConnection* resolve_sim_connection(
                                                    const AdminData& data,
                                                    const BTSAccount& account,
@@ -89,8 +85,6 @@ public:
    // if needed)
    static const CMEAccountData* get_account_cme_data(const BTSAccount& account,
                                                      const AdminData& data);
-   static const ICEAccountData* get_account_ice_data(const BTSAccount& account,
-                                                     const AdminData& data);                                                     
    static const SIMAccountData* get_account_sim_data(const BTSAccount& account,
                                                      const AdminData& data);
    // returns true if an account has a connection  
@@ -162,8 +156,6 @@ public:
    // travels up the group tree until it finds a populated cme data 
    static const CMEUserData* get_group_cme_data(const BTSUserGroup& group,
                                                 const AdminData& data);
-   static const ICEUserData* get_group_ice_data(const BTSUserGroup& group,
-                                                const AdminData& data);                                                
    static const SIMUserData* get_group_sim_data(const BTSUserGroup& group, 
                                                 const AdminData& data);
    static const UserAccountPermissions* const get_group_user_permissions (
@@ -198,8 +190,6 @@ public:
    static uint32_t find_max_user_id (const AdminData& data);
    static const CMEUserData* get_user_cme_data(const BTSUser& user, 
                                                const AdminData& data);
-   static const ICEUserData* get_user_ice_data(const BTSUser& user, 
-                                               const AdminData& data);                                               
    static const SIMUserData* get_user_sim_data(const BTSUser& user, 
                                                const AdminData& data);
    // finds the "exchange user" (ex: "operator_id" at CME or "authorized_trader" 
@@ -209,12 +199,6 @@ public:
                                     const BTSUser& user,
                                     api::Venue exchange,
                                     AdminServiceOperationResult& out_result);
-   static std::string find_user_company_id (
-                                    const AdminData& data,
-                                    const BTSUser& user,
-                                    api::Venue exchange,
-                                    AdminServiceOperationResult& out_result);
-                                    
    static std::pair<const BTSAccount*, const BTSUser*>
    find_user_account_matches (const AdminData& admin_data,
                               const std::string& connection,
@@ -280,6 +264,8 @@ public:
    static void set_user_exchange_data(
                                  BTSUser* user,
                                  const ExchangeUserData& exchange_user_data);
+   static void set_user_md_entitlement_data(BTSUser* user,
+                                 const ExchangeUserMarketDataEntitlementData&);
    static void clear_user_accounts (BTSUser* user);
    static void set_user_accounts (BTSUser* user,
                      const UserAccountPermissions& user_account_permissions);

src/lib/api/services/AdminService.proto

@@ -55,12 +55,11 @@ message BTSUser{
    string name = 30;
    string password = 40;
    string full_name = 42;
-   string company = 44;
+   string company = 44;   
    bool is_active = 50;
    bool can_create = 55;
-   LicenseData license_data = 60;
-   LicenseEntitlements license_entitlements = 70;
-
+   LicenseData license_data = 60; //unused
+   LicenseEntitlements license_entitlements = 70; //unused
    BTSUserDerivableData user_data = 80;
 }
 
@@ -77,7 +76,7 @@ message BTSUserDerivableData{
    // b. else its overridden at the user level
    UserAccountPermissions account_permissions = 70;
    ExchangeUserData exchange_user_data = 80;
-   reserved 90; reserved "exchange_md_entitlement_data"; //ExchangeUserMarketDataEntitlementData exchange_md_entitlement_data = 90;
+   ExchangeUserMarketDataEntitlementData exchange_md_entitlement_data = 90;
 }
 
 message LicenseData{
@@ -92,22 +91,21 @@ message LicenseEntitlements{
    bool spreader = 30;
 }
 
-// message AlgoTradingPermissionsUnit{
-//    bool submit_iceberg_orders = 10; //unused
-//    bool submit_time_box_orders = 20; //unused
-//    bool submit_spreader_orders = 30; //unused
-// }
+message AlgoTradingPermissionsUnit{
+   bool submit_iceberg_orders = 10; //unused
+   bool submit_time_box_orders = 20; //unused
+   bool submit_spreader_orders = 30; //unused
+}
 
 message TradingPermissionUnit{
-   reserved 10; reserved "submit_market_orders"; //bool submit_market_orders = 10; //unused
-   reserved 20; reserved "submit_gtc_orders"; //bool submit_gtc_orders = 20; //unused
-   reserved 30; reserved "algo_trading_permission"; //AlgoTradingPermissionsUnit algo_trading_permission = 30; //unused
-
    bool has_permissions = 5;
+   bool submit_market_orders = 10; //unused
+   bool submit_gtc_orders = 20; //unused  
+   AlgoTradingPermissionsUnit algo_trading_permission = 30; //unused
 }
 
 message AdminPermissionUnit{
-   // TODO: needs to be more ellaborate (account writing,
+   // TODO: needs to be more ellaborate (account writing, 
    // reading etc, routing etc)
    bool has_permissions = 10;
    bool has_md_permissions = 20;
@@ -121,15 +119,15 @@ message UserAccountPermissionUnit{
 
 message UserAccountPermissions{
    //uint32 = account_id
-   map<uint32, UserAccountPermissionUnit> account_permissions = 10;
+   map<uint32, UserAccountPermissionUnit> account_permissions = 10;   
 }
 
-// // unused now
-// message UserSecurityTradingLimit{
-//    SecurityScope security = 10;
-//    uint32 clip_size = 20;
-//    bool can_trade = 30;
-// }
+// unused now
+message UserSecurityTradingLimit{
+   SecurityScope security = 10;
+   uint32 clip_size = 20;
+   bool can_trade = 30;   
+}
 
 /************************************************************************/
 /********************************BTS Account*****************************/
@@ -154,7 +152,7 @@ message BTSAccount{
    AccountLossLimit account_loss_limit = 130;
 }
 
-message RiskLimitEnforcement{
+message RiskLimitEnforcement{   
    bool product_limit_in_net_terms = 10;
 }
 
@@ -205,22 +203,23 @@ message AccountLossLimit{
 message CMEMicData{
    api.CMEMics mic=10;
    bool enabled=20;
-   // there are other things here
+   // there are other things here   
 }
 
 message ICEMicData{
-   api.ICEMics mic=10;
+   api.CMEMics mic=10;
    bool enabled=20;
 }
 
+message ExchangeUserMarketDataEntitlementData{
+   CMEUserMarketDataEntitlementData cme_data = 10;
+   ICEUserMarketDataEntitlementData ice_data = 20;
+}
 
 message ExchangeUserData{
    CMEUserData cme_data = 10;
    ICEUserData ice_data = 20;
    SIMUserData sim_data = 30;
-
-   enum AdminDisplay { All = 0; MD = 1; Routing = 2; None = 100; }
-   AdminDisplay admin_display_flag = 120;
 }
 
 message ExchangeAccountData{
@@ -229,6 +228,9 @@ message ExchangeAccountData{
    SIMAccountData sim_account_data = 30;
 }
 
+message MarketDataEntitlement{
+   bool can_view = 10;
+}
 
 message ExchangeConnection{
    uint32 id = 10;
@@ -271,19 +273,19 @@ message CMEMSGWConnection{
    uint32 market_segment_id = 60;
 }
 
-message CMEAccountData {
-   reserved 30; reserved "takeup_member_code"; //string takeup_member_code = 30;
-   reserved 50; reserved "direct_electronic_access"; //string direct_electronic_access = 50;
-   reserved 60; reserved "trading_capacity"; //string trading_capacity = 60;
-   reserved 70; reserved "liquidity_provision"; //string liquidity_provision = 70;
-   reserved 80; reserved "commodity_derivative_indicator"; //string commodity_derivative_indicator = 80;
-   reserved 90; reserved "investment_decision_id"; //string investment_decision_id = 90;
-   reserved 100; reserved "execution_decision_id"; //string execution_decision_id = 100;
-   reserved 110; reserved "client_id"; //string client_id = 110;
-
+message CMEAccountData{
+   // should perhaps be an enum
    api.orderman.CTICode cti = 10;
    api.orderman.CustomerOrFirm origin = 20;
+   string takeup_member_code = 30;
    string clearing_account = 40;
+   string direct_electronic_access = 50;
+   string trading_capacity = 60;
+   string liquidity_provision = 70;
+   string commodity_derivative_indicator = 80;
+   string investment_decision_id = 90;
+   string execution_decision_id = 100;
+   string client_id = 110;
    map<string, string> misc_tags = 120;
 }
 
@@ -306,22 +308,21 @@ enum DisplayDesignation
 }
 
 message CMEUserData{
-   reserved 20; reserved "ats_operator_id"; //string ats_operator_id = 20;
-   reserved 40; reserved "text_a"; //string text_a = 40;
-   reserved 50; reserved "text_b"; //string text_b = 50;
-   reserved 80; reserved "max_order_rate_per_connection"; //string max_order_rate_per_connection = 80;
-   //enum AdminDisplay { All = 0; MD = 1; Routing = 2; None = 100; }
-   reserved 120; reserved "admin_display_flag"; //AdminDisplay admin_display_flag = 120;
-   repeated CMEMicData md_permissions = 1000;
-
    string operator_id = 10;
+   string ats_operator_id = 20;
    string smp_id = 30;
+   string text_a = 40;
+   string text_b = 50;
    map<string, string> misc_tags = 60;
    string smp_instruction = 70;
-
+   string max_order_rate_per_connection = 80;
    string location = 90;
    ProfessionalDesignation pro_nonpro = 100;
    DisplayDesignation display_nondisplay = 110;
+   
+   enum AdminDisplay { All = 0; MD = 1; Routing = 2; None = 100; } 
+   AdminDisplay admin_display_flag = 120; 
+   repeated CMEMicData md_permissions = 1000;
 }
 
 message SIMUserData {
@@ -329,67 +330,58 @@ message SIMUserData {
    string location = 90;
 }
 
+message CMEUserMarketDataEntitlementData{
+   MarketDataEntitlement cbot_entitlement = 10;
+   MarketDataEntitlement cme_entitlement = 20;
+   MarketDataEntitlement nymex_entitlement = 30;
+   MarketDataEntitlement bmandf_entitlement = 40;
+   MarketDataEntitlement comex_entitlement = 50;
+   MarketDataEntitlement cme_europe_entitlement = 60;
+}
+
 /********************************ICE Data*********************************/
 
-message ICEConnection {
-   string sender_compid = 10;
+message ICEConnection{
+   string authorized_member_id = 10;
+   string sender_company_id = 20;
+   string sender_sub_id = 30;
+   string session_id = 40;
+   string session_password = 50;
+   string host_ip = 60;
+   string port = 70;
+   string default_routing_trader = 80;
+   string routing_trader_password = 90;
+   int32 max_order_rate = 100;
 }
 
-message ICEAccountData {
-   reserved 10; reserved "nybit_house"; //string nybit_house = 10;
-   reserved 20; reserved "wce_house"; //int32 wce_house = 20;
-   reserved 30; reserved "clearing_account_override"; //string clearing_account_override = 30;
-   reserved 40; reserved "direct_electronic_access"; //bool direct_electronic_access = 40;
-   reserved 50; reserved "trading_capacity"; //string trading_capacity = 50;
-   reserved 60; reserved "liquidity_provision"; //bool liquidity_provision = 60;
-   reserved 70; reserved "commodity_derivative_indicator"; //bool commodity_derivative_indicator = 70;
-   reserved 80; reserved "investment_decision_id"; //string investment_decision_id = 80;
-   reserved 90; reserved "execution_decision_id"; //string execution_decision_id = 90;
-   reserved 100; reserved "client_id"; //string client_id = 100;
-   reserved 110; reserved "mfid_id"; //string mfid_id = 110;
-
-   api.orderman.CTICode cti = 3;
-   api.orderman.CustomerOrFirm origin = 5;
-   string clearing_firm = 200;
-   string clearing_account = 210;
-   string customer_account_ref_id = 220;
-   string account_code = 230;
-   map<string, string> misc_tags = 500;
+message ICEAccountData{
+   string nybit_house = 10;
+   int32 wce_house = 20;
+   string clearing_account_override = 30;
+   bool direct_electronic_access = 40;
+   string trading_capacity = 50;
+   bool liquidity_provision = 60;
+   bool commodity_derivative_indicator = 70;
+   string investment_decision_id = 80;
+   string execution_decision_id = 90;
+   string client_id = 100;
+   string mfid_id = 110;
 }
 
-message ICEUserData {
-   reserved 20; reserved "memo_field"; //string memo_field = 20;
-   reserved 30; reserved "text_b"; //string text_b = 30;
-   reserved 40; reserved "max_order_rate"; //uint32 max_order_rate = 40;
+message ICEUserData{
+   string authorized_trader = 10;
+   string memo_field = 20;
+   string text_b = 30;
+   uint32 max_order_rate = 40;
+}
 
-   int32 company_id = 3; //tag 109 clientid
-   string operator_id = 5; //tag 50
-   string authorized_trader = 10; //tag 553 user_name
-   string authorized_group = 15; //tag 553 user_name
-   string password = 21; //tag 96 raw data
-   string cust_order_handing_inst = 25;
-
-   //mifid
-   int32 mifid_direct_electronic_access = 500;
-   int32 mifid_trading_capacity = 510;
-   int32 mifid_liquidity_provision = 520;
-   int32 mifid_commodity_deriv_indicator = 530;
-   int64 mifid_investment_decision = 540;
-   int64 mifid_execution_decision = 550;
-   int64 mifid_client_id_code = 560;
-   int64 mifid_id = 570;
-
-   map<string, string> misc_tags = 60;
-   ProfessionalDesignation pro_nonpro = 100;
-   DisplayDesignation display_nondisplay = 110;
-
-   repeated ICEMicData md_permissions = 1000;
+message ICEUserMarketDataEntitlementData{
 }
 
 ///////////////////////////////////////////////////////////
 // Order Auxiliary Service ////////////////////////////////
 
-message OrdersSummaryUnit{
+message OrdersSummaryUnit{   
    string account = 10;
    string user = 20;
    uint32 total_orders = 30;
@@ -400,11 +392,11 @@ message OrdersSummary{
 }
 message OrderSummaryRequest{
 }
-// top level orders that have account
+// top level orders that have account 
 // and user that are present here, will
 // be cancelled. wild cards are not
 // supported.
-message OrderCancelRequest{
+message OrderCancelRequest{   
    repeated string accounts = 10;
    repeated string users = 20;
 }
@@ -440,7 +432,7 @@ message AccountCreateAPIArgument{
    string creator_user = 40;
 }
 message AccountUpdateAPIArgument{
-   BTSAccount complete_data=10;
+   BTSAccount complete_data=10;    
 }
 message UserCreateAPIArgument{
    uint32 parent_group_id = 20;
@@ -484,7 +476,7 @@ service AdminService {
    // users
    rpc create_user(UserCreateAPIArgument) returns (AdminServiceCreateEntityResult);
    rpc update_user(UserUpdateAPIArgument) returns (AdminServiceOperationResult);
-   rpc delete_user(IDAPIArgument) returns (AdminServiceOperationResult);
+   rpc delete_user(IDAPIArgument) returns (AdminServiceOperationResult);   
    // subscription
    rpc admin_data(bts.api.VoidMessage) returns (stream AdminData);
    rpc get_admin_data(bts.api.VoidMessage) returns (AdminData);

src/lib/api/services/OrderService.proto

@@ -309,13 +309,6 @@ message Fill {
     FILL_KIND_SOD = 2;
   }
   FillKind fill_kind = 10;
-  
-  enum FillStatus { 
-     FILL_STATUS_ACTIVE = 0;
-     FILL_STATUS_CORRECTED = 1;
-     FILL_STATUS_BUSTED = 2;
-  }
-  FillStatus fill_status = 20;
 }
 
 enum OrderSubType {
@@ -333,16 +326,6 @@ message RoutingRecord {
   string smp_id = 6 ;
   SelfMatchPreventionInstruction smp_instruction = 7;
   string location = 8;
-  
-  string sender_compid = 15;
-  string clearing_firm = 20;
-  string customer_account_ref_id = 25;
-  string account_code = 30;    
-  string company_id = 45;
-  string authorized_trader = 50;  
-  string authorized_group = 60;
-  string cust_order_handing_inst = 70;
-  string order_server_id = 200;
 }
 
 message NativeOrderState {

src/lib/config/ConfigurationState.cpp

@@ -23,7 +23,6 @@
 #include <map>
 #include <tuple>
 
-
 #define URDL_HEADER_ONLY 1
 #define URDL_DISALE_SSL 1
 #include <urdl/url.hpp>
@@ -906,4 +905,3 @@ std::string get_fallback(const proto::Message& message)
 }
 
 }}}//end namespaces
-

src/lib/config/defaults/MarketData.conf

@@ -63,41 +63,14 @@ ICEOptions {
       channel {
          name: "oil" #these names are arbitrary and are for debugging
          market_type: 5 #ICE Futures Brent, IPE Brent Futures
-         uds_market_type: 5
-         market_type: 9 #ICE Futures WTI, ICE WTI Crude Futures                  
-         uds_market_type: 9
-         ##market_type: 13 #ICE Heating Oil Futures         
-         ##uds_market_type: 13
-         ##market_type: 15 #ICE NYH (RBOB) Gasoline Futures
-         ##uds_market_type: 15
-         ##market_type: 21 #ICE Futures US Agricultures, Coffee C
-         ##uds_market_type: 21
-         ##market_type: 23 #ICE Futures US Agricultures, FCOJ A
-         ##uds_market_type: 23               
-         
-         market_type: 26 #ICE Futures US Financials DX
-         uds_market_type: 26
-         
-         uds_market_type: 11 #ICE WTI-Brent spreads
-         ##uds_market_type: 14 #ICE Heating Oil/WTI Futures Crack
-         ##uds_market_type: 16 #ICE NYH (RBOB) Gasoline/WTI Futures Crack         
-         ##uds_market_type: 58 #ICE Futures UI Heating Oil / Brent
-         ##uds_market_type: 59 #ICE NYH (RBOB) Gasoline/Brent Futures Crack 
-         
-         # market_type: 44 #ICE Henry Hub
-         # uds_market_type: 44
-         
-         # market_type: 1 #ICE Financial Power
-         # uds_market_type: 1
+         market_type: 9 #ICE Futures WTI, ICE WTI Crude Futures
          #udp_buffer_size: 33554432 #32mb
-         #onixs_log_mode: Debug
       }
-      # channel {
-      #    name: "juice"
-      #    market_type: 26 #ICE Futures US Agricultures, FCOJ A
-      # }
+      channel {
+         name: "juice"
+         market_type: 23 #ICE Futures US Agricultures, FCOJ A
+      }
       ice_config_file: "ConnectivityConfiguration.APITest.xml"      
-      #ice_config_file: "ConnectivityConfiguration.PerfTest.xml"      
    }
 }
 
@@ -121,3 +94,14 @@ MDBootDelayWindow {
         }
     }
 }
+
+DisplayFactorOverride {
+    value {
+        override {
+            symbol: "SOM"
+            exchange: "GLBX"
+            type: "SPREAD"
+            price_multiplier: 1
+        }
+    }
+}

src/lib/config/defaults/Ports.conf

@@ -3,8 +3,7 @@ Ports {
    value {
       config_port: 8000
       qbus_port: 8001
-      glbx_sim_fix_port: 8002
-      ice_sim_fix_port: 8003
+      exchange_sim_fix_port: 8002
       replicator_port: 8080
    }
 }

src/lib/config/defaults/Symbols.conf

@@ -19,6 +19,7 @@ SymbolList {
         symbol: "FOB"
         symbol: "GC"
         symbol: "GE"
+        symbol: "GLI"
         symbol: "HE"
         symbol: "HG"
         symbol: "HO"
@@ -65,18 +66,9 @@ SymbolLists
       list
       {
          key: "ICE"
-         symbol: "BRN"
-         symbol: "WBS"
-         symbol: "OJ"
-         symbol: "KC"
-         symbol: "UHO"
-         symbol: "UHU"
-         symbol: "DX"
-         
-         symbol: "HEN"
-         symbol: "HIS"
-         symbol: "HNG"
-         symbol: "*"
+         # symbol: "BRN"
+         # symbol: "WBS"
+         # symbol: "OJ"
       }
       list
       {
@@ -120,9 +112,5 @@ Symbols {
             future: @SymbolLists.list[ICE].symbol
             spread: @SymbolLists.list[ICE].symbol
         }
-        simice {
-            future: @SymbolLists.list[ICE].symbol
-            spread: @SymbolLists.list[ICE].symbol            
-        }
     }
 }

src/lib/config/defaults/cme_reference_data.conf

@@ -90,8 +90,6 @@ CppConfig
 		cpp_entry { key: "8D" value: 1000 }
 		cpp_entry { key: "8W" value: 1000 }
 		cpp_entry { key: "8XN" value: 2500 }
-		cpp_entry { key: "8ZN" value: 2500 }
-		cpp_entry { key: "9FN" value: 2500 }
 		cpp_entry { key: "9Q" value: 1000 }
 		cpp_entry { key: "A0D" value: 100 }
 		cpp_entry { key: "A0F" value: 100 }
@@ -163,6 +161,7 @@ CppConfig
 		cpp_entry { key: "AAW" value: 42000 }
 		cpp_entry { key: "AB3" value: 80 }
 		cpp_entry { key: "AB7" value: 1000 }
+		cpp_entry { key: "ABF" value: 100 }
 		cpp_entry { key: "ABH" value: 42000 }
 		cpp_entry { key: "ABI" value: 1000 }
 		cpp_entry { key: "ABS" value: 1000 }
@@ -170,6 +169,7 @@ CppConfig
 		cpp_entry { key: "ABX" value: 1000 }
 		cpp_entry { key: "ABY" value: 1000 }
 		cpp_entry { key: "AC0" value: 42000 }
+		cpp_entry { key: "ACB" value: 1000 }
 		cpp_entry { key: "ACD" value: 200000 }
 		cpp_entry { key: "ACM" value: 1000 }
 		cpp_entry { key: "ACT" value: 1000 }
@@ -183,7 +183,7 @@ CppConfig
 		cpp_entry { key: "AE5" value: 1000 }
 		cpp_entry { key: "AE8" value: 5 }
 		cpp_entry { key: "AE9" value: 80 }
-		cpp_entry { key: "AEJ" value: 960 }
+		cpp_entry { key: "AEB" value: 1000 }
 		cpp_entry { key: "AEP" value: 25 }
 		cpp_entry { key: "AET" value: 1000 }
 		cpp_entry { key: "AEZ" value: 42000 }
@@ -222,7 +222,6 @@ CppConfig
 		cpp_entry { key: "AJB" value: 1000 }
 		cpp_entry { key: "AJJ" value: 5 }
 		cpp_entry { key: "AJL" value: 42000 }
-		cpp_entry { key: "AJP" value: 960 }
 		cpp_entry { key: "AJR" value: 1000 }
 		cpp_entry { key: "AJS" value: 42000 }
 		cpp_entry { key: "AJU" value: 42000 }
@@ -346,7 +345,6 @@ CppConfig
 		cpp_entry { key: "BCF" value: 50 }
 		cpp_entry { key: "BCH" value: 50 }
 		cpp_entry { key: "BDB" value: 1000 }
-		cpp_entry { key: "BDI" value: 100 }
 		cpp_entry { key: "BDS" value: 1000 }
 		cpp_entry { key: "BFR" value: 100 }
 		cpp_entry { key: "BG" value: 1000 }
@@ -357,13 +355,12 @@ CppConfig
 		cpp_entry { key: "BOO" value: 6350 }
 		cpp_entry { key: "BOS" value: 250 }
 		cpp_entry { key: "BR7" value: 1000 }
-		cpp_entry { key: "BSW" value: 136 }
+		cpp_entry { key: "BSF" value: 25 }
 		cpp_entry { key: "BTC" value: 5 }
 		cpp_entry { key: "BTT" value: 50 }
 		cpp_entry { key: "BUB" value: 1000 }
 		cpp_entry { key: "BUC" value: 42000 }
 		cpp_entry { key: "BUS" value: 20 }
-		cpp_entry { key: "BUW" value: 20 }
 		cpp_entry { key: "BWF" value: 50 }
 		cpp_entry { key: "BWH" value: 50 }
 		cpp_entry { key: "BZ" value: 1000 }
@@ -394,6 +391,7 @@ CppConfig
 		cpp_entry { key: "CFB" value: 1000 }
 		cpp_entry { key: "CFC" value: 1000 }
 		cpp_entry { key: "CGB" value: 42000 }
+		cpp_entry { key: "CHB" value: 1000 }
 		cpp_entry { key: "CHI" value: 250 }
 		cpp_entry { key: "CHL" value: 100000 }
 		cpp_entry { key: "CHP" value: 50000000 }
@@ -406,9 +404,11 @@ CppConfig
 		cpp_entry { key: "CL" value: 1000 }
 		cpp_entry { key: "CL1" value: 1000 }
 		cpp_entry { key: "CL2" value: 1000 }
+		cpp_entry { key: "CLD" value: 1000 }
 		cpp_entry { key: "CLL" value: 1000 }
 		cpp_entry { key: "CLS" value: 1000 }
 		cpp_entry { key: "CLT" value: 1000 }
+		cpp_entry { key: "CMB" value: 1000 }
 		cpp_entry { key: "CMF" value: 1000 }
 		cpp_entry { key: "CNH" value: 100000 }
 		cpp_entry { key: "COL" value: 80 }
@@ -431,7 +431,6 @@ CppConfig
 		cpp_entry { key: "CUS" value: 250 }
 		cpp_entry { key: "CY" value: 1000 }
 		cpp_entry { key: "CZK" value: 4000000 }
-		cpp_entry { key: "CZN" value: 2500 }
 		cpp_entry { key: "D0" value: 20 }
 		cpp_entry { key: "D0X" value: 20 }
 		cpp_entry { key: "D0Z" value: 20 }
@@ -461,9 +460,9 @@ CppConfig
 		cpp_entry { key: "DDO" value: 1000 }
 		cpp_entry { key: "DEB" value: 744 }
 		cpp_entry { key: "DEN" value: 250 }
-		cpp_entry { key: "DEP" value: 252 }
+		cpp_entry { key: "DEP" value: 264 }
 		cpp_entry { key: "DFL" value: 100 }
-		cpp_entry { key: "DFT" value: 100 }
+		cpp_entry { key: "DFN" value: 100 }
 		cpp_entry { key: "DG2" value: 100 }
 		cpp_entry { key: "DG3" value: 100 }
 		cpp_entry { key: "DGH" value: 1000 }
@@ -472,7 +471,6 @@ CppConfig
 		cpp_entry { key: "DGT" value: 100 }
 		cpp_entry { key: "DHA" value: 80 }
 		cpp_entry { key: "DHI" value: 1000 }
-		cpp_entry { key: "DIH" value: 2500 }
 		cpp_entry { key: "DJR" value: 100 }
 		cpp_entry { key: "DKR" value: 1000 }
 		cpp_entry { key: "DMB" value: 100 }
@@ -503,7 +501,6 @@ CppConfig
 		cpp_entry { key: "EAC" value: 80 }
 		cpp_entry { key: "EAD" value: 125000 }
 		cpp_entry { key: "EAE" value: 5 }
-		cpp_entry { key: "EAF" value: 1000 }
 		cpp_entry { key: "EAW" value: 80 }
 		cpp_entry { key: "EBE" value: 1000 }
 		cpp_entry { key: "ECD" value: 125000 }
@@ -542,7 +539,6 @@ CppConfig
 		cpp_entry { key: "EST" value: 50 }
 		cpp_entry { key: "ETT" value: 100 }
 		cpp_entry { key: "EUB" value: 80 }
-		cpp_entry { key: "EUL" value: 1000 }
 		cpp_entry { key: "EURADC" value: 1 }
 		cpp_entry { key: "EURBPC" value: 1 }
 		cpp_entry { key: "EURBPN" value: 1 }
@@ -668,17 +664,24 @@ CppConfig
 		cpp_entry { key: "H4X" value: 20 }
 		cpp_entry { key: "H4Z" value: 20 }
 		cpp_entry { key: "H5" value: 20 }
+		cpp_entry { key: "H5B" value: 1000 }
 		cpp_entry { key: "H5F" value: 1000 }
 		cpp_entry { key: "H5G" value: 1000 }
 		cpp_entry { key: "H5L" value: 80 }
 		cpp_entry { key: "H5X" value: 20 }
 		cpp_entry { key: "H5Z" value: 20 }
 		cpp_entry { key: "HB" value: 2500 }
+		cpp_entry { key: "HBC" value: 1000 }
+		cpp_entry { key: "HBR" value: 1000 }
 		cpp_entry { key: "HCL" value: 1000 }
+		cpp_entry { key: "HDB" value: 1000 }
 		cpp_entry { key: "HE" value: 400 }
 		cpp_entry { key: "HET" value: 400 }
 		cpp_entry { key: "HG" value: 25000 }
 		cpp_entry { key: "HG0" value: 25000 }
+		cpp_entry { key: "HGB" value: 1000 }
+		cpp_entry { key: "HGF" value: 25000 }
+		cpp_entry { key: "HGK" value: 25000 }
 		cpp_entry { key: "HGS" value: 25000 }
 		cpp_entry { key: "HGT" value: 25000 }
 		cpp_entry { key: "HH" value: 10000 }
@@ -703,11 +706,16 @@ CppConfig
 		cpp_entry { key: "HQX" value: 20 }
 		cpp_entry { key: "HQZ" value: 20 }
 		cpp_entry { key: "HRC" value: 20 }
+		cpp_entry { key: "HRP" value: 20 }
 		cpp_entry { key: "HS" value: 20 }
 		cpp_entry { key: "HSX" value: 20 }
 		cpp_entry { key: "HSZ" value: 20 }
 		cpp_entry { key: "HTA" value: 1000 }
 		cpp_entry { key: "HTB" value: 1000 }
+		cpp_entry { key: "HTC" value: 1000 }
+		cpp_entry { key: "HTE" value: 1000 }
+		cpp_entry { key: "HTI" value: 1000 }
+		cpp_entry { key: "HTM" value: 1000 }
 		cpp_entry { key: "HTT" value: 1000 }
 		cpp_entry { key: "HUF" value: 30000000 }
 		cpp_entry { key: "HWA" value: 80 }
@@ -719,7 +727,6 @@ CppConfig
 		cpp_entry { key: "ICI" value: 1000 }
 		cpp_entry { key: "IDL" value: 5 }
 		cpp_entry { key: "IH" value: 50 }
-		cpp_entry { key: "ILB" value: 1750 }
 		cpp_entry { key: "ILS" value: 1000000 }
 		cpp_entry { key: "IN" value: 2500 }
 		cpp_entry { key: "IP" value: 50 }
@@ -727,11 +734,12 @@ CppConfig
 		cpp_entry { key: "IPT" value: 10 }
 		cpp_entry { key: "IS" value: 50 }
 		cpp_entry { key: "ITB" value: 744 }
-		cpp_entry { key: "ITP" value: 252 }
+		cpp_entry { key: "ITP" value: 264 }
 		cpp_entry { key: "IW" value: 50 }
 		cpp_entry { key: "J4L" value: 80 }
 		cpp_entry { key: "J7" value: 6250000 }
 		cpp_entry { key: "JA" value: 1000 }
+		cpp_entry { key: "JCC" value: 1000 }
 		cpp_entry { key: "JDL" value: 80 }
 		cpp_entry { key: "JE" value: 42000 }
 		cpp_entry { key: "JET" value: 42000 }
@@ -740,7 +748,7 @@ CppConfig
 		cpp_entry { key: "JKB" value: 10000 }
 		cpp_entry { key: "JKF" value: 10000 }
 		cpp_entry { key: "JKM" value: 10000 }
-		cpp_entry { key: "JML" value: 200 }
+		cpp_entry { key: "JML" value: 480 }
 		cpp_entry { key: "JNC" value: 1000 }
 		cpp_entry { key: "JNG" value: 10000 }
 		cpp_entry { key: "JNL" value: 80 }
@@ -809,6 +817,9 @@ CppConfig
 		cpp_entry { key: "LSW" value: 1000 }
 		cpp_entry { key: "LT" value: 42000 }
 		cpp_entry { key: "LWB" value: 1000 }
+		cpp_entry { key: "M1B" value: 10 }
+		cpp_entry { key: "M2K" value: 5 }
+		cpp_entry { key: "M35" value: 10 }
 		cpp_entry { key: "M5F" value: 10 }
 		cpp_entry { key: "M6A" value: 10000 }
 		cpp_entry { key: "M6B" value: 6250 }
@@ -839,10 +850,11 @@ CppConfig
 		cpp_entry { key: "MEB" value: 100 }
 		cpp_entry { key: "MEE" value: 100 }
 		cpp_entry { key: "MEF" value: 10 }
-		cpp_entry { key: "MEL" value: 840 }
 		cpp_entry { key: "MEO" value: 100 }
+		cpp_entry { key: "MES" value: 5 }
 		cpp_entry { key: "MEW" value: 100 }
 		cpp_entry { key: "MFB" value: 1000 }
+		cpp_entry { key: "MFC" value: 100 }
 		cpp_entry { key: "MFD" value: 100 }
 		cpp_entry { key: "MFF" value: 1000 }
 		cpp_entry { key: "MFP" value: 100 }
@@ -879,6 +891,7 @@ CppConfig
 		cpp_entry { key: "MNE" value: 100 }
 		cpp_entry { key: "MNG" value: 2500 }
 		cpp_entry { key: "MNH" value: 10000 }
+		cpp_entry { key: "MNQ" value: 2 }
 		cpp_entry { key: "MNS" value: 635 }
 		cpp_entry { key: "MNT" value: 80 }
 		cpp_entry { key: "MO" value: 1000 }
@@ -910,6 +923,7 @@ CppConfig
 		cpp_entry { key: "MXB" value: 35000 }
 		cpp_entry { key: "MXL" value: 5 }
 		cpp_entry { key: "MXR" value: 35000 }
+		cpp_entry { key: "MYM" value: 0.5 }
 		cpp_entry { key: "N1B" value: 1000 }
 		cpp_entry { key: "N1R" value: 10 }
 		cpp_entry { key: "N1T" value: 10 }
@@ -927,7 +941,6 @@ CppConfig
 		cpp_entry { key: "NCF" value: 100 }
 		cpp_entry { key: "NCO" value: 5 }
 		cpp_entry { key: "NCP" value: 100 }
-		cpp_entry { key: "NEN" value: 2500 }
 		cpp_entry { key: "NEO" value: 5 }
 		cpp_entry { key: "NEP" value: 80 }
 		cpp_entry { key: "NFC" value: 1000 }
@@ -941,10 +954,14 @@ CppConfig
 		cpp_entry { key: "NHN" value: 2500 }
 		cpp_entry { key: "NHO" value: 5 }
 		cpp_entry { key: "NHP" value: 80 }
+		cpp_entry { key: "NIM" value: 500 }
+		cpp_entry { key: "NIT" value: 500 }
 		cpp_entry { key: "NIY" value: 500 }
 		cpp_entry { key: "NJ" value: 2500 }
 		cpp_entry { key: "NKD" value: 5 }
+		cpp_entry { key: "NKM" value: 5 }
 		cpp_entry { key: "NKN" value: 2500 }
+		cpp_entry { key: "NKT" value: 5 }
 		cpp_entry { key: "NL" value: 2500 }
 		cpp_entry { key: "NLS" value: 42000 }
 		cpp_entry { key: "NMO" value: 5 }
@@ -984,7 +1001,7 @@ CppConfig
 		cpp_entry { key: "NYR" value: 42000 }
 		cpp_entry { key: "NYT" value: 1000 }
 		cpp_entry { key: "NZDUSC" value: 1 }
-		cpp_entry { key: "NZN" value: 2500 }
+		cpp_entry { key: "NZDUSD" value: 1 }
 		cpp_entry { key: "OAD" value: 1 }
 		cpp_entry { key: "ODO" value: 1000 }
 		cpp_entry { key: "OFF" value: 5 }
@@ -1000,6 +1017,7 @@ CppConfig
 		cpp_entry { key: "OVL" value: 5 }
 		cpp_entry { key: "PA" value: 100 }
 		cpp_entry { key: "PAL" value: 80 }
+		cpp_entry { key: "PAM" value: 10 }
 		cpp_entry { key: "PAT" value: 100 }
 		cpp_entry { key: "PBO" value: 5 }
 		cpp_entry { key: "PBP" value: 80 }
@@ -1020,7 +1038,6 @@ CppConfig
 		cpp_entry { key: "PHF" value: 5 }
 		cpp_entry { key: "PHO" value: 5 }
 		cpp_entry { key: "PHP" value: 80 }
-		cpp_entry { key: "PIO" value: 500 }
 		cpp_entry { key: "PJY" value: 125000 }
 		cpp_entry { key: "PKP" value: 80 }
 		cpp_entry { key: "PL" value: 50 }
@@ -1082,6 +1099,8 @@ CppConfig
 		cpp_entry { key: "R2T" value: 10 }
 		cpp_entry { key: "R2V" value: 50 }
 		cpp_entry { key: "R53" value: 1000 }
+		cpp_entry { key: "R5B" value: 1000 }
+		cpp_entry { key: "R5E" value: 1000 }
 		cpp_entry { key: "R5F" value: 1000 }
 		cpp_entry { key: "R5M" value: 100 }
 		cpp_entry { key: "R5O" value: 10 }
@@ -1091,6 +1110,7 @@ CppConfig
 		cpp_entry { key: "RBF" value: 100 }
 		cpp_entry { key: "RBG" value: 42000 }
 		cpp_entry { key: "RBL" value: 42000 }
+		cpp_entry { key: "RBM" value: 100 }
 		cpp_entry { key: "RBS" value: 42000 }
 		cpp_entry { key: "RBT" value: 42000 }
 		cpp_entry { key: "REX" value: 100 }
@@ -1119,13 +1139,15 @@ CppConfig
 		cpp_entry { key: "RYA" value: 42000 }
 		cpp_entry { key: "S1U" value: 1000 }
 		cpp_entry { key: "S53" value: 1000 }
+		cpp_entry { key: "S5B" value: 1000 }
 		cpp_entry { key: "S5F" value: 1000 }
 		cpp_entry { key: "S5M" value: 100 }
 		cpp_entry { key: "S5O" value: 10 }
+		cpp_entry { key: "SBM" value: 100 }
 		cpp_entry { key: "SBT" value: 50 }
 		cpp_entry { key: "SD" value: 1000 }
 		cpp_entry { key: "SDA" value: 250 }
-		cpp_entry { key: "SDD" value: 1600 }
+		cpp_entry { key: "SDD" value: 1760 }
 		cpp_entry { key: "SDG" value: 250 }
 		cpp_entry { key: "SDI" value: 1000 }
 		cpp_entry { key: "SDM" value: 100 }
@@ -1157,12 +1179,14 @@ CppConfig
 		cpp_entry { key: "SMT" value: 100 }
 		cpp_entry { key: "SMU" value: 1000 }
 		cpp_entry { key: "SMW" value: 100 }
+		cpp_entry { key: "SOM" value: 500 }
 		cpp_entry { key: "SON" value: 2500 }
 		cpp_entry { key: "SP" value: 250 }
 		cpp_entry { key: "SR1" value: 4167 }
 		cpp_entry { key: "SR3" value: 2500 }
 		cpp_entry { key: "SR5" value: 1000 }
-		cpp_entry { key: "SRT" value: 1600 }
+		cpp_entry { key: "SRB" value: 1000 }
+		cpp_entry { key: "SRT" value: 1760 }
 		cpp_entry { key: "SSI" value: 1000 }
 		cpp_entry { key: "SSP" value: 5000 }
 		cpp_entry { key: "SSW" value: 1000 }
@@ -1173,25 +1197,31 @@ CppConfig
 		cpp_entry { key: "STY" value: 1000 }
 		cpp_entry { key: "SU" value: 250 }
 		cpp_entry { key: "SUT" value: 250 }
-		cpp_entry { key: "T02" value: 800 }
 		cpp_entry { key: "T03" value: 800 }
 		cpp_entry { key: "T04" value: 800 }
+		cpp_entry { key: "T06" value: 800 }
+		cpp_entry { key: "T07" value: 800 }
+		cpp_entry { key: "T08" value: 800 }
+		cpp_entry { key: "T09" value: 800 }
+		cpp_entry { key: "T12" value: 800 }
 		cpp_entry { key: "T13" value: 800 }
 		cpp_entry { key: "T14" value: 800 }
-		cpp_entry { key: "T17" value: 800 }
-		cpp_entry { key: "T18" value: 800 }
+		cpp_entry { key: "T15" value: 800 }
+		cpp_entry { key: "T16" value: 800 }
 		cpp_entry { key: "T19" value: 800 }
 		cpp_entry { key: "T1U" value: 1000 }
 		cpp_entry { key: "T20" value: 800 }
 		cpp_entry { key: "T21" value: 800 }
-		cpp_entry { key: "T24" value: 800 }
+		cpp_entry { key: "T22" value: 800 }
+		cpp_entry { key: "T23" value: 800 }
 		cpp_entry { key: "T26" value: 800 }
 		cpp_entry { key: "T27" value: 800 }
 		cpp_entry { key: "T28" value: 800 }
+		cpp_entry { key: "T29" value: 800 }
 		cpp_entry { key: "T2B" value: 1000 }
 		cpp_entry { key: "T2D" value: 1000 }
 		cpp_entry { key: "T2M" value: 100 }
-		cpp_entry { key: "T31" value: 800 }
+		cpp_entry { key: "T30" value: 800 }
 		cpp_entry { key: "T3B" value: 1000 }
 		cpp_entry { key: "T3L" value: 80 }
 		cpp_entry { key: "T4B" value: 1000 }
@@ -1207,6 +1237,7 @@ CppConfig
 		cpp_entry { key: "TC" value: 2500 }
 		cpp_entry { key: "TC6" value: 1000 }
 		cpp_entry { key: "TC9" value: 1000 }
+		cpp_entry { key: "TCS" value: 1000 }
 		cpp_entry { key: "TD3" value: 1000 }
 		cpp_entry { key: "TD8" value: 1000 }
 		cpp_entry { key: "TEX" value: 1000 }
@@ -1216,6 +1247,7 @@ CppConfig
 		cpp_entry { key: "THB" value: 1000 }
 		cpp_entry { key: "THD" value: 10000 }
 		cpp_entry { key: "TIC" value: 500 }
+		cpp_entry { key: "TIL" value: 1000 }
 		cpp_entry { key: "TIO" value: 500 }
 		cpp_entry { key: "TK" value: 1000 }
 		cpp_entry { key: "TKB" value: 1000 }
@@ -1252,7 +1284,6 @@ CppConfig
 		cpp_entry { key: "TUT" value: 1000 }
 		cpp_entry { key: "TUX" value: 1000 }
 		cpp_entry { key: "TW" value: 1000 }
-		cpp_entry { key: "TXN" value: 2500 }
 		cpp_entry { key: "TYT" value: 1000 }
 		cpp_entry { key: "TYX" value: 1000 }
 		cpp_entry { key: "TZ6" value: 2500 }
@@ -1262,10 +1293,12 @@ CppConfig
 		cpp_entry { key: "UB" value: 1000 }
 		cpp_entry { key: "UCM" value: 100 }
 		cpp_entry { key: "UDL" value: 80 }
+		cpp_entry { key: "UFB" value: 100 }
+		cpp_entry { key: "UFE" value: 100 }
 		cpp_entry { key: "UFG" value: 100 }
 		cpp_entry { key: "UFN" value: 100 }
 		cpp_entry { key: "UFU" value: 100 }
-		cpp_entry { key: "UFZ" value: 100 }
+		cpp_entry { key: "UFV" value: 100 }
 		cpp_entry { key: "UGG" value: 42000 }
 		cpp_entry { key: "UKG" value: 310 }
 		cpp_entry { key: "ULB" value: 42000 }
@@ -1276,10 +1309,12 @@ CppConfig
 		cpp_entry { key: "UNB" value: 1000 }
 		cpp_entry { key: "UNS" value: 1000 }
 		cpp_entry { key: "UR" value: 1000 }
+		cpp_entry { key: "USC" value: 1000 }
 		cpp_entry { key: "USDBRL" value: 1 }
 		cpp_entry { key: "USDCAC" value: 1 }
 		cpp_entry { key: "USDCAD" value: 1 }
 		cpp_entry { key: "USDCAN" value: 1 }
+		cpp_entry { key: "USDCHF" value: 10 }
 		cpp_entry { key: "USDCKC" value: 1 }
 		cpp_entry { key: "USDCLP" value: 1 }
 		cpp_entry { key: "USDCNY" value: 1 }
@@ -1309,6 +1344,7 @@ CppConfig
 		cpp_entry { key: "USDTLC" value: 1 }
 		cpp_entry { key: "USDTWD" value: 1 }
 		cpp_entry { key: "USDZRC" value: 1 }
+		cpp_entry { key: "USE" value: 1000 }
 		cpp_entry { key: "UV" value: 1000 }
 		cpp_entry { key: "UX" value: 250 }
 		cpp_entry { key: "V3L" value: 5 }
@@ -1338,6 +1374,7 @@ CppConfig
 		cpp_entry { key: "WTA" value: 1000 }
 		cpp_entry { key: "WTD" value: 1000 }
 		cpp_entry { key: "WTI" value: 1000 }
+		cpp_entry { key: "WTL" value: 1000 }
 		cpp_entry { key: "WTS" value: 1000 }
 		cpp_entry { key: "WTT" value: 1000 }
 		cpp_entry { key: "X0" value: 1000 }
@@ -1390,6 +1427,7 @@ CppConfig
 		cpp_entry { key: "YWE" value: 80 }
 		cpp_entry { key: "YWF" value: 5 }
 		cpp_entry { key: "YWK" value: 5 }
+		cpp_entry { key: "Z00000" value: 1000 }
 		cpp_entry { key: "Z1B" value: 100 }
 		cpp_entry { key: "Z3N" value: 2000 }
 		cpp_entry { key: "Z4" value: 1000 }
@@ -1507,8 +1545,6 @@ CmeSymbolMics
 		cme_mic { key: "8D" value: NYMEX }
 		cme_mic { key: "8W" value: NYMEX }
 		cme_mic { key: "8XN" value: NYMEX }
-		cme_mic { key: "8ZN" value: NYMEX }
-		cme_mic { key: "9FN" value: NYMEX }
 		cme_mic { key: "9Q" value: NYMEX }
 		cme_mic { key: "A0D" value: NYMEX }
 		cme_mic { key: "A0F" value: NYMEX }
@@ -1580,6 +1616,7 @@ CmeSymbolMics
 		cme_mic { key: "AAW" value: NYMEX }
 		cme_mic { key: "AB3" value: NYMEX }
 		cme_mic { key: "AB7" value: NYMEX }
+		cme_mic { key: "ABF" value: NYMEX }
 		cme_mic { key: "ABH" value: NYMEX }
 		cme_mic { key: "ABI" value: NYMEX }
 		cme_mic { key: "ABS" value: NYMEX }
@@ -1587,6 +1624,7 @@ CmeSymbolMics
 		cme_mic { key: "ABX" value: NYMEX }
 		cme_mic { key: "ABY" value: NYMEX }
 		cme_mic { key: "AC0" value: NYMEX }
+		cme_mic { key: "ACB" value: NYMEX }
 		cme_mic { key: "ACD" value: CME }
 		cme_mic { key: "ACM" value: NYMEX }
 		cme_mic { key: "ACT" value: NYMEX }
@@ -1600,7 +1638,7 @@ CmeSymbolMics
 		cme_mic { key: "AE5" value: NYMEX }
 		cme_mic { key: "AE8" value: NYMEX }
 		cme_mic { key: "AE9" value: NYMEX }
-		cme_mic { key: "AEJ" value: NYMEX }
+		cme_mic { key: "AEB" value: NYMEX }
 		cme_mic { key: "AEP" value: COMEX }
 		cme_mic { key: "AET" value: NYMEX }
 		cme_mic { key: "AEZ" value: NYMEX }
@@ -1639,7 +1677,6 @@ CmeSymbolMics
 		cme_mic { key: "AJB" value: NYMEX }
 		cme_mic { key: "AJJ" value: NYMEX }
 		cme_mic { key: "AJL" value: NYMEX }
-		cme_mic { key: "AJP" value: NYMEX }
 		cme_mic { key: "AJR" value: NYMEX }
 		cme_mic { key: "AJS" value: NYMEX }
 		cme_mic { key: "AJU" value: NYMEX }
@@ -1763,7 +1800,6 @@ CmeSymbolMics
 		cme_mic { key: "BCF" value: CBT }
 		cme_mic { key: "BCH" value: CBT }
 		cme_mic { key: "BDB" value: NYMEX }
-		cme_mic { key: "BDI" value: CME }
 		cme_mic { key: "BDS" value: DME }
 		cme_mic { key: "BFR" value: NYMEX }
 		cme_mic { key: "BG" value: NYMEX }
@@ -1774,13 +1810,12 @@ CmeSymbolMics
 		cme_mic { key: "BOO" value: NYMEX }
 		cme_mic { key: "BOS" value: CME }
 		cme_mic { key: "BR7" value: NYMEX }
-		cme_mic { key: "BSW" value: CBT }
+		cme_mic { key: "BSF" value: CBT }
 		cme_mic { key: "BTC" value: CME }
 		cme_mic { key: "BTT" value: CME }
 		cme_mic { key: "BUB" value: CBT }
 		cme_mic { key: "BUC" value: NYMEX }
 		cme_mic { key: "BUS" value: NYMEX }
-		cme_mic { key: "BUW" value: NYMSW }
 		cme_mic { key: "BWF" value: CBT }
 		cme_mic { key: "BWH" value: CBT }
 		cme_mic { key: "BZ" value: NYMEX }
@@ -1811,6 +1846,7 @@ CmeSymbolMics
 		cme_mic { key: "CFB" value: NYMEX }
 		cme_mic { key: "CFC" value: NYMEX }
 		cme_mic { key: "CGB" value: NYMEX }
+		cme_mic { key: "CHB" value: NYMEX }
 		cme_mic { key: "CHI" value: CME }
 		cme_mic { key: "CHL" value: CME }
 		cme_mic { key: "CHP" value: CME }
@@ -1823,9 +1859,11 @@ CmeSymbolMics
 		cme_mic { key: "CL" value: NYMEX }
 		cme_mic { key: "CL1" value: NYMEX }
 		cme_mic { key: "CL2" value: NYMEX }
+		cme_mic { key: "CLD" value: NYMEX }
 		cme_mic { key: "CLL" value: NYMEX }
 		cme_mic { key: "CLS" value: NYMEX }
 		cme_mic { key: "CLT" value: NYMEX }
+		cme_mic { key: "CMB" value: NYMEX }
 		cme_mic { key: "CMF" value: NYMEX }
 		cme_mic { key: "CNH" value: CME }
 		cme_mic { key: "COL" value: NYMEX }
@@ -1848,7 +1886,6 @@ CmeSymbolMics
 		cme_mic { key: "CUS" value: CME }
 		cme_mic { key: "CY" value: NYMEX }
 		cme_mic { key: "CZK" value: CME }
-		cme_mic { key: "CZN" value: NYMEX }
 		cme_mic { key: "D0" value: CME }
 		cme_mic { key: "D0X" value: CME }
 		cme_mic { key: "D0Z" value: CME }
@@ -1880,7 +1917,7 @@ CmeSymbolMics
 		cme_mic { key: "DEN" value: CME }
 		cme_mic { key: "DEP" value: NYMEX }
 		cme_mic { key: "DFL" value: CBT }
-		cme_mic { key: "DFT" value: CBT }
+		cme_mic { key: "DFN" value: CBT }
 		cme_mic { key: "DG2" value: CBT }
 		cme_mic { key: "DG3" value: CBT }
 		cme_mic { key: "DGH" value: DME }
@@ -1889,7 +1926,6 @@ CmeSymbolMics
 		cme_mic { key: "DGT" value: CBT }
 		cme_mic { key: "DHA" value: NYMEX }
 		cme_mic { key: "DHI" value: DME }
-		cme_mic { key: "DIH" value: NYMEX }
 		cme_mic { key: "DJR" value: CBT }
 		cme_mic { key: "DKR" value: DME }
 		cme_mic { key: "DMB" value: DME }
@@ -1920,7 +1956,6 @@ CmeSymbolMics
 		cme_mic { key: "EAC" value: NYMEX }
 		cme_mic { key: "EAD" value: CME }
 		cme_mic { key: "EAE" value: NYMEX }
-		cme_mic { key: "EAF" value: NYMEX }
 		cme_mic { key: "EAW" value: NYMEX }
 		cme_mic { key: "EBE" value: NYMEX }
 		cme_mic { key: "ECD" value: CME }
@@ -1959,7 +1994,6 @@ CmeSymbolMics
 		cme_mic { key: "EST" value: CME }
 		cme_mic { key: "ETT" value: CME }
 		cme_mic { key: "EUB" value: NYMEX }
-		cme_mic { key: "EUL" value: NYMEX }
 		cme_mic { key: "EURADC" value: CME }
 		cme_mic { key: "EURBPC" value: CME }
 		cme_mic { key: "EURBPN" value: CME }
@@ -2085,17 +2119,24 @@ CmeSymbolMics
 		cme_mic { key: "H4X" value: CME }
 		cme_mic { key: "H4Z" value: CME }
 		cme_mic { key: "H5" value: CME }
+		cme_mic { key: "H5B" value: NYMEX }
 		cme_mic { key: "H5F" value: NYMEX }
 		cme_mic { key: "H5G" value: NYMEX }
 		cme_mic { key: "H5L" value: NYMEX }
 		cme_mic { key: "H5X" value: CME }
 		cme_mic { key: "H5Z" value: CME }
 		cme_mic { key: "HB" value: NYMEX }
+		cme_mic { key: "HBC" value: NYMEX }
+		cme_mic { key: "HBR" value: NYMEX }
 		cme_mic { key: "HCL" value: NYMEX }
+		cme_mic { key: "HDB" value: NYMEX }
 		cme_mic { key: "HE" value: CME }
 		cme_mic { key: "HET" value: CME }
 		cme_mic { key: "HG" value: COMEX }
 		cme_mic { key: "HG0" value: COMEX }
+		cme_mic { key: "HGB" value: NYMEX }
+		cme_mic { key: "HGF" value: COMEX }
+		cme_mic { key: "HGK" value: COMEX }
 		cme_mic { key: "HGS" value: COMEX }
 		cme_mic { key: "HGT" value: COMEX }
 		cme_mic { key: "HH" value: NYMEX }
@@ -2120,11 +2161,16 @@ CmeSymbolMics
 		cme_mic { key: "HQX" value: CME }
 		cme_mic { key: "HQZ" value: CME }
 		cme_mic { key: "HRC" value: NYMEX }
+		cme_mic { key: "HRP" value: COMEX }
 		cme_mic { key: "HS" value: CME }
 		cme_mic { key: "HSX" value: CME }
 		cme_mic { key: "HSZ" value: CME }
 		cme_mic { key: "HTA" value: NYMEX }
 		cme_mic { key: "HTB" value: NYMEX }
+		cme_mic { key: "HTC" value: NYMEX }
+		cme_mic { key: "HTE" value: NYMEX }
+		cme_mic { key: "HTI" value: NYMEX }
+		cme_mic { key: "HTM" value: NYMEX }
 		cme_mic { key: "HTT" value: NYMEX }
 		cme_mic { key: "HUF" value: CME }
 		cme_mic { key: "HWA" value: NYMEX }
@@ -2136,7 +2182,6 @@ CmeSymbolMics
 		cme_mic { key: "ICI" value: NYMEX }
 		cme_mic { key: "IDL" value: NYMEX }
 		cme_mic { key: "IH" value: MGE }
-		cme_mic { key: "ILB" value: NYMEX }
 		cme_mic { key: "ILS" value: CME }
 		cme_mic { key: "IN" value: NYMEX }
 		cme_mic { key: "IP" value: MGE }
@@ -2149,6 +2194,7 @@ CmeSymbolMics
 		cme_mic { key: "J4L" value: NYMEX }
 		cme_mic { key: "J7" value: CME }
 		cme_mic { key: "JA" value: NYMEX }
+		cme_mic { key: "JCC" value: NYMEX }
 		cme_mic { key: "JDL" value: NYMEX }
 		cme_mic { key: "JE" value: NYMEX }
 		cme_mic { key: "JET" value: NYMEX }
@@ -2226,6 +2272,9 @@ CmeSymbolMics
 		cme_mic { key: "LSW" value: NYMEX }
 		cme_mic { key: "LT" value: NYMEX }
 		cme_mic { key: "LWB" value: NYMEX }
+		cme_mic { key: "M1B" value: NYMEX }
+		cme_mic { key: "M2K" value: CME }
+		cme_mic { key: "M35" value: NYMEX }
 		cme_mic { key: "M5F" value: NYMEX }
 		cme_mic { key: "M6A" value: CME }
 		cme_mic { key: "M6B" value: CME }
@@ -2256,10 +2305,11 @@ CmeSymbolMics
 		cme_mic { key: "MEB" value: NYMEX }
 		cme_mic { key: "MEE" value: NYMEX }
 		cme_mic { key: "MEF" value: NYMEX }
-		cme_mic { key: "MEL" value: NYMEX }
 		cme_mic { key: "MEO" value: NYMEX }
+		cme_mic { key: "MES" value: CME }
 		cme_mic { key: "MEW" value: NYMEX }
 		cme_mic { key: "MFB" value: NYMEX }
+		cme_mic { key: "MFC" value: CBT }
 		cme_mic { key: "MFD" value: NYMEX }
 		cme_mic { key: "MFF" value: NYMEX }
 		cme_mic { key: "MFP" value: NYMEX }
@@ -2296,6 +2346,7 @@ CmeSymbolMics
 		cme_mic { key: "MNE" value: NYMEX }
 		cme_mic { key: "MNG" value: NYMEX }
 		cme_mic { key: "MNH" value: CME }
+		cme_mic { key: "MNQ" value: CME }
 		cme_mic { key: "MNS" value: NYMEX }
 		cme_mic { key: "MNT" value: NYMEX }
 		cme_mic { key: "MO" value: NYMEX }
@@ -2327,6 +2378,7 @@ CmeSymbolMics
 		cme_mic { key: "MXB" value: NYMEX }
 		cme_mic { key: "MXL" value: NYMEX }
 		cme_mic { key: "MXR" value: NYMEX }
+		cme_mic { key: "MYM" value: CBT }
 		cme_mic { key: "N1B" value: NYMEX }
 		cme_mic { key: "N1R" value: CME }
 		cme_mic { key: "N1T" value: CME }
@@ -2344,7 +2396,6 @@ CmeSymbolMics
 		cme_mic { key: "NCF" value: NYMEX }
 		cme_mic { key: "NCO" value: NYMEX }
 		cme_mic { key: "NCP" value: NYMEX }
-		cme_mic { key: "NEN" value: NYMEX }
 		cme_mic { key: "NEO" value: NYMEX }
 		cme_mic { key: "NEP" value: NYMEX }
 		cme_mic { key: "NFC" value: NYMEX }
@@ -2358,10 +2409,14 @@ CmeSymbolMics
 		cme_mic { key: "NHN" value: NYMEX }
 		cme_mic { key: "NHO" value: NYMEX }
 		cme_mic { key: "NHP" value: NYMEX }
+		cme_mic { key: "NIM" value: CME }
+		cme_mic { key: "NIT" value: CME }
 		cme_mic { key: "NIY" value: CME }
 		cme_mic { key: "NJ" value: NYMEX }
 		cme_mic { key: "NKD" value: CME }
+		cme_mic { key: "NKM" value: CME }
 		cme_mic { key: "NKN" value: NYMEX }
+		cme_mic { key: "NKT" value: CME }
 		cme_mic { key: "NL" value: NYMEX }
 		cme_mic { key: "NLS" value: NYMEX }
 		cme_mic { key: "NMO" value: NYMEX }
@@ -2401,7 +2456,7 @@ CmeSymbolMics
 		cme_mic { key: "NYR" value: NYMEX }
 		cme_mic { key: "NYT" value: NYMEX }
 		cme_mic { key: "NZDUSC" value: CME }
-		cme_mic { key: "NZN" value: NYMEX }
+		cme_mic { key: "NZDUSD" value: FXS }
 		cme_mic { key: "OAD" value: NYMEX }
 		cme_mic { key: "ODO" value: DME }
 		cme_mic { key: "OFF" value: NYMEX }
@@ -2417,6 +2472,7 @@ CmeSymbolMics
 		cme_mic { key: "OVL" value: NYMEX }
 		cme_mic { key: "PA" value: NYMEX }
 		cme_mic { key: "PAL" value: NYMEX }
+		cme_mic { key: "PAM" value: NYMEX }
 		cme_mic { key: "PAT" value: NYMEX }
 		cme_mic { key: "PBO" value: NYMEX }
 		cme_mic { key: "PBP" value: NYMEX }
@@ -2437,7 +2493,6 @@ CmeSymbolMics
 		cme_mic { key: "PHF" value: NYMEX }
 		cme_mic { key: "PHO" value: NYMEX }
 		cme_mic { key: "PHP" value: NYMEX }
-		cme_mic { key: "PIO" value: NYMEX }
 		cme_mic { key: "PJY" value: CME }
 		cme_mic { key: "PKP" value: NYMEX }
 		cme_mic { key: "PL" value: NYMEX }
@@ -2499,6 +2554,8 @@ CmeSymbolMics
 		cme_mic { key: "R2T" value: CME }
 		cme_mic { key: "R2V" value: CME }
 		cme_mic { key: "R53" value: NYMEX }
+		cme_mic { key: "R5B" value: NYMEX }
+		cme_mic { key: "R5E" value: NYMEX }
 		cme_mic { key: "R5F" value: NYMEX }
 		cme_mic { key: "R5M" value: NYMEX }
 		cme_mic { key: "R5O" value: NYMEX }
@@ -2508,6 +2565,7 @@ CmeSymbolMics
 		cme_mic { key: "RBF" value: NYMEX }
 		cme_mic { key: "RBG" value: NYMEX }
 		cme_mic { key: "RBL" value: NYMEX }
+		cme_mic { key: "RBM" value: NYMEX }
 		cme_mic { key: "RBS" value: NYMEX }
 		cme_mic { key: "RBT" value: NYMEX }
 		cme_mic { key: "REX" value: CBT }
@@ -2536,9 +2594,11 @@ CmeSymbolMics
 		cme_mic { key: "RYA" value: NYMEX }
 		cme_mic { key: "S1U" value: CBT }
 		cme_mic { key: "S53" value: NYMEX }
+		cme_mic { key: "S5B" value: NYMEX }
 		cme_mic { key: "S5F" value: NYMEX }
 		cme_mic { key: "S5M" value: NYMEX }
 		cme_mic { key: "S5O" value: NYMEX }
+		cme_mic { key: "SBM" value: NYMEX }
 		cme_mic { key: "SBT" value: CBT }
 		cme_mic { key: "SD" value: NYMEX }
 		cme_mic { key: "SDA" value: CME }
@@ -2574,11 +2634,13 @@ CmeSymbolMics
 		cme_mic { key: "SMT" value: CME }
 		cme_mic { key: "SMU" value: NYMEX }
 		cme_mic { key: "SMW" value: NYMEX }
+		cme_mic { key: "SOM" value: CBT }
 		cme_mic { key: "SON" value: CME }
 		cme_mic { key: "SP" value: CME }
 		cme_mic { key: "SR1" value: CME }
 		cme_mic { key: "SR3" value: CME }
 		cme_mic { key: "SR5" value: NYMEX }
+		cme_mic { key: "SRB" value: NYMEX }
 		cme_mic { key: "SRT" value: NYMEX }
 		cme_mic { key: "SSI" value: NYMEX }
 		cme_mic { key: "SSP" value: COMEX }
@@ -2590,25 +2652,31 @@ CmeSymbolMics
 		cme_mic { key: "STY" value: NYMEX }
 		cme_mic { key: "SU" value: CME }
 		cme_mic { key: "SUT" value: CME }
-		cme_mic { key: "T02" value: NYMEX }
 		cme_mic { key: "T03" value: NYMEX }
 		cme_mic { key: "T04" value: NYMEX }
+		cme_mic { key: "T06" value: NYMEX }
+		cme_mic { key: "T07" value: NYMEX }
+		cme_mic { key: "T08" value: NYMEX }
+		cme_mic { key: "T09" value: NYMEX }
+		cme_mic { key: "T12" value: NYMEX }
 		cme_mic { key: "T13" value: NYMEX }
 		cme_mic { key: "T14" value: NYMEX }
-		cme_mic { key: "T17" value: NYMEX }
-		cme_mic { key: "T18" value: NYMEX }
+		cme_mic { key: "T15" value: NYMEX }
+		cme_mic { key: "T16" value: NYMEX }
 		cme_mic { key: "T19" value: NYMEX }
 		cme_mic { key: "T1U" value: CBT }
 		cme_mic { key: "T20" value: NYMEX }
 		cme_mic { key: "T21" value: NYMEX }
-		cme_mic { key: "T24" value: NYMEX }
+		cme_mic { key: "T22" value: NYMEX }
+		cme_mic { key: "T23" value: NYMEX }
 		cme_mic { key: "T26" value: NYMEX }
 		cme_mic { key: "T27" value: NYMEX }
 		cme_mic { key: "T28" value: NYMEX }
+		cme_mic { key: "T29" value: NYMEX }
 		cme_mic { key: "T2B" value: NYMEX }
 		cme_mic { key: "T2D" value: NYMEX }
 		cme_mic { key: "T2M" value: NYMEX }
-		cme_mic { key: "T31" value: NYMEX }
+		cme_mic { key: "T30" value: NYMEX }
 		cme_mic { key: "T3B" value: NYMEX }
 		cme_mic { key: "T3L" value: NYMEX }
 		cme_mic { key: "T4B" value: NYMEX }
@@ -2624,6 +2692,7 @@ CmeSymbolMics
 		cme_mic { key: "TC" value: NYMEX }
 		cme_mic { key: "TC6" value: NYMEX }
 		cme_mic { key: "TC9" value: NYMEX }
+		cme_mic { key: "TCS" value: NYMEX }
 		cme_mic { key: "TD3" value: NYMEX }
 		cme_mic { key: "TD8" value: NYMEX }
 		cme_mic { key: "TEX" value: CBT }
@@ -2633,6 +2702,7 @@ CmeSymbolMics
 		cme_mic { key: "THB" value: NYMEX }
 		cme_mic { key: "THD" value: NYMEX }
 		cme_mic { key: "TIC" value: NYMEX }
+		cme_mic { key: "TIL" value: NYMEX }
 		cme_mic { key: "TIO" value: NYMEX }
 		cme_mic { key: "TK" value: NYMEX }
 		cme_mic { key: "TKB" value: NYMEX }
@@ -2669,7 +2739,6 @@ CmeSymbolMics
 		cme_mic { key: "TUT" value: CBT }
 		cme_mic { key: "TUX" value: CBT }
 		cme_mic { key: "TW" value: NYMEX }
-		cme_mic { key: "TXN" value: NYMEX }
 		cme_mic { key: "TYT" value: CBT }
 		cme_mic { key: "TYX" value: CBT }
 		cme_mic { key: "TZ6" value: NYMEX }
@@ -2679,10 +2748,12 @@ CmeSymbolMics
 		cme_mic { key: "UB" value: CBT }
 		cme_mic { key: "UCM" value: NYMEX }
 		cme_mic { key: "UDL" value: NYMEX }
+		cme_mic { key: "UFB" value: CBT }
+		cme_mic { key: "UFE" value: CBT }
 		cme_mic { key: "UFG" value: CBT }
 		cme_mic { key: "UFN" value: CBT }
 		cme_mic { key: "UFU" value: CBT }
-		cme_mic { key: "UFZ" value: CBT }
+		cme_mic { key: "UFV" value: CBT }
 		cme_mic { key: "UGG" value: NYMEX }
 		cme_mic { key: "UKG" value: NYMEX }
 		cme_mic { key: "ULB" value: NYMEX }
@@ -2693,10 +2764,12 @@ CmeSymbolMics
 		cme_mic { key: "UNB" value: NYMEX }
 		cme_mic { key: "UNS" value: NYMEX }
 		cme_mic { key: "UR" value: NYMEX }
+		cme_mic { key: "USC" value: NYMEX }
 		cme_mic { key: "USDBRL" value: CME }
 		cme_mic { key: "USDCAC" value: CME }
 		cme_mic { key: "USDCAD" value: FXS }
 		cme_mic { key: "USDCAN" value: CME }
+		cme_mic { key: "USDCHF" value: FXS }
 		cme_mic { key: "USDCKC" value: CME }
 		cme_mic { key: "USDCLP" value: CME }
 		cme_mic { key: "USDCNY" value: CME }
@@ -2726,6 +2799,7 @@ CmeSymbolMics
 		cme_mic { key: "USDTLC" value: CME }
 		cme_mic { key: "USDTWD" value: CME }
 		cme_mic { key: "USDZRC" value: CME }
+		cme_mic { key: "USE" value: NYMEX }
 		cme_mic { key: "UV" value: NYMEX }
 		cme_mic { key: "UX" value: NYMEX }
 		cme_mic { key: "V3L" value: NYMEX }
@@ -2755,6 +2829,7 @@ CmeSymbolMics
 		cme_mic { key: "WTA" value: NYMEX }
 		cme_mic { key: "WTD" value: NYMEX }
 		cme_mic { key: "WTI" value: NYMEX }
+		cme_mic { key: "WTL" value: NYMEX }
 		cme_mic { key: "WTS" value: NYMEX }
 		cme_mic { key: "WTT" value: NYMEX }
 		cme_mic { key: "X0" value: NYMEX }
@@ -2807,6 +2882,7 @@ CmeSymbolMics
 		cme_mic { key: "YWE" value: NYMEX }
 		cme_mic { key: "YWF" value: NYMEX }
 		cme_mic { key: "YWK" value: NYMEX }
+		cme_mic { key: "Z00000" value: CME }
 		cme_mic { key: "Z1B" value: NYMEX }
 		cme_mic { key: "Z3N" value: CBT }
 		cme_mic { key: "Z4" value: NYMEX }

src/lib/config/defaults/jetfix.conf

@@ -5,7 +5,7 @@ JetFIXSimConnection {
         name: "sim"
         platform: SIM
         socket_connect_host_ip: "127.0.0.1"
-        socket_connect_port: @Ports.glbx_sim_fix_port
+        socket_connect_port: @Ports.exchange_sim_fix_port
         sender_compid: "SPARK" # this is the FIX session name
         sender_subid: "BTS"
         target_compid: "BTS"
@@ -18,173 +18,9 @@ JetFIXSimConnection {
         seconds_to_pause : 1
 	max_connection_attempts: 9999999
       }
-      sim_ice {
-        name: "sim_ice"
-        platform: SIMICE
-        socket_connect_host_ip: "127.0.0.1"
-        socket_connect_port: @Ports.ice_sim_fix_port
-        sender_compid: "51239" # this is the FIX session name
-        sender_subid: "BTS"
-        target_compid: "BTS"
-        target_subid: "BTS"
-        cme_market_segment_id: 0
-        end_time: "02:00:00"
-        start_time: "02:05:00"
-        raw_data: "1JE9X"
-        use_cme_secure_logon: false 
-        seconds_to_pause : 1
-      }      
    }
 }
 
-JetFIX {
-   rule: "CannedCertSession.name='ice_cert'"
-   value {
-      #connection: @JetFIXSimConnection.sim_ice
-      connection {
-         name: "ice_cert"
-         platform: ICE
-         use_cme_secure_logon: false
-         log_fix_stream: true
-         socket_connect_host_ip: "63.247.113.154"
-         socket_connect_port: 80
-         sender_compid: "51251"
-         target_compid: "ICE"         
-         start_time: "22:55:00"
-         end_time: "22:05:00"
-         sender_subid: "BTS"
-         user_name: "bluetrd-os" #this is the order_server_id
-         raw_data: "Starts123"
-         max_order_msgs_per_window: 300
-         auto_fix_seq_num: true
-         
-         seconds_to_replay: 6000
-      }
-      connection: @JetFIXSimConnection.sim
-      #connection: @JetFIXSimConnection.sim_ice
-      
-      connection {
-         name: "cme_mc5_99"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.199"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "99"
-         cme_market_segment_id: 99
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_58"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.172"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "58"
-         cme_market_segment_id: 58
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_54"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.191"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "54"
-         cme_market_segment_id: 54
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_82"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.179"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "82"
-         cme_market_segment_id: 82
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_56"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.174"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "56"
-         cme_market_segment_id: 56
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_50"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.202"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "50"
-         cme_market_segment_id: 50
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_52"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.181"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "52"
-         cme_market_segment_id: 52
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }      
-   }
-}   
-
 JetFIX {
    rule: "CannedCertSession.name='mc7'"
    value {
@@ -620,193 +456,193 @@ JetFIX {
          raw_data: "S4PMA"
          auto_fix_seq_num: true
       }
-      # connection {
-      #    name: "cme_mc5_60"
-      #    platform: GLBX
-      #    socket_connect_host_ip: "69.50.112.195"
-      #    socket_connect_port: 61922
-      #    sender_compid: "MC5004N"
-      #    target_compid: "CME"
-      #    target_subid: "60"
-      #    cme_market_segment_id: 60
-      #    start_time: "00:30:00"
-      #    end_time: "23:30:00"
-      #    start_day: "sunday"
-      #    end_day: "friday"
-      #    sender_subid: "BTS"
-      #    raw_data: "S4PMA"
-      #    auto_fix_seq_num: true
-      # }
-      # connection {
-      #    name: "cme_mc5_76"
-      #    platform: GLBX
-      #    socket_connect_host_ip: "69.50.112.204"
-      #    socket_connect_port: 61922
-      #    sender_compid: "MC5004N"
-      #    target_compid: "CME"
-      #    target_subid: "76"
-      #    cme_market_segment_id: 76
-      #    start_time: "00:30:00"
-      #    end_time: "23:30:00"
-      #    start_day: "sunday"
-      #    end_day: "friday"
-      #    sender_subid: "BTS"
-      #    raw_data: "S4PMA"
-      #    auto_fix_seq_num: true
-      # }
-      # connection {
-      #    name: "cme_mc5_88"
-      #    platform: GLBX
-      #    socket_connect_host_ip: "69.50.112.169"
-      #    socket_connect_port: 61922
-      #    sender_compid: "MC5004N"
-      #    target_compid: "CME"
-      #    target_subid: "88"
-      #    cme_market_segment_id: 88
-      #    start_time: "00:30:00"
-      #    end_time: "23:30:00"
-      #    start_day: "sunday"
-      #    end_day: "friday"
-      #    sender_subid: "BTS"
-      #    raw_data: "S4PMA"
-      #    auto_fix_seq_num: true
-      # }
-      # connection {
-      #    name: "cme_mc5_74"
-      #    platform: GLBX
-      #    socket_connect_host_ip: "69.50.112.197"
-      #    socket_connect_port: 61922
-      #    sender_compid: "MC5004N"
-      #    target_compid: "CME"
-      #    target_subid: "74"
-      #    cme_market_segment_id: 74
-      #    start_time: "00:30:00"
-      #    end_time: "23:30:00"
-      #    start_day: "sunday"
-      #    end_day: "friday"
-      #    sender_subid: "BTS"
-      #    raw_data: "S4PMA"
-      #    auto_fix_seq_num: true
-      # }
-      # connection {
-      #    name: "cme_mc5_64"
-      #    platform: GLBX
-      #    socket_connect_host_ip: "69.50.112.177"
-      #    socket_connect_port: 61922
-      #    sender_compid: "MC5004N"
-      #    target_compid: "CME"
-      #    target_subid: "64"
-      #    cme_market_segment_id: 64
-      #    start_time: "00:30:00"
-      #    end_time: "23:30:00"
-      #    start_day: "sunday"
-      #    end_day: "friday"
-      #    sender_subid: "BTS"
-      #    raw_data: "S4PMA"
-      #    auto_fix_seq_num: true
-      # }
-      # connection {
-      #    name: "cme_mc5_72"
-      #    platform: GLBX
-      #    socket_connect_host_ip: "69.50.112.189"
-      #    socket_connect_port: 61922
-      #    sender_compid: "MC5004N"
-      #    target_compid: "CME"
-      #    target_subid: "72"
-      #    cme_market_segment_id: 72
-      #    start_time: "00:30:00"
-      #    end_time: "23:30:00"
-      #    start_day: "sunday"
-      #    end_day: "friday"
-      #    sender_subid: "BTS"
-      #    raw_data: "S4PMA"
-      #    auto_fix_seq_num: true
-      # }
-      # connection {
-      #    name: "cme_mc5_70"
-      #    platform: GLBX
-      #    socket_connect_host_ip: "69.50.112.183"
-      #    socket_connect_port: 61922
-      #    sender_compid: "MC5004N"
-      #    target_compid: "CME"
-      #    target_subid: "70"
-      #    cme_market_segment_id: 70
-      #    start_time: "00:30:00"
-      #    end_time: "23:30:00"
-      #    start_day: "sunday"
-      #    end_day: "friday"
-      #    sender_subid: "BTS"
-      #    raw_data: "S4PMA"
-      #    auto_fix_seq_num: true
-      # }
-      # connection {
-      #    name: "cme_mc5_68"
-      #    platform: GLBX
-      #    socket_connect_host_ip: "69.50.112.168"
-      #    socket_connect_port: 61922
-      #    sender_compid: "MC5004N"
-      #    target_compid: "CME"
-      #    target_subid: "68"
-      #    cme_market_segment_id: 68
-      #    start_time: "00:30:00"
-      #    end_time: "23:30:00"
-      #    start_day: "sunday"
-      #    end_day: "friday"
-      #    sender_subid: "BTS"
-      #    raw_data: "S4PMA"
-      #    auto_fix_seq_num: true
-      # }
-      # connection {
-      #    name: "cme_mc5_80"
-      #    platform: GLBX
-      #    socket_connect_host_ip: "69.50.112.187"
-      #    socket_connect_port: 61922
-      #    sender_compid: "MC5004N"
-      #    target_compid: "CME"
-      #    target_subid: "80"
-      #    cme_market_segment_id: 80
-      #    start_time: "00:30:00"
-      #    end_time: "23:30:00"
-      #    start_day: "sunday"
-      #    end_day: "friday"
-      #    sender_subid: "BTS"
-      #    raw_data: "S4PMA"
-      #    auto_fix_seq_num: true
-      # }
-      # connection {
-      #    name: "cme_mc5_84"
-      #    platform: GLBX
-      #    socket_connect_host_ip: "69.50.112.198"
-      #    socket_connect_port: 61922
-      #    sender_compid: "MC5004N"
-      #    target_compid: "CME"
-      #    target_subid: "84"
-      #    cme_market_segment_id: 84
-      #    start_time: "00:30:00"
-      #    end_time: "23:30:00"
-      #    start_day: "sunday"
-      #    end_day: "friday"
-      #    sender_subid: "BTS"
-      #    raw_data: "S4PMA"
-      #    auto_fix_seq_num: true
-      # }
-      # connection {
-      #    name: "cme_mc5_78"
-      #    platform: GLBX
-      #    socket_connect_host_ip: "69.50.112.167"
-      #    socket_connect_port: 61922
-      #    sender_compid: "MC5004N"
-      #    target_compid: "CME"
-      #    target_subid: "78"
-      #    cme_market_segment_id: 78
-      #    start_time: "00:30:00"
-      #    end_time: "23:30:00"
-      #    start_day: "sunday"
-      #    end_day: "friday"
-      #    sender_subid: "BTS"
-      #    raw_data: "S4PMA"
-      #    auto_fix_seq_num: true
-      # }
+      connection {
+         name: "cme_mc5_60"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.195"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "60"
+         cme_market_segment_id: 60
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_76"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.204"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "76"
+         cme_market_segment_id: 76
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_88"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.169"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "88"
+         cme_market_segment_id: 88
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_74"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.197"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "74"
+         cme_market_segment_id: 74
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_64"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.177"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "64"
+         cme_market_segment_id: 64
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_72"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.189"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "72"
+         cme_market_segment_id: 72
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_70"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.183"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "70"
+         cme_market_segment_id: 70
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_68"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.168"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "68"
+         cme_market_segment_id: 68
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_80"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.187"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "80"
+         cme_market_segment_id: 80
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_84"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.198"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "84"
+         cme_market_segment_id: 84
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_78"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.167"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "78"
+         cme_market_segment_id: 78
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
    }
 }
 JetFIX {

src/lib/config/defaults/orders_fills_cleanup.conf

@@ -2,14 +2,4 @@ OrdersSoftCleanupCutoff {
    value {
       extra_days: 1
    }
-}
-
-SODTime 
-{
-   rule: "DeploymentType.type == 'dev'"
-   value
-   {
-      sod_hh: 20
-      sod_mm: 30
-   }
 }

src/lib/config/protos/MarketData.proto

@@ -154,7 +154,6 @@ message ICEOptions
    message ICEChannel {
       required string name = 1;
       repeated uint32 market_type = 2;
-      repeated uint32 uds_market_type = 7;
       optional uint32 udp_buffer_size = 3 [default = 4194304]; //4mb      
       optional uint32 heartbeat_interval = 4 [default = 36000];
       optional uint32 sequence_gap_margin = 5 [default = 10000];
@@ -217,3 +216,13 @@ message CMETradingSchedule {
 message SecurityExpirationCutoff {
   optional uint32 max_days_after_expiration =1 [default = 7];
 }
+
+message DisplayFactorOverride {
+   message Override {
+      required string symbol = 1;
+      required string exchange = 2;
+      optional string type = 3;
+      optional double price_multiplier = 10;
+   }
+   repeated Override override = 1;
+}

src/lib/config/protos/Ports.proto

@@ -5,7 +5,6 @@ message Ports {
   // see ports.conf for actual defaults
   optional int32 config_port = 1 ;
   optional int32 qbus_port = 2 ;
-  optional int32 glbx_sim_fix_port =  3 ;
-  optional int32 ice_sim_fix_port =  5 ;
+  optional int32 exchange_sim_fix_port =  3 ;
   optional int32 replicator_port = 4 ;
 }

src/lib/config/protos/Symbols.proto

@@ -20,5 +20,4 @@ message Symbols {
   optional SecurityExchangeList glbx = 10;
   optional SecurityExchangeList sim = 20;
   optional SecurityExchangeList ice = 30;
-  optional SecurityExchangeList simice = 40;
 }

src/lib/config/protos/jetfix.proto

@@ -7,11 +7,9 @@ message JetFIX {
     required string name = 10;
 
     enum JetFIXPlatform {
-	   GLBX = 1;
-	   CBOE = 6;
-      SIM = 2;
-      ICE = 3;
-      SIMICE = 4;
+	GLBX = 1;
+	CBOE = 6;
+        SIM = 2;
     }
     optional JetFIXPlatform platform = 15                       [default = GLBX];
     
@@ -49,7 +47,6 @@ message JetFIX {
     optional string target_subid = 130				[default = ""];
     optional string sender_locationid = 135			[default = "US,NC"];
     optional string raw_data = 136				[default =""];
-    optional string user_name = 138 				[default =""];
     optional string self_match_prevention_id = 140		[default=""];
     optional string cti_code = 145				[default="1"];
     optional int32  customer_or_firm = 147		        [default=1];
@@ -94,7 +91,6 @@ message JetFIX {
 
 message JetFIXSimConnection {
   required JetFIX.Connection sim = 10;
-  required JetFIX.Connection sim_ice = 20;
 }
 
 message CannedCertSession {

src/lib/config/protos/toggles.proto

@@ -48,6 +48,10 @@ message RejectStopAndStopLimitOrders {
   optional bool enabled = 1 [default = true]; 
 }
 
+message SOMTicksFix {
+   optional bool enabled = 1 [default = true];
+}
+
 message EnsureOnScreenWithWorkAreaRect {
    // Defaulting to false bc this is near the end of the cycle (04/27/2019),
    // and the new ensure_onscreen code has only been tested with a single monitor arrangement.

src/lib/domain_model/Security.cpp

@@ -27,10 +27,9 @@ std::string descriptor(api::Security const &sec) {
    else if (sec.has_ice())
       return sec.ice().security_desc();
    else
-      return "No descriptor for non glbx / ice exchange";
+      return "No descriptor for non glbx exchange";
 }
 
-
 boost::gregorian::date smallest_leg(
     ::google::protobuf::RepeatedPtrField<::bts::api::ContractLeg> const &l) {
    bts_assert(l.size());

src/lib/domain_model/Security.h

@@ -182,6 +182,5 @@ inline bool gr_than(double p1, double p2, double tick_size) {
    return gr_than_eq(p1, p2, tick_size) &&
          !test_price_equality(p1,p2,tick_size);
 }
-
-
-}}
+} // namespace securities
+} // namespace bts

src/lib/domain_model/Security.proto

@@ -12,7 +12,6 @@ enum Venue {
      VENUE_CBOECFE = 207;
      VENUE_GLBX = 301;
      VENUE_ICE = 306;
-     VENUE_SIMICE = 3;
 }
 
 enum SecurityType {
@@ -55,12 +54,11 @@ enum CMEMics {
 }
 
 enum ICEMics{
-   IF_UNSET = 0;
-   IFU = 1;
-   IFE = 2;
-   IFL = 3;
-   IFC = 4;
-   IFEN = 5;
+   ICE_UNSET=0;
+   ICE_US = 1;
+   ICE_EU = 2;
+   ICE_LIFFE = 3;
+   ICE_CA = 4;
 }
 
 enum Side {
@@ -105,9 +103,8 @@ message CBOECFEExchangeData {
 message ICEExchangeData {
    int64 exchange_id = 10;
    string security_desc = 15; //contractSymbol
-   int32 price_denominator = 17;
-   int32 deal_denominator = 20;
-   int32 settle_denominator = 30;
+   int32 deal_display_factor = 20;
+   int32 settle_display_factor = 30;
    
    string market_description = 100;
    string cleared_alias = 110;

src/lib/jetfix/codec/FIXEncodingStream.h

@@ -1,11 +1,11 @@
 #pragma once
 
-#include "lib/jetfix/codec/FIXBuffer.h"
-#include "lib/jetfix/codec/FIXFragment.h"
-#include "lib/jetfix/codec/FieldDefinitions.h"
-#include "lib/jetfix/codec/Fields.h"
-#include "lib/jetfix/codec/MessageTypes.h"
 #include <memory>
+#include "lib/jetfix/codec/FIXBuffer.h"
+#include "lib/jetfix/codec/MessageTypes.h"
+#include "lib/jetfix/codec/FIXFragment.h"
+#include "lib/jetfix/codec/Fields.h"
+#include "lib/jetfix/codec/FieldDefinitions.h"
 
 #include "lib/config/protos/jetfix.pb.h"
 
@@ -14,186 +14,185 @@ namespace jetfix {
 
 // Helper to batch the encoding of multiple FIX messages all sharing
 // the same FIX headers.
-class FIXEncodingStream {
- public:
+class FIXEncodingStream
+{
+public:
    FIXEncodingStream(config::JetFIX::Connection const &cfg,
-                     uint32_t initial_capacity = 1024 * 10)
-       : _msg_header_template(), _header_template_size(),
-         _header_template_checksum(), _buffer(initial_capacity), _message_map(),
-         _current_msg(_buffer), _state(State::OPEN), _seq_num_bm(),
-         _last_seq_num_bm(), _sending_time_bm() {
-      _message_map.reserve(10 * 1024);
+                     uint32_t initial_capacity = 1024*10)
+      :
+      _msg_header_template (),
+      _header_template_size (),
+      _header_template_checksum (),
+      _buffer (initial_capacity),
+      _message_map (),
+      _current_msg (_buffer),
+      _state (State::OPEN),
+      _body_length_bm (),
+      _msg_type_bm (),
+      _seq_num_bm (),
+      _last_seq_num_bm (),
+      _sending_time_bm ()
+   {
+      _message_map.reserve (10*1024);
 
-      FIXBuffer header_buffer(&_msg_header_template[0],
-                              _msg_header_template.size());
-      FIXFragment header(header_buffer);
+      FIXBuffer header_buffer (&_msg_header_template[0],_msg_header_template.size ());
+      FIXFragment header (header_buffer);
+      header.add<fix::BeginString>("FIX.4.2");
 
-      // We cannot include body lenght and msg type in the header
-      // because message type is not fixed lenght, and therefore its
-      // not possible to have bookmarks to fields after it, ahead of
-      // knowing the message type value. The rest of the header is
-      // fixed lenght so we form it here.
-      _seq_num_bm = header.add<fix::MsgSeqNum>(0, 9);
-      _last_seq_num_bm = header.add<fix::LastSeqNumProcessed>(0, 9);
+      _body_length_bm = header.add<fix::BodyLength>(0,6);
+      _msg_type_bm = header.add<fix::MsgType>(" ",1);
+      _seq_num_bm = header.add<fix::MsgSeqNum>(0,9);
+      _last_seq_num_bm = header.add<fix::LastSeqNumProcessed>(0,9);
       _sending_time_bm = header.add<SendingTimeStr>(
-          "20150427-19:05:18.923", sizeof("20150427-19:05:18.923") - 1);
+          "20150427-19:05:18.923",sizeof("20150427-19:05:18.923")-1);
 
-      header.add<fix::SenderCompID>(cfg.sender_compid());
-      header.add<fix::TargetCompId>(cfg.target_compid());
-      header.add<fix::TargetSubID>(cfg.target_subid());
-      _header_template_size = header.size();
-      _header_template_checksum = header.checksum();
+      header.add<fix::SenderCompID>(cfg.sender_compid ());
+      header.add<fix::TargetCompId>(cfg.target_compid ());
+      header.add<fix::TargetSubID>(cfg.target_subid ());
+      _header_template_size = header.size ();
+      _header_template_checksum = header.checksum ();
    }
 
-   inline FIXFragment &new_msg(MessageTypes type) {
-      bts_assert(_state == State::OPEN);
-      tidy_last_msg();
-
-      auto msg_offset = _buffer.size();
-
-      _current_msg = FIXFragment(_buffer);
-      _begin_string_bm = _current_msg.add<fix::BeginString>("FIX.4.2");
-      _body_length_bm = _current_msg.add<fix::BodyLength>(0, 6);
-
-      char mt_encoding[4];
-      auto start = encode_message_type(type, mt_encoding);
-      _msg_type_bm = _current_msg.add<fix::MsgType>(
-          mt_encoding + start, sizeof(mt_encoding) - start);
-
-      auto header_offset = _buffer.size();
-      _message_map.emplace_back(msg_offset, header_offset, 0u, 0u, 0u,
-                                FIXFragment::Bookmark<IntField<10u>>());
-      _current_msg.append(&_msg_header_template[0], _header_template_size,
-                          _header_template_checksum);
+   inline FIXFragment &new_msg (MessageTypes type)
+   {
+      bts_assert (_state == State::OPEN);
+      tidy_last_msg ();
+      
+      auto msg_offset = _buffer.size ();
+      _message_map.emplace_back (msg_offset,0u,0u,0u,FIXFragment::Bookmark<IntField<10u>>());
+      _current_msg = FIXFragment (_buffer);
+      _current_msg.append (&_msg_header_template[0],
+                           _header_template_size,
+                           _header_template_checksum);
+      char msg_type_str[1] = {(char) type};
+      _current_msg.overwrite (_msg_type_bm.shift (msg_offset),msg_type_str,1);
       return _current_msg;
    }
-
-   inline void close() {
-      bts_assert(_state == State::OPEN);
-      tidy_last_msg();
+   
+   inline void close ()
+   {
+      bts_assert (_state == State::OPEN);
+      tidy_last_msg ();
       _state = State::CLOSED;
    }
 
-   inline void reopen_empty() {
-      bts_assert(_state == State::CLOSED);
-      bts_assert(_message_map.empty());
+   inline void reopen_empty ()
+   {
+      bts_assert (_state == State::CLOSED);
+      bts_assert (_message_map.empty ());
       _state = State::OPEN;
    }
+   
+   inline uint32_t size () const
+   {return _buffer.size ();}
 
-   inline uint32_t size() const { return _buffer.size(); }
+   inline const char* data () const
+   {return _buffer.data ();}
 
-   inline const char *data() const { return _buffer.data(); }
-
-   struct MessageDesc {
-      MessageDesc(uint32_t offset, uint32_t header_offset, uint32_t size,
-                  uint32_t checksum, uint32_t seq_num,
-                  FIXFragment::Bookmark<fix::Checksum> checksum_bm)
-          : offset(offset), header_offset(header_offset), size(size),
-            checksum(checksum), seq_num(seq_num), checksum_bm(checksum_bm) {}
+   struct MessageDesc
+   {
+      MessageDesc (uint32_t offset,
+                   uint32_t size,
+                   uint32_t checksum,
+                   uint32_t seq_num,
+                   FIXFragment::Bookmark<fix::Checksum> checksum_bm)
+         : offset (offset),
+           size (size),
+           checksum (checksum),
+           seq_num (seq_num),
+           checksum_bm (checksum_bm)
+      {}
+      
 
       uint32_t offset;
-      uint32_t header_offset;
       uint32_t size;
       uint32_t checksum;
       uint32_t seq_num;
       FIXFragment::Bookmark<fix::Checksum> checksum_bm;
    };
-
-   std::string to_str() const {
+   
+   std::string to_str () const 
+   {
       std::string result;
-
-      if (size()) {
+      
+      if (size ())  {
          // return std::string(data(),size() is simpler but valgrind
          // reports a warning in that call
-         result.resize(size());
-         std::copy(data(), data() + size(), result.begin());
+         result.resize (size ());
+         std::copy (data (), data ()+size(),result.begin ());
       }
       return result;
    }
 
-   std::string to_human_str() const {
-      auto s = to_str();
-      std::replace(s.begin(), s.end(), '\001', '|');
+   std::string to_human_str () const 
+   {
+      auto s = to_str ();
+      std::replace( s.begin(), s.end(), '\001', '|' );
       return s;
    }
-
-   inline uint32_t stamp(uint32_t seq_num, uint32_t last_processed,
-                         std::string const &time_str) {
-      bts_assert(_state == State::CLOSED);
+   
+   inline uint32_t stamp (uint32_t seq_num,uint32_t last_processed, std::string const&time_str)
+   {
+      bts_assert (_state == State::CLOSED);
       _state = State::STAMPED;
 
       for (auto &m : _message_map) {
          ++seq_num;
          m.seq_num = seq_num;
 
-         FIXFragment frag(_buffer, m.checksum);
-         frag.overwrite(_seq_num_bm.shift(m.header_offset), m.seq_num, 9);
-         frag.overwrite(_last_seq_num_bm.shift(m.header_offset), last_processed,
-                        9);
-         frag.overwrite(_sending_time_bm.shift(m.header_offset), time_str);
-         frag.overwrite_checksum(m.checksum_bm, frag.checksum() % 256);
+         FIXFragment frag (_buffer,m.checksum);
+         frag.overwrite (_seq_num_bm.shift (m.offset),m.seq_num,9);
+         frag.overwrite (_last_seq_num_bm.shift (m.offset),last_processed,9);
+         frag.overwrite (_sending_time_bm.shift (m.offset),time_str);
+         frag.overwrite_checksum (m.checksum_bm,frag.checksum () % 256);
       }
       return seq_num;
    }
 
-   inline void reset() {
-      _buffer.reset();
-      _message_map.clear();
+   inline void reset ()
+   {
+      _buffer.reset ();
+      _message_map.clear ();
       _state = State::OPEN;
    }
 
-   inline bool is_closed() const { return _state == State::CLOSED; }
+   inline bool is_closed () const 
+   {return _state == State::CLOSED;}
 
-   size_t n_msgs() const { return _message_map.size(); }
-
-   std::vector<MessageDesc> const &msg_map() const { return _message_map; }
-
- private:
-   std::array<char, 256> _msg_header_template;
+   size_t n_msgs () const {return _message_map.size ();}
+   
+   std::vector<MessageDesc> const &msg_map () const {return _message_map;}
+private:
+   std::array<char,256> _msg_header_template;
    uint32_t _header_template_size;
    uint32_t _header_template_checksum;
    FIXBuffer _buffer;
    std::vector<MessageDesc> _message_map;
    FIXFragment _current_msg;
-   enum class State { OPEN, CLOSED, STAMPED };
+   enum class State { OPEN,CLOSED,STAMPED};
    State _state;
-
-   // These bookmarks point to the current msg (not the header)
-   FIXFragment::Bookmark<fix::BeginString> _begin_string_bm;
+   
    FIXFragment::Bookmark<fix::BodyLength> _body_length_bm;
    FIXFragment::Bookmark<fix::MsgType> _msg_type_bm;
-
-   // These bookmarks point to the header and thus have to be shifted
-   // by the offset of the end of the message type.
    FIXFragment::Bookmark<fix::MsgSeqNum> _seq_num_bm;
    FIXFragment::Bookmark<fix::LastSeqNumProcessed> _last_seq_num_bm;
    typedef StringField<fix::SendingTime::tag> SendingTimeStr;
    FIXFragment::Bookmark<SendingTimeStr> _sending_time_bm;
 
-   inline void tidy_last_msg() {
-      if (_message_map.size()) {
-         auto &this_msg_map = _message_map.back();
-         auto start = _msg_type_bm.offset - fix::MsgType::tag_sz - 1;
-         auto end = _buffer.size();
-         _current_msg.overwrite(_body_length_bm, end - start, 6);
-         this_msg_map.checksum = _current_msg.checksum();
-         this_msg_map.checksum_bm = _current_msg.add_checksum(0);
-         this_msg_map.size = _buffer.size() - this_msg_map.offset;
+   inline void tidy_last_msg ()
+   {
+      if (_message_map.size ()) {
+         auto &this_msg_map = _message_map.back ();
+         auto start =
+            this_msg_map.offset + _msg_type_bm.offset - fix::MsgType::tag_sz-1;
+         auto end = _buffer.size ();
+         _current_msg.overwrite (_body_length_bm.shift (this_msg_map.offset),
+                                 end-start,6);
+         this_msg_map.checksum = _current_msg.checksum ();
+         this_msg_map.checksum_bm = _current_msg.add_checksum (0);
+         this_msg_map.size = _buffer.size () - this_msg_map.offset;
       }
    }
-
-   uint32_t encode_message_type(MessageTypes m, char out[4]) {
-      auto mt = (uint32_t)m;
-      for (int i = 0; i < 4; i++) {
-         out[i] = mt >> (8 * (3 - i));
-         mt &= ((1 << (8 * (3 - i))) - 1);
-      }
-      for (int i = 0; i < 4; i++)
-         if (out[i])
-            return i;
-      return 0;
-   }
 };
 
-} // namespace jetfix
-} // namespace bts
+}}

src/lib/jetfix/codec/FieldDefinitions.h

@@ -69,9 +69,6 @@ typedef StringField<143> TargetLocationID;
 typedef StringField<1603> ApplicationSystemName;
 typedef StringField<1604> ApplicationSystemVersion;
 typedef StringField<1605> ApplicationSystemVendor;
-typedef StringField<9450> ICEApplicationSystemName;
-typedef StringField<9451> ICEApplicationSystemVersion;
-typedef StringField<9452> ICEApplicationSystemVendor;
 typedef StringField<167> SecurityType;
 typedef StringField<17> ExecID;
 typedef StringField<19> ExecRefID;
@@ -100,7 +97,6 @@ typedef StringField<7928> SelfMatchPreventionID;
 typedef StringField<8> BeginString;
 typedef StringField<9324> OrderOptionalData;
 typedef StringField<96> RawData;
-typedef StringField<553> UserName;
 typedef StringField<9717> CorrelationClOrdID;
 typedef StringField<9771> MMAccount;
 typedef TimeField<122> OrigSendingTime;
@@ -108,38 +104,6 @@ typedef TimeField<52> SendingTime;
 typedef TimeField<5979> RequestTime;
 typedef TimeField<60> TransactTime;
 
-//ICE
-typedef IntField<9208> Int_CtiCode; 
-typedef BigIntField<11> Int_ClOrdID; 
-typedef BigIntField<37> Int_OrderID; 
-typedef BigIntField<41> Int_OrigClOrdID; 
-typedef IntField<109> CompanyID; 
-typedef IntField<55> Int_Symbol; 
-typedef IntField<439> Int_ClearingFirm;
-typedef StringField<9121> Memo;
-typedef IntField<103> OrdRejReason;
-typedef IntField<285> DeleteReason;
-typedef CharField<9195> AccountCode;
-typedef StringField<9207> CustomerAccountRefId;
-typedef StringField<115> OnBehalfOfCompID;
-typedef StringField<116> OnBehalfOfSubID;
-typedef StringField<144> OnBehalfOfLocationID;
-typedef StringField<9139> OriginatorUserID;
-typedef CharField<18> ExecInst;
-typedef IntField<210> MaxShow;
-typedef IntField<9006> ICEStrategyPreference;
-typedef IntField<9007> ICETimeStampPreference;
-typedef StringField<1031> CustOrderHandlingInst;
-
-typedef IntField<9700> MifidDirectElectronicAccess;
-typedef IntField<9701> MifidTradingCapacity;
-typedef IntField<9702> MifidLiquidityProvision;
-typedef IntField<9703> MifidCommodityDerivIndicator;
-typedef BigIntField<9704> MifidInvestmentDecision;
-typedef BigIntField<9705> MifidExecutionDecision;
-typedef BigIntField<9706> MifidClientIDCode;
-typedef BigIntField<9707> MifidId;
-
 typedef Group<NoQuoteEntries,
               QuoteEntryID,
               Symbol,

src/lib/jetfix/codec/Fields.h

@@ -156,33 +156,6 @@ public:
    }
 };
 
-template <uint16_t tag>
-class BigIntField : public BaseField<tag,int64_t>
-{
-public:
-   typedef BaseField<tag,int64_t> Parent;
-
-   void read (ReaderCursor &cursor)
-   {
-      auto loc = cursor.read_field ();
-      Parent::_value = atoll (&(cursor.data ()[loc.first]));
-   }
-
-   static uint32_t max_value_size (int64_t,int pad = 0)
-   {
-      if (pad == 0)
-         return 20;
-      else
-         return pad;
-   }
-   
-   static std::pair<uint32_t,uint32_t> write (char*buffer,int64_t i,int pad = 0)
-   {
-      auto written = i64_toa (i,buffer,pad);
-      return std::make_pair (written,sum_bytes (buffer,written));
-   }
-};
-
 template <uint16_t tag>
 class StringField : public BaseField<tag,std::string>
 {

src/lib/jetfix/codec/MessageDefinitions.h

@@ -66,58 +66,5 @@ typedef FIXMsg<MessageTypes::CancelReject,
                CorrelationClOrdID>
 CancelRejectMsg;
 
-typedef FIXMsg<MessageTypes::ICETraderLoginResponse, 
-               CompanyID,
-               UserName,
-               Text>
-ICETraderLoginResponseMsg;
-
-typedef FIXMsg<MessageTypes::ICETraderLogoutResponse, 
-               CompanyID,
-               UserName,
-               Text>
-ICETraderLogoutResponseMsg;
-
-typedef FIXMsg<MessageTypes::ExecutionReport,
-               Int_OrderID,
-               Int_ClOrdID,
-               CompanyID,
-               ExecID,               
-               ExecRefID,
-               ExecType,
-               OrdStatus,
-               OrdRejReason,               
-               Int_Symbol,               
-               Side,
-               OrderQty,
-               MaxShow,
-               OrdType,
-               Price,
-               StopPx,
-               TimeInForce,
-               LeavesQty,
-               CumQty,
-               AvgPx,
-               LastPx,
-               LastShares,               
-               TransactTimeStr,
-               MultiLegReportingType,               
-               ClearingAccount,            
-               Memo,                                       
-               Text,
-               DeleteReason,
-               TargetSubID,
-               MsgSeqNum>
-ICEExecutionReportMsg;
-
-typedef FIXMsg<MessageTypes::CancelReject,
-               Int_OrderID,
-               Int_ClOrdID,
-               Int_OrigClOrdID,
-               CXlRejReason,
-               Text,
-               Memo>
-ICECancelRejectMsg;
-
 }}}
 

src/lib/jetfix/codec/MessageTypes.h

@@ -5,7 +5,7 @@
 namespace bts {
 namespace jetfix {
 
-enum class MessageTypes : uint32_t
+enum class MessageTypes
 {
    Advertisement               = '7',
    Allocation                  = 'J',
@@ -48,12 +48,7 @@ enum class MessageTypes : uint32_t
    SettlementInstructions      = 'T',
    TestRequest                 = '1',
    TradingSessionStatus        = 'h',
-   TradingSessionStatusRequest = 'g',
-   ICETraderLogin              = ('U' << 16) + ('C' << 8) + 'G',
-   ICETraderLoginResponse      = ('U' << 16) + ('C' << 8) + 'I',   
-   ICETraderLogout             = ('U' << 16) + ('C' << 8) + 'H',   
-   ICETraderLogoutResponse     = ('U' << 16) + ('C' << 8) + 'J',   
-   
+   TradingSessionStatusRequest = 'g'
 };
 
 }}

src/lib/jetfix/codec/i32_toa.h

@@ -259,199 +259,3 @@ inline int u32_toa(uint32_t u, char* buffer, int pad) {
 }
 
 
-///https://github.com/miloyip/itoa-benchmark
-
-#define BEGIN2(n) \
-    do { \
-        int t = (n); \
-        if(t < 10) *p++ = '0' + t; \
-        else { \
-            t *= 2; \
-            *p++ = gDigitsLut[t]; \
-            *p++ = gDigitsLut[t + 1]; \
-        } \
-    } while(0)
-#define MIDDLE2(n) \
-    do { \
-        int t = (n) * 2; \
-        *p++ = gDigitsLut[t]; \
-        *p++ = gDigitsLut[t + 1]; \
-    } while(0)
-#define BEGIN4(n) \
-    do { \
-        int t4 = (n); \
-        if(t4 < 100) BEGIN2(t4); \
-        else { BEGIN2(t4 / 100); MIDDLE2(t4 % 100); } \
-    } while(0)
-#define MIDDLE4(n) \
-    do { \
-        int t4 = (n); \
-        MIDDLE2(t4 / 100); MIDDLE2(t4 % 100); \
-    } while(0)
-#define BEGIN8(n) \
-    do { \
-        uint32_t t8 = (n); \
-        if(t8 < 10000) BEGIN4(t8); \
-        else { BEGIN4(t8 / 10000); MIDDLE4(t8 % 10000); } \
-    } while(0)
-#define MIDDLE8(n) \
-    do { \
-        uint32_t t8 = (n); \
-        MIDDLE4(t8 / 10000); MIDDLE4(t8 % 10000); \
-    } while(0)
-#define MIDDLE16(n) \
-    do { \
-        uint64_t t16 = (n); \
-        MIDDLE8(t16 / 100000000); MIDDLE8(t16 % 100000000); \
-    } while(0)
-    
-inline int u64_toa(uint64_t value, char* p) 
-{
-   auto start = p;
-   if(value < 100000000) BEGIN8(value);
-   else if(value < 10000000000000000) { BEGIN8(value / 100000000); MIDDLE8(value % 100000000); }
-   else { BEGIN4(value / 10000000000000000); MIDDLE16(value % 10000000000000000); }
-   *p = 0;   
-   return p-start;
-}    
-
-inline int count_digits (int64_t value)
-{
-   static auto P01 = 10ull;
-   static auto P02 = P01*10;
-   static auto P03 = P02*10;
-   static auto P04 = P03*10;
-   static auto P05 = P04*10;
-   static auto P06 = P05*10;
-   static auto P07 = P06*10;
-   static auto P08 = P07*10;
-   static auto P09 = P08*10;
-   static auto P10 = P09*10;
-   static auto P11 = P10*10;
-   static auto P12 = P11*10;
-   static auto P13 = P12*10;
-   static auto P14 = P13*10;
-   static auto P15 = P14*10;
-   static auto P16 = P15*10;
-   static auto P17 = P16*10;
-   static auto P18 = P17*10;
-   static auto P19 = P18*10;
-
-   uint64_t u = static_cast<uint64_t>(value);
-   if (value < 0) 
-      u = ~u + 1;
-
-   if (u < P01) return 1;
-   if (u < P02) return 2;
-   if (u < P03) return 3;
-   if (u < P04) return 4;
-   if (u < P05) return 5;
-   if (u < P06) return 6;
-   if (u < P07) return 7;
-   if (u < P08) return 8;
-   if (u < P09) return 9;
-   if (u < P10) return 10;
-   if (u < P11) return 11;
-   if (u < P12) return 12;
-   if (u < P13) return 13;
-   if (u < P14) return 14;
-   if (u < P15) return 15;
-   if (u < P16) return 16;
-   if (u < P17) return 17;
-   if (u < P18) return 18;
-   if (u < P19) return 19;
-   return 20;
-}
-
-inline int count_digits (uint64_t u)
-{
-   static auto P01 = 10ull;
-   static auto P02 = P01*10;
-   static auto P03 = P02*10;
-   static auto P04 = P03*10;
-   static auto P05 = P04*10;
-   static auto P06 = P05*10;
-   static auto P07 = P06*10;
-   static auto P08 = P07*10;
-   static auto P09 = P08*10;
-   static auto P10 = P09*10;
-   static auto P11 = P10*10;
-   static auto P12 = P11*10;
-   static auto P13 = P12*10;
-   static auto P14 = P13*10;
-   static auto P15 = P14*10;
-   static auto P16 = P15*10;
-   static auto P17 = P16*10;
-   static auto P18 = P17*10;
-   static auto P19 = P18*10;
-
-   if (u < P01) return 1;
-   if (u < P02) return 2;
-   if (u < P03) return 3;
-   if (u < P04) return 4;
-   if (u < P05) return 5;
-   if (u < P06) return 6;
-   if (u < P07) return 7;
-   if (u < P08) return 8;
-   if (u < P09) return 9;
-   if (u < P10) return 10;
-   if (u < P11) return 11;
-   if (u < P12) return 12;
-   if (u < P13) return 13;
-   if (u < P14) return 14;
-   if (u < P15) return 15;
-   if (u < P16) return 16;
-   if (u < P17) return 17;
-   if (u < P18) return 18;
-   if (u < P19) return 19;
-   return 20;
-}
-
-inline int i64_toa(int64_t value, char* buffer, int pad) 
-{
-   auto start = buffer;
-   uint64_t u = static_cast<uint64_t>(value);
-   if (value < 0) {
-      *buffer++ = '-';
-      u = ~u + 1;
-   }
-   if (pad) 
-   {
-      auto digits = count_digits (value);
-      auto offset = pad - digits;
-      if (offset > 0) 
-      {
-         auto start = buffer + offset;
-         while (buffer != start)
-         {
-            *buffer='0';
-            buffer++;
-         }
-      }
-      else if (offset < 0)
-         return 0;
-   }
-   return (buffer-start) + u64_toa(u, buffer);
-}
-
-inline int u64_toa(uint64_t u, char* buffer, int pad) 
-{
-   auto start = buffer;
-   if (pad) 
-   {
-      auto digits = count_digits (u);
-      auto offset = pad - digits;
-      if (offset > 0) 
-      {
-         auto start = buffer + offset;
-         while (buffer != start)
-         {
-            *buffer='0';
-            buffer++;
-         }
-      }
-      else if (offset < 0)
-         return 0;
-   }
-   return (buffer-start) + u64_toa(u, buffer);
-}

src/lib/jetfix/gateway/Session.cpp

@@ -783,63 +783,42 @@ OutFIXPtr make_logon(uint32_t seq_num, uint32_t last_seq_num_processed,
    const char *application = "O2";
 #endif
 
-   if(session_cfg.platform() == bts::config::JetFIX_Connection_JetFIXPlatform_ICE || 
-      session_cfg.platform() == bts::config::JetFIX_Connection_JetFIXPlatform_SIMICE)
-   {
-      buffer.add<ICEApplicationSystemName>(application);
-      buffer.add<ICEApplicationSystemVersion>("1.0");
-      buffer.add<ICEApplicationSystemVendor>("BTS");      
-      
-      buffer.add<UserName>(session_cfg.user_name());      
-      buffer.add<RawDataLength>(session_cfg.raw_data().size());
-      buffer.add<RawData>(session_cfg.raw_data());      
-      buffer.add<EncryptMethod>(0);
-      buffer.add<ICEStrategyPreference>(1);
-      buffer.add<ICETimeStampPreference>(1);
+   buffer.add<ApplicationSystemName>(application);
+   buffer.add<ApplicationSystemVersion>("1.0");
+   buffer.add<ApplicationSystemVendor>("BTS");
+
+   if (session_cfg.has_trading_session_id()) {
+      buffer.add<fix::NoTradingSessions>(1);
+      buffer.add<fix::TradingSessionID>(session_cfg.trading_session_id());
    }
-   else
-   {
-      buffer.add<ApplicationSystemName>(application);
-      buffer.add<ApplicationSystemVersion>("1.0");
-      buffer.add<ApplicationSystemVendor>("BTS");
+   if (session_cfg.has_udf_support_indicator())
+      buffer.add<fix::UDFSupportIndicator>(session_cfg.udf_support_indicator());
 
-      if (session_cfg.has_trading_session_id()) {
-         buffer.add<fix::NoTradingSessions>(1);
-         buffer.add<fix::TradingSessionID>(session_cfg.trading_session_id());
-      }
-      if (session_cfg.has_udf_support_indicator())
-         buffer.add<fix::UDFSupportIndicator>(session_cfg.udf_support_indicator());
+   if (session_cfg.use_cme_secure_logon()) {
+      bts_assert(session_cfg.sender_compid().size() >= 3);
+      auto session_id = session_cfg.sender_compid().substr(0, 3);
+      std::string seq_num_str(9, ' ');
+      i32_toa(seq_num, &seq_num_str[0], 9);
 
-      if (session_cfg.use_cme_secure_logon()) {
-         bts_assert(session_cfg.sender_compid().size() >= 3);
-         auto session_id = session_cfg.sender_compid().substr(0, 3);
-         std::string seq_num_str(9, ' ');
-         i32_toa(seq_num, &seq_num_str[0], 9);
-
-         std::string last_seq_num_str(9, ' ');
-         i32_toa(last_seq_num_processed, &last_seq_num_str[0], 9);
-         auto ld = glbx::calculate_hmac(
-            session_id, seq_num_str, session_cfg.sender_compid(),
-            session_cfg.sender_subid(), time_str, session_cfg.target_subid(),
-            std::to_string(session_cfg.seconds_between_hbs()),
-            session_cfg.sender_locationid(), last_seq_num_str, application, "1.0",
-            "BTS");
-   #ifndef BTS_EDGE
-         LOG(Jetfix, Info, "Canonical string for secure logon: {}", ld.canonical);
-   #endif
-         buffer.add<EncodedTextLen>(ld.access_key.size());
-         buffer.add<EncodedText>(ld.access_key);
-         buffer.add<EncryptedPasswordMethod>("CME-1-SHA-256");
-         buffer.add<EncryptedPasswordLen>(ld.signature.size());
-         buffer.add<EncryptedPassword>(ld.signature);
-      } 
-      else 
-      {
-         buffer.add<RawDataLength>(session_cfg.raw_data().size());
-         buffer.add<RawData>(session_cfg.raw_data());
-         if(session_cfg.user_name() != "")
-            buffer.add<UserName>(session_cfg.user_name());
-      }
+      std::string last_seq_num_str(9, ' ');
+      i32_toa(last_seq_num_processed, &last_seq_num_str[0], 9);
+      auto ld = glbx::calculate_hmac(
+          session_id, seq_num_str, session_cfg.sender_compid(),
+          session_cfg.sender_subid(), time_str, session_cfg.target_subid(),
+          std::to_string(session_cfg.seconds_between_hbs()),
+          session_cfg.sender_locationid(), last_seq_num_str, application, "1.0",
+          "BTS");
+#ifndef BTS_EDGE
+      LOG(Jetfix, Info, "Canonical string for secure logon: {}", ld.canonical);
+#endif
+      buffer.add<EncodedTextLen>(ld.access_key.size());
+      buffer.add<EncodedText>(ld.access_key);
+      buffer.add<EncryptedPasswordMethod>("CME-1-SHA-256");
+      buffer.add<EncryptedPasswordLen>(ld.signature.size());
+      buffer.add<EncryptedPassword>(ld.signature);
+   } else {
+      buffer.add<RawDataLength>(session_cfg.raw_data().size());
+      buffer.add<RawData>(session_cfg.raw_data());
    }
 
    stream.close();

src/lib/md/MDConsumerHandle.cpp

@@ -293,7 +293,7 @@ TimeStamp copy_synthetic_depth(const SyntheticStrategy& synth, size_t count, Pri
 // END SYNTHETIC DEPTH
 /////////////////////////////
 
-bool MDConsumerHandle::get_last_trade(TimeStamp& time, PriceSize& trade, datetime::LLDateTime& trade_timestamp, size_t* total_volume, int* from_spread) const {
+bool MDConsumerHandle::get_last_trade(TimeStamp& time, PriceSize& trade, datetime::LLDateTime& trade_timestamp, size_t* total_volume) const {
    switch(_type) {
       case HANDLETYPE_VOID: return false;
       case HANDLETYPE_DEPTH:
@@ -303,7 +303,6 @@ bool MDConsumerHandle::get_last_trade(TimeStamp& time, PriceSize& trade, datetim
          if (result) {
             trade_timestamp = pcold->last_trade_time;
             if (total_volume) { *total_volume = pcold->total_volume; }
-            if (from_spread) { *from_spread = pcold->from_spread; }
          }
          return result;
       }

src/lib/md/MDConsumerHandle.h

@@ -239,7 +239,7 @@ public:
       return get_book(read_combined, time, copydepth, bids, asks);
    }
    
-   bool get_last_trade(TimeStamp& time, PriceSize& out_trade, datetime::LLDateTime& out_trade_timestamp, size_t* total_volume=nullptr,int* from_spread=nullptr) const;
+   bool get_last_trade(TimeStamp& time, PriceSize& out_trade, datetime::LLDateTime& out_trade_timestamp, size_t* total_volume=nullptr) const;
 
    IntPrice settlement_price() const {
       switch(_type) {

src/lib/md/MDProducer.cpp

@@ -16,12 +16,12 @@ namespace md {
 // Owns shared memory for a single symbol+type
 class MDProducerImpl {
 public:
-   MDProducerImpl(const string& symbol, SecurityType type, Venue exchange, Platform platform, bool shared) :
+   MDProducerImpl(const string& symbol, SecurityType type, Venue exchange, Platform platform, MDProducerFlags flags) :
       _symbol(symbol),
       _type(type),
       _exchange(exchange),
-      _hot(hot_segment_name(symbol, type, exchange, platform), 1024, 1024, shared),
-      _cold(cold_segment_name(symbol, type, exchange, platform), 8192, 2048, shared),
+      _hot(hot_segment_name(symbol, type, exchange, platform), 1024, 1024, flags & MDProducerFlags::Shared),
+      _cold(cold_segment_name(symbol, type, exchange, platform), 8192, 2048, flags & MDProducerFlags::Shared),
       _trades(_cold.header().trade_buffer, BTS_ARRAYSIZE(_cold.header().trade_buffer), true),
       _rfqs(_cold.header().rfq_buffer, BTS_ARRAYSIZE(_cold.header().rfq_buffer), true)
       {
@@ -33,7 +33,7 @@ public:
          // static_assert(sizeof(HotEntry) <= 32,"HotEntry should be less than 32 bytes");
       }
  
-   MDProducerHandle add_security(const FixedSecurity& security) {
+   MDProducerHandle add_security(const FixedSecurity& security, SecurityMapper& smapper) {
       void* h_entry = nullptr;
       if (has_depth()) {
          h_entry = new (_hot.add(sizeof(HotDepthEntry))) HotDepthEntry();
@@ -45,6 +45,7 @@ public:
       // Calculating the size for the variable sized entries is tricky
       ColdEntry* c_entry = new (_cold.add(ColdEntry::fixed_size() + security.size)) ColdEntry(security.size);
       memcpy(&c_entry->security, &security, security.size);
+      smapper.apply(c_entry->security);
 
       MDProducerHandle handle(_cold.header(), _hot.header(), *c_entry, h_entry, MDProducerChannel(*this));
 
@@ -102,27 +103,30 @@ private:
 // MDProducer
 //
 
-MDProducer::MDProducer(Platform platform, bool shared) :
+MDProducer::MDProducer(Platform platform, MDProducerFlags flags) :
    _mutex(new std::mutex()),
    _producers(),
    _id_recorder(),
    _platform(platform),
-   _shared(shared)
+   _flags(flags),
+   _smapper(flags & MDProducerFlags::SecurityMapper)
 { }
 #ifndef WIN32
-MDProducer::MDProducer(Platform platform, SecurityIDRecorder recorder, bool shared) :
+MDProducer::MDProducer(Platform platform, SecurityIDRecorder recorder, MDProducerFlags flags) :
    _mutex(new std::mutex()),
    _producers(),
    _id_recorder(std::make_unique<SecurityIDRecorder>(recorder)),
    _platform(platform),
-   _shared(shared)
+   _flags(flags),
+   _smapper(flags & MDProducerFlags::SecurityMapper)
 { }
 #endif
 MDProducer::MDProducer(MDProducer&& other) :
    _mutex(std::move(other._mutex)),
    _producers(std::move(other._producers)),
    _platform(other._platform),
-   _shared(other._shared)
+   _flags(other._flags),
+   _smapper(_flags & MDProducerFlags::SecurityMapper)
 {}
 
 MDProducer::~MDProducer() {}
@@ -141,10 +145,10 @@ MDProducerImpl& MDProducer::get_producer(const char* symbol, SecurityType type,
    unique_ptr<MDProducerImpl> newp;
    if (type == api::SECURITYTYPE_SYNTHETIC) {
       // synthetics are special. We don't want to allocate a separate section for each one so we put them all in one
-      newp.reset(new MDProducerImpl(SYNTHETIC_SYMBOL, api::SECURITYTYPE_SYNTHETIC, Venue::VENUE_BTS, _platform, _shared));
+      newp.reset(new MDProducerImpl(SYNTHETIC_SYMBOL, api::SECURITYTYPE_SYNTHETIC, Venue::VENUE_BTS, _platform, _flags));
    }
    else {
-      newp.reset(new MDProducerImpl(symbol, type, exchange, _platform, _shared));
+      newp.reset(new MDProducerImpl(symbol, type, exchange, _platform, _flags));
    }
    _producers.push_back(move(newp));
    return *_producers.back();
@@ -155,7 +159,7 @@ MDProducerHandle MDProducer::add_security(const FixedSecurity& security) {
    bts_assert(security.size >= sizeof(FixedSecurity));
    std::lock_guard<std::mutex> lock(*_mutex);
    auto& impl = get_producer(security.symbol(), security.type, security.exchange);
-   auto result = impl.add_security(security);
+   auto result = impl.add_security(security, _smapper);
    if (security.key != invalid_security_key) { result.set_key(security.key); }
    else if(_id_recorder) {
       _id_recorder->ensure_key(result);

src/lib/md/MDProducer.h

@@ -7,6 +7,7 @@
 #include "MDProducerHandle.h"
 #include "MDProducerChannel.h"
 #include "Shm/FixedSecurity.h"
+#include "SecurityMapper.h"
 #include <vector>
 #include <memory>
 #include <mutex>
@@ -17,11 +18,23 @@ namespace md {
 class MDProducerImpl;
 class SecurityIDRecorder;
 
+enum class MDProducerFlags {
+   None           = 0x0,
+   Shared         = 0x1,
+   SecurityMapper = 0x2,
+};
+
+constexpr MDProducerFlags operator+(MDProducerFlags a, MDProducerFlags b) { return (MDProducerFlags)((uint32_t)a | (uint32_t)b); }
+constexpr MDProducerFlags operator-(MDProducerFlags a, MDProducerFlags b) { return (MDProducerFlags)((uint32_t)a | (uint32_t)b); }
+constexpr bool operator&(const MDProducerFlags a, const MDProducerFlags b) { return ((uint32_t)a & (uint32_t)b) == (uint32_t)b; }
+
+constexpr MDProducerFlags DefaultMDProducerFlags = MDProducerFlags::Shared + MDProducerFlags::SecurityMapper;
+
 class BTS_EXPORT MDProducer
 {
 public:
-   MDProducer(Platform platform, bool shared=true);
-   MDProducer(Platform platform, SecurityIDRecorder recorder, bool shared=true);
+   MDProducer(Platform platform, MDProducerFlags flags=DefaultMDProducerFlags);
+   MDProducer(Platform platform, SecurityIDRecorder recorder, MDProducerFlags flags=DefaultMDProducerFlags);
    MDProducer(MDProducer&& other);
    ~MDProducer();
 
@@ -45,7 +58,8 @@ private:
    std::vector<std::unique_ptr<MDProducerImpl>> _producers;
    std::unique_ptr<SecurityIDRecorder> _id_recorder;
    Platform _platform;
-   bool _shared;
+   MDProducerFlags _flags;
+   SecurityMapper _smapper;
 };
 
 

src/lib/md/MDProducerHandle.cpp

@@ -101,9 +101,8 @@ void MDProducerHandle::set_status(CoconutSecurityStatus status) {
    }
 }
 
-void MDProducerHandle::add_trade(TimeStamp time, const PriceSize price, LLDateTime tradetime, 
-                                 co2::AggressorSide agside, uint32_t volume, bool from_spread) {
-   // Add this trade to the last trade if price/side match
+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 match
    auto current = std::get<PriceSize>(cdata().last_trade.load());
    if (current.int_price() == price.int_price()) {
       cdata().last_trade.store(PriceSize { price.int_price(), price.size() + current.size() }, time);
@@ -112,9 +111,7 @@ void MDProducerHandle::add_trade(TimeStamp time, const PriceSize price, LLDateTi
       cdata().last_trade.store(price,time);
    }
    cdata().last_trade_time = tradetime;
-   cdata().from_spread = (from_spread ? 1 : 0);
-   if (volume > 0) 
-      cdata().total_volume = volume;
+   cdata().total_volume = volume;
 
    if (key() != invalid_security_key) {
       co2::TradeMessage trade;
@@ -128,15 +125,9 @@ void MDProducerHandle::add_trade(TimeStamp time, const PriceSize price, LLDateTi
       _channel.add_trade(trade);
    }
 }
-void MDProducerHandle::set_last_trade(TimeStamp time, const PriceSize ps, datetime::LLDateTime tradetime, uint32_t total_volume, bool from_spread) {
+void MDProducerHandle::set_last_trade(TimeStamp time, const PriceSize ps, datetime::LLDateTime tradetime, uint32_t total_volume) {
    cdata().last_trade.store(ps,time);
    cdata().last_trade_time = tradetime;
-   cdata().from_spread = (from_spread ? 1 : 0);
-   if(total_volume > 0)
-      cdata().total_volume = total_volume;
-}
-
-void MDProducerHandle::set_total_volume(uint32_t total_volume) {
    cdata().total_volume = total_volume;
 }
 

src/lib/md/MDProducerHandle.h

@@ -92,11 +92,9 @@ public:
    void set_status(co2::CoconutSecurityStatus status); // hot
 
    // Updates trade log and last trade
-   void add_trade(TimeStamp time, const PriceSize pricesize, datetime::LLDateTime date, 
-                  co2::AggressorSide agside, uint32_t total_volume=0, bool from_spread=false); // cold
+   void add_trade(TimeStamp time, const PriceSize pricesize, datetime::LLDateTime date, co2::AggressorSide agside, uint32_t total_volume=0); // cold
    // Update last_trade without updating trade log
-   void set_last_trade(TimeStamp time, const PriceSize ps, datetime::LLDateTime date, uint32_t total_volume=0,bool from_spread=false);
-   void set_total_volume(uint32_t total_volume);
+   void set_last_trade(TimeStamp time, const PriceSize ps, datetime::LLDateTime date, uint32_t total_volume);
    void add_rfq(TimeStamp time, const co2::QuoteRequestMessage& rfq); // cold
 
    void update_exchange_status(TimeStamp time, TradingStatus status); // cold

src/lib/md/PlatformLoader.cpp

@@ -90,7 +90,7 @@ void add_symbols_to_result(
 
 size_t get_system_md_symbols(api::Venue exchange, SecurityType type,
                              std::set<UserSymbol> &result) {
-   bts_assert(config::system_symbols::Symbols::descriptor()->field_count() == 4);
+   bts_assert(config::system_symbols::Symbols::descriptor()->field_count() == 3);
    {
       auto const &e = config::get<config::system_symbols::Symbols>().glbx();
       if (exchange == api::VENUE_UNSET || exchange == api::VENUE_GLBX) {
@@ -146,47 +146,34 @@ size_t get_system_md_symbols(api::Venue exchange, SecurityType type,
 
    {
       auto const &e = config::get<config::system_symbols::Symbols>().sim();
-      if (exchange == api::VENUE_UNSET || exchange == api::VENUE_SIM) 
-      {
-         if (type == api::SECURITYTYPE_FUTURE || type == api::SECURITYTYPE_UNSET) 
-            add_symbols_to_result(e.future(), api::VENUE_SIM, api::SECURITYTYPE_FUTURE, &result);
-         if (type == api::SECURITYTYPE_OPTION || type == api::SECURITYTYPE_UNSET) 
-            add_symbols_to_result(e.option(), api::VENUE_SIM, api::SECURITYTYPE_OPTION, &result);
-         if (type == api::SECURITYTYPE_SPREAD || type == api::SECURITYTYPE_UNSET) 
-            add_symbols_to_result(e.spread(), api::VENUE_SIM, api::SECURITYTYPE_SPREAD, &result);
+      if (exchange == api::VENUE_UNSET || exchange == api::VENUE_SIM) {
+         if (type == api::SECURITYTYPE_FUTURE ||
+             type == api::SECURITYTYPE_UNSET) {
+            add_symbols_to_result(e.future(), api::VENUE_SIM,
+                                  api::SECURITYTYPE_FUTURE, &result);
+         }
+         if (type == api::SECURITYTYPE_OPTION ||
+             type == api::SECURITYTYPE_UNSET) {
+            add_symbols_to_result(e.option(), api::VENUE_SIM,
+                                  api::SECURITYTYPE_OPTION, &result);
+         }
+         if (type == api::SECURITYTYPE_SPREAD ||
+             type == api::SECURITYTYPE_UNSET) {
+            add_symbols_to_result(e.spread(), api::VENUE_SIM,
+                                  api::SECURITYTYPE_SPREAD, &result);
+         }
       }
-      if (exchange == api::VENUE_BTS || exchange == api::VENUE_UNSET) 
-      {
+      if (exchange == api::VENUE_BTS || exchange == api::VENUE_UNSET) {
          std::set<std::string> all_symbols;
          all_symbols.insert(e.future().begin(), e.future().end());
          all_symbols.insert(e.option().begin(), e.option().end());
          all_symbols.insert(e.spread().begin(), e.spread().end());
-         for (const auto &symbol : all_symbols) 
-            result.insert(UserSymbol(symbol, api::VENUE_BTS, api::SECURITYTYPE_SYNTHETIC));      
+         for (const auto &symbol : all_symbols) {
+            result.insert(UserSymbol(symbol, api::VENUE_BTS,
+                                     api::SECURITYTYPE_SYNTHETIC));
+         }
       }
    }
-   
-   {
-      auto const &e = config::get<config::system_symbols::Symbols>().simice();
-      if (exchange == api::VENUE_UNSET || exchange == api::VENUE_SIMICE) 
-      {
-         if (type == api::SECURITYTYPE_FUTURE || type == api::SECURITYTYPE_UNSET) 
-            add_symbols_to_result(e.future(), api::VENUE_SIMICE, api::SECURITYTYPE_FUTURE, &result);
-         if (type == api::SECURITYTYPE_OPTION || type == api::SECURITYTYPE_UNSET) 
-            add_symbols_to_result(e.option(), api::VENUE_SIMICE, api::SECURITYTYPE_OPTION, &result);
-         if (type == api::SECURITYTYPE_SPREAD || type == api::SECURITYTYPE_UNSET) 
-            add_symbols_to_result(e.spread(), api::VENUE_SIMICE, api::SECURITYTYPE_SPREAD, &result);
-      }
-      if (exchange == api::VENUE_BTS || exchange == api::VENUE_UNSET) 
-      {
-         std::set<std::string> all_symbols;
-         all_symbols.insert(e.future().begin(), e.future().end());
-         all_symbols.insert(e.option().begin(), e.option().end());
-         all_symbols.insert(e.spread().begin(), e.spread().end());
-         for (const auto &symbol : all_symbols) 
-            result.insert(UserSymbol(symbol, api::VENUE_BTS, api::SECURITYTYPE_SYNTHETIC));      
-      }
-   }   
 
    return result.size();
 }

src/lib/md/SecurityMapper.cpp

@@ -0,0 +1,72 @@
+#include "SecurityMapper.h" 
+#include "UserSymbol.h"
+#include "PriceSize.h"
+#include "lib/config/config.h"
+#include "lib/config/protos/MarketData.pb.h"
+#include "lib/domain_model/Security.h"
+#include "lib/utils/parse_enum.h"
+#ifndef _WIN32
+#include "google/btree/btree_map.h"
+
+namespace bts { 
+namespace md { 
+struct DisplayFactorMapper : public ISecurityMapper 
+{
+   btree::btree_map<UserSymbol, int> _mapped;
+   DisplayFactorMapper() : _mapped() {
+      for (const auto& ov : config::get<DisplayFactorOverride>().override()) {
+         if (ov.has_price_multiplier()) {
+            auto venue = parse_enum<api::Venue>(ov.exchange(), "VENUE", api::Venue_Parse);
+            bts_assert_msg(venue, fmt::format("Invalid venue `{}`", ov.exchange()));
+            auto type = parse_enum<SecurityType>(ov.type(), "SECURITYTYPE", api::SecurityType_Parse);
+
+            if (type) {
+               _mapped.insert(
+                  std::make_pair(
+                     UserSymbol { uppercase_copy(ov.symbol()), *venue, *type }, 
+                     -to_exponent(ov.price_multiplier())));
+            }
+            else {
+               for (auto t : { 
+                     SecurityType::SECURITYTYPE_FUTURE, 
+                     SecurityType::SECURITYTYPE_SPREAD, 
+                     SecurityType::SECURITYTYPE_OPTION }) {
+                  _mapped.insert(
+                     std::make_pair(
+                        UserSymbol { uppercase_copy(ov.symbol()), *venue, t }, 
+                        -to_exponent(ov.price_multiplier())));
+               }
+            }
+         }
+      }
+   }
+
+   void apply(FixedSecurity& f) const override {
+      UserSymbol key { f.symbol(), f.exchange, f.type };
+      auto iter = _mapped.find(key);
+      if (iter != _mapped.end()) {
+         f.display_factor = iter->second;
+      }
+   }
+};
+
+SecurityMapper::SecurityMapper(bool enabled): _impl() { 
+   if (enabled) {
+      _impl.push_back(std::make_unique<DisplayFactorMapper>());
+      // Register more mappers HERE
+   }
+}
+
+#else
+namespace bts { 
+namespace md { 
+SecurityMapper::SecurityMapper(bool): _impl() {}
+#endif
+
+SecurityMapper::~SecurityMapper() { }
+void SecurityMapper::apply(FixedSecurity& security) {
+   for (const auto& m : _impl) {
+      m->apply(security);
+   }
+}
+}} //namespace 

src/lib/md/SecurityMapper.h

@@ -0,0 +1,23 @@
+#pragma once 
+#include "Shm/FixedSecurity.h"
+#include <memory>
+#include <vector>
+
+namespace bts { 
+namespace md { 
+
+struct ISecurityMapper {
+   virtual void apply(FixedSecurity&) const = 0;
+};
+
+class SecurityMapper {
+   std::vector<std::unique_ptr<ISecurityMapper>> _impl;
+   public:
+   SecurityMapper(bool enabled);
+   ~SecurityMapper();
+   // apply various mappings to the security
+   void apply(FixedSecurity&);
+};
+
+
+}} //namespace 

src/lib/md/Shm/FixedSecurity.cpp

@@ -31,9 +31,8 @@ FixedSecurity::FixedSecurity() :
    cme_main_fraction(0),
    cme_sub_fraction(0),
    cme_price_display_format(0),
-   ice_price_denominator(0),
-   ice_deal_denominator(0),
-   ice_settle_denominator(0),
+   ice_deal_display_factor(0),
+   ice_settle_display_factor(0),
    _symbol(),
    _cfi_code(),
    _security_desc(),
@@ -100,10 +99,7 @@ void write_leg_descriptor(std::ostringstream& result, char separator, const api:
 std::string security_descriptor(const api::Security& security) {
    const char separator = ' ';
    std::ostringstream result;
-   if(security.exchange() == Venue::VENUE_ICE || security.exchange() == Venue::VENUE_SIMICE)
-      result << security.ice().security_desc() << separator << Venue_Name(security.exchange());
-   else
-      result << security.symbol() << separator << Venue_Name(security.exchange());
+   result << security.symbol() << separator << Venue_Name(security.exchange());
    switch(security.Contract_case()) {
       case Security::ContractCase::kOption: {
          result << separator;
@@ -144,7 +140,7 @@ std::string security_descriptor(const api::Security& security) {
    return result.str();
 }
 
-void get_contract_spec(const FixedSecurity& source, api::ContractSpecification& spec) {
+void get_contract_spec(const FixedSecurity& source, /*out*/ api::ContractSpecification& spec) {
    spec.set_price_break(source.price_break);
    spec.set_low_tick(source.low_tick);
    spec.set_high_tick(source.high_tick);
@@ -185,9 +181,8 @@ void convert_security(const FixedSecurity& source, Security* presult) {
       case Venue::VENUE_ICE:    
          dest.mutable_ice()->set_exchange_id(source.numeric_id);
          dest.mutable_ice()->set_security_desc(source.security_desc());     
-         dest.mutable_ice()->set_price_denominator(source.ice_price_denominator);
-         dest.mutable_ice()->set_deal_denominator(source.ice_deal_denominator);
-         dest.mutable_ice()->set_settle_denominator(source.ice_settle_denominator);
+         dest.mutable_ice()->set_deal_display_factor(source.ice_deal_display_factor);
+         dest.mutable_ice()->set_settle_display_factor(source.ice_settle_display_factor);
          
          dest.mutable_ice()->set_market_description(source.ice_market_description());
          dest.mutable_ice()->set_cleared_alias(source.ice_cleared_alias());
@@ -317,9 +312,8 @@ void convert_security(const Security& src, FixedSecurity& dest, bool set_securit
       case Security::ExchangeDataCase::kIce:
          dest.numeric_id = src.ice().exchange_id();
          dest.security_desc(src.ice().security_desc());      
-         dest.ice_price_denominator = src.ice().price_denominator();
-         dest.ice_deal_denominator = src.ice().deal_denominator();
-         dest.ice_settle_denominator = src.ice().settle_denominator();
+         dest.ice_deal_display_factor = src.ice().deal_display_factor();
+         dest.ice_settle_display_factor = src.ice().settle_display_factor();
          
          dest.ice_market_description(src.ice().market_description());
          dest.ice_cleared_alias(src.ice().cleared_alias());

src/lib/md/Shm/FixedSecurity.h

@@ -59,9 +59,8 @@ public:
    uint8_t cme_main_fraction;
    uint8_t cme_sub_fraction;
    uint8_t cme_price_display_format;
-   int8_t ice_price_denominator;
-   int8_t ice_deal_denominator;
-   int8_t ice_settle_denominator;
+   int8_t ice_deal_display_factor;
+   int8_t ice_settle_display_factor;
    
    STRING_PROPERTY(ice_market_description);   
    STRING_PROPERTY(ice_cleared_alias);

src/lib/md/Shm/MDStructure.h

@@ -26,7 +26,7 @@ namespace md {
 
 using utils::TimeStamp;
 
-const uint32_t shm_version = 107;
+const uint32_t shm_version = 102;
 
 struct ALIGNED_(CACHE_LINE) HotHeader {
    size_t count;
@@ -213,10 +213,9 @@ struct ColdEntry {
       exchange_status(co2::TRADINGSTATUS_UNKNOWN),
       last_trade(),
       total_volume(0),
-      last_trade_time(),      
+      last_trade_time(),
       misc(),
-      from_spread(0),
-      deleted(0)
+      deleted(false)
    {
       this->security.size = security_size;
    }
@@ -228,13 +227,12 @@ struct ColdEntry {
    
    // Last Trade
    AtomicPriceSize last_trade;
-   size_t total_volume;   
+   size_t total_volume;
    datetime::LLDateTime  last_trade_time;
-   
+
    MiscData misc;
 
-   int from_spread;
-   int deleted;
+   bool deleted;
    FixedSecurity security;
 };
 

src/lib/md/ice/ICEUtils.cpp

@@ -27,8 +27,6 @@ std::string ICEChannel::to_string() const
    std::string mt = name;
    for(const auto& x : market_types)
       mt += " " + std::to_string(x);
-   for(const auto& x : uds_market_types)
-      mt += " " + std::to_string(x);      
    return mt;
 }
 
@@ -47,9 +45,6 @@ const vector<ICEChannel> parse_ice_channels(const vector<UserSymbol>& symbols)
       chan.symbols.insert(symbols.begin(), symbols.end());
       for(const auto& xx : x.market_type())
          chan.market_types.push_back(xx); 
-      for(const auto& xx : x.uds_market_type())
-         chan.uds_market_types.push_back(xx); 
-         
       result.push_back(chan);            
    }
    return result;

src/lib/md/ice/ICEUtils.h

@@ -13,7 +13,6 @@ struct ICEChannel
 {
    std::string name;
    std::vector<uint32_t> market_types;
-   std::vector<uint32_t> uds_market_types;
    std::set<UserSymbol> symbols;
    std::string to_string() const;
 };

src/lib/md/protos/co2.proto

@@ -151,7 +151,6 @@ message TradeMessage {
    uint32 total_volume = 7;
    bool gap = 8;
    AggressorSide aggressor_side = 9;
-   bool from_spread = 10;
 }
 message QuoteRequestMessage {
     enum Side {

src/lib/md/relay/QueryServer.cpp

@@ -219,12 +219,8 @@ public:
    }
 
    // the hot part
-   void fill(const SecurityChannel& chan, MDConsumerGroup& group, ChannelReply* reply, 
-             const Entitlements* entitlements, bool bypass_entitlement) const {      
+   void fill(const SecurityChannel& chan, MDConsumerGroup& group, ChannelReply* reply, bool entitled) const {
       bts_assert(reply);
-      bool entitled = bypass_entitlement || chan.exchange() == api::VENUE_BTS || 
-                      (chan.exchange() == api::VENUE_GLBX && entitlements && entitlements->count(chan.symbol()));
-
       reply->mutable_channel()->CopyFrom(chan);
       reply->set_platform(group.platform);
       reply->mutable_channel()->set_time(TimeStamp::now().to_uint64());
@@ -246,17 +242,9 @@ public:
          ChannelUpdate* pupd = &temp_update;
          pupd->set_key(instrument.handle.key());
          // If the security was just discovered try to ensure all data is sent
-         if (instrument.discovered > TimeStamp(chan.time())) 
-         {
-            auto security = handle.get_normalized_security();
-            pupd->mutable_security()->CopyFrom(security);
+         if (instrument.discovered > TimeStamp(chan.time())) {
+            pupd->mutable_security()->CopyFrom(handle.get_normalized_security());
             snapshot = true;
-            if(!entitled && (chan.exchange() == api::VENUE_ICE || chan.exchange() == api::VENUE_SIMICE))
-            {
-               entitled = entitlements && entitlements->count("ICE:" + security.ice().mic_code());
-               if(entitled)
-                  reply->mutable_channel()->set_entitled(entitled);
-            }
          }
          //if we are not entitled AND this is the first request since we lost our entitlement, zero out books
          if (!entitled && chan.entitled() ) {
@@ -335,13 +323,12 @@ public:
                TimeStamp time(snapshot ? 0 : chan.time());
                PriceSize price;
                datetime::LLDateTime trade_time;
-               size_t volume; int from_spread;
-               if (handle.get_last_trade(time, price, trade_time, &volume, &from_spread)) {
+               size_t volume;
+               if (handle.get_last_trade(time, price, trade_time, &volume)) {
                   auto* trade = pupd->mutable_last_trade();
                   trade->set_key(handle.key());
                   trade->set_time(trade_time);
                   trade->set_total_volume(volume);
-                  trade->set_from_spread(from_spread);
                   set_price(price, trade);
                }
             }
@@ -386,7 +373,10 @@ public:
          auto groupiter = _groups.find(UserSymbol(ch.symbol(), ch.exchange(), ch.type()));
          if (groupiter != _groups.end()) {
             auto& group = groupiter->second;
-            fill(ch, *group, reply->add_channels(), entitlements, bypass_entitlement);
+            bool is_entitled = bypass_entitlement || 
+                               ch.exchange() == api::VENUE_BTS || 
+                               (entitlements && entitlements->count(ch.symbol()));
+            fill(ch, *group, reply->add_channels(), is_entitled);
          }
       }
    }
@@ -551,14 +541,10 @@ QueryServerPtr run_query_server(const bts::api::ServiceContext& ctx, MDClient& c
          {
             const auto& cme_symb_mics = config::get<config::CmeSymbolMics>().cme_mic();
             auto entitlements = std::make_shared<std::unordered_map<uint32_t, Entitlements>>();
-            for (const auto& row : all_updates) 
-            {            
-               if (row && row->enabled()) 
-               {
-                  for(auto mic=cme_symb_mics.begin();mic!=cme_symb_mics.end();mic++)
-                  {
-                     if(api::CMEMics_Name(mic->second) == row->mic()) 
-                     {
+            for (const auto& row : all_updates) {            
+               if (row && row->enabled()) {                                 
+                  for(auto mic=cme_symb_mics.begin();mic!=cme_symb_mics.end();mic++){
+                     if(api::CMEMics_Name(mic->second) == row->mic()) {
                         const auto& symbol = mic->first;
                         auto iter = entitlements->find(row->user_id());
                         if (iter == entitlements->end()) {
@@ -573,19 +559,6 @@ QueryServerPtr run_query_server(const bts::api::ServiceContext& ctx, MDClient& c
                         }
                      }
                   }
-                  api::ICEMics icemic;
-                  if(api::ICEMics_Parse(row->mic(), &icemic)) //this is an ice mic, just put the mic in the set and resolve later
-                  {
-                     auto iter = entitlements->find(row->user_id());
-                     if (iter == entitlements->end()) {
-                        Entitlements ents;
-                        ents.insert("ICE:" + row->mic());
-                        entitlements->insert(iter, std::make_pair(row->user_id(), std::move(ents)));
-                     }
-                     else {
-                        iter->second.insert("ICE:" + row->mic());
-                     }                     
-                  }
                }
             }
             container->relay.update_entitlements(entitlements);

src/lib/md/relay/RelayClient.cpp

@@ -86,7 +86,7 @@ class RelayProducer : public IRelayWriter {
          handle.update_fixing_price(updated, misc.fixing_price());
       }
       if (update.has_last_trade()) {
-         handle.set_last_trade(updated, trade_pricesize(update.last_trade()), update.last_trade().time(), update.last_trade().total_volume(), update.last_trade().from_spread());
+         handle.set_last_trade(updated, trade_pricesize(update.last_trade()), update.last_trade().time(), update.last_trade().total_volume());
       }
    }
 
@@ -100,7 +100,9 @@ public:
    MDProducer& ensure_producer(Platform platform) {
       auto find_result = _producers.find(platform);
       if (find_result == _producers.end()) {
-         auto result = _producers.insert(make_pair(platform, MDProducer(platform, _shared)));
+         // relay never wants to enable SecurityMapper. Securities should always match the relay source.
+         auto flags = _shared ? MDProducerFlags::Shared : MDProducerFlags::None;
+         auto result = _producers.insert(make_pair(platform, MDProducer(platform, flags)));
          if (result.second) {
             return result.first->second;
          }

src/lib/md/test/Co2ManagedTestHelper.cpp

@@ -87,8 +87,7 @@ extern "C" BTS_EXPORT void co2_get_sample_cold(size_t& size, ColdEntry& entry) {
    entry.misc.session_high_bid = 4.4;
    entry.misc.session_low_offer = 5.5;
    entry.misc.fixing_price = 6.6;
-   entry.deleted = 1;
-   entry.from_spread = 0;
+   entry.deleted = true;
 }
 
 extern "C" BTS_EXPORT void co2_get_sample_cold_header(ColdHeader& header) {
@@ -121,7 +120,7 @@ extern "C" BTS_EXPORT TestProducer* co2_produce_test_md() {
       "   }"
       "}");
    auto* tp = new TestProducer();
-   tp->md = std::make_shared<MDProducer>(PLATFORM_SIM, false);
+   tp->md = std::make_shared<MDProducer>(PLATFORM_SIM, MDProducerFlags::None);
    tp->handles = create_test_securities(*(tp->md));
    auto& producers = tp->handles;
    assign_ids(producers.begin(), producers.end());

src/lib/orderman/actors/ExecutionGateway.cpp

@@ -1,4 +1,4 @@
-#include "GLBXExecutionGateway.h"
+#include "ExecutionGateway.h"
 #include "lib/jetfix/codec/MessageDefinitions.h"
 #include "lib/jetfix/common/OutFIX.h"
 #include "lib/jetfix/gateway/JetFIXGateway.h"
@@ -24,7 +24,7 @@ using JFGw =
     JetFIXGateway<fix::ExecutionReportMsg, fix::BusinessMessageRejectMsg,
                   fix::RejectMsg, fix::CancelRejectMsg>;
 
-struct GLBXExecutionGateway::PImpl {
+struct ExecutionGateway::PImpl {
    PImpl(config::JetFIX::Connection const &cfg, trace::PerfLog &l,
          md::SecurityOracle o)
        : gw(cfg, l), exe_report_pool(), state(State::WAITING_FOR_SECURITIES),
@@ -46,16 +46,14 @@ struct GLBXExecutionGateway::PImpl {
    md::SecurityOracle sec_oracle;
 };
 
-GLBXExecutionGateway::GLBXExecutionGateway(config::JetFIX::Connection const &cfg,
+ExecutionGateway::ExecutionGateway(config::JetFIX::Connection const &cfg,
                                    trace::PerfLog &log, md::SecurityOracle o)
     : me(new PImpl(cfg, log, o)) {
    me->state = State::WAITING_FOR_SECURITIES;
 }
-GLBXExecutionGateway::~GLBXExecutionGateway() {}
+ExecutionGateway::~ExecutionGateway() {}
 
-void GLBXExecutionGateway::on_admin_data(const mercury::Update<NewAdminDataEvent> &) {}
-
-void GLBXExecutionGateway::on_securities(
+void ExecutionGateway::on_securities(
     const mercury::Update<NewSecuritiesEvent> &update) {
    if (update.events) {
 
@@ -98,19 +96,19 @@ void GLBXExecutionGateway::on_securities(
    }
 }
 
-void GLBXExecutionGateway::start() { me->gw.start(); }
+void ExecutionGateway::start() { me->gw.start(); }
 
-OnExeReport &GLBXExecutionGateway::on_exe_report() { return me->on_exe_report; }
+OnExeReport &ExecutionGateway::on_exe_report() { return me->on_exe_report; }
 
-OnGwStatusChange &GLBXExecutionGateway::on_gw_status_change() {
+OnGwStatusChange &ExecutionGateway::on_gw_status_change() {
    return me->on_gw_status_change;
 }
 
-OnCancelReject &GLBXExecutionGateway::on_cancel_reject() {
+OnCancelReject &ExecutionGateway::on_cancel_reject() {
    return me->on_cancel_reject;
 }
 
-void GLBXExecutionGateway::on_exe_report(
+void ExecutionGateway::on_exe_report(
     const jetfix::fix::ExecutionReportMsg &msg) {
    OrderKey ok;
    SecurityKey sk;
@@ -118,7 +116,7 @@ void GLBXExecutionGateway::on_exe_report(
 
    auto scoped_log =
        trace::log_scope(me->perf_log, msg.trace(),
-                        "GLBXExecutionGateway::on_exe_report", ok.value());
+                        "ExecutionGateway::on_exe_report", ok.value());
 
    LOG(Latency, Info, "Started handling of execution report for order {}",
        ok.value());
@@ -268,7 +266,7 @@ void GLBXExecutionGateway::on_exe_report(
    }
 }
 
-void GLBXExecutionGateway::on_cancel_reject(
+void ExecutionGateway::on_cancel_reject(
     const jetfix::fix::CancelRejectMsg &msg) {
    OrderKey ok;
    SecurityKey sk;
@@ -283,7 +281,7 @@ void GLBXExecutionGateway::on_cancel_reject(
    me->on_cancel_reject(ok, reject_msg);
 }
 
-void GLBXExecutionGateway::on_connection_status_change(bool is_connected) {
+void ExecutionGateway::on_connection_status_change(bool is_connected) {
    LOG(OrderMan, Info, "Connection state of {} changed to {}",
        me->gw_name.value(),
        is_connected ? std::string("connected") : std::string("disconnected"));
@@ -291,7 +289,7 @@ void GLBXExecutionGateway::on_connection_status_change(bool is_connected) {
    me->on_gw_status_change(is_connected);
 }
 
-void GLBXExecutionGateway::on_business_reject(
+void ExecutionGateway::on_business_reject(
     jetfix::fix::BusinessMessageRejectMsg const &m) {
    LOG(OrderMan, Error,
        "Unexpected business reject in {} gateway . Reason: "
@@ -300,7 +298,7 @@ void GLBXExecutionGateway::on_business_reject(
        m.has<fix::Text>() ? m.get<fix::Text>() : std::string("Unknown"));
 }
 
-void GLBXExecutionGateway::on_session_reject(jetfix::fix::RejectMsg const &m) {
+void ExecutionGateway::on_session_reject(jetfix::fix::RejectMsg const &m) {
    LOG(OrderMan, Error,
        "Unexpected reject message in {} gateway . Reason: {}. "
        "This should be investigated",
@@ -308,14 +306,14 @@ void GLBXExecutionGateway::on_session_reject(jetfix::fix::RejectMsg const &m) {
        m.has<fix::Text>() ? m.get<fix::Text>() : std::string("Unknown"));
 }
 
-void GLBXExecutionGateway::dispatch_incoming_fix_messages() {
+void ExecutionGateway::dispatch_incoming_fix_messages() {
    me->gw.dispatch_events();
 }
 
-void GLBXExecutionGateway::send_fix(jetfix::OutFIXPtr const &fix,
+void ExecutionGateway::send_fix(jetfix::OutFIXPtr const &fix,
                                 trace::CorID trace) {
    auto scoped_log =
-       trace::log_scope(me->perf_log, trace, "GLBXExecutionGateway::send_fix");
+       trace::log_scope(me->perf_log, trace, "ExecutionGateway::send_fix");
    me->gw.send(fix, trace);
    me->gw.dispatch_events();
 }

src/lib/orderman/actors/ExecutionGateway.h

@@ -0,0 +1,53 @@
+#pragma once
+
+#include "lib/config/protos/jetfix.pb.h"
+#include "lib/jetfix/codec/MessageDefinitions.h"
+#include "lib/jetfix/common/OutFIXPtr.h"
+#include "lib/mercury/events/Update.h"
+#include "lib/orderman/orderman_utils/orderman_common.h"
+
+#include <memory>
+
+namespace bts {
+namespace md { class SecurityOracle;}
+namespace trace {struct CorID;class PerfLog;}
+namespace orderman {
+class NewSecuritiesEvent;
+class ExecutionReport;
+
+using OnExeReport =
+   std::function<void(ExecutionReport const &, trace::CorID const &)>;
+using OnGwStatusChange = std::function<void(bool)>;
+using OnCancelReject = std::function<void(OrderKey, std::string const &)>;
+
+// fix execution gateway for a single FIX session
+class ExecutionGateway {
+ public:
+   ExecutionGateway(config::JetFIX::Connection const &, trace::PerfLog &,
+                    md::SecurityOracle);
+   ~ExecutionGateway();
+
+   void start();
+   void dispatch_incoming_fix_messages();
+   void on_securities(const mercury::Update<NewSecuritiesEvent> &);
+   void send_fix(jetfix::OutFIXPtr const &fix, trace::CorID trace);
+
+   OnExeReport& on_exe_report();
+   OnGwStatusChange& on_gw_status_change();
+   OnCancelReject &on_cancel_reject();
+   
+ private:
+   enum class State { WAITING_FOR_SECURITIES, READY };
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+
+   // fix gateway events
+   void on_exe_report(jetfix::fix::ExecutionReportMsg const &);
+   void on_cancel_reject(jetfix::fix::CancelRejectMsg const &);
+   void on_connection_status_change(bool connected);
+   void on_business_reject(jetfix::fix::BusinessMessageRejectMsg const &);
+   void on_session_reject(jetfix::fix::RejectMsg const &);
+};
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/actors/FillStore.cpp

@@ -95,13 +95,12 @@ void FillStore::on_execution_report(
    if (u.events) {
       for (auto const &ev : *u.events) {
          auto &er = *ev.data;
-         auto fk = fmt::format("{}:{}", er.order_key.value(),
-                                 to_str(er.exchange_fill_id));
-         auto is_known = me->known_fills.count(fk);         
          if (er.exec_type == api::orderman::EXEC_TYPE_PARTIAL_FILL ||
-             er.exec_type == api::orderman::EXEC_TYPE_FILL ||
-             er.exec_type == api::orderman::EXEC_TYPE_TRADE_CORRECT) {
-                
+             er.exec_type == api::orderman::EXEC_TYPE_FILL) {
+
+            auto fk = fmt::format("{}:{}", er.order_key.value(),
+                                  to_str(er.exchange_fill_id));
+            auto is_known = me->known_fills.count(fk);
             api::orderman::Fill fill;
             if (!is_known) {
                fill.set_order_key(er.order_key.value());
@@ -117,9 +116,6 @@ void FillStore::on_execution_report(
                fill.set_avg_price(er.avg_price.value());
                fill.set_side(er.side);
                fill.set_last_shares(er.last_shares.value());
-               fill.set_fill_status(api::orderman::Fill::FILL_STATUS_ACTIVE);
-               if(er.exec_type == api::orderman::EXEC_TYPE_TRADE_CORRECT)
-                  fill.set_fill_status(api::orderman::Fill::FILL_STATUS_CORRECTED);
                fill.set_fill_key(fk);
                struct timeval tv;
                gettimeofday(&tv, NULL);
@@ -143,57 +139,6 @@ void FillStore::on_execution_report(
                    "Discarding known execution report for fill {}", fk);
 
          } // if partial_fill or fill
-      }
-      for (auto const &ev : *u.events) 
-      {
-         auto &er = *ev.data;
-         auto efi = to_str(er.exchange_fill_id);
-         if(std::count(efi.begin(), efi.end(), ':') > 0)
-         {
-            auto cpos = efi.find_last_of(':');
-            efi = efi.substr(0, cpos);
-            ExchangeFillID temp;
-            str_to(efi, &temp);
-            efi = to_str(temp);
-         }
-         if(efi == "")
-            continue;
-         auto fk = fmt::format("{}:{}", er.order_key.value(), efi);
-         auto is_known = me->known_fills.count(fk);         
-      
-         if(er.exec_type == api::orderman::EXEC_TYPE_TRADE_CANCEL) 
-         {
-            auto data = me->store->retrieve_one(fills_ns, fk);
-            Fill existing_fill;
-            if(is_known && data.first && utils::pb::from_string(data.second, &existing_fill))
-            {
-               existing_fill.set_fill_status(api::orderman::Fill::FILL_STATUS_BUSTED);
-               auto fv = utils::pb::to_string(existing_fill);
-               me->store->update(fills_ns, fk, fv);                  
-               publish(me->fill_stream, existing_fill, *er.security);
-            }
-            else
-               LOG(OrderMan, Warn, "Received bust for unknown fill {}", fk);
-         }    
-         else if(er.exec_type == api::orderman::EXEC_TYPE_TRADE_CORRECT)
-         {
-            auto data = me->store->retrieve_one(fills_ns, fk);
-            Fill existing_fill;
-            if(is_known && data.first && utils::pb::from_string(data.second, &existing_fill))
-            {
-               existing_fill.set_fill_status(api::orderman::Fill::FILL_STATUS_CORRECTED);
-               existing_fill.set_last_price(er.last_price.value());
-               existing_fill.set_avg_price(er.avg_price.value());
-               existing_fill.set_side(er.side);
-               existing_fill.set_last_shares(er.last_shares.value());
-
-               auto fv = utils::pb::to_string(existing_fill);
-               me->store->update(fills_ns, fk, fv);                  
-               publish(me->fill_stream, existing_fill, *er.security);
-            }
-            else
-               LOG(OrderMan, Warn, "Received correction for unknown fill {}", fk);            
-         }
       }    // for loop
    }       // if u.events
 }

src/lib/orderman/actors/GLBXExecutionGateway.h

@@ -1,41 +0,0 @@
-#pragma once
-
-#include "IExecutionGateway.h"
-
-namespace bts {
-namespace orderman {
-
-
-// fix execution gateway for a single FIX session
-class GLBXExecutionGateway : public IExecutionGateway {
- public:   
-   GLBXExecutionGateway(config::JetFIX::Connection const &, trace::PerfLog &,
-                        md::SecurityOracle);
-   virtual ~GLBXExecutionGateway();
-
-   void start() override;
-   void dispatch_incoming_fix_messages() override;
-   void on_securities(const mercury::Update<NewSecuritiesEvent> &) override;
-   void on_admin_data(const mercury::Update<NewAdminDataEvent> &) override;
-   void send_fix(jetfix::OutFIXPtr const &fix, trace::CorID trace) override;
-
-   OnExeReport& on_exe_report() override;
-   OnGwStatusChange& on_gw_status_change() override;
-   OnCancelReject &on_cancel_reject() override;
-   
- private:
-   BTS_NO_COPY(GLBXExecutionGateway);
-   enum class State { WAITING_FOR_SECURITIES, READY };
-   struct PImpl;
-   std::unique_ptr<PImpl> me;
-
-   // fix gateway events
-   void on_exe_report(jetfix::fix::ExecutionReportMsg const &);
-   void on_cancel_reject(jetfix::fix::CancelRejectMsg const &);
-   void on_connection_status_change(bool connected);
-   void on_business_reject(jetfix::fix::BusinessMessageRejectMsg const &);
-   void on_session_reject(jetfix::fix::RejectMsg const &);
-};
-
-} // namespace orderman
-} // namespace bts

src/lib/orderman/actors/ICEExecutionGateway.cpp

@@ -1,490 +0,0 @@
-#include "ICEExecutionGateway.h"
-#include "lib/jetfix/codec/MessageDefinitions.h"
-#include "lib/jetfix/codec/i32_toa.h"
-#include "lib/jetfix/common/OutFIX.h"
-#include "lib/jetfix/gateway/JetFIXGateway.h"
-#include "lib/logging/logging.h"
-#include "lib/orderman/events/CancelRejectEvent.h"
-#include "lib/orderman/events/GatewayStatusChangeEvent.h"
-#include "lib/orderman/events/NewExecutionReportEvent.h"
-#include "lib/orderman/events/NewSecuritiesEvent.h"
-#include "lib/orderman/orderman_utils/fix_order_codec.h"
-#include "lib/api/services/AdminService.pb.h"
-#include "lib/orderman/events/NewAdminDataEvent.h"
-#include "lib/tracing/bts_trace.h"
-#include "lib/utils/TimeStamp.h"
-#include "lib/utils/helper_macros.h"
-#include "lib/utils/Dispatcher.h"
-#include "lib/utils/bts_chrono.h"
-
-#include <boost/pool/object_pool.hpp>
-#include <atomic>
-#include <set>
-
-namespace bts {
-namespace orderman {
-
-using namespace jetfix;
-
-using JFGw = JetFIXGateway<fix::ICEExecutionReportMsg, fix::BusinessMessageRejectMsg, fix::RejectMsg, 
-                           fix::ICECancelRejectMsg, fix::ICETraderLoginResponseMsg, fix::ICETraderLogoutResponseMsg>;
-
-
-
-struct ICEExecutionGateway::PImpl 
-{
-   PImpl(const config::JetFIX::Connection &cfg, trace::PerfLog &l,
-         md::SecurityOracle o)
-       : gw(cfg, l), exe_report_pool(), state(State::WAITING_FOR_SECURITIES),
-         securities(), securities_by_exchange_id(), gw_name(cfg.name()),
-         cfg(cfg), perf_log(l), admin_data(), nusers(-1), connection_time(), exec_id_to_memo(), 
-         sec_oracle(o)
-   {}
-
-   JFGw gw;
-   boost::object_pool<ExecutionReport> exe_report_pool;
-   State state;
-   std::unordered_map<SecurityKey::Value, api::Security const *> securities;
-   std::unordered_map<int64_t, api::Security const *> securities_by_exchange_id;
-   GatewayName gw_name;
-   config::JetFIX::Connection cfg;
-   OnExeReport on_exe_report;
-   OnGwStatusChange on_gw_status_change;
-   OnCancelReject on_cancel_reject;
-   trace::PerfLog &perf_log;
-   api::admin::AdminData admin_data;
-   std::atomic<int> nusers;
-   TimeStamp connection_time;
-   std::unordered_map<std::string, std::string> exec_id_to_memo; //for the bullshit adjusts
-   md::SecurityOracle sec_oracle;
-};
-
-ICEExecutionGateway::ICEExecutionGateway(const config::JetFIX::Connection &cfg, trace::PerfLog &log, md::SecurityOracle o)
-    : IExecutionGateway(), me(new PImpl(cfg, log, o)) 
-{
-   me->state = State::WAITING_FOR_ADMIN;
-}
-
-ICEExecutionGateway::~ICEExecutionGateway() {}
-
-void ICEExecutionGateway::on_admin_data(const mercury::Update<NewAdminDataEvent>& update) 
-{
-   if (update.events) 
-   {
-      for (auto const &ev : *(update.events)) 
-         me->admin_data.CopyFrom(*ev.admin_data);
-
-      if (me->state == State::WAITING_FOR_ADMIN) 
-      {
-         LOG(OrderMan, Warn, "Received admin data. Waiting for securities {}", me->gw_name.value());
-         me->state = State::WAITING_FOR_SECURITIES;
-      }
-   }   
-}
-
-void ICEExecutionGateway::on_securities(const mercury::Update<NewSecuritiesEvent> &update) 
-{
-   if (update.events) 
-   {
-      for (auto const &ev : *(update.events)) 
-      {
-         auto sec_ptr = ev.security;
-         me->securities[sec_ptr->id()] = sec_ptr;
-         if(sec_ptr->has_ice())
-            me->securities_by_exchange_id[sec_ptr->ice().exchange_id()] = sec_ptr;
-      }
-
-      if (me->state == State::WAITING_FOR_SECURITIES) 
-      {
-         LOG(OrderMan, Warn, "Received first set of {} securities. Beginning wait 2s for trader login {}",
-             update.events->size(), me->gw_name.value());         
-         // got our security synopsis, ready to start the GW
-         me->state = State::READY_TO_START_GW;
-         
-         // subscribe to gateway events
-         me->gw.on<fix::ICEExecutionReportMsg>() = [this](auto const &msg) 
-         {
-            this->on_exe_report(msg);
-         };
-         me->gw.on<fix::ICECancelRejectMsg>() = [this](auto const &msg) 
-         {
-            this->on_cancel_reject(msg);
-         };
-         me->gw.on_ready() = [this]() 
-         {
-            this->on_connection_status_change(true);
-         };
-         me->gw.on_disconnect() = [this]() 
-         {
-            this->on_connection_status_change(false);
-         };
-         me->gw.on<fix::BusinessMessageRejectMsg>() = [this](auto const &m) 
-         {
-            this->on_business_reject(m);
-         };
-         me->gw.on<fix::RejectMsg>() = [this](auto const &m) 
-         {
-            this->on_session_reject(m);
-         };            
-      }
-   }
-}
-
-void ICEExecutionGateway::start() 
-{ 
-   me->gw.start(); 
-   bts_assert_msg(me->state == State::READY_TO_START_GW, "ICEExecutionGateway statemachine failure");
-}
-
-void ICEExecutionGateway::on_connection_status_change(bool is_connected) 
-{
-   LOG(OrderMan, Info, "Connection state of {} changed to {}",
-       me->gw_name.value(), is_connected ? std::string("connected") : std::string("disconnected"));
-   
-   if(is_connected && me->state == State::READY_TO_START_GW)
-   {
-      me->state = State::TRADER_LOGIN_TIMEOUT;
-      me->connection_time = Timer::now();
-   }   
-   
-   if(me->state == State::READY)
-   {
-      me->on_gw_status_change(is_connected);      
-      if(!is_connected) //if we disconnect, set state so we log in again
-         me->state = State::READY_TO_START_GW;
-   }
-}
-
-
-void ICEExecutionGateway::on_trader_login_timeout_expired()
-{
-   if (me->state == State::TRADER_LOGIN_TIMEOUT) 
-   {
-      LOG(OrderMan, Warn, "Done waiting for login timeout, logging on traders {}", me->gw_name.value());
-
-      // got our security synopsis, ready to start the GW
-      me->state = State::LOGIN_TIMEOUT_COMPLETE;      
-      me->gw.on<fix::ICETraderLoginResponseMsg>() = [&](const fix::ICETraderLoginResponseMsg& lmsg) 
-      {
-         std::string u = lmsg.get<fix::UserName>();
-         std::string m;
-         if(lmsg.has<fix::Text>())
-            m = lmsg.get<fix::Text>();         
-         LOG(OrderMan, Error, "Succesffully logging trader {} into ICE {} {}", u, m, me->gw_name.value());
-         if(--me->nusers == 0)
-            this->on_login();
-      };
-      
-      me->gw.on<fix::ICETraderLogoutResponseMsg>() = [&](const fix::ICETraderLogoutResponseMsg& lmsg) 
-      {
-         std::string u = lmsg.get<fix::UserName>();
-         std::string m;
-         if(lmsg.has<fix::Text>())
-            m = lmsg.get<fix::Text>();
-         
-         LOG(OrderMan, Error, "Error logging trader {} into ICE {} {}", u, m, me->gw_name.value());
-         if(--me->nusers == 0)
-            this->on_login();
-      };    
-       
-      std::set<std::string> auth_traders;
-      for(const auto& u : me->admin_data.users())
-      {         
-         if(u.has_user_data() && u.user_data().has_exchange_user_data() && u.user_data().exchange_user_data().has_ice_data())
-         {
-            const auto& ice = u.user_data().exchange_user_data().ice_data();
-            if(auth_traders.find(ice.authorized_trader()) == auth_traders.end())
-            {
-               if(me->nusers == -1)
-                  me->nusers = 0;
-               me->nusers++;
-               
-               auto result = std::make_shared<OutFIX>(me->cfg);
-               auto &stream = result->fix.back();
-               auto &buffer = stream.new_msg(MessageTypes::ICETraderLogin);               
-               buffer.add<fix::CompanyID>(ice.company_id());      
-               buffer.add<fix::UserName>(ice.authorized_trader());      
-               buffer.add<fix::RawData>(ice.password());     
-               
-               if(ice.mifid_direct_electronic_access() >= 0)
-                  buffer.add<fix::MifidDirectElectronicAccess>(ice.mifid_direct_electronic_access());  
-               if(ice.mifid_trading_capacity() >= 0)   
-                  buffer.add<fix::MifidTradingCapacity>(ice.mifid_trading_capacity());     
-               if(ice.mifid_liquidity_provision() >= 0)
-                  buffer.add<fix::MifidLiquidityProvision>(ice.mifid_liquidity_provision());     
-               if(ice.mifid_commodity_deriv_indicator() >= 0)
-                  buffer.add<fix::MifidCommodityDerivIndicator>(ice.mifid_commodity_deriv_indicator());     
-               if(ice.mifid_investment_decision() > 0)
-                  buffer.add<fix::MifidInvestmentDecision>(ice.mifid_investment_decision());     
-               if(ice.mifid_execution_decision() > 0)
-                  buffer.add<fix::MifidExecutionDecision>(ice.mifid_execution_decision());     
-               if(ice.mifid_client_id_code() > 0)
-                  buffer.add<fix::MifidClientIDCode>(ice.mifid_client_id_code());                   
-               if(ice.mifid_id() > 0)
-                  buffer.add<fix::MifidId>(ice.mifid_id());                   
-               stream.close();
-               
-               trace::CorID trace;            
-               send_fix(result, trace);
-               auth_traders.insert(ice.authorized_trader());
-            }
-         }               
-      }
-      LOG(OrderMan, Warn, "{} traders identified as ICE traders {}", auth_traders.size(), me->gw_name.value());               
-   }
-}
-
-void ICEExecutionGateway::on_login()
-{
-   if (me->state == State::LOGIN_TIMEOUT_COMPLETE) 
-   {
-      LOG(OrderMan, Warn, "Successful login traders {}", me->gw_name.value());
-      me->state = State::READY;     
-      me->on_gw_status_change(true);                
-   }   
-}
-
-OnExeReport &ICEExecutionGateway::on_exe_report() { return me->on_exe_report; }
-
-OnGwStatusChange &ICEExecutionGateway::on_gw_status_change() 
-{
-   return me->on_gw_status_change;
-}
-
-OnCancelReject &ICEExecutionGateway::on_cancel_reject() 
-{
-   return me->on_cancel_reject;
-}
-
-bool ICEExecutionGateway::process_memo(const jetfix::fix::ICEExecutionReportMsg &msg, OrderKey* ok, SecurityKey* sk)
-{
-   if(msg.has<fix::Memo>())
-   {
-      decode_memo(msg.get<fix::Memo>(), ok, sk);   
-      return true;
-   }
-   else
-   {
-      if (msg.get<fix::ExecType>() == api::orderman::EXEC_TYPE_TRADE_CORRECT && msg.has<fix::ExecRefID>()) 
-      {
-         std::string ref_exec_id = msg.get<fix::ExecRefID>();
-         auto found = me->exec_id_to_memo.find(ref_exec_id);
-         if(found == me->exec_id_to_memo.end()) 
-         {
-            auto new_price = Price(0);
-            if(msg.has<fix::LastPx>())
-               new_price = Price(msg.get<fix::LastPx>());
-            
-            LOG(OrderMan, Error,
-               "Received unsupported trade correction msg.  This correction will not be forwarded. The trader should be alerted. "
-               "Partial original fill id: {}. New price: {}", ref_exec_id, new_price.value());
-            return false;
-         }
-         else
-         {
-            decode_memo(found->second, ok, sk);
-            return true;
-         }
-      }      
-   }
-   return false;      
-}
-
-void ICEExecutionGateway::on_exe_report(const jetfix::fix::ICEExecutionReportMsg &msg) 
-{
-   OrderKey ok;
-   SecurityKey sk;
-   if(!process_memo(msg, &ok, &sk))
-   {
-      std::string execid = "";
-      if(msg.has<fix::ExecID>())
-         execid = msg.get<fix::ExecID>();
-      LOG(OrderMan, Error,
-         "Received execution report with no memo execid: {}. Will not be able to process this report. This is likely a bug that could lead "
-         "to lost fills. Please investigate.", execid);
-      return;      
-   }
-   auto scoped_log = trace::log_scope(me->perf_log, msg.trace(), "ICEExecutionGateway::on_exe_report", ok.value());
-
-   LOG(Latency, Info, "Started handling of execution report for order {}", ok.value());
-   auto &sec = me->securities[sk.value()];
-   if (!sec) 
-   {
-      sec = me->sec_oracle.get_security(SecurityKey(sk.value()));
-   }   
-   if (!sec)
-      LOG(OrderMan, Error,
-          "Received execution report for an unknown security {}. Will not be able to process this report. This is likely a bug that could lead "
-          "to lost fills. Please investigate.",
-          sk.value());
-   else 
-   {
-      if(sec->has_ice())
-         me->securities_by_exchange_id[sec->ice().exchange_id()] = sec;
-      
-      api::Security const *leg_security = nullptr;
-      if (msg.has<fix::MultiLegReportingType>() && msg.get<fix::MultiLegReportingType>() == 2) 
-      {
-         auto it = me->securities_by_exchange_id.find(msg.get<fix::Int_Symbol>());
-         if (it == me->securities_by_exchange_id.end()) 
-         {
-            LOG(OrderMan, Error,
-                "Received execution report for an unknown spread leg"
-                "security {}. Will not be able to process this report. "
-                "This is likely a bug that could lead to "
-                "lost leg fills. Please investigate. Spread sec_key: {} leg "
-                "exchange id: {}",
-                sk.value(), msg.get<fix::Int_Symbol>());
-            return;
-         }
-         leg_security = it->second;
-      }      
-      std::string text_msg;
-      if (msg.has<fix::Text>())
-         text_msg = msg.get<fix::Text>();
-      if (msg.has<fix::OrdRejReason>())
-         text_msg += " Rejected OrdRejReason: " + std::to_string(msg.get<fix::OrdRejReason>());
-         
-      if (msg.has<fix::DeleteReason>())
-         text_msg += " Cancelled DeleteReason: " + std::to_string(msg.get<fix::DeleteReason>());
-
-      // allocate from our pool
-      auto data = me->exe_report_pool.construct();
-
-      if(msg.has<fix::Memo>())
-         data->memo = msg.get<fix::Memo>();
-      data->exec_type = api::orderman::ExecType(msg.get<fix::ExecType>());
-      data->msg_seq_num = msg.get<fix::MsgSeqNum>();
-
-      // copy data from fix msg to our structure
-      if (msg.has<fix::ClearingAccount>())
-         str_to(msg.get<fix::ClearingAccount>(), &data->account_name);
-      if (msg.has<fix::TargetSubID>())
-         str_to(msg.get<fix::TargetSubID>(), &data->operator_id);
-      if (msg.has<fix::CompanyID>())
-         data->ice_company_id = msg.get<fix::CompanyID>();         
-
-      data->order_key = ok;
-      data->security = sec;
-      data->leg_security = leg_security;
-      data->side = api::Side(msg.get<fix::Side>());
-      if (msg.has<fix::TimeInForce>())
-         data->time_in_force = api::orderman::TimeInForce(msg.get<fix::TimeInForce>());
-      else
-         data->time_in_force = api::orderman::TIME_IN_FORCE_UNDEFINED;
-
-      if (msg.has<fix::OrdType>())
-         data->order_type = api::orderman::NativeOrderType(msg.get<fix::OrdType>());
-      else
-         data->order_type = api::orderman::NATIVE_ORDER_TYPE_UNDEFINED;
-         
-      data->order_status = api::orderman::NativeOrderStatus(msg.get<fix::OrdStatus>());
-      data->manual_order_indicator = api::orderman::MANUAL_ORDER_INDICATOR_NO;
-      
-      std::string oid_string = get_ice_order_id_string(msg);
-      str_to(oid_string, &data->exchange_order_id);
-      data->ice_cl_ord_id = 0;
-      if(msg.has<fix::Int_ClOrdID>())
-         data->ice_cl_ord_id = msg.get<fix::Int_ClOrdID>();
-      
-      if (msg.has<fix::Price>())
-         data->price = securities::decode_exchange_price(*sec, Price(msg.get<fix::Price>()));
-      else
-         data->price = Price(os::nan());
-
-      if (msg.has<fix::StopPx>())
-         data->stop_price = securities::decode_exchange_price(*sec, Price(msg.get<fix::StopPx>()));
-      else
-         data->stop_price = Price(os::nan());
-         
-      if (msg.has<fix::MaxShow>())
-         data->max_show = Quantity(msg.get<fix::MaxShow>());
-      else
-         data->max_show = Quantity(0);         
-
-      if (msg.has<fix::OrderQty>())
-         data->quantity = Quantity(msg.get<fix::OrderQty>());
-      else
-         data->quantity = Quantity(0);
-
-      data->filled_quantity = Quantity(msg.get<fix::CumQty>());
-      
-      data->last_shares = msg.has<fix::LastShares>()
-                              ? Quantity(msg.get<fix::LastShares>())
-                              : Quantity(0);
-      auto last_px_sec = data->leg_security ? data->leg_security : sec;
-      data->last_price = msg.has<fix::LastPx>()
-                             ? securities::decode_exchange_price(*last_px_sec, Price(msg.get<fix::LastPx>()))
-                             : Price(0);
-      data->avg_price = msg.has<fix::AvgPx>()
-                            ? securities::decode_exchange_price(*last_px_sec, Price(msg.get<fix::AvgPx>()))
-                            : Price(0);
-      if (msg.has<fix::ExecID>())
-      {
-         auto execid = msg.get<fix::ExecID>();
-         str_to(execid, &data->exchange_fill_id);
-         if(msg.has<fix::Memo>())
-            me->exec_id_to_memo[execid] = msg.get<fix::Memo>();
-      }
-               
-      if (msg.has<fix::TransactTimeStr>())
-      {
-         std::string stamp = msg.get<fix::TransactTimeStr>();
-         stamp.resize(sizeof(mercury::TimeStampStr));
-         str_to(stamp, &data->transact_time);
-      }
-      data->cfg = &me->cfg;
-      data->msg = text_msg;
-      data->exchange = api::Venue::VENUE_ICE;
-      me->on_exe_report(*data, msg.trace());
-   }
-}
-
-void ICEExecutionGateway::on_cancel_reject(const jetfix::fix::ICECancelRejectMsg &msg) 
-{
-   OrderKey ok(msg.get<fix::Int_ClOrdID>());
-
-   std::string reject_msg;
-   if (msg.has<fix::Text>())
-      reject_msg = msg.get<fix::Text>();
-   else if (msg.has<fix::CXlRejReason>())
-      reject_msg = fmt::format("Order cancel was rejected with error code {}",
-                               msg.get<fix::CXlRejReason>());
-   me->on_cancel_reject(ok, reject_msg);
-}
-
-
-void ICEExecutionGateway::on_business_reject(const jetfix::fix::BusinessMessageRejectMsg& m) 
-{
-   LOG(OrderMan, Error,
-       "Unexpected business reject in {} gateway . Reason: {}. This should be investigated",
-       me->gw_name.value(),
-       m.has<fix::Text>() ? m.get<fix::Text>() : std::string("Unknown"));
-}
-
-void ICEExecutionGateway::on_session_reject(const jetfix::fix::RejectMsg& m) 
-{
-   LOG(OrderMan, Error,
-       "Unexpected reject message in {} gateway . Reason: {}. This should be investigated",
-       me->gw_name.value(),
-       m.has<fix::Text>() ? m.get<fix::Text>() : std::string("Unknown"));
-}
-
-void ICEExecutionGateway::dispatch_incoming_fix_messages() 
-{
-   me->gw.dispatch_events();   
-   if(me->state == State::TRADER_LOGIN_TIMEOUT && ms_diff(Timer::now(), me->connection_time) >= 2000)
-   {
-      on_trader_login_timeout_expired();
-   }
-}
-
-void ICEExecutionGateway::send_fix(const jetfix::OutFIXPtr& fix, trace::CorID trace) 
-{
-   auto scoped_log = trace::log_scope(me->perf_log,trace,"ICEExecutionGateway::send_fix");
-   me->gw.send(fix,trace);
-   me->gw.dispatch_events();
-}
-
-} // namespace orderman
-} // namespace bts

src/lib/orderman/actors/ICEExecutionGateway.h

@@ -1,45 +0,0 @@
-#pragma once
-
-#include "IExecutionGateway.h"
-
-namespace bts {
-namespace orderman {
-
-// fix execution gateway for a single FIX session
-class ICEExecutionGateway : public IExecutionGateway {
- public:   
-   ICEExecutionGateway(const config::JetFIX::Connection&, trace::PerfLog &,
-                       md::SecurityOracle);
-   virtual ~ICEExecutionGateway();
-
-   void start() override;
-   void dispatch_incoming_fix_messages() override;
-   void on_securities(const mercury::Update<NewSecuritiesEvent> &) override;
-   void on_admin_data(const mercury::Update<NewAdminDataEvent> &) override;
-   void send_fix(const jetfix::OutFIXPtr& fix, trace::CorID trace) override;
-
-   OnExeReport& on_exe_report() override;
-   OnGwStatusChange& on_gw_status_change() override;
-   OnCancelReject &on_cancel_reject() override;
-   
- private:
-   BTS_NO_COPY(ICEExecutionGateway);
-   enum class State { WAITING_FOR_ADMIN, WAITING_FOR_SECURITIES, READY_TO_START_GW, TRADER_LOGIN_TIMEOUT, LOGIN_TIMEOUT_COMPLETE, READY };
-   struct PImpl;
-   std::unique_ptr<PImpl> me;
-   
-   void on_trader_login_timeout_expired();
-   void on_login();
-
-   // fix gateway events
-   void on_exe_report(const jetfix::fix::ICEExecutionReportMsg&);
-   void on_cancel_reject(const jetfix::fix::ICECancelRejectMsg&);
-   void on_connection_status_change(bool connected);
-   void on_business_reject(const jetfix::fix::BusinessMessageRejectMsg&);
-   void on_session_reject(const jetfix::fix::RejectMsg&);
-   
-   bool process_memo(const jetfix::fix::ICEExecutionReportMsg &msg, OrderKey*, SecurityKey*);
-};
-
-} // namespace orderman
-} // namespace bts

src/lib/orderman/actors/IExecutionGateway.cpp

@@ -1,20 +0,0 @@
-
-#include "IExecutionGateway.h"
-#include "ICEExecutionGateway.h"
-#include "GLBXExecutionGateway.h"
-
-namespace bts {
-namespace orderman {
-
-std::unique_ptr<IExecutionGateway>
-ExecutionGatewayFactory::create_gateway(const config::JetFIX::Connection& conn, trace::PerfLog& pl, md::SecurityOracle o)
-{
-   if(conn.platform() == bts::config::JetFIX_Connection_JetFIXPlatform_ICE || 
-      conn.platform() == bts::config::JetFIX_Connection_JetFIXPlatform_SIMICE)
-      return std::make_unique<ICEExecutionGateway>(conn, pl, o);
-   else
-      return std::make_unique<GLBXExecutionGateway>(conn, pl, o);
-}
-
-} // namespace orderman
-} // namespace bts

src/lib/orderman/actors/IExecutionGateway.h

@@ -1,52 +0,0 @@
-#pragma once
-
-#include "lib/config/protos/jetfix.pb.h"
-#include "lib/jetfix/codec/MessageDefinitions.h"
-#include "lib/jetfix/common/OutFIXPtr.h"
-#include "lib/md/SecurityOracle.h"
-#include "lib/mercury/events/Update.h"
-#include "lib/orderman/orderman_utils/orderman_common.h"
-#include "lib/utils/bts_no_copy.h"
-
-#include <memory>
-
-namespace bts {
-namespace trace {struct CorID;class PerfLog;}
-namespace orderman {
-class NewSecuritiesEvent;
-class NewAdminDataEvent;
-class ExecutionReport;
-
-
-using OnGwStatusChange = std::function<void(bool)>;
-using OnExeReport = std::function<void(ExecutionReport const &, trace::CorID const &)>;
-using OnCancelReject = std::function<void(OrderKey, std::string const &)>;
-
-// fix execution gateway for a single FIX session
-class IExecutionGateway {
- public:   
-   IExecutionGateway() = default;
-   virtual ~IExecutionGateway() {}
-
-   virtual void start() = 0;
-   virtual void dispatch_incoming_fix_messages() = 0;
-   virtual void on_securities(const mercury::Update<NewSecuritiesEvent> &) = 0;
-   virtual void on_admin_data(const mercury::Update<NewAdminDataEvent> &) = 0;
-   virtual void send_fix(const jetfix::OutFIXPtr&, trace::CorID) = 0;
-   
-   virtual OnExeReport& on_exe_report() = 0;
-   virtual OnGwStatusChange& on_gw_status_change() = 0;
-   virtual OnCancelReject &on_cancel_reject() = 0;
-private:
-   BTS_NO_COPY(IExecutionGateway);
-};
-
-class ExecutionGatewayFactory
-{
-public:
-   static std::unique_ptr<IExecutionGateway> create_gateway(const config::JetFIX::Connection&, trace::PerfLog&, md::SecurityOracle);
-   
-};
-
-} // namespace orderman
-} // namespace bts

src/lib/orderman/actors/SODPosition.cpp

@@ -143,7 +143,7 @@ void SODPosition::_zero_pos(Fill &pos, const Fill &fill, api::Side side) {
 }
 
 bool SODPosition::add_fill_to_sod_pos(const Fill &fill) {   
-   if (_enabled && fill.fill_status() != api::orderman::Fill::FILL_STATUS_BUSTED && fill.timestamp().seconds() < _sod_time.tv_sec) {
+   if (_enabled && fill.timestamp().seconds() < _sod_time.tv_sec) {
       if (!bts::admin::AdminServiceUtils::has_id(fill.internal_account_id())){
          LOG(persist, Error, "SODPosition::add_fill_to_sod_pos Could not find "
                              "account_id for fill:{} account:{}",

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

@@ -15,7 +15,6 @@
 #include "lib/orderman/orders/Order.h"
 #include "lib/orderman/securities/ISecurityDB.h"
 #include "lib/utils/inplace_function.h"
-#include "lib/utils/thread_manager.h"
 
 #include <algorithm>
 #include <boost/algorithm/string/trim.hpp>
@@ -45,28 +44,12 @@ struct OrderManager::PImpl {
    mercury::Actor::SubHandle stored_fills_sub;
    OrderServicesData services_data;
    mercury::Stream<OrderManagerReadyEvent> pub_ready;
-   std::thread background_thread;
-   std::atomic<bool> shutdown = false;
 };
 
 OrderManager::OrderManager(DynamicOrderRegistry const &b, trace::PerfLog &l,
                            md::SecurityOracle o)
-    : me(new PImpl(*this, b, l, o)) {
-   auto id_gen = &me->services_data.id_gen;
-   auto done = &me->shutdown;
-   me->background_thread =
-       threading::make_thread("oman_background", [id_gen, done]() {
-          while (!(*done)) {
-             id_gen->refill();
-             sleep_for(10ms);
-          }
-       });
-}
-
-OrderManager::~OrderManager() {
-   me->shutdown = true;
-   me->background_thread.join();
-}
+    : me(new PImpl(*this, b, l, o)) {}
+OrderManager::~OrderManager() {}
 
 void OrderManager::init() {
    subscribe<NewAdminDataEvent>(
@@ -80,13 +63,11 @@ void OrderManager::init() {
 
 void OrderManager::on_admin_data(const mercury::Update<NewAdminDataEvent> &m) {
    if (m.events) {
+
       if (me->state == State::WAIT_ADMIN) {
          LOG(OrderMan, Info,
-             "Order manager received admin data. Subscribing to security list "
-             "now ");
-         for (auto &osd : me->services_data.sessions)
-            osd->gw->on_admin_data(m);
-
+             "Order manager received admin data. Subscribing "
+             "to security list now ");
          me->state = State::WAIT_SEC;
          subscribe<NewSecuritiesEvent>([this](auto const &sec_update) {
             this->on_securities(sec_update);
@@ -119,7 +100,7 @@ void OrderManager::on_securities(
 
    // forward to execution gateways
    for (auto &osd : me->services_data.sessions)
-      osd->gw->on_securities(update);
+      osd->gw.on_securities(update);
 
    if (update.events) {
 
@@ -463,20 +444,19 @@ void OrderManager::init_order_services() {
       // reject evets
       auto s_ptr = s.get();
       s->exe_report_pub = make_stream<NewExecutionReportEvent>(gw_name);
-      s->gw->on_exe_report() = [s_ptr, this](auto const &er, auto const &t) {
+      s->gw.on_exe_report() = [s_ptr, this](auto const &er, auto const &t) {
          publish(s_ptr->exe_report_pub, &er, t);
       };
       s->gw_status_change_pub = make_stream<GatewayStatusChangeEvent>(gw_name);
-      s->gw->on_gw_status_change() = [s_ptr, this, gw_name](bool b) {
+      s->gw.on_gw_status_change() = [s_ptr, this, gw_name](bool b) {
          publish(s_ptr->gw_status_change_pub, gw_name, b);
       };
       s->cancel_reject_pub = make_stream<CancelRejectEvent>(gw_name);
-      s->gw->on_cancel_reject() = [s_ptr, this](auto const &k,
-                                                auto const &msg) {
+      s->gw.on_cancel_reject() = [s_ptr, this](auto const &k, auto const &msg) {
          publish(s_ptr->cancel_reject_pub, k, msg);
       };
       // handlers are ready so we can start processing fix events
-      s->gw->start();
+      s->gw.start();
 
       reload_fix_buffer(*s);
    }
@@ -559,7 +539,7 @@ void OrderManager::after_event() {
             auto scoped_do_work = trace::log_scope(me->services_data.log, {},
                                                    "OrderManager::after_event");
             fix_stream.close();
-            osd->gw->send_fix(osd->current_buffer, osd->current_trace);
+            osd->gw.send_fix(osd->current_buffer, osd->current_trace);
             reload_fix_buffer(*osd);
          }
       }
@@ -584,7 +564,7 @@ void OrderManager::on_poll(trace::PerfLog &log) {
        trace::log_scope(log, {}, "OrderManager::dispatch_incoming_fix_messages",
                         utils::TimeStamp::Interval::from_microseconds(2));
    for (auto &osd : me->services_data.sessions)
-      osd->gw->dispatch_incoming_fix_messages();
+      osd->gw.dispatch_incoming_fix_messages();
 }
 
 void OrderManager::publish_order_def_update(

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

@@ -46,9 +46,6 @@ class OrderServices {
       return ss.is_gateway_connected();
    }
 
-   uint64_t gen_id() {
-      return _data->id_gen.next();
-   }
    Governor &governor(SessionServices &ss) { return ss.governor(); }
 
    void queue_fix(SessionServices &ss, jetfix::MessageTypes mt,

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

@@ -12,9 +12,7 @@ OrderServicesData::OrderServicesData(OrderManager &owner,
       order_factory(sec_db, order_router, b),
       last_timer_ev(
           Timer::now(),
-          to<mercury::TimeStampStr>(datetime::FIX_timestamp(datetime::now()))),
-      id_gen("orderman_ids",5000)
-{
+          to<mercury::TimeStampStr>(datetime::FIX_timestamp(datetime::now()))) {
 
    auto &all_connections = config::get<config::JetFIX>().connection();
    for (auto const &c : all_connections)

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

@@ -9,7 +9,7 @@
 
 #include "lib/mercury/events/TimerEvent.h"
 #include "lib/md/SecurityOracle.h"
-#include "lib/orderman/actors/IExecutionGateway.h"
+#include "lib/orderman/actors/ExecutionGateway.h"
 #include "lib/orderman/events/ActivateOrderEvent.h"
 #include "lib/orderman/events/BookUpdateEvent.h"
 #include "lib/orderman/events/TickerUpdateEvent.h"
@@ -33,7 +33,6 @@
 #include "lib/orderman/limiter/Limiter.h"
 #include "lib/orderman/order_router/OrderRouter.h"
 #include "lib/utils/datetime.h"
-#include "lib/utils/Puid.h"
 
 #include <boost/date_time/posix_time/posix_time.hpp>
 
@@ -52,10 +51,7 @@ struct SessionServicesData {
                        trace::PerfLog &log, md::SecurityOracle o)
        : session(cfg.name()), gw_connected(false), cfg(cfg),
          governor(cfg.max_order_msgs_per_window(), cfg.window_duration_msecs()),
-         gw(ExecutionGatewayFactory::create_gateway(cfg, log, o)) 
-   {
-      
-   }
+         gw(cfg, log,o) {}
 
    std::string session;
    std::vector<jetfix::OutFIXPtr> free_buffers;
@@ -72,7 +68,7 @@ struct SessionServicesData {
    Governor governor;
    jetfix::OutFIXPtr current_buffer;
    trace::CorID current_trace;
-   std::unique_ptr<IExecutionGateway> gw;
+   ExecutionGateway gw;
    mercury::Stream<NewExecutionReportEvent> exe_report_pub;
    mercury::Stream<GatewayStatusChangeEvent> gw_status_change_pub;
    mercury::Stream<CancelRejectEvent> cancel_reject_pub;
@@ -109,8 +105,7 @@ class OrderServicesData {
    mercury::Stream<OrderOpResultEvent> report_order_op_result_pub;
    mercury::TimerEvent last_timer_ev;
    std::vector<std::unique_ptr<SessionServicesData>> sessions;
-   utils::IDGenerator id_gen ;
-   
+
    SessionServicesData &get_session(std::string const &session_name) {
       for (auto &s : sessions)
          if (s->session == session_name)

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

@@ -57,14 +57,14 @@ class SessionServices {
       _gateway_status_sub = src._gateway_status_sub;
       return *this;
    }
-   
-   config::JetFIX::Connection const &session_cfg() const {
-      return _session_data->cfg;
-   }   
 
  protected:
    std::string const &session_name() const { return _session_data->session; }
 
+   config::JetFIX::Connection const &session_cfg() const {
+      return _session_data->cfg;
+   }
+
    void queue_fix(jetfix::MessageTypes mt, jetfix::FIXFragment const &f,
                   trace::CorID const &corid) {
       auto &stream = _session_data->current_buffer->first_stream();