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

The compute_synthetic_book method (also to be imported
from spartan) depends on a couple of them.

.gitignore

@@ -34,5 +34,7 @@ trace_data/
 /doc/user/public/*
 .ionide/*
 /.ignore
+*.rej
 /build
 .clangd/
+*CMakeDeps.cmake

.vscode/launch.json

@@ -8,13 +8,15 @@
             "program": "${workspaceRoot}/build/ninja_debug/server/sparkd",
             "args": [
                 "run",
-                // "test",
-                // "-a",
-                // "[ilink3]"
+                "test",
+                "-a",
+                "OutrightVanillaOrder"
             ],
             "stopAtEntry": false,
             "cwd": "${workspaceRoot}/build/ninja_debug/server/",
-            "environment": [],
+            "environment": [
+                { "name": "TZ", "value": "America/Chicago" }
+            ],
             "externalConsole": false,
             "MIMode": "gdb",
             "setupCommands": [
@@ -31,7 +33,9 @@
             "request": "launch",
             "program": "/home/bts/spark/build/ninja_debug/server/sparkd",
             "args": [
-                "run"
+                "test",
+                "-a",
+                "[ilink3]"
             ],
             "stopAtEntry": false,
             "cwd": "/home/bts/spark/build/ninja_debug/server/",

CMakeLists.txt

@@ -41,6 +41,7 @@ else ()
                                -Wno-missing-braces -Wno-ignored-qualifiers \
                                --std=c++17 -fdiagnostics-color")
   set (CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} -fno-omit-frame-pointer -DNDEBUG -O3")
+  set (CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} -DDEBUG")
   set (CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} -Wno-undef")
   add_subdirectory(src/server/sparkd)
   add_subdirectory(src/lib)

doc/user/CMakeDeps.cmake

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

src/client/spark/AlgoProvider/AlgoProviderFactory.cs

@@ -0,0 +1,193 @@
+using bts;
+using bts.api;
+using bts.api.core;
+using mbts.ui.utility;
+using mbts.utils;
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+using System.ComponentModel.Composition;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Text.RegularExpressions;
+using AlgoType = bts.api.orderman.CustomOrderDefinition.CustomOneofCase;
+
+namespace mbts.spark {
+   class AlgoProviderFactory {
+      [ImportingConstructor]
+      AlgoProviderFactory(IAlgoStudioModel studio_model, DynamicOrderHelper dynamic_helper, ISecurityAuxiliaryDataModel security_auxiliary_model) {
+         var from_conf = config.Configuration.get<bts.config.AlgoTypeRuleSet>();
+         if (from_conf.rules.Count == 0) {
+            // There seems to be a config race bug, where the returned config values are empty, despite having entries in spark.conf.
+            // [John]I've only noticed it happen when attached to the debugger,
+            // but best to have a contingency plan in place anyways, to prevent any chance of regression.
+            // The fallback sets below mimic the old hardcoded algo type arrays.
+            var full_algo_set = new AlgoTypeSetImmutable(
+               ImmutableHashSet.CreateRange(EnumHelper.get_values_except(
+                  // non-factory algos
+                  AlgoType.None,
+                  AlgoType.Dynamic,
+                  AlgoType.Composite,
+                  // obsolete algos
+                  AlgoType.Oco,
+                  AlgoType.TimeBox,
+                  AlgoType.Pricer,
+                  AlgoType.Tick,
+                  AlgoType.Trigger,
+                  AlgoType.QueueHolder)),
+               ImmutableHashSet.CreateRange(dynamic_helper.dynamic_types));
+            var rules = new[] {
+               // Glbx: Futures/Spreads
+               new SecurityAlgoTypeSetImmutable(
+                  new SecurityCriteriaClause(
+                     exchanges: new[] { Venue.Glbx },
+                     security_types: new[] { SecurityType.Future, SecurityType.Spread }),
+                  new AlgoTypeSetImmutable(
+                     full_algo_set.factory_types.Except(new[] { AlgoType.Spreader }),
+                     full_algo_set.dynamic_types)),
+               // Gen: Futures/Spreads
+               new SecurityAlgoTypeSetImmutable(
+                  new SecurityCriteriaClause(
+                     exchanges: EnumHelper.get_values_except(Venue.Glbx, Venue.Unset).ToArray(),
+                     security_types: new[] { SecurityType.Future, SecurityType.Spread }),
+                  new AlgoTypeSetImmutable(
+                     full_algo_set.factory_types.Except(new[] { AlgoType.Spreader, AlgoType.GlbxIceberg }),
+                     full_algo_set.dynamic_types)),
+               // Gen: Synthetics
+               new SecurityAlgoTypeSetImmutable(
+                  new SecurityCriteriaClause(
+                     security_types: new[] { SecurityType.Synthetic }),
+                  new AlgoTypeSetImmutable(
+                     ImmutableHashSet.CreateRange(new[] {
+                        AlgoType.Spreader,
+                        AlgoType.Iceberg,
+                        AlgoType.Lean,
+                        AlgoType.Join,
+                        AlgoType.Cover,
+                        AlgoType.Offset,
+                        AlgoType.Top,
+                        AlgoType.Splitter,
+                        AlgoType.Scratch,
+                        AlgoType.Prorata
+                     }),
+                  full_algo_set.dynamic_types))
+             };
+            // attachable
+            var attachable_algos =
+               ImmutableHashSet.CreateRange(new[] {
+                  AlgoType.Iceberg,
+                  AlgoType.Lean,
+                  AlgoType.Join,
+                  AlgoType.Cover,
+                  AlgoType.Top,
+                  AlgoType.Offset,
+                  AlgoType.Scratch,
+                  AlgoType.Prorata
+               });
+            var attachable_rules = Array.ConvertAll(rules,
+               satsi => new SecurityAlgoTypeSetImmutable(
+                  satsi.security_criteria,
+                  new AlgoTypeSetImmutable(
+                     satsi.algo_type_set.factory_types.Intersect(attachable_algos),
+                     satsi.algo_type_set.dynamic_types)));
+
+            Log.Config.warn($"Failed to load AlgoTypes config, falling back to the following algo set rules:" +
+               "\n\tStandard\n" +
+               rules.fmt_diagnostic("\n\t\t") +
+               "\n\n\tAttachable\n" +
+               attachable_rules.fmt_diagnostic("\n\t\t"));
+
+            security_algo_provider = new AlgoProvider(rules, studio_model, dynamic_helper, security_auxiliary_model);
+            attachable_algo_provider = new AttachableAlgoProvider(attachable_rules, studio_model, dynamic_helper, security_auxiliary_model);
+         } else {
+            var algo_type_data =
+               EnumHelper.get_values_except(AlgoType.Dynamic, AlgoType.Composite, AlgoType.None)
+              .Select(t => _get_type_data(t))
+              .Concat(dynamic_helper.dynamic_types.Select(dt => _get_type_data(AlgoType.Dynamic, dt)))
+              .ToListLazy();
+            var conf_sets = from_conf.rules.Select(r => _to_security_algo_set(r, dynamic_helper, algo_type_data)).ToList();
+            security_algo_provider = new AlgoProvider(conf_sets.Select(tup => tup.standard).ToList(), studio_model, dynamic_helper, security_auxiliary_model);
+            attachable_algo_provider = new AttachableAlgoProvider(conf_sets.Select(tup => tup.attachable).ToList(), studio_model, dynamic_helper, security_auxiliary_model);
+         }
+      }
+
+      [Export]
+      public IAlgoProvider security_algo_provider { get; }
+      [Export]
+      public IAttachableAlgoProvider attachable_algo_provider { get; }
+
+      static (string name, AlgoType factory, string dynamic) _get_type_data(AlgoType type, string dynamic_type = null) {
+         string type_name = type.ToString();
+         return (type_name, type, dynamic_type ?? type_name);
+      }
+
+      static SecurityCriteriaClause _to_clause(bts.config.AlgoTypeContext context) =>
+         context == null ?
+            new SecurityCriteriaClause() :
+            new SecurityCriteriaClause(
+               exchanges: context.exchanges?.Select(EnumHelper.parse<Venue>)?.ToArray(),
+               security_types: context.security_types?.Select(EnumHelper.parse<Security.ContractOneofCase>)?.Select(t => t.security_type())?.ToArray(),
+               symbols: context.symbols?.ToArray());
+
+      static (SecurityAlgoTypeSetImmutable standard, SecurityAlgoTypeSetImmutable attachable) _to_security_algo_set(
+         bts.config.AlgoTypeRule rule,
+         DynamicOrderHelper dynamic_helper,
+         IEnumerable<(string name, AlgoType factory, string dynamic)> algo_type_data) {
+         //
+         var factory_types = ImmutableHashSet<AlgoType>.Empty.ToBuilder();
+         var dynamic_types = ImmutableHashSet<string>.Empty.ToBuilder();
+         var attachable_factory_types = ImmutableHashSet<AlgoType>.Empty.ToBuilder();
+         var attachable_dynamic_types = ImmutableHashSet<string>.Empty.ToBuilder();
+         foreach (var a in rule.algos) {
+            if (Enum.TryParse(a.name, out AlgoType sys_algo) && sys_algo != AlgoType.Composite && sys_algo != AlgoType.Dynamic) {
+               on_sys_match(sys_algo, a.is_attachable);
+            }
+            else if (dynamic_helper.try_parse(a.name, out var dyn_type)) {
+               on_dyn_match(dyn_type, a.is_attachable);
+            } else {
+               foreach (var (name, factory, dynamic) in algo_type_data) {
+                  if (Regex.Match(name, a.name).Success) {
+                     switch (factory) {
+                        case AlgoType.None:
+                        case AlgoType.Composite:
+                           // unexpected, but no need to crash
+                           continue;
+                        case AlgoType.Dynamic:
+                           on_dyn_match(dynamic, a.is_attachable);
+                           break;
+                        default:
+                           on_sys_match(factory, a.is_attachable);
+                           break;
+                     }
+                  }
+               }
+            }
+         }
+         return (
+            // standard
+            new SecurityAlgoTypeSetImmutable(
+               _to_clause(rule.context),
+               new AlgoTypeSetImmutable(
+                  factory_types.ToImmutable(),
+                  dynamic_types.ToImmutable())),
+            // attachable
+            new SecurityAlgoTypeSetImmutable(
+               _to_clause(rule.context),
+            new AlgoTypeSetImmutable(
+               attachable_factory_types.ToImmutable(),
+               attachable_dynamic_types.ToImmutable())));
+
+         // local methods
+         void on_sys_match(AlgoType sys_algo, bool is_attachable) {
+            factory_types.Add(sys_algo);
+            if (is_attachable)
+               attachable_factory_types.Add(sys_algo);
+         }
+         void on_dyn_match(string dyn_algo, bool is_attachable) {
+            dynamic_types.Add(dyn_algo);
+            if (is_attachable)
+               attachable_dynamic_types.Add(dyn_algo);
+         }
+      }
+   }
+}

src/client/spark/AlgoProvider/AlgoTypeSet.cs

@@ -0,0 +1,132 @@
+using bts.api.core;
+using bts.api.orderman;
+using mbts.spark.utilities;
+using mbts.utils;
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Text;
+using AlgoType = bts.api.orderman.CustomOrderDefinition.CustomOneofCase;
+
+namespace mbts.spark {
+   readonly struct AlgoTypeSetImmutable {
+      public static readonly AlgoTypeSetImmutable empty = new AlgoTypeSetImmutable(ImmutableHashSet<AlgoType>.Empty, ImmutableHashSet<string>.Empty);
+      public readonly ImmutableHashSet<AlgoType> factory_types;
+      public readonly ImmutableHashSet<string> dynamic_types;
+
+      public AlgoTypeSetImmutable(
+         ImmutableHashSet<AlgoType> factory_types,
+         ImmutableHashSet<string> dynamic_types) {
+         this.factory_types = factory_types;
+         this.dynamic_types = dynamic_types;
+      }
+   }
+
+   readonly struct SecurityAlgoTypeSetImmutable {
+      public readonly SecurityCriteriaClause security_criteria;
+      public readonly AlgoTypeSetImmutable algo_type_set;
+
+      public SecurityAlgoTypeSetImmutable(SecurityCriteriaClause security_criteria, AlgoTypeSetImmutable algo_type_set, CustomOrderDefinitionImmutable? default_algo = null) {
+         this.security_criteria = security_criteria;
+         this.algo_type_set = algo_type_set;
+      }
+   }
+
+   static class AlgoTypeSetExtensions {
+      public static string fmt_diagnostic(this IEnumerable<SecurityAlgoTypeSetImmutable> rules, string line_delim = "\n") {
+         var sb = new StringBuilder();
+         int rule_count = 1;
+         using (var en = rules.GetEnumerator()) {
+            if (en.MoveNext()) {
+               string line_delim_tab1 = line_delim + "\t";
+               string line_delim_tab2 = line_delim + "\t\t";
+               append_rule(en.Current);
+               while (en.MoveNext()) {
+                  sb.AppendLine();
+                  append_rule(en.Current);
+               }
+               //
+               void append_rule(SecurityAlgoTypeSetImmutable r) {
+                  sb.Append(line_delim + $"**RULE {rule_count++}**");
+                  sb.Append(line_delim_tab1);
+                  sb.Append("Security Criteria: ");
+                  sb.Append(r.security_criteria.is_defined ? string.Join("; ", r.security_criteria.fmt_diagnostic_msgs()) : "(Undefined)");
+                  sb.Append(line_delim_tab1);
+                  // Factory
+                  sb.Append("Factory Types:");
+                  sb.Append(line_delim_tab2);
+                  sb.Append(string.Join(line_delim_tab2, r.algo_type_set.factory_types));
+                  sb.Append(line_delim_tab1);
+                  // Dynamic
+                  sb.Append("Dynamic Types:");
+                  sb.Append(line_delim_tab2);
+                  sb.Append(string.Join(line_delim_tab2, r.algo_type_set.dynamic_types));
+               }
+            }
+         }
+         return sb.ToString();
+      }
+
+      public static AlgoTypeSetImmutable intersect_with(this AlgoTypeSetImmutable a, AlgoTypeSetImmutable b) =>
+         new AlgoTypeSetImmutable(a.factory_types.Intersect(b.factory_types), a.dynamic_types.Intersect(b.dynamic_types));
+
+      public static AlgoTypeSetImmutable union_with(this AlgoTypeSetImmutable a, AlgoTypeSetImmutable b) =>
+         new AlgoTypeSetImmutable(a.factory_types.Union(b.factory_types), a.dynamic_types.Union(b.dynamic_types));
+
+      public static IEnumerable<AlgoData> define_algos(
+         this AlgoTypeSetImmutable algo_set,
+         DynamicOrderHelper dynamic_helper,
+         Func<CustomOrderDefinitionImmutable, CustomOrderDefinitionImmutable> fit_to_type = null,
+         uint display_qty_divisor = 1) =>
+         //
+         algo_set.factory_types
+         .Select(algo_type => {
+            var def = OrderDataHelper.Defaults.CustomOrderDefinitionImmutable(algo_type);
+            if (fit_to_type != null)
+               def = fit_to_type(def);
+            // multiply quantity props by display qty divisor to get appropriate actual value 
+            if (display_qty_divisor > 1) {
+               switch (def.CustomCase) {
+                  case AlgoType.Iceberg:
+                     var mdef = def.CloneToMutable();
+                     mdef.Iceberg.ShowQuantity *= display_qty_divisor;
+                     def = new CustomOrderDefinitionImmutable(mdef);
+                     break;
+               }
+            }
+            return def;
+         })
+         .Concat(algo_set.dynamic_types.Select(dynamic_helper.create_custom_defi))
+         .Select(AlgoData.from_custom_def);
+
+      public static ImmutableDictionary<AlgoKey, AlgoData> match_algos(
+         this IEnumerable<SecurityAlgoTypeSetImmutable> security_algo_sets,
+         SecurityCriteriaClause clause,
+         DynamicOrderHelper dynamic_helper,
+         Func<CustomOrderDefinitionImmutable, CustomOrderDefinitionImmutable> fit_to_type = null,
+         uint display_qty_divisor = 1) {
+         //
+         ImmutableDictionary<AlgoKey, AlgoData> rv = null;
+         foreach (var set in security_algo_sets) {
+            if (!clause.is_subset_of(set.security_criteria)) {
+               continue;
+            } else if (rv == null) {
+               rv = ImmutableDictionary.CreateRange(
+                  set.algo_type_set.define_algos(dynamic_helper, fit_to_type, display_qty_divisor)
+                  .Select(a => new KeyValuePair<AlgoKey, AlgoData>(a.key, a)));
+            } else {
+               foreach (var kv in rv) {
+                  if (kv.Value.value.CustomCase == AlgoType.Dynamic) {
+                     if (!set.algo_type_set.dynamic_types.Contains(kv.Value.value.Dynamic.DynamicOrderType))
+                        rv = rv.Remove(kv.Key);
+                  } else if (!set.algo_type_set.factory_types.Contains(kv.Value.value.CustomCase))
+                     rv = rv.Remove(kv.Key);
+               }
+            }
+         }
+         return rv ?? ImmutableDictionary<AlgoKey, AlgoData>.Empty;
+      }
+   }
+}

src/client/spark/AlgoProvider/IAlgoProvider.cs

@@ -0,0 +1,234 @@
+using bts.api;
+using bts.api.core;
+using bts.api.orderman;
+using bts.utils;
+using mbts.spark.utilities;
+using mbts.ui.utility;
+using mbts.utils;
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+using System.Linq;
+using System.Reactive.Linq;
+
+namespace mbts.spark {
+   interface IAlgoProvider {
+      AlgoTypeSetImmutable get_permitted_algos(SecurityImmutable security);
+      AlgoTypeSetImmutable get_permitted_algos(SecurityCriteriaClause clause);
+      IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos();
+      IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos(SecurityImmutable security);
+      IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos(SecurityCriteriaClause clause);
+   }
+
+   // This interface is used to distinguish the attachable algo provider
+   // from the standard one wrt MEF export/import.
+   interface IAttachableAlgoProvider : IAlgoProvider { }
+
+   class AlgoProvider : IAlgoProvider {
+      readonly IEnumerable<SecurityAlgoTypeSetImmutable> _security_algo_types;
+      readonly IAlgoStudioModel _studio_model;
+      readonly ISecurityAuxiliaryDataModel _security_auxiliary_model;
+      readonly IObservable<TableUpdate<AlgoData, AlgoKey>> _studio_algos_source;
+      readonly DynamicOrderHelper _dynamic_helper;
+      readonly AlgoTypeSetImmutable _full_set;
+
+      public AlgoProvider(IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets, IAlgoStudioModel studio_model, DynamicOrderHelper dynamic_helper, ISecurityAuxiliaryDataModel security_auxiliary_model) {
+         _security_algo_types = algo_sets;
+         _studio_model = studio_model;
+         _dynamic_helper = dynamic_helper;
+         _full_set = new AlgoTypeSetImmutable(
+            ImmutableHashSet.CreateRange(
+               EnumHelper.get_values_except(CustomOrderDefinition.CustomOneofCase.None, CustomOrderDefinition.CustomOneofCase.Dynamic, CustomOrderDefinition.CustomOneofCase.Composite)),
+            ImmutableHashSet.CreateRange(dynamic_helper.dynamic_types));
+         _security_auxiliary_model = security_auxiliary_model;
+         /// initialize <see cref="_studio_algos_source"/> with an empty table, so the
+         /// <see cref="UpdateExtensions.AppendTable{T, TKey}(IObservable{TableUpdate{T, TKey}}, IEnumerable{T})"/>
+         /// calls made by the 'subscribe_algos' methods will fire at least once, even if the underlying
+         /// studio algos stream is empty have been created (this would be the case if the user had not yet created any studio algos).
+         /// <see cref="subscribe_algos"/>,
+         /// <see cref="subscribe_algos(SecurityCriteriaClause)"/>,
+         /// <see cref="subscribe_algos(SecurityImmutable)"/>
+         _studio_algos_source = studio_model.definitions
+            .StartWith(TableUpdate<AlgoData, AlgoKey>.mk_empty(AlgoData.key_fn))
+            .Cache();
+      }
+
+      public AlgoTypeSetImmutable get_permitted_algos(SecurityImmutable security) =>
+         _security_algo_types.Where(p => p.security_criteria.includes(security))
+            .Select(sec_algos => sec_algos.algo_type_set)
+            .Aggregate(_full_set, (result, algos) => result.intersect_with(algos));
+
+      public AlgoTypeSetImmutable get_permitted_algos(SecurityCriteriaClause clause) =>
+         _security_algo_types.Where(p => p.security_criteria.is_subset_of(clause))
+            .Select(sec_algos => sec_algos.algo_type_set)
+            .Aggregate(_full_set, (result, algos) => result.intersect_with(algos));
+
+      public IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos() =>
+         _studio_algos_source
+         .AppendTable(_security_algo_types
+            .Select(s => s.algo_type_set)
+            .Aggregate(AlgoTypeSetImmutable.empty, (a, b) => a.union_with(b))
+            .define_algos(_dynamic_helper));
+
+      public IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos(SecurityCriteriaClause security_clause) {
+         var system_algos = _security_algo_types.match_algos(
+            security_clause,
+            _dynamic_helper,
+            def => _fit_to_type(def, security_clause, _security_algo_types));
+
+         return _studio_algos_source.Select(
+            a => (algo: a, fitted_def: _fit_to_type(a.value, security_clause, _security_algo_types)),
+            tup => tup.algo.key)
+         .Select(tup => AlgoData.create(tup.fitted_def, tup.algo.name, tup.algo.key), a => a.key)
+         .AppendTable(system_algos.Values);
+      }
+
+      public IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos(SecurityImmutable security) {
+         var clause = new SecurityCriteriaClause(
+            exchanges: new[] { security.Exchange },
+            security_types: new[] { security.security_type() });
+         // i.e., non-studio algos
+         var system_algos = _security_algo_types.match_algos(
+            clause,
+            _dynamic_helper,
+            def => _fit_to_type(def, security, _security_algo_types),
+            _security_auxiliary_model.get_display_quantity_divisor(security));
+
+         return _studio_algos_source.Select(
+            a => (algo: a, fitted_def: _fit_to_type(a.value, security, _security_algo_types)),
+            tup => tup.algo.key)
+         // filter out algos that use an unsupported root, because this would have the effect of duplicating the default algo
+         // (e.g., GlbxIceberg orders would be converted to Limit/Spreader orders for non-Glbx securities).
+         .Filter(tup => tup.fitted_def.actual().CustomCase == tup.algo.value.actual().CustomCase, tup => tup.algo.key)
+         .Select(tup => AlgoData.create(tup.fitted_def, tup.algo.name, tup.algo.key), AlgoData.key_fn)
+         .AppendTable(system_algos.Values);
+      }
+
+      protected virtual void assign_fallback_algo(CustomOrderDefinition mdef, SecurityCriteriaClause security_clause) {
+         if (security_clause.security_types.empty_if_null().Contains(Security.ContractOneofCase.Synthetic.security_type())) {
+            mdef.Spreader = new SpreaderOrderDefinition();
+         } else {
+            mdef.Limit = new LimitOrderDefinition();
+         }
+      }
+
+      protected virtual void assign_fallback_algo(CustomOrderDefinition mdef, SecurityImmutable security) {
+         if (security.ContractCase == Security.ContractOneofCase.Synthetic) {
+            mdef.Spreader = new SpreaderOrderDefinition {
+               Security = security.CloneToMutable()
+            };
+         } else {
+            mdef.Limit = new LimitOrderDefinition();
+         }
+      }
+
+      CustomOrderDefinitionImmutable _fit_to_type(CustomOrderDefinitionImmutable defi, SecurityCriteriaClause security_clause, IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets) {
+         var mroot = defi.CloneToMutable();
+         if (_fit_to_type(mroot, security_clause, algo_sets)) {
+            defi = new CustomOrderDefinitionImmutable(mroot);
+         }
+         return defi;
+      }
+
+      CustomOrderDefinitionImmutable _fit_to_type(CustomOrderDefinitionImmutable defi, SecurityImmutable security, IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets) {
+         var mroot = defi.CloneToMutable();
+         if (_fit_to_type(mroot, security, algo_sets)) {
+            defi = new CustomOrderDefinitionImmutable(mroot);
+         }
+         return defi;
+      }
+
+      bool _fit_to_type(CustomOrderDefinition mdef, SecurityCriteriaClause security_clause, IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets) {
+         while (mdef.CustomCase == CustomOrderDefinition.CustomOneofCase.Composite)
+            mdef = mdef.Composite.Definition;
+         var sec_sets = algo_sets.Where(s => security_clause.is_subset_of(s.security_criteria));
+         if (mdef.CustomCase == CustomOrderDefinition.CustomOneofCase.Dynamic) {
+            if (!algo_sets.All(s => s.algo_type_set.dynamic_types.Contains(mdef.Dynamic.DynamicOrderType))) {
+               assign_fallback_algo(mdef, security_clause);
+               return true;
+            }
+         } else if (!sec_sets.All(s => s.algo_type_set.factory_types.Contains(mdef.CustomCase))) {
+            assign_fallback_algo(mdef, security_clause);
+            return true;
+         }
+         return OrderDataHelper.get_child_algo_data(mdef).Count(cad => _fit_to_type(cad.get_child(mdef), security_clause, algo_sets)) > 0;
+      }
+
+      bool _fit_to_type(CustomOrderDefinition mdef, SecurityImmutable security, IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets) {
+         while (mdef.CustomCase == CustomOrderDefinition.CustomOneofCase.Composite)
+            mdef = mdef.Composite.Definition;
+         var sec_sets = algo_sets.Where(s => s.security_criteria.includes(security));
+         if (mdef.CustomCase == CustomOrderDefinition.CustomOneofCase.Dynamic) {
+            if (!sec_sets.All(s => s.algo_type_set.dynamic_types.Contains(mdef.Dynamic.DynamicOrderType))) {
+               assign_fallback_algo(mdef, security);
+               return true;
+            }
+         } else if (!sec_sets.All(s => s.algo_type_set.factory_types.Contains(mdef.CustomCase))) {
+            assign_fallback_algo(mdef, security);
+            return true;
+         }
+         return OrderDataHelper.get_child_algo_data(mdef).Count(cad => _fit_to_type(cad.get_child(mdef), security, algo_sets)) > 0;
+      }
+   }
+
+   class AttachableAlgoProvider : AlgoProvider, IAttachableAlgoProvider {
+      public AttachableAlgoProvider(IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets, IAlgoStudioModel studio_model, DynamicOrderHelper dynamic_helper, ISecurityAuxiliaryDataModel security_auxiliary_model)
+         : base(algo_sets, studio_model, dynamic_helper, security_auxiliary_model) { }
+
+      // arbitrarily assign LimitOrderDefinition (this is just a placeholder; the real child is the attach target algo).
+      // Note: although 'None' might seem approrpriate, the server requires a valid definition (perhaps this will change in the future).
+      protected override void assign_fallback_algo(CustomOrderDefinition mdef, SecurityCriteriaClause security_clause) =>
+         mdef.Limit = new LimitOrderDefinition();
+
+      // arbitrarily assign LimitOrderDefinition (this is just a placeholder; the real child is the attach target algo).
+      // Note: although 'None' might seem approrpriate, the server requires a valid definition (perhaps this will change in the future).
+      protected override void assign_fallback_algo(CustomOrderDefinition mdef, SecurityImmutable security) =>
+         mdef.Limit = new LimitOrderDefinition();
+   }
+
+   static class AlgoProviderExtensions {
+      // This stream filters out composite algos that are not subsets of the non-composite algo types in the table
+      // (normally, such composites are 'auto-fit,' meaning the algo nodes that are not part of the set are replaced with ones that are).
+      // For example, consider a composite algo the following structure: Offset -> GlbxIceberg.
+      // If an update arrives with these noncomposite types: "Iceberg, Limit, Market," that composite algo is not a subset of the non-composite algo types,
+      // because GlbxIceberg is not in the table, so it would only be added to the table if/when GlbxIceberg arrives.
+      public static IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_complete_algos(this IAlgoProvider algo_provider, bool allow_undefined_child = false) =>
+         subscribe_complete_algos(algo_provider.subscribe_algos(), allow_undefined_child);
+
+      public static IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_complete_algos(IObservable<TableUpdate<AlgoData, AlgoKey>> source, bool allow_undefined_child = false) =>
+         Observable.Create<TableUpdate<AlgoData, AlgoKey>>(o => {
+            var last_out = TableUpdate<AlgoData, AlgoKey>.mk_empty(AlgoData.key_fn);
+            var incomplete_composites = ImmutableHashSet<AlgoData>.Empty;
+            return source.Subscribe(table => {
+               var bd = last_out.to_builder();
+               foreach (var algo in incomplete_composites.Where(a => _validate_algo_structure(a.value, table.state, allow_undefined_child))) {
+                  incomplete_composites = incomplete_composites.Remove(algo);
+                  bd.add_or_update(algo);
+               }
+               foreach (var a in table.removed.Concat(table.changes.Old()))
+                  bd.remove(a.key);
+               foreach (var a in table.added.Concat(table.changed)) {
+                  if (_validate_algo_structure(a.value, table.state, allow_undefined_child)) {
+                     bd.add_or_update(a);
+                  } else {
+                     incomplete_composites = incomplete_composites.Add(a);
+                  }
+               }
+               o.OnNext(last_out = bd.to_table());
+            });
+         });
+
+      static bool _validate_algo_structure(CustomOrderDefinitionImmutable custom_def, IReadOnlyDictionary<AlgoKey, AlgoData> allowed_algo_parts, bool allow_undefined_child) =>
+         OrderDataHelper.enumerate_algo_structure(custom_def)
+         .Select((algo_node, index) =>
+            // None is an acceptable algo type as long as it's not the root algo (i.e., index > 0)
+            (index > 0 && allow_undefined_child && algo_node.type == CustomOrderDefinition.CustomOneofCase.None) || _is_part_contained(algo_node, allowed_algo_parts))
+         .All();
+
+      static bool _is_part_contained((CustomOrderDefinition.CustomOneofCase type, string dyn, uint studio_id, uint spreader_sec) structure, IReadOnlyDictionary<AlgoKey, AlgoData> state) =>
+         structure.type == CustomOrderDefinition.CustomOneofCase.Composite ||
+         structure.type == CustomOrderDefinition.CustomOneofCase.Dynamic ?
+            state.ContainsKey(AlgoKey.from_dynamic_type(structure.dyn)) :
+            state.ContainsKey(AlgoKey.from_known_type(structure.type));
+   }
+}

src/client/spark/Images/Icons.cs

@@ -27,6 +27,7 @@ namespace mbts.ui {
          CheckMarkGeometryKey = nameof(CheckMarkGeometryKey),
          CopyWFGeometryKey = nameof(CopyWFGeometryKey),
          CopyBoxesGeometryKey = nameof(CopyBoxesGeometryKey),
+         CurrencyExchangeGeometryKey = nameof(CurrencyExchangeGeometryKey),
          DataEditGeometryKey = nameof(DataEditGeometryKey),
          DetachAlgosKey = nameof(DetachAlgosKey),
          DiskGeometryKey = nameof(DiskGeometryKey),
@@ -161,6 +162,7 @@ namespace mbts.ui {
       public static ImageSource Clock { get { return load_resource_and_freeze("Clock"); } }
       public static ImageSource CopyWF => create_icon(CopyWFGeometryKey);
       public static ImageSource CopyBoxes => create_icon(CopyBoxesGeometryKey, null, _copy_boxes_pen);
+      public static ImageSource CurrencyExchange => create_icon(CurrencyExchangeGeometryKey);
       public static ImageSource DataEdit => create_icon(DataEditGeometryKey);
       public static ImageSource Defrag { get { return load_resource_and_freeze("Defrag"); } }
       public static ImageSource DetachAlgos => create_icon_and_rotate(DetachAlgosKey, Brushes.Red);

src/client/spark/Images/Vector/Icons.xaml

@@ -62,6 +62,10 @@
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   </sys:String>
 
+  <sys:String x:Key="{x:Static mbts:Icons.CurrencyExchangeGeometryKey}">
+    M0,24L15.324005,24C16.042007,24.785004,16.875,25.460999,17.800003,26L2,26 2,30 23.087997,30 23.087006,27.424988C23.771011,27.423004,24.439011,27.352997,25.085999,27.225983L25.085999,30C25.085999,31.10199,24.189011,32,23.085999,32L2,32C0.89700317,32,0,31.10199,0,30z M22.484015,13.026998L23.475018,13.026998 23.475018,13.856997C24.151018,13.885996,24.605021,14.016996,24.93902,14.167996L24.646021,15.233995C24.38302,15.129995 23.919018,14.912995 23.191017,14.912995 22.535015,14.912995 22.323015,15.176995 22.323015,15.440995 22.323015,15.751994 22.676016,15.950994 23.535017,16.251994 24.73702,16.647994 25.222021,17.166993 25.222021,18.015992 25.222021,18.854991 24.58502,19.571991 23.424017,19.759991L23.424017,20.72199 22.434015,20.72199 22.434015,19.825991C21.757013,19.797991,21.101011,19.627991,20.71701,19.420991L21.019012,18.317992C21.444014,18.533992 22.040014,18.731992 22.697016,18.731992 23.272017,18.731992 23.666018,18.524992 23.666018,18.147992 23.666018,17.788992 23.343018,17.562993 22.596016,17.326993 21.515013,16.987993 20.777012,16.516994 20.777012,15.601995 20.777012,14.771996 21.404013,14.119996 22.484015,13.922997z M0.065009117,12.384011L13.628021,12.384011C13.320021,13.018011,13.075021,13.687011,12.89902,14.384011L2.065011,14.384011 2.065011,18.384011 12.68002,18.384011C12.77602,19.075011,12.93702,19.743011,13.16102,20.384011L0.065009117,20.384011z M23.060013,10.460008C19.480015,10.460008 16.568016,13.368006 16.568016,16.943003 16.568016,20.519001 19.480015,23.426999 23.060013,23.427 26.640011,23.426999 29.55201,20.519001 29.55201,16.943003 29.55201,13.368006 26.640011,10.460008 23.060013,10.460008z M23.060013,8.4600086C27.74201,8.4600086 31.552008,12.266006 31.552008,16.943003 31.552008,21.621 27.74201,25.426998 23.060013,25.426998 18.378014,25.426998 14.568016,21.621 14.568016,16.943003 14.568016,12.266006 18.378014,8.4600086 23.060013,8.4600086z M2.0000181,2L2.0000181,6 23.08602,6 23.08602,2z M2.0000181,0L23.08602,0C24.18902,0,25.08602,0.89699936,25.08602,2L25.08602,6.6599998C24.430019,6.5310001 23.753019,6.4599991 23.060019,6.4599991 21.06402,6.4599991 19.20402,7.0300007 17.614019,8L1.8119812E-05,8 1.8119812E-05,2C1.8066406E-05,0.89699936,0.89701813,0,2.0000181,0z
+  </sys:String>
+
   <sys:String x:Key="{x:Static mbts:Icons.DocumentAddGeometryKey}">
     M10.830011,12.05L13.334007,12.05 13.334007,16.535997 17.819998,16.535997 17.819998,19.03902 13.334007,19.03902 13.334007,23.525016 10.830988,23.525016 10.830988,19.03902 6.3460046,19.03902 6.3449975,16.53499 10.830988,16.535997z M2.2799975,2.4149805L2.2799975,29.580015 22.121998,29.580015 22.121998,8.500008 15.83599,8.500008 15.83599,2.4149805z M0,0L15.83599,0 17.125998,0 22.681996,5.439977 24.407,7.125007 24.407,32.000001 0,32.000001z
   </sys:String>
@@ -276,6 +280,7 @@
       m464.867188 0c-25.988282 0-47.132813 21.144531-47.132813 47.132812v313.75c0 49.324219 11.660156 98.710938 33.71875 142.824219 2.539063 5.082031 7.734375 8.292969 13.414063 8.292969 5.683593 0 10.875-3.210938 13.417968-8.292969 22.054688-44.113281 33.714844-93.503906 33.714844-142.824219v-313.75c0-25.988281-21.144531-47.132812-47.132812-47.132812zm0 30c9.445312 0 17.132812 7.6875 17.132812 17.132812v33.199219h-34.265625v-33.199219c0-9.445312 7.683594-17.132812 17.132813-17.132812zm17.132812 323.46875h-34.265625v-243.136719h34.265625zm-17.132812 105.4375c-8.71875-24.277344-14.1875-49.734375-16.222657-75.4375h32.445313c-2.035156 25.707031-7.507813 51.160156-16.222656 75.4375zm0 0
     </sys:String>
   </x:Array>
+
   <sys:String x:Key="{x:Static mbts:Icons.CheckMarkGeometryKey}">
     F1M9.97498,1.22334L4.6983,9.09834 4.52164,9.09834 0,5.19331 1.27664,3.52165 4.255,6.08833 8.33331,1.52588E-05 9.97498,1.22334z
   </sys:String>

src/client/spark/Modules/Spreader/ShowSyntheticEditorHandler.cs

@@ -46,7 +46,7 @@ namespace bts.shell {
 
       async void _show_synthetic_create(SecurityCriteria security_criteria) {
          var found_securities = await security_criteria.securities(_bus);
-         var respect_clause_security_ordering_is_possible = security_criteria.clauses.Any(clause => clause.security_keys != null && clause.security_keys.Count > 0);
+         var respect_clause_security_ordering_is_possible = security_criteria.clauses.Any(clause => clause.security_keys != null && clause.security_keys.Length > 0);
          if (!respect_clause_security_ordering_is_possible) {
             _show_synthetic_create(found_securities.Values.ToList());
          } else {

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

@@ -85,9 +85,7 @@ namespace mbts.spark {
          icon = Icons.Synthetics;
          _has_working_orders = backing(nameof(has_working_orders), false);
          contract_picker_model = new ContractPickerModel(bus, false, null, new SecurityCriteria(new[] {
-            new SecurityCriteriaClause() {
-               exchanges = EnumHelper.get_values_except(Venue.Bts).ToArray()
-            }
+            new SecurityCriteriaClause(exchanges: EnumHelper.get_values_except(Venue.Bts).ToArray())
          }));
          contract_picker_model.cancel_action += _close_new_leg_popup;
          contract_picker_model.ok_action += () => {

src/client/spark/Modules/Trading/AlgoStudio/Model/AlgoData.cs

@@ -9,6 +9,8 @@ namespace mbts.spark {
    // This is a core data type on the front end, so data validation is strict, as bad values may yield weird/difficult to track bugs.
    // Descriptive factory methods are favored over public constructors, as they are less likely to be misused.
    struct AlgoData : IEquatable<AlgoData> {
+      public static readonly Func<AlgoData, AlgoKey> key_fn = a => a.key;
+
       public readonly CustomOrderDefinitionImmutable value;
       public readonly string name;
       public readonly AlgoKey key;

src/client/spark/Modules/Trading/AlgoStudio/Model/AlgoKey.cs

@@ -128,6 +128,7 @@ namespace mbts.spark {
       }
 
       public bool is_persisted => mode == Mode.Persisted;
+      public bool is_composite => _composite_key.HasValue || _unpersisted.HasValue;
 
       public uint persisted => _composite_key.Value;
       public Guid unpersisted => _unpersisted.Value;
@@ -199,6 +200,15 @@ namespace mbts.spark {
          }
          return EqualityComparer.phase_hash(hash, phase_mult);
       }
+      public override string ToString() {
+         switch (mode) {
+            case Mode.Dynamic: return $"Dynamic: {dynamic_type}";
+            case Mode.Factory: return $"Factory: {factory}";
+            case Mode.Persisted: return $"Composite: {persisted}";
+            case Mode.Unpersisted: return $"(Composite): {unpersisted}";
+            default: return mode.ToString();
+         }
+      }
 
       public static bool operator ==(AlgoKey a, AlgoKey b) => a.Equals(b);
       public static bool operator !=(AlgoKey a, AlgoKey b) => !a.Equals(b);

src/client/spark/Modules/Trading/AlgoStudio/Model/AlgoStudioFlatDefinitionModel.cs

@@ -12,20 +12,20 @@ namespace mbts.spark {
    [Export(typeof(IAlgoStudioModel))]
    class AlgoStudioFlatDefinitionModel : IAlgoStudioModel, IDisposable {
       readonly AlgoDefinitionService _service;
-      readonly AdminModel _admin_model;
+      readonly UserTuple _user;
       readonly ErrorReporter _error_reporter;
       IReadOnlyDictionary<AlgoKey, AlgoData> _algos = DictionaryHelper.empty<AlgoKey, AlgoData>();
       IDisposable _dispose;
 
       [ImportingConstructor]
-      public AlgoStudioFlatDefinitionModel(AlgoDefinitionService service, IAlgoDefinitionMetadataService metadata_service, AdminModel admin_model, ErrorReporter error_reporter) {
+      public AlgoStudioFlatDefinitionModel(AlgoDefinitionService service, IAlgoDefinitionMetadataService metadata_service, UserTuple user, ErrorReporter error_reporter) {
          _service = service;
          this.metadata_service = metadata_service;
-         _admin_model = admin_model;
+         _user = user;
          _error_reporter = error_reporter;
          definitions =
             service.subscribei_algo_definitions()
-            .Filter(r => r.Metadata.IsActive && _admin_model.user.can_access_user_data(r.Metadata.CreatorUserId))
+            .Filter(r => r.Metadata.IsActive && _user.can_access_user_data(r.Metadata.CreatorUserId))
             .SelectKeyValue(_definition_data, d => d.key)
             .Table()
             .Cache();
@@ -37,7 +37,7 @@ namespace mbts.spark {
 
       public async Task<AlgoData?> save_definition(AlgoData definition_data) {
          var (value, success) = await _error_reporter.safe_execute(() => _service.save_algo_definition_async(
-            _with_key(new AlgoDefinitionUpdateRequest { UserId = _admin_model.user.id, Algo = _api_definition(definition_data) }, definition_data.key)),
+            _with_key(new AlgoDefinitionUpdateRequest { UserId = _user.id, Algo = _api_definition(definition_data) }, definition_data.key)),
             r => r.Success, r => r.ErrorMessage, "saving definition");
          if (success)
             return _definition_data(new AlgoDefinitionRecordImmutable(value.Record));
@@ -93,4 +93,4 @@ namespace mbts.spark {
          }
       }
    }
-}
+}

src/client/spark/Modules/Trading/AlgoStudio/Model/Metadata/AlgoDefinitionMetadata.cs

@@ -11,6 +11,8 @@ namespace mbts.spark {
    /// decouple the client-side key type from the server-side one, so both key types may evolve independently moving forward.
    /// </summary>
    struct AlgoDefinitionMetadata : IEquatable<AlgoDefinitionMetadata> {
+      public static readonly Func<AlgoDefinitionMetadata, AlgoKey> key_fn = m => m.id;
+
       public readonly AlgoKey id, default_template;
       readonly AlgoKey[] _favorite_templates;
       public readonly bool is_favorite, is_hidden;

src/client/spark/Modules/Trading/AlgoStudio/Utils/AlgoCollectionHelper.cs

@@ -35,34 +35,21 @@ namespace mbts.spark {
                Comparer<IAlgoVM>.Create(_CompareUtils.compare_names)
             }).to_comparer().to_safe();
 
-      public static void update_persisted_definitions(ObservableKeyedCollection<AlgoDefinitionVM, AlgoKey> target, TableUpdate<AlgoData, AlgoKey> update, Func<AlgoData, AlgoDefinitionVM> factory) {
-         foreach (var d in update.removed)
-            target.Remove(d.key);
-         foreach (var d in update.changed)
+      public static void update_persisted_definitions(ObservableKeyedCollection<AlgoDefinitionVM, AlgoKey> target, TableUpdate<AlgoData, AlgoKey> update, Func<AlgoData, AlgoDefinitionVM> factory) =>
+         update_persisted_definitions(target, update.added, update.changed, update.removed.Select(AlgoData.key_fn), factory);
+
+      public static void update_persisted_definitions(ObservableKeyedCollection<AlgoDefinitionVM, AlgoKey> target, IEnumerable<AlgoData> added, IEnumerable<AlgoData> changed, IEnumerable<AlgoKey> removed, Func<AlgoData, AlgoDefinitionVM> factory) {
+         foreach (var k in removed)
+            target.Remove(k);
+         foreach (var d in changed)
             target[d.key].load(d);
-         foreach (var d in update.added) {
+         foreach (var d in added) {
             if (target.TryGetValue(d.key, out AlgoDefinitionVM def)) {
                def.load(d);
             } else target.Add(factory(d));
          }
       }
 
-      public static void update_persisted_definition_wrappers(IDictionary<AlgoKey, IAlgoVM> target, TableUpdate<AlgoData, AlgoKey> update, Func<AlgoData, AlgoDefinitionVM> factory) {
-         foreach (var d in update.removed)
-            target.Remove(d.key);
-         foreach (var d in update.changed) {
-            var vm = target[d.key];
-            if (vm is AlgoVMWrapper wrapper) {
-               wrapper.value.load(d);
-            } else vm.load_from(d.value);
-         }
-         foreach (var d in update.added) {
-            if (target.TryGetValue(d.key, out IAlgoVM def)) {
-               def.load_from(d.value);
-            } else target.Add(d.key, new AlgoVMWrapper(factory(d)));
-         }
-      }
-
       public static void commit_all(this IEnumerable<AlgoParamRowVM> algo_param_rows) =>
          algo_param_rows.Select(r => r.param).commit_all();
 

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

@@ -42,21 +42,21 @@ namespace mbts.spark {
       readonly Property<string> _name, _abbreviation;
       readonly ObservableKeyedCollection<IAlgoVM, AlgoKey> _algo_roots = new ObservableKeyedCollection<IAlgoVM, AlgoKey>(vm => vm.id);
       readonly DeferrableActionWrapper _refresh_on_local_changes;
-      readonly Property<AlgoFormats> _selected_format;
       readonly EnumMaskInt32<AlgoEditingPermissions> _permissions_mask = new EnumMaskInt32<AlgoEditingPermissions>();
 
       int? _favorite_index;
       Brush _badge_fill;
       Snapshot? _committed;
       AlgoDefinitionMetadata _metadata;
+      IDisposable _loaded_data_hook;
 
-      public static AlgoDefinitionVM create(OrdersModel model, AlgoData data, AlgoFormats init_format = AlgoFormats.Exchange, AlgoEditingPermissions editing_permissions = (AlgoEditingPermissions)int.MaxValue) =>
-         new AlgoDefinitionVM(model, data, init_format, editing_permissions);
+      public static AlgoDefinitionVM create(OrdersModel model, AlgoData data, AlgoEditingPermissions editing_permissions = (AlgoEditingPermissions)int.MaxValue) =>
+         new AlgoDefinitionVM(model, data, editing_permissions);
 
-      public static AlgoDefinitionVM create_placeholder(OrdersModel model, CustomOrderDefinitionImmutable def, string name, AlgoFormats init_format) =>
-         new AlgoDefinitionVM(model, AlgoData.create_unpersisted(def, name), init_format, (AlgoEditingPermissions)int.MaxValue);
+      public static AlgoDefinitionVM create_placeholder(OrdersModel model, CustomOrderDefinitionImmutable def, string name) =>
+         new AlgoDefinitionVM(model, AlgoData.create_unpersisted(def, name), (AlgoEditingPermissions)int.MaxValue);
 
-      AlgoDefinitionVM(OrdersModel model, AlgoData def_data, AlgoFormats init_format, AlgoEditingPermissions init_permissions) {
+      AlgoDefinitionVM(OrdersModel model, AlgoData def_data, AlgoEditingPermissions init_permissions) {
          // init core data
          _model = model;
          _permissions_mask.mask = init_permissions;
@@ -80,7 +80,6 @@ namespace mbts.spark {
          // init backing props
          _name = backing(nameof(name), def_data.name);
          _abbreviation = backing(nameof(abbreviation), string.Empty);
-         _selected_format = backing(nameof(selected_format), init_format);
          _is_favorite = backing(nameof(is_favorite), () => _favorite_index.HasValue);
          _is_expanded = backing(nameof(is_expanded), true);
          _is_selected = backing(nameof(is_selected), true);
@@ -133,17 +132,6 @@ namespace mbts.spark {
                   break;
             }
             var permission_src = _permissions_mask.observe_result();
-            resources.Add(_selected_format.observe_current(true).CombineLatest(permission_src, (fmt, perms) => (fmt, perms))
-               .SubscribeEach(t => {
-                  if ((t.perms & AlgoEditingPermissions.AllowEditStructure) != 0) {
-                     using (_refresh_on_local_changes.defer_execution()) {
-                        var algo_data = model.factory.default_algos(t.fmt);
-                        var default_algo = AlgoKey.from_known_type(OrderDataHelper.get_default_algo(t.fmt));
-                        return this.load_algo_data_recursive(algo_data, default_algo);
-                     }
-                  }
-                  return Disposable.empty;
-               }));
             resources.Add(permission_src.Subscribe(_ => RaisePropertyChanged(nameof(editing_permissions))));
             resources.Add(this.connect_data(permission_src));
             resources.Add(this.connect_data(Observable.Return(model)));
@@ -202,9 +190,6 @@ namespace mbts.spark {
       public EnabledValueVM<Color> custom_badge_color { get; } = new EnabledValueVM<Color>();
       public ObservableCollection<ColorPaletteVM> custom_badge_color_palettes { get; } = new ObservableCollection<ColorPaletteVM>();
       public Brush badge_fill => _badge_fill;
-      // format
-      public AlgoFormats selected_format { get => _selected_format.Value; set => _selected_format.set(value); }
-      public ObservableCollection<AlgoFormats> formats { get; } = new ObservableCollection<AlgoFormats> { AlgoFormats.Exchange, AlgoFormats.Spreader, AlgoFormats.Exchange | AlgoFormats.Spreader };
       // visual states
       public ObservableCollection<string> edit_pane_visual_states => _edit_pane_vs_model.states;
       public ObservableCollection<string> tree_view_visual_states => _tree_view_vs_model.states;
@@ -270,17 +255,14 @@ namespace mbts.spark {
       void IObserver<(IReadOnlyDictionary<AlgoKey, AlgoData> algo_data, AlgoKey? default_algo)>.OnError(Exception error) { }
       #endregion
 
-      void _load_algo_data(IReadOnlyDictionary<AlgoKey, AlgoData> algo_data, AlgoKey? default_algo) {
-         var orig_algo = algo_root?.id;
-         _algo_roots.SyncWithDictionary(algo_data, d => OrderTypeVMFactory.create(d, is_expanded: true));
-         if (!try_select(orig_algo) && !try_select(default_algo))
-            algo_root = algo_roots.FirstOrDefault();
-         //
-         bool try_select(AlgoKey? algo_key) {
-            if (algo_key.HasValue && _algo_roots.TryGetValue(algo_key.Value, out IAlgoVM match)) {
+      void _load_algo_data(IReadOnlyDictionary<AlgoKey, AlgoData> data, AlgoKey? default_algo) {
+         Disposable.dispose(ref _loaded_data_hook);
+         _algo_roots.SyncWithDictionary(data, d => OrderTypeVMFactory.create(d, is_expanded: true));
+         _loaded_data_hook = ObservableAutoWrapper.connect_item_hooks(algo_roots, vm =>
+            ObservableAutoWrapper.connect_item_actions(vm.child_algo_selectors, s => s.load_algo_data(data, null)));
+         if (algo_root == null || !_algo_roots.ContainsKey(algo_root.id)) {
+            if (default_algo.HasValue && _algo_roots.TryGetValue(default_algo.Value, out IAlgoVM match))
                algo_root = match;
-               return true;
-            } else return false;
          }
       }
 
@@ -346,7 +328,7 @@ namespace mbts.spark {
 
       // pass a copy of the persisted state - rather than use local values - because if something goes wrong, it is better to be in sync with data fresh from the server/api.
       public AlgoDefinitionVM to_persisted(AlgoData def) =>
-         new AlgoDefinitionVM(_model, def, selected_format, editing_permissions_mask);
+         new AlgoDefinitionVM(_model, def, editing_permissions_mask);
 
       public AlgoData create_algo_def() =>
          AlgoData.create(algo_root == null ? new CustomOrderDefinitionImmutable(new CustomOrderDefinition()) : algo_root.definition, name, key);
@@ -368,7 +350,6 @@ namespace mbts.spark {
 
       void _assign_from_data(Snapshot state) {
          _assign_from_data(state.data);
-         _selected_format.set(state.format);
          _abbreviation.set(state.abbreviation);
          custom_badge_color.set_nullable(state.custom_badge_color);
       }
@@ -429,41 +410,36 @@ namespace mbts.spark {
       }
 
       Snapshot _snapshot() =>
-         new Snapshot(create_algo_def(), abbreviation, custom_badge_color.get_nullable(), selected_format);
+         new Snapshot(create_algo_def(), abbreviation, custom_badge_color.get_nullable());
 
       public struct Snapshot : IEquatable<Snapshot> {
          public readonly AlgoData data;
          public readonly string abbreviation;
          public readonly Color? custom_badge_color;
-         public readonly AlgoFormats format;
 
-         public Snapshot(AlgoData data, string abbreviation, Color? custom_badge_color, AlgoFormats format) {
+         public Snapshot(AlgoData data, string abbreviation, Color? custom_badge_color) {
             this.data = data;
             this.abbreviation = abbreviation;
             this.custom_badge_color = custom_badge_color;
-            this.format = format;
          }
 
          public bool Equals(Snapshot other) =>
             data == other.data &&
             abbreviation == other.abbreviation &&
-            custom_badge_color == other.custom_badge_color &&
-            format == other.format;
+            custom_badge_color == other.custom_badge_color;
 
          public override bool Equals(object obj) => EqualityComparer.equals_obj(this, obj);
          public override int GetHashCode() =>
             EqualityComparer.aggregate_hash(
                data.GetHashCode(),
                abbreviation?.GetHashCode() ?? 0,
-               custom_badge_color?.GetHashCode() ?? 0,
-               (int)format);
+               custom_badge_color?.GetHashCode() ?? 0);
 #if DEBUG
          public override string ToString() {
             var sb = new System.Text.StringBuilder();
             sb.Append($"name: {data.name}; ");
             sb.Append($"abbrev.: {abbreviation}; ");
             sb.Append($"badge: {custom_badge_color} ");
-            sb.Append($"fmt: {format} ");
             sb.Append($"def: {data.value}");
             return sb.ToString();
          }
@@ -477,7 +453,6 @@ namespace mbts.spark {
          public bool Equals(Snapshot x, Snapshot y) =>
             x.abbreviation == y.abbreviation &&
             x.custom_badge_color == y.custom_badge_color &&
-            x.format == y.format &&
             x.data.key == y.data.key &&
             x.data.name == y.data.name &&
             x.data.value.Equals(y.data.value);

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

@@ -1,7 +1,11 @@
 using bts;
+using bts.api;
+using bts.api.core;
 using bts.api.orderman;
+using bts.collections;
 using bts.utils;
 using mbts.collections;
+using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.shell;
 using mbts.ui.utility;
@@ -37,7 +41,6 @@ namespace mbts.spark {
    }
 
    class AlgoStudioVM : DisposableViewModelBase {
-      static readonly AlgoFormats _studio_formats = AlgoFormats.Exchange;
       readonly OrdersModel _model;
       readonly Property<AlgoDefinitionVM> _selected_definition;
       readonly Property<IAlgoVM> _editable_content;
@@ -70,12 +73,24 @@ namespace mbts.spark {
          _revert_cmd_tooltip = backing(nameof(revert_cmd_tooltip), get_revert_tooltip);
          //
          _dispose = new CompositeDisposable(
-            _model.algo_model.definitions.Subscribe(_definitions_update_buffer),
-            _definitions_update_buffer.OnDispatcher().Subscribe(u => {
-               var orig_selected_def = selected_definition;
-               AlgoCollectionHelper.update_persisted_definitions(_definitions, u, d => AlgoDefinitionVM.create(model, d, _studio_formats));
+            _model.subscribe_complete_algos(allow_undefined_child: true).OnDispatcher().Subscribe(_definitions_update_buffer),
+            _definitions_update_buffer.OnDispatcher()
+            .SubscribeEach(u => {
+               u.FilterIncremental(a => a.key.is_composite, out var added, out var changes, out var removed);
+               AlgoCollectionHelper.update_persisted_definitions(
+                  _definitions, added, changes.New(), removed.Select(AlgoData.key_fn), algo => AlgoDefinitionVM.create(_model, algo));
                if (selected_definition == null)
                   selected_definition = definitions.FirstOrDefault();
+               // Load the algo building blocks (i.e., factory and dynamic algos):
+               //    - Composite algos cannot reference other composite algos - that would create awkward dependency issues as composite algos can be modified/deleted.
+               //    - Spreader algos are filtered out as well, because that don't actually mean anything to the algo structure.
+               //      Synthetic securities in our system are defined by a set of contract legs, and a [single]strategy.
+               //      Note: synthetic strategy templates, however, could be introduced at a later date (no reason why 1 synthetic security couldn't have several ExecutionStrategies).
+               var algo_building_blocks = new FilteredDictionary<AlgoKey, AlgoData>(
+                  u.state,
+                  a => a.key.mode == AlgoKey.Mode.Dynamic || (a.key.mode == AlgoKey.Mode.Factory && a.key.factory != CustomOrderDefinition.CustomOneofCase.Spreader));
+               return ObservableAutoWrapper.connect_item_actions(_definitions.AsCollection(),
+                  d => ((IAlgoSelector)d).load_algo_data(algo_building_blocks, null));
             }),
             _model.algo_model.metadata_service.subscribe_metadata().OnDispatcher().Subscribe(meta => {
                _persisted_meta = meta;
@@ -125,7 +140,7 @@ namespace mbts.spark {
          }
 
          void add_definition_common(CustomOrderDefinitionImmutable def, string name) {
-            var new_def = AlgoDefinitionVM.create_placeholder(_model, def, name, _studio_formats);
+            var new_def = AlgoDefinitionVM.create_placeholder(_model, def, name);
             _definitions.Add(new_def);
             selected_definition = new_def;
             request_view_focus_name?.Invoke(new_def);

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

@@ -1,214 +0,0 @@
-using bts.api;
-using bts.api.orderman;
-using bts.collections;
-using bts.spark;
-using mbts.spark.utilities;
-using mbts.ui;
-using mbts.ui.controls;
-using mbts.ui.shell;
-using mbts.utils;
-using System;
-using System.Collections.Generic;
-using System.Collections.ObjectModel;
-using System.Collections.Specialized;
-using System.ComponentModel;
-using System.Reactive.Disposables;
-using System.Reactive.Linq;
-using System.Threading.Tasks;
-using System.Windows.Input;
-
-namespace mbts.spark {
-   class AlgoVMWrapper : DisposableViewModelBase, IAlgoVM,
-      IObserver<SecurityMD?>,
-      IObserver<SecurityImmutable?>,
-      IObserver<OrdersModel>,
-      IObserver<AlgoEditingPermissions> {
-      static readonly HashSet<string>
-         _algo_root_echo_props = new HashSet<string> {
-            nameof(is_expanded),
-            nameof(editing_permissions),
-            nameof(definition),
-            nameof(display_name)
-         };
-      static readonly IReadOnlyDictionary<string, string>
-         _value_echo_props = new Dictionary<string, string> {
-            { nameof(AlgoDefinitionVM.name), nameof(display_name) },
-            { nameof(AlgoDefinitionVM.abbreviation), nameof(abbreviation) },
-            { nameof(AlgoDefinitionVM.badge_fill), nameof(meta) }
-         };
-      readonly ObservableAggregateCollection<IAlgoSelector> _child_algo_selectors = new ObservableAggregateCollection<IAlgoSelector>();
-      readonly ObservableAggregateCollection<IAlgoParamVM> _algo_params = new ObservableAggregateCollection<IAlgoParamVM>();
-      readonly DisposableContainer _value_hooks = new DisposableContainer();
-      Action _definition_changed = () => { };
-      _ObservedData? _data_cache;
-      AlgoDefinitionVM _value;
-
-      public AlgoVMWrapper(AlgoDefinitionVM algo_definition_vm) {
-         value = algo_definition_vm;
-         _dispose = new CompositeDisposable(_value_hooks) {
-            _child_algo_selectors.clear_collections,
-            _algo_params.clear_collections,
-            () => _value?.Dispose()
-         };
-      }
-
-      public event Action definition_changed { add => _definition_changed += value; remove => _definition_changed -= value; }
-
-      public AlgoDefinitionVM value {
-         get => _value;
-         set {
-            if (_value != value) {
-               _value?.Dispose();
-               _value = value;
-               _value_hooks.replace(_set_hooks(value));
-               RaisePropertyChanged(nameof(value));
-            }
-         }
-      }
-      public AlgoKey id => _value.key;
-      public CustomOrderDefinition.CustomOneofCase order_type => _algo_root?.order_type ?? CustomOrderDefinition.CustomOneofCase.None;
-      public OrderMetadata meta {
-         get {
-            if (_value != null) {
-               if (_value.custom_badge_color.enabled)
-                  return new OrderMetadata { Color = value.custom_badge_color.value.rgb_color(), KeyBinding = value.abbreviation.if_null_or_empty(value.name) };
-               else if (_value.algo_root != null)
-                  return _value.algo_root.meta;
-            }
-            return OrderDataHelper.get_metadata(order_type);
-         }
-      }
-      public AlgoEditingPermissions editing_permissions => _value?.editing_permissions ?? AlgoEditingPermissions.None;
-      public bool can_expand => _algo_root?.can_expand ?? false;
-      public bool is_expanded {
-         get => _value.algo_root?.is_expanded ?? false;
-         set {
-            if (_value != null)
-               _value.is_expanded = value;
-         }
-      }
-      public string display_name => _value?.name ?? string.Empty;
-      public string abbreviation => _value?.abbreviation;
-      public AlgoDisplayGroup group => _value?.group ?? AlgoDisplayGroup.BTS;
-      public CustomOrderDefinitionImmutable definition => _algo_root?.definition ?? new CustomOrderDefinitionImmutable(new CustomOrderDefinition());
-      public ObservableCollection<IAlgoSelector> child_algo_selectors => _child_algo_selectors;
-      [EditorBrowsable(EditorBrowsableState.Never)]
-      public ObservableCollection<IAlgoSelector> child_algo_selectors_view {
-         get {
-            _value?.algo_root?.ensure_init();
-            return _child_algo_selectors;
-         }
-      }
-      public IReadOnlyObservableCollection<IAlgoParamVM> algo_params => _algo_params;
-      [EditorBrowsable(EditorBrowsableState.Never)]
-      public dynamic children_vm => _algo_root?.children_vm;
-
-      IAlgoVM _algo_root => _value?.algo_root;
-
-      public void assign_to(CustomOrderDefinition value) => _algo_root?.assign_to(value);
-      public bool key_match(KeyEventArgs e) => _algo_root?.key_match(e) ?? false;
-      public void load_from(CustomOrderDefinitionImmutable value) => _algo_root?.load_from(value);
-      public void load_many(IEnumerable<CustomOrderDefinitionImmutable> values) => _algo_root?.load_many(values);
-      void IAlgoVM.ensure_init() => _value?.algo_root?.ensure_init();
-
-      IDisposable _set_hooks(AlgoDefinitionVM vm) {
-         var algo_root_subs = new DisposableContainer();
-         vm.PropertyChanged += on_value_prop_changed;
-         return new CompositeDisposable(
-            vm.observe_algo_root().Subscribe(r => {
-               algo_root_subs.replace(null);
-               _child_algo_selectors.clear_collections();
-               _algo_params.clear_collections();
-               if (r != null) {
-                  if (_data_cache.HasValue) {
-                     _data_cache.Value.forward_to(r);
-                  }
-                  _child_algo_selectors.add_collection(r.child_algo_selectors);
-                  _algo_params.add_collection(r.algo_params);
-                  ((INotifyPropertyChanged)r).PropertyChanged += on_algo_root_prop_changed;
-                  algo_root_subs.replace(new CompositeDisposable(
-                     r.subscribe_definition().Subscribe(_ => _definition_changed?.Invoke())) {
-                     () => ((INotifyPropertyChanged)r).PropertyChanged -= on_algo_root_prop_changed
-                  });
-               }
-               RaisePropertyChanged(nameof(group));
-            }),
-            algo_root_subs) {
-            () => vm.PropertyChanged -= on_value_prop_changed
-         };
-         void on_algo_root_prop_changed(object sender, PropertyChangedEventArgs e) {
-            if (_algo_root_echo_props.Contains(e.PropertyName))
-               RaisePropertyChanged(e.PropertyName);
-         }
-         void on_value_prop_changed(object sender, PropertyChangedEventArgs e) {
-            if (_value_echo_props.TryGetValue(e.PropertyName, out string wrapper_prop))
-               RaisePropertyChanged(wrapper_prop);
-         }
-      }
-
-      // permissions
-      void IObserver<AlgoEditingPermissions>.OnNext(AlgoEditingPermissions value) {
-         _data_cache = _data_cache?.with(value) ?? new _ObservedData(value, default, default, default);
-         (_algo_root as IObserver<AlgoEditingPermissions>)?.OnNext(value);
-      }
-      void IObserver<AlgoEditingPermissions>.OnError(Exception error) { }
-      void IObserver<AlgoEditingPermissions>.OnCompleted() { }
-      // model
-      void IObserver<OrdersModel>.OnNext(OrdersModel value) {
-         _data_cache = _data_cache?.with(value) ?? new _ObservedData(default, value, default, default);
-         (_algo_root as IObserver<OrdersModel>)?.OnNext(value);
-      }
-      void IObserver<OrdersModel>.OnError(Exception error) { }
-      void IObserver<OrdersModel>.OnCompleted() { }
-      // security
-      void IObserver<SecurityImmutable?>.OnNext(SecurityImmutable? value) {
-         _data_cache = _data_cache?.with(value) ?? new _ObservedData(default, default, value, default);
-         (_algo_root as IObserver<SecurityImmutable?>)?.OnNext(value);
-      }
-      void IObserver<SecurityImmutable?>.OnError(Exception error) { }
-      void IObserver<SecurityImmutable?>.OnCompleted() { }
-      // security md
-      void IObserver<SecurityMD?>.OnNext(SecurityMD? value) {
-         _data_cache = _data_cache?.with(value) ?? new _ObservedData(default, default, default, value);
-         (_algo_root as IObserver<SecurityMD?>)?.OnNext(value);
-      }
-      void IObserver<SecurityMD?>.OnError(Exception error) { }
-      void IObserver<SecurityMD?>.OnCompleted() { }
-
-      struct _ObservedData {
-         public readonly AlgoEditingPermissions permissions;
-         public readonly OrdersModel model;
-         public readonly SecurityImmutable? security;
-         public readonly SecurityMD? security_md;
-
-         public _ObservedData(AlgoEditingPermissions permissions, OrdersModel model, SecurityImmutable? security, SecurityMD? security_md) {
-            this.permissions = permissions;
-            this.model = model;
-            this.security = security;
-            this.security_md = security_md;
-         }
-
-         public void forward_to(IAlgoVM recipient) {
-            (recipient as IObserver<AlgoEditingPermissions>)?.OnNext(permissions);
-            if (model != null)
-               (recipient as IObserver<OrdersModel>)?.OnNext(model);
-            if (security_md.HasValue)
-               (recipient as IObserver<SecurityMD?>)?.OnNext(security_md);
-            if (security.HasValue)
-               (recipient as IObserver<SecurityImmutable?>)?.OnNext(security);
-         }
-
-         public _ObservedData with(AlgoEditingPermissions? permissions) =>
-            new _ObservedData(permissions ?? this.permissions, model, security, security_md);
-
-         public _ObservedData with(OrdersModel model) =>
-            new _ObservedData(permissions, model, security, security_md);
-
-         public _ObservedData with(SecurityImmutable? security) =>
-            new _ObservedData(permissions, model, security, security_md);
-
-         public _ObservedData with(SecurityMD? security_md) =>
-            new _ObservedData(permissions, model, security, security_md);
-      }
-   }
-}

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

@@ -302,7 +302,7 @@
         <!--Double-->
         <usp:AlgoParamTemplateSelector.DoubleTemplate>
           <DataTemplate>
-            <TextBlock Text="{Binding param.value, Converter={StaticResource DoubleTextConverter}}"/>
+            <TextBlock Text="{Binding param.display_value, Converter={StaticResource DoubleTextConverter}}"/>
           </DataTemplate>
         </usp:AlgoParamTemplateSelector.DoubleTemplate>
         <!--Enum-->
@@ -406,7 +406,7 @@
         <!--Double-->
         <usp:AlgoParamTemplateSelector.DoubleTemplate>
           <DataTemplate>
-            <c:TickUpDownDouble x:Name="tick_up_down" Focusable="False" HorizontalAlignment="Stretch" Value="{Binding param.value, UpdateSourceTrigger=PropertyChanged}" ArrowKeyTickModifiers="Ctrl">
+            <c:TickUpDownDouble x:Name="tick_up_down" Focusable="False" HorizontalAlignment="Stretch" Value="{Binding param.display_value, UpdateSourceTrigger=PropertyChanged}" ArrowKeyTickModifiers="Ctrl">
               <c:TickUpDownDouble.CommandBindings>
                 <CommandBinding Command="{x:Static u:NavigationHelper.MoveFocusCommand}" Executed="{x:Static u:NavigationHelper.KeyboardMoveFocusExecuted}"/>
               </c:TickUpDownDouble.CommandBindings>

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

@@ -39,31 +39,6 @@ namespace mbts.spark {
          }
       }
 
-      static IDisposable _wrap_rows(AlgoDefinitionVM algo_def, ObservableAggregateCollection<AlgoParamRowVM> rows, bool include_algo_type_rows) {
-         AlgoParamRowVM root = null;
-         ObservableAggregateCollection<AlgoParamRowVM> algo_params;
-         if (include_algo_type_rows) {
-            // while normal params live and die with the selected algo-type (when the algo-type changes, they are removed, and replaced with params for the new algo type),
-            // the algo-type row is constant (it is the row with the algo-type dropdown, which the user may use to select different algos).
-            algo_params = new ObservableAggregateCollection<AlgoParamRowVM>();
-            rows.add_collection(new ObservableAppendCollection<AlgoParamRowVM>(algo_params, root = new AlgoSelectorParamRowVM(new AlgoVMWrapper(algo_def), algo_def, null)).AsReadOnly());
-         } else {
-            algo_params = rows;
-         }
-         return algo_def.observe_algo_root().SubscribeEach(a => {
-            algo_params.clear_collections();
-            if (a == null)
-               return Disposable.empty;
-            var child_rows = new ObservableAggregateCollection<AlgoParamRowVM>();
-            /// Note: the order of operations here matters
-            ///   <see cref="_wrap_rows(IAlgoVM, AlgoParamRowVM, ObservableAggregateCollection{AlgoParamRowVM}, bool)" /> has the potential to trigger a lot of CollectionChanged events (depending on how deep the algo-tree is).
-            ///   There is no need to burden the aggregate 'rows' with echoing all of these events, if the child-row collection is finished changing when it is added to the aggregate.
-            var hook = _wrap_rows(a, root, child_rows, include_algo_type_rows);
-            algo_params.add_collection(child_rows.AsReadOnly());
-            return hook;
-         });
-      }
-
       static IDisposable _wrap_rows(IAlgoVM algo_root, AlgoParamRowVM parent, ObservableAggregateCollection<AlgoParamRowVM> all_rows, bool include_algo_type_rows) {
          var wrapped_params = new ObservableAutoWrapper<AlgoParamRowVM, IAlgoParamVM>(algo_root.algo_params, pvm => new AlgoParamRowVM(algo_root, pvm, parent));
          var selector_params = new ObservableCollection<AlgoParamRowVM>();
@@ -85,4 +60,4 @@ namespace mbts.spark {
          }
       }
    }
-}
+}

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

@@ -106,7 +106,7 @@
     </GroupBox.Header>
     <ContentControl
       Grid.IsSharedSizeScope="True"
-      Content="{Binding algo_root, Converter={x:Static usp:AlgoContentTemplateSelector.DataContextConverter}}"
+      Content="{Binding algo_root}"
       ContentTemplateSelector="{StaticResource AlgoTemplateSelector}"
       Margin="{StaticResource Margin.TP1}"
       Visibility="{Binding algo_root.can_expand, Converter={StaticResource BooleanToVisibilityConverter}}"

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

@@ -100,6 +100,7 @@ namespace bts.shell {
          ShellWindowVM shell_window_vm = null;
          IShellWindow shell_window = null;
          var title_source = new LazyObservable<string>(() => ShellWindowExtensions.literal_title_source(shell_window, shell_window_vm));
+         LadderVM vm = null;
          var view = new Lazy<UIElement>(() => {
             // resources
             var model = new LadderModel(md, _orders_model, _mbo);
@@ -113,7 +114,6 @@ namespace bts.shell {
             /// In response to that event, 'needs_resync' is set to true. This causes 'last_value' to be refreshed when the next caller requests the latest settings
             /// (i.e., an IObserver subscribing to the settings_source, or the settings-dialog viewmodel).
             bool initialized = false, needs_resync = false;
-            LadderVM vm = null;
             var settings_subject = new Subject<LadderSettings>();
             var settings_source = Observable.Create<LadderSettings>(o => {
                ensure_synced();
@@ -272,10 +272,11 @@ namespace bts.shell {
             (v, s) => save(_get_state(((LadderView)v).vm, settings_id), s),
             icon: Icons.Ladder,
             thread_id: _thread_id_provider.next_id(),
-            vm => {
-               shell_window_vm = vm;
+            swvm => {
+               shell_window_vm = swvm;
                title_source.connect();
-            });
+            },
+            key_event_args => vm?.key_down(key_event_args));
       }
 
       async void _show_windows(IImmutableSet<uint> securities) {

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

@@ -144,7 +144,7 @@ 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) {
@@ -153,7 +153,7 @@ 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/Ladder/VM/LadderSettingsVM.cs

@@ -7,6 +7,7 @@ using bts.proto;
 using bts.shell.orderbook;
 using bts.utils;
 using mbts.collections;
+using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.controls;
 using mbts.ui.controls.color_picker;
@@ -115,7 +116,16 @@ namespace mbts.spark {
          foreach (var c in _observable_components)
             c.PropertyChanged += on_prop_changed;
          favorite_algos_vm.items.CollectionChanged += on_favorite_algo_items_CollectionChanged;
-         _algo_definitions.AddRange(_model.factory.default_algos(security).Values.Select(algo_factory));
+         _algo_definitions.AddRange(_model.get_permitted_algos(security).factory_types
+            .Select(OrderDataHelper.Defaults.CustomOrderDefinitionImmutable)
+            .Select(AlgoData.from_custom_def)
+            .Select(algo_factory));
+         _algo_definitions.AddRange(_model.get_permitted_algos(security).dynamic_types
+            .Select(dyn_type => new CustomOrderDefinitionImmutable(new CustomOrderDefinition {
+               Dynamic = _model.dynamic_helper.create_def(dyn_type)
+            }))
+            .Select(AlgoData.from_custom_def)
+            .Select(algo_factory));
          _dispose = new CompositeDisposable(
             _model.factory.subscribe_accounts().OnDispatcher().Subscribe(acc_map => {
                _accounts.SyncWithDictionary(MappedDictionary.create(acc_map, account_factory));
@@ -144,7 +154,7 @@ namespace mbts.spark {
                c.PropertyChanged -= on_prop_changed;
          }
          AccountTuple? account_factory(uint key, string name) => new AccountTuple(key, name);
-         AlgoDefinitionVM algo_factory(AlgoData data) => AlgoDefinitionVM.create(_model, data, is_synthetic ? AlgoFormats.Spreader : AlgoFormats.Exchange);
+         AlgoDefinitionVM algo_factory(AlgoData data) => AlgoDefinitionVM.create(_model, data);
       }
 
       public event Action result_changed;

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

@@ -260,7 +260,11 @@ namespace mbts.spark {
 
       public IBus bus => _bus;
 
-      public event Action on_tick, request_settings_dialog, settings_invalidated;
+      public event Action
+         on_tick,
+         request_settings_dialog,
+         request_recenter,
+         settings_invalidated;
 
       public MDConsumerHandle md => _model.md;
       // we return only entries who have piqs and whose piqs are not uint.Max
@@ -394,7 +398,8 @@ namespace mbts.spark {
       public uint last_column_width { get => _last_column_width.Value; set => _last_column_width.set(value); }
       public uint piq_column_width { get => _piq_column_width.Value; set => _piq_column_width.set(value); }
       public uint volume_column_width { get => _volume_column_width.Value; set => _volume_column_width.set(value); }
-      public uint alternate_order_size_from_settings => current_settings.alternate_order_size;
+      public uint actual_alternate_order_size =>
+         (current_settings?.alternate_order_size ?? 0) * Math.Max(1, display_quantity_divisor);
       public bool show_warn_on_cross_from_settings => current_settings.show_warn_on_cross;
       public bool enforce_max_clip_from_settings => current_settings.enforce_max_clip;
       public uint max_clip_from_settings => current_settings.max_clip;
@@ -448,15 +453,27 @@ namespace mbts.spark {
       public void key_down(KeyEventArgs e) {
          if (order_properties_vm == null)
             return;
-         if (KeyboardExtensions.IsDown(Key.Space)) {
-            _bus?.post(SparkTags.RequestRecenterLadder, null);
-         }
-         // the ctrl modifier requirement helps avoid keyboard-input collisions w/ algo-templates popup
-         if (!KeyboardExtensions.IsCtrlDown()) return;
-         var new_algo = order_properties_vm.algo_definitions.FirstOrDefault(o => o.algo_root.key_match(e));
-         if (new_algo != null) {
-            order_properties_vm.selected_algo_definition = new_algo;
-            e.Handled = true;
+         switch (e.Key) {
+            case Key.Space:
+               if (KeyboardExtensions.IsShiftDown()) {
+                  // only recenter this ladder
+                  request_recenter?.Invoke();
+               } else {
+                  // recenter all ladders
+                  _bus?.post(SparkTags.RequestRecenterLadder, null);
+               }
+               e.Handled = true;
+               break;
+            default:
+               // the ctrl modifier requirement helps avoid keyboard-input collisions w/ algo-templates popup
+               if (KeyboardExtensions.IsCtrlDown()) {
+                  var new_algo = order_properties_vm.algo_definitions.FirstOrDefault(o => o.algo_root.key_match(e));
+                  if (new_algo != null) {
+                     order_properties_vm.selected_algo_definition = new_algo;
+                     e.Handled = true;
+                  }
+               }
+               break;
          }
       }
 
@@ -473,11 +490,11 @@ namespace mbts.spark {
       public Task send_order_async((double price, Side? side, MouseButton button) args) {
          if (order_properties_vm != null && args.button != MouseButton.Middle) {
             var size_from_alternate = args.button == MouseButton.Right;
-            if (!DoubleHelper.IsNaNOrInfinity(args.price) && args.side.HasValue && !HasErrors && !order_properties_vm.HasErrors && (!size_from_alternate || current_settings.alternate_order_size > 0)) {
+            if (!DoubleHelper.IsNaNOrInfinity(args.price) && args.side.HasValue && !HasErrors && !order_properties_vm.HasErrors && (!size_from_alternate || actual_alternate_order_size > 0)) {
                if (!size_from_alternate && (!size_calculator.value.HasValue || size_calculator.value.Value == 0)) {
                   size_calculator.flash_error();
                } else {
-                  uint size = size_from_alternate ? current_settings.alternate_order_size : (uint)Math.Abs(size_calculator.value ?? 0);
+                  uint size = size_from_alternate ? actual_alternate_order_size : (uint)Math.Abs(size_calculator.value ?? 0);
                   // enforce max clip
                   if (enforce_max_clip_from_settings && size > max_clip_from_settings) {
                      size = max_clip_from_settings;
@@ -514,7 +531,7 @@ namespace mbts.spark {
          if (fav_algo != null) {
             if (_favorite_algo_map.TryGetValue(fav_algo.key, out var d)) {
                if (!d.flags.HasFlag(LadderFavoriteAlgoFlags.Sticky) && !order_properties_vm.try_pop_selected_algo_definition()) {
-                  var key = new AlgoKey(OrderDataHelper.get_default_algo(OrderDataHelper.get_algo_format(security.ContractCase)));
+                  var key = new AlgoKey(OrderDataHelper.get_default_algo(security.ContractCase));
                   if (order_properties_vm.try_get_algo_definition(key, out var r)) {
                      order_properties_vm.selected_algo_definition = r;
                   }

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

@@ -53,7 +53,7 @@ namespace mbts.spark {
       readonly RefValueContainer<IEnumerable<VolumeAtPriceLevelImmutable>> _volume_container =
          new RefValueContainer<IEnumerable<VolumeAtPriceLevelImmutable>>();
 
-      IDisposable _settings_sub, _volume_sub, _tick_sub;
+      IDisposable _settings_sub, _volume_sub, _tick_sub, _vm_sub;
       ScrollViewer _scrollViewer;
       LadderSettings _settings;
       LadderVM _vm;
@@ -353,7 +353,9 @@ namespace mbts.spark {
                return;
             }
          } else if (_vm != null) {
-            uint size = e.ChangedButton == MouseButton.Right ? _vm.alternate_order_size_from_settings : _vm.size_calculator.value ?? 0;
+            uint size = e.ChangedButton == MouseButton.Right ?
+               _vm.actual_alternate_order_size :
+               _vm.size_calculator.value ?? 0;
             
             // does the size violate the local max clip
             if (_vm.enforce_max_clip_from_settings && size > _vm.max_clip_from_settings) {
@@ -697,10 +699,22 @@ namespace mbts.spark {
             _price_comparer = Comparer<double>.Create((x, y) => security.ContractSpec.tick_equals(x, y) ? 0 : y.CompareTo(x));
             _price_dirty = true;
             _piq_dirty = true;
-            _vm.on_tick += _tick;
+            // **use local vm to protect against re-assignment,
+            // so the events are unhooked from the same instance to which they were added
+            // when the subs are disposed.
+            var local_vm = _vm;
+            local_vm.on_tick += _tick;
+            local_vm.request_recenter += on_request_recenter;
             _settings_sub = _vm.settings.OnDispatcher().Subscribe(_settings_updated);
             _volume_sub = _vm.model.order_gateway.md_auxiliary_model.security_volume_at_price(security.Id).Subscribe(t => _volume_container.write_value(t.state.Values));
-            _tick_sub = Disposable.Create(() => _vm.on_tick -= _tick);
+            // **unhook from local_vm.request_recenter.
+            // todo: organize these subs into a single entity, prob _vm_subs.
+            // This hasn't already been done bc the ladder a bit fragile, so changes must be carefully implemented,
+            // with meticulous attention to detail.
+            _tick_sub = Disposable.Create(() => local_vm.on_tick -= _tick);
+            _vm_sub = Disposable.Create(() => local_vm.request_recenter -= on_request_recenter);
+            void on_request_recenter() =>
+               RecenterCommand?.ExecuteIfCan(null);
          }
       }
 

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

@@ -93,6 +93,7 @@ namespace mbts.spark {
          _ui_scaler.MouseDoubleClick += _ui_scaler_MouseDoubleClick;
          this.PreviewMouseWheel += LadderView_PreviewMouseWheel;
          this.PreviewMouseDown += LadderView_PreviewMouseDown;
+         PreviewKeyDown += (s, e) => vm.key_down(e);
       }
 
       IDisposable _connect_left_panel_scroll() {

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

@@ -26,7 +26,7 @@ namespace bts.shell.manual_fills {
       readonly Property<bool> _is_dirty;
       readonly Property<EditableItemState> _editable_item_state;
       readonly DelegateProperty<bool> _is_valid;
-      readonly DisplayQuantityMultiplier _size = new DisplayQuantityMultiplier();
+      readonly DisplayQuantityMultiplier<uint> _size = DisplayQuantityMultiplier.create_uint();
       readonly Func<SecurityImmutable?, uint> _get_display_qty_divisor;
       SecurityImmutable? _security;
       AccountTuple? _account;

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

@@ -29,7 +29,7 @@ namespace mbts.spark {
       int _depth_level;
       SecurityImmutable? _security => order_tuple.order.security;
       // for mini-ob 
-      DisplayQuantityMultiplier _prospective_qty_translator_backing;
+      DisplayQuantityMultiplier<uint> _prospective_qty_translator_backing;
       uint _display_qty_divisor_backing;
       bool _display_qty_divisor_dirty = true;
       double _prospective_price;
@@ -239,10 +239,9 @@ namespace mbts.spark {
       IDisplayTranslator<uint> _prospective_qty_translator {
          get {
             if (_prospective_qty_translator_backing == null) {
-               _prospective_qty_translator_backing = new DisplayQuantityMultiplier {
-                  conversion_data = new QuantityConversionData(_display_qty_divisor, QuantityConversionData.OpType.DivideActual),
-                  actual_value = quantity
-               };
+               _prospective_qty_translator_backing = DisplayQuantityMultiplier.create_uint();
+               _prospective_qty_translator_backing.conversion_data = new QuantityConversionData(_display_qty_divisor, QuantityConversionData.OpType.DivideActual);
+               _prospective_qty_translator_backing.actual_value = quantity;
                _prospective_qty_translator.value_changed += () =>
                   RaisePropertyChanged(nameof(is_qty_dirty));
             } else {

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

@@ -86,7 +86,7 @@ namespace mbts.spark {
          _model = model;
          _selected_params_mon = new OrderParamsAggregator(model.dynamic_helper, _selection_change_throttle, k => _cached_orders.TryGetValue(k, out var o) ? o.order : (OrderSecurityAlgo?)null);
          ladder_vm = new LadderVMContainer(bus, model);
-         order_mod_vm = new OrderParamsVM(this, AlgoFormats.Exchange, AlgoEditingPermissions.AllowEditValues);
+         order_mod_vm = new OrderParamsVM(this, AlgoEditingPermissions.AllowEditValues);
          order_mod_vm.algo_vm.editing_permissions_mask = AlgoEditingPermissions.None;
          order_mod_vm.algo_vm.algo_root = null;
          _show_order_params = backing(nameof(show_order_params), () => (_right_panel.visible_components & OrderBookRightPanelSettings.Components.Params) != 0);
@@ -99,7 +99,7 @@ namespace mbts.spark {
          };
          _can_attach_selected_orders = backing(nameof(can_attach_selected_orders), () => _attachable_selected_orders.Count == selected_rows.Count && selected_rows.Count > 0);
          _can_detach_selected_orders = backing(nameof(can_detach_selected_orders), () => _detachable_selected_orders.Count == selected_rows.Count && selected_rows.Count > 0);
-         attach_vm = new OrderParamsVM(this, AlgoFormats.Attachable, AlgoEditingPermissions.AllowEditStructure | AlgoEditingPermissions.AllowEditValues);
+         attach_vm = new OrderParamsVM(this, AlgoEditingPermissions.AllowEditStructure | AlgoEditingPermissions.AllowEditValues);
          _settings_manager = settings_manager;
          _columns = new OrderBookColumnCollection(bus, model, model.on_order_securities.Select(x => (x.added.Values, x.removed.Values)));
          // we use an ObservableAppendCollection b/c the mini-ob needs a cancel column at the front
@@ -244,7 +244,22 @@ namespace mbts.spark {
             }),
             grid_settings_manager,
             order_mod_vm.algo_vm.connect_data(Observable.Return(model)),
-            order_mod_vm.algo_vm.connect_data(_selected_params_mon.subscribe_spreader_security()),
+            order_mod_vm.algo_vm.connect_data(
+               /// This is not the same security source used to populate <see cref="OrderParamsVM.security_md"/>.
+               /// The latter is always synced with the root of the selected row(s),
+               /// while this source is synced with that row with one exception:
+               ///   If the root row's algo has a spreader algo (possibly nested),
+               ///   the synthetic security is taken instead of the root security.
+               ///   This has the affect of passing the synthetic security to the spreader algo viewmodel,
+               ///   which then uses the security to populate the synthetic params ui.
+               /// TODO (maybe): clean this design up; the different security sources make it precarious.
+               /// One idea is to pass a special data type to the algo vm (which contains the spreader
+               /// security and execution strategy), which is only observed by the spreader algo vm.
+               _selected_params_mon.subscribe_security().StartWith((SecurityImmutable?)null).CombineLatest(
+               _selected_params_mon.subscribe_spreader_security().StartWith((SecurityImmutable?)null),
+               (root_sec, spreader_sec) => (root_sec, spreader_sec))
+               .Select(tup => tup.spreader_sec ?? tup.root_sec)
+               .OnDispatcher()),
             order_mod_vm,
             attach_vm,
             _show_fills.observe_current(true)
@@ -329,32 +344,32 @@ namespace mbts.spark {
          }
 
          void on_begin_attaching() {
-            Disposable.replace(ref attach_vm_hooks,
-               Disposable.Create(
-                  connect_common_selected_params(attach_vm),
-                  attach_vm.algo_vm.observe_algo_root().Subscribe(algo_root => {
-                     bool show_price, show_size;
-                     if (algo_root == null) {
-                        show_price = false;
-                        show_size = false;
-                     } else {
-                        show_price = AttachConf.show_price(algo_root.order_type);
-                        show_size = AttachConf.show_size(algo_root.order_type);
-                     }
-                     attach_vm.price_permissions = bool_to_perm(show_price);
-                     attach_vm.size_permissions = bool_to_perm(show_size);
-                     AlgoParamPermissions bool_to_perm(bool b) =>
-                        b ? AlgoParamPermissions.ReadWrite : AlgoParamPermissions.None;
-                  }),
-                  // custom templates (created by user)
-                  _model.algo_model.definitions.OnDispatcher().Subscribe(u =>
-                     AlgoCollectionHelper.update_persisted_definition_wrappers(attach_vm.algo_vm.algo_roots_index, u, mk_algo_def_vm))));
-            // vm factory
-            AlgoDefinitionVM mk_algo_def_vm(AlgoData fd) {
-               var vm = AlgoDefinitionVM.create(_model, fd, OrderDataHelper.get_algo_format(_selected_params_mon.security?.ContractCase), AlgoEditingPermissions.AllowEditValues);
-               vm.selected_format = OrderDataHelper.get_algo_format(_selected_params_mon.security?.ContractCase);
-               return vm;
-            }
+            Disposable.dispose(ref attach_vm_hooks);
+            attach_vm_hooks = Disposable.Create(
+               _selected_security_mon.SubscribeThrottled(_selection_change_throttle).to_security_md(bus).OnDispatcher().SubscribeEach(newval => {
+                  attach_vm.security_md = newval;
+                  if (newval.HasValue) {
+                     return _model.subscribe_algos(newval.Value.security, true)
+                     .OnDispatcher()
+                     .Subscribe(t => ((IAlgoSelector)attach_vm.algo_vm).load_algo_data(t.state, null));
+                  }
+                  return null;
+               }),
+               connect_common_selected_params(attach_vm),
+               attach_vm.algo_vm.observe_algo_root().Subscribe(algo_root => {
+                  bool show_price, show_size;
+                  if (algo_root == null) {
+                     show_price = false;
+                     show_size = false;
+                  } else {
+                     show_price = AttachConf.show_price(algo_root.order_type);
+                     show_size = AttachConf.show_size(algo_root.order_type);
+                  }
+                  attach_vm.price_permissions = bool_to_perm(show_price);
+                  attach_vm.size_permissions = bool_to_perm(show_size);
+                  AlgoParamPermissions bool_to_perm(bool b) =>
+                     b ? AlgoParamPermissions.ReadWrite : AlgoParamPermissions.None;
+               }));
          }
          void on_end_attaching() => Disposable.dispose(ref attach_vm_hooks);
 
@@ -365,11 +380,11 @@ namespace mbts.spark {
                   modify_selected_orders_async_cmd.RaiseCanExecuteChanged();
                   revert_selected_orders_cmd.RaiseCanExecuteChanged();
                }),
+               _selected_params_mon.subscribe_security().to_security_md(bus).OnDispatcher().Subscribe(newval => order_mod_vm.security_md = newval),
                connect_common_selected_params(order_mod_vm));
 
          IDisposable connect_common_selected_params(OrderParamsVM vm) =>
             Disposable.Create(
-               _selected_params_mon.subscribe_security().OnDispatcher().to_security_md(bus).OnDispatcher().Subscribe(newval => vm.security_md = newval),
                _selected_params_mon.subscribe_price().OnDispatcher().Subscribe(vm.on_common_price),
                _selected_params_mon.subscribe_size().OnDispatcher().Subscribe(vm.on_common_size),
                _selected_params_mon.subscribe_account().OnDispatcher().Subscribe(newval => vm.selected_account = newval));
@@ -807,12 +822,11 @@ namespace mbts.spark {
             _size_permissions = AlgoParamPermissions.ReadOnly | AlgoParamPermissions.Write;
          SecurityMD? _security_md;
 
-         public OrderParamsVM(OrderBookVM owner, AlgoFormats init_format, AlgoEditingPermissions init_permissions) {
+         public OrderParamsVM(OrderBookVM owner, AlgoEditingPermissions init_permissions) {
             _owner = owner;
             algo_vm = AlgoDefinitionVM.create(
                owner._model,
                AlgoData.create_unpersisted(OrderDataHelper.Defaults.CustomOrderDefinitionImmutable(CustomOrderDefinition.CustomOneofCase.Iceberg), CustomOrderDefinition.CustomOneofCase.Iceberg.display_name()),
-               init_format: init_format,
                editing_permissions: init_permissions);
             _accounts = backing(
                nameof(selected_account),
@@ -879,6 +893,7 @@ namespace mbts.spark {
          public ReadOnlyObservableCollection<AccountTuple> accounts => _accounts.items;
          public AccountTuple? selected_account { get => _accounts.selected_item; set => _accounts.selected_item = value; }
          public SecurityImmutable? security => _owner._selected_params_mon.security;
+         /// <see cref="security_md"/> should be synced with the root of the selected row(s),
          public SecurityMD? security_md {
             get => _security_md;
             set {

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

@@ -282,15 +282,18 @@ namespace bts.shell.pnl {
       public readonly WorkingOrderData working;
 
       public readonly double
-         cpp,
+         default_cpp,
          bid_price,
          ask_price,
          last_price,
          settlement_price;
 
+      public readonly double? override_cpp;
+
       public PNLRowData(
          PNLKey key,
-         double cpp = 0,
+         double default_cpp = 0,
+         double? override_cpp = null,
          double bid_price = 0,
          double ask_price = 0,
          double last_price = 0,
@@ -305,7 +308,8 @@ namespace bts.shell.pnl {
          QuantityConversionData? qty_conversion = null) {
          //
          this.key = key;
-         this.cpp = cpp;
+         this.default_cpp = default_cpp;
+         this.override_cpp = override_cpp;
          this.bid_price = bid_price;
          this.ask_price = ask_price;
          this.last_price = last_price;
@@ -335,6 +339,9 @@ namespace bts.shell.pnl {
          AskLTESettle = Ask | Settle | 1 << 7
       }
 
+      public string symbol => security?.pnl_symbol() ?? string.Empty;
+      public double effective_cpp => override_cpp ?? default_cpp;
+
       /// Market/Calc
       public double mid_price => (bid_price + ask_price) / 2;
       public double pnl_price {
@@ -374,26 +381,26 @@ namespace bts.shell.pnl {
          }
       }
       /// Sod
-      public double sod_pnl => cpp *
+      public double sod_pnl => effective_cpp *
          DoubleUtil.nan_to_zero_sum(
             sod_long_avg_price_delta_raw * sod_long_pos,
             sod_short_avg_price_delta_raw * sod_short_pos
          );
       // long
       public double sod_long_pos => sod.long_pos;
-      public double sod_long_avg_price => cpp * sod.long_avg;
+      public double sod_long_avg_price => effective_cpp * sod.long_avg;
       public double sod_long_avg_price_raw => sod.long_avg;
-      public double sod_long_avg_price_delta => cpp * sod_long_avg_price_delta_raw;
+      public double sod_long_avg_price_delta => effective_cpp * sod_long_avg_price_delta_raw;
       public double sod_long_avg_price_delta_raw => sod.long_pos == 0 ? double.NaN : long_pnl_price - sod.long_avg;
       // short
       public double sod_short_pos => sod.short_pos;
-      public double sod_short_avg_price => cpp * sod.short_avg;
+      public double sod_short_avg_price => effective_cpp * sod.short_avg;
       public double sod_short_avg_price_raw => sod.short_avg;
-      public double sod_short_avg_price_delta => cpp * sod_short_avg_price_delta_raw;
+      public double sod_short_avg_price_delta => effective_cpp * sod_short_avg_price_delta_raw;
       public double sod_short_avg_price_delta_raw => sod.short_pos == 0 ? double.NaN : sod.short_avg - short_pnl_price;
       // net
       public double sod_net_pos => sod.net_pos;
-      public double sod_net_avg_price_delta => cpp * sod_net_avg_price_delta_raw;
+      public double sod_net_avg_price_delta => effective_cpp * sod_net_avg_price_delta_raw;
       public double sod_net_avg_price_delta_raw =>
          MathUtils.weighted_average(
             sod_long_avg_price_delta_raw, sod.long_pos,
@@ -404,27 +411,27 @@ namespace bts.shell.pnl {
       public double display_sod_short_pos => qty_conversion.to_display(sod_short_pos);
 
       /// Day
-      public double day_pnl => cpp *
+      public double day_pnl => effective_cpp *
          DoubleUtil.nan_to_zero_sum(
             day_long_avg_price_delta_raw * day_long_pos,
             day_short_avg_price_delta_raw * day_short_pos
          );
       // long
       public double day_long_pos => day.long_pos;
-      public double day_long_avg_price => cpp * day.long_avg;
+      public double day_long_avg_price => effective_cpp * day.long_avg;
       public double day_long_avg_price_raw => day.long_avg;
-      public double day_long_avg_price_delta => cpp * day_long_avg_price_delta_raw;
+      public double day_long_avg_price_delta => effective_cpp * day_long_avg_price_delta_raw;
       public double day_long_avg_price_delta_raw => day.long_pos == 0 ? double.NaN : long_pnl_price - day.long_avg;
       // short
       public double day_short_pos => day.short_pos;
-      public double day_short_avg_price => cpp * day.short_avg;
+      public double day_short_avg_price => effective_cpp * day.short_avg;
       public double day_short_avg_price_raw => day.short_avg;
-      public double day_short_avg_price_delta => cpp * day_short_avg_price_delta_raw;
+      public double day_short_avg_price_delta => effective_cpp * day_short_avg_price_delta_raw;
       public double day_short_avg_price_delta_raw => day.short_pos == 0 ? double.NaN : day.short_avg - short_pnl_price;
       public bool has_day_trades => day.long_pos > 0 || day.short_pos > 0;
       // net
       public double day_net_pos => day.net_pos;
-      public double day_net_avg_price_delta => cpp * day_net_avg_price_delta_raw;
+      public double day_net_avg_price_delta => effective_cpp * day_net_avg_price_delta_raw;
       public double day_net_avg_price_delta_raw =>
          MathUtils.weighted_average(
             day_long_avg_price_delta_raw, day.long_pos,
@@ -447,25 +454,25 @@ namespace bts.shell.pnl {
       public double total_pnl => DoubleUtil.nan_to_zero_sum(sod_pnl, day_pnl);
       // long
       public double total_long_pos => DoubleUtil.nan_to_zero_sum(sod.long_pos, day.long_pos);
-      public double total_long_avg_price => cpp * total_long_avg_price_raw;
+      public double total_long_avg_price => effective_cpp * total_long_avg_price_raw;
       public double total_long_avg_price_raw => DoubleUtil.nan_to_zero_sum(sod.long_avg, day.long_avg);
-      public double total_long_avg_price_delta => cpp * total_long_avg_price_delta_raw;
+      public double total_long_avg_price_delta => effective_cpp * total_long_avg_price_delta_raw;
       public double total_long_avg_price_delta_raw =>
          MathUtils.weighted_average(
             sod_long_avg_price_delta_raw, sod.long_pos,
             day_long_avg_price_delta_raw, day.long_pos);
       // short
       public double total_short_pos => DoubleUtil.nan_to_zero_sum(sod.short_pos, day.short_pos);
-      public double total_short_avg_price => cpp * total_short_avg_price_raw;
+      public double total_short_avg_price => effective_cpp * total_short_avg_price_raw;
       public double total_short_avg_price_raw => DoubleUtil.nan_to_zero_sum(sod.short_avg, day.short_avg);
-      public double total_short_avg_price_delta => cpp * total_short_avg_price_delta_raw;
+      public double total_short_avg_price_delta => effective_cpp * total_short_avg_price_delta_raw;
       public double total_short_avg_price_delta_raw =>
          MathUtils.weighted_average(
             sod_short_avg_price_delta_raw, sod.short_pos,
             day_short_avg_price_delta_raw, day.short_pos);
       // net
       public double total_net_pos => DoubleUtil.nan_to_zero_sum(sod.long_pos, -sod.short_pos, day.long_pos, -day.short_pos);
-      public double total_net_avg_price_delta => cpp * total_net_avg_price_delta_raw;
+      public double total_net_avg_price_delta => effective_cpp * total_net_avg_price_delta_raw;
       public double total_net_avg_price_delta_raw =>
          MathUtils.weighted_average(
             total_long_avg_price_delta_raw, total_long_pos,
@@ -478,23 +485,23 @@ namespace bts.shell.pnl {
       #region Working
       // long
       public double working_long_pos => working.long_data.working_total;
-      public double working_long_avg_price => cpp * working_long_avg_price_raw;
-      public double working_long_top_price => cpp * working_long_top_price_raw;
+      public double working_long_avg_price => effective_cpp * working_long_avg_price_raw;
+      public double working_long_top_price => effective_cpp * working_long_top_price_raw;
       public double working_long_top_price_raw => working.top_bid;
       public double working_long_avg_price_raw => working.long_data.avg_price;
-      public double working_long_avg_price_delta => cpp * working_long_avg_price_delta_raw;
+      public double working_long_avg_price_delta => effective_cpp * working_long_avg_price_delta_raw;
       public double working_long_avg_price_delta_raw => working_long_pos == 0 ? double.NaN : long_pnl_price - working_long_avg_price_raw;
       // short
       public double working_short_pos => working.short_data.working_total;
-      public double working_short_avg_price => cpp * working_short_avg_price_raw;
-      public double working_short_top_price => cpp * working_short_top_price_raw;
+      public double working_short_avg_price => effective_cpp * working_short_avg_price_raw;
+      public double working_short_top_price => effective_cpp * working_short_top_price_raw;
       public double working_short_top_price_raw => working.top_ask;
       public double working_short_avg_price_raw => working.short_data.avg_price;
-      public double working_short_avg_price_delta => cpp * working_short_avg_price_delta_raw;
+      public double working_short_avg_price_delta => effective_cpp * working_short_avg_price_delta_raw;
       public double working_short_avg_price_delta_raw => working_short_pos == 0 ? double.NaN : working_short_avg_price_raw - short_pnl_price;
       // net
       public double working_net_pos => working_long_pos - working_short_pos;
-      public double working_net_avg_price_delta => cpp * working_net_avg_price_delta_raw;
+      public double working_net_avg_price_delta => effective_cpp * working_net_avg_price_delta_raw;
       public double working_net_avg_price_delta_raw =>
          MathUtils.weighted_average(
             working_long_avg_price_delta_raw, working_long_pos,
@@ -505,6 +512,24 @@ namespace bts.shell.pnl {
       public double display_working_short_pos => qty_conversion.to_display(working_short_pos);
       #endregion
 
+      public PNLRowData with(SecurityImmutable? security = null, string account_name = null, WorkingOrderData? working = null, PNLCalculationType? calc_type = null) =>
+         new PNLRowData(
+            key,
+            default_cpp,
+            override_cpp,
+            bid_price,
+            ask_price,
+            last_price,
+            settlement_price,
+            sod,
+            day,
+            raw_day,
+            working ?? this.working,
+            security ?? this.security,
+            account_name ?? this.account_name,
+            calc_type ?? this.calc_type,
+            qty_conversion: qty_conversion);
+
       WaterfallPriceFlags _waterfall_flags() {
          var flags = WaterfallPriceFlags.None;
          if (!double.IsNaN(bid_price)) flags |= WaterfallPriceFlags.Bid;
@@ -546,7 +571,8 @@ namespace bts.shell.pnl {
 
       public bool Equals(PNLRowData other) =>
          key == other.key &&
-         cpp == other.cpp &&
+         default_cpp == other.default_cpp &&
+         override_cpp == other.override_cpp &&
          security.HasValue == other.security.HasValue &&
          account_name == other.account_name &&
          sod == other.sod &&
@@ -574,9 +600,12 @@ namespace bts.shell.pnl {
    }
 
    static class PNLRowDataFactory {
-      public static PNLRowData create((SecurityImmutable? sec, PNLUnitImmutable value, QuantityConversionData qty_conversion) t) =>
-         new PNLRowData(new PNLKey(t.value.Pos.AccountId, t.value.Pos.SecurityId),
-            t.value.CashValue,
+      public static PNLRowData create((SecurityImmutable? sec, PNLUnitImmutable value, QuantityConversionData qty_conversion) t) {
+         var (default_cpp, override_cpp) = t.value.pnl_cpp_tuple(t.sec);
+         return new PNLRowData(
+            new PNLKey(t.value.Pos.AccountId, t.value.Pos.SecurityId),
+            default_cpp,
+            override_cpp,
             t.value.BidPrice,
             t.value.AskPrice,
             t.value.LastPrice,
@@ -588,25 +617,25 @@ namespace bts.shell.pnl {
             t.sec,
             t.value.Pos.Account,
             qty_conversion: t.qty_conversion);
+      }
    }
 
    static class PNLDataExtensions {
-      // Note: PNLRowData is passed by ref because it is fairly large struct, and since it is a readonly struct, we know it cannot be modified (so might as well avoid excessive copying).
-      public static PNLRowData with(this PNLRowData pnl_data, SecurityImmutable? security = null, string account_name = null, WorkingOrderData? working = null, PNLCalculationType? calc_type = null) =>
-         new PNLRowData(
-            pnl_data.key,
-            pnl_data.cpp,
-            pnl_data.bid_price,
-            pnl_data.ask_price,
-            pnl_data.last_price,
-            pnl_data.settlement_price,
-            pnl_data.sod,
-            pnl_data.day,
-            pnl_data.raw_day,
-            working ?? pnl_data.working,
-            security ?? pnl_data.security,
-            account_name ?? pnl_data.account_name,
-            calc_type ?? pnl_data.calc_type,
-            qty_conversion: pnl_data.qty_conversion);
+      public static string pnl_symbol(this SecurityImmutable security) {
+         return bts.api.ExchangeSpecificUitlities.get_pnl_symbol(security);
+      }
+
+      // while override_cpp could use double.NaN to indicate the lack of an override,
+      // the nullable double makes it clear that it is an optional value.
+      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable? security) =>
+         security.HasValue ?
+            pnl_cpp_tuple(pnl_unit, security.Value) :
+            (pnl_unit.CashValue, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
+
+      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable security) {
+         // TODO: actual impl
+         double calced_pnl = bts.api.ExchangeSpecificUitlities.get_cpp(pnl_unit,security);
+         return (calced_pnl, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
+      }
    }
 }

src/client/spark/Modules/Trading/PNL/PNLWindowFactory.cs

@@ -1,4 +1,5 @@
 using bts.api;
+using bts.api.position;
 using bts.collections;
 using bts.settings;
 using bts.shell.pnl;
@@ -11,6 +12,7 @@ using mbts.persist;
 using mbts.spark;
 using mbts.ui;
 using mbts.ui.controls;
+using mbts.ui.controls.property_editor;
 using mbts.ui.settings;
 using mbts.ui.spark;
 using mbts.ui.utility;
@@ -22,6 +24,7 @@ using System.ComponentModel;
 using System.ComponentModel.Composition;
 using System.Linq;
 using System.Reactive.Linq;
+using System.Threading;
 using System.Threading.Tasks;
 using System.Windows;
 using System.Windows.Media;
@@ -34,11 +37,13 @@ namespace bts.shell {
       readonly UserSettingsHub _settings_hub;
       readonly PNLConfig _pnl_conf;
       readonly IShellWindowThreadIDProvider _thread_id_provider;
+      readonly IPositionModel _position_model;
 
-      public PNLWindowFactory(IShellModule owner, IBus bus, UserSettingsHub settings_hub, OrdersModel orders_model) : base(owner, _window_type) {
+      public PNLWindowFactory(IShellModule owner, IBus bus, UserSettingsHub settings_hub, OrdersModel orders_model, IPositionModel position_model) : base(owner, _window_type) {
          _bus = bus;
          _orders_model = orders_model;
          _settings_hub = settings_hub;
+         _position_model = position_model;
          _pnl_conf = new PNLConfig(Configuration.get<bts.config.PNLOptions>());
          _thread_id_provider = ShellWindowThreadIDFactory.create(_window_type, Configuration.get<bts.config.MultiThreadedWindows>().pnl);
          _dispose = bus.subscribe(SparkTags.ShowPNLTag).OnDispatcher().Subscribe(_show);
@@ -105,6 +110,8 @@ namespace bts.shell {
                   menu_display: menu_display_vm.create());
                return new PNLSaveState { use_defaults = false, settings = state };
             };
+
+            IDisposable cpp_override_dialog = null;
             IEnumerable<SparkCommand> commands = new[] {
                new SparkCommandCommand("Collapse All", Icons.RightArrow, new DelegateCommand(() => vm.set_all_expanded(false))),
                new SparkCommandCommand("Expand All", Icons.DownArrow, new DelegateCommand(() => vm.set_all_expanded(true))),
@@ -116,6 +123,26 @@ namespace bts.shell {
                   show_in_context_menu = _pnl_conf.show_pause_resume,
                   show_in_toolbar = _pnl_conf.show_pause_resume
                },
+               new SparkCommandCommand("Override CPP...", Icons.CurrencyExchange, new DelegateCommand(() => {
+                  Disposable.dispose(ref cpp_override_dialog);
+                  var security_keys = vm.selected_rows.Select(r => r.security_key.value).Distinct().ToList();
+                  double initial_cpp = vm.selected_rows.Select(r => r.cpp.value).Distinct().SafeSingleOrDefault();
+                  override_cpp_async().ignore();
+                  async Task override_cpp_async() {
+                     try {
+                        var cts = new CancellationTokenSource();
+                        cpp_override_dialog = Disposable.Create(new Action(cts.Cancel));
+                        var (cpp, committed) = await PropertyEditor.get_double_async("Override CPP", "value", cts.Token, initial_cpp);
+                        if (committed && cpp.is_real_positive())
+                           await _position_model.override_cpp_async(security_keys, cpp);
+                     } catch (Exception ex) {
+                        Log.Ui.warn($"Error overriding cpp: {ex}.");
+                     }
+                  }
+               })) {
+                  show_in_context_menu = true,
+                  show_in_toolbar = false
+               },
                SparkCommands.window_settings_command(new DialogCommand(() => {
                   settings_manager.instance_settings = get_save_state().settings;
                   var dialog_vm = new ShellSettingsDialogVM<PNLSettings, PNLSettingsVM>(
@@ -190,6 +217,7 @@ namespace bts.shell {
                         cached_columns.RemoveRange(e.OldItems.OfType<DIYGrid.ColumnBase>());
                }),
                Disposable.wrap_collection(commands.OfType<IDisposable>()),
+               Disposable.Create(() => Disposable.dispose(ref cpp_override_dialog)),
                menu_display_vm,
                vm);
             return (content, commands, get_save_state, dispose);
@@ -384,5 +412,17 @@ namespace bts.shell {
             return false;
          }
       }
+
+      [Export(typeof(IPNLSettingsMigrationRule))]
+      class InitializeDataFormattingMigrationRule : IPNLSettingsMigrationRule {
+         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
+            if (settings != null && settings.data_formatting == null) {
+               new_settings = settings.with(data_formatting: PNLSettings.Default.data_formatting);
+               return true;
+            }
+            new_settings = null;
+            return false;
+         }
+      }
    }
 }

src/client/spark/Modules/Trading/PNL/Settings/PNLFilterStates.cs

@@ -204,11 +204,11 @@ namespace bts.shell.pnl {
          // impl (add all)
          bd.add_discrete_values(fs.account, d => d.key.account_id);
          bd.add_discrete_values(fs.exchange, d => d.security.exchange_or_default());
-         bd.add_discrete_values(fs.symbol, d => d.security.symbol_or_default());
+         bd.add_discrete_values(fs.symbol, d => d.symbol);
          bd.add_discrete_values(fs.security_type, d => d.security.HasValue ? d.security.Value.ContractCase : Security.ContractOneofCase.None);
          bd.add_regex(fs.security, d => d.security.ToString());
          bd.add_regex(fs.security_key, d => d.key.security_id.ToString());
-         bd.add_numeric(fs.cpp, d => d.cpp);
+         bd.add_numeric(fs.cpp, d => d.effective_cpp);
          /// sod
          bd.add_numeric(fs.sod_pnl, d => d.sod_pnl);
          bd.add_numeric(fs.sod_long_pos, d => d.sod_long_pos);

src/client/spark/Modules/Trading/PNL/Settings/VM/PNLDataFormattingVM.cs

@@ -0,0 +1,52 @@
+using bts.utils;
+using mbts.spark;
+using mbts.ui.shell;
+using System;
+using System.Collections.Generic;
+
+namespace bts.shell.pnl {
+   class PNLDataFormattingVM : ViewModelBase, IValueFactory<PNLDataFormatting> {
+      const uint _min_decimal_places = 1, _max_decimal_places = 6;
+      uint _market_price_decimal_places, _fill_price_decimal_places;
+
+      public uint market_price_decimal_places {
+         get => _market_price_decimal_places;
+         set => Set(ref _market_price_decimal_places, value);
+      }
+      public uint fill_price_decimal_places {
+         get => _fill_price_decimal_places;
+         set => Set(ref _fill_price_decimal_places, value);
+      }
+      public IEnumerable<uint> decimal_place_options {
+         get {
+            for (uint n = _min_decimal_places; n <= _max_decimal_places; n++)
+               yield return n;
+         }
+      }
+
+      public PNLDataFormatting create() =>
+         new PNLDataFormatting {
+            fill_price_display = new DoubleFormatting {
+               tick_factors = new mbts.user.settings.TickFactors(
+                  Math.Pow(10, MathUtils.within_range(_min_decimal_places, _max_decimal_places, fill_price_decimal_places)),
+                  1)
+            },
+            market_price_display = new DoubleFormatting {
+               tick_factors = new mbts.user.settings.TickFactors(
+                  Math.Pow(10, MathUtils.within_range(_min_decimal_places, _max_decimal_places, market_price_decimal_places)),
+                  1)
+            }
+         };
+
+      public void load_from(PNLDataFormatting value) {
+         if (value != null) {
+            if (value.market_price_display?.tick_factors != null) {
+               market_price_decimal_places = (uint)Math.Log10(value.market_price_display.tick_factors.tick_base);
+            }
+            if (value.fill_price_display?.tick_factors != null) {
+               fill_price_decimal_places = (uint)Math.Log10(value.fill_price_display.tick_factors.tick_base);
+            }
+         }
+      }
+   }
+}

src/client/spark/Modules/Trading/PNL/Settings/VM/PNLSettingsVM.cs

@@ -14,7 +14,6 @@ using System;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
 using System.Collections.Specialized;
-using System.Dynamic;
 using System.Linq;
 using ColumnKeys = bts.shell.pnl.PNLView.Columns;
 
@@ -52,6 +51,7 @@ namespace bts.shell.pnl {
       public SimpleGridSettingsVM core_settings_vm { get; }
       public PNLGroupRowAppearanceVM group_row_defaults { get; } = new PNLGroupRowAppearanceVM();
       public PNLCellAppearanceVM header_row_defaults { get; } = new PNLCellAppearanceVM();
+      public PNLDataFormattingVM data_formatting_vm { get; } = new PNLDataFormattingVM();
       public PNLCalculationType calculation_type { get => _calculation_type; set => Set(ref _calculation_type, value); }
       public IEnumerable<PNLCalculationType> calculation_types => EnumHelper.get_values_except(PNLCalculationType.None, PNLCalculationType.Same, PNLCalculationType.Opposite);
       public PNLHeaderRowDisplay header_row_display { get => _header_row_display; set => Set(ref _header_row_display, value); }
@@ -63,6 +63,7 @@ namespace bts.shell.pnl {
          var s = _last_loaded == null ? new PNLSettings() : SparkUtils.clone_proto(_last_loaded);
          s.calculation_type = _calculation_type;
          s.grid = core_settings_vm.create();
+         s.data_formatting = data_formatting_vm.create();
          // move anchor cols to the left, order wrt grouping hierarchy
          List<GridColumnSettings> new_cols = null;
          IEnumerable<GridColumnSettings> cols = s.grid.columns;
@@ -136,6 +137,7 @@ namespace bts.shell.pnl {
          _last_loaded = value;
          header_row_defaults.load(value.header_cell_appearance.to_appearance());
          group_row_defaults.load_from((value.group_cell_appearance.to_appearance(), value.group_background_colors.WrapSelectorRO(c => c.argb_color())));
+         data_formatting_vm.load_from(value.data_formatting);
          var column_map = _map_column_data(value.grid.columns, value.animations);
          var group_column_map = _map_column_data(value.group_columns, value.group_header_animations);
          var header_column_map = _map_column_data(value.header_columns, value.header_row_animations);
@@ -154,7 +156,7 @@ namespace bts.shell.pnl {
             anchor_items.WrapSelector(a => a.key, k => _anchor_cache[k]).sync_with(value.anchors.Intersect(PNLSettings.anchorable_columns));
          header_row_display = value.header_row_display;
          calculation_type = value.calculation_type;
-       }
+      }
 
       PNLSettings IValueFactory<PNLSettings>.create() => get_result();
       void IValueFactory<PNLSettings>.load_from(PNLSettings value) => load(value);

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

@@ -55,11 +55,11 @@ namespace bts.shell.pnl {
    }
 
    class PNLCellVM<TRow, TValue> : ViewModelBase, IObserver<PNLAnimation>, IPNLCellVM<TRow>, IComparable<PNLCellVM<TRow, TValue>>, IComparable {
-      readonly Func<TValue, string> _fmt;
       readonly Func<TRow, TValue> _get;
       readonly IEqualityComparer<TValue> _eq_comparer;
       readonly IComparer<TValue> _comparer;
       readonly PNLView.Columns _column;
+      Func<TValue, string> _fmt;
       IComparer _value_comparer;
       Color
          _foreground = Colors.Black,
@@ -123,6 +123,15 @@ namespace bts.shell.pnl {
          set => Set(ref _font_weight, value);
       }
 
+      public Func<TValue, string> format {
+         get => _fmt;
+         set {
+            _fmt = value;
+            _text = null;
+            RaisePropertyChanged(nameof(text));
+         }
+      }
+
       public void on_row(TRow row) =>
          value = _get(row);
 

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

@@ -22,7 +22,13 @@ namespace bts.shell.pnl {
       bool _refresh_normalized_data = true, _is_selected;
       PNLNormalizedData _normalized_data;
 
-      public PNLRowVM(PNLRowData data, ImmutableDictionary<ColumnKeys, PNLCellAppearance> default_appearances, IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers) {
+      public PNLRowVM(
+         PNLRowData data,
+         ImmutableDictionary<ColumnKeys, PNLCellAppearance> default_appearances,
+         IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers,
+         Func<double, string> fmt_fill_price,
+         Func<double, string> fmt_market_price) {
+         //
          this.data = data;
          _animator = new PNLCellEmbeddedAnimationModel<PNLRowData>(default_appearances, triggers);
          _animator.on_row(data);
@@ -30,10 +36,10 @@ namespace bts.shell.pnl {
          account_name_cell = _cell_map.add(ColumnKeys.Account, d => d.account_name);
          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);
+         symbol_cell = _cell_map.add(ColumnKeys.Symbol, d => d.symbol);
          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);
+         cpp = _cell_map.add(ColumnKeys.CPP, d => d.effective_cpp);
          // sod
          sod_pnl = _cell_map.add_pnl_double(ColumnKeys.SODPNL, d => d.sod_pnl);
          sod_net_pos = _cell_map.add_net_pos(ColumnKeys.SODNetPos, d => d.display_sod_net_pos);
@@ -73,6 +79,7 @@ namespace bts.shell.pnl {
          last_price = _cell_map.add_price_double(ColumnKeys.LastPrice, d => d.last_price);
          settlement_price = _cell_map.add_price_double(ColumnKeys.SettlementPrice, d => d.settlement_price);
 
+         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
          _cell_map.on_row(data);
          _cell_map.set_appearances(_animator.cell_appearances);
          _dispose = _cell_map.animation_model.OnDispatcher().Subscribe(new_animations => {
@@ -185,6 +192,7 @@ namespace bts.shell.pnl {
       public PNLCellVM<PNLRowData, double> pnl_price { get; }
 
       public IList<mbts.ui.spark.CellAnimation> animations { get; private set; }
+
       public bool is_selected {
          get => _is_selected;
          set {
@@ -193,6 +201,35 @@ namespace bts.shell.pnl {
          }
       }
 
+      IEnumerable<PNLCellVM<PNLRowData, double>> _market_price_cells {
+         get {
+            yield return pnl_price;
+            yield return last_price;
+            yield return bid_price;
+            yield return mid_price;
+            yield return ask_price;
+            yield return settlement_price;
+         }
+      }
+
+      // includes sod, day, total, and working avg price columns
+      IEnumerable<PNLCellVM<PNLRowData, double>> _fill_price_cells {
+         get {
+            // sod
+            yield return sod_long_avg_price;
+            yield return sod_short_avg_price;
+            // day
+            yield return day_long_avg_price;
+            yield return day_short_avg_price;
+            // total
+            yield return total_long_avg_price;
+            yield return total_short_avg_price;
+            // working
+            yield return working_long_avg_price;
+            yield return working_short_avg_price;
+         }
+      }
+
       public void update(PNLRowData data) {
          _refresh_normalized_data = true;
          this.data = data;
@@ -201,9 +238,10 @@ namespace bts.shell.pnl {
          _cell_map.set_appearances(_animator.cell_appearances);
       }
 
-      public void on_settings(ImmutableDictionary<ColumnKeys, PNLCellAppearance> defaults, IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers) {
+      public void on_settings(ImmutableDictionary<ColumnKeys, PNLCellAppearance> defaults, IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers, Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
          _animator.on_settings(defaults, triggers);
          _cell_map.set_appearances(_animator.cell_appearances);
+         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
       }
 
       public bool Equals(PNLRowVM other) =>
@@ -214,5 +252,14 @@ namespace bts.shell.pnl {
 
       public override string ToString() =>
          $"account: {account_name} exchange: {exchange} symbol: {symbol} security: {security} buy_quantity: {day_long_pos} sell_quantity: {day_short_pos} pnl: {total_pnl}";
+
+      void _set_price_formatting_delegates(Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
+         foreach (var cell in _fill_price_cells) {
+            cell.format = fmt_fill_price;
+         }
+         foreach (var cell in _market_price_cells) {
+            cell.format = fmt_market_price;
+         }
+      }
    }
 }

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

@@ -41,6 +41,9 @@ namespace bts.shell.pnl {
       readonly IBus _bus;
       readonly OrdersModel _orders_model;
       readonly IObservableCollectionAddRemoveOnly<PNLRowVM> _selected_rows = new ObservableSortedCollection<PNLRowVM>(PNLRowVM.key_comparer);
+      /// treat <see cref="_rows_data_wrapper"/> and <see cref="_rows_key_wrapper"/>
+      /// as IReadOnlyLists - don't call any mutation methods.
+      /// The only reason they are ILists is for the binary_search methods.
       readonly IList<PNLRowData> _rows_data_wrapper;
       readonly IList<PNLKey> _rows_key_wrapper;
       readonly DeferrableActionWrapper _refresh_filter;
@@ -51,6 +54,7 @@ namespace bts.shell.pnl {
       IReadOnlyList<(ColumnKeys key, ListSortDirection direction)> _sorting_hierarchy;
       Brush _selection_highlight;
       Color _grid_background_color = Colors.Transparent;
+      Func<double, string> _fmt_fill_price_backing, _fmt_market_price_backing;
       bool _is_paused;
       // default appearances
       ImmutableDictionary<ColumnKeys, PNLCellAppearance>
@@ -74,7 +78,7 @@ namespace bts.shell.pnl {
       PNLVM(IBus bus, OrdersModel orders_model, PNLSettings settings, IObservable<TableUpdate<PNLRowData, PNLKey>> pnl_source) {
          _bus = bus;
          _orders_model = orders_model;
-         _rows_data_wrapper = rows.WrapSelector(r => r.data, d => new PNLRowVM(d, _default_appearances, _triggers));
+         _rows_data_wrapper = rows.WrapSelector(r => r.data, null);
          _rows_key_wrapper = rows.WrapSelector(r => r.key, null);
          _rows_view = new PNLRowCollectionView(rows, _default_group_appearances, _group_triggers);
          _calculation_type = backing(nameof(calculation_type), PNLCalculationType.Waterfall);
@@ -88,6 +92,12 @@ namespace bts.shell.pnl {
          });
          // filters
          account_filter = DiscreteValuesFilterVM.Common.account<PNLRowData>(orders_model, r => new AccountTuple(r.key.account_id, r.account_name), nameof(PNLRowVM.account_name));
+         symbol_filter = DiscreteValuesFilterVM.CreateTableUpdate<PNLRowData, string, string>(
+            r => r.symbol,
+            sym => sym,
+            out var symbol_filter_items_observer,
+            out var symbol_filter_items_view);
+         symbol_filter_items_view.CustomSort = Comparer<string>.Default.to_safe().to_non_generic();
          _refresh_filter = new DeferrableActionWrapper(() => _filter_changed?.Invoke(get_filters_states().build_predicate()));
          var filter_src = Observable.Create<Func<PNLRowData, bool>>(o => {
             o.OnNext(get_filters_states().build_predicate());
@@ -108,9 +118,11 @@ namespace bts.shell.pnl {
             ).FilterWithRaw(filter_src, PNLRowData.key_fn, null)
             .OnDispatcher()
             .Subscribe(_update),
+            _symbols_source(pnl_source).OnDispatcher().Subscribe(symbol_filter_items_observer),
             Disposable.Create(() => {
                foreach (var f in _all_filters)
                   f.filter_changed -= _refresh_filter.execute;
+               _all_filters.OfType<IDisposable>().DisposeAll();
                rows.DisposeAll();
                _rows_view.Groups.OfTypeSafe<IDisposable>().DisposeAll();
             }));
@@ -187,14 +199,14 @@ namespace bts.shell.pnl {
       /// security
       public IDataGridColumnPersistentFilter<PNLRowData, uint[]> account_filter { get; }
       public IDataGridColumnPersistentFilter<PNLRowData, Venue[]> exchange_filter { get; } = DiscreteValuesFilterVM.Common.exchange<PNLRowData>(r => r.security.exchange_or_default(), nameof(PNLRowVM.exchange));
-      public IDataGridColumnPersistentFilter<PNLRowData, string[]> symbol_filter { get; } = DiscreteValuesFilterVM.Common.symbol<PNLRowData>(r => r.security.symbol_or_default(), nameof(PNLRowVM.symbol));
+      public IDataGridColumnPersistentFilter<PNLRowData, string[]> symbol_filter { get; }
       public IDataGridColumnPersistentFilter<PNLRowData, string> security_filter { get; } = new RegexFilterVM<PNLRowData>(r => r.security?.ToString(), nameof(PNLRowData.security));
       public IDataGridColumnPersistentFilter<PNLRowData, string> security_key_filter { get; } = new RegexFilterVM<PNLRowData>(r => r.key.security_id.ToString());
       public IDataGridColumnPersistentFilter<PNLRowData, SecurityType[]> security_type_filter { get; } = DiscreteValuesFilterVM.Create<PNLRowData, SecurityType>(
          EnumHelper.get_values_except(SecurityType.Option, SecurityType.Synthetic).ToArray(),
          r => r.security?.ContractCase ?? SecurityType.None,
          nameof(PNLRowData.security));
-      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> cpp_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.cpp);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> cpp_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.effective_cpp);
       /// sod
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_long_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.long_pos);
@@ -238,6 +250,15 @@ namespace bts.shell.pnl {
       IEnumerable<IDataGridColumnFilter<PNLRowData>> _all_filters =>
          _filter_getters.Select(get => get(this));
 
+      Func<double, string> _fmt_fill_price {
+         get => _fmt_fill_price_backing ?? FormattingDelegates.Price.Value;
+         set => _fmt_fill_price_backing = value;
+      }
+      Func<double, string> _fmt_market_price {
+         get => _fmt_market_price_backing ?? FormattingDelegates.Price.Value;
+         set => _fmt_market_price_backing = value;
+      }
+
       public static IComparer<PNLRowVM> get_column_comparer(ColumnKeys column) =>
          _get_column_comparer(column).row_comparer;
 
@@ -360,8 +381,10 @@ namespace bts.shell.pnl {
          _triggers = settings.triggers();
          _group_triggers = settings.group_triggers();
          _header_triggers = settings.header_triggers();
+         _fmt_fill_price = settings.data_formatting?.fill_price_display?.get_formatting_delegate();
+         _fmt_market_price = settings.data_formatting?.market_price_display?.get_formatting_delegate();
          foreach (var r in rows)
-            r.on_settings(_default_appearances, _triggers);
+            r.on_settings(_default_appearances, _triggers, _fmt_fill_price, _fmt_market_price);
          total_aggregate.on_settings(settings.header_background_color, _default_header_appearances, _header_triggers);
          selected_aggregate.on_settings(settings.header_background_color,_default_header_appearances, _header_triggers);
          void map_appearances(ref ImmutableDictionary<ColumnKeys, PNLCellAppearance> from, IEnumerable<GridColumnSettings> col_settings, PNLCellAppearance fallback_appearance) {
@@ -542,6 +565,16 @@ namespace bts.shell.pnl {
             yield return col_hash.Contains(c.id) ? c.with(is_visible: false) : c;
       }
 
+      // combines the known system symbols
+      static IObservable<TableUpdate<string, string>> _symbols_source(IObservable<TableUpdate<PNLRowData, PNLKey>> pnl_source) =>
+         pnl_source
+            // ensure this fires once immediatey, because the known symbols are appended to the first update
+            // (observers shouldn't have to wait for the pnl source to tick to see them).
+            .StartWith(TableUpdate<PNLRowData, PNLKey>.mk_empty(PNLRowData.key_fn))
+            .distinct_on(PNLRowData.key_fn, r => r.symbol, s => s)
+            .Filter(sym => !string.IsNullOrEmpty(sym))
+            .AppendTable(mbts.co2.UserSymbol.get_all().Select(u => u.symbol).Distinct().ToList());
+
       #region Fills Popup Utils
       static void _append_key_filters(fills.FillsFilterStates f, ColumnKeys key) {
          switch (key) {
@@ -734,7 +767,7 @@ namespace bts.shell.pnl {
             }
          }
          foreach (var v in filtered.added) {
-            var r = new PNLRowVM(v.with(calc_type: calculation_type), _default_appearances, _triggers);
+            var r = new PNLRowVM(v.with(calc_type: calculation_type), _default_appearances, _triggers, _fmt_fill_price, _fmt_market_price);
             rows.InsertSorted(r, PNLRowVM.key_comparer);
                total_pnl += r.normalized_data;
          }

src/client/spark/Modules/Trading/PNL/View/PNLView.xaml

@@ -619,7 +619,7 @@
             <!--Symbol-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.symbol_filter, Source={u:DirectReference _grid}}"
-              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DiscreteValues}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DiscreteValuesCollectionView}}"
               c:DataGridFilterProperties.FilterActive="{Binding DataContext.symbol_filter.active, Source={u:DirectReference _grid}}"
               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.symbol_filter.open, Source={u:DirectReference _grid}}"
               key="Symbol"

src/client/spark/Modules/Trading/TradingShellModule.cs

@@ -1,4 +1,5 @@
 using bts.api;
+using bts.api.position;
 using bts.shell.fills;
 using bts.shell.manual_fills;
 using bts.spark;
@@ -38,6 +39,7 @@ namespace bts.shell {
             UserSettingsHub settings_hub, 
             OrdersModel orders_model,
             md.MBOService mbo,
+            IPositionModel position_model,
             ErrorReporter error_reporter) {
          /// Unlike our <see cref="SparkCommand"/> members, <see cref="IShellWindowFactory"/> members must be instantiated immediately,
          /// as they are responsible for launching windows in response to a SparkTag being published to the bus.
@@ -47,7 +49,7 @@ namespace bts.shell {
          _fwf = new FillsWindowFactory(this, bus, settings_hub, orders_model);
          _pnl_conf = new PNLConfig(mbts.config.Configuration.get<bts.config.PNLOptions>());
          if (_pnl_conf.show_new_pnl)
-            _plwf = new PNLWindowFactory(this, bus, settings_hub, orders_model);
+            _plwf = new PNLWindowFactory(this, bus, settings_hub, orders_model, position_model);
          if (_pnl_conf.show_old_pnl)
             _old_plwf = new PAndLWindowFactory(this, bus, settings_hub, orders_model);
          _aswf = new AlgoStudioWindowFactory(this, bus, orders_model, error_reporter);

src/client/spark/Orders/OrderDataHelper.cs

@@ -1,5 +1,6 @@
 using bts;
 using bts.api;
+using bts.api.core;
 using bts.api.orderman;
 using bts.collections;
 using bts.spark;
@@ -26,11 +27,13 @@ namespace mbts.spark.utilities {
       public readonly Func<CustomOrderDefinition, CustomOrderDefinition> get_child;
       public readonly Action<CustomOrderDefinition, CustomOrderDefinition> assign_child;
 
-      public ChildAlgoData(string name, Func<IMessage, CustomOrderDefinition> get_child_from_impl, 
-                           Action<IMessage, CustomOrderDefinition> assign_child_to_impl, 
-                           Func<CustomOrderDefinition, CustomOrderDefinition> get_child, 
-                           Action<CustomOrderDefinition, CustomOrderDefinition> assign_child) 
-      {
+      public ChildAlgoData(
+         string name,
+         Func<IMessage, CustomOrderDefinition> get_child_from_impl,
+         Action<IMessage, CustomOrderDefinition> assign_child_to_impl,
+         Func<CustomOrderDefinition, CustomOrderDefinition> get_child,
+         Action<CustomOrderDefinition, CustomOrderDefinition> assign_child) {
+         //
          this.name = name;
          this.get_child = get_child;
          this.assign_child = assign_child;
@@ -46,13 +49,19 @@ namespace mbts.spark.utilities {
       static readonly OrderMetadata _default_order_metadata = new OrderMetadata { KeyBinding = "", Color = BTSColors.Orders.default_order };
       readonly AdminModel _admin_model;
       readonly DynamicOrderHelper _dynamic_helper;
+      readonly IAlgoProvider _security_algo_provider;
       readonly IReadOnlyDictionary<OneOf<CustomOrderDefinition.CustomOneofCase, string>, string> _algo_abbreviation_index;
+      readonly IReadOnlyDictionary<string, DynamicOrderDescriptor> _dynamic_descriptors;
       IDisposable _dispose;
 
       [ImportingConstructor]
-      public OrderFactory(AdminModel admin_model, DynamicOrderHelper dynamic_helper) {
+      public OrderFactory(OrderService service, AdminModel admin_model, DynamicOrderHelper dynamic_helper, IAlgoProvider security_algo_provider) {
          _admin_model = admin_model;
          _dynamic_helper = dynamic_helper;
+         _dynamic_descriptors = service.get_registered_dynamic_order_types(new VoidMessage())
+            .DynamicOrderDesc
+            .ToDictionary(d => d.DynamicOrderType);
+         _security_algo_provider = security_algo_provider;
          var algo_name_index = new HashSet<OneOf<CustomOrderDefinition.CustomOneofCase, string>>(OneOf<CustomOrderDefinition.CustomOneofCase, string>.ValueEqualityComparer);
          // add standard types
          algo_name_index.AddRange(
@@ -86,66 +95,13 @@ namespace mbts.spark.utilities {
       public IEnumerable<CustomOrderDefinition.CustomOneofCase> default_order_types() =>
          OrderDataHelper.exchange_order_types;
 
-      public IEnumerable<CustomOrderDefinition.CustomOneofCase> default_order_types(SecurityImmutable? security) =>
-         security.HasValue ? default_order_types(security.Value) : OrderDataHelper.exchange_order_types;
-
-      public IEnumerable<CustomOrderDefinition.CustomOneofCase> default_order_types(SecurityImmutable security) {
-         switch (security.ContractCase) {
-            case Security.ContractOneofCase.Synthetic: return OrderDataHelper.spreader_order_types;
-            default: return OrderDataHelper.exchange_order_types;
-         }
-      }
-
-      public IEnumerable<CustomOrderDefinition.CustomOneofCase> default_order_types(SecurityImmutable? security, bool is_child = false) =>
-         security.HasValue ? default_order_types(security.Value, is_child) : default_order_types();
-
-      public IEnumerable<TimeInForce> default_time_in_forces() =>
-         EnumHelper.get_values_except(TimeInForce.Undefined);
-
-      public IEnumerable<TimeInForce> default_time_in_forces(SecurityImmutable security, bool is_child = false) =>
-         default_time_in_forces();
-
       public IEnumerable<TimeInForce> default_time_in_forces(SecurityImmutable security, CustomOrderDefinition.CustomOneofCase order_type, bool is_child = false) {
-         var tifs = default_time_in_forces(security, is_child);
+         var tifs = EnumHelper.get_values_except(TimeInForce.Undefined);
          if (order_type != CustomOrderDefinition.CustomOneofCase.Limit) {
             tifs = tifs.Except(new[] { TimeInForce.Ioc });
          }
          return tifs;
       }
-
-      public IEnumerable<TimeInForce> default_time_in_forces(SecurityImmutable? security, bool is_child = false) =>
-         security.HasValue ? default_time_in_forces(security.Value, is_child) : default_time_in_forces();
-
-      public LadderSettings default_ladder_settings(SecurityImmutable security) {
-         var settings = LadderSettings.Default;
-         if (security.ContractCase == Security.ContractOneofCase.Synthetic)
-            settings.default_order_type = CustomOrderDefinition.CustomOneofCase.Spreader;
-         return settings;
-      }
-
-      public Dictionary<AlgoKey, AlgoData> default_algos() =>
-         default_algos((SecurityImmutable?)null);
-
-      public Dictionary<AlgoKey, AlgoData> default_algos(SecurityImmutable? security) =>
-         default_algos(default_order_types(security));
-
-      public Dictionary<AlgoKey, AlgoData> default_algos(AlgoFormats algo_format) =>
-         default_algos(OrderDataHelper.get_format_algo_types(algo_format));
-
-      public Dictionary<AlgoKey, AlgoData> default_algos(IEnumerable<CustomOrderDefinition.CustomOneofCase> types) {
-         var def_map = new Dictionary<AlgoKey, AlgoData>();
-         foreach (var ot in types.Except(new[] { CustomOrderDefinition.CustomOneofCase.Dynamic, CustomOrderDefinition.CustomOneofCase.Composite })) {
-            var data = AlgoData.from_custom_def(OrderDataHelper.Defaults.CustomOrderDefinitionImmutable(ot));
-            def_map[data.key] = data;
-         }
-         var dynamic_defs = new List<CustomOrderDefinitionImmutable>();
-         _dynamic_helper.add_dynamic_order_defs(dynamic_defs, custom_order);
-         foreach (var dd in dynamic_defs) {
-            var data = AlgoData.from_custom_def(dd);
-            def_map[data.key] = data;
-         }
-         return def_map;
-      }
       #endregion
 
       public OrderDefinitionImmutable order(SecurityImmutable security) =>
@@ -156,7 +112,7 @@ namespace mbts.spark.utilities {
             SecurityKey = security.Id,
             Side = Side.Buy,
             TimeInForce = TimeInForce.Day,
-            CustomDef = custom_order(),
+            CustomDef = OrderDataHelper.Defaults.CustomOrderDefinition(),
             CtiCode = CTICode.CtiCode1,
             CustomerOrFirm = CustomerOrFirm.Firm,
             // this will be the tag 50 on CME orders
@@ -173,9 +129,6 @@ namespace mbts.spark.utilities {
          return rv;
       }
 
-      public string abbreviate_algo(CustomOrderDefinitionImmutable defi) =>
-         abbreviate_algo(_simple_algo_id(defi));
-
       public string abbreviate_algo(OneOf<CustomOrderDefinition.CustomOneofCase, string> id) {
          if (id == null)
             throw new ArgumentNullException(nameof(id));
@@ -187,26 +140,6 @@ namespace mbts.spark.utilities {
       }
 
       // mutable definitions
-      public CustomOrderDefinition custom_order() => OrderDataHelper.Defaults.CustomOrderDefinition();
-      public MarketOrderDefinition market_order() => OrderDataHelper.Defaults.MarketOrderDefinition();
-      public LimitOrderDefinition limit_order() => OrderDataHelper.Defaults.LimitOrderDefinition();
-      public StopOrderDefinition stop_order() => OrderDataHelper.Defaults.StopOrderDefinition();
-      public StopLimitOrderDefinition stop_limit_order() => OrderDataHelper.Defaults.StopLimitOrderDefinition();
-      public GLBXIcebergOrderDefinition glbx_iceberg_order() => OrderDataHelper.Defaults.GLBXIcebergOrderDefinition();
-      public IcebergOrderDefinition iceberg_order() => OrderDataHelper.Defaults.IcebergOrderDefinition();
-      public TimeBoxOrderDefinition time_box_order() => OrderDataHelper.Defaults.TimeBoxOrderDefinition();
-      public TickOrderDefinition tick_order() => OrderDataHelper.Defaults.TickOrderDefinition();
-      public LeanOrderDefinition lean_order() => OrderDataHelper.Defaults.LeanOrderDefinition();
-      public JoinOrderDefinition join_order() => OrderDataHelper.Defaults.JoinOrderDefinition();
-      public TopOrderDefinition top_order() => OrderDataHelper.Defaults.TopOrderDefinition();
-      public CoverOrderDefinition cover_order() => OrderDataHelper.Defaults.CoverOrderDefinition();
-      public OCOOrderDefinition oco_order() => OrderDataHelper.Defaults.OCOOrderDefinition();
-      public PricerOrderDefinition pricer_order() => OrderDataHelper.Defaults.PricerOrderDefinition();
-      public OffsetOrderDefinition offset_order() => OrderDataHelper.Defaults.OffsetOrderDefinition();
-      public TriggerOrderDefinition trigger_order() => OrderDataHelper.Defaults.TriggerOrderDefinition();
-      public DynamicOrderDefinition dynamic_order() => OrderDataHelper.Defaults.DynamicOrderDefinition();
-      public SpreaderOrderDefinition spreader_order() => OrderDataHelper.Defaults.SpreaderOrderDefinition();
-      public SplitterOrderDefinition splitter_order() => OrderDataHelper.Defaults.SplitterOrderDefinition();
       public SpreaderOrderDefinition spreader_order(SecurityImmutable security, ExecutionStrategyImmutable strategy) =>
          new SpreaderOrderDefinition {
             Security = security.CloneToMutable(),
@@ -214,40 +147,8 @@ namespace mbts.spark.utilities {
          };
 
       // immutable definitions
-      public CustomOrderDefinitionImmutable custom_orderi(CustomOrderDefinition.CustomOneofCase order_type) => new CustomOrderDefinitionImmutable(custom_order(order_type));
       public SpreaderOrderDefinitionImmutable spreader_orderi(SecurityImmutable security, ExecutionStrategyImmutable strategy) => new SpreaderOrderDefinitionImmutable(spreader_order(security, strategy));
 
-      public CustomOrderDefinition custom_order(CustomOrderDefinition.CustomOneofCase order_type) {
-         var rv = new CustomOrderDefinition();
-         switch (order_type) {
-            case CustomOrderDefinition.CustomOneofCase.Market: rv.Market = market_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Limit: rv.Limit = limit_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Stop: rv.Stop = stop_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.StopLimit: rv.StopLimit = stop_limit_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.GlbxIceberg: rv.GlbxIceberg = glbx_iceberg_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Iceberg: rv.Iceberg = iceberg_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.TimeBox: rv.TimeBox = time_box_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Tick: rv.Tick = tick_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Lean: rv.Lean = lean_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Join: rv.Join = join_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Top: rv.Top = top_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Cover: rv.Cover = cover_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Oco: rv.Oco = oco_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Pricer: rv.Pricer = pricer_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Offset: rv.Offset = offset_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Trigger: rv.Trigger = trigger_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Spreader: rv.Spreader = spreader_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Splitter: rv.Splitter = splitter_order(); break;
-            case CustomOrderDefinition.CustomOneofCase.Dynamic: rv.Dynamic = dynamic_order(); break;
-               //case CustomOrderDefinition.CustomOneofCase.QueueHolder: rv.QueueHolder = queue_holder_order(); break;
-            default:
-               OrderTypeVMFactory.GenericOrderFactory.setup_generic_custom_order(rv, order_type);
-               break;            
-         }
-         return rv;
-      }
-
-      public OrderMetadata get_metadata(IMessage order_type_def) => get_metadata(OrderDataHelper.get_order_type(order_type_def));
       public OrderMetadata get_metadata(OrderRecordImmutable order) => get_metadata(order.Def.CustomDef.CustomCase);
       public OrderMetadata get_metadata(CustomOrderDefinition.CustomOneofCase order_type) {
          switch (order_type) {
@@ -278,14 +179,6 @@ namespace mbts.spark.utilities {
 
       public void Dispose() =>
          Disposable.dispose(ref _dispose);
-
-      static OneOf<CustomOrderDefinition.CustomOneofCase, string> _simple_algo_id(CustomOrderDefinitionImmutable defi) {
-         switch (defi.CustomCase) {
-            case CustomOrderDefinition.CustomOneofCase.Dynamic:
-               return new OneOf<CustomOrderDefinition.CustomOneofCase, string>(defi.Dynamic.DynamicOrderType);
-            default: return new OneOf<CustomOrderDefinition.CustomOneofCase, string>(defi.CustomCase);
-         }
-      }
    }
 
    static class OrderDataHelper {
@@ -301,8 +194,6 @@ namespace mbts.spark.utilities {
          }
       }
 
-      public static OneofDescriptor oneof_descriptor => _oneof_desc;
-
       const double _price_error_margin = 0.0000001;
       const decimal _price_error_margin_decimal = 0.0000001m;
 
@@ -320,10 +211,10 @@ namespace mbts.spark.utilities {
       });
 
       public static readonly IComparer<decimal> PriceComparerDecimal = Comparer<decimal>.Create((a, b) => {
-            decimal diff = a - b;
-            if (diff <= _price_error_margin_decimal && diff >= -_price_error_margin_decimal)
-               return 0;
-            return diff > 0 ? 1 : -1;
+         decimal diff = a - b;
+         if (diff <= _price_error_margin_decimal && diff >= -_price_error_margin_decimal)
+            return 0;
+         return diff > 0 ? 1 : -1;
       });
 
       const string _primary_child_field = "child";
@@ -378,7 +269,7 @@ namespace mbts.spark.utilities {
             switch (cd.CustomCase) {
                case CustomOrderDefinition.CustomOneofCase.Composite: studio = cd.Composite.AlgoTemplateKey; break;
                case CustomOrderDefinition.CustomOneofCase.Dynamic: dyn = cd.Dynamic.DynamicOrderType; break;
-               case CustomOrderDefinition.CustomOneofCase.Spreader: spreader_sec = cd.Spreader.Security.Id; break;
+               case CustomOrderDefinition.CustomOneofCase.Spreader: spreader_sec = cd.Spreader.Security?.Id ?? 0; break;
             }
             yield return (cd.CustomCase, dyn, studio, spreader_sec);
          }
@@ -466,22 +357,6 @@ namespace mbts.spark.utilities {
             child_data.TryGetFirst(out best_match) ? best_match : (ChildAlgoData?)null;
       }
 
-      public static CustomOrderDefinition create_algo(CustomOrderDefinition.CustomOneofCase algo_type) {
-         var algo = new CustomOrderDefinition();
-         if (_algo_type_case_descriptor_data.TryGetValue(algo_type, out AlgoTypeCaseDescriptorData desc))
-            desc.type_case_descriptor.Accessor.SetValue(algo, ProtoHelper.mutable_factory(ProtoHelper.get_field_type(desc.type_case_descriptor)));
-         return algo;
-      }
-
-      public static bool append_algo_node(CustomOrderDefinition target, CustomOrderDefinition.CustomOneofCase algo_type) {
-         if (_algo_type_case_descriptor_data.TryGetValue(algo_type, out var desc)) {
-            var node = ProtoHelper.mutable_factory(ProtoHelper.get_field_type(desc.type_case_descriptor));
-            desc.type_case_descriptor.Accessor.SetValue(target, node);
-            return true;
-         }
-         return false;
-      }
-
       public static IReadOnlyList<ChildAlgoData> get_child_algo_data(CustomOrderDefinition.CustomOneofCase algo_type) =>
          _algo_type_case_descriptor_data.TryGetValue(algo_type, out AlgoTypeCaseDescriptorData d) ? d.child_algo_data : Array.Empty<ChildAlgoData>();
       #endregion
@@ -535,122 +410,10 @@ namespace mbts.spark.utilities {
          }
       }
 
-      public static AlgoFormats get_algo_format(Security.ContractOneofCase? security_type) =>
-         security_type.HasValue ? get_algo_format(security_type.Value) : AlgoFormats.Exchange;
-
-      public static AlgoFormats get_algo_format(Security.ContractOneofCase security_type) =>
-         security_type == Security.ContractOneofCase.Synthetic ? AlgoFormats.Spreader : AlgoFormats.Exchange;
-
-      public static HashSet<CustomOrderDefinition.CustomOneofCase> get_format_algo_types(AlgoFormats f) {
-         var rv = new HashSet<CustomOrderDefinition.CustomOneofCase>();
-         if ((f & AlgoFormats.Exchange) == AlgoFormats.Exchange) {
-            rv.AddRange(exchange_order_types);
-            if ((f & AlgoFormats.Spreader) == AlgoFormats.Spreader) {
-               rv.IntersectWith(spreader_order_types);
-            }
-         } else if ((f & AlgoFormats.Spreader) == AlgoFormats.Spreader) {
-            rv.AddRange(spreader_order_types);
-         }
-         if ((f & AlgoFormats.Attachable) == AlgoFormats.Attachable)
-            rv.AddRange(attachable_order_types);
-         if ((f & AlgoFormats.DefaultPlaceholder) == AlgoFormats.DefaultPlaceholder)
-            rv.Add(CustomOrderDefinition.CustomOneofCase.None);
-         return rv;
-      }
-
-      public static CustomOrderDefinition.CustomOneofCase get_default_algo(AlgoFormats f) {
-         switch (f) {
-            case AlgoFormats.Exchange: return CustomOrderDefinition.CustomOneofCase.Limit;
-            case AlgoFormats.Spreader: return CustomOrderDefinition.CustomOneofCase.Spreader;
-            default: return CustomOrderDefinition.CustomOneofCase.None;
-         }
-      }
-
-      public static IReadOnlyDictionary<AlgoKey, AlgoData> get_format_algo_data(AlgoFormats f) {
-         var algo_types = get_format_algo_types(f);
-         var algo_dict = algo_types.Select(at => AlgoData.from_custom_def(Defaults.CustomOrderDefinitionImmutable(at))).ToDictionaryCrushed(a => a.key);
-         return algo_dict;
-      }
-
-      public static HashSet<CustomOrderDefinition.CustomOneofCase> get_algo_types_present(CustomOrderDefinitionImmutable def) {
-         return new HashSet<CustomOrderDefinition.CustomOneofCase>(impl(def.CloneToMutable()));
-         // hide mutable-def implementation
-         IEnumerable<CustomOrderDefinition.CustomOneofCase> impl(CustomOrderDefinition mdef) {
-            yield return mdef.CustomCase;
-            foreach (var sd in get_child_algo_data(mdef)) {
-               var child = sd.get_child(mdef);
-               if (child != null) {
-                  yield return child.CustomCase;
-                  foreach (var t in impl(child))
-                     yield return t;
-               }
-            }
-         }
-      }
-
-      public static CustomOrderDefinitionImmutable? fit_to_type(CustomOrderDefinitionImmutable defi, Security.ContractOneofCase security_type, bool fit_all_to_spreader = false) {
-         var mdef = defi.CloneToMutable();
+      public static CustomOrderDefinition.CustomOneofCase get_default_algo(Security.ContractOneofCase security_type) {
          switch (security_type) {
-            case Security.ContractOneofCase.Synthetic:
-               mdef = spreader_impl(mdef);
-               break;
-            default:
-               mdef = outright_impl(mdef);
-               break;
-         }
-         if (mdef == null)
-            return null;
-         return new CustomOrderDefinitionImmutable(mdef);
-         // local methods
-         CustomOrderDefinition spreader_impl(CustomOrderDefinition def) {
-            if (def == null) {
-               def = new CustomOrderDefinition { Spreader = new SpreaderOrderDefinition() };
-            } else {
-               switch (def.CustomCase) {
-                  case CustomOrderDefinition.CustomOneofCase.Limit:
-                  case CustomOrderDefinition.CustomOneofCase.None:
-                     def = new CustomOrderDefinition { Spreader = new SpreaderOrderDefinition() };
-                     break;
-                  case CustomOrderDefinition.CustomOneofCase.Stop:
-                  case CustomOrderDefinition.CustomOneofCase.StopLimit:
-                  case CustomOrderDefinition.CustomOneofCase.Market:
-                  case CustomOrderDefinition.CustomOneofCase.GlbxIceberg:
-                     def = fit_all_to_spreader ? new CustomOrderDefinition { Spreader = new SpreaderOrderDefinition() } : null;
-                     break;
-                  default:
-                     var desc_data = _algo_type_case_descriptor_data[def.CustomCase];
-                     foreach (var cad in desc_data.child_algo_data) {
-                        var child = spreader_impl(cad.get_child(def));
-                        if (child == null)
-                           return null;
-                        var type_def = (IMessage)desc_data.type_case_descriptor.Accessor.GetValue(def);
-                        cad.assign_child_to_impl(type_def, child);
-                     }
-                     break;
-               }
-            }
-            return def;
-         }
-         CustomOrderDefinition outright_impl(CustomOrderDefinition def) {
-            if (def == null) {
-               def = new CustomOrderDefinition { Limit = new LimitOrderDefinition() };
-            } else {
-               switch (def.CustomCase) {
-                  case CustomOrderDefinition.CustomOneofCase.Spreader:
-                  case CustomOrderDefinition.CustomOneofCase.None:
-                     def = new CustomOrderDefinition { Limit = new LimitOrderDefinition() };
-                     break;
-                  default:
-                     foreach (var cad in get_child_algo_data(def)) {
-                        var child = outright_impl(cad.get_child(def));
-                        if (child == null)
-                           return null;
-                        cad.assign_child(def, child);
-                     }
-                     break;
-               }
-            }
-            return def;
+            case Security.ContractOneofCase.Synthetic: return CustomOrderDefinition.CustomOneofCase.Spreader;
+            default: return CustomOrderDefinition.CustomOneofCase.Limit;
          }
       }
 
@@ -678,7 +441,7 @@ namespace mbts.spark.utilities {
             CustomOrderDefinition.CustomOneofCase.Iceberg,
             CustomOrderDefinition.CustomOneofCase.Lean,
             CustomOrderDefinition.CustomOneofCase.Join,
-            CustomOrderDefinition.CustomOneofCase.Cover, 
+            CustomOrderDefinition.CustomOneofCase.Cover,
             CustomOrderDefinition.CustomOneofCase.Top,
             CustomOrderDefinition.CustomOneofCase.Splitter,
             CustomOrderDefinition.CustomOneofCase.Scratch,
@@ -764,12 +527,6 @@ namespace mbts.spark.utilities {
 
          public static bool equals(CustomOrderDefinitionImmutable a, CustomOrderDefinitionImmutable b) => custom_order_defi_comparer.Equals(a, b);
 
-         public static bool structure_equals(CustomOrderDefinitionImmutable a, CustomOrderDefinitionImmutable b) {
-            return impl(a.CloneToMutable(), b.CloneToMutable());
-            bool impl(CustomOrderDefinition ma, CustomOrderDefinition mb) =>
-               ma.CustomCase == mb.CustomCase && get_child_algo_data(ma).All(cad => impl(cad.get_child(ma), cad.get_child(mb)));
-         }
-
          public static bool iceberg_equals(IcebergOrderDefinitionImmutable a, IcebergOrderDefinitionImmutable b) =>
             a.ShowQuantity.Equals(b.ShowQuantity) && a.HasChild ? b.HasChild && equals(a.Child, b.Child) : !b.HasChild;
 
@@ -1031,7 +788,6 @@ namespace mbts.spark.utilities {
             }
          };
 
-         public static OrderDefinitionImmutable OrderDefinitionImmutable { get; } = new OrderDefinitionImmutable(OrderDefinition);
          public static OrderRecordImmutable OrderRecordImmutable { get; } = new OrderRecordImmutable(OrderRecord);
 
          public static CustomOrderDefinition CustomOrderDefinition() => new CustomOrderDefinition { Limit = LimitOrderDefinition() };
@@ -1084,9 +840,6 @@ namespace mbts.spark.utilities {
          public static TriggerOrderDefinition TriggerOrderDefinition() => new TriggerOrderDefinition { Child = CustomOrderDefinition(), TriggerCondition = new TriggerCondition(), TriggerAction = new TriggerAction(), };
          public static DynamicOrderDefinition DynamicOrderDefinition() => new DynamicOrderDefinition();
          public static SpreaderOrderDefinition SpreaderOrderDefinition() => new SpreaderOrderDefinition { ExecutionStrategy = new ExecutionStrategy() };
-
-         public static SplitterOrderDefinition SplitterOrderDefinition() => new SplitterOrderDefinition();
       }
    }
-   
 }

src/client/spark/Orders/OrderPropertiesEditorVM.cs

@@ -82,13 +82,8 @@ namespace mbts.spark {
             CustomSort = AlgoCollectionHelper.algo_definition_vm_comparer.to_non_generic(),
             IsLiveSorting = true
          };
-         algo_definitions_view.Filter = d => {
-            if (d.key.mode == AlgoKey.Mode.Persisted && _algo_metadata.TryGetValue(d.key, out AlgoDefinitionMetadata meta) && meta.is_hidden)
-               return false;
-            var sec_fmt = OrderDataHelper.get_algo_format(security.ContractCase);
-            return (d.selected_format & sec_fmt) == sec_fmt;
-         };
-         _algo_definitions_view.LiveFilteringProperties.Add(nameof(AlgoDefinitionVM.selected_format));
+         algo_definitions_view.Filter = d =>
+            !(d.key.mode == AlgoKey.Mode.Persisted && _algo_metadata.TryGetValue(d.key, out AlgoDefinitionMetadata meta) && meta.is_hidden);
          _algo_definitions_view.LiveSortingProperties.Add(nameof(AlgoDefinitionVM.group));
          _algo_definitions_view.LiveSortingProperties.Add(nameof(AlgoDefinitionVM.name));
          algo_definitions_view.GroupDescriptions.Add(new PropertyGroupDescription(nameof(AlgoDefinitionVM.group)));
@@ -167,33 +162,27 @@ namespace mbts.spark {
                undo_definition_observer,
                redo_definition_observer,
                revert_definition_observer),
-            security_md_source.Select(smd => model.factory.default_algos(smd.security)).Table(s => s.key).Subscribe(factory_defs => {
-               using (_selected_algo_definition.begin_update())
-                  AlgoCollectionHelper.update_persisted_definitions(_algo_definitions, factory_defs, fd => {
-                     var vm = AlgoDefinitionVM.create(_model, fd, init_format: OrderDataHelper.get_algo_format(security.ContractCase), editing_permissions: AlgoEditingPermissions.AllowEditValues);
-                     vm.selected_format = OrderDataHelper.get_algo_format(security.ContractCase);
-                     return vm;
-                  });
-            }),
-            model.algo_model.definitions.Subscribe(_definitions_buffer),
-            _definitions_buffer.OnDispatcher().Subscribe(u => {
-               AlgoCollectionHelper.update_persisted_definitions(_algo_definitions, u, def_data => {
-                  var def_vm = AlgoDefinitionVM.create(model, def_data, OrderDataHelper.get_algo_format(security.ContractCase), AlgoEditingPermissions.AllowEditValues);
-                  def_vm.selected_format = OrderDataHelper.get_algo_format(security.ContractCase);
-                  def_vm.favorite_index = _get_favorite_algo_index(def_vm.key);
-                  return def_vm;
-               });
+            security_source.SelectManyInSeries(model.subscribe_algo_meta_tuples)
+            .OnDispatcher()
+            .Subscribe(table => {
+               using (_selected_algo_definition.begin_update()) {
+                  foreach (var (algo, meta) in table.removed)
+                     _algo_definitions.Remove(algo.key);
+                  foreach (var (algo, meta) in table.changed) {
+                     var vm = _algo_definitions[algo.key];
+                     vm.load(algo);
+                     vm.favorite_index = _get_favorite_algo_index(vm.key);
+                  }
+                  foreach (var (algo, meta) in table.added) {
+                     var vm = AlgoDefinitionVM.create(_model, algo, AlgoEditingPermissions.AllowEditValues);
+                     vm.favorite_index = _get_favorite_algo_index(vm.key);
+                     _algo_definitions.Add(vm);
+                  }
+               }
             }),
             model.algo_model.metadata_service.subscribe_metadata().OnDispatcher().Subscribe(_on_template_metadata),
             ObservableAutoWrapper.connect_item_hooks(algo_definitions, vm =>
-               Disposable.Create(
-                  vm.connect_data(nullable_security_md_source),
-                  security_source.Subscribe(s => {
-                     var fmt = OrderDataHelper.get_algo_format(s.ContractCase);
-                     foreach (var d in algo_definitions)
-                        d.selected_format = fmt;
-                  }),
-                  vm),
+               Disposable.Create(vm.connect_data(nullable_security_md_source), vm),
                true)) {
             () => Disposable.dispose(ref _algo_param_rows_hook)
          };
@@ -325,13 +314,11 @@ namespace mbts.spark {
       public bool open_algo_popup_on_select { get => _open_algo_popup_on_select; set => Set(ref _open_algo_popup_on_select, value); }
       // commands
       public ICommand save_definition_cmd { get; }
-      public ICommand save_template_cmd { get; }
       public ICommand revert_definition_cmd { get; }
       public ICommand set_default_algo_params_cmd { get; }
       public ICommand revert_algo_params_cmd { get; }
       public ICommand undo_definition_cmd { get; }
       public ICommand redo_definition_cmd { get; }
-      public ICommand remove_template_cmd { get; }
       public ICommand toggle_is_favorite_cmd { get; }
 
       public IObservable<AccountTuple?> observe_account(bool start_immediately = false) =>
@@ -396,4 +383,4 @@ namespace mbts.spark {
          algo_definitions_view.Refresh();
       }
    }
-}
+}

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

@@ -4,9 +4,7 @@ using mbts.ui;
 using System;
 using System.Collections.Specialized;
 using System.Reactive.Linq;
-using System.Threading.Tasks;
 using AlgoDef = bts.api.orderman.CustomOrderDefinition;
-using AlgoDefi = bts.api.orderman.CustomOrderDefinitionImmutable;
 using CompositeDef = bts.api.orderman.CompositeOrderDefinition;
 using CompositeDefi = bts.api.orderman.CompositeOrderDefinitionImmutable;
 
@@ -21,6 +19,7 @@ namespace mbts.spark {
             : base(id, display_name, editing_permissions) { }
 
          public override string abbreviation => _studio_meta?.abbreviation ?? base.abbreviation;
+         public override AlgoDisplayGroup group => AlgoDisplayGroup.Studio;
          public override OrderMetadata meta {
             get {
                var m = new OrderMetadata { KeyBinding = string.Empty, NoProps = false };
@@ -66,4 +65,4 @@ namespace mbts.spark {
          protected override void validate() => base.validate();
       }
    }
-}
+}

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

@@ -8,7 +8,6 @@ using System;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
 using System.ComponentModel;
-using System.Threading.Tasks;
 using System.Windows.Input;
 using AlgoDef = bts.api.orderman.CustomOrderDefinition;
 using AlgoDefi = bts.api.orderman.CustomOrderDefinitionImmutable;
@@ -19,7 +18,6 @@ namespace mbts.spark {
       static readonly AlgoDefi _empty = new AlgoDefi(new AlgoDef());
       readonly ObservableAggregateCollection<IAlgoParamVM> _algo_params = new ObservableAggregateCollection<IAlgoParamVM>();
       readonly VersionContainer<AlgoDefi> _definition;
-      AlgoFormats _format;
       AlgoEditingPermissions _editing_permissions;
       SecurityMD? _security_md;
       OrdersModel _model;
@@ -84,10 +82,8 @@ namespace mbts.spark {
       void IObserver<SecurityMD?>.OnNext(SecurityMD? security_md) {
          var orig_group = group;
          _security_md = security_md;
-         if (security_md.HasValue)
-            _format = OrderDataHelper.get_algo_format(security_md.Value.security.ContractCase);
          var orig_def = definition;
-         var fmt_type = OrderDataHelper.get_default_algo(_format);
+         var fmt_type = OrderDataHelper.get_default_algo(security_md.HasValue ? security_md.Value.security.ContractCase : bts.api.Security.ContractOneofCase.None);
          switch (fmt_type) {
             case AlgoType.None: _clear_impl(); break;
             default:

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

@@ -2,7 +2,6 @@ using bts.api;
 using bts.api.orderman;
 using bts.utils;
 using Google.Protobuf.Reflection;
-using mbts.utils;
 using System;
 using System.Collections.Generic;
 using System.ComponentModel.Composition;
@@ -15,13 +14,15 @@ namespace mbts.spark {
       static readonly IReadOnlyDictionary<DynamicOrderParam.ValueOneofCase, (FieldDescriptor field_descriptor, Type field_type)> _descriptor_case_index =
          ProtoHelper.get_oneof_descriptor_index<DynamicOrderParam, DynamicOrderParam.ValueOneofCase>(nameof(DynamicOrderParam.ValueCase));
 
-      readonly RegisteredDynamicOrderTypes _dynamic_types;
+      readonly Dictionary<string, DynamicOrderDescriptor> _dyn_types = new Dictionary<string, DynamicOrderDescriptor>(StringComparer.CurrentCultureIgnoreCase);
 
       [ImportingConstructor]
-      DynamicOrderHelper(OrderService order_service) =>
-         _dynamic_types = order_service.get_registered_dynamic_order_types(new VoidMessage());
+      DynamicOrderHelper(OrderService order_service) {
+         foreach (var dt in order_service.get_registered_dynamic_order_types(new VoidMessage()).DynamicOrderDesc)
+            _dyn_types[dt.DynamicOrderType] = dt;
+      }
 
-      public IEnumerable<string> dynamic_types => _dynamic_types.DynamicOrderDesc.Select(d => d.DynamicOrderType);
+      public IEnumerable<string> dynamic_types => _dyn_types.Keys;
 
       public static string fmt_param(DynamicOrderParam dyn_param) {
          if (dyn_param == null)
@@ -50,7 +51,7 @@ namespace mbts.spark {
       }
 
       public void add_dynamic_order_defs(List<CustomOrderDefinitionImmutable> defs, Func<CustomOrderDefinition.CustomOneofCase, CustomOrderDefinition> factory) {
-         foreach (var d in _dynamic_types.DynamicOrderDesc) {
+         foreach (var d in _dyn_types.Values) {
             var dorder = factory(CustomOrderDefinition.CustomOneofCase.Dynamic);
             dorder.Dynamic.DynamicOrderType = d.DynamicOrderType;
             var ddef = dorder.Dynamic;
@@ -60,8 +61,20 @@ namespace mbts.spark {
          }
       }
 
+      public bool try_parse(string str, out string dynamic_type) {
+         if (_dyn_types.TryGetValue(str, out var desc)) {
+            dynamic_type = desc.DynamicOrderType;
+            return true;
+         }
+         dynamic_type = null;
+         return false;
+      }
+
       internal DynamicOrderDescriptor get_descriptor(string dynamic_type) =>
-         _dynamic_types.DynamicOrderDesc.FirstOrDefault(d => d.DynamicOrderType == dynamic_type) ?? new DynamicOrderDescriptor();
+         _dyn_types.TryGetValue(dynamic_type, out var desc) ? desc : new DynamicOrderDescriptor();
+
+      internal CustomOrderDefinitionImmutable create_custom_defi(string dynamic_type) =>
+         new CustomOrderDefinitionImmutable(new CustomOrderDefinition { Dynamic = create_def(dynamic_type) });
 
       internal DynamicOrderDefinition create_def(string dynamic_type) {
          var desc = get_descriptor(dynamic_type);

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

@@ -122,12 +122,6 @@ namespace mbts.spark {
       public static Color safe_get_badge_color(this IAlgoVM vm) =>
          vm == null ? default : vm.meta.Color.rgb_color();
 
-      public static IDisposable load_algo_data_recursive(this IAlgoSelector selector, IReadOnlyDictionary<AlgoKey, AlgoData> algo_data, AlgoKey? default_algo) {
-         selector.load_algo_data(algo_data, default_algo);
-         return ObservableAutoWrapper.connect_item_hooks(selector.algos, vm =>
-            ObservableAutoWrapper.connect_item_hooks(vm.child_algo_selectors, s => load_algo_data_recursive(s, algo_data, default_algo)));
-      }
-
       public static IEnumerable<IAlgoParamVM> enumerate_all_params(this IAlgoVM vm) =>
          vm == null ? Enumerable.Empty<IAlgoParamVM>() : vm.algo_params.Concat(vm.child_algo_selectors.SelectMany(s => enumerate_all_params(s.selected_algo)));
 

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

@@ -1,16 +1,82 @@
 using bts.api.orderman;
+using mbts.ui;
+using System;
+using System.Reactive;
+using System.Reactive.Linq;
 
 namespace mbts.spark {
    static partial class OrderTypeVMFactory {
       class IcebergOrderVM : OrderTypeVMBase<IcebergOrderDefinition, IcebergOrderDefinitionImmutable> {
          readonly Property<double> _show_quantity;
+         readonly DisplayQuantityMultiplier<double> _display_qty_translator = DisplayQuantityMultiplier.create_double();
+         new IDisposable _dispose;
 
          public IcebergOrderVM(AlgoKey key, string display_name, AlgoEditingPermissions editing_permissions)
             : base(key, display_name, editing_permissions) {
-            _show_quantity = add_property(nameof(show_quantity), IcebergOrderDefinition.ShowQuantityFieldNumber, double.NaN, double.NaN);
+            _show_quantity = add_property(
+               "show_quantity",
+               IcebergOrderDefinition.ShowQuantityFieldNumber,
+               double.NaN,
+               double.NaN,
+               to_display_value: v => _qty_conversion.to_display(v),
+               from_display_value: v => _qty_conversion.from_display(v),
+               refresh_display_value:
+               Observable.Create<Unit>(o => {
+                  _request_refresh_display += refresh;
+                  return Disposable.Create(() => _request_refresh_display -= refresh);
+                  void refresh() =>
+                    o.OnNext(Unit.Default);
+               }));
+            _show_quantity.Changed += on_show_quantity_changed;
+            _dispose = Disposable.Create(
+               _display_qty_translator.connect_owner(this, nameof(display_show_quantity)),
+               _display_qty_translator.subscribe_actual_value().Subscribe(v => _show_quantity.Value = v),
+               Disposable.Create(() => _show_quantity.Changed -= on_show_quantity_changed));
+
+            void on_show_quantity_changed(double oldval, double newval) =>
+               _display_qty_translator.actual_value = newval;
          }
 
-         public double show_quantity { get => _show_quantity.Value; set => _show_quantity.set(value); }
+         event Action _request_refresh_display;
+
+         public double display_show_quantity {
+            get => _display_qty_translator.display_value;
+            set => _display_qty_translator.display_value = value;
+         }
+
+         QuantityConversionData _qty_conversion {
+            get => _display_qty_translator.conversion_data;
+            set {
+               if (_display_qty_translator.conversion_data != value) {
+                  _display_qty_translator.conversion_data = value;
+                  _request_refresh_display?.Invoke();
+               }
+            }
+         }
+
+         protected override void on_model_internal() =>
+            _refresh_display();
+
+         protected override void on_security_internal() =>
+            _refresh_display();
+
+         void _refresh_display() {
+            if (model == null) {
+               _qty_conversion = default;
+            } else {
+               var divisor = model.security_auxiliary_model.get_display_quantity_divisor(security);
+               if (divisor == 1 || divisor == 0) {
+                  _qty_conversion = default;
+               } else {
+                  _qty_conversion = new QuantityConversionData(divisor, QuantityConversionData.OpType.DivideActual);
+               }
+            }
+         }
+
+         protected override void Dispose(bool disposing) {
+            Disposable.dispose(ref _dispose);
+            base.Dispose(disposing);
+         }
       }
    }
-}
+}

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

@@ -18,6 +18,7 @@ using System.Collections.Specialized;
 using System.ComponentModel;
 using System.Dynamic;
 using System.Linq;
+using System.Reactive;
 using System.Reactive.Disposables;
 using System.Reactive.Linq;
 using System.Runtime.CompilerServices;
@@ -61,7 +62,9 @@ namespace mbts.spark {
       public static IAlgoVM composite(AlgoKey key, string display_name, AlgoEditingPermissions editing_permissions) => new CompositeAlgoVM(key, display_name, editing_permissions);
 
       public static IAlgoVM create(AlgoData def_data, AlgoEditingPermissions editing_permissions = default_editing_permissions, bool is_expanded = false) {
-         var vm = create(def_data.key, def_data.name, def_data.value.CustomCase, editing_permissions, is_expanded);
+         var vm = def_data.key.is_persisted ?
+            new CompositeAlgoVM(def_data.key, def_data.name, editing_permissions) :
+            create(def_data.key, def_data.name, def_data.value.CustomCase, editing_permissions, is_expanded);
          vm.load_from(def_data.value);
          return vm;
       }
@@ -79,7 +82,7 @@ namespace mbts.spark {
             case AlgoType.Join: vm = join(key, name, editing_permissions); break;
             case AlgoType.Top: vm = top(key, name, editing_permissions); break;
             case AlgoType.Cover: vm = cover(key, name, editing_permissions); break;
-            case AlgoType.Oco : return oco(key, name, editing_permissions);
+            case AlgoType.Oco: return oco(key, name, editing_permissions);
             case AlgoType.Pricer: return pricer(key, name, editing_permissions);
             case AlgoType.Offset: vm = offset(key, name, editing_permissions); break;
             case AlgoType.Trigger: vm = trigger(key, name, editing_permissions); break;
@@ -87,13 +90,10 @@ namespace mbts.spark {
             case AlgoType.Iceberg: vm = iceberg(key, name, editing_permissions); break;
             case AlgoType.Spreader: vm = spreader(key, name, editing_permissions); break;
             case AlgoType.Dynamic: vm = dynamic(key, name, name, editing_permissions); break;
-            case AlgoType.Splitter: vm = splitter(key,name,editing_permissions); break;
+            case AlgoType.Splitter: vm = splitter(key, name, editing_permissions); break;
             case AlgoType.Composite: vm = composite(key, name, editing_permissions); break;
             case AlgoType.None: vm = new DefaultAlgoVM(); break;
             default: vm = generic(key, name, algo_type, editing_permissions); break;
-            //default:
-            //   Log.Ui.debug_fatal($"Failed to create {typeof(IAlgoVM)}: unknown algo type '{algo_type}.'");
-            //   return new DefaultAlgoVM();
          }
          vm.is_expanded = is_expanded && vm.can_expand;
          return vm;
@@ -269,12 +269,7 @@ namespace mbts.spark {
 
             void selector_load_impl(AlgoSelectorData sd) {
                var inner_def = sd.get_order(value);
-               if (inner_def.HasValue) {
-                  if (security.HasValue) {
-                     inner_def = OrderDataHelper.fit_to_type(inner_def.Value, security.Value.ContractCase);
-                     if (!inner_def.HasValue)
-                        return;
-                  }
+               if (inner_def.HasValue && inner_def.Value.CustomCase != AlgoType.None) {
                   var ival = inner_def.Value;
                   var vm = sd.selector.algos.GetOrAdd(
                      AlgoKey.from_custom_def(ival),
@@ -317,18 +312,12 @@ namespace mbts.spark {
                }
                AlgoKey key;
                if (security.HasValue) {
-                  init = OrderDataHelper.fit_to_type(init.Value, security.Value.ContractCase);
-                  if (!init.HasValue)
-                     return;
                   key = AlgoKey.from_custom_def(init.Value);
                   child_list.Add(init.Value);
                   for (int i = 1; i < algos.Count; i++) {
                      var child = sd.get_from_impl(algos[i]);
                      if (!child.HasValue || key != AlgoKey.from_custom_def(child.Value))
                         return;
-                     child = OrderDataHelper.fit_to_type(child.Value, security.Value.ContractCase);
-                     if (!child.HasValue)
-                        return;
                      child_list.Add(child.Value);
                   }
                } else {
@@ -372,7 +361,6 @@ namespace mbts.spark {
                   }),
                   c.assign_child);
                }
-               _populate_selectors();
             }
             // local methods
             IDisposable reset() {
@@ -415,9 +403,19 @@ namespace mbts.spark {
          #endregion
 
          #region Auto-Properties (non-child-algo params)
-         protected Property<T> add_property<T>(string prop_name, int target_field_number, T init_value = default, T non_uniform_value = default, bool validate_on_changed = false, AlgoParamPermissions permissions = AlgoParamPermissions.ReadWrite) {
+         protected Property<T> add_property<T>(
+            string prop_name,
+            int target_field_number,
+            T init_value = default,
+            T non_uniform_value = default,
+            bool validate_on_changed = false,
+            AlgoParamPermissions permissions = AlgoParamPermissions.ReadWrite,
+            Func<T, T> to_display_value = null,
+            Func<T, T> from_display_value = null,
+            IObservable<Unit> refresh_display_value = null) {
+            //
             var prop = backing(prop_name, init_value);
-            _on_property_added(prop_name, target_field_number, prop, prop.set, non_uniform_value, validate_on_changed, permissions);
+            _on_property_added(prop_name, target_field_number, prop, prop.set, non_uniform_value, validate_on_changed, permissions, to_display_value, from_display_value, refresh_display_value);
             return prop;
          }
 
@@ -592,17 +590,25 @@ namespace mbts.spark {
             }
          }
 
-         void _on_property_added<T>(string prop_name, int target_field_number, IProperty<T> prop, Action<T> assign_to_prop, T non_uniform_value, bool validate_on_changed, AlgoParamPermissions permissions) {
+         void _on_property_added<T>(string prop_name, int target_field_number, IProperty<T> prop, Action<T> assign_to_prop, T non_uniform_value, bool validate_on_changed, AlgoParamPermissions permissions, Func<T, T> to_display_value = null, Func<T, T> from_display_value = null, IObservable<Unit> refresh_display_value = null) {
             var field_desc = new TMutable().Descriptor.FindFieldByNumber(target_field_number);
-            var param = new AlgoParamVM<T>(prop_name, DisplayNameHelper.snake_to_title_case(prop_name), prop.Value) { permissions = permissions };
+            var param = new AlgoParamVM<T>(prop_name, DisplayNameHelper.snake_to_title_case(prop_name), prop.Value, EqualityComparer<T>.Default, null, to_display_value, from_display_value) {
+               permissions = permissions
+            };
             _algo_params.Add(param);
+            var prop_hook = _link_props(param, prop, assign_to_prop, non_uniform_value, validate_on_changed);
+            if (refresh_display_value != null) {
+               prop_hook = Disposable.Create(
+                  refresh_display_value.Subscribe(_ => param.refresh_display_value()),
+                  prop_hook);
+            }
             _auto_props.Add(new AutoProp(prop_name, mval => {
                if (mval != null && param.has_value)
                   field_desc.Accessor.SetValue(mval, prop.Value);
             },
             mval => assign_to_prop_and_commit(mval == null ? default : ConvertUtils.try_convert<T>(field_desc.Accessor.GetValue(mval))),
             mvals => assign_to_prop_and_commit(mvals.Select(v => ConvertUtils.try_convert<T>(field_desc.Accessor.GetValue(v))).Distinct().SafeSingleOrDefault(non_uniform_value)),
-            _link_props(param, prop, assign_to_prop, non_uniform_value, validate_on_changed)));
+            prop_hook));
             void assign_to_prop_and_commit(T value) {
                assign_to_prop(value);
                param.mark_committed();
@@ -814,8 +820,6 @@ namespace mbts.spark {
             return Disposable.Create(() => {
                if (security != old_sec) {
                   on_security_internal();
-                  if (_editing_permissions.HasFlag(AlgoEditingPermissions.AllowEditStructure))
-                     _populate_selectors();
                   _security_changed?.Invoke(security);
                }
                if (security_md != old_sec_md)
@@ -823,21 +827,6 @@ namespace mbts.spark {
             });
          }
 
-         IDisposable _selector_data_hooks;
-         void _populate_selectors() {
-            if (model != null && security.HasValue) {
-               var algo_data = model.factory.default_algos(security.Value);
-               var default_algo = AlgoKey.from_known_type(OrderDataHelper.get_default_algo(OrderDataHelper.get_algo_format(security.Value.ContractCase)));
-               foreach (var sd in _child_algo_selectors)
-                  sd.load_algo_data_recursive(algo_data, default_algo);
-               Disposable.dispose(ref _selector_data_hooks);
-               _selector_data_hooks = ObservableAutoWrapper.connect_item_hooks(child_algo_selectors, s => {
-                  s.load_algo_data_recursive(algo_data, default_algo);
-                  return Disposable.empty;
-               });
-            }
-         }
-
          class AutoProp : IDisposable {
             public readonly string name;
             public readonly Action<TMutable> assign, load;
@@ -924,6 +913,7 @@ namespace mbts.spark {
          AlgoParamPermissions _permissions = AlgoParamPermissions.ReadWrite;
          IReadOnlyDictionary<AlgoKey, AlgoData> _pending_data;
          AlgoKey? _pending_default;
+         IDisposable _loaded_data_hook;
 
          public AlgoSelector(string id, string display_name) {
             this.id = id;
@@ -1020,8 +1010,11 @@ namespace mbts.spark {
 
          void _sync_formats() {
             if (initialized && _pending_data != null) {
-               var fmt_algos = _pending_data;
-               algos.SyncWithDictionary(fmt_algos, d => create(d, is_expanded: true));
+               Disposable.dispose(ref _loaded_data_hook);
+               var data = _pending_data;
+               algos.SyncWithDictionary(data, d => create(d, is_expanded: true));
+               _loaded_data_hook = ObservableAutoWrapper.connect_item_hooks(algos, vm =>
+                  ObservableAutoWrapper.connect_item_actions(vm.child_algo_selectors, s => s.load_algo_data(data, null)));
                if (_algo == null || !algos.ContainsKey(_algo.id)) {
                   if (_pending_default.HasValue && algos.TryGetValue(_pending_default.Value, out IAlgoVM match))
                      selected_algo = match;

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

@@ -138,7 +138,7 @@ namespace mbts.spark {
                new DialogSkirtItem("Save Strategy", commit);
 
             void _ensure_init() {
-               if (_vm == null && _model != null && _template.HasValue && _template.Value.HasSecurity) {
+               if (_vm == null && _model != null && _template.HasValue && _template.Value.HasSecurity && _template.Value.HasExecutionStrategy) {
                   Log.isnull(_save_strategy_item);
                   Log.isnull(_vm_strategy_sub);
                   var tmp = _template.Value;

src/client/spark/Orders/OrdersModel.cs

@@ -32,6 +32,7 @@ namespace mbts.spark {
       public readonly ISecurityAuxiliaryDataModel security_auxiliary_model;
 
       readonly IBus _bus;
+      readonly IAlgoProvider _algo_provider, _attachable_algo_provider;
       readonly OrderFactory _factory;
       readonly OrderService _service;
       readonly PositionService _position_service;
@@ -57,6 +58,8 @@ namespace mbts.spark {
          IAlgoStudioModel algo_model,
          ISecurityAuxiliaryDataModel security_auxiliary_model,
          MarketDataAuxiliaryModel md_auxiliary_model,
+         IAlgoProvider algo_provider,
+         IAttachableAlgoProvider attachable_algo_provider,
          SecurityStore sstore,
          ErrorReporter error) {
          //
@@ -67,6 +70,8 @@ namespace mbts.spark {
          _mbo_service = mbo_service;
          _spreader = spreader;
          _error = error;
+         _algo_provider = algo_provider;
+         _attachable_algo_provider = attachable_algo_provider;
          _dynamic_helper = dynamic_helper;
          this.admin_model = admin_model;
          this.algo_model = algo_model;
@@ -314,6 +319,9 @@ namespace mbts.spark {
       public MBOService mbo_service => _mbo_service;
       public IAlgoStudioModel algo_model { get; }
 
+      public AlgoTypeSetImmutable get_permitted_algos(SecurityImmutable security) =>
+         _algo_provider.get_permitted_algos(security);
+
       public IObservable<TableUpdate<OrderSecurity, uint>> on_security_working_orders_with_piq(uint security) =>
          _security_working_orders_with_piq_demuxer.subscribe(security);
 
@@ -322,6 +330,15 @@ namespace mbts.spark {
 
       public IObservable<TableUpdate<(SecurityImmutable?, PositionUnitImmutable), int>> on_security_positions(uint security) =>
          _security_positions_demuxer.subscribe(security);
+
+      public IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos(bool attachable_only = false) =>
+         (attachable_only ? _attachable_algo_provider : _algo_provider).subscribe_algos();
+
+      public IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos(SecurityImmutable security, bool attachable_only = false) =>
+         (attachable_only ? _attachable_algo_provider : _algo_provider).subscribe_algos(security);
+
+      public IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_complete_algos(bool attachable_only = false, bool allow_undefined_child = false) =>
+         (attachable_only ? _attachable_algo_provider : _algo_provider).subscribe_complete_algos(allow_undefined_child);
       #endregion
 
       #region Input
@@ -634,14 +651,10 @@ namespace mbts.spark {
          }).Select(r => r.last_update);
 
       public static IObservable<TableUpdate<(AlgoData algo, AlgoDefinitionMetadata? meta), AlgoKey>> subscribe_all_algos(this OrdersModel orders_model) =>
-         orders_model.studio_algos_with_meta.MergeTable(Observable.Return(
-            new TableUpdate<(AlgoData algo, AlgoDefinitionMetadata? meta), AlgoKey>(
-               ImmutableDictionary<AlgoKey, (AlgoData algo, AlgoDefinitionMetadata? meta)>.Empty.AddRange(orders_model.factory.default_algos(OrderDataHelper.all_order_types).Select(kv => new KeyValuePair<AlgoKey, (AlgoData algo, AlgoDefinitionMetadata? meta)>(kv.Key, (kv.Value, null)))),
-               Array.Empty<(AlgoData, AlgoDefinitionMetadata?)>(),
-               Array.Empty<Change<(AlgoData, AlgoDefinitionMetadata?)>>(),
-               Array.Empty<(AlgoData, AlgoDefinitionMetadata?)>(),
-               d => d.algo.key
-            ).as_snapshot()));
+         _subscribe_algo_meta_tuples(orders_model, orders_model.subscribe_algos());
+
+      public static IObservable<TableUpdate<(AlgoData algo, AlgoDefinitionMetadata? meta), AlgoKey>> subscribe_algo_meta_tuples(this OrdersModel orders_model, SecurityImmutable security) =>
+         _subscribe_algo_meta_tuples(orders_model, orders_model.subscribe_algos(security));
 
       public static async Task<OrderRecordImmutable?> order_from_key(this OrdersModel orders_model, uint order_key) {
          (var tu, var success) = await orders_model.on_orders.FirstAsyncTask(t => t.state.ContainsKey(order_key), TimeSpan.FromSeconds(3));
@@ -684,6 +697,15 @@ namespace mbts.spark {
          return false;
       }
 
+      static IObservable<TableUpdate<(AlgoData algo, AlgoDefinitionMetadata? meta), AlgoKey>> _subscribe_algo_meta_tuples(OrdersModel orders_model, IObservable<TableUpdate<AlgoData, AlgoKey>> algos) =>
+         algos.LeftJoin(
+            orders_model.algo_model.metadata_service.subscribe_metadata().Table(AlgoDefinitionMetadata.key_fn),
+            AlgoData.key_fn,
+            AlgoDefinitionMetadata.key_fn,
+            (algo, key, meta) => (algo, (AlgoDefinitionMetadata?)meta),
+            (algo, key) => (algo, (AlgoDefinitionMetadata?)null),
+            tup => tup.algo.key);
+
       class RootOrderData {
          public readonly SetMap<uint, uint> parent_to_children = new SetMap<uint, uint>();
          public TableUpdateTransform<OrderRecordImmutable, uint> last_update { get; set; } = new TableUpdateTransform<OrderRecordImmutable, uint>();

src/client/spark/Position/IPositionModel.cs

@@ -0,0 +1,44 @@
+using bts.spark;
+using System;
+using System.Collections.Generic;
+using System.ComponentModel.Composition;
+using System.Linq;
+using System.Threading.Tasks;
+
+namespace bts.api.position {
+   interface IPositionModel {
+      Task<bool> override_cpp_async(IEnumerable<(uint security_key, double cpp)> cpp_overrides);
+   }
+
+   [Export(typeof(IPositionModel))]
+   class PositionModel : IPositionModel {
+      readonly PositionService _position_service;
+      readonly ErrorReporter _error_reporter;
+
+      [ImportingConstructor]
+      public PositionModel(PositionService position_service, ErrorReporter error_reporter) {
+         _position_service = position_service ?? throw new ArgumentNullException(nameof(position_service));
+         _error_reporter = error_reporter ?? throw new ArgumentNullException(nameof(error_reporter));
+      }
+
+      public Task<bool> override_cpp_async(IEnumerable<(uint security_key, double cpp)> cpp_overrides) {
+         var sec_params_batch_op = new SecurityParametersBatchOp();
+         sec_params_batch_op.OpParams.AddRange(cpp_overrides.Select(tup => new SecurityParameters {
+            SecurityKey = tup.security_key,
+            CppOverride = new CppOverride { Value = tup.cpp }
+         }));
+         return _error_reporter.safe_execute(
+            () => _position_service.update_security_parameters_async(sec_params_batch_op),
+            r => r.Ok,
+            r => r.Msg,
+            (v, success) => success,
+            "override cpp");
+      }
+   }
+
+   static class PositionModelExtensions {
+      public static Task<bool> override_cpp_async(this IPositionModel position_model, IEnumerable<uint> security_keys, double cpp) =>
+         (position_model ?? throw new ArgumentNullException(nameof(position_model)))
+         .override_cpp_async(security_keys.Select(k => (k, cpp)));
+   }
+}

src/client/spark/core/Collections/KeyedItemSelector.cs

@@ -187,7 +187,7 @@ namespace mbts.collections {
       }
    }
 
-   class KeyedMultiSelector<T, TKey> : ViewModelBase where TKey : struct, IEquatable<TKey> {
+   class KeyedMultiSelector<T, TKey> : ViewModelBase where TKey : IEquatable<TKey> {
       readonly Func<T, TKey> _key_selector;
       HashSet<TKey> _desired_keys = new HashSet<TKey>();
 
@@ -204,7 +204,7 @@ namespace mbts.collections {
          try_select(key, true);
 
       public bool try_select(TKey key, bool reattempt_on_collection_change) {
-         if (items.TryGetFirst(i => _key_selector(i).Equals(key), out T result)) {
+         if (items.TryGetFirst(i => _key_selector(i).safe_equals(key), out T result)) {
             selected_items.Add(result);
             return true;
          } else if (reattempt_on_collection_change) {

src/client/spark/view/Controls/DataGridEx/Filters/DataGridFilterHelper.cs

@@ -59,6 +59,7 @@ namespace mbts.spark.filters {
          ULongMinMax = "ULongMinMaxTemplate",
          TimeFilter = "TimeFilterTemplate",
          DiscreteValues = "DiscreteValuesTemplate",
+         DiscreteValuesCollectionView = "DiscreteValuesCollectionViewTemplate",
          EnumValues = "EnumValuesTemplate",
          Regex = "RegexTemplate",
          YesNo = "YesNoTemplate";

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

@@ -70,7 +70,7 @@ namespace mbts.spark.filters {
          out IObserver<TableUpdate<TValue, TKey>> items_observer,
          out ListCollectionView<TValue> items_view,
          string prop_name = null)
-         where TKey : struct, IEquatable<TKey> =>
+         where TKey : IEquatable<TKey> =>
          //
          CreateTableUpdate(factory, key, keys => keys, keys => keys.ToArray(), out items_observer, out items_view, prop_name);
 
@@ -82,7 +82,7 @@ namespace mbts.spark.filters {
          out IObserver<TableUpdate<TValue, TKey>> items_observer,
          out ListCollectionView<TValue> items_view,
          string prop_name = null)
-         where TKey : struct, IEquatable<TKey> {
+         where TKey : IEquatable<TKey> {
          //
          var filter = new TableUpdateItemsFilter<TRow, TValue, TKey, TState>(factory, key, load_state, get_state, prop_name);
          items_observer = filter;
@@ -282,7 +282,7 @@ namespace mbts.spark.filters {
          }
       }
 
-      class TableUpdateItemsFilter<TRow, TValue, TKey, TState> : FilterVMBase<TRow, TValue, TState>, IObserver<TableUpdate<TValue, TKey>> where TKey : struct, IEquatable<TKey> {
+      class TableUpdateItemsFilter<TRow, TValue, TKey, TState> : FilterVMBase<TRow, TValue, TState>, IObserver<TableUpdate<TValue, TKey>> where TKey : IEquatable<TKey> {
          readonly ObservableKeyedCollection<TValue, TKey> _items;
          readonly KeyedMultiSelector<TValue, TKey> _selection_model;
          readonly Func<TValue, TKey> _key;

src/client/spark/view/Controls/DataGridEx/Filters/Views/FilterTemplates.xaml

@@ -1,10 +1,13 @@
-<ResourceDictionary xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
-                    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
-                    xmlns:u="clr-namespace:mbts.ui"
-                    xmlns:c="clr-namespace:mbts.ui.controls"
-                    xmlns:usp="clr-namespace:mbts.ui.spark"
-                    xmlns:msp="clr-namespace:mbts.spark"
-                    xmlns:sys="clr-namespace:System;assembly=mscorlib">
+<ResourceDictionary
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:filters="clr-namespace:mbts.spark.filters"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:c="clr-namespace:mbts.ui.controls"
+  xmlns:usp="clr-namespace:mbts.ui.spark"
+  xmlns:msp="clr-namespace:mbts.spark"
+  xmlns:sys="clr-namespace:System;assembly=mscorlib"
+>
   <ResourceDictionary.MergedDictionaries>
     <ResourceDictionary Source="/view/Resources/ComboBoxes.xaml"/>
     <ResourceDictionary Source="/view/Controls/DataGridEx/Filters/Views/DoubleMinMaxFilterControl.xaml"/>
@@ -147,6 +150,21 @@
       />
     </usp:FilterContentControl>
   </DataTemplate>
+  <DataTemplate x:Key="{x:Static filters:DataGridFilterKnownTemplates.DiscreteValuesCollectionView}">
+    <usp:FilterContentControl
+      ApplyCommandParameter="{Binding}"
+      ApplyCommand="{x:Static c:DataGridFilterProperties.CommitCommand}"
+      ClearCommandParameter="{Binding}"
+      ClearCommand="{x:Static c:DataGridFilterProperties.ClearCommand}"
+    >
+      <c:ListBoxEx
+        ItemsSource="{Binding items_view}"
+        Selection="{Binding selected_items}"
+        SelectionMode="Multiple"
+        ItemContainerStyle="{StaticResource ListBoxItemCheckBoxStyle}"
+      />
+    </usp:FilterContentControl>
+  </DataTemplate>
   <DataTemplate x:Key="AlgoTypeTemplate">
     <usp:FilterContentControl
       ApplyCommandParameter="{Binding}"

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

@@ -947,7 +947,7 @@
             <TextBlock HorizontalAlignment="Left" VerticalAlignment="Center">Show Quantity</TextBlock>
             <c:HelpButton Margin="{StaticResource Margin.LP1}" ToolTip="Maximum size to show on exchange, this is the BTS provided iceberg"/>
           </StackPanel>
-          <c:TickUpDownDouble x:Name="PART_ShowQuantity_TickUpDownDouble" Grid.Column="2" HorizontalAlignment="Stretch" Value="{Binding show_quantity}"/>
+          <c:TickUpDownDouble x:Name="PART_ShowQuantity_TickUpDownDouble" Grid.Column="2" HorizontalAlignment="Stretch" Value="{Binding display_show_quantity}"/>
           <uag:AlgoPickerNodeView
             x:Name="PART_Child_AlgoPickerNodeView"
             Grid.Row="2"

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

@@ -15,8 +15,7 @@ namespace mbts.ui.spark {
          AlgoDropDownStyleKeyConverter = ValueConverter.create(obj => {
             if (obj is AlgoDefinitionVM) return DefinitionDropDownStyleKey;
             return null;
-         }),
-         DataContextConverter = ValueConverter.create(obj => obj is AlgoVMWrapper w ? w.value.algo_root : obj);
+         });
 
       public static IMultiValueConverter TriggerTimeoutStateConverter =
          ValueConverter.create<bool, AlgoEditingPermissions, string>((is_timeout_enabled, editing_permissions) =>

src/client/spark/view/Controls/PropertyEditor/PropertyEditor.xaml

@@ -0,0 +1,38 @@
+<ResourceDictionary 
+  x:Class="mbts.ui.controls.property_editor.PropertyEditorResources"
+  x:ClassModifier="internal"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:c="clr-namespace:mbts.ui.controls"
+  xmlns:pe="clr-namespace:mbts.ui.controls.property_editor"
+>
+  <Thickness x:Key="PropertyLabelMargin" Left="0" Top="4" Right="4"/>
+  <Thickness x:Key="PropertyValueMargin" Top="4"/>
+  <DataTemplate DataType="{x:Static pe:PropertyEditorItemTypes.DoubleItem}">
+    <Grid>
+      <Grid.ColumnDefinitions>
+        <ColumnDefinition Width="Auto"/>
+        <ColumnDefinition Width="*"/>
+      </Grid.ColumnDefinitions>
+      <TextBlock VerticalAlignment="Center" Margin="{StaticResource PropertyLabelMargin}" Text="{Binding name}"/>
+      <c:TickUpDownDouble Grid.Column="1" VerticalAlignment="Center" Margin="{StaticResource PropertyValueMargin}" Value="{Binding value}"/>
+    </Grid>
+  </DataTemplate>
+  <DataTemplate DataType="{x:Type pe:PropertyEditorVM}">
+    <Grid>
+      <Grid.RowDefinitions>
+        <RowDefinition Height="*"/>
+        <RowDefinition Height="Auto"/>
+      </Grid.RowDefinitions>
+      <ItemsControl ItemsSource="{Binding properties}" Margin="8,4"/>
+      <c:DialogSkirt Grid.Row="1">
+        <c:DialogSkirt.RightItems>
+          <x:Array Type="{x:Type Button}">
+            <Button IsDefault="True" Command="{Binding commit_cmd}">OK</Button>
+            <Button IsCancel="True" Command="{Binding cancel_cmd}">Cancel</Button>
+          </x:Array>
+        </c:DialogSkirt.RightItems>
+      </c:DialogSkirt>
+    </Grid>
+  </DataTemplate>
+</ResourceDictionary>

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

@@ -0,0 +1,122 @@
+using mbts.spark;
+using mbts.ui.utilities;
+using mbts.ui.utility;
+using System;
+using System.Threading;
+using System.Threading.Tasks;
+using System.Windows;
+using System.Windows.Controls;
+using System.Windows.Data;
+
+namespace mbts.ui.controls.property_editor {
+   partial class PropertyEditorResources : ResourceDictionary {
+      public PropertyEditorResources() {
+         InitializeComponent();
+      }
+   }
+
+   static class PropertyEditor {
+      static int _window_id;
+
+      public static Task<(double value, bool committed)> get_double_async(
+         string title,
+         string prompt,
+         CancellationToken cancellation_token,
+         double initial_value = 0,
+         Func<double, string> validate = null,
+         WindowStartupLocation startup_location = WindowStartupLocation.Manual,
+         int? offset_x = -72,
+         int? offset_y = -40) {
+         //
+         PropertyEditorItem<double> double_item = null;
+         return get_result_async(create_vm, _ => (double_item?.value ?? double.NaN, true), cancellation_token, init, tcs => tcs.TrySetResult((double.NaN, false)));
+         PropertyEditorVM create_vm() {
+            var vm = new PropertyEditorVM(title, prompt);
+            vm.properties.Add(double_item = new PropertyEditorItem<double>(prompt, validate) {
+               value = initial_value
+            });
+            return vm;
+         }
+         IDisposable init(PropertyEditorVM vm, Window dialog) {
+            _position_window(dialog, startup_location, offset_x, offset_y);
+            return null;
+         }
+      }
+
+      public static Task<TResult> get_result_async<TResult>(
+         Func<PropertyEditorVM> create_vm,
+         Func<PropertyEditorVM, TResult> get_result,
+         CancellationToken cancellation_token,
+         Func<PropertyEditorVM, Window, IDisposable> init = null,
+         Action<TaskCompletionSource<TResult>> premature_close_callback = null) {
+         //
+         var tcs = new TaskCompletionSource<TResult>();
+         var window_name = $"{nameof(PropertyEditor)} - {Interlocked.Increment(ref _window_id)}";
+         var launcher = new ThreadedWindowLauncher(window_name, 1);
+         launcher.show(create_win_impl);
+         return tcs.Task;
+         Window create_win_impl() {
+            var vm = create_vm();
+            var win = new Window {
+               DataContext = vm,
+               Resources = new PropertyEditorResources(),
+               SizeToContent = SizeToContent.WidthAndHeight
+            };
+            win.SetResourceReference(FrameworkElement.StyleProperty, "BTSDialog");
+            win.SetBinding(ContentControl.ContentProperty, new Binding());
+            win.SetBinding(Window.TitleProperty, nameof(PropertyEditorVM.title));
+            var dispose = init?.Invoke(vm, win);
+            IDisposable check_canceled_loop = null;
+            vm.RequestCommit += on_request_commit;
+            vm.RequestClose += on_request_close;
+            win.Closed += on_premature_closed;
+            check_canceled_loop = WorkLoop.Start($"{window_name} cancellation loop", () => {
+               if (cancellation_token.IsCancellationRequested && win != null) {
+                  Disposable.dispose(ref check_canceled_loop);
+                  WindowUtilities.force_close(win);
+               }
+            });
+            return win;
+            void on_request_commit(object sender, EventArgs e) {
+               detach_and_dispose();
+               WindowUtilities.force_close(win);
+               win = null;
+               end_task()?.TrySetResult(get_result(vm));
+            }
+            void on_request_close(object sender, EventArgs e) {
+               detach_and_dispose();
+               WindowUtilities.force_close(win);
+               win = null;
+               premature_close_callback?.Invoke(end_task());
+            }
+            void on_premature_closed(object sender, EventArgs e) {
+               detach_and_dispose();
+               win = null;
+               premature_close_callback?.Invoke(end_task());
+            }
+            void detach_and_dispose() {
+               Disposable.dispose(ref check_canceled_loop);
+               Disposable.dispose(ref dispose);
+               win.Closed -= on_premature_closed;
+               vm.RequestCommit -= on_request_commit;
+               vm.RequestClose -= on_request_close;
+            }
+            TaskCompletionSource<TResult> end_task() {
+               var temp_tcs = tcs;
+               tcs = null;
+               return temp_tcs;
+            }
+         }
+      }
+
+      static void _position_window(Window window, WindowStartupLocation startup_location, int? offset_x = null, int? offset_y = null) {
+         window.WindowStartupLocation = startup_location;
+         if (startup_location == WindowStartupLocation.Manual && (offset_x.HasValue || offset_y.HasValue))
+            window.move_to_mouse(offset_x ?? 0, offset_y ?? 0);
+      }
+   }
+
+   static class PropertyEditorItemTypes {
+      public static Type DoubleItem => typeof(PropertyEditorItem<double>);
+   }
+}

src/client/spark/view/Controls/PropertyEditor/PropertyEditorVM.cs

@@ -0,0 +1,62 @@
+using mbts.ui.shell;
+using System;
+using System.Collections.ObjectModel;
+using System.ComponentModel;
+using System.Windows.Input;
+
+namespace mbts.ui.controls.property_editor {
+   interface IPropertyEditorItem : INotifyPropertyChanged {
+      string name { get; }
+      object value { get; set; }
+   }
+
+   interface IPropertyEditorItem<T> : IPropertyEditorItem {
+      new T value { get; set; }
+   }
+
+   class PropertyEditorItem<T> : ViewModelBaseWithValidation, IPropertyEditorItem<T> {
+      readonly Func<T, string> _validate;
+      T _value;
+
+      public PropertyEditorItem(string name, Func<T, string> validate) {
+         this.name = name ?? throw new ArgumentNullException(nameof(name));
+         _validate = validate;
+      }
+
+      public string name { get; }
+
+      public T value {
+         get => _value;
+         set {
+            if (_validate == null) {
+               Set(ref _value, value);
+            } else {
+               using (validation(nameof(value))) {
+                  Set(ref _value, value);
+                  string error = _validate(value);
+                  validation_assert(error != null, error, nameof(value));
+               }
+            }
+         }
+      }
+
+      object IPropertyEditorItem.value { get => value; set => value = (T)value; }
+   }
+
+   class PropertyEditorVM : ViewModelBase, IRequestViewClose {
+      public PropertyEditorVM(string title, string prompt) {
+         this.title = title ?? throw new ArgumentNullException(nameof(title));
+         this.prompt = prompt ?? throw new ArgumentNullException(nameof(prompt));
+         commit_cmd = new DelegateCommand(() => RequestCommit?.Invoke(this, EventArgs.Empty));
+         cancel_cmd = new DelegateCommand(() => RequestClose?.Invoke(this, EventArgs.Empty));
+      }
+
+      public event EventHandler RequestCommit, RequestClose;
+
+      public string title { get; }
+      public string prompt { get; }
+      public ObservableCollection<object> properties { get; } = new ObservableCollection<object>();
+      public ICommand commit_cmd { get; }
+      public ICommand cancel_cmd { get; }
+   }
+}

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

@@ -2,6 +2,7 @@
 using System;
 using System.IO;
 using System.Windows;
+using System.Windows.Input;
 using System.Windows.Media;
 
 namespace mbts.ui {
@@ -51,15 +52,19 @@ namespace mbts.ui {
          public void thread_init() { }
       }
 
-      public static IShellWindow create(IShellModule owner, string title, string window_type, Lazy<UIElement> content, Action<UIElement, Stream> get_state = null, ImageSource icon = null, string thread_id=null, Action<ShellWindowVM> on_shell_window_vm = null) {
+      public static IShellWindow create(IShellModule owner, string title, string window_type, Lazy<UIElement> content, Action<UIElement, Stream> get_state = null, ImageSource icon = null, string thread_id=null, Action<ShellWindowVM> on_shell_window_vm = null, Action<KeyEventArgs> on_key_down = null) {
+         IShellWindow rv = null;
          if (string.IsNullOrEmpty(thread_id)) {
-            return create<AnonShellWindow>(owner, title, window_type, content, get_state, icon, on_shell_window_vm);
+            rv = create<AnonShellWindow>(owner, title, window_type, content, get_state, icon, on_shell_window_vm);
+            if (on_key_down != null)
+               rv = new KeyListenerWrapper(rv, on_key_down);
          }
          else {
             var res = create<LazyAnonShellWindow>(owner, title, window_type, content, get_state, icon, on_shell_window_vm);
             res.thread_id = thread_id;
-            return res;
+            rv = on_key_down == null ? (ISharedWindow)res : new SharedKeyListenerWrapper(res, on_key_down);
          }
+         return rv;
       }
       static T create<T>(IShellModule owner, string title, string window_type, Lazy<UIElement> content, Action<UIElement,Stream> get_state=null, ImageSource icon=null, Action<ShellWindowVM> on_shell_window_vm = null) where T : AnonShellWindow, new() {
          var result = new T() {
@@ -121,5 +126,56 @@ namespace mbts.ui {
          if (cleanup != null) { window.Closed += (o, e) => cleanup.Dispose(); }
          return window;
       }
+
+      class KeyListenerWrapper<T> : IShellWindow, IKeyListener where T : class, IShellWindow {
+         readonly T _model;
+         readonly Action<KeyEventArgs> _key_down;
+
+         public KeyListenerWrapper(T model, Action<KeyEventArgs> key_down) {
+            _model = model ?? throw new ArgumentNullException(nameof(model));
+            _key_down = key_down ?? throw new ArgumentNullException(nameof(key_down));
+         }
+
+         public event Action TitleChanged {
+            add => _model.TitleChanged += value;
+            remove => _model.TitleChanged -= value;
+         }
+
+         public event Action IconChanged {
+            add => _model.IconChanged += value;
+            remove => _model.IconChanged -= value;
+         }
+
+         public string Title { get => _model.Title; set => _model.Title = value; }
+         public string window_type => _model.window_type;
+         public ImageSource Icon => _model.Icon;
+         public IShellModule Owner => _model.Owner;
+
+         public void Dispose() => _model.Dispose();
+         public ShellWindowUI GetContent() => _model.GetContent();
+         public void GetState(Stream save_here) => _model.GetState(save_here);
+         public void on_shell_window_vm(ShellWindowVM shell_window_vm) => _model.on_shell_window_vm(shell_window_vm);
+         public void key_down(KeyEventArgs e) =>
+            _key_down(e);
+      }
+
+      class KeyListenerWrapper : KeyListenerWrapper<IShellWindow> {
+         public KeyListenerWrapper(IShellWindow model, Action<KeyEventArgs> key_down)
+            : base(model, key_down) { }
+      }
+
+      class SharedKeyListenerWrapper : KeyListenerWrapper<ISharedWindow>, ISharedWindow {
+         readonly ISharedWindow _model;
+         readonly Action<KeyEventArgs> _key_down;
+
+         public SharedKeyListenerWrapper(ISharedWindow model, Action<KeyEventArgs> key_down)
+            : base(model, key_down) {
+            _model = model ?? throw new ArgumentNullException(nameof(model));
+            _key_down = key_down ?? throw new ArgumentNullException(nameof(key_down));
+         }
+
+         public string thread_id => _model.thread_id;
+         public void thread_init() => _model.thread_init();
+      }
    }
 }

src/client/spark/view/Shell/Settings/ShellSettingsDialog.xaml

@@ -87,6 +87,25 @@
       </Grid>
     </DataTemplate>
 
+    <DataTemplate DataType="{x:Type pnl:PNLDataFormattingVM}">
+      <Grid VerticalAlignment="Top">
+        <Grid.RowDefinitions>
+          <RowDefinition Height="Auto"/>
+          <RowDefinition Height="{Binding Source={StaticResource VerticalPush1}}"/>
+          <RowDefinition Height="*"/>
+        </Grid.RowDefinitions>
+        <Grid.ColumnDefinitions>
+          <ColumnDefinition Width="Auto"/>
+          <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush2}}"/>
+          <ColumnDefinition Width="*"/>
+        </Grid.ColumnDefinitions>
+        <TextBlock>Market Price Decimal Places</TextBlock>
+        <ComboBox Grid.Column="2" ItemsSource="{Binding decimal_place_options}" SelectedItem="{Binding market_price_decimal_places}"/>
+        <TextBlock Grid.Row="2">Fill Price Decimal Places</TextBlock>
+        <ComboBox Grid.Row="2" Grid.Column="2" ItemsSource="{Binding decimal_place_options}" SelectedItem="{Binding fill_price_decimal_places}"/>
+      </Grid>
+    </DataTemplate>
+
     <DataTemplate DataType="{x:Type pnl:PNLCellAppearanceVM}">
       <Grid VerticalAlignment="Top">
         <Grid.RowDefinitions>
@@ -744,6 +763,7 @@
                           </DataTemplate>
                         </TabItem.ContentTemplate>
                       </TabItem>
+                      <TabItem Header="Data Formatting" Content="{Binding data_formatting_vm}"/>
                     </TabControl>
                   </Grid>
                 </DataTemplate>

src/client/spark/view/Shell/WindowManager.cs

@@ -10,6 +10,7 @@ using System.Linq;
 using System.Reactive.Linq;
 using System.Threading.Tasks;
 using System.Windows;
+using System.Windows.Input;
 
 namespace mbts.ui.shell {
    // This Class owns the hierarchy of shell Windows
@@ -59,6 +60,14 @@ namespace mbts.ui.shell {
             viewmodel.host_id = state.host_id ?? "";
             viewmodel.TitleOverride = state.custom_title;
          }
+         if (model is IKeyListener key_listener) {
+            content.KeyDown += on_key_down;
+            void on_key_down(object sender, KeyEventArgs e) {
+               viewmodel.Dispatcher.InvokeAsync(() => {
+                  key_listener.key_down(e);
+               });
+            }
+         }
          var window = await CreateWindow(content, state);
 
          window.Show();

src/client/spark/view/Spark/ContractPicker/ContractPickerModel.cs

@@ -43,24 +43,24 @@ namespace mbts.spark {
                   foreach (var selected_item in all_securities.Where(s => selected_securities.Contains(s.Key))) {
                      // verify clause isn't already in the list
                      if (!security_criteria_clauses.Any(x => x.pretty_name == selected_item.Value.security.ToString())) {
-                        security_criteria_clauses.Insert(0, new SecurityCriteriaClause() {
-                           pretty_name = selected_item.Value.security.ToString(),
-                           exchanges = selected_exchanges.ToArray(),
-                           security_types = selected_security_types.ToArray(),
-                           symbols = selected_symbols.ToArray(),
-                           security_keys = new List<uint>() { selected_item.Key }
-                        });
+                        security_criteria_clauses.Insert(0, new SecurityCriteriaClause(
+                           pretty_name: selected_item.Value.security.ToString(),
+                           exchanges: selected_exchanges.ToArray(),
+                           security_types: selected_security_types.ToArray(),
+                           symbols: selected_symbols.ToArray(),
+                           security_keys: new[] { selected_item.Key }
+                        ));
                      }
                   }
                } else {
                   if (!security_criteria_clauses.Any(x => x.pretty_name == criteria_input_name)) {
-                     security_criteria_clauses.Insert(0, new SecurityCriteriaClause() {
-                        pretty_name = criteria_input_name,
-                        exchanges = selected_exchanges.ToArray(),
-                        security_types = selected_security_types.ToArray(),
-                        symbols = selected_symbols.ToArray(),
-                        security_keys = selected_securities
-                     });
+                     security_criteria_clauses.Insert(0, new SecurityCriteriaClause(
+                        pretty_name: criteria_input_name,
+                        exchanges: selected_exchanges.ToArray(),
+                        security_types: selected_security_types.ToArray(),
+                        symbols: selected_symbols.ToArray(),
+                        security_keys: selected_securities.ToArray()
+                     ));
                   }
                }
                criteria_input_name = string.Empty;
@@ -97,12 +97,12 @@ namespace mbts.spark {
          add_symbol_command = new DelegateCommand<string>(symbol => {
             _compose_criteria_clause_name(true);
             if (!security_criteria_clauses.Any(x => x.pretty_name == _criteria_input_name_from_double_click)) {
-               security_criteria_clauses.Insert(0, new SecurityCriteriaClause() {
-                  pretty_name = _criteria_input_name_from_double_click,
-                  exchanges = selected_exchanges.ToArray(),
-                  security_types = selected_security_types.ToArray(),
-                  symbols = new string[] { symbol },
-               });
+               security_criteria_clauses.Insert(0, new SecurityCriteriaClause(
+                  pretty_name: _criteria_input_name_from_double_click,
+                  exchanges: selected_exchanges.ToArray(),
+                  security_types: selected_security_types.ToArray(),
+                  symbols: new string[] { symbol }
+               ));
             }
             ok_button_command.TryRaiseCanExecuteChanged();
             remove_criteria_command.TryRaiseCanExecuteChanged();
@@ -110,11 +110,11 @@ namespace mbts.spark {
          add_security_type_command = new DelegateCommand<SecurityType>(sec_type => {
             _compose_criteria_clause_name(true, true);
             if (!security_criteria_clauses.Any(x => x.pretty_name == _criteria_input_name_from_double_click)) {
-               security_criteria_clauses.Insert(0, new SecurityCriteriaClause() {
-                  pretty_name = _criteria_input_name_from_double_click,
-                  exchanges = selected_exchanges.ToArray(),
-                  security_types = new SecurityType[] { sec_type },
-               });
+               security_criteria_clauses.Insert(0, new SecurityCriteriaClause(
+                  pretty_name: _criteria_input_name_from_double_click,
+                  exchanges: selected_exchanges.ToArray(),
+                  security_types: new SecurityType[] { sec_type }
+               ));
             }
             ok_button_command.TryRaiseCanExecuteChanged();
             remove_criteria_command.TryRaiseCanExecuteChanged();
@@ -122,10 +122,10 @@ namespace mbts.spark {
          add_exchange_command = new DelegateCommand<Venue>(exchange => {
             _compose_criteria_clause_name(true, true, true);
             if (!security_criteria_clauses.Any(x => x.pretty_name == _criteria_input_name_from_double_click)) {
-               security_criteria_clauses.Insert(0, new SecurityCriteriaClause() {
-                  pretty_name = _criteria_input_name_from_double_click,
-                  exchanges = new Venue[] { exchange },
-               });
+               security_criteria_clauses.Insert(0, new SecurityCriteriaClause(
+                  pretty_name: _criteria_input_name_from_double_click,
+                  exchanges: new Venue[] { exchange }
+               ));
             }
             ok_button_command.TryRaiseCanExecuteChanged();
             remove_criteria_command.TryRaiseCanExecuteChanged();
@@ -343,12 +343,16 @@ namespace mbts.spark {
          }
       }
 
+      // TODO: this should return a nullable (if no specific security is selected, the result should be null)
       public SecurityMD result {
          get {
-            SecurityCriteriaClause scc = new SecurityCriteriaClause();
-            scc.security_keys = selected_securities;
-            SecurityCriteria crit = new SecurityCriteria(new SecurityCriteriaClause[] { scc });
-            return all_securities.Where(s => security_in_criteria(crit, s.Value.security)).FirstOrDefault().Value;
+            if (selected_securities.Count == 0)
+               throw new InvalidOperationException("No securities selected.");
+            foreach (var k in selected_securities) {
+               if (all_securities.TryGetValue(k, out var smd))
+                  return smd;
+            }
+            throw new InvalidOperationException("None of the selected security keys are present in the security map.");
          }
       }
 
@@ -427,7 +431,7 @@ namespace mbts.spark {
             bool check_exchanges = !(x.exchanges == null || x.exchanges.Length == 0);
             bool check_security_types = !(x.security_types == null || x.security_types.Length == 0);
             bool check_symbols = !(x.symbols == null || x.symbols.Length == 0);
-            bool check_security_keys = !(x.security_keys == null || x.security_keys.Count == 0);
+            bool check_security_keys = !(x.security_keys == null || x.security_keys.Length == 0);
             bool check_something_in_clause = check_exchanges || check_security_types || check_symbols || check_security_keys;
 
             if (check_something_in_clause) {

src/client/spark/view/Spark/ContractPicker/SecurityCriteria.cs

@@ -8,8 +8,7 @@ using System.Reactive.Linq;
 
 namespace mbts.spark {
    [ProtoContract]
-   public class SecurityCriteria : IEquatable<SecurityCriteria>
-   {
+   class SecurityCriteria : IEquatable<SecurityCriteria> {
       public SecurityCriteria()
       {
          clauses = new SecurityCriteriaClause[] { };
@@ -29,9 +28,7 @@ namespace mbts.spark {
 
       internal static SecurityCriteria from_keys(IEnumerable<uint> keys) =>
          new SecurityCriteria(new[] {
-            new SecurityCriteriaClause {
-               security_keys = keys.ToList()
-            }
+            new SecurityCriteriaClause (security_keys: keys.ToArray())
          });
 
       internal static SecurityCriteria from_securities(ISet<SecurityImmutable> securities) =>
@@ -49,27 +46,38 @@ namespace mbts.spark {
    }
 
    [ProtoContract]
-   public class SecurityCriteriaClause : IEquatable<SecurityCriteriaClause>
-   {
-      public SecurityCriteriaClause() { }
-      internal SecurityCriteriaClause(IEnumerable<SecurityImmutable> securities) {
-         security_keys = securities.Select(s => s.Id).ToList();
+   readonly struct SecurityCriteriaClause : IEquatable<SecurityCriteriaClause> {
+      public SecurityCriteriaClause(
+         Venue[] exchanges = null,
+         SecurityType[] security_types = null,
+         string[] symbols = null,
+         uint[] security_keys = null,
+         string pretty_name = null) {
+         //
+         this.exchanges = exchanges;
+         this.security_types = security_types;
+         this.symbols = symbols;
+         this.security_keys = security_keys;
+         this.pretty_name = pretty_name;
       }
 
+      public SecurityCriteriaClause(IEnumerable<SecurityImmutable> securities)
+         : this(security_keys: securities.Select(s => s.Id).ToArray()) { }
+
       [ProtoMember(1)]
-      public string pretty_name;
+      public readonly string pretty_name;
 
       [ProtoMember(2)]
-      public Venue[] exchanges;
+      public readonly Venue[] exchanges;
 
       [ProtoMember(3)]
-      public SecurityType[] security_types;
+      public readonly SecurityType[] security_types;
 
       [ProtoMember(4)]
-      public string[] symbols;
+      public readonly string[] symbols;
 
       [ProtoMember(5)]
-      public List<uint> security_keys;
+      public readonly uint[] security_keys;
 
       public bool is_defined =>
          !string.IsNullOrEmpty(pretty_name) ||
@@ -84,7 +92,6 @@ namespace mbts.spark {
       }
 
       public bool Equals(SecurityCriteriaClause other) =>
-         other != null &&
          EqualityComparer.safe_sequence_equals(exchanges, other.exchanges) &&
          EqualityComparer.safe_sequence_equals(security_types, other.security_types) &&
          EqualityComparer.safe_sequence_equals(symbols, other.symbols) &&

src/client/spark/view/Spark/ContractPicker/SecurityCriteriaExtensions.cs

@@ -90,7 +90,6 @@ namespace mbts.spark {
       /// <param name="clause">A SecurityCriteriaClause.</param>
       /// <returns>true if the clause is non-null and specifies one security-key, and nothing else; otherwise false.</returns>
       public static bool is_single_security(this SecurityCriteriaClause clause) =>
-         clause != null &&
          clause.exchanges.is_null_or_empty() &&
          clause.symbols.is_null_or_empty() &&
          clause.security_types.is_null_or_empty() &&
@@ -98,6 +97,45 @@ namespace mbts.spark {
          !clause.security_keys.Distinct().Skip(1).Any();
 
       public static bool includes(this SecurityCriteria security_criteria, SecurityImmutable security) =>
-         security_criteria != null && ContractPickerModel.security_in_criteria(security_criteria, security);
+         security_criteria.is_defined() && ContractPickerModel.security_in_criteria(security_criteria, security);
+
+      public static bool includes(this SecurityCriteriaClause clause, SecurityImmutable security) =>
+         _to_predicates(clause).AnyAndAll(p => p(security));
+
+      public static bool is_subset_of(this SecurityCriteriaClause clause, SecurityCriteriaClause other) =>
+         // exchanges
+         (other.exchanges.is_null_or_empty() ||
+         (!clause.exchanges.is_null_or_empty() && clause.exchanges.All(other.exchanges.Contains))) &&
+         // symbols
+         (other.symbols.is_null_or_empty() ||
+         (!clause.symbols.is_null_or_empty() && clause.symbols.All(other.symbols.Contains))) &&
+         // security_types
+         (other.security_types.is_null_or_empty() ||
+         (!clause.security_types.is_null_or_empty() && clause.security_types.All(other.security_types.Contains))) &&
+         // security_keys
+         (other.security_keys.is_null_or_empty() ||
+         (!clause.security_keys.is_null_or_empty() && clause.security_keys.All(other.security_keys.Contains)));
+
+      public static IEnumerable<string> fmt_diagnostic_msgs(this SecurityCriteriaClause clause) {
+         if (clause.exchanges != null && clause.exchanges.Length > 0)
+            yield return "Exchanges: " + string.Join(", ", clause.exchanges);
+         if (clause.symbols != null && clause.symbols.Length > 0)
+            yield return "Symbols: " + string.Join(", ", clause.symbols);
+         if (clause.security_types != null && clause.security_types.Length > 0)
+            yield return "Security Types: " + string.Join(", ", clause.security_types);
+         if (clause.security_keys != null && clause.security_keys.Length > 0)
+            yield return "Security Keys: " + string.Join(", ", clause.security_keys);
+      }
+
+      static IEnumerable<Func<SecurityImmutable, bool>> _to_predicates(SecurityCriteriaClause clause) {
+         if (clause.exchanges != null && clause.exchanges.Length > 0)
+            yield return sec => clause.exchanges.Contains(sec.Exchange);
+         if (clause.symbols != null && clause.symbols.Length > 0)
+            yield return sec => clause.symbols.Contains(sec.Symbol);
+         if (clause.security_types != null && clause.security_types.Length > 0)
+            yield return sec => clause.security_types.Contains(sec.security_type());
+         if (clause.security_keys != null && clause.security_keys.Length > 0)
+            yield return sec => clause.security_keys.Contains(sec.Id);
+      }
    }
 }

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

@@ -111,7 +111,9 @@ namespace mbts.spark {
             raw_mid = (bid + ask) / 2.0;
          }
          double tick_size = spec.ticksize(raw_mid);
-         return raw_mid - (raw_mid % tick_size);
+         return raw_mid < 0 ?
+            raw_mid + (raw_mid % tick_size) :
+            raw_mid - (raw_mid % tick_size);
       }
 
       public static TickFactors deduce_ticks(IEnumerable<ContractSpecification> contract_specs) {

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

@@ -40,25 +40,53 @@ namespace mbts.ui {
       public static bool operator !=(QuantityConversionData x, QuantityConversionData y) => !x.Equals(y);
    }
 
-   class DisplayQuantityMultiplier : IDisplayTranslator<uint> {
-      uint _actual_value;
+   static class DisplayQuantityMultiplier {
+      public static DisplayQuantityMultiplier<uint> create_uint() =>
+         new DisplayQuantityMultiplier<uint>(
+            DisplayTranslatorExtensions.to_display,
+            DisplayTranslatorExtensions.from_display);
+
+      public static DisplayQuantityMultiplier<double> create_double() =>
+         new DisplayQuantityMultiplier<double>(
+            DisplayTranslatorExtensions.to_display,
+            DisplayTranslatorExtensions.from_display);
+   }
+
+   class DisplayQuantityMultiplier<T> : IDisplayTranslator<T> {
+      readonly Func<QuantityConversionData, T, T> _to_display, _from_display;
+      readonly IEqualityComparer<T> _comparer;
+      T _actual_value;
       QuantityConversionData _conversion_data;
 
+      public DisplayQuantityMultiplier(
+         Func<QuantityConversionData, T, T> to_display,
+         Func<QuantityConversionData, T, T> from_display,
+         IEqualityComparer<T> comparer = null,
+         T actual_value = default,
+         QuantityConversionData conversion_data = default) {
+         //
+         _to_display = to_display ?? throw new ArgumentNullException(nameof(to_display));
+         _from_display = from_display ?? throw new ArgumentNullException(nameof(from_display));
+         _comparer = comparer ?? EqualityComparer<T>.Default;
+         _actual_value = actual_value;
+         _conversion_data = conversion_data;
+      }
+
       public event Action value_changed;
 
-      public uint actual_value {
+      public T actual_value {
          get => _actual_value;
          set {
-            if (_actual_value != value) {
+            if (!_comparer.Equals(_actual_value, value)) {
                _actual_value = value;
                value_changed?.Invoke();
             }
          }
       }
 
-      public uint display_value {
-         get => _conversion_data.to_display(_actual_value);
-         set => actual_value = _conversion_data.from_display(value);
+      public T display_value {
+         get => _to_display(_conversion_data, _actual_value);
+         set => actual_value = _from_display(_conversion_data, value);
       }
 
       public QuantityConversionData conversion_data {
@@ -168,5 +196,13 @@ namespace mbts.ui {
             default: return display_value;
          }
       }
+
+      public static double from_display(this QuantityConversionData quantity_conversion_data, double display_value) {
+         switch (quantity_conversion_data.op) {
+            case QuantityConversionData.OpType.DivideActual: return display_value * quantity_conversion_data.value;
+            case QuantityConversionData.OpType.MultiplyActual: return display_value.safe_divide(quantity_conversion_data.value);
+            default: return display_value;
+         }
+      }
    }
 }

src/client/spark_api/Co2/MDConsumerHandle.cs

@@ -259,6 +259,7 @@ namespace mbts.co2 {
          }
       }
 
+      // If Size is wrong remember to update from 
       [StructLayout(LayoutKind.Sequential, Size = 704)]
       internal struct ColdEntry {
          public int exchange_status;

src/client/spark_api/security/ExchangeSpecificUitlities.cs

@@ -0,0 +1,128 @@
+using bts.api;
+using bts.api.orderman;
+using bts.api.position;
+using bts.utils;
+using mbts;
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+
+
+namespace bts.api {
+
+static class ExchangeSpecificUitlities{
+   private static string _default_hub = "Henry";
+   static class ICE{
+
+      #region Contract Type
+      public static bool is_spread(SecurityImmutable sec){
+         return sec.HasSpread && sec.Ice.StripName.Contains("/");
+      }
+
+      public static bool is_strip(SecurityImmutable sec){
+         return sec.HasSpread && !is_spread(sec);
+      }
+
+      public static bool is_ice_lots(SecurityImmutable sec){
+         return sec.Ice.MarketDescription.Contains("ICE Lots");
+      }
+
+      public static bool is_tas(SecurityImmutable sec){
+         return sec.Ice.MarketDescription.Contains("TAS");
+      }
+
+      #endregion
+
+      #region CPP
+      public static double get_future_cpp (SecurityImmutable sec){
+         if(sec.Symbol == "HHD")
+            // only futures in HHD are the dailies, everything
+            // else is a strip or spread
+            return 1;
+         if(is_ice_lots(sec))
+            return 2500;
+         else{
+            var days_in_month = DateTime.DaysInMonth(Convert.ToInt32(sec.Future.ExpirationYear),
+                                                   Convert.ToInt32(sec.Future.ExpirationMonth));
+            return days_in_month; // because the size is multiplied by 2500 already
+         }
+      }
+
+      public static double get_spread_cpp(SecurityImmutable sec){
+         return 0;
+      }
+
+      public static double get_strip_cpp(PNLUnitImmutable pnl,
+                                       SecurityImmutable sec){
+         // add up all the legs
+         double rv = 0;
+         foreach (var l in sec.Spread.Legs)
+            if(l.Security.HasFuture)
+               rv += get_cpp(pnl,l.Security);
+         return rv;
+      }
+
+      public static double get_cpp (PNLUnitImmutable pnl,
+                                    SecurityImmutable sec){
+         if(sec.HasFuture)
+            return get_future_cpp(sec);
+         else if(is_spread(sec))
+            return get_spread_cpp(sec);
+         else if(is_strip(sec))
+            return get_strip_cpp(pnl,sec);
+         return Double.NaN;
+      }
+      #endregion
+
+      #region Symbol      
+      public static string get_pnl_symbol (SecurityImmutable sec){
+         // for pnl purposes, for a symbol, the division is :
+         // Futures and Strips
+         // ICE Lots
+         // Spreads
+         var rv = String.Format("{0}{1}{2}",
+                              sec.Symbol,
+                              is_ice_lots(sec)? " ICE LOTS" : String.Empty,
+                              is_spread(sec)? " Spread" : String.Empty);
+         return rv;
+      }
+      #endregion
+
+      #region Formatting
+      public static string format_security (SecurityImmutable? security){
+         if(security.HasValue && security.Value.HasIce){
+            bool ice_lots = is_ice_lots(security.Value),
+               tas = is_tas(security.Value);
+            return String.Format("{0}{1}{2}{3}{4}",
+                                 security?.Symbol,
+                                 ice_lots? " ICE Lots" : String.Empty,
+                                 tas ? " TAS" : String.Empty,
+                                 String.Compare(security.Value.Ice.HubAlias, _default_hub,true)==0 ? String.Empty :
+                                             " " + security.Value.Ice.HubAlias,
+                                 " " + security?.Ice.StripName);
+         }
+         return String.Empty;
+      }
+      #endregion
+   }
+
+   public static double get_cpp (PNLUnitImmutable pnl,
+                                 SecurityImmutable sec){
+      if(sec.HasIce)
+         return ICE.get_cpp(pnl,sec);
+      return pnl.CashValue;      
+   }
+
+   public static string get_pnl_symbol (SecurityImmutable sec){
+      if(sec.HasIce)
+         return ICE.get_pnl_symbol(sec);
+      return sec.Symbol;
+   }
+
+   public static string format_security(SecurityImmutable? security){
+      if(security?.HasIce == true)
+         return ICE.format_security(security);
+      return security?.ToString();
+   }
+
+}}

src/client/spark_api/security/SecurityExtensions.cs

@@ -1,10 +1,15 @@
-using System;
-using bts.api;
-
-namespace bts.api
-{
-   public static class SecurityExtensions
-   {
+namespace bts.api {
+   public static class SecurityExtensions {
       public static SecurityType security_type(this Security s) { return ((SecurityImmutable)s).security_type(); }
+
+      public static SecurityType security_type(this Security.ContractOneofCase contract_case) {
+         switch (contract_case) {
+            case Security.ContractOneofCase.Future: return SecurityType.Future;
+            case Security.ContractOneofCase.Option: return SecurityType.Option;
+            case Security.ContractOneofCase.Spread: return SecurityType.Spread;
+            case Security.ContractOneofCase.Synthetic: return SecurityType.Synthetic;
+            default: return SecurityType.Unset;
+         }
+      }
    }
 }

src/client/spark_api/security/SecurityFormatter.cs

@@ -41,7 +41,7 @@ namespace bts.api {
          switch (security?.ContractCase) {
             case ContractOneofCase.Future:
                if(security?.HasIce == true)
-                  return _format_ICE(security);
+                  return bts.api.ExchangeSpecificUitlities.format_security(security);
                return format_future(security?.Symbol, security?.security_desc(), security.Value.Future);
             case ContractOneofCase.Spread:
                if (security?.HasGlbx == true) {
@@ -50,7 +50,7 @@ namespace bts.api {
                   return security?.Glbx.SecurityDesc;
                }
                else if(security?.HasIce == true)
-                  return _format_ICE(security);
+                  return bts.api.ExchangeSpecificUitlities.format_security(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 +84,5 @@ 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_api/security/SecurityHelper.cs

@@ -83,26 +83,37 @@ namespace bts.api {
          }
 
          public static int Compare(SecurityImmutable x, SecurityImmutable y) {
-            if (x.ContractCase == ContractOneofCase.Future) {
-               return y.ContractCase == ContractOneofCase.Future ? Compare(x.Symbol, x.Future, y.Symbol, y.Future) : -1;
-            } else if (y.ContractCase == ContractOneofCase.Future) {
-               return 1;
+            int c = non_deterministic_impl();
+            if (c == 0) {
+               c = x.ToString().CompareTo(y.ToString());
+               if (c == 0)
+                  c = x.Id.CompareTo(y.Id);
             }
-            var xlegs = get_flat_future_legs(x).ToList();
-            var ylegs = get_flat_future_legs(y).ToList();
-            int max = Math.Min(xlegs.Count, ylegs.Count);
-            for (int i = 0; i < max; i++) {
-               int rv = Compare(xlegs[i].symbol, xlegs[i].future, ylegs[i].symbol, ylegs[i].future);
-               if (rv != 0)
-                  return rv;
-               rv = xlegs[i].quantity.CompareTo(ylegs[i].quantity);
-               if (rv != 0)
-                  return rv;
-               rv = xlegs[i].exchange.CompareTo(ylegs[i].exchange);
-               if (rv != 0)
-                  return rv;
+            return c;
+            // this has been observed to be non-determinisitc with certain ICE securities
+            // (it is determenistic with other exchanges..as far as we know).
+            int non_deterministic_impl() {
+               if (x.ContractCase == ContractOneofCase.Future) {
+                  return y.ContractCase == ContractOneofCase.Future ? Compare(x.Symbol, x.Future, y.Symbol, y.Future) : -1;
+               } else if (y.ContractCase == ContractOneofCase.Future) {
+                  return 1;
+               }
+               var xlegs = get_flat_future_legs(x).ToList();
+               var ylegs = get_flat_future_legs(y).ToList();
+               int max = Math.Min(xlegs.Count, ylegs.Count);
+               for (int i = 0; i < max; i++) {
+                  int rv = Compare(xlegs[i].symbol, xlegs[i].future, ylegs[i].symbol, ylegs[i].future);
+                  if (rv != 0)
+                     return rv;
+                  rv = xlegs[i].quantity.CompareTo(ylegs[i].quantity);
+                  if (rv != 0)
+                     return rv;
+                  rv = xlegs[i].exchange.CompareTo(ylegs[i].exchange);
+                  if (rv != 0)
+                     return rv;
+               }
+               return xlegs.Count.CompareTo(ylegs.Count);
             }
-            return xlegs.Count.CompareTo(ylegs.Count);
          }
 
          public static int Compare(string x_sym, FutureContract x, string y_sym, FutureContract y) {
@@ -116,4 +127,4 @@ namespace bts.api {
          }
       }
    }
-}
+}

src/client/spark_api/utils/Log.cs

@@ -36,6 +36,7 @@ namespace bts {
       Plugin,
       Sdk,
       Http,
+      iLink3
       // Please keep this list in sync with logging.h/logging.cpp
    }
    

src/client/spark_core/Collections/Extensions/EnumerableExtensions.cs

@@ -7,6 +7,42 @@ using System.Reactive.Linq;
 
 namespace System.Collections.Generic {
    public static class EnumerableExtensions {
+      /// <summary>
+      /// Determines whether all elements of a sequence are true.
+      /// </summary>
+      /// <param name="source">An <see cref="IEnumerable{bool}"/> that contains the elements to which to apply the predicate.</param>
+      /// <returns>True if every element of the source sequence is true, or if the sequence is empty; otherwise false.</returns>
+      /// <exception cref="ArgumentNullException"><paramref name="source"/> is null</exception>
+      public static bool All(this IEnumerable<bool> source) {
+         if (source is null)
+            throw new ArgumentNullException(nameof(source));
+         foreach (var v in source) {
+            if (!v)
+               return false;
+         }
+         return true;
+      }
+
+      /// <summary>
+      /// Similar to <see cref="Enumerable.All{TSource}(IEnumerable{TSource}, Func{TSource, bool})"/>, but returns false if the <paramref name="source"/> is empty.
+      /// </summary>
+      /// <typeparam name="T">The type of elements in the source.</typeparam>
+      /// <param name="source">The sequence of elements to which the predicate will be applied.</param>
+      /// <param name="predicate">The predicate applied to each element in the specified sequence.</param>
+      /// <returns>True if the source sequence is not empty, and every element within it passes the test in the specified predicate; otherwise, false.</returns>
+      public static bool AnyAndAll<T>(this IEnumerable<T> source, Func<T, bool> predicate) {
+         using (var en = source.GetEnumerator()) {
+            if (en.MoveNext()) {
+               do {
+                  if (!predicate(en.Current))
+                     return false;
+               } while (en.MoveNext());
+               return true;
+            }
+            return false;
+         }
+      }
+
       #region Ordered
       public static IOrderedEnumerable<T> Ordered<T>(this IEnumerable<T> enumerable) =>
          enumerable.OrderBy(t => t);
@@ -165,6 +201,9 @@ namespace System.Collections.Generic {
          }
       }
 
+      public static IList<T> ToListLazy<T>(this IEnumerable<T> source) =>
+         new LazyList<T>(source);
+
       public static bool TryGetFirst<T>(this IEnumerable<T> source, out T result) {
          if (source == null) throw new ArgumentNullException(nameof(source));
          using (var en = source.GetEnumerator()) {
@@ -590,6 +629,9 @@ namespace System.Collections.Generic {
       public static bool is_null_or_empty<T>(this IEnumerable<T> source) =>
          source == null || !source.Any();
 
+      public static bool is_null_or_empty<T>(this T[] array) =>
+         array == null || array.Length == 0;
+
       public static IEnumerable<T> empty_if_null<T>(this IEnumerable<T> source) =>
          source ?? Enumerable.Empty<T>();
 
@@ -634,5 +676,44 @@ namespace System.Collections.Generic {
    
          public int? Count => _collection?.Count ?? _ro_collection?.Count;
       }
+
+      class LazyList<T> : IList<T> {
+         IEnumerable<T> _source;
+         IList<T> _list_backing;
+
+         public LazyList(IEnumerable<T> source) =>
+            _source = source;
+
+         public T this[int index] { get => _list[index]; set => _list[index] = value; }
+
+         public int Count => _list.Count;
+
+         public bool IsReadOnly => _list.IsReadOnly;
+
+         IList<T> _list {
+            get {
+               if (_list_backing == null) {
+                  if (_source == null) {
+                     _list_backing = new List<T>(0);
+                  } else {
+                     _list_backing = new List<T>(_source);
+                     _source = null;
+                  }
+               }
+               return _list_backing;
+            }
+         }
+
+         public void Add(T item) => _list.Add(item);
+         public void Clear() => _list.Clear();
+         public bool Contains(T item) => _list.Contains(item);
+         public void CopyTo(T[] array, int arrayIndex) => _list.CopyTo(array, arrayIndex);
+         public IEnumerator<T> GetEnumerator() => _list.GetEnumerator();
+         public int IndexOf(T item) => _list.IndexOf(item);
+         public void Insert(int index, T item) => _list.Insert(index, item);
+         public bool Remove(T item) => _list.Remove(item);
+         public void RemoveAt(int index) => _list.RemoveAt(index);
+         IEnumerator IEnumerable.GetEnumerator() => _list.GetEnumerator();
+      }
    }
 }

src/client/spark_core/utils/UpdateExtensions.cs

@@ -11,6 +11,46 @@ using System.Reactive.Linq;
 
 namespace bts.utils {
    public static class UpdateExtensions {
+      public static IObservable<TableUpdate<T, TKey>> AppendTable<T, TKey>(this IObservable<TableUpdate<T, TKey>> source, IEnumerable<T> append_items) where TKey : IEquatable<TKey> {
+         HashSet<TKey> append_keys = null;
+         Func<T, bool> append_key_filter = null;
+         return Observable.Create<TableUpdate<T, TKey>>(o => {
+            TableUpdate<T, TKey> output = null;
+            return source.Subscribe(table => {
+               if (output == null) {
+                  // first update - initialize output, and (maybe) append_keys/append_key_filter
+                  // Note: append_keys/filter can be shared among all subscriptions because, and only needs to be initialized once;
+                  // once initialized, the append_keys/filter will not change.
+                  output = table;
+                  if (append_keys == null) {
+                     append_keys = new HashSet<TKey>(append_items.Select(table.key_extractor));
+                     append_key_filter = v => !append_keys.Contains(table.key_extractor(v));
+                  }
+                  // filter append_items out of the normal source (ensures that they will be immune to removes/changes).
+                  output = TableUpdate<T, TKey>.FilterHelper.on_predicate_changed(output, table.state, null, append_key_filter);
+                  // add the append_items to the output table (only need to do this once)
+                  output = TableUpdate<T, TKey>.update(output, append_items, Enumerable.Empty<Change<T>>(), Enumerable.Empty<T>(), table.key_extractor);
+                  output = output.as_snapshot();
+               } else {
+                  output = TableUpdate<T, TKey>.FilterHelper.on_source_changed(
+                     output, table.added, table.changes, table.removed, append_key_filter);
+               }
+               o.OnNext(output);
+            });
+         });
+      }
+
+      public static void FilterIncremental<T, TKey>(this TableUpdate<T, TKey> table, Func<T, bool> predicate, out IEnumerable<T> added, out IEnumerable<Change<T>> changes, out IEnumerable<T> removed) where TKey : IEquatable<TKey> {
+         // added
+         added = table.added.Where(predicate).Concat(
+            table.changes.Where(ch => predicate(ch.New) && !predicate(ch.Old)).Select(ch => ch.New));
+         // changes
+         changes = table.changes.Where(ch => predicate(ch.New) && predicate(ch.Old));
+         // removed
+         removed = table.removed.Where(predicate).Concat(
+            table.changes.Where(ch => !predicate(ch.New) && predicate(ch.Old)).Select(ch => ch.Old));
+      }
+
       public static TableUpdate<T, TKey> with_added<T, TKey>(this TableUpdate<T, TKey> table, IEnumerable<T> added) where TKey : IEquatable<TKey> =>
          TableUpdate<T, TKey>.update(table, added, Enumerable.Empty<Change<T>>(), Enumerable.Empty<T>(), table.key_extractor);
 
@@ -52,7 +92,8 @@ namespace bts.utils {
             void update(TableUpdate<T, TKey> input) {
                state = input.state;
                var builder = output.to_builder();
-               // execute all parent_to_children changes first, so descendent-propagation will be efficient (otherwise propagation might be needlessly performed on values that are yet to be removed, or performed with the wrong root, if the real root is yet to be added).
+               // execute all parent_to_children changes first, so descendent-propagation will be efficient
+               // (otherwise propagation might be needlessly performed on values that are yet to be removed, or performed with the wrong root, if the real root is yet to be added).
                foreach (var v in input.removed.Concat(input.changes.Select(ch => ch.Old))) {
                   var k = input.key_extractor(v);
                   parent_to_children.remove(parent_key(v), v);

src/client/spark_test/Security/SecurityTests.cs

@@ -1,4 +1,5 @@
 using bts.api;
+using bts.collections;
 using bts.resources;
 using bts.test;
 using bts.utils.proto;
@@ -10,7 +11,6 @@ namespace bts.mcore {
    class SecurityTests {
       [Test]
       public void test_security_equal() {
-
          SecurityImmutable a = new SecurityImmutable(new Security() { Id = 42 });
          SecurityImmutable b = new SecurityImmutable(new Security() { Id = 42 });
          SecurityImmutable c = new SecurityImmutable(new Security() { Id = 4 });
@@ -29,20 +29,31 @@ namespace bts.mcore {
 
       [Test]
       public void test_security_compare() {
-         const string securities_resource = "KrandallOrderBookCrash.security_proto";
-         // verify that the sample size doesn't shrink for some reason.
-         // if it grows a bit that's fine; the generic comparison test
-         // asserts against collections that are too large.
-         const int min_sample_size = 91;
+         foreach (var file_path in SecurityFiles.all())
+            _test_security_compare(_read_securities(file_path));
+      }
 
-         var securities = StreamHelper.ReadProtos<Security>(
-            ResourceHelper.LoadResource(securities_resource))
-            .Select(s => new SecurityImmutable(s))
-            .ToList();
-         Assert.IsTrue(securities.Count >= min_sample_size);
+      void _test_security_compare(IEnumerable<SecurityImmutable> securities) {
+         const int max_count = 2048;
+         var sec_list = securities as IList<SecurityImmutable> ?? securities.ToList();
+         if (sec_list.Count > max_count)
+            sec_list = sec_list.WrapSubRange(0, max_count);
+         ComparisonTests.transitive_comparison(sec_list, SecurityHelper.Comparer.InstanceImmutable);
+         ComparisonTests.identity_comparison(sec_list, SecurityHelper.Comparer.InstanceImmutable);
+      }
 
-         ComparisonTests.transitive_comparison(securities, SecurityHelper.Comparer.InstanceImmutable);
-         ComparisonTests.identity_comparison(securities, SecurityHelper.Comparer.InstanceImmutable);
+      IEnumerable<SecurityImmutable> _read_securities(string file_path) =>
+         StreamHelper.ReadProtos<Security>(ResourceHelper.LoadResource(file_path)).Select(s => new SecurityImmutable(s));
+
+      static class SecurityFiles {
+         public const string
+            KrandallOrderBookCrash = "KrandallOrderBookCrash.security_proto",
+            NonDeterministicICEFutures = "NonDeterministicICEFutures.security_proto";
+
+         public static IEnumerable<string> all() {
+            yield return KrandallOrderBookCrash;
+            yield return NonDeterministicICEFutures;
+         }
       }
    }
 }

src/client/spark_test/Utils/ComparisonTests.cs

@@ -4,14 +4,14 @@ using System.Linq;
 
 namespace bts.mcore {
    static class ComparisonTests {
-      public static void transitive_comparison<T>(IEnumerable<T> items, IComparer<T> comparer) {
-         // Verify that the sample size isn't too big.
-         // This test compares each item to every other item
-         // (technically twice; lhs/rhs is flipped the second time),
-         // so performance is O(n^2).
-         const int max_sample_size = 4092;
+      /// <summary>
+      /// Compares every permutation of pairs in the specified items.
+      /// Be wary of use with large collections, as performance is O(n^2).
+      /// </summary>
+      public static void transitive_comparison<T>(IEnumerable<T> items, IComparer<T> comparer, int min_item_count = 2, int max_item_count = 5000) {
          var sorted_items = items.ToList();
-         Assert.That(sorted_items.Count <= max_sample_size);
+         Assert.That(sorted_items.Count >= min_item_count);
+         Assert.That(sorted_items.Count <= max_item_count);
          sorted_items.Sort(comparer);
          for (int i = 0; i < sorted_items.Count - 1; i++) {
             for (int j = i + 1; j < sorted_items.Count; j++) {

src/client/spark_test/spark_test.csproj

@@ -16,5 +16,6 @@
   </ItemGroup>
   <ItemGroup>
     <EmbeddedResource Include="Resources\KrandallOrderBookCrash.security_proto" />
+    <EmbeddedResource Include="Resources\NonDeterministicICEFutures.security_proto" />
   </ItemGroup>
 </Project>

src/data_files/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources files/cert_secure_logon.txt;files/futures.coconut.xz;files/onixs_ice/ConnectivityConfiguration.APITest.xml;files/onixs_ice/ConnectivityConfiguration.PerfTest.xml;files/onixs_ice/ConnectivityConfiguration.Production.xml;files/perf_trace/compiled.css;files/perf_trace/index.html;files/perf_trace/jquery-3.3.1.min.js;files/perf_trace/main.js;files/perf_trace/perf_log.sql;files/perf_trace/perf_trace_analysis.sql;files/perf_trace/plotly-latest.min.js)
+set(sources files/audit_ilink3.py;files/audit_upload.sh;files/audit_uploader.py;files/cert_secure_logon.txt;files/example.conf;files/futures.coconut.xz;files/onixs_ice/ConnectivityConfiguration.APITest.xml;files/onixs_ice/ConnectivityConfiguration.APITest.xml.orig;files/onixs_ice/ConnectivityConfiguration.PerfTest.xml;files/onixs_ice/ConnectivityConfiguration.Production.xml;files/perf_trace/compiled.css;files/perf_trace/index.html;files/perf_trace/jquery-3.3.1.min.js;files/perf_trace/main.js;files/perf_trace/perf_log.sql;files/perf_trace/perf_trace_analysis.sql;files/perf_trace/plotly-latest.min.js)

src/data_files/files/audit_ilink3.py

@@ -0,0 +1,405 @@
+import json
+import csv
+import datetime, time
+import argparse, os
+
+
+def valid_file(f):
+    if not os.path.exists(f):
+        # Argparse uses the ArgumentTypeError to give a rejection message like:
+        # error: argument input: x does not exist
+        raise argparse.ArgumentTypeError("{0} does not exist".format(f))
+    return f
+
+def valid_date(s):
+    try:
+        return datetime.datetime.strptime(s, "%Y%m%d")
+    except ValueError:
+        raise argparse.ArgumentTypeError("Not a valid date: '{0}'.".format(s))
+
+def print_headers():
+    # From https://www.cmegroup.com/confluence/display/EPICSANDBOX/iLink+3+-+Minimum+Acceptable+Audit+Trail+Elements+-+Data+Definitions+and+Validation+Rules
+    line_to_write = "Sending Timestamps,Message Direction,Operator ID,Session ID,Manual Order Indicator,Message Type,Instrument,Order Flow ID,\
+CME Globex Order ID,Client Order ID,Order Request ID,Buy/Sell Indicator,Quantity,Limit Price,Stop Price,Order Type,Order Qualifier,IFM Flag,\
+Display Quantity,Minimum Quantity,Country of Origin,Fill Price,Fill Quantity,Cumulative Quantity,Remaining Quantity,Aggressor Flag,Source of Cancellation,\
+Reject Reason,CME Globex Message ID,Cross ID,Quote Request ID,Message Quote ID,Quote Set ID,Quote Entry ID,Bid Price,Bid Size,Offer Price,Offer Size,\
+Processed Entries,Party Details List Request ID,ListUpdateAction,Self-Matching Prevention ID,Self-Match Prevention Instr,Customer Type Indicator,\
+AvgPxGroupID,Average Px Ind,CmtaGiveUpCD,Origin,Clearing Trade Price Type,Customer Handling Instr,Executing Firm ID,Account Number,Take Up Firm,Take up Account"
+
+    with open (args.output_file, 'w') as the_file:
+                    the_file.write(line_to_write)
+                    the_file.write("\n")
+
+def set_blanks():
+    return ""
+
+def get_value(json_key):
+    prices = ["Price", "LastPx", "StopPx"]
+    if json_key in json_data:
+        if json_key in prices:
+            x = json_data[json_key]
+            return x['mantissa']/100000000000
+        else:
+            return json_data[json_key]
+    else:
+        return ""
+
+
+# Column 1  - Sending Timestamps
+def SendingTimeEpoch(epochtime):   #1
+    #TIME = time.strftime('%Y%m%d-%H:%M:%S.{}'.format(epochtime/1000000000), time.gmtime(epochtime/1000000000))
+    TIME = datetime.datetime.fromtimestamp(int(epochtime) / 1e9).strftime('%Y%m%d-%H:%M:%S.%f')
+    return TIME
+
+# Column 2 - Message Direction
+def direction(whichway):
+    if whichway == '<':    
+        DIRECTION = "FROM CME"
+    else:                       
+        DIRECTION = "TO CME"     
+    return DIRECTION
+
+# Column 3 - Operator ID
+def SenderID(sender):
+    if "SenderID" in json_data:
+        SENDER = json_data["SenderID"] 
+        return SENDER
+    else:
+        return SESSIONID
+
+
+# Column 4 - Session ID
+
+# Column 5 - Manual Order Indicator
+def ManualOrderIndicator(manual):
+    if "ManualOrderIndicator" in json_data:
+        if manual == "Manual":
+            return "1"
+        else:
+            return "0"
+
+# Column 6 - Message Type
+def MessageType(msg_type,orderstatus):
+    if msg_type == "NewOrderSingle514":
+       return "D" 
+    elif msg_type == "ExecutionReportNew522":
+        return "8--0"
+    if "ExecutionReportTrade" in msg_type:
+        if orderstatus == "PartiallyFilled":
+            return "8--1"
+        else:
+            return "8--2"
+    elif msg_type == "ExecutionReportCancel534":
+        return "8--4"
+    elif msg_type == "ExecutionReportModify531":
+        return "8--5"
+    elif msg_type == "ExecutionReportCancel534":
+        return "8--H"
+    elif msg_type == "ExecutionReportReject523":
+        return "8--8"
+    elif msg_type == "OrderCancelReplaceReject536":
+        return "9--2"
+    elif msg_type == "OrderCancelReject535":
+        return "9--1"
+    elif msg_type == "PartyDetailsDefinitionRequest518":
+        return "CX"
+    elif msg_type == "PartyDetailsDefinitionRequestAck519":
+        return "CY"
+    elif msg_type == "OrderCancelRequest516":
+        return "F"
+    elif msg_type == "OrderCancelReplaceRequest515":
+        return "G"
+    
+    
+
+# Column 12 - Buy-Sell Indicator/Side
+def Side(indicator):
+    if "Side" in json_data:
+        if indicator == "Buy":
+            return "1"
+        else:
+            return "2"
+
+# Column 16 - Order Type/OrdType
+def OrdType(ordertype):
+    if "OrdType" in json_data:
+        if ordertype == "MarketWithProtection" or ordertype == "MarketwithProtection":
+            return "1"
+        elif ordertype == "Limit":
+            return "2"
+        elif ordertype == "StopWithProtection" or ordertype == "StopwithProtection":
+            return "3"
+        elif ordertype == "StopLimit":
+            return "4"
+        elif ordertype == "MarketLimit":
+            return "K"
+        else:
+            return ""
+
+# Column 17 - Order Qualifier/TimeInForce
+def TimeInForce(orderqual):
+    if "TimeInForce" in json_data:
+        if orderqual == "Day":
+            return "0"
+        elif orderqual == "GTC":
+            return "1"
+        elif orderqual == "FAK":
+            return "3"
+        elif orderqual == "GTD":
+            return "6"
+        else:
+            return ""
+
+# Column 18 IFM Flag/OFMOverride
+def OFMOverride(imfflag):
+    if "OFMOverride" in json_data:
+        if imfflag == "Enabled":
+            return "1"
+        else:
+            return "0"
+
+# Column 19 Display Quantity/DisplayQty
+def DisplayQty(qty):
+    if "DisplayQty" in json_data:
+        if str(qty) == "0":
+            return ""
+        elif str(qty) == "4294967295":
+            return ""
+        else:
+            return qty
+
+
+# Column 26 - Aggressor Flag/AggressorIndicator
+def AggressorIndicator(aggressor):
+    if "AggressorIndicator" in json_data:
+        if aggressor == "True":
+            return "1"
+        else:
+            return "0"
+
+# Column 27 - Source of Cancellation/ExecRestatementReason
+def ExecRestatementReason(sourcecancel):
+    if "ExecRestatementReason" in json_data:
+        if sourcecancel == "Exchange":
+            return "8"
+        elif sourcecancel == "CancelledNotBest":
+            return "9"
+        elif sourcecancel == "CancelOnDisconnect":
+            return "100"
+        elif sourcecancel == "CancelRestingDueToSelfMatchPrevention":
+            return "103"
+        elif sourcecancel == "CancelFromCMEGlobexCreditControlsViolation":
+            return "104"
+        elif sourcecancel == "CancelFromCMEOne":
+            return "105"
+        elif sourcecancel == "CancelFromRiskManagementAPI":
+            return "106"
+        elif sourcecancel == "CancelAggressingDueToSelfMatchPrevention":
+            return "107"
+        elif sourcecancel == "CancelDueToVolatilityQuoteOptionLessThanMinOrderSize":
+            return "108"
+        else:
+            return ""
+
+# Column 43 - Self-Match Prevention Instr/SelfMatchPreventionInstruction
+def SelfMatchPreventionInstruction(instr):
+    if "SelfMatchPreventionInstruction" in json_data:
+        if instr == "CancelOldest":
+            return "O"
+        elif instr == "CancelNewest":
+            return "N"
+        else:
+            return ""
+
+# Column 44 - Customer Type Indicator/CustOrderCapacity
+def CustOrderCapacity(custord):
+    if "CustOrderCapacity" in json_data:
+        if custord == "NULL_VALUE":
+            return ""
+        elif custord == "Membertradingfortheirownaccount":
+            return "1"
+        elif custord == "ClearingFirmtradingforitsproprietaryaccount":
+            return "2"
+        elif custord == "Membertradingforanothermember":
+            return "3"
+        else:
+            return "4" 
+
+# Column 46 - Average Px Ind/AvgPxInd
+def AvgPxInd(avgpxindicator):
+    if "AvgPxInd" in json_data:
+        if avgpxindicator == "NULL_VALUE":
+            return ""
+        else:
+            return avgpxindicator
+
+# Column 48 - Origin/ClearingAccountType
+def ClearingAccountType(accounttype):
+    if "ClearingAccountType" in json_data:
+        if accounttype == "Customer":
+            return "0"
+        elif accounttype == "Firm":
+            return "1"
+        else:
+            return ""
+
+# Column 49 - Clearing Trade Price Type/ClearingTradePriceType
+def ClearingTradePriceType(clrtrdprice):
+    if "ClearingTradePriceType" in json_data:
+        if clrtrdprice == "NULL_VALUE":
+            return "0"
+        else:
+            return "3"
+
+# Column 50 - Customer Handling Instr/CustOrderHandlingInst
+def CustOrderHandlingInst(custorderinst):
+    if "CustOrderHandlingInst" in json_data:
+        if custorderinst == "ClientElectronic":
+            return "C"
+        elif custorderinst == "TEST":
+            return "D"
+        else:
+            return ""
+
+# Column 51 and 52 - Getting the Firm and Account Number
+def partyid(partydetailid,column):
+    for x in partydetailid:
+        role = x['PartyDetailRole']
+        id = x['PartyDetailID']
+        if column == "51" and role == "ExecutingFirm":
+            return id
+        if column == "52" and role == "CustomerAccount":
+            return id
+
+
+parser = argparse.ArgumentParser()
+parser.add_argument("json_log", help="the json log[.gz] you wish to process", type=valid_file)
+parser.add_argument("output_file", help="the destination csv file you wish to write")
+parser.add_argument("-d", "--date", help="the date you wish to parse from the log, specified as YYYYmmdd",
+                    default=datetime.datetime.today().strftime("%Y%m%d"), type=valid_date)
+args = parser.parse_args()
+
+print_headers()
+
+list_types = ['NewOrderSingle514', 'OrderCancelReplaceRequest515', 'OrderCancelRequest516', 'PartyDetailsDefinitionRequest518', 'PartyDetailsDefinitionRequestAck519', \
+        'ExecutionReportNew522', 'ExecutionReportReject523', 'ExecutionReportTradeOutright525', 'ExecutionReportTradeSpread526', 'ExecutionReportTradeSpreadLeg527', \
+        'ExecutionReportModify531', 'ExecutionReportCancel534', 'OrderCancelReject535', 'OrderCancelReplaceReject536', ]
+
+# Note that the timedeltas specificed in trade_day_start and trade_day_end
+# are based on Chicago times; as such, this script should run on a machine
+# set to a Chicago timezone. A future impromovement would be to determine
+# the current machine's timezone and determine the appropriate offset
+# versus Chicago time, but for now we assume this will run on a Chicago
+# tz machine.
+input_as_datetime = args.date
+trade_day_start = input_as_datetime - datetime.timedelta(days=1) + datetime.timedelta(hours=16, minutes=30)
+trade_day_utc_start = time.gmtime((time.mktime(trade_day_start.timetuple())))
+trade_day_end = input_as_datetime + datetime.timedelta(hours=16)
+trade_day_utc_end = time.gmtime((time.mktime(trade_day_end.timetuple())))
+
+file_opener = None
+if args.json_log.endswith(".gz"):
+    import gzip
+    file_opener = gzip.open
+else:
+    file_opener = open
+
+
+#inputFile = open(fileInput) #open json file
+#outputFile = open(fileOutput, 'w') #load csv file
+# Get Session
+with file_opener(args.json_log) as json_file:
+    for line in json_file:
+        data = json.loads(line)
+        json_data = data['msg_json']
+        if "Session" in json_data:
+            SESSIONID = json_data["Session"]
+
+#inputFile = open(fileInput) #open json file
+#outputFile = open(fileOutput, 'w') #load csv file
+with file_opener(args.json_log) as json_file:
+    for line in json_file:
+        data = json.loads(line)
+        line_timestamp = time.strptime(data['time'], "%Y%m%d-%H:%M:%S.%f")
+        if trade_day_utc_start <= line_timestamp <= trade_day_utc_end:
+            json_data = data['msg_json']
+            NAME = json_data["Name"]
+            if NAME in list_types:
+                EXECUTING_FIRM_ID = ""
+                ACCOUNT_NUMBER = ""
+                DIRECTION = direction(data['direction'])
+                # Set Blanks
+                blank_json = {'QuoteReqID': '', 'QuoteID': '', 'QuoteSetID': '', 'QuoteEntryID': '', 'BidPx': '', 'BidSize': '', 'OfferPx': '', \
+                'OfferSize': '', 'NoProcessedEntries': '', 'ListUpdateAction': '', 'MinQty': '', 'AvgPxGroupID': '', \
+                'CmtaGiveUpCD': '', 'TAKE_UP_FIRM': '', 'TAKE_UP_ACCOUNT': '',}
+
+                # No Data Processing
+                straight_json = {'SecurityID': '', 'ClOrdID': '', 'OrderID': '', 'OrderRequestID': '', 'OrderQty': '', \
+                'Location': '', 'LastQty': '', 'CumQty': '', 'LeavesQty': '', 'Text': '', 'SideTradeID': '', 'CrossID': '', 'SelfMatchPreventionID': '', \
+                'Price': '', 'StopPx': '', 'LastPx': '', 'PartyDetailsListReqID': '', 'OrdStatus': ''}
+                        
+                # Processing Data
+                process_json = {'SendingTimeEpoch': '', 'ManualOrderIndicator': '', 'SenderID': '', 'Side': '', 'OrdType': '', 'TimeInForce': '', \
+                'OFMOverride': '', 'AggressorIndicator': '', 'ExecRestatementReason': '', 'SelfMatchPreventionInstruction': '', 'CustOrderCapacity': '', \
+                'AvgPxInd': '', 'ClearingAccountType': '', 'ClearingTradePriceType': '', 'CustOrderHandlingInst': '', 'DisplayQty': ''}
+                
+                for d in straight_json:
+                    test = get_value(d)
+                    if test != "None" or test != "":
+                        if "," in str(test):
+                            test = test.replace(",",";")
+                        if "4294967295" in str(test):
+                            test = ""
+                        if "us;" in str(test):
+                            test = test.upper()
+                        if d == "SelfMatchPreventionID" and len(str(test)) > 8:
+                            test = ""
+                        straight_json[d] = test
+                    else:
+                        straight_json[d] = ''
+                        
+                for d in process_json:
+                    if d in json_data:
+                        function = locals()[d]
+                        test = function(json_data[d])
+                        if test != "None":
+                            process_json[d] = test
+                        else:
+                            process_json[d] = ''
+                    elif d == "SenderID":
+                        function = locals()[d]
+                        test = function(SenderID)
+                        if test != "None":
+                            process_json[d] = test
+
+                # Party Message Fields
+                # Column 51 - Executing Firm ID
+                if "NoPartyDetails" in json_data:
+                    EXECUTING_FIRM_ID = partyid(json_data['NoPartyDetails'], "51")
+                    # Column 52 - Party Account Number
+                    ACCOUNT_NUMBER = partyid(json_data['NoPartyDetails'], "52")
+                
+                line_to_write = process_json['SendingTimeEpoch'] + "," + DIRECTION + "," + process_json['SenderID'] + "," + SESSIONID + "," + process_json['ManualOrderIndicator'] + "," + \
+                MessageType(NAME,straight_json['OrdStatus']) + "," + str(straight_json['SecurityID']) + "," + str(straight_json['ClOrdID']) + "," + str(straight_json['OrderID']) + "," + str(straight_json['ClOrdID']) + "," + \
+                str(straight_json['OrderRequestID']) + "," + process_json['Side'] + "," + str(straight_json['OrderQty']) + "," + str(straight_json['Price']) + "," + \
+                str(straight_json['StopPx'])  + "," + process_json['OrdType'] + "," + process_json['TimeInForce'] + "," + process_json['OFMOverride'] + "," + str(process_json['DisplayQty']) + "," + \
+                blank_json['MinQty'] + "," + straight_json['Location'] + "," + str(straight_json['LastPx']) + "," + str(straight_json['LastQty']) + "," + str(straight_json['CumQty']) + "," + \
+                str(straight_json['LeavesQty']) + "," + process_json['AggressorIndicator'] + "," + process_json['ExecRestatementReason'] + "," + str(straight_json['Text']) + "," + \
+                str(straight_json['SideTradeID']) + "," + str(straight_json['CrossID']) + "," + blank_json['QuoteReqID'] + "," + blank_json['QuoteID'] + "," + blank_json['QuoteSetID'] + "," + \
+                blank_json['QuoteEntryID'] + "," + blank_json['BidPx'] + "," + blank_json['BidSize'] + "," + blank_json['OfferPx'] + "," + blank_json['OfferSize'] + "," + \
+                blank_json['NoProcessedEntries'] + "," + str(straight_json['PartyDetailsListReqID']) + "," + blank_json['ListUpdateAction'] + "," + str(straight_json['SelfMatchPreventionID']) + "," + \
+                process_json['SelfMatchPreventionInstruction'] + "," + process_json['CustOrderCapacity'] + "," + blank_json['AvgPxGroupID'] + "," + process_json['AvgPxInd'] + "," + \
+                blank_json['CmtaGiveUpCD'] + "," + str(process_json['ClearingAccountType']) + "," + process_json['ClearingTradePriceType'] + "," + process_json['CustOrderHandlingInst'] + "," + \
+                EXECUTING_FIRM_ID + "," + str(ACCOUNT_NUMBER) + "," + blank_json['TAKE_UP_FIRM'] + "," + blank_json['TAKE_UP_ACCOUNT']
+
+                
+                #print(line_to_write)
+
+                with open (args.output_file, 'a') as the_file:
+                    the_file.write(line_to_write)
+                    the_file.write("\n")
+        
+
+
+
+ 

src/data_files/files/audit_upload.sh

@@ -0,0 +1,73 @@
+#/bin/bash
+
+function help_and_exit()
+{
+  echo
+  echo Usage: $0 [option]... config_file
+  echo 
+  echo Can also be used in cron like the following
+  echo 40 16 * * 1-5 /usr/bin/docker exec spark_10000 bash /sparkbin/data_files/audit_upload.sh /sparkdata/data/audit_uploads/example.conf
+  echo example.conf included.  The location of the conf file should be relative to the docker container, not the host
+  echo
+  echo Options are as follows:
+  echo "     -d|--date YYYYMMDD              Example is 20180731"
+  echo "  Help: "
+  echo "     -h|--help                       Display this message."
+  echo
+  exit 1
+}
+
+DATE=$(date +%Y%m%d)
+ORIG_DIR=$(pwd)
+ERROR_LEVEL="0"
+
+while getopts "d:h" option; do
+    case $option in
+        d) DATE=$OPTARG ;;
+        h) help_and_exit;;
+        \?) echo "Invalid option: -$OPTARG" >&2;
+        exit 1;;
+    esac
+done
+
+shift $((OPTIND-1))
+
+CONFIG_FILE=$1
+
+declare -A conf_vars; while read line; do conf_vars[${line%=*}]=${line#*=}; done <$CONFIG_FILE
+
+SESSION_ID=${conf_vars[session_id]}
+FCM=${conf_vars[fcm]}
+CLIENT=${conf_vars[client]}
+
+cd /sparkbin/data_files
+
+for SESSION in $(ls /sparkdata/data/ilink3/); do
+   if [[ $SESSION == *$SESSION_ID* ]]; then
+      echo "Session is $SESSION"
+      SESSION_DAY=$(date +%Y-%m-%d)
+      if [[ $SESSION == "cme_"* ]]; then 
+         SESSION_DAY=$(date -d "$DATE -$(date -d $DATE +%u) days" +"%Y-%m-%d")
+         AUDIT_SCRIPT="audit_ilink3.py"
+      fi
+      echo $SESSION_DAY
+      if [[ ! -d  /sparkdata/data/ilink3/$SESSION/audit_logs ]]; then
+         mkdir -p /sparkdata/data/ilink3/$SESSION/audit_logs
+      fi
+      if [[ -d /sparkdata/data/ilink3/$SESSION/$SESSION_DAY ]]; then
+         echo "Starting the creation of the audit log" 
+         python $AUDIT_SCRIPT -d $DATE /sparkdata/data/ilink3/$SESSION/$SESSION_DAY/log /sparkdata/data/ilink3/$SESSION/audit_logs/"$FCM"_audit_"$SESSION"_"$DATE".csv
+      fi
+      if [[ ! -d /sparkdata/data/md_audit ]]; then
+         mkdir /sparkdata/data/md_audit
+      fi
+      if [[ -d /sparkdata/data/md_audit ]]; then
+         # Running the MD Audit csv generation
+         cd /sparkbin
+         ./sparkd adminreport md > /sparkdata/data/md_audit/"$FCM"_md_"$CLIENT"_"$DATE".csv
+         cd /sparkbin/data_files
+      fi
+      echo "Uploading to the (s)FTP Server"
+      python audit_uploader.py --config_file="$CONFIG_FILE" --datestamp $DATE --session="$SESSION" --client="$CLIENT" --fcm="$FCM" 
+   fi 
+done

src/data_files/files/audit_uploader.py

@@ -0,0 +1,150 @@
+import getopt, sys, datetime
+import paramiko, ftplib
+
+#########################################################
+#                  Commandline Args                     #
+#########################################################
+
+def usage():
+    print "-------------------------------------------------------"
+    print "-Usage:                                               -"
+    print "-------------------------------------------------------"
+    print "-    --config_file= : Path to upload config file      -"
+    print "-                      -if no path is specified look  -"
+    print "-                       in the working directory.     -"    
+    print "-                                                     -"
+    print "-    --help         : Print this message              -"
+    print "-                                                     -"
+    print "-    --datestamp=   : Optional, defaults to today     -"
+    print "-                       -replaces *datestamp in the   -"
+    print "-                        the upload config file       -"
+    print "-                                                     -"
+    print "-    --fcm          : Optional, spark input           -"
+    print "-                                                     -"
+    print "-    --session      : Optional, spark jf session      -"
+    print "-------------------------------------------------------"
+
+fcm = ''
+session = ''
+
+try:
+   options, arguments = getopt.getopt(sys.argv[1:],"h",['config_file=', 'datestamp=', 'help', 'fcm=', 'client=', 'session='])
+except getopt.GetoptError, err:
+    print str(err)
+    usage()
+    sys.exit(2)
+
+for option, value in options:
+    if option in ("-h","--h","-help","--help"):
+        usage()
+        sys.exit()
+    elif option in ("-config_file","--config_file"):
+        config_file = value
+    elif option in ("-datestamp","--datestamp"):
+        datestamp = value
+    elif option in ("-fcm","--fcm"):
+        fcm = value
+    elif option in ("-client","--client"):
+        client = value
+    elif option in ("-session","--session"):
+        session = value
+
+for argument in arguments:
+    if argument in ("h", "help"):
+        usage()
+        sys.exit()
+    else:
+        print "Unrecognized commandline argument. Type help for usage."
+        sys.exit()
+
+if len(options) <= 0:
+    print "Requires a config file to run."
+    usage()
+    sys.exit()
+
+
+#########################################################
+#              Read Config Function                     #
+#########################################################
+
+def read_config_file(config_file, datestamp=datetime.datetime.today().strftime('%Y%m%d'), fcm=fcm, session=session):
+        '''
+        Parse our config file that gets passed in as a commandline parameter.
+        All config keys must be of the form key=value. White space is ignored.
+        All config keys must be seperated by a newline character.
+        Called during initialization.
+        '''
+        upload_config = {}
+        config_file = open(config_file, 'r')        
+        config_file = config_file.read()
+        for config in config_file.split("\n"):
+            if '=' in config:
+                cleaned_key = config.split('=')[0].strip().upper()
+                cleaned_value = config.split('=')[1].strip()
+                if '*datestamp*' in cleaned_value:
+                    cleaned_value = cleaned_value.replace('*datestamp*',datestamp)
+                if '*fcm*' in cleaned_value:
+                    cleaned_value = cleaned_value.replace('*fcm*',fcm)
+                if '*client*' in cleaned_value:
+                    cleaned_value = cleaned_value.replace('*client*',client)
+                if '*session*' in cleaned_value:
+                    cleaned_value = cleaned_value.replace('*session*',session)                    
+                upload_config[cleaned_key] = cleaned_value
+            else:
+                pass
+        return upload_config   
+
+#########################################################
+#             FTP File Transfer Function                #
+#########################################################
+def putfile_ftp(file, put_path, site, user, password, port=21, verbose=True):
+    if verbose: print 'Uploading', file
+    local = open(file, 'rb')    
+    remote = ftplib.FTP(site)   
+    remote.login(user, password)         
+    remote.storbinary(put_path, local, 1024)
+    remote.quit()
+    local.close()
+    if verbose: print 'Upload done.'
+
+#########################################################
+#            SFTP File Transfer Function                #
+#########################################################
+def putfile_sftp(file, put_path, site, username, password, port=22, verbose=True):
+    transport = paramiko.Transport((site, port))
+    transport.connect(username = username, password = password)
+    sftp = paramiko.SFTPClient.from_transport(transport)
+    sftp.put(file, put_path)
+    sftp.close()
+    transport.close()
+
+
+#########################################################
+#                       Main                            #
+#########################################################
+#if datestamp != None:
+#    upload_config = read_config_file(config_file, datestamp)
+#else:
+#    upload_config = read_config_file(config_file)
+
+try:
+    datestamp
+except NameError:
+    upload_config = read_config_file(config_file)
+else:
+    upload_config = read_config_file(config_file, datestamp)
+
+
+
+print upload_config
+
+if upload_config["PROTOCOL_PUT"] in ['FTP','ftp']:
+    print "Protocol = FTP"
+    putfile_ftp(upload_config["GET_ILINK3_FILE_PATH"] + upload_config["GET_ILINK3_FILE_NAME"], upload_config["PUT_ILINK3_FILE_PATH"] + upload_config["PUT_ILINK3_FILE_NAME"], upload_config["PUT_HOST"], upload_config["USERNAME_PUT"], upload_config["PASSWORD_PUT"], upload_config["PORT_PUT"] )
+    putfile_ftp(upload_config["GET_MD_FILE_PATH"] + upload_config["GET_MD_FILE_NAME"], upload_config["PUT_MD_FILE_PATH"] + upload_config["PUT_MD_FILE_NAME"], upload_config["PUT_HOST"], upload_config["USERNAME_PUT"], upload_config["PASSWORD_PUT"], upload_config["PORT_PUT"] )
+elif upload_config["PROTOCOL_PUT"] in ['SFTP','sftp']:
+    print "Protocol = SFTP"
+    putfile_sftp(upload_config["GET_ILINK3_FILE_PATH"] + upload_config["GET_ILINK3_FILE_NAME"], upload_config["PUT_ILINK3_FILE_PATH"] + upload_config["PUT_ILINK3_FILE_NAME"], upload_config["PUT_HOST"], upload_config["USERNAME_PUT"], upload_config["PASSWORD_PUT"], int(upload_config["PORT_PUT"]) )
+    putfile_sftp(upload_config["GET_MD_FILE_PATH"] + upload_config["GET_MD_FILE_NAME"], upload_config["PUT_MD_FILE_PATH"] + upload_config["PUT_MD_FILE_NAME"], upload_config["PUT_HOST"], upload_config["USERNAME_PUT"], upload_config["PASSWORD_PUT"], int(upload_config["PORT_PUT"]) )
+
+

src/data_files/files/cert_secure_logon.txt

@@ -1,12 +1,19 @@
-Session ID           Access ID                      Secret Key                                         Creation Date        Expiration Date      Environment          
-
-M4D                  lLtjH74y1Kh5XUJTLyH2           f1K_tROQp2lTIplVp34WxKa7xDUgfFnIteolfik061o        2019-09-03           2020-09-03           CERT                 
-
-MC1                  VEMlkDuLz74OVHSuacQB           IuHyYT3b-9KUo3WsuXykt-fXsjzp7L-JOrdCSQZLNl0        2019-09-03           2020-09-03           CERT                 
-
-MC5                  77lzSUwPLlM9obaXh2mK           z6aA9qfASDKfZkYTVKFqJd-78i0HZ2Q9ec3CKCYIqHg        2019-09-03           2020-09-03           CERT                 
-
-MC7                  RphzI3rn71oGUEiYnX9e           y6OvvPPyoyj2S8YAnE1gFduXT8v29HIMjO5EngYxSNg        2019-09-03           2020-09-03           CERT                 
-
-MC8                  PYBIm2TI9gFPIxmHbuYl           6o-ZolGH2DdeQOlGtJ5Zqoh_kg7VdbxkmjeOHmigKwU        2019-09-03           2020-09-03           CERT                 
-
+Session ID           Access ID                      Secret Key                                         Creation Date        Expiration Date      Environment          
+
+M4D                  lLtjH74y1Kh5XUJTLyH2           f1K_tROQp2lTIplVp34WxKa7xDUgfFnIteolfik061o        2019-09-03           2020-09-03           CERT                 
+
+MC1                  VEMlkDuLz74OVHSuacQB           IuHyYT3b-9KUo3WsuXykt-fXsjzp7L-JOrdCSQZLNl0        2019-09-03           2020-09-03           CERT                 
+
+MC5                  77lzSUwPLlM9obaXh2mK           z6aA9qfASDKfZkYTVKFqJd-78i0HZ2Q9ec3CKCYIqHg        2019-09-03           2020-09-03           CERT                 
+
+MC7                  RphzI3rn71oGUEiYnX9e           y6OvvPPyoyj2S8YAnE1gFduXT8v29HIMjO5EngYxSNg        2019-09-03           2020-09-03           CERT                 
+
+MC8                  PYBIm2TI9gFPIxmHbuYl           6o-ZolGH2DdeQOlGtJ5Zqoh_kg7VdbxkmjeOHmigKwU        2019-09-03           2020-09-03           CERT                 
+
+NGG                  RYcigz3bSLIIBBF2A2Hq           qB1dm9VkTKeXcdQpFzla8B3_jwTgya_-Fk5iyEJvr2E        2020-06-15           2021-06-15           NEWRELEASE           
+
+NGF                  o4OTmmTLQ7Lv4g6bCm26           HbD3FneMyb9Fu-FkCDLscCczHqFcFE2PyWv978RXGyA        2019-12-20           2020-12-20           NEWRELEASE           
+
+UZE                  EeFdZ1FPepk6U4k3xBZA           2LjEtdLvBLLB1QuDJ4KiJW6M4dF6IHWd_UKmo7p3_Us        2020-06-24           2021-06-24           NEWRELEASE           
+
+VAE                  Y8iqatTewuoHX16gghw8           FNcCB3Ks1qleS56quYzH4V7zAu78YY2bCdLRi9tmU9E        2020-06-24           2021-06-24           NEWRELEASE           

src/data_files/files/example.conf

@@ -0,0 +1,16 @@
+fcm=FCM
+client=NAME
+session_id=ses
+put_host=ftpc.example.com
+port_put=2222
+username_put=user
+password_put=password
+protocol_put=sftp
+get_ilink3_file_path=/sparkdata/data/ilink3/*session*/audit_logs/
+put_ilink3_file_path=/
+get_ilink3_file_name=*fcm*_audit_*session*_*datestamp*.csv
+put_ilink3_file_name=*fcm*_audit_*session*_*datestamp*.csv
+get_md_file_path=/sparkdata/data/md_audit/
+put_md_file_path=/
+get_md_file_name=*fcm*_md_*client*_*datestamp*.csv
+put_md_file_name=*fcm*_md_*client*_*datestamp*.csv

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/AlgoTypes.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.cLine truncated

src/lib/CMakeDeps_win.cmake

@@ -1 +1 @@
-set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/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;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;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/AuthSessionManager.cpp;utils/AuthToken.cLine 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/AlgoTypes.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;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;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/AuthSessioLine truncated

src/lib/api/service_compiler/plugin.py

@@ -319,7 +319,7 @@ if __name__ == "__main__":
 
     if DEBUG: 
         for f in response.file:
-            print f.content
+            print (f.content)
     else:
         output = response.SerializeToString()
         sys.stdout.write(output)

src/lib/api/service_helpers/AdminServiceUtils.cpp

@@ -580,7 +580,9 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(const bt
      rv.set_session(conn_ptr->name());
      rv.set_operator_id(cme_user_data->operator_id());
      rv.set_location(cme_user_data->location());
+
      rv.set_smp_id(cme_user_data->smp_id());
+
      if (cme_user_data->smp_instruction()== "O")
         rv.set_smp_instruction(api::orderman::SelfMatchPreventionInstruction::SELF_MATCH_PREVENTION_INSTRUCTION_CANCEL_RESTING);
      else if (cme_user_data->smp_instruction()== "N")

src/lib/api/service_helpers/PositionUtilities.cpp

@@ -80,6 +80,10 @@ void PositionUtilities::apply_fill (PositionEntry& pos,
 void PositionUtilities::apply_fill (PositionEntry& pos,
                                     const Fill& f,
                                     bool is_add){
+   // strip legs are not applied to positions
+   if(f.fill_kind() == Fill::FILL_KIND_STRIP_LEG ||
+      f.fill_kind() == Fill::FILL_KIND_SOD_STRIP_LEG)
+      return;
    PositionUtilities::apply_fill(pos,
                                  f.side(),
                                  f.last_price(),

src/lib/api/services/OrderService.proto

@@ -331,6 +331,9 @@ message Fill {
     FILL_KIND_STANDARD = 0;
     FILL_KIND_LEG = 1;
     FILL_KIND_SOD = 2;
+    FILL_KIND_STRIP_LEG = 3;
+    FILL_KIND_SOD_SPREAD_LEG = 4;
+    FILL_KIND_SOD_STRIP_LEG = 5;
   }
   FillKind fill_kind = 10;
   
@@ -383,7 +386,9 @@ message NativeOrderState {
   RoutingRecord routing_record = 5;
   NativeOrderType native_type = 6;
   string last_transact_time = 7;
+  uint64 last_transact_time_unix_ns = 9;
   double stop_px = 8;
+  uint64 exchange_order_id_u64 = 10;
 }
 
 // Custom order states
@@ -452,7 +457,8 @@ enum TimeInForce {
   TIME_IN_FORCE_UNDEFINED = 0;
   TIME_IN_FORCE_DAY = 48;
   TIME_IN_FORCE_GTC = 49;
-  TIME_IN_FORCE_IOC = 51;
+  TIME_IN_FORCE_IOC = 51; // FAK
+  TIME_IN_FORCE_DATE = 52;
 }
 
 enum ManualOrderIndicator {

src/lib/api/services/PositionService.proto

@@ -43,7 +43,8 @@ message PositionUnit{
 message PNLUnit{
    int32 record_id = 1 [(bts.api.key)=true];
    PositionUnit pos = 10;
-   double cash_value = 20;   
+   double cash_value = 20;
+   CppOverride cpp_override = 21;
    double bid_price = 30;
    double ask_price = 40;
    double last_price = 50;

src/lib/config/defaults/MarketData.conf

@@ -45,6 +45,12 @@ CMEOptions {
     }
 }
 
+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 

src/lib/config/protos/AlgoTypes.proto

@@ -0,0 +1,22 @@
+syntax='proto2';
+package bts.config;
+
+message AlgoTypeContext {
+   repeated string exchanges = 1;
+   repeated string symbols = 2;
+   repeated string security_types = 3;
+}
+
+message AlgoTypeDef {
+   optional string name = 1;
+   optional bool is_attachable = 2 [default = false];
+}
+
+message AlgoTypeRule {
+   optional AlgoTypeContext context = 1;
+   repeated AlgoTypeDef algos = 2; 
+}
+
+message AlgoTypeRuleSet {
+   repeated AlgoTypeRule rules = 1; 
+}

src/lib/config/protos/MarketData.proto

@@ -103,6 +103,7 @@ message CMEOptions
       // Defines amount of time Feed Engine keeps cycling before going to sleep when no useful activity can be done
       optional uint32 spin_time = 4 [default = 1];
       optional uint32 channels_per_thread = 5 [default = 3];
+      // rmem_max
       optional uint32 udp_socket_buffer_size = 11 [default = 268435456]; //256mb
    }
    message CMEChannel {
@@ -110,9 +111,13 @@ message CMEOptions
       optional string feed_engine = 3 [default = "default"];
 
 
+      // for re-orders
       optional uint32 max_gap_recovery_cache_size = 11 [default = 6];
+      // for re-orders
       optional uint32 lost_packet_wait_timeout_ms = 12 [default = 10];
+      
       optional OnixSLogMode onixs_log_mode = 13 [default = Important];
+      // If using both feeds prefer the B feed for snapshots
       optional bool prefer_backup_feeds = 15 [default = false];
 
       optional bool use_tcp_replay = 20 [default = true];