Changing TASCounter to use the new formula

CMakeLists.txt

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

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

@@ -1,372 +1,370 @@
-using bts.api;
-using bts.api.orderman;
-using bts.collections;
-using mbts.co2;
-using mbts.spark.utilities;
-using mbts.ui;
-using mbts.ui.controls;
-using mbts.ui.spark;
-using mbts.ui.utility;
-using mbts.utils;
-using System;
-using System.Collections.Generic;
-using System.Collections.ObjectModel;
-using System.Collections.Specialized;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Windows.Input;
-
-namespace mbts.spark {
-   partial class MarketViewVM {
-      public class Row : SecurityMDRow, IDisposable, IEquatable<Row>, DIYGrid.IRowVM, DIYGrid.IActionableRowVM {
-         readonly IBus _bus;
-         readonly OrdersModel _orders_model;
-         readonly AnimationManager _animation = new AnimationManager();
-         readonly ObservableCollection<OrderRecordImmutable> _orders = new ObservableCollection<OrderRecordImmutable>();
-         readonly ObservableFilterCollection<OrderRecordImmutable> _working_orders, _working_bids, _working_asks;
-         readonly string _security_text, _security_key_text;
-         readonly Property<double> _bid_price, _ask_price, _last_price, _day_change, _settlement, _session_high, _session_low;
-         readonly Property<bool> _last_price_from_spread;
-         readonly CellProperty<int> _position;
-         readonly CellProperty<uint> _last_size;
-         readonly CellProperty<ulong> _volume;
-         readonly CellProperty<bool> _inside_bids, _inside_asks;
-         readonly CellProperty<int> _working_bid_volume, _working_ask_volume;
-         readonly CellProperty<double> _working_best_bid, _working_best_ask;
-         readonly CellProperty<string> _working_bids_text, _working_asks_text;
-         readonly MyOrderSummarizer _order_summarizer = new MyOrderSummarizer();
-         readonly MDDisplayHelper.SizeFormatter _size_formatter = MDDisplayHelper.get_formatter(MarketSizeDisplay.get_default());
-         Property<uint> _bid_direct_size, _bid_merged_size, _ask_direct_size, _ask_merged_size;
-         double _raw_day_position;
-         string _bid_merged_size_text, _ask_merged_size_text;
-         ulong _bbo_ref, _last_ref;
-
-         public Row(IBus bus, SecurityMD smd, OrdersModel orders_model) : base(smd) {
-            _bus = bus;
-            _orders_model = orders_model;
-            _security_text = smd.security.ToString();
-            _security_key_text = security_key.ToString();
-            string format_price(double price) => security.ContractSpec.format(price);
-            _position = new CellProperty<int>(this, nameof(position), 0);
-            _bid_price = backing(nameof(bid_price), double.NaN);
-            _ask_price = backing(nameof(ask_price), double.NaN);
-            _last_price = backing(nameof(last_price), double.NaN);
-            _last_size = new CellProperty<uint>(this, nameof(last_size), 0);
-            _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));
-            _inside_asks = new CellProperty<bool>(this, nameof(inside_asks));
-            _working_bid_volume = new CellProperty<int>(this, nameof(working_bid_volume));
-            _working_ask_volume = new CellProperty<int>(this, nameof(working_ask_volume));
-            //
-            _bid_direct_size = backing(nameof(bid_direct_size), default(uint));
-            _bid_merged_size = backing(nameof(bid_merged_size), default(uint));
-            _ask_direct_size = backing(nameof(ask_direct_size), default(uint));
-            _ask_merged_size = backing(nameof(ask_merged_size), default(uint));
-            //
-            _working_orders = new ObservableFilterCollection<OrderRecordImmutable>(_orders, o => o.is_active());
-            _working_bids = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Buy);
-            _working_asks = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Sell);
-            _working_best_bid = new CellProperty<double>(this, nameof(working_best_bid), format_price, double.NaN);
-            _working_best_ask = new CellProperty<double>(this, nameof(working_best_ask), format_price, double.NaN);
-            _working_bids_text = new CellProperty<string>(this, nameof(working_bids_text), string.Empty);
-            _working_asks_text = new CellProperty<string>(this, nameof(working_asks_text), string.Empty);
-            //
-            default_command = new DelegateCommand(_show_ladder);
-            bid_price_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.Bid));
-            bid_merged_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidMergedSize));
-            bid_direct_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidDirectSize));
-            bid_implied_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidImpliedSize));
-            working_bids_click = new DelegateCommand(() => _show_order_book(MarketViewView.Columns.WorkingBids));
-            ask_price_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.Ask));
-            ask_merged_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskMergedSize));
-            ask_direct_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskDirectSize));
-            ask_implied_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskImpliedSize));
-            working_asks_click = new DelegateCommand(() => _show_order_book(MarketViewView.Columns.WorkingAsks));
-            _animation.AnimationsChanged += on_animations_changed;
-            void on_animations_changed() => RaisePropertyChanged(nameof(animations));
-            _dispose = Disposable.Create(
-               _orders_model.on_security_root_orders(security.Id).OnDispatcher().Subscribe(_on_orders),
-               _position.OnDispatcher().Subscribe(v => _animation.animate_position(v.newval > v.oldval)),
-               _orders_model.on_security_positions(security.Id).OnDispatcher().Subscribe(t => {
-                  if (Set(ref _raw_day_position, t.state.Values.Sum(p => p.Item2.raw_day_pos()), nameof(raw_day_position)))
-                     raise_invalidated();
-               }),
-               _inside_bids.OnDispatcher().Subscribe(v => _animation.animate_working_bids_inside(v.newval)),
-               _inside_asks.OnDispatcher().Subscribe(v => _animation.animate_working_asks_inside(v.newval)),
-               _day_change.OnDispatcher().Subscribe(v => _animation.animate_day_change(v.newval > v.oldval)),
-               Disposable.Create(() => _animation.AnimationsChanged -= on_animations_changed)
-            );
-         }
-
-         public event Action invalidated;
-
-         #region Bound Properties
-         public bool inside_bids => _inside_bids.value;
-         public bool inside_asks => _inside_asks.value;
-         public int position => _position.value;
-         public double raw_day_position => _raw_day_position;
-         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;
-         public uint bid_implied_size => _bid_merged_size.Value - _bid_direct_size.Value;
-         public uint bid_merged_size => _bid_merged_size.Value;
-         public string bid_merged_size_text => _bid_merged_size_text ?? (_bid_merged_size_text = _size_formatter(_bid_merged_size.Value, bid_implied_size));
-         public double ask_price => _ask_price.Value;
-         public uint ask_direct_size => _ask_direct_size.Value;
-         public uint ask_implied_size => _ask_merged_size.Value - _ask_direct_size.Value;
-         public uint ask_merged_size => _ask_merged_size.Value;
-         public string ask_merged_size_text => _ask_merged_size_text ?? (_ask_merged_size_text = _size_formatter(_ask_merged_size.Value, ask_implied_size));
-         public ulong volume => _volume.value;
-         public double settlement => _settlement.Value;
-         public double day_change => _day_change.Value;
-         public double session_low => _session_low.Value;
-         public double session_high => _session_high.Value;
-         public int working_bid_volume => _working_bid_volume.value;
-         public int working_ask_volume => _working_ask_volume.value;
-         public string working_bids_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_bid, _order_summarizer.best_working_bid_qty, _order_summarizer.working_bid_qty, security.ContractSpec);
-         public string working_asks_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_ask, _order_summarizer.best_working_ask_qty, _order_summarizer.working_ask_qty, security.ContractSpec);
-         public double working_best_bid => _working_best_bid.value;
-         public double working_best_ask => _working_best_ask.value;
-         // ice props
-         public string market_description => security.market_description();
-         public string cleared_alias => security.cleared_alias();
-         public string product_description => security.product_name();
-         public string hub_alias => security.hub_alias();
-         public string strip_name => security.strip_name();
-         public string mic_code => security.mic_code();
-         // animations
-         public IList<ui.spark.CellAnimation> animations => _animation.get_animations().ToList();
+using bts.api;
+using bts.api.orderman;
+using bts.collections;
+using mbts.co2;
+using mbts.spark.utilities;
+using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.spark;
+using mbts.ui.utility;
+using mbts.utils;
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Collections.Specialized;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows.Input;
+
+namespace mbts.spark {
+   partial class MarketViewVM {
+      public class Row : SecurityMDRow, IDisposable, IEquatable<Row>, DIYGrid.IRowVM, DIYGrid.IActionableRowVM {
+         readonly IBus _bus;
+         readonly OrdersModel _orders_model;
+         readonly AnimationManager _animation = new AnimationManager();
+         readonly ObservableCollection<OrderRecordImmutable> _orders = new ObservableCollection<OrderRecordImmutable>();
+         readonly ObservableFilterCollection<OrderRecordImmutable> _working_orders, _working_bids, _working_asks;
+         readonly string _security_text, _security_key_text;
+         readonly Property<double> _bid_price, _ask_price, _last_price, _day_change, _settlement, _session_high, _session_low;
+         readonly Property<bool> _last_price_from_spread;
+         readonly CellProperty<int> _position;
+         readonly CellProperty<uint> _last_size;
+         readonly CellProperty<ulong> _volume;
+         readonly CellProperty<bool> _inside_bids, _inside_asks;
+         readonly CellProperty<int> _working_bid_volume, _working_ask_volume;
+         readonly CellProperty<double> _working_best_bid, _working_best_ask;
+         readonly CellProperty<string> _working_bids_text, _working_asks_text;
+         readonly MyOrderSummarizer _order_summarizer = new MyOrderSummarizer();
+         readonly MDDisplayHelper.SizeFormatter _size_formatter = MDDisplayHelper.get_formatter(MarketSizeDisplay.get_default());
+         Property<uint> _bid_direct_size, _bid_merged_size, _ask_direct_size, _ask_merged_size;
+         double _raw_day_position;
+         string _bid_merged_size_text, _ask_merged_size_text;
+         ulong _bbo_ref, _last_ref;
+
+         public Row(IBus bus, SecurityMD smd, OrdersModel orders_model) : base(smd) {
+            _bus = bus;
+            _orders_model = orders_model;
+            _security_text = smd.security.ToString();
+            _security_key_text = security_key.ToString();
+            string format_price(double price) => security.ContractSpec.format(price);
+            _position = new CellProperty<int>(this, nameof(position), 0);
+            _bid_price = backing(nameof(bid_price), double.NaN);
+            _ask_price = backing(nameof(ask_price), double.NaN);
+            _last_price = backing(nameof(last_price), double.NaN);
+            _last_size = new CellProperty<uint>(this, nameof(last_size), 0);
+            _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));
+            _inside_asks = new CellProperty<bool>(this, nameof(inside_asks));
+            _working_bid_volume = new CellProperty<int>(this, nameof(working_bid_volume));
+            _working_ask_volume = new CellProperty<int>(this, nameof(working_ask_volume));
+            //
+            _bid_direct_size = backing(nameof(bid_direct_size), default(uint));
+            _bid_merged_size = backing(nameof(bid_merged_size), default(uint));
+            _ask_direct_size = backing(nameof(ask_direct_size), default(uint));
+            _ask_merged_size = backing(nameof(ask_merged_size), default(uint));
+            //
+            _working_orders = new ObservableFilterCollection<OrderRecordImmutable>(_orders, o => o.is_active());
+            _working_bids = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Buy);
+            _working_asks = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Sell);
+            _working_best_bid = new CellProperty<double>(this, nameof(working_best_bid), format_price, double.NaN);
+            _working_best_ask = new CellProperty<double>(this, nameof(working_best_ask), format_price, double.NaN);
+            _working_bids_text = new CellProperty<string>(this, nameof(working_bids_text), string.Empty);
+            _working_asks_text = new CellProperty<string>(this, nameof(working_asks_text), string.Empty);
+            //
+            default_command = new DelegateCommand(_show_ladder);
+            bid_price_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.Bid));
+            bid_merged_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidMergedSize));
+            bid_direct_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidDirectSize));
+            bid_implied_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.BidImpliedSize));
+            working_bids_click = new DelegateCommand(() => _show_order_book(MarketViewView.Columns.WorkingBids));
+            ask_price_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.Ask));
+            ask_merged_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskMergedSize));
+            ask_direct_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskDirectSize));
+            ask_implied_size_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.AskImpliedSize));
+            working_asks_click = new DelegateCommand(() => _show_order_book(MarketViewView.Columns.WorkingAsks));
+            _animation.AnimationsChanged += on_animations_changed;
+            void on_animations_changed() => RaisePropertyChanged(nameof(animations));
+            _dispose = Disposable.Create(
+               _orders_model.on_security_root_orders(security.Id).OnDispatcher().Subscribe(_on_orders),
+               _position.OnDispatcher().Subscribe(v => _animation.animate_position(v.newval > v.oldval)),
+               _orders_model.on_security_positions(security.Id).OnDispatcher().Subscribe(t => {
+                  if (Set(ref _raw_day_position, t.state.Values.Sum(p => p.Item2.raw_day_pos()), nameof(raw_day_position)))
+                     raise_invalidated();
+               }),
+               _inside_bids.OnDispatcher().Subscribe(v => _animation.animate_working_bids_inside(v.newval)),
+               _inside_asks.OnDispatcher().Subscribe(v => _animation.animate_working_asks_inside(v.newval)),
+               _day_change.OnDispatcher().Subscribe(v => _animation.animate_day_change(v.newval > v.oldval)),
+               Disposable.Create(() => _animation.AnimationsChanged -= on_animations_changed)
+            );
+         }
+
+         public event Action invalidated;
+
+         #region Bound Properties
+         public bool inside_bids => _inside_bids.value;
+         public bool inside_asks => _inside_asks.value;
+         public int position => _position.value;
+         public double raw_day_position => _raw_day_position;
+         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;
+         public uint bid_implied_size => _bid_merged_size.Value - _bid_direct_size.Value;
+         public uint bid_merged_size => _bid_merged_size.Value;
+         public string bid_merged_size_text => _bid_merged_size_text ?? (_bid_merged_size_text = _size_formatter(_bid_merged_size.Value, bid_implied_size));
+         public double ask_price => _ask_price.Value;
+         public uint ask_direct_size => _ask_direct_size.Value;
+         public uint ask_implied_size => _ask_merged_size.Value - _ask_direct_size.Value;
+         public uint ask_merged_size => _ask_merged_size.Value;
+         public string ask_merged_size_text => _ask_merged_size_text ?? (_ask_merged_size_text = _size_formatter(_ask_merged_size.Value, ask_implied_size));
+         public ulong volume => _volume.value;
+         public double settlement => _settlement.Value;
+         public double day_change => _day_change.Value;
+         public double session_low => _session_low.Value;
+         public double session_high => _session_high.Value;
+         public int working_bid_volume => _working_bid_volume.value;
+         public int working_ask_volume => _working_ask_volume.value;
+         public string working_bids_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_bid, _order_summarizer.best_working_bid_qty, _order_summarizer.working_bid_qty, security.ContractSpec);
+         public string working_asks_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_ask, _order_summarizer.best_working_ask_qty, _order_summarizer.working_ask_qty, security.ContractSpec);
+         public double working_best_bid => _working_best_bid.value;
+         public double working_best_ask => _working_best_ask.value;
+         public IList<ui.spark.CellAnimation> animations => _animation.get_animations().ToList();
+         public ICommand bid_price_click { get; }
+         public ICommand bid_merged_size_click { get; }
+         public ICommand bid_direct_size_click { get; }
+         public ICommand bid_implied_size_click { get; }
+         public ICommand working_bids_click { get; }
+         public ICommand ask_price_click { get; }
+         public ICommand ask_merged_size_click { get; }
+         public ICommand ask_direct_size_click { get; }
+         public ICommand ask_implied_size_click { get; }
+         public ICommand working_asks_click { get; }
+         public ICommand default_command { get; }
+         public string market_description {get;}
+         public string cleared_alias { get; }
+         public string product_description { get; }
+         public string hub_alias { get; }
+         public string strip_name{ get; }
+         public string mic_code { get; }
+
          public ObservableCollection<RowAnimation> row_animations { get; } = new ObservableCollection<RowAnimation>();
-         // commands
-         public ICommand bid_price_click { get; }
-         public ICommand bid_merged_size_click { get; }
-         public ICommand bid_direct_size_click { get; }
-         public ICommand bid_implied_size_click { get; }
-         public ICommand working_bids_click { get; }
-         public ICommand ask_price_click { get; }
-         public ICommand ask_merged_size_click { get; }
-         public ICommand ask_direct_size_click { get; }
-         public ICommand ask_implied_size_click { get; }
-         public ICommand working_asks_click { get; }
-         public ICommand default_command { get; }
-
-         public IReadOnlyList<DIYGrid.IGridCellStore> cell_stores => new DIYGrid.IGridCellStore[0];
-         #endregion
-
-         public void raise_invalidated() => invalidated?.Invoke();
-
-         public void refresh() {
-            bool dirty = false;
-            if (md.md.get_bbo(ref _bbo_ref, out NativePriceSize b, out NativePriceSize a)) {
-               _bid_price.set(b.price);
-               refresh_size(ref b, _bid_direct_size, _bid_merged_size, ref _bid_merged_size_text, nameof(bid_merged_size_text));
-               _ask_price.set(a.price);
-               refresh_size(ref a, _ask_direct_size, _ask_merged_size, ref _ask_merged_size_text, nameof(ask_merged_size_text));
-               _inside_bids.on_next_distinct(_bid_price.Value >= _working_best_bid.value, ref dirty);
-               _inside_asks.on_next_distinct(_ask_price.Value <= _working_best_ask.value, ref dirty);
-            }
-            if (md.md.get_last_trade(ref _last_ref, out NativePriceSize ps, out DateTime ts, out ulong v, out bool from_spread)) {               
-               _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);
-            if (dirty)
-               invalidated?.Invoke();
-
-            void refresh_size(ref NativePriceSize nps, Property<uint> direct, Property<uint> merged, ref string text, string text_prop) {
-               if (nps.size != merged.Value || nps.direct_size != direct.Value) {
-                  merged.set(nps.size);
-                  direct.set(nps.direct_size);
-                  text = null;
-                  dirty = true;
-                  RaisePropertyChanged(text_prop);
-               }
-            }
-         }
-
-         public bool Equals(Row other) =>
-           other != null &&
-           other.security_key == security_key;
-
-         public override bool Equals(object obj) =>
-            Equals(obj as Row);
-
-         public override int GetHashCode() =>
-            security_key.GetHashCode();
-
-         #region Show Windows
-         void _show_ladder() => _bus.post(SparkTags.ShowLadderTag, md);
-
-         void _show_order_book(MarketViewView.Columns col) {
-            switch (col) {
-               case MarketViewView.Columns.WorkingBids: _show_order_book(Side.Buy); break;
-               case MarketViewView.Columns.WorkingAsks: _show_order_book(Side.Sell); break;
-            }
-         }
-
-         void _show_order_book(Side side) {
-            var ob_settings = bts.shell.orderbook.OrderBookStartupData.Default;
-            ob_settings.filters = new bts.shell.orderbook.FilterStates {
-               statuses = new[] { OrderStatus.Working },
-               sides = new[] { side },
-               security_criteria = new SecurityCriteria(security)
-            };
-            _bus.post(SparkTags.ShowOrderBookTag, ob_settings);
-         }
-
-         void _show_order_ticket(MarketViewView.Columns col) {
-            var order = _orders_model.factory.order(security);
-            switch (col) {
-               case MarketViewView.Columns.Bid:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, 0u));
-                  break;
-               case MarketViewView.Columns.BidMergedSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_merged_size));
-                  break;
-               case MarketViewView.Columns.BidDirectSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_direct_size));
-                  break;
-               case MarketViewView.Columns.BidImpliedSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_implied_size));
-                  break;
-               case MarketViewView.Columns.Ask:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Buy), ask_price, 0u));
-                  break;
-               case MarketViewView.Columns.AskMergedSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Buy), ask_price, ask_merged_size));
-                  break;
-               case MarketViewView.Columns.AskDirectSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), ask_price, ask_direct_size));
-                  break;
-               case MarketViewView.Columns.AskImpliedSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), ask_price, ask_implied_size));
-                  break;
-               case MarketViewView.Columns.Last:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order, last_price, 0u));
-                  break;
-               case MarketViewView.Columns.LastSize:
-                  _bus.post(SparkTags.ShowOrderTicketTag, (order, last_price, last_size));
-                  break;
-            }
-         }
-         #endregion
-
-         #region Callbacks
-         void _on_orders(ITableUpdateTransform<OrderRecordImmutable, uint> orders) {
-            foreach (var o in orders.removed)
-               _order_summarizer.remove_order(o);
-            foreach (var o in orders.added)
-               _order_summarizer.add_order(o);
-            bool dirty = false;
-            _refresh_orders(ref dirty);
-            if (dirty)
-               invalidated?.Invoke();
-         }
-
-         void _refresh_orders(ref bool dirty) {
-            _position.on_next_distinct(_order_summarizer.position, ref dirty);
-            _working_bid_volume.on_next_distinct(_order_summarizer.working_bid_qty, ref dirty);
-            _working_ask_volume.on_next_distinct(_order_summarizer.working_ask_qty, ref dirty);
-            _working_best_bid.on_next_distinct(_order_summarizer.best_working_bid, ref dirty);
-            _working_best_ask.on_next_distinct(_order_summarizer.best_working_ask, ref dirty);
-            _inside_bids.on_next_distinct(_order_summarizer.best_working_bid >= bid_price, ref dirty);
-            _inside_asks.on_next_distinct(_order_summarizer.best_working_ask <= ask_price, ref dirty);
-
-            RaisePropertyChanged(
-               // Implied might not be ever set, so it probably does not RaisePropertyChanged either
-               // This might be part of the filter funk?
-               //nameof(bid_implied_size),
-               //nameof(ask_implied_size),
-               nameof(working_bids_text), 
-               nameof(working_asks_text)
-            );
-         }
-         #endregion
-
-         class MyOrderSummarizer {
-            SortedSetMap<double, OrderRecordImmutable> _bids, _asks;
-            int _best_bid_working_qty, _best_ask_working_qty, _position, _working_bid_qty, _working_ask_qty;
-
-            public MyOrderSummarizer() {
-               _bids = new SortedSetMap<double, OrderRecordImmutable>(
-                  OrderDataHelper.CompareUtils.bid_price_comparer,
-                  OrderDataHelper.CompareUtils.order_record_id_eq_comparer);
-               _asks = new SortedSetMap<double, OrderRecordImmutable>(
-                  OrderDataHelper.CompareUtils.ask_price_comparer,
-                  OrderDataHelper.CompareUtils.order_record_id_eq_comparer);
-            }
-
-            // bid
-            public double best_working_bid => _bids.Count > 0 ? _bids.at_index(0).Key : double.NaN;
-            public int best_working_bid_qty => _best_bid_working_qty;
-            public int working_bid_qty => _working_bid_qty;
-            // ask
-            public double best_working_ask => _asks.Count > 0 ? _asks.at_index(0).Key : double.NaN;
-            public int best_working_ask_qty => _best_ask_working_qty;
-            public int working_ask_qty => _working_ask_qty;
-            // pos
-            public int position => _position;
-
-            public void add_order(OrderRecordImmutable o) {
-               switch (o.side()) {
-                  case Side.Buy:
-                     _position += (int)o.filled();
-                     if (o.is_active()) {
-                        _working_bid_qty += o.working_quantity();
-                        _bids.add(o.price(), o);
-                     }
-                     break;
-                  case Side.Sell:
-                     _position -= (int)o.filled();
-                     if (o.is_active()) {
-                        _working_ask_qty += o.working_quantity();
-                        _asks.add(o.price(), o);
-                     }
-                     break;
-                  default: return;
-               }
-               _refresh();
-            }
-
-            public void remove_order(OrderRecordImmutable o) {
-               switch (o.side()) {
-                  case Side.Buy:
-                     _position -= (int)o.filled();
-                     if (o.is_active()) {
-                        _working_bid_qty -= o.working_quantity();
-                        _bids.remove(o.price(), o);
-                     }
-                     break;
-                  case Side.Sell:
-                     _position += (int)o.filled();
-                     if (o.is_active()) {
-                        _working_ask_qty -= o.working_quantity();
-                        _asks.remove(o.price(), o);
-                     }
-                     break;
-                  default: return;
-               }
-               _refresh();
-            }
-
-            void _refresh() {
-               _best_bid_working_qty = _bids.Count > 0 ? _bids.at_index(0).Sum(o => o.working_quantity()) : 0;
-               _best_ask_working_qty = _asks.Count > 0 ? _asks.at_index(0).Sum(o => o.working_quantity()) : 0;
-            }
-         }
-      }
-   }
+
+         public IReadOnlyList<DIYGrid.IGridCellStore> cell_stores => new DIYGrid.IGridCellStore[0];
+         #endregion
+
+         public void raise_invalidated() => invalidated?.Invoke();
+
+         public void refresh() {
+            bool dirty = false;
+            if (md.md.get_bbo(ref _bbo_ref, out NativePriceSize b, out NativePriceSize a)) {
+               _bid_price.set(b.price);
+               refresh_size(ref b, _bid_direct_size, _bid_merged_size, ref _bid_merged_size_text, nameof(bid_merged_size_text));
+               _ask_price.set(a.price);
+               refresh_size(ref a, _ask_direct_size, _ask_merged_size, ref _ask_merged_size_text, nameof(ask_merged_size_text));
+               _inside_bids.on_next_distinct(_bid_price.Value >= _working_best_bid.value, ref dirty);
+               _inside_asks.on_next_distinct(_ask_price.Value <= _working_best_ask.value, ref dirty);
+            }
+            if (md.md.get_last_trade(ref _last_ref, out NativePriceSize ps, out DateTime ts, out ulong v, out bool from_spread)) {               
+               _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);
+            if (dirty)
+               invalidated?.Invoke();
+
+            void refresh_size(ref NativePriceSize nps, Property<uint> direct, Property<uint> merged, ref string text, string text_prop) {
+               if (nps.size != merged.Value || nps.direct_size != direct.Value) {
+                  merged.set(nps.size);
+                  direct.set(nps.direct_size);
+                  text = null;
+                  dirty = true;
+                  RaisePropertyChanged(text_prop);
+               }
+            }
+         }
+
+         public bool Equals(Row other) =>
+           other != null &&
+           other.security_key == security_key;
+
+         public override bool Equals(object obj) =>
+            Equals(obj as Row);
+
+         public override int GetHashCode() =>
+            security_key.GetHashCode();
+
+         #region Show Windows
+         void _show_ladder() => _bus.post(SparkTags.ShowLadderTag, md);
+
+         void _show_order_book(MarketViewView.Columns col) {
+            switch (col) {
+               case MarketViewView.Columns.WorkingBids: _show_order_book(Side.Buy); break;
+               case MarketViewView.Columns.WorkingAsks: _show_order_book(Side.Sell); break;
+            }
+         }
+
+         void _show_order_book(Side side) {
+            var ob_settings = bts.shell.orderbook.OrderBookStartupData.Default;
+            ob_settings.filters = new bts.shell.orderbook.FilterStates {
+               statuses = new[] { OrderStatus.Working },
+               sides = new[] { side },
+               security_criteria = new SecurityCriteria(security)
+            };
+            _bus.post(SparkTags.ShowOrderBookTag, ob_settings);
+         }
+
+         void _show_order_ticket(MarketViewView.Columns col) {
+            var order = _orders_model.factory.order(security);
+            switch (col) {
+               case MarketViewView.Columns.Bid:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, 0u));
+                  break;
+               case MarketViewView.Columns.BidMergedSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_merged_size));
+                  break;
+               case MarketViewView.Columns.BidDirectSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_direct_size));
+                  break;
+               case MarketViewView.Columns.BidImpliedSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), bid_price, bid_implied_size));
+                  break;
+               case MarketViewView.Columns.Ask:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Buy), ask_price, 0u));
+                  break;
+               case MarketViewView.Columns.AskMergedSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Buy), ask_price, ask_merged_size));
+                  break;
+               case MarketViewView.Columns.AskDirectSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), ask_price, ask_direct_size));
+                  break;
+               case MarketViewView.Columns.AskImpliedSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order.with(side:Side.Sell), ask_price, ask_implied_size));
+                  break;
+               case MarketViewView.Columns.Last:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order, last_price, 0u));
+                  break;
+               case MarketViewView.Columns.LastSize:
+                  _bus.post(SparkTags.ShowOrderTicketTag, (order, last_price, last_size));
+                  break;
+            }
+         }
+         #endregion
+
+         #region Callbacks
+         void _on_orders(ITableUpdateTransform<OrderRecordImmutable, uint> orders) {
+            foreach (var o in orders.removed)
+               _order_summarizer.remove_order(o);
+            foreach (var o in orders.added)
+               _order_summarizer.add_order(o);
+            bool dirty = false;
+            _refresh_orders(ref dirty);
+            if (dirty)
+               invalidated?.Invoke();
+         }
+
+         void _refresh_orders(ref bool dirty) {
+            _position.on_next_distinct(_order_summarizer.position, ref dirty);
+            _working_bid_volume.on_next_distinct(_order_summarizer.working_bid_qty, ref dirty);
+            _working_ask_volume.on_next_distinct(_order_summarizer.working_ask_qty, ref dirty);
+            _working_best_bid.on_next_distinct(_order_summarizer.best_working_bid, ref dirty);
+            _working_best_ask.on_next_distinct(_order_summarizer.best_working_ask, ref dirty);
+            _inside_bids.on_next_distinct(_order_summarizer.best_working_bid >= bid_price, ref dirty);
+            _inside_asks.on_next_distinct(_order_summarizer.best_working_ask <= ask_price, ref dirty);
+
+            RaisePropertyChanged(
+               // Implied might not be ever set, so it probably does not RaisePropertyChanged either
+               // This might be part of the filter funk?
+               //nameof(bid_implied_size),
+               //nameof(ask_implied_size),
+               nameof(working_bids_text), 
+               nameof(working_asks_text)
+            );
+         }
+         #endregion
+
+         class MyOrderSummarizer {
+            SortedSetMap<double, OrderRecordImmutable> _bids, _asks;
+            int _best_bid_working_qty, _best_ask_working_qty, _position, _working_bid_qty, _working_ask_qty;
+
+            public MyOrderSummarizer() {
+               _bids = new SortedSetMap<double, OrderRecordImmutable>(
+                  OrderDataHelper.CompareUtils.bid_price_comparer,
+                  OrderDataHelper.CompareUtils.order_record_id_eq_comparer);
+               _asks = new SortedSetMap<double, OrderRecordImmutable>(
+                  OrderDataHelper.CompareUtils.ask_price_comparer,
+                  OrderDataHelper.CompareUtils.order_record_id_eq_comparer);
+            }
+
+            // bid
+            public double best_working_bid => _bids.Count > 0 ? _bids.at_index(0).Key : double.NaN;
+            public int best_working_bid_qty => _best_bid_working_qty;
+            public int working_bid_qty => _working_bid_qty;
+            // ask
+            public double best_working_ask => _asks.Count > 0 ? _asks.at_index(0).Key : double.NaN;
+            public int best_working_ask_qty => _best_ask_working_qty;
+            public int working_ask_qty => _working_ask_qty;
+            // pos
+            public int position => _position;
+
+            public void add_order(OrderRecordImmutable o) {
+               switch (o.side()) {
+                  case Side.Buy:
+                     _position += (int)o.filled();
+                     if (o.is_active()) {
+                        _working_bid_qty += o.working_quantity();
+                        _bids.add(o.price(), o);
+                     }
+                     break;
+                  case Side.Sell:
+                     _position -= (int)o.filled();
+                     if (o.is_active()) {
+                        _working_ask_qty += o.working_quantity();
+                        _asks.add(o.price(), o);
+                     }
+                     break;
+                  default: return;
+               }
+               _refresh();
+            }
+
+            public void remove_order(OrderRecordImmutable o) {
+               switch (o.side()) {
+                  case Side.Buy:
+                     _position -= (int)o.filled();
+                     if (o.is_active()) {
+                        _working_bid_qty -= o.working_quantity();
+                        _bids.remove(o.price(), o);
+                     }
+                     break;
+                  case Side.Sell:
+                     _position += (int)o.filled();
+                     if (o.is_active()) {
+                        _working_ask_qty -= o.working_quantity();
+                        _asks.remove(o.price(), o);
+                     }
+                     break;
+                  default: return;
+               }
+               _refresh();
+            }
+
+            void _refresh() {
+               _best_bid_working_qty = _bids.Count > 0 ? _bids.at_index(0).Sum(o => o.working_quantity()) : 0;
+               _best_ask_working_qty = _asks.Count > 0 ? _asks.at_index(0).Sum(o => o.working_quantity()) : 0;
+            }
+         }
+      }
+   }
 }

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

@@ -1,294 +1,286 @@
-using bts.api;
-using bts.collections;
-using bts.utils;
-using mbts.persist;
-using mbts.spark.filters;
-using mbts.ui;
-using mbts.ui.settings;
-using mbts.ui.utility;
-using System;
-using System.Collections.Generic;
-using System.Collections.ObjectModel;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Windows.Data;
-using System.Windows.Media;
-using static bts.shell.MarketViewWindowFactory;
-using static mbts.ui.controls.DIYGrid;
-using static mbts.ui.spark.MarketViewView;
-
-namespace mbts.spark {
-   partial class MarketViewVM : SecurityMDGrid<MarketViewVM.Row, SecurityMD> {
-      static IReadOnlyList<Func<MarketViewVM, IDataGridColumnFilter<Row>>> _filter_getters =
-         ObjectSnapshot.property_delegates_of_type<MarketViewVM, IDataGridColumnFilter<Row>>();
-
-      readonly IBus _bus;
-      readonly OrdersModel _orders_model;
-      IWindowSettingsManager<GridSettings> _settings_manager;
-
-      public MarketViewVM(IBus bus, OrdersModel orders_model, IObservable<StartupData> state, IWindowSettingsManager<GridSettings> settings_manager )
-         : this(bus, orders_model, state, state.SelectManyInSeries(s => s.security_criteria.subscribe_md(bus)), settings_manager) { }
-
-      // securities_connectable should NOT be connected already.
-      MarketViewVM(IBus bus, OrdersModel orders_model, IObservable<StartupData> state, IObservable<IEnumerable<SecurityMD>> securities_source, IWindowSettingsManager<GridSettings> settings_manager)
-         : base(RXCollection.Create(securities_source, SecurityDataHelper.EqualityComparer.MDComparer), null) {
-         _bus = bus;
-         _orders_model = orders_model;
-         security_filter = new RegexFilterVM<Row>(r => r.security.ToString(), nameof(Row.security));
-         _settings_manager = settings_manager;
-         // Columns
-         const string merged_size_col_header = "Qty", direct_size_col_header = "Direct", implied_size_col_header = "Implied", working_col_header = "Working";
-         const double working_orders_col_width = 105;
-         IMultiValueConverter price_converter = new ui.spark.converters.TickDisplayConverter();
-         add_col(Columns.Security, "Security", r => r.security.ToString(), nameof(Row.security), DefaultColumnWidths.Security, security_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.Volume, "Volume", r => r.volume.ToString(), nameof(Row.volume), DefaultColumnWidths.Volume, volume_filter, DataGridFilterKnownTemplates.ULongMinMax);
-         add_col(Columns.LastSpd, "Spd", r => r.last_price_from_spread ? "S" : "", nameof(Row.last_price_from_spread), DefaultColumnWidths.Side, last_price_from_spread_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.Last, "Last", r => r.format_price(r.last_price), nameof(Row.last_price), DefaultColumnWidths.Price, last_price_filter, DataGridFilterKnownTemplates.DoubleMinMax);         
-         add_col(Columns.LastSize, merged_size_col_header, r => r.last_size.ToString(), nameof(Row.last_size), DefaultColumnWidths.Size, last_size_filter, DataGridFilterKnownTemplates.UIntMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.Position, "Pos", r => r.position.ToString(), nameof(Row.position), DefaultColumnWidths.Size, position_filter, DataGridFilterKnownTemplates.IntMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.RawDayPosition, "Raw Day Pos", r => SparkUtils.fmt_position(r.raw_day_position), nameof(Row.raw_day_position), DefaultColumnWidths.Size, raw_day_position_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_working_orders_col(Columns.WorkingBids, working_col_header, nameof(Row.working_bids_text), nameof(Row.working_best_bid), nameof(Row.working_bids_click), working_bid_volume_filter, BTSColors.MarketData.bid, System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.BidImpliedSize, implied_size_col_header, r => r.bid_implied_size.ToString(), nameof(Row.bid_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.BidDirectSize, direct_size_col_header, r => r.bid_direct_size.ToString(), nameof(Row.bid_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_merged_size_col(Columns.BidMergedSize, merged_size_col_header, nameof(Row.bid_merged_size), nameof(Row.bid_merged_size_text), nameof(Row.bid_merged_size_click), bid_merged_size_filter, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_price_col(Columns.Bid, "Bid", nameof(Row.bid_price), nameof(Row.bid_price_click), bid_price_filter, BTSColors.header_text, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_price_col(Columns.Ask, "Ask", nameof(Row.ask_price), nameof(Row.ask_price_click), ask_price_filter, BTSColors.header_text, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_merged_size_col(Columns.AskMergedSize, merged_size_col_header, nameof(Row.ask_merged_size), nameof(Row.ask_merged_size_text), nameof(Row.ask_merged_size_click), ask_merged_size_filter, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.AskDirectSize, direct_size_col_header, r => r.ask_direct_size.ToString(), nameof(Row.ask_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.AskImpliedSize, implied_size_col_header, r => r.ask_implied_size.ToString(), nameof(Row.ask_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_hl_working_orders_col(Columns.WorkingAsks, working_col_header, nameof(Row.working_asks_text), nameof(Row.working_best_ask), nameof(Row.working_asks_click), working_ask_volume_filter, BTSColors.MarketData.ask, System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.Settlement, "Settlement", r => r.format_price(r.settlement), nameof(Row.settlement), DefaultColumnWidths.Settlement, settlement_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.DayChange, "Change", r => r.format_price(r.day_change), nameof(Row.day_change), DefaultColumnWidths.Price, day_change_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.SessionLow, "Low", r => r.format_price(r.session_low), nameof(Row.session_low), DefaultColumnWidths.Price, session_low_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.SessionHigh, "High", r => r.format_price(r.session_high), nameof(Row.session_high), DefaultColumnWidths.Price, session_high_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.SecurityKey, "Security Key", r => r.security_key.ToString(), nameof(Row.security_key), DefaultColumnWidths.SecurityKey, security_key_filter, DataGridFilterKnownTemplates.Regex);
-
-         add_col(Columns.MarketDescription, "Market Description", r => r.security.market_description(), nameof(Row.market_description), DefaultColumnWidths.SecurityKey, market_description_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.ClearedAlias, "Cleared Alias", r => r.security.cleared_alias(), nameof(Row.cleared_alias), DefaultColumnWidths.SecurityKey, cleared_alias_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.ProductDescription, "Product Description", r => r.security.product_name(), nameof(Row.product_description), DefaultColumnWidths.SecurityKey, product_description_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.HubAlias, "Hub Alias", r => r.security.hub_alias(), nameof(Row.hub_alias), DefaultColumnWidths.SecurityKey, hub_alias_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.StripName, "Strip Name", r => r.security.strip_name(), nameof(Row.strip_name), DefaultColumnWidths.SecurityKey, strip_name_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.MicCode, "Mic Code", r => r.security.mic_code(), nameof(Row.mic_code), DefaultColumnWidths.SecurityKey, mic_code_filter, DataGridFilterKnownTemplates.Regex);
-         //
-         void add_col(Columns col_key, string header, Func<Row, string> get_text, string prop, double width, IDataGridColumnFilter filter, string filter_template, bool is_animatable = false, Color? font_color = null, System.Windows.HorizontalAlignment h_alignment = System.Windows.HorizontalAlignment.Left) =>
-            columns.Add(new RenderTextColumn<Row, Columns>(col_key, get_text, filter, filter_template) {
-               // it's necessary to have this id populated for grid settings
-               id = bts.shell.MarketViewWindowFactory.col_id(col_key),
-               Header = header,
-               sort_member_path = prop,
-               Width = width,
-               padding = is_animatable ? AnimatableCellPadding : DefaultCellPadding,
-               font_color_override = font_color,
-               horizontal_alignment = h_alignment
-            });
-
-         void add_hl_price_col(Columns col_key, string header, string prop, string command_prop, IDataGridColumnFilter filter, Color foreground, Color? background, System.Windows.HorizontalAlignment h_alignment) =>
-            add_hl_col(col_key, header, price_binding(prop), prop, command_prop, filter, DataGridFilterKnownTemplates.DoubleMinMax, DefaultColumnWidths.MViewPrice, foreground, background, h_alignment);
-
-         void add_hl_merged_size_col(Columns col_key, string header, string sort_prop, string text_prop, string command_prop, IDataGridColumnFilter filter, Color foreground, System.Windows.HorizontalAlignment h_alignment) =>
-            add_hl_col(col_key, header, new Binding(text_prop), sort_prop, command_prop, filter, DataGridFilterKnownTemplates.UIntMinMax, DefaultColumnWidths.ImpliedDirectMergedSize, foreground, null, h_alignment);
-
-         void add_hl_working_orders_col(Columns col_key, string header, string text_prop, string sort_prop, string command_prop, IDataGridColumnFilter filter, Color foreground, System.Windows.HorizontalAlignment h_alignment) =>
-            add_hl_col(col_key, header, new Binding(text_prop), sort_prop, command_prop, filter, DataGridFilterKnownTemplates.IntMinMax, working_orders_col_width, foreground, null, h_alignment);
-
-         void add_hl_col(
-            Columns col_key, string header, BindingBase binding, string prop, string command_prop,
-            IDataGridColumnFilter filter, string filter_template, double width, Color foreground, Color? background, System.Windows.HorizontalAlignment h_alignment = System.Windows.HorizontalAlignment.Left) =>
-         columns.Add(new HyperlinkElementColumn<Row, Columns>(
-            col_key, binding, new Binding(command_prop), filter, filter_template) {
-            // it's necessary to have this id populated for grid settings
-            id = bts.shell.MarketViewWindowFactory.col_id(col_key),
-            Header = header,
-            sort_member_path = prop,
-            font_color_override = foreground,
-            background_color_override = background,
-            Width = DefaultColumnWidths.Price,
-            horizontal_alignment = h_alignment
-         });
-
-         BindingBase price_binding(string prop) {
-            var mb = new MultiBinding { Converter = price_converter };
-            mb.Bindings.Add(new Binding(prop) { Mode = BindingMode.OneWay });
-            mb.Bindings.Add(new Binding($"{nameof(Row.security)}.{nameof(SecurityImmutable.ContractSpec)}") { Mode = BindingMode.OneWay });
-            return mb;
-         }
-         //
-         // make font-color immutable for Side, Size, (the font-color rule is hard-coded: MarketData.bid for Buy orders, MarketData.ask for Sells)
-         var col_settings_flags = new Dictionary<string, GridColumnSettingsFeatureFlags> {
-            { Columns.Bid.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor | GridColumnSettingsFeatureFlags.ImmutableBackgroundColor },
-            { Columns.Ask.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor | GridColumnSettingsFeatureFlags.ImmutableBackgroundColor},
-            { Columns.WorkingAsks.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor },
-            { Columns.WorkingBids.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor }
-         };
-         grid_settings_manager = new SimpleGridSettingsManager<Row>(columns, col_settings_flags, row_vms);
-         // this will initialize the immutable properties that correspond to the col_settings_flags above (e.g. Bid/Ask font_color_override, etc.)
-         grid_settings_manager.load_from(settings_manager.current_settings());
-         //
-         _resources.AddRange(
-            state.OnDispatcher().Subscribe(s => {
-               using (rows_view.DeferRefresh()) {
-                  if (s.grid != null) {
-                     // this means we are not using defaults,
-                     // Note: settings_manager in turn notifies grid_settings_manager of this update
-                     _settings_manager.instance_settings = s.grid;
-                  }
-                  if (s.filters is FilterStates filters) {
-                     security_filter.load_state(filters.security);
-                     bid_price_filter.load_state(filters.bid_price);
-                     bid_merged_size_filter.load_state(filters.bid_merged_size);
-                     bid_direct_size_filter.load_state(filters.bid_direct_size);
-                     bid_implied_size_filter.load_state(filters.bid_implied_size);
-                     ask_price_filter.load_state(filters.ask_price);
-                     ask_merged_size_filter.load_state(filters.ask_merged_size);
-                     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);
-                     session_low_filter.load_state(filters.session_low);
-                     session_high_filter.load_state(filters.session_high);
-                     position_filter.load_state(filters.position);
-                     raw_day_position_filter.load_state(filters.raw_day_position);
-                     working_bid_volume_filter.load_state(filters.working_bid_volume);
-                     working_ask_volume_filter.load_state(filters.working_ask_volume);
-                     volume_filter.load_state(filters.volume);
-                     security_key_filter.load_state(filters.security_key);
-                     market_description_filter.load_state(filters.market_description);
-                     cleared_alias_filter.load_state(filters.cleared_alias);
-                     product_description_filter.load_state(filters.product_description);
-                     hub_alias_filter.load_state(filters.hub_alias);
-                     strip_name_filter.load_state(filters.strip_name);
-                     mic_code_filter.load_state(filters.mic_code);
-                  }
-                  rows_view.set_sort_descriptions(s.sorting_criterion, columns);
-               }
-            }), DataGridFilterHelper.hook_filters(rows_view, _filters),
-            settings_manager.subscribe_current().OnDispatcher().Subscribe(grid_settings_manager),
-            WorkLoop.Start("MarketView", _refresh)
-         );
-      }
-
-      public ObservableCollection<ColumnBase> columns { get; } = new ObservableCollection<ColumnBase>();
-
-      public SimpleGridSettingsManager<Row> grid_settings_manager { get; }
-
-      public GridSettings get_grid_save_state() {
-         if (_settings_manager.instance_settings == null)
-            return null;
-         else
-            return grid_settings_manager.create();
-      }
-
-      public static IComparer<Row> get_column_comparer(Columns column) {
-         switch (column) {
-            case Columns.Security: return wrap(r => r.security);
-            case Columns.SecurityKey: return wrap(r => r.security.Id);
-            case Columns.Volume: return wrap(r => r.volume);
-            case Columns.Last: return wrap(r => r.last_price);
-            case Columns.LastSize: return wrap(r => r.last_size);
-            case Columns.Position: return wrap(r => r.position);
-            case Columns.WorkingBids: return wrap(r => r.working_bid_volume);
-            case Columns.BidImpliedSize: return wrap(r => r.bid_implied_size);
-            case Columns.BidDirectSize: return wrap(r => r.bid_direct_size);
-            case Columns.BidMergedSize: return wrap(r => r.bid_merged_size);
-            case Columns.Bid: return wrap(r => r.bid_price);
-            case Columns.Ask: return wrap(r => r.ask_price);
-            case Columns.AskMergedSize: return wrap(r => r.ask_merged_size);
-            case Columns.AskDirectSize: return wrap(r => r.ask_direct_size);
-            case Columns.AskImpliedSize: return wrap(r => r.ask_implied_size);
-            case Columns.WorkingAsks: return wrap(r => r.working_ask_volume);
-            case Columns.Settlement: return wrap(r => r.settlement);
-            case Columns.DayChange: return wrap(r => r.day_change);
-            case Columns.SessionLow: return wrap(r => r.session_low);
-            case Columns.SessionHigh: return wrap(r => r.session_high);
-            case Columns.MarketDescription: return wrap(r => r.market_description);
-            case Columns.ClearedAlias: return wrap(r => r.security.cleared_alias());
-            case Columns.ProductDescription: return wrap(r => r.security.product_name());
-            case Columns.HubAlias: return wrap(r => r.security.hub_alias());
-            case Columns.StripName: return wrap(r => r.security.strip_name());
-            case Columns.MicCode: return wrap(r => r.security.mic_code());
-            default: return null;
-         }
-         IComparer<Row> wrap<T>(Func<Row, T> selector) =>
-            Comparer<T>.Default.wrap(selector);
-      }
-
-      #region Filters
-      public IDataGridColumnPersistentFilter<Row, string> security_filter { get; }
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> bid_price_filter { get; } = new DoubleMinMax<Row>(r => r.bid_price, nameof(Row.bid_price));
-      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_merged_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_merged_size, nameof(Row.bid_merged_size));
-      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_direct_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_direct_size, nameof(Row.bid_direct_size));
-      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_implied_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_implied_size, nameof(Row.bid_implied_size));
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> ask_price_filter { get; } = new DoubleMinMax<Row>(r => r.ask_price, nameof(Row.ask_price));
-      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_merged_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_merged_size, nameof(Row.ask_merged_size));
-      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));
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> session_low_filter { get; } = new DoubleMinMax<Row>(r => r.session_low, nameof(Row.session_low));
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> session_high_filter { get; } = new DoubleMinMax<Row>(r => r.session_high, nameof(Row.session_high));
-      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> position_filter { get; } = new IntMinMax<Row>(r => r.position, nameof(Row.position));
-      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> raw_day_position_filter { get; } = new DoubleMinMax<Row>(r => r.raw_day_position, nameof(Row.raw_day_position));
-      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> working_bid_volume_filter { get; } = new IntMinMax<Row>(r => r.working_bid_volume, nameof(Row.working_bid_volume));
-      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> working_ask_volume_filter { get; } = new IntMinMax<Row>(r => r.working_ask_volume, nameof(Row.working_ask_volume));
-      public IDataGridColumnPersistentFilter<Row, ULongMinMaxState> volume_filter { get; } = new ULongMinMax<Row>(r => r.volume, nameof(Row.volume));
-      public IDataGridColumnPersistentFilter<Row, string> security_key_filter { get; } = new RegexFilterVM<Row>(r => r.security_key.ToString(), nameof(Row.security_key));
-      
-      public IDataGridColumnPersistentFilter<Row, string> market_description_filter { get; } = new RegexFilterVM<Row>(r => r.market_description, nameof(Row.market_description));
-      public IDataGridColumnPersistentFilter<Row, string> cleared_alias_filter { get; } = new RegexFilterVM<Row>(r => r.cleared_alias, nameof(Row.cleared_alias));
-      public IDataGridColumnPersistentFilter<Row, string> product_description_filter { get; } = new RegexFilterVM<Row>(r => r.product_description, nameof(Row.product_description));
-      public IDataGridColumnPersistentFilter<Row, string> hub_alias_filter { get; } = new RegexFilterVM<Row>(r => r.hub_alias, nameof(Row.hub_alias));
-      public IDataGridColumnPersistentFilter<Row, string> strip_name_filter { get; } = new RegexFilterVM<Row>(r => r.strip_name, nameof(Row.strip_name));
-      public IDataGridColumnPersistentFilter<Row, string> mic_code_filter { get; } = new RegexFilterVM<Row>(r => r.mic_code, nameof(Row.mic_code));
-
-      IEnumerable<IDataGridColumnFilter<Row>> _filters =>
-         _filter_getters.Select(fn => fn(this));
-
-      public FilterStates get_filter_states() {
-         return new FilterStates {
-            security = security_filter.get_state(),
-            bid_price = bid_price_filter.get_state(),
-            bid_merged_size = bid_merged_size_filter.get_state(),
-            bid_direct_size = bid_direct_size_filter.get_state(),
-            bid_implied_size = bid_implied_size_filter.get_state(),
-            ask_price = ask_price_filter.get_state(),
-            ask_merged_size = ask_merged_size_filter.get_state(),
-            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(),
-            session_low = session_low_filter.get_state(),
-            session_high = session_high_filter.get_state(),
-            position = position_filter.get_state(),
-            raw_day_position = raw_day_position_filter.get_state(),
-            working_bid_volume = working_bid_volume_filter.get_state(),
-            working_ask_volume = working_ask_volume_filter.get_state(),
-            volume = volume_filter.get_state(),
-            security_key = security_key_filter.get_state(),
-            market_description = market_description_filter.get_state(),
-            cleared_alias = cleared_alias_filter.get_state(),
-            product_description = product_description_filter.get_state(),
-            hub_alias = hub_alias_filter.get_state(),
-            strip_name = strip_name_filter.get_state(),
-            mic_code = mic_code_filter.get_state(),
-         };
-      }
-      #endregion
-
-      protected override Row row_factory(SecurityMD smd) => new Row(_bus, smd, _orders_model);
-      protected override void on_row_removed(Row row) => row.Dispose();
-      protected override IEnumerable<SortingCriteria> get_default_sorting() { yield return new SortingCriteria(nameof(Row.security), true); }
-
-      void _refresh() {
-         foreach (var r in _row_vms) r.refresh();
-      }
-   }
-}
+using bts.api;
+using bts.collections;
+using bts.utils;
+using mbts.persist;
+using mbts.spark.filters;
+using mbts.ui;
+using mbts.ui.settings;
+using mbts.ui.utility;
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Reactive.Linq;
+using System.Windows.Data;
+using System.Windows.Media;
+using static bts.shell.MarketViewWindowFactory;
+using static mbts.ui.controls.DIYGrid;
+using static mbts.ui.spark.MarketViewView;
+
+namespace mbts.spark {
+   partial class MarketViewVM : SecurityMDGrid<MarketViewVM.Row, SecurityMD> {
+      readonly IBus _bus;
+      readonly OrdersModel _orders_model;
+      IWindowSettingsManager<GridSettings> _settings_manager;
+
+      public MarketViewVM(IBus bus, OrdersModel orders_model, IObservable<StartupData> state, IWindowSettingsManager<GridSettings> settings_manager )
+         : this(bus, orders_model, state, state.SelectManyInSeries(s => s.security_criteria.subscribe_md(bus)), settings_manager) { }
+
+      // securities_connectable should NOT be connected already.
+      MarketViewVM(IBus bus, OrdersModel orders_model, IObservable<StartupData> state, IObservable<IEnumerable<SecurityMD>> securities_source, IWindowSettingsManager<GridSettings> settings_manager)
+         : base(RXCollection.Create(securities_source, SecurityDataHelper.EqualityComparer.MDComparer), null) {
+         _bus = bus;
+         _orders_model = orders_model;
+         security_filter = new RegexFilterVM<Row>(r => r.security.ToString(), nameof(Row.security));
+         _settings_manager = settings_manager;
+         // Columns
+         const string merged_size_col_header = "Qty", direct_size_col_header = "Direct", implied_size_col_header = "Implied", working_col_header = "Working";
+         const double working_orders_col_width = 105;
+         IMultiValueConverter price_converter = new ui.spark.converters.TickDisplayConverter();
+         add_col(Columns.Security, "Security", r => r.security.ToString(), nameof(Row.security), DefaultColumnWidths.Security, security_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.Volume, "Volume", r => r.volume.ToString(), nameof(Row.volume), DefaultColumnWidths.Volume, volume_filter, DataGridFilterKnownTemplates.ULongMinMax);
+         add_col(Columns.LastSpd, "Spd", r => r.last_price_from_spread ? "S" : "", nameof(Row.last_price_from_spread), DefaultColumnWidths.Side, last_price_from_spread_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.Last, "Last", r => r.format_price(r.last_price), nameof(Row.last_price), DefaultColumnWidths.Price, last_price_filter, DataGridFilterKnownTemplates.DoubleMinMax);         
+         add_col(Columns.LastSize, merged_size_col_header, r => r.last_size.ToString(), nameof(Row.last_size), DefaultColumnWidths.Size, last_size_filter, DataGridFilterKnownTemplates.UIntMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.Position, "Pos", r => r.position.ToString(), nameof(Row.position), DefaultColumnWidths.Size, position_filter, DataGridFilterKnownTemplates.IntMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.RawDayPosition, "Raw Day Pos", r => SparkUtils.fmt_position(r.raw_day_position), nameof(Row.raw_day_position), DefaultColumnWidths.Size, raw_day_position_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_working_orders_col(Columns.WorkingBids, working_col_header, nameof(Row.working_bids_text), nameof(Row.working_best_bid), nameof(Row.working_bids_click), working_bid_volume_filter, BTSColors.MarketData.bid, System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.BidImpliedSize, implied_size_col_header, r => r.bid_implied_size.ToString(), nameof(Row.bid_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.BidDirectSize, direct_size_col_header, r => r.bid_direct_size.ToString(), nameof(Row.bid_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_merged_size_col(Columns.BidMergedSize, merged_size_col_header, nameof(Row.bid_merged_size), nameof(Row.bid_merged_size_text), nameof(Row.bid_merged_size_click), bid_merged_size_filter, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_price_col(Columns.Bid, "Bid", nameof(Row.bid_price), nameof(Row.bid_price_click), bid_price_filter, BTSColors.header_text, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_price_col(Columns.Ask, "Ask", nameof(Row.ask_price), nameof(Row.ask_price_click), ask_price_filter, BTSColors.header_text, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_merged_size_col(Columns.AskMergedSize, merged_size_col_header, nameof(Row.ask_merged_size), nameof(Row.ask_merged_size_text), nameof(Row.ask_merged_size_click), ask_merged_size_filter, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.AskDirectSize, direct_size_col_header, r => r.ask_direct_size.ToString(), nameof(Row.ask_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.AskImpliedSize, implied_size_col_header, r => r.ask_implied_size.ToString(), nameof(Row.ask_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_hl_working_orders_col(Columns.WorkingAsks, working_col_header, nameof(Row.working_asks_text), nameof(Row.working_best_ask), nameof(Row.working_asks_click), working_ask_volume_filter, BTSColors.MarketData.ask, System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.Settlement, "Settlement", r => r.format_price(r.settlement), nameof(Row.settlement), DefaultColumnWidths.Settlement, settlement_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.DayChange, "Change", r => r.format_price(r.day_change), nameof(Row.day_change), DefaultColumnWidths.Price, day_change_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.SessionLow, "Low", r => r.format_price(r.session_low), nameof(Row.session_low), DefaultColumnWidths.Price, session_low_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.SessionHigh, "High", r => r.format_price(r.session_high), nameof(Row.session_high), DefaultColumnWidths.Price, session_high_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.SecurityKey, "Security Key", r => r.security_key.ToString(), nameof(Row.security_key), DefaultColumnWidths.SecurityKey, security_key_filter, DataGridFilterKnownTemplates.Regex);
+
+         add_col(Columns.MarketDescription, "Market Description", r => r.security.market_description(), nameof(Row.market_description), DefaultColumnWidths.SecurityKey, market_description_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.ClearedAlias, "Cleared Alias", r => r.security.cleared_alias(), nameof(Row.cleared_alias), DefaultColumnWidths.SecurityKey, cleared_alias_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.ProductDescription, "Product Description", r => r.security.product_name(), nameof(Row.product_description), DefaultColumnWidths.SecurityKey, product_description_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.HubAlias, "Hub Alias", r => r.security.hub_alias(), nameof(Row.hub_alias), DefaultColumnWidths.SecurityKey, hub_alias_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.StripName, "Strip Name", r => r.security.strip_name(), nameof(Row.strip_name), DefaultColumnWidths.SecurityKey, strip_name_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.MicCode, "Mic Code", r => r.security.mic_code(), nameof(Row.mic_code), DefaultColumnWidths.SecurityKey, mic_code_filter, DataGridFilterKnownTemplates.Regex);
+         //
+         void add_col(Columns col_key, string header, Func<Row, string> get_text, string prop, double width, IDataGridColumnFilter filter, string filter_template, bool is_animatable = false, Color? font_color = null, System.Windows.HorizontalAlignment h_alignment = System.Windows.HorizontalAlignment.Left) =>
+            columns.Add(new RenderTextColumn<Row, Columns>(col_key, get_text, filter, filter_template) {
+               // it's necessary to have this id populated for grid settings
+               id = bts.shell.MarketViewWindowFactory.col_id(col_key),
+               Header = header,
+               sort_member_path = prop,
+               Width = width,
+               padding = is_animatable ? AnimatableCellPadding : DefaultCellPadding,
+               font_color_override = font_color,
+               horizontal_alignment = h_alignment
+            });
+
+         void add_hl_price_col(Columns col_key, string header, string prop, string command_prop, IDataGridColumnFilter filter, Color foreground, Color? background, System.Windows.HorizontalAlignment h_alignment) =>
+            add_hl_col(col_key, header, price_binding(prop), prop, command_prop, filter, DataGridFilterKnownTemplates.DoubleMinMax, DefaultColumnWidths.MViewPrice, foreground, background, h_alignment);
+
+         void add_hl_merged_size_col(Columns col_key, string header, string sort_prop, string text_prop, string command_prop, IDataGridColumnFilter filter, Color foreground, System.Windows.HorizontalAlignment h_alignment) =>
+            add_hl_col(col_key, header, new Binding(text_prop), sort_prop, command_prop, filter, DataGridFilterKnownTemplates.UIntMinMax, DefaultColumnWidths.ImpliedDirectMergedSize, foreground, null, h_alignment);
+
+         void add_hl_working_orders_col(Columns col_key, string header, string text_prop, string sort_prop, string command_prop, IDataGridColumnFilter filter, Color foreground, System.Windows.HorizontalAlignment h_alignment) =>
+            add_hl_col(col_key, header, new Binding(text_prop), sort_prop, command_prop, filter, DataGridFilterKnownTemplates.IntMinMax, working_orders_col_width, foreground, null, h_alignment);
+
+         void add_hl_col(
+            Columns col_key, string header, BindingBase binding, string prop, string command_prop,
+            IDataGridColumnFilter filter, string filter_template, double width, Color foreground, Color? background, System.Windows.HorizontalAlignment h_alignment = System.Windows.HorizontalAlignment.Left) =>
+         columns.Add(new HyperlinkElementColumn<Row, Columns>(
+            col_key, binding, new Binding(command_prop), filter, filter_template) {
+            // it's necessary to have this id populated for grid settings
+            id = bts.shell.MarketViewWindowFactory.col_id(col_key),
+            Header = header,
+            sort_member_path = prop,
+            font_color_override = foreground,
+            background_color_override = background,
+            Width = DefaultColumnWidths.Price,
+            horizontal_alignment = h_alignment
+         });
+
+         BindingBase price_binding(string prop) {
+            var mb = new MultiBinding { Converter = price_converter };
+            mb.Bindings.Add(new Binding(prop) { Mode = BindingMode.OneWay });
+            mb.Bindings.Add(new Binding($"{nameof(Row.security)}.{nameof(SecurityImmutable.ContractSpec)}") { Mode = BindingMode.OneWay });
+            return mb;
+         }
+         //
+         // make font-color immutable for Side, Size, (the font-color rule is hard-coded: MarketData.bid for Buy orders, MarketData.ask for Sells)
+         var col_settings_flags = new Dictionary<string, GridColumnSettingsFeatureFlags> {
+            { Columns.Bid.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor | GridColumnSettingsFeatureFlags.ImmutableBackgroundColor },
+            { Columns.Ask.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor | GridColumnSettingsFeatureFlags.ImmutableBackgroundColor},
+            { Columns.WorkingAsks.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor },
+            { Columns.WorkingBids.ToString(), GridColumnSettingsFeatureFlags.ImmutableFontColor }
+         };
+         grid_settings_manager = new SimpleGridSettingsManager<Row>(columns, col_settings_flags, row_vms);
+         // this will initialize the immutable properties that correspond to the col_settings_flags above (e.g. Bid/Ask font_color_override, etc.)
+         grid_settings_manager.load_from(settings_manager.current_settings());
+         //
+         _resources.AddRange(
+            state.OnDispatcher().Subscribe(s => {
+               using (rows_view.DeferRefresh()) {
+                  if (s.grid != null) {
+                     // this means we are not using defaults,
+                     // Note: settings_manager in turn notifies grid_settings_manager of this update
+                     _settings_manager.instance_settings = s.grid;
+                  }
+                  if (s.filters is FilterStates filters) {
+                     security_filter.load_state(filters.security);
+                     bid_price_filter.load_state(filters.bid_price);
+                     bid_merged_size_filter.load_state(filters.bid_merged_size);
+                     bid_direct_size_filter.load_state(filters.bid_direct_size);
+                     bid_implied_size_filter.load_state(filters.bid_implied_size);
+                     ask_price_filter.load_state(filters.ask_price);
+                     ask_merged_size_filter.load_state(filters.ask_merged_size);
+                     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);
+                     session_low_filter.load_state(filters.session_low);
+                     session_high_filter.load_state(filters.session_high);
+                     position_filter.load_state(filters.position);
+                     raw_day_position_filter.load_state(filters.raw_day_position);
+                     working_bid_volume_filter.load_state(filters.working_bid_volume);
+                     working_ask_volume_filter.load_state(filters.working_ask_volume);
+                     volume_filter.load_state(filters.volume);
+                     security_key_filter.load_state(filters.security_key);
+                  }
+                  rows_view.set_sort_descriptions(s.sorting_criterion, columns);
+               }
+            }), DataGridFilterHelper.hook_filters(rows_view, security_filter,
+            bid_price_filter, bid_merged_size_filter, bid_direct_size_filter, bid_implied_size_filter,
+            ask_price_filter, ask_merged_size_filter, ask_direct_size_filter, ask_implied_size_filter,
+            last_price_filter, last_price_from_spread_filter, last_size_filter, day_change_filter, settlement_filter,
+            session_low_filter, session_high_filter, position_filter, raw_day_position_filter, working_bid_volume_filter, working_ask_volume_filter, volume_filter, security_key_filter),
+            settings_manager.subscribe_current().OnDispatcher().Subscribe(grid_settings_manager),
+            WorkLoop.Start("MarketView", _refresh)
+         );
+      }
+
+      public ObservableCollection<ColumnBase> columns { get; } = new ObservableCollection<ColumnBase>();
+
+      public SimpleGridSettingsManager<Row> grid_settings_manager { get; }
+
+      public GridSettings get_grid_save_state() {
+         if (_settings_manager.instance_settings == null)
+            return null;
+         else
+            return grid_settings_manager.create();
+      }
+
+      public static IComparer<Row> get_column_comparer(Columns column) {
+         switch (column) {
+            case Columns.Security: return wrap(r => r.security);
+            case Columns.SecurityKey: return wrap(r => r.security.Id);
+            case Columns.Volume: return wrap(r => r.volume);
+            case Columns.Last: return wrap(r => r.last_price);
+            case Columns.LastSize: return wrap(r => r.last_size);
+            case Columns.Position: return wrap(r => r.position);
+            case Columns.WorkingBids: return wrap(r => r.working_bid_volume);
+            case Columns.BidImpliedSize: return wrap(r => r.bid_implied_size);
+            case Columns.BidDirectSize: return wrap(r => r.bid_direct_size);
+            case Columns.BidMergedSize: return wrap(r => r.bid_merged_size);
+            case Columns.Bid: return wrap(r => r.bid_price);
+            case Columns.Ask: return wrap(r => r.ask_price);
+            case Columns.AskMergedSize: return wrap(r => r.ask_merged_size);
+            case Columns.AskDirectSize: return wrap(r => r.ask_direct_size);
+            case Columns.AskImpliedSize: return wrap(r => r.ask_implied_size);
+            case Columns.WorkingAsks: return wrap(r => r.working_ask_volume);
+            case Columns.Settlement: return wrap(r => r.settlement);
+            case Columns.DayChange: return wrap(r => r.day_change);
+            case Columns.SessionLow: return wrap(r => r.session_low);
+            case Columns.SessionHigh: return wrap(r => r.session_high);
+            case Columns.MarketDescription: return wrap(r => r.market_description);
+            case Columns.ClearedAlias: return wrap(r => r.security.cleared_alias());
+            case Columns.ProductDescription: return wrap(r => r.security.product_name());
+            case Columns.HubAlias: return wrap(r => r.security.hub_alias());
+            case Columns.StripName: return wrap(r => r.security.strip_name());
+            case Columns.MicCode: return wrap(r => r.security.mic_code());
+            default: return null;
+         }
+         IComparer<Row> wrap<T>(Func<Row, T> selector) =>
+            Comparer<T>.Default.wrap(selector);
+      }
+
+      #region Filters
+      public IDataGridColumnPersistentFilter<Row, string> security_filter { get; }
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> bid_price_filter { get; } = new DoubleMinMax<Row>(r => r.bid_price, nameof(Row.bid_price));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_merged_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_merged_size, nameof(Row.bid_merged_size));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_direct_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_direct_size, nameof(Row.bid_direct_size));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> bid_implied_size_filter { get; } = new UIntMinMax<Row>(r => r.bid_implied_size, nameof(Row.bid_implied_size));
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> ask_price_filter { get; } = new DoubleMinMax<Row>(r => r.ask_price, nameof(Row.ask_price));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_merged_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_merged_size, nameof(Row.ask_merged_size));
+      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));
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> session_low_filter { get; } = new DoubleMinMax<Row>(r => r.session_low, nameof(Row.session_low));
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> session_high_filter { get; } = new DoubleMinMax<Row>(r => r.session_high, nameof(Row.session_high));
+      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> position_filter { get; } = new IntMinMax<Row>(r => r.position, nameof(Row.position));
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> raw_day_position_filter { get; } = new DoubleMinMax<Row>(r => r.raw_day_position, nameof(Row.raw_day_position));
+      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> working_bid_volume_filter { get; } = new IntMinMax<Row>(r => r.working_bid_volume, nameof(Row.working_bid_volume));
+      public IDataGridColumnPersistentFilter<Row, IntMinMaxState> working_ask_volume_filter { get; } = new IntMinMax<Row>(r => r.working_ask_volume, nameof(Row.working_ask_volume));
+      public IDataGridColumnPersistentFilter<Row, ULongMinMaxState> volume_filter { get; } = new ULongMinMax<Row>(r => r.volume, nameof(Row.volume));
+      public IDataGridColumnPersistentFilter<Row, string> security_key_filter { get; } = new RegexFilterVM<Row>(r => r.security_key.ToString(), nameof(Row.security_key));
+      
+      public IDataGridColumnPersistentFilter<Row, string> market_description_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.MarketDescription : "", nameof(Row.market_description));
+      public IDataGridColumnPersistentFilter<Row, string> cleared_alias_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.ClearedAlias : "", nameof(Row.cleared_alias));
+      public IDataGridColumnPersistentFilter<Row, string> product_description_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.ProductName : "", nameof(Row.product_description));
+      public IDataGridColumnPersistentFilter<Row, string> hub_alias_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.HubAlias : "", nameof(Row.hub_alias));
+      public IDataGridColumnPersistentFilter<Row, string> strip_name_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.StripName : "", nameof(Row.strip_name));
+      public IDataGridColumnPersistentFilter<Row, string> mic_code_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.MicCode : "", nameof(Row.mic_code));
+      
+
+      public FilterStates get_filter_states() {
+         return new FilterStates {
+            security = security_filter.get_state(),
+            bid_price = bid_price_filter.get_state(),
+            bid_merged_size = bid_merged_size_filter.get_state(),
+            bid_direct_size = bid_direct_size_filter.get_state(),
+            bid_implied_size = bid_implied_size_filter.get_state(),
+            ask_price = ask_price_filter.get_state(),
+            ask_merged_size = ask_merged_size_filter.get_state(),
+            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(),
+            session_low = session_low_filter.get_state(),
+            session_high = session_high_filter.get_state(),
+            position = position_filter.get_state(),
+            raw_day_position = raw_day_position_filter.get_state(),
+            working_bid_volume = working_bid_volume_filter.get_state(),
+            working_ask_volume = working_ask_volume_filter.get_state(),
+            volume = volume_filter.get_state(),
+            security_key = security_key_filter.get_state(),
+            market_description = market_description_filter.get_state(),
+            cleared_alias = cleared_alias_filter.get_state(),
+            product_description = product_description_filter.get_state(),
+            hub_alias = hub_alias_filter.get_state(),
+            strip_name = strip_name_filter.get_state(),
+            mic_code = mic_code_filter.get_state(),
+         };
+      }
+      #endregion
+
+      protected override Row row_factory(SecurityMD smd) => new Row(_bus, smd, _orders_model);
+      protected override void on_row_removed(Row row) => row.Dispose();
+      protected override IEnumerable<SortingCriteria> get_default_sorting() { yield return new SortingCriteria(nameof(Row.security), true); }
+
+      void _refresh() {
+         foreach (var r in _row_vms) r.refresh();
+      }
+   }
+}

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

@@ -1,6 +1,7 @@
 using bts.api;
 using bts.co2;
 using bts.utils;
+using bts.utils.csv;
 using mbts;
 using mbts.spark;
 using mbts.ui.controls;
@@ -44,6 +45,18 @@ namespace bts.shell.time_and_sales {
       public void raise_invalidated() =>
          invalidated?.Invoke();
 
+      public static System.Collections.Specialized.OrderedDictionary csv_ordered_properties =>
+            CsvHelper.create_ordering_maintainer(
+               typeof(TimeAndSalesRowVM),
+               new string[] {
+                  nameof(security),
+                  nameof(time),
+                  nameof(price),
+                  nameof(size),
+                  nameof(aggressor_side),
+                  nameof(security_key),
+               });
+
       public bool Equals(TimeAndSalesRowVM other) =>
          other != null &&
          row_key == other.row_key;

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

@@ -2,6 +2,7 @@
 using bts.shell.fills;
 using bts.spark;
 using bts.view;
+using bts.utils.csv;
 using mbts;
 using mbts.co2;
 using mbts.persist;
@@ -114,6 +115,8 @@ namespace bts.shell.time_and_sales {
             show_in_context_menu = _can_pause_updates
          };
          _commands = new SparkCommand[] {
+            // csv export
+            new SparkCommandCommand("Export to csv", Icons.Export, FileDialogCommand.export_csv(() => _vm.rows.ToCsv(TimeAndSalesRowVM.csv_ordered_properties), "TaS")),
             // ladder
             SparkCommands.ShowLadderAutoLookup(SparkCommands.KeyGestures.ShowLadder)
                .complete(current_sec_key_src, sec_keys => sec_keys.Count > 0),

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

@@ -5,6 +5,7 @@ using bts.collections;
 using bts.shell.fills;
 using bts.spark;
 using bts.utils;
+using bts.utils.csv;
 using mbts.collections;
 using mbts.persist;
 using mbts.spark.filters;
@@ -330,6 +331,27 @@ namespace mbts.spark {
          public override bool Equals(object obj) => Equals(obj as Row);
          public override int GetHashCode() => _fill.FillKey.GetHashCode() ^ _order.Key.GetHashCode();
 
+         public static System.Collections.Specialized.OrderedDictionary csv_ordered_properties =>
+            CsvHelper.create_ordering_maintainer(typeof(Row),
+               new string[] {
+                  nameof(security),
+                  nameof(order_type),
+                  nameof(root_algo_display_name),
+                  nameof(side),
+                  nameof(fill_time),
+                  nameof(user),
+                  nameof(account),
+                  nameof(exchange),
+                  nameof(time_in_force),
+                  nameof(size),
+                  nameof(price),
+                  nameof(fill_kind),
+                  nameof(fill_status),
+                  nameof(fill_key),
+                  nameof(order_key),
+                  nameof(security_key)
+               });
+
          public event Action invalidated;
          void IRowVM.raise_invalidated() => invalidated?.Invoke();
       }

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

@@ -4,6 +4,7 @@ using bts.shell;
 using bts.shell.fills;
 using bts.spark;
 using bts.view;
+using bts.utils.csv;
 using mbts.persist;
 using mbts.ui;
 using mbts.ui.settings;
@@ -61,6 +62,7 @@ namespace mbts.spark {
          _view = new FillsView { DataContext = _vm };
 
          _commands = new List<SparkCommand> {
+            new SparkCommandCommand("Export to csv", Icons.Export, FileDialogCommand.export_csv(() => _vm.rows.ToCsv(FillsVM.Row.csv_ordered_properties), "Fills")),
             // wrap the grid settings view factory in a dialogCommand here since the vm is destroyed/recreated when the security criteria changes
             SparkCommands.window_settings_command(new DialogCommand(() => {
                var vm = new ShellSettingsDialogVM<GridSettings, SimpleGridSettingsVM>(

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

@@ -143,7 +143,7 @@ namespace mbts.spark {
             string candidate = string.Empty;
             if (a.HasValue) {
                var algo_name = a.Value.name;
-               var words = algo_name.Split(delim);
+               var words = algo_name.Split(delim, StringSplitOptions.RemoveEmptyEntries);
                if (words.Length == 1) {
                   var single_word = words[0];
                   if (single_word.Length > 1) {
@@ -152,7 +152,7 @@ namespace mbts.spark {
                      candidate = single_word;
                   }
                } else {
-                  candidate = words.Take(2).Select(w => w.Substring(0, 1)).list_string(string.Empty);
+                  candidate = string.Join(string.Empty, words.Take(2).Select(w => w.Substring(0, 1)));
                }
             }
             return candidate.ToUpper();

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

@@ -4,6 +4,7 @@ using bts.api.orderman;
 using bts.collections;
 using bts.spark;
 using bts.utils;
+using bts.utils.csv;
 using mbts.ui;
 using mbts.ui.controls;
 using System;
@@ -11,6 +12,7 @@ using System.Collections.Generic;
 using System.ComponentModel;
 using System.Reactive.Linq;
 using System.Runtime.CompilerServices;
+using System.Linq;
 using System.Windows.Input;
 using System.Windows.Media;
 using Columns = mbts.spark.OrderBookGridView.ColumnKeys;
@@ -59,6 +61,35 @@ namespace mbts.spark {
       public event Action<(OrderSecurityRootPair oldval, OrderSecurityRootPair newval)> updated;
       public event PropertyChangedEventHandler PropertyChanged;
 
+      public static System.Collections.Specialized.OrderedDictionary csv_ordered_properties =>
+            CsvHelper.create_ordering_maintainer(
+               typeof(OrderBookRowVM), 
+               new string[] {
+                  nameof(security_text),
+                  nameof(symbol),
+                  nameof(time_created),
+                  nameof(last_change),
+                  nameof(user),
+                  nameof(account),
+                  nameof(exchange),
+                  nameof(time_in_force),
+                  nameof(order_type),
+                  nameof(root_algo_display_name),
+                  nameof(order_sub_type),
+                  nameof(side),
+                  nameof(quantity),
+                  nameof(filled_quantity),
+                  nameof(price),
+                  nameof(avg_price),
+                  nameof(last_price),
+                  nameof(piq),
+                  nameof(status),
+                  // last message (could contains commas, so skipping)
+                  nameof(security_key),
+                  nameof(order_key),
+                  nameof(parent_order_key),
+               });
+
       // Core
       public OrderSecurityRootPair order_tuple { get; private set; }
       public OrderRecordImmutable order => order_tuple.order.order;

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

@@ -6,6 +6,7 @@ using bts.shell.fills;
 using bts.shell.orderbook;
 using bts.spark;
 using bts.view;
+using bts.utils.csv;
 using mbts.persist;
 using mbts.spark.utilities;
 using mbts.ui;
@@ -231,6 +232,7 @@ namespace mbts.spark {
             toggle_collapse_all_command,
             toggle_expand_all_command,
             show_grid_settings_command,
+            new SparkCommandCommand("Export to csv", Icons.Export, FileDialogCommand.export_csv(() => _vm.rows.ToCsv(OrderBookRowVM.csv_ordered_properties), "OrderBook")),
             // hidden cmds (i.e., keyboard shortcuts at window level)
             hidden_cmd(new SparkCommandCommand(OrderBookView.CommandDescriptions.ModifyOrders, null, _vm.modify_selected_orders_cmd, OrderBookView.KeyboardShortcuts.ModifyOrders)),
             hidden_cmd(new SparkCommandCommand(OrderBookView.CommandDescriptions.RevertOrders, null, _vm.revert_selected_orders_cmd, OrderBookView.KeyboardShortcuts.RevertOrders)),

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

@@ -31,7 +31,7 @@ namespace bts.shell.pnl {
          security_type_cell = _cell_map.add(ColumnKeys.SecurityType, d => d.security?.ContractCase ?? Security.ContractOneofCase.None);
          exchange_cell = _cell_map.add(ColumnKeys.Exchange, d => d.security?.Exchange ?? Venue.Unset);
          symbol_cell = _cell_map.add(ColumnKeys.Symbol, d => d.security?.Symbol ?? string.Empty);
-         security_cell = _cell_map.add(ColumnKeys.Security, d => (d.security), null, EqualityComparer<SecurityImmutable?>.Default, Comparer<SecurityImmutable>.Default.to_nullable());
+         security_cell = _cell_map.add(ColumnKeys.Security, d => d.security, null, EqualityComparer<SecurityImmutable?>.Default, Comparer<SecurityImmutable>.Default.to_nullable());
          security_key = _cell_map.add(ColumnKeys.SecurityKey, d => d.key.security_id);
          cpp = _cell_map.add(ColumnKeys.CPP, d => d.cpp);
          // sod

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

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

src/client/spark/view/Extensions/Command/FileDialogCommand.cs

@@ -64,6 +64,25 @@ namespace mbts.ui {
             }
          }, can_execute == null ? null : new Func<object, bool>(_ => can_execute()));
 
+      public static IDialogCommand export_csv(
+         Func<string> get_file_content,
+         string source_window_name) =>
+         new AnonymousFileDialogCommand<object>(_ =>
+            _create_save_file_dialog(
+               Environment.GetFolderPath(Environment.SpecialFolder.Desktop),
+               $"BTS_Spark_{source_window_name}_{DateTime.Now.ToString("yyyyMMdd_HHmm")}.csv",
+               new[] { ("CSV (comma delimited)", new string[] { "csv" }) }
+            ),
+            (_, file) => {
+               try {
+                  File.WriteAllText(file, get_file_content.Invoke());
+               } catch (Exception ex) {
+                  BTSMessageBox.Show($"Error exporting data to csv: {ex}.", "CSV Export Error", BTSMessageBoxButtons.OK, System.Windows.MessageBoxImage.Error, true, false, true);
+               }
+            },
+            // we are always able to perform an export, even when no rows (it will just be a header)
+            (_) => true);
+
       static TDialog _create_file_dialog<TDialog>(string initial_dir = null, IReadOnlyList<(string name, string[] extensions)> filter_items = null) where TDialog : FileDialog, new() {
          var rv = new TDialog();
          if (!string.IsNullOrEmpty(initial_dir))

src/client/spark_api/security/SecurityFormatter.cs

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

src/client/spark_core/utils/CsvHelper.cs

@@ -0,0 +1,52 @@
+using System;
+using System.IO;
+using System.Collections.Generic;
+using System.Collections.Specialized;
+using System.Linq;
+using System.Reflection;
+
+namespace bts.utils.csv {
+   public static class CsvHelper {
+
+      public static string ToCsv<T>(this IEnumerable<T> items, OrderedDictionary properties = null) where T : class {
+         var output = "";
+         var delimiter = ",";
+         if (properties == null) {
+            properties = new OrderedDictionary();
+            foreach (var pi in typeof(T).GetProperties()) {
+               properties.Add(pi.Name, pi);
+            }
+         }
+
+         using (var sw = new StringWriter()) {
+            var dict_values = properties.Values.OfType<PropertyInfo>();
+            var header = dict_values.Select(n => n.Name).Aggregate((first, second) => first + delimiter + second);
+            sw.WriteLine(header);
+            foreach (var i in items) {
+               var row = dict_values.Select(x => x.GetValue(i, null))
+                  .Select(x => x == null ? "null" : x.ToString())
+                  .Aggregate((first, second) => first + delimiter + second);
+               sw.WriteLine(row);
+            }
+            output = sw.ToString();
+         }
+         return output;
+      }
+
+      public static OrderedDictionary create_ordering_maintainer(Type t, string[] property_names_in_order) {
+         OrderedDictionary od = new OrderedDictionary();
+         var props = t.GetProperties();
+         foreach (var n in property_names_in_order) {
+            var query = props.Where(pi => pi.Name == n);
+            if (query.Any()) {
+               var property_info = query.First();
+               if (!od.Contains(property_info)) {
+                  od.Add(n, property_info);
+               }
+            }
+         }
+         return od;
+      }
+
+   }
+}

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

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

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/service_helpers/PositionUtilities.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/BasePositionService.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/MarketDataService.proto;api/services/MoneyFileService.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/position_cfg.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/position_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/subprocess.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/sod.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/Product.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/service/MarketDataServiceServer.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;md/vendor/OnixsUtils.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;metricsLine 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/service_helpers/PositionUtilities.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/BasePositionService.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/MarketDataService.proto;api/services/MoneyFileService.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/position_cfg.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/position_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/subprocess.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/sod.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/Product.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/service/MarketDataServiceServer.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;md/vendor/OnixsUtils.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;metricsLine truncated

src/lib/api/services/PositionService.proto

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

src/lib/config/defaults/MarketData.conf

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

src/lib/config/protos/toggles.proto

@@ -59,10 +59,6 @@ message EnsureOnScreenWithWorkAreaRect {
    optional bool enabled = 1 [default = false];
 }
 
-message CustomFormatIceSecurities{
-   optional bool enabled = 1 [default = true];
-}
-
 message IgnoreNansInDayPnL {
    optional bool enabled = 1 [default = true];
 }
@@ -73,4 +69,5 @@ message DynamicAlgos{
    optional bool enable_tas = 3 [default = false];
    optional bool enable_tascounter = 4 [default = false];
    optional bool enable_limit_cover = 5 [default = false];
+   optional bool enable_onsignal = 6 [default = false];
 }

src/lib/domain_model/Security.h

@@ -211,6 +211,9 @@ 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);
 }
+inline bool test_price_equality(double price_1, double price_2) {
+   return std::fabs(price_2 - price_1) < market_epsilon();
+}
 
 } // namespace securities
 } // namespace bts

src/lib/orderman/actors/MDSource.h

@@ -1,5 +1,6 @@
 #pragma once
 
+#include "lib/domain_model/Security.h"
 #include "lib/logging/logging.h"
 #include "lib/md/IntPrice.h"
 #include "lib/md/MDConsumer.h"
@@ -10,12 +11,11 @@
 #include "lib/mercury/events/TimerEvent.h"
 #include "lib/orderman/events/BookUpdateEvent.h"
 #include "lib/orderman/events/MDRequestEvent.h"
-#include "lib/orderman/events/TickerUpdateEvent.h"
 #include "lib/orderman/events/StatusUpdateEvent.h"
+#include "lib/orderman/events/TickerUpdateEvent.h"
 #include "lib/tracing/PerfLog.h"
 #include "lib/tracing/bts_trace.h"
 #include "lib/utils/TimeStamp.h"
-#include "lib/domain_model/Security.h"
 
 #include <date/date.h>
 
@@ -31,9 +31,9 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
  public:
    MDSource(md::MDConsumer &consumer, metrics::MetricsContainer &stats,
             trace::PerfLog &log)
-       : _handles(), _pending_handles(), _status_subs(), _md_consumer(consumer), 
-         _book_update(), _ticker_update(), _status_update(),
-         _perf_log(log), _stats(stats), _loop_timer(), _counter(0) {
+       : _handles(), _pending_handles(), _status_subs(), _md_consumer(consumer),
+         _book_update(), _ticker_update(), _status_update(), _perf_log(log),
+         _stats(stats), _loop_timer(), _counter(0) {
 
       _trades_buffer.Reserve(1000);
       auto cme_channels = md::get_configured_cme_channels();
@@ -67,9 +67,8 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
       auto ticker_channel_cout_metric =
           std::make_shared<metrics::CounterMetric<int>>(
               "spark_mdsource_ticker_channel_count");
-      auto status_count_metric =
-          std::make_shared<metrics::CounterMetric<int>>(
-              "spark_mdsource_status_count");
+      auto status_count_metric = std::make_shared<metrics::CounterMetric<int>>(
+          "spark_mdsource_status_count");
       _stats.publish(security_count_metric);
       _stats.publish(synthetic_count_metric);
       _stats.publish(ticker_channel_cout_metric);
@@ -78,37 +77,40 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
       _book_update = make_stream<BookUpdateEvent>();
       _ticker_update = make_stream<TickerUpdateEvent>();
       _status_update = make_stream<StatusUpdateEvent>();
-      subscribe<MDRequestEvent>(
-          [this, security_count_metric, synthetic_count_metric,
-           ticker_channel_cout_metric, status_count_metric](auto const &update) {
-             if (update.events) {
-                for (auto const &ev : *update.events) {
-                   auto k = ev.security_key;
+      subscribe<MDRequestEvent>([this, security_count_metric,
+                                 synthetic_count_metric,
+                                 ticker_channel_cout_metric,
+                                 status_count_metric](auto const &update) {
+         if (update.events) {
+            for (auto const &ev : *update.events) {
+               auto k = ev.security_key;
 
-                   switch (ev.md_type) {
-                   case MDRequestType::BOOK:
-                      on_book_sub(k, *synthetic_count_metric);
-                      security_count_metric->set(_handles.size());
-                      break;
-                   case MDRequestType::TICKER:
-                      on_ticker_sub(k, *ticker_channel_cout_metric);
-                      break;
-                   case MDRequestType::STATUS:
-                     on_status_sub(k);
-                     status_count_metric->set(_status_subs.size());
-                     break;
-                   }
-                }
-             }
-          });
+               switch (ev.md_type) {
+               case MDRequestType::BOOK:
+                  on_book_sub(k, *synthetic_count_metric);
+                  security_count_metric->set(_handles.size());
+                  break;
+               case MDRequestType::TICKER:
+                  on_ticker_sub(k, *ticker_channel_cout_metric);
+                  break;
+               case MDRequestType::STATUS:
+                  on_status_sub(k);
+                  status_count_metric->set(_status_subs.size());
+                  break;
+               }
+            }
+         }
+      });
 
       security_count_metric->set(_handles.size());
    }
 
  private:
-   void on_poll(trace::PerfLog& log) override {
+   void on_poll(trace::PerfLog &log) override {
 
-      auto scoped_do_work = trace::log_scope(log, {}, "MDSource::on_poll", utils::TimeStamp::Interval::from_microseconds(2));
+      auto scoped_do_work =
+          trace::log_scope(log, {}, "MDSource::on_poll",
+                           utils::TimeStamp::Interval::from_microseconds(2));
 
       // Book Updates
       Book book;
@@ -158,11 +160,11 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
       }
 
       // Status updates
-      for (auto& s : _status_subs) {
+      for (auto &s : _status_subs) {
          auto status = s.handle.trading_status();
          if (status != s.status) {
             s.status = status;
-            publish(_status_update, SecurityKey { s.handle.key() }, status); 
+            publish(_status_update, SecurityKey{s.handle.key()}, status);
          }
       }
 
@@ -171,7 +173,7 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
       _loop_timer->observe((start - stop).nanoseconds());
 
       _counter += 1;
-      if (_counter % (2<<20) == 0) {
+      if (_counter % (2 << 20) == 0) {
          // Invoke periodic work every 2M calls on on_poll
          // This is approximately 20-30 seconds
          do_periodic_work();
@@ -180,35 +182,39 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
 
    void do_periodic_work() {
       if (!_pending_handles.empty()) {
-         for (auto iter = _pending_handles.begin(); iter != _pending_handles.end(); ++iter) {
+         for (auto iter = _pending_handles.begin();
+              iter != _pending_handles.end(); ++iter) {
             if (iter->handle->is_initialized()) {
                auto handle = *(iter->handle);
-               LOG(OrderMan, Info, "Found md for {}. Pending handle removed.", handle.key());
-               switch(iter->type) {
-                  case MDRequestType::BOOK:
-                     _handles.push_back({utils::TimeStamp(), handle,
-                        get_external_event_channel(handle.get_usersymbol()),
-                        std::make_unique<std::string>(securities::descriptor(
-                              handle.get_normalized_security()))});
-                     break;
-                  case MDRequestType::STATUS:
-                     for (auto& h : _status_subs) {
-                        // no need to reset status
-                        if (h.handle.key() == handle.key()) break; 
-                     }
-                     _status_subs.push_back(
-                        StatusRecord{ handle, co2::TRADINGSTATUS_UNKNOWN });
-                  case MDRequestType::TICKER:
+               LOG(OrderMan, Info, "Found md for {}. Pending handle removed.",
+                   handle.key());
+               switch (iter->type) {
+               case MDRequestType::BOOK:
+                  _handles.push_back(
+                      {utils::TimeStamp(), handle,
+                       get_external_event_channel(handle.get_usersymbol()),
+                       std::make_unique<std::string>(securities::descriptor(
+                           handle.get_normalized_security()))});
+                  break;
+               case MDRequestType::STATUS:
+                  for (auto &h : _status_subs) {
+                     // no need to reset status
+                     if (h.handle.key() == handle.key())
+                        break;
+                  }
+                  _status_subs.push_back(
+                      StatusRecord{handle, co2::TRADINGSTATUS_UNKNOWN});
+               case MDRequestType::TICKER:
                   // We aren't currently monitoring for pending ticker requests
                   break;
                }
             }
          }
          _pending_handles.erase(
-            std::remove_if(_pending_handles.begin(),
-                           _pending_handles.end(),
-                           [](const auto& h) { return h.handle->is_initialized(); }),
-            _pending_handles.end());
+             std::remove_if(
+                 _pending_handles.begin(), _pending_handles.end(),
+                 [](const auto &h) { return h.handle->is_initialized(); }),
+             _pending_handles.end());
       }
    }
 
@@ -229,18 +235,18 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
       auto mhandle = _md_consumer.get_managed_handle(k);
       if (mhandle->is_initialized()) {
          auto handle = *mhandle;
-         _handles.push_back({utils::TimeStamp(), handle,
-                           get_external_event_channel(handle.get_usersymbol()),
-                           std::make_unique<std::string>(securities::descriptor(
-                                 handle.get_normalized_security()))});
+         _handles.push_back(
+             {utils::TimeStamp(), handle,
+              get_external_event_channel(handle.get_usersymbol()),
+              std::make_unique<std::string>(
+                  securities::descriptor(handle.get_normalized_security()))});
          if (handle.is_synthetic())
             synthetic_count_metric.increment();
-      }
-      else {
-         // A pending handle is a handle for security we are reasonbly sure exists
-         // but we haven't yet found live market data for.
+      } else {
+         // A pending handle is a handle for security we are reasonbly sure
+         // exists but we haven't yet found live market data for.
          LOG(OrderMan, Warn, "No market data for {}. Pending handle added.", k);
-         _pending_handles.push_back({ mhandle, MDRequestType::BOOK });
+         _pending_handles.push_back({mhandle, MDRequestType::BOOK});
       }
    }
 
@@ -253,8 +259,17 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
 
    void on_ticker_sub(SecurityKey sk,
                       metrics::CounterMetric<int> &channel_count_metric) {
+      auto handle = _md_consumer.get_managed_handle(sk.value());
 
-      auto user_symbol = _md_consumer.get_handle(sk.value()).get_usersymbol();
+      if (!handle->is_initialized()) {
+         LOG(OrderMan, Warn,
+             "Received ticker subscription for security {} which does not have "
+             "valid market data. Ignoring",
+             sk.value());
+         return;
+      }
+
+      auto user_symbol = handle->get_usersymbol();
       for (auto &ch : _channels) {
          if (ch.user_symbol == user_symbol) {
             auto it =
@@ -262,7 +277,7 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
                              [sk](auto const &ev) { return ev.key() == sk; });
             if (it == ch.securities.end()) {
                // first time we are asked for this security, we will
-               // publish the trades for it next time next round
+               // publish the trades for it next time around
                LOG(OrderMan, Warn,
                    "Starting to publish ticker updates on user symbol {} for "
                    "security key: {} (sec count for the symbol: {} )",
@@ -294,7 +309,7 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
 
    void on_status_sub(SecurityKey sk) {
       auto k = sk.value();
-      for (auto& h : _status_subs) {
+      for (auto &h : _status_subs) {
          if (h.handle.key() == k) {
             // reset status so it get resent next on_poll
             h.status = co2::TRADINGSTATUS_UNKNOWN;
@@ -303,11 +318,11 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
       }
       auto handle = _md_consumer.get_managed_handle(k);
       if (handle->is_initialized()) {
-         _status_subs.push_back(StatusRecord{ *handle, co2::TRADINGSTATUS_UNKNOWN });
-      }
-      else {
+         _status_subs.push_back(
+             StatusRecord{*handle, co2::TRADINGSTATUS_UNKNOWN});
+      } else {
          LOG(OrderMan, Warn, "No market data for {}. Pending handle added.", k);
-         _pending_handles.push_back({ handle, MDRequestType::STATUS });
+         _pending_handles.push_back({handle, MDRequestType::STATUS});
       }
    }
 
@@ -337,7 +352,7 @@ class MDSource : public mercury::Actor, public mercury::IPollableActor {
       md::MDConsumerHandle handle;
       co2::TradingStatus status;
    };
-   boost::container::small_vector<StatusRecord,20> _status_subs;
+   boost::container::small_vector<StatusRecord, 20> _status_subs;
 
    md::MDConsumer _md_consumer;
    mercury::Stream<BookUpdateEvent> _book_update;

src/lib/orderman/orders/GLBXNativeOrder.cpp

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

src/lib/orderman/orders/ICENativeOrder.cpp

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

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

@@ -0,0 +1,247 @@
+#include "lib/orderman/orders/algo/algo_orders/OnSignalAlgo.h"
+
+#include "lib/domain_model/Security.h"
+#include "lib/orderman/order_factory/IOrderFactory.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/orderman/orders/algo/IAlgoServices.h"
+#include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
+#include "lib/orderman/actors/SODPosition.h"
+#include "lib/os/os.h"
+#include "lib/domain_model/Security.h"
+#include "lib/utils/PBUtils.h"
+#include "lib/utils/datetime.h"
+#include <google/protobuf/util/time_util.h>
+#include <boost/tokenizer.hpp>
+#include <stdint.h>
+
+namespace bts {
+namespace orderman {
+
+using namespace api::orderman;
+using namespace google::protobuf;
+using namespace boost;
+
+struct OnSignalLegData{
+   const SecurityKey sec_key;
+   ChildTemplate* order_template = nullptr;
+   const Price price;
+   const Quantity quantity;
+   const api::Side side;
+   OrderKey order_key;
+   ChildState order_state;
+};
+
+enum class OnSignalAlgo::State { WAITING_FOR_SIGNAL, WORKING, DONE };
+
+struct OnSignalAlgoParams{
+   std::optional<SecurityKey> signal_key_1 = std::nullopt;
+   std::optional<google::protobuf::Timestamp> time = std::nullopt;
+   bool preopen = false;
+   bool open = false;
+   std::vector<OnSignalLegData> legs;
+   OnSignalLegData* find_leg_from_ord_key (OrderKey ord_key){
+      for (auto& l : legs)
+         if(l.order_key == ord_key)
+            return &l;
+      return nullptr;
+   }
+};
+
+struct OnSignalAlgo::PImpl {
+   IAlgoServices* algo_services = nullptr;
+   State state = State::WAITING_FOR_SIGNAL;
+   OnSignalAlgoParams algo_params;
+   PImpl(){
+   }
+};
+
+ChildTemplate* _get_template (IBeforeLaunchAlgoServices& serv,
+                              const CustomOrderDefinition& cod,
+                              SecurityKey key,
+                              api::Side side){
+   OrderDefinition rv = serv.definition();
+   rv.set_security_key(key.value());
+   rv.set_side(side);
+   rv.mutable_custom_def()->CopyFrom(cod);
+   return &(serv.make_child_template(rv));
+}
+
+bool _convert_params (IBeforeLaunchAlgoServices& serv,
+                      const CustomOrderDefinition& cod,
+                      OnSignalAlgoParams& out_p){
+   const DynamicOrderDefinition& def = cod.dynamic();
+   const auto& params = def.order_params();
+   auto hh = get_if<uint32_t>(params, "Time Hours");
+   auto mm = get_if<uint32_t>(params, "Time Minutes");
+   auto ss = get_if<uint32_t>(params, "Time Seconds");
+   if(hh.has_value() && hh.value() <= 23 && 
+      mm.has_value() && mm.value() <= 59 &&
+      ss.has_value() && ss.value() <= 59)
+      out_p.time = SODPosition::today_local_time_to_utc_timestamp (
+                                 hh.value(),mm.value(),ss.value(),true,false);
+   auto preopen = get_if<bool>(params, "Preopen");
+   out_p.preopen = preopen.has_value() ? preopen.value() : false;   
+   auto open = get_if<bool>(params, "Open");
+   out_p.open = open.has_value() ? open.value() : false;
+   auto k1 = get_if<uint32_t>(params, "Signal Contract 1");
+   if(k1.has_value())
+      out_p.signal_key_1 = SecurityKey(k1.value());
+   for (int i=0;;i++){
+      auto idx = std::to_string(i+1);
+      auto contract = get_if<uint32_t>(params, "Order " + idx + " Contract");
+      auto custom_ord = get_if<CustomOrderDefinition>(params, "Order " + idx);
+      auto price = get_if<double>(params, "Order " + idx + " Price");
+      auto qty = get_if<int32_t>(params, "Order " + idx + " Quantity");
+      if(contract.has_value() && custom_ord.has_value() && price.has_value() &&
+         qty.has_value() && qty.value() != 0){
+            auto side = qty > 0 ? api::Side::SIDE_BUY : api::Side::SIDE_SELL;
+            uint32_t eff_qty = std::abs(qty.value());
+            auto key = SecurityKey(contract.value());
+            ChildTemplate* child_template = _get_template(serv,custom_ord.value(),key,side);
+            OnSignalLegData leg = 
+            {
+               key,
+               child_template,
+               Price(price.value()),
+               Quantity(eff_qty),
+               side,
+               OrderKey(0),
+               ChildState()
+            };
+            out_p.legs.push_back(leg);
+      }
+      else
+         break;      
+   }
+   bool valid = out_p.legs.size() > 0 &&
+               (out_p.time.has_value() ||
+               (out_p.signal_key_1.has_value() && (out_p.preopen || out_p.open)));
+   return valid;
+}
+
+OnSignalAlgo::OnSignalAlgo() : me (new PImpl()){}
+OnSignalAlgo::~OnSignalAlgo() {}
+
+OrderOpResult OnSignalAlgo::do_before_launch(IBeforeLaunchAlgoServices& serv){
+   auto& def = serv.definition();
+   if (def.has_custom_def() &&
+       def.custom_def().has_dynamic() &&
+      _convert_params(serv,def.custom_def(),me->algo_params))
+      return {};
+   return {OrderError::ORDER_ERROR_INVALID_PARAMETER,
+           std::string("Parameters are not well formed")};
+}
+void OnSignalAlgo::do_launch(IAlgoServices& algo_services){
+   me->algo_services = &algo_services;
+   me->algo_services->subscribe_timer();
+   if(me->algo_params.signal_key_1.has_value())
+      me->algo_services->subscribe_status(me->algo_params.signal_key_1.value());
+}
+void OnSignalAlgo::do_launch_attached(IAlgoServices& algo_services,
+                                      OrderKey,
+                                      ChildState){
+   me->algo_services = &algo_services;
+   _cxl_and_end(true, "OnSignal Algo can not be attached to working orders");
+}
+void OnSignalAlgo::do_update(api::orderman::Update const &){
+   LOG(OrderMan, Warn, "OnSignalAlgo::do_update order:{} state:{} update not allowed, please cxl and re-enter ",
+       me->algo_services->order_key().value(),
+       static_cast<int>(me->state));
+}
+void OnSignalAlgo::on_child_change(OrderKey key, const ChildState& st){
+   LOG(OrderMan, Info, 
+      "OnSignalAlgo::on_child_change key:{} child_key:{} state:{} status:{} "
+      "total_fills:{} last_price:{}",
+      me->algo_services->order_key(),
+      key,
+      static_cast<int>(me->state),
+      static_cast<int>(st.status),
+      st.total_fills,
+      st.last_price);
+   switch (me->state){
+      case (OnSignalAlgo::State::WAITING_FOR_SIGNAL):
+         LOG(OrderMan, Error,
+             "OnSignalAlgo::on_child_change key:{} in WAITING_FOR_SIGNAL",
+             me->algo_services->order_key());      
+         break;
+      case (OnSignalAlgo::State::WORKING):
+         {
+            auto ld_ptr = me->algo_params.find_leg_from_ord_key(key);
+            if (ld_ptr != nullptr)
+               ld_ptr->order_state = st;
+         }
+         for (const auto& l : me->algo_params.legs)
+            if(l.order_state.status == ChildStatus::WORKING)
+               return;
+         _cxl_and_end(false,"");
+         break;
+      case (OnSignalAlgo::State::DONE):
+         break;
+   }
+}
+void OnSignalAlgo::on_status(SecurityKey key, co2::TradingStatus s){
+   if(me->algo_params.signal_key_1.has_value() && me->algo_params.signal_key_1 == key)
+      switch (me->state){
+         case (OnSignalAlgo::State::WAITING_FOR_SIGNAL):
+            if(me->algo_params.preopen && s == co2::TradingStatus::TRADINGSTATUS_PRE_OPEN)
+               _fire_orders();
+            else if(me->algo_params.open && s == co2::TradingStatus::TRADINGSTATUS_NORMAL)
+               _fire_orders();
+            break;
+         case (OnSignalAlgo::State::WORKING):
+         case (OnSignalAlgo::State::DONE):
+               break;
+      }
+}
+void OnSignalAlgo::on_timer(){
+   if(me->algo_params.time.has_value())
+      switch (me->state){
+         case (OnSignalAlgo::State::WAITING_FOR_SIGNAL):
+         {  
+            auto thresh = me->algo_params.time.value();
+            auto now = util::TimeUtil::GetCurrentTime();
+            auto diff = util::TimeUtil::TimestampToMicroseconds(now) - 
+                        util::TimeUtil::TimestampToMicroseconds(thresh);
+            if(diff >= 0)
+               _fire_orders();
+            break;
+         }            
+         case (OnSignalAlgo::State::WORKING):
+         case (OnSignalAlgo::State::DONE):
+            break;
+      }
+}
+void OnSignalAlgo::_fire_orders(){
+   for (auto& l : me->algo_params.legs)
+      l.order_key = me->algo_services->launch_child(*l.order_template,l.price,l.quantity);
+   _switch_state(State::WORKING);
+}
+void OnSignalAlgo::_cxl_and_end (bool is_error, const std::string& err_msg){
+   if(is_error)
+      me->algo_services->terminate_error(err_msg);
+   else
+      me->algo_services->complete();
+   _switch_state(OnSignalAlgo::State::DONE);
+}
+void OnSignalAlgo::_switch_state (State new_state){
+   switch (new_state){
+      case (OnSignalAlgo::State::WAITING_FOR_SIGNAL):
+         bts_assert(false);
+         break;
+      case (OnSignalAlgo::State::WORKING):
+         bts_assert(me->state == OnSignalAlgo::State::WAITING_FOR_SIGNAL);
+         break;
+      case (OnSignalAlgo::State::DONE):
+         bts_assert(me->state != OnSignalAlgo::State::DONE);
+         break;
+   }
+   LOG(OrderMan, Info,"OnSignalAlgo::_switch_state key:{} {}->{} ",
+                      me->algo_services->order_key(),
+                      static_cast<int>(me->state), 
+                      static_cast<int>(new_state));
+   me->state = new_state;
+}
+
+} // namespace orderman
+} // namespace bts

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

@@ -0,0 +1,36 @@
+#pragma once
+
+#include "lib/orderman/orders/algo/IAlgoOrder.h"
+
+namespace bts {
+namespace orderman {
+
+class ChildTemplate;
+struct LegData;
+
+class OnSignalAlgo : public IAlgoOrder {
+ public:
+   OnSignalAlgo();
+   ~OnSignalAlgo();
+   OrderOpResult do_before_launch(IBeforeLaunchAlgoServices &) override;
+   void do_launch(IAlgoServices &) override;
+   void do_launch_attached(IAlgoServices &, OrderKey, ChildState) override;
+   void do_update(api::orderman::Update const &) override;
+   void on_child_change(OrderKey, ChildState const &) override;
+   void on_status(SecurityKey, co2::TradingStatus) override;
+   void on_timer() override;
+
+ private:
+   enum class State;
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+private:
+   IAlgoServices& _algo() const ;
+   // acts on md, cognizant of the state
+   void _switch_state (State new_state);
+   void _fire_orders();
+   void _cxl_and_end (bool is_error, const std::string& err_msg);   
+};
+
+} // namespace orderman
+} // namespace bts

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

@@ -16,7 +16,7 @@ namespace orderman {
 
 using namespace api::orderman;
 
-enum class PyramidAlgo::Status { WAITING_FOR_MD, WAITING_FOR_MD_ATTACH, WORKING, DONE };
+enum class PyramidAlgo::Status { WAITING_FOR_MD, WAITING_FOR_MD_ATTACH, WORKING, WAITING_FOR_CXL_ACK, DONE };
 enum class PyramidAlgo::ExitPath { CANCEL, ERR, COMPLETE };
 
 struct LegData{
@@ -192,6 +192,7 @@ void PyramidAlgo::do_update(const api::orderman::Update& update) {
                          "Order cancelled (Cover prices not met)");
          break;
       }
+      case PyramidAlgo::Status::WAITING_FOR_CXL_ACK:
       case PyramidAlgo::Status::DONE:
          break;
    }
@@ -215,6 +216,7 @@ IAlgoOrder::OnCancelResponse PyramidAlgo::on_cancel(){
       case PyramidAlgo::Status::WORKING:
          _cxl_and_end(PyramidAlgo::ExitPath::CANCEL,"Algo cancelled");
          break;
+      case (PyramidAlgo::Status::WAITING_FOR_CXL_ACK):
       case PyramidAlgo::Status::DONE:
          break;
    }
@@ -242,6 +244,7 @@ void PyramidAlgo::on_child_change(OrderKey key, const ChildState &st) {
             _check_for_completion();
             break;
          case PyramidAlgo::Status::WORKING:
+         case (PyramidAlgo::Status::WAITING_FOR_CXL_ACK):
             leg->order_state = st;
             _algo().update_fill_state(st.total_fills, st.avg_price);
             _send_hedges(st.last_fills);
@@ -388,6 +391,7 @@ void PyramidAlgo::_analyze_md_and_act(){
             _cxl_and_end(PyramidAlgo::ExitPath::CANCEL,
                          "Order cancelled (Cover prices not met)");
          break;
+      case PyramidAlgo::Status::WAITING_FOR_CXL_ACK:   
       case PyramidAlgo::Status::DONE:
          break;
    }
@@ -405,14 +409,19 @@ void PyramidAlgo::_switch_state(Status new_state){
          bts_assert(me->state == PyramidAlgo::Status::WAITING_FOR_MD ||
                     me->state == PyramidAlgo::Status::WAITING_FOR_MD_ATTACH);
          break;
+      case (PyramidAlgo::Status::WAITING_FOR_CXL_ACK):
+         break;
       case (PyramidAlgo::Status::DONE):
          bts_assert(
                // when an order is entered and the criteria is not met
                me->state == PyramidAlgo::Status::WAITING_FOR_MD ||
                // when an order is attached and the market conditions are not met
                me->state == PyramidAlgo::Status::WAITING_FOR_MD_ATTACH ||
-               // when the child order gets into an unexpected state
-               me->state == PyramidAlgo::Status::WORKING);
+               // when the child order enters a terminal state, while the algo
+               // is in a working state (external cxl, target reached)
+               me->state == PyramidAlgo::Status::WORKING ||
+               // the usual controlled cxl, ie working->waiting_for_cxl_ack->done
+               me->state == PyramidAlgo::Status::WAITING_FOR_CXL_ACK);
          break;
    }
    LOG(OrderMan, Info,"PyramidAlgo::_switch_state key:{} {}->{} ",
@@ -494,8 +503,8 @@ void PyramidAlgo::_check_for_completion(){
          break;
       case (ChildStatus::CANCELED):
          _cxl_and_end(PyramidAlgo::ExitPath::ERR,
-                      "Top spread unexpectedly cancelled");
-         break;      
+                      "Top spread cancelled");
+         break;
    }
 }
 
@@ -507,8 +516,11 @@ void PyramidAlgo::_cxl_and_end(PyramidAlgo::ExitPath exit_path,
       if(top_ord_state.status == ChildStatus::WORKING){
          if(detach_top)
             _algo().detach_child(me->legs[0].order_key);
-         else
+         else{
             _algo().cancel_child(me->legs[0].order_key);
+            _switch_state(PyramidAlgo::Status::WAITING_FOR_CXL_ACK);
+            return;
+         }
       }
    }
    switch(exit_path){
@@ -524,6 +536,7 @@ void PyramidAlgo::_cxl_and_end(PyramidAlgo::ExitPath exit_path,
    }
    _switch_state(PyramidAlgo::Status::DONE);
 }
+
 // true the out qty is changed it be below
 // the filled qty
 bool PyramidAlgo::_target_reached() const{
@@ -538,6 +551,14 @@ bool PyramidAlgo::_md_recvd() const{
    return true;
 }
 
+bool gr_than_eq(double p1, double p2){
+   return securities::test_price_equality(p1,p2) || p1 > p2;
+}
+
+bool less_than_eq(double p1, double p2){
+   return securities::test_price_equality(p1,p2) || p1 < p2;
+}
+
 bool PyramidAlgo::_working_state_met() const{
    double cover_sum = 0.0;
    size_t i = 0;
@@ -545,10 +566,17 @@ bool PyramidAlgo::_working_state_met() const{
       if (i++ > 0)
          cover_sum += l.opp_md()[0].price();
    bool rv = !os::is_nan(cover_sum) && 
-             ((me->side == api::Side::SIDE_BUY &&
-             me->out_price.value() <= cover_sum) ||
-             (me->side == api::Side::SIDE_SELL &&
-             me->out_price.value() >= cover_sum));
+             (
+                (
+                   me->side == api::Side::SIDE_BUY &&
+                   less_than_eq(me->out_price.value(),cover_sum)
+                )
+                ||
+                (
+                   me->side == api::Side::SIDE_SELL &&
+                   gr_than_eq(me->out_price.value(),cover_sum)
+                )
+             );
    if (!rv && !os::is_nan(cover_sum)){
       // price condition is not met, but if the
       // cum qty at the top leg price is > threashold 

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

@@ -11,6 +11,7 @@
 #include "PyramidAlgo.h"
 #include "TASAlgo.h"
 #include "TASCounterAlgo.h"
+#include "OnSignalAlgo.h"
 
 using namespace bts;
 using namespace api::orderman;
@@ -200,7 +201,7 @@ extern "C" void init_tas_plugin(bts::SparkServices& srv) {
       auto idx = std::to_string(i+1);
       *tas_desc.add_param_desc() = param_double("Order " + idx + " Price");
       *tas_desc.add_param_desc() = param_uint32("Order " + idx + " Quantity");
-      *tas_desc.add_param_desc() = param_bool("Order " + idx + " Buy?");   
+      *tas_desc.add_param_desc() = param_bool("Order " + idx + " Buy?");
    }   
    srv.register_dynamic_algo_order(tas_desc, []() { return std::make_unique<orderman::TASAlgo>(); });
 }
@@ -212,6 +213,27 @@ extern "C" void init_limit_cover(bts::SparkServices & srv) {
    srv.register_dynamic_algo_order(lc_desc, []() { return std::make_unique<orderman::LimitCoverAlgo>(); });
 }
 
+extern "C" void init_on_signal_plugin(bts::SparkServices& srv) {
+   DynamicOrderDescriptor on_signal;
+   on_signal.set_dynamic_order_type("OnSignal");   
+   *on_signal.add_param_desc() = param_uint32("Time Hours");
+   *on_signal.add_param_desc() = param_uint32("Time Minutes");
+   *on_signal.add_param_desc() = param_uint32("Time Seconds");
+   *on_signal.add_param_desc() = param_bool("Preopen");
+   *on_signal.add_param_desc() = param_bool("Open");
+   // contracts who's signals have to be received to send the algo
+   *on_signal.add_param_desc() = param_security_key("Signal Contract 1");
+   size_t n_child_ords = 10;
+   for (size_t i=0; i< n_child_ords; i++){
+      auto idx = std::to_string(i+1);
+      *on_signal.add_param_desc() = param_security_key("Order " + idx + " Contract");
+      *on_signal.add_param_desc() = param_order("Order " + idx);
+      *on_signal.add_param_desc() = param_double("Order " + idx + " Price");
+      *on_signal.add_param_desc() = param_int32("Order " + idx + " Quantity");
+   }   
+   srv.register_dynamic_algo_order(on_signal, []() { return std::make_unique<orderman::OnSignalAlgo>(); });
+}
+
 extern "C" void init_spark_plugin(bts::SparkServices &srv) {
    auto& dyn_algo_config = config::get<config::toggles::DynamicAlgos>();
    if(dyn_algo_config.enable_dorman())
@@ -224,6 +246,8 @@ extern "C" void init_spark_plugin(bts::SparkServices &srv) {
       init_tascounter_plugin(srv);
    if (dyn_algo_config.enable_limit_cover())
       init_limit_cover(srv);
+   if (dyn_algo_config.enable_onsignal())
+      init_on_signal_plugin(srv);
 }
 
 }}}

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

@@ -26,17 +26,21 @@ enum class TASCounterAlgo::Status { WORKING, DONE };
 // (the vwap of the TAS contracts is not used, but for uniformity is kept in the
 // the same structure)
 struct ContractMarketData{
+private:
    uint32_t tot_vol = 0;
    double running_sum = 0;
+public:
    Book book;
    double estimated_settle = 0.0;
    void on_trade (const TickerUpdateEvent::Trade& t){
       tot_vol += t.quantity.value();
       running_sum += t.price.value()*t.quantity.value();
    }
-   const double vwap(){
+   double vwap() const{
       return tot_vol == 0 ? os::nan() : running_sum/tot_vol;
    }
+   uint32_t traded_qty() const {return tot_vol;}
+   double traded_value() const {return running_sum;}
 };
 // the input for the t1 front, second and third orders, as well as the template
 // and working order key are kept here
@@ -100,6 +104,47 @@ bool trade_within_time_win (const Timestamp&, const Timestamp&,
                             const TickerUpdateEvent::Trade& t);
 bool now_within_time_win (const Timestamp&, const Timestamp&);
 
+double compute_t1_front_settle (const AlgoData& d){
+   double rv = d.t1_front.vwap();
+   rv = round_to_nearest(rv,d.tick_size);
+   return rv;   
+}
+
+double compute_t1_second_settle (const AlgoData& d){
+   double p_t1_front = compute_t1_front_settle(d);
+   double part_1 = d.t1_second.traded_value();
+   double part_2 = d.t2_front.traded_value() - 
+                   (d.t2_front.traded_qty() * p_t1_front);
+   uint32_t traded_qty_sum = d.t2_front.traded_qty() + 
+                             d.t1_second.traded_qty();
+   double rv = traded_qty_sum == 0 ? os::nan() : 
+               (part_1+part_2)/traded_qty_sum;
+   LOG(OrderMan, Diag, "TASCounterAlgo::compute_t1_second_settle "
+      "p_t1_front:{} part_1:{} part_2:{} traded_qty_sum:{} rv:{}",
+      p_t1_front, part_1, part_2, traded_qty_sum, rv);
+   return round_to_nearest(rv,d.tick_size);
+}
+
+double compute_t1_third_settle (const AlgoData& d){
+   double p_t1_front = compute_t1_front_settle(d);
+   double p_t1_second = compute_t1_second_settle(d);
+   double part_1 = d.t1_third.traded_value();
+   double part_2 = d.t2_second.traded_value() - 
+                   (d.t2_second.traded_qty()*p_t1_second);
+   double part_3 = d.t3_front.traded_value() - 
+                   (d.t3_front.traded_qty()*p_t1_front) -
+                   (d.t3_front.traded_qty()*p_t1_second);
+   double traded_qty_sum = d.t3_front.traded_qty() + 
+                           d.t2_second.traded_qty() + 
+                           d.t1_third.traded_qty();
+   double rv = traded_qty_sum == 0 ? os::nan() : 
+               (part_1+part_2+part_3)/traded_qty_sum;
+   LOG(OrderMan, Diag, "TASCounterAlgo::compute_t1_third_settle "
+      "p_t1_front:{} p_t1_second:{} part_1:{} part_2:{} part_3:{} "
+      "traded_qty_sum:{} rv:{}",
+      p_t1_front, p_t1_second, part_1, part_2, part_3, traded_qty_sum, rv);
+   return round_to_nearest(rv,d.tick_size);
+}
 
 TASCounterAlgo::TASCounterAlgo() : me(new PImpl()) {}
 TASCounterAlgo::~TASCounterAlgo() {}
@@ -214,17 +259,9 @@ void TASCounterAlgo::_cxl_and_end (bool is_error, const std::string& err_msg){
 
 void TASCounterAlgo::_compute_settles(){
    AlgoData& d = me->data;
-   d.t1_front.estimated_settle = d.t1_front.vwap();
-   d.t1_second.estimated_settle = d.t2_front.vwap() - d.t1_front.vwap();
-   d.t1_third.estimated_settle = d.t3_front.vwap() - d.t1_front.vwap() - 
-                                 d.t1_second.vwap();
-   // round to closest value
-   d.t1_front.estimated_settle = round_to_nearest(
-                        d.t1_front.estimated_settle,me->data.tick_size);
-   d.t1_second.estimated_settle = round_to_nearest(
-                        d.t1_second.estimated_settle,me->data.tick_size);
-   d.t1_third.estimated_settle = round_to_nearest(
-                        d.t1_third.estimated_settle,me->data.tick_size);
+   d.t1_front.estimated_settle = compute_t1_front_settle(d);
+   d.t1_second.estimated_settle = compute_t1_second_settle(d);
+   d.t1_third.estimated_settle = compute_t1_third_settle(d);
 }
 
 // the decision to send an order can be caused by

src/server/sparkd/CMakeDeps.cmake

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

src/server/sparkd/cmds/TestCeloxica.cpp

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

src/server/sparkd/cmds/TestCeloxica.h

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

src/server/sparkd/main.cpp

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

src/server/sparkd/position/PositionServicePNLHelper.cpp

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

src/server/sparkd/position/PositionServicePNLHelper.h

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

src/server/sparkd/position/PositionServiceServer.cpp

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

src/server/sparkd/position/PositionServiceServer.h

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

src/web/api/build.sh

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

tools/celoxica.cmake

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

tools/jenkinsbuild.cmd

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

tools/linux_control/build_in_docker.sh

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

tools/nuget_restore.cmd

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

tools/setup_builds.sh

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