added bts.api.csharp launchSettings.json to .gitignore

.gitignore

@@ -18,6 +18,7 @@ src/client/spark/Properties/launchSettings.json
 compile_commands.json
 .cquery_cached_index/
 src/client/sparkcmd/Properties/launchSettings.json
+src/sdk/examples/client_sdk/bts.api.csharp/src/Properties/launchSettings.json
 node_modules
 paket-files
 project.lock.json

CMakeLists.txt

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

@@ -87,15 +87,6 @@ namespace mbts.spark {
       public static bool operator !=(LadderColumnSettings x, LadderColumnSettings y) => !(x == y);
    }
 
-   [ProtoContract]
-   class LadderOrderLimits : IEquatable<LadderOrderLimits> {
-      [ProtoMember(1)]
-      public ToggleInt32Proto max_settlement_cross_ticks { get; set; }
-
-      public bool Equals(LadderOrderLimits other) =>
-         other != null && max_settlement_cross_ticks == other.max_settlement_cross_ticks;
-   }
-
    [ProtoContract]
    class HistogramBarAnimation : IEquatable<HistogramBarAnimation> {
       // this class is 100% mutable (there are literally 0 readonly members),
@@ -323,8 +314,6 @@ namespace mbts.spark {
    // Settings are liable to change in the near future, so an internal IEqualityComparer simply won't do as it risks becoming out of date.
    [ProtoContract]
    class LadderSettings : IEquatable<LadderSettings> {
-      // RESERVED ProtoMember indices
-      //    900-999: dj settings
       const double _default_order_entry_panel_width = 110.0;
       const double _default_zoom_factor = 1.0;
       const bool _default_show_warn_on_cross = true;
@@ -603,9 +592,6 @@ namespace mbts.spark {
       [ProtoMember(61), DefaultValue(true)]
       public bool status_message_visible { get; set; }
 
-      [ProtoMember(900)]
-      public LadderOrderLimits ladder_order_limits { get; set; }
-
       public void sanitize() =>
          sanitize(this);
 
@@ -711,8 +697,7 @@ namespace mbts.spark {
          a.enforce_max_clip == b.enforce_max_clip &&
          a.max_clip == b.max_clip &&
          a.price_display_format == b.price_display_format &&
-         a.status_message_visible == b.status_message_visible &&
-         a.ladder_order_limits.safe_equals(b.ladder_order_limits);
+         a.status_message_visible == b.status_message_visible;
 
       public bool Equals(LadderSettings other) =>
          profile_equals(this, other) &&

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

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

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

@@ -3,7 +3,6 @@ using bts.api;
 using bts.api.orderman;
 using bts.collections;
 using bts.persist.algo;
-using bts.proto;
 using bts.shell.orderbook;
 using bts.utils;
 using mbts.collections;
@@ -45,8 +44,7 @@ namespace mbts.spark {
       LadderSettings.NetChangeTerms _price_format;
       LadderSettings.PriceDisplayFormat _price_display_format;
       double _order_entry_panel_width, _zoom_factor;
-      bool _auto_clear, _show_warn_on_cross, _enforce_max_clip, _enforce_max_settlement_cross_ticks;
-      int _max_settlement_cross_ticks;
+      bool _auto_clear, _show_warn_on_cross, _enforce_max_clip;
       LadderSettings _current;
       LadderColumnSettingsVM
          _orders = new OrdersColumnSettingsVM(),
@@ -192,8 +190,6 @@ namespace mbts.spark {
       public bool show_warn_on_cross { get => _show_warn_on_cross; set => Set(ref _show_warn_on_cross, value); }
       public bool enforce_max_clip { get => _enforce_max_clip; set => Set(ref _enforce_max_clip, value); }
       public uint max_clip { get => _max_clip.Value; set => _max_clip.Value = value; }
-      public bool enforce_max_settlement_cross_ticks { get => _enforce_max_settlement_cross_ticks; set => Set(ref _enforce_max_settlement_cross_ticks, value); }
-      public int max_settlement_cross_ticks { get => _max_settlement_cross_ticks; set => Set(ref _max_settlement_cross_ticks, value); }
 
       // favorites
       public FavoriteAlgosVM favorite_algos_vm { get; }
@@ -374,10 +370,6 @@ namespace mbts.spark {
             show_warn_on_cross = settings.show_warn_on_cross;
             enforce_max_clip = settings.enforce_max_clip;
             max_clip = settings.max_clip;
-            if (settings.ladder_order_limits != null) {
-               enforce_max_settlement_cross_ticks = settings.ladder_order_limits.max_settlement_cross_ticks.is_enabled;
-               max_settlement_cross_ticks = settings.ladder_order_limits.max_settlement_cross_ticks.value;
-            }
          }
       }
 
@@ -456,10 +448,6 @@ namespace mbts.spark {
          clone.show_warn_on_cross = show_warn_on_cross;
          clone.enforce_max_clip = enforce_max_clip;
          clone.max_clip = max_clip;
-         if (clone.ladder_order_limits == null)
-            clone.ladder_order_limits = new LadderOrderLimits();
-         clone.ladder_order_limits.max_settlement_cross_ticks =
-            new ToggleInt32Proto(max_settlement_cross_ticks, enforce_max_settlement_cross_ticks);
          return clone;
       }
 

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

@@ -1,6 +1,6 @@
 using bts.api;
 using bts.api.orderman;
-using bts.proto;
+using bts.collections;
 using bts.shell;
 using bts.spark;
 using bts.utils;
@@ -8,7 +8,6 @@ using mbts.co2;
 using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.shell;
-using mbts.ui.spark;
 using mbts.utils;
 using System;
 using System.Collections.Generic;
@@ -67,8 +66,6 @@ namespace mbts.spark {
          current_settings = init;
          this.settings = settings;
          _equality = TickUtils.tick_equality_comparer(_model.security.ContractSpec);
-         display_quantity_divisor = model.order_gateway.security_auxiliary_model.get_display_quantity_divisor(model.security);
-         size_calculator.display_divisor = display_quantity_divisor;
          _slot_price_vs_orders = new Dictionary<double, LadderOrderVM>(_equality);
          this.order_properties_vm = order_properties_vm;
          _high = backing(nameof(high), double.NaN);
@@ -295,7 +292,6 @@ namespace mbts.spark {
          remove => _on_disposed_impl -= value;
       }
       public SecurityImmutable security => _model.security;
-      public uint display_quantity_divisor { get; }
       public LadderSettings current_settings { get; private set; }
       public double high => _high.Value;
       public double low => _low.Value;
@@ -373,14 +369,14 @@ namespace mbts.spark {
          get {
             string rv = null;
             if (show_day_position)
-               rv = SparkUtils.fmt_position(day_position / display_quantity_divisor);
+               rv = SparkUtils.fmt_position(day_position);
             if (show_raw_day_position) {
-               var raw_day_text = SparkUtils.fmt_position(raw_day_position / display_quantity_divisor);
+               var raw_day_text = SparkUtils.fmt_position(raw_day_position);
                rv = rv == null ? raw_day_text : $"{rv} / {raw_day_text}";
             }
             if (show_account_position) {
-               var acc_text = SparkUtils.fmt_position(position / display_quantity_divisor);
-               rv = rv == null ? acc_text : $"{rv} ({acc_text})";
+               var acc_text = SparkUtils.fmt_position(position);
+               rv = rv == null ? SparkUtils.fmt_position(position) : $"{rv} ({acc_text})";
             }
             return rv ?? "";
          }
@@ -490,10 +486,6 @@ namespace mbts.spark {
       }
 
       public async Task send_order_async(Side side, uint size, double price) {
-         if (!_validate_price(side, price, out var invalid_price_msg)) {
-            status_update(new Activity { security = security, message = invalid_price_msg, category = ActivityLogCategory.order });
-            return;
-         }
          var order = order_properties_vm.create(side);
          if (order.CustomDef != null) {
             if (order.CustomDef.Stop != null) {
@@ -525,23 +517,6 @@ namespace mbts.spark {
          }
       }
 
-      bool _validate_price(Side side, double price, out string msg) {
-         msg = null;
-         if (!price.is_real()) {
-            msg = "not a real number";
-         } else if (settlement.is_real()) {
-            var ticks_from_settle = security.ContractSpec.tickdiff(price, settlement);
-            if (ticks_from_settle.HasValue) {
-               var max_cross = (current_settings?.ladder_order_limits?.max_settlement_cross_ticks)?.as_nullable();
-               if (max_cross.HasValue) {
-                  if (side == Side.Sell ? ticks_from_settle < (-1 * max_cross.Value) : ticks_from_settle > max_cross.Value)
-                     msg = $"exceeds settle cross ticks limit ({ticks_from_settle.Value})";
-               }
-            }
-         }
-         return msg == null;
-      }
-
       void _update_header() {
          bool last_updated = md.get_last_trade(ref _last_trade_time, out NativePriceSize last, out DateTime time, out ulong volume);
          if (_misc_time != _model.md.misc_timestamp || last_updated) {

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

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

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

@@ -66,8 +66,7 @@ namespace mbts.spark {
       double _last_origin_price;
       MarketBreakLines _mkt_break_lines;
       NativePriceSize _last_trade;
-      Func<NativePriceSize, string> _fmt_mkt_depth_item_impl = MDDisplayHelper.get_formatter_nps(MarketSizeDisplay.get_default());
-      Func<uint, string> _fmt_mkt_quantity_impl = v => v.ToString();
+      Func<NativePriceSize, string> _fmt_size = MDDisplayHelper.get_formatter_nps(MarketSizeDisplay.get_default());
       int _old_tooltip_row = int.MaxValue;
       NativePriceSize? _old_last_trade;
       string _direction_arrow = string.Empty;
@@ -469,7 +468,7 @@ namespace mbts.spark {
             security_id: _vm.model.security.Id,
             price_level: price_for_point(point)
          );
-         var model = new MBOPopupModel(_vm.model.mbo_service, _vm.model.security, query, fmt_mbo_qty);
+         var model = new MBOPopupModel(_vm.model.mbo_service, _vm.model.security, query);
          // Load the first set of orders so we know if there are any before showing the popup
          var result = await model.load_orders();
          if (result.success && result.value.orders.Count > 0) {
@@ -490,8 +489,6 @@ namespace mbts.spark {
             };
             view.RequestClose += (o, _) => popup.IsOpen = false;
          }
-         string fmt_mbo_qty(int value) =>
-            value < 0 ? $"-{_fmt_mkt_quantity((uint)value)}" : _fmt_mkt_quantity((uint)value);
       }
 
       protected override void OnMouseDoubleClick(MouseButtonEventArgs e) {
@@ -659,7 +656,7 @@ namespace mbts.spark {
             }
             void render_market_col(NativePriceSize[] depth) {
                var mid = LadderRender.index_of(_price_list, _last_origin_price, _price_comparer);
-               LadderRender.render_sizes(column.visual_tup.visual, column.visual_tup.glyph_context, mid, _price_list, depth, _settings.row_height, security.ContractSpec, column.settings, _fmt_mkt_depth_item);
+               LadderRender.render_sizes(column.visual_tup.visual, column.visual_tup.glyph_context, mid, _price_list, depth, _settings.row_height, security.ContractSpec, column.settings, _fmt_size);
             }
          }
          _apply_column_visual_offset();
@@ -737,7 +734,7 @@ namespace mbts.spark {
                   _hide_tool_tip();
                }
 
-               tooltip_view.Content = _fmt_mkt_quantity(volume);
+               tooltip_view.Content = $"{volume}";
                tooltip_view.IsOpen = true;
                this.ToolTip = tooltip_view;
             } else {
@@ -853,7 +850,7 @@ namespace mbts.spark {
                if (last_trade_changed) {
                   var last_index = LadderRender.index_of(_price_list, _last_trade.price, _price_comparer);
                   if (last_index > 0)
-                     LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column, _fmt_mkt_quantity);
+                     LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column);
                }
                if (depth_changed)
                   _refresh_sizes();
@@ -895,21 +892,21 @@ namespace mbts.spark {
       void _refresh_last_trade() {
          var last_index = LadderRender.index_of(_price_list, _last_trade.price, _price_comparer);
          if (last_index > 0)
-            LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column, _fmt_mkt_quantity);
+            LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column);
       }
 
       void _refresh_piq() {
          if (!_settings.piq_column.show)
             return;
          int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
-         LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, origin_index, _price_list, _vm.price_vs_piq, _settings.row_height, security.ContractSpec, _settings.piq_column, _fmt_mkt_quantity);
+         LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, origin_index, _price_list, _vm.price_vs_piq, _settings.row_height, security.ContractSpec, _settings.piq_column);
       }
 
       void _refresh_sizes() {
          Log.assert_d(_price_list != null);
          int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
-         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, _bids, _settings.row_height, security.ContractSpec, _settings.bid_column, _fmt_mkt_depth_item);
-         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, _asks, _settings.row_height, security.ContractSpec, _settings.ask_column, _fmt_mkt_depth_item);
+         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, _bids, _settings.row_height, security.ContractSpec, _settings.bid_column, _fmt_size);
+         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, _asks, _settings.row_height, security.ContractSpec, _settings.ask_column, _fmt_size);
       }
 
       /// <summary>
@@ -931,17 +928,7 @@ namespace mbts.spark {
          if (vapls != null) {
             Log.assert_d(_price_list != null);
             var last_index = LadderRender.index_of(_price_list, _last_trade.price, _price_comparer);
-            LadderRender.render_volumes(
-               _volume_vis_tup.visual,
-               _volume_vis_tup.glyph_context,
-               _price_list,
-               vapls,
-               _settings.row_height,
-               security.ContractSpec,
-               _settings.volume_column,
-               last_index,
-               _get_last_arrow_string(),
-               _fmt_mkt_quantity);
+            LadderRender.render_volumes(_volume_vis_tup.visual, _volume_vis_tup.glyph_context, _price_list, vapls, _settings.row_height, security.ContractSpec, _settings.volume_column, last_index, _get_last_arrow_string());
             _old_last_trade = _last_trade;
          }
 
@@ -964,7 +951,7 @@ namespace mbts.spark {
             } 
             // regardless of if we've arrived here via a new Last (and new direction arrow)
             // or we're reusing the old one, this format bit is the same
-            return $"{_direction_arrow} {_fmt_mkt_quantity(_last_trade.size)} ";
+            return $"{_direction_arrow} {_last_trade.size} ";
          }
       }
 
@@ -1069,7 +1056,7 @@ namespace mbts.spark {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
          return double.IsNaN(best_bid) ?
-            double.IsNaN(best_ask) ? _vm.settlement : security.ContractSpec.tickdown(best_ask) :
+            double.IsNaN(best_ask) ? _vm.low : security.ContractSpec.tickdown(best_ask) :
             best_bid;
       }
 
@@ -1077,7 +1064,7 @@ namespace mbts.spark {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
          return double.IsNaN(best_ask) ?
-            double.IsNaN(best_bid) ? _vm.settlement : best_bid :
+            double.IsNaN(best_bid) ? security.ContractSpec.tickdown(_vm.high) : best_bid :
             security.ContractSpec.tickdown(best_ask);
       }
 
@@ -1085,7 +1072,7 @@ namespace mbts.spark {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
          return double.IsNaN(best_bid) ?
-            double.IsNaN(best_ask) ? _vm.settlement : security.ContractSpec.tickdown(best_ask) :
+            double.IsNaN(best_ask) ? 0.5 * (_vm.low + _vm.high) : security.ContractSpec.tickdown(best_ask) :
             double.IsNaN(best_ask) ? best_bid : TickUtils.mid_tick(security.ContractSpec, best_bid, best_ask);
       }
 
@@ -1122,9 +1109,7 @@ namespace mbts.spark {
          GlyphContext glyph_context(LadderColumnSettings cs) =>
             GlyphContext.create(cs.font_family, cs.font_weight);
 
-         var mkt_qty_display_divisor = _vm?.display_quantity_divisor ?? 1;
-         _fmt_mkt_depth_item_impl = MDDisplayHelper.get_formatter_nps(_settings.size_display, mkt_qty_display_divisor);
-         _fmt_mkt_quantity_impl = MDDisplayHelper.get_value_formatter(mkt_qty_display_divisor);
+         _fmt_size = MDDisplayHelper.get_formatter_nps(_settings.size_display);
          _set_columns();
          _apply_column_visual_offset();
          if (prev_row_height != _settings.row_height)
@@ -1173,22 +1158,6 @@ namespace mbts.spark {
          }
          visible_columns_changed?.Invoke();
       }
-
-      // This is designed to be a redundant null check for _fmt_mkt_depth_item_impl.
-      string _fmt_mkt_depth_item(NativePriceSize value) {
-         // Assign the impl delegate to a local variable, just in case it is reassigned on another thread.
-         // This shouldn't happen, but better to avoid the potential null ref just in case it does. Expect the unexpected.
-         var impl = _fmt_mkt_depth_item_impl;
-         return impl is null ? MDDisplayHelper.get_formatter_nps(MarketSizeDisplay.get_default())?.ToString() ?? "Error" : impl(value);
-      }
-
-      // This is designed to be a redundant null check for _fmt_mkt_quantity_impl.
-      string _fmt_mkt_quantity(uint value) {
-         // Assign the impl delegate to a local variable, just in case it is reassigned on another thread.
-         // This shouldn't happen, but better to avoid the potential null ref just in case it does. Expect the unexpected.
-         var impl = _fmt_mkt_quantity_impl;
-         return impl is null ? value.ToString() : impl(value);
-      }
  
       void _init_tactile_adorner() {
          Disposable.dispose(ref _tactile_adorner);

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

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

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

@@ -1019,47 +1019,45 @@
       <Grid HorizontalAlignment="Left" Margin="6">
         <Grid.RowDefinitions>
           <RowDefinition Height="Auto"/>
-          <RowDefinition Height="{Binding Source={StaticResource VerticalPush1}}"/>
           <RowDefinition Height="Auto" />
           <RowDefinition Height="{Binding Source={StaticResource VerticalPush1}}"/>
-          <RowDefinition Height="*"/>
+          <RowDefinition Height="Auto"/>
         </Grid.RowDefinitions>
         <Grid.ColumnDefinitions>
           <ColumnDefinition Width="Auto"/>
+          <ColumnDefinition Width="Auto"/>
+          <ColumnDefinition Width="50"/>
           <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush3}}"/>
           <ColumnDefinition Width="*"/>
         </Grid.ColumnDefinitions>
         <!-- market cross -->
-        <CheckBox Grid.Column="0" VerticalContentAlignment="Center" IsChecked="{Binding show_warn_on_cross}">
-          <TextBlock
-            Style="{StaticResource EnableDisableFeatureText}"
-            IsEnabled="{Binding show_warn_on_cross}"
-            Text="Warn on Market Cross"
-          />
+        <CheckBox Name="warn" Grid.Column="0" FlowDirection="RightToLeft" IsChecked="{Binding show_warn_on_cross}">
+          <CheckBox.Resources>
+            <Style TargetType="{x:Type Path}">
+              <Setter Property="FlowDirection" Value="LeftToRight"/>
+            </Style>
+          </CheckBox.Resources>
         </CheckBox>
+        <TextBlock Grid.Column="1"
+                   Style="{StaticResource EnableDisableFeatureText}"
+                   IsEnabled="{Binding ElementName=warn, Path=IsChecked}"
+                   Text="Warn on Market Cross" />
         <!-- max order qty -->
-        <CheckBox Grid.Row="2" Grid.Column="0" VerticalContentAlignment="Center" IsChecked="{Binding enforce_max_clip}">
-          <TextBlock
-            Style="{StaticResource EnableDisableFeatureText}"
-            IsEnabled="{Binding enforce_max_clip}"
-            Text="Max Order Quantity"
-          />
+        <CheckBox Name="enforce_max_clip" Grid.Row="1" Grid.Column="0" FlowDirection="RightToLeft" IsChecked="{Binding enforce_max_clip}">
+          <CheckBox.Resources>
+            <Style TargetType="{x:Type Path}">
+              <Setter Property="FlowDirection" Value="LeftToRight"/>
+            </Style>
+          </CheckBox.Resources>
         </CheckBox>
-        <c:TickUpDownUInt
-          Grid.Row="2"
-          Grid.Column="2"
-          IsEnabled="{Binding enforce_max_clip}"
-          Value="{Binding max_clip}"
-          Width="60"
-        />
-        <CheckBox Grid.Row="4" VerticalContentAlignment="Center" IsChecked="{Binding enforce_max_settlement_cross_ticks}">
-          <TextBlock
-            Style="{StaticResource EnableDisableFeatureText}"
-            IsEnabled="{Binding enforce_max_settlement_cross_ticks}"
-            Text="Max Ticks from Settlement"
-          />
-        </CheckBox>
-        <c:TickUpDownInt Grid.Row="4" Grid.Column="2" IsEnabled="{Binding enforce_max_settlement_cross_ticks}" Value="{Binding max_settlement_cross_ticks}"/>
+        <TextBlock Grid.Row="1" Grid.Column="1"
+                   Style="{StaticResource EnableDisableFeatureText}"
+                   IsEnabled="{Binding ElementName=enforce_max_clip, Path=IsChecked}"
+                   MinWidth="{Binding ElementName=warn, Path=ActualWidth}"
+                   Text="Max Order Quantity"/>
+        <c:TickUpDownUInt Grid.Row="1" Grid.Column="2"
+                          IsEnabled="{Binding ElementName=enforce_max_clip, Path=IsChecked}"
+                          Value="{Binding max_clip}" />
       </Grid>
     </TabItem>
     <TabItem Header="Mini Order Book">

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

src/client/spark/Orders/AlgoParamVM.cs

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

src/client/spark/Orders/ExistingOrderTicketVM.cs

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

src/client/spark/Orders/NewOrderTicketVM.cs

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

src/client/spark/Orders/OrderModificationControl.xaml

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

src/client/spark/Orders/OrderTicket.xaml

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

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

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

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

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

src/client/spark/Orders/OrderUtils.cs

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

src/client/spark/Orders/OrdersModel.cs

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

src/client/spark/Security/ISecurityAuxiliaryDataModel.cs

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

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

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

src/client/spark/core/data/Proto/ToggleInt32Proto.cs

@@ -1,34 +0,0 @@
-using ProtoBuf;
-using System;
-
-namespace bts.proto {
-   [ProtoContract]
-   readonly struct ToggleInt32Proto : IEquatable<ToggleInt32Proto> {
-      public ToggleInt32Proto(int value, bool is_enabled) {
-         this.value = value;
-         this.is_enabled = is_enabled;
-      }
-
-      [ProtoMember(1)]
-      public int value { get; }
-      [ProtoMember(2)]
-      public bool is_enabled { get; }
-
-      public bool Equals(ToggleInt32Proto other) =>
-         value == other.value && is_enabled == other.is_enabled;
-
-      public override bool Equals(object obj) =>
-         obj is ToggleInt32Proto other && Equals(other);
-
-      public override int GetHashCode() =>
-         (value % (1 << 31)) | (is_enabled ? 1 << 31 : 0);
-
-      public static bool operator ==(ToggleInt32Proto a, ToggleInt32Proto b) => a.Equals(b);
-      public static bool operator !=(ToggleInt32Proto a, ToggleInt32Proto b) => !a.Equals(b);
-   }
-
-   static class ToggleInt32ProtoExtensions {
-      public static int? as_nullable(this ToggleInt32Proto toggle) =>
-         toggle.is_enabled ? toggle.value : (int?)null;
-   }
-}

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

src/client/spark_api/security/SecurityFormatter.cs

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

src/client/spark_api/utils/MathUtils.cs

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

src/client/spark_core/utils/Delegates.cs

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

src/client/spark_core/utils/StringExtensions.cs

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

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

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

src/lib/api/services/PositionService.proto

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

src/lib/config/defaults/MarketData.conf

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

src/lib/config/protos/UI.proto

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

src/lib/config/protos/toggles.proto

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

src/lib/orderman/orders/GLBXNativeOrder.cpp

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

src/lib/orderman/orders/ICENativeOrder.cpp

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

src/sdk/examples/client_sdk/bts.api.csharp/src/bts.api.csharp.csproj

@@ -1,15 +1,18 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFrameworks>netcoreapp2.1;netcoreapp3.1</TargetFrameworks>
+    <TargetFrameworks>netcoreapp2.1</TargetFrameworks>
     <OutputType>Exe</OutputType>
+    <RuntimeIdentifier>win7-x64</RuntimeIdentifier>
   </PropertyGroup>
 
   <ItemGroup>
     <PackageReference Include="CommandLineParser" Version="2.8.0" />
+    <PackageReference Include="Newtonsoft.Json" Version="12.0.3" />
     <PackageReference Include="spark_sdk" Version="2.15.10" />
     <PackageReference Include="System.Reactive" Version="4.4.1" />
     <PackageReference Include="System.Reactive.Core" Version="4.4.1" />
+    <PackageReference Include="System.Reactive.Interfaces" Version="4.4.1" />
     <PackageReference Include="System.Reactive.Linq" Version="4.4.1" />
   </ItemGroup>
 </Project>

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/CLIOptions.cs

@@ -0,0 +1,68 @@
+using bts.api.orderman;
+using CommandLine;
+
+namespace bts.api.csharp {
+   [Verb("watch", HelpText = "List items in the system.")]
+   class WatchOptions {
+      [Option("accounts", Required = false, SetName = "Accounts", HelpText = "print accounts in the system.")]
+      public bool accounts { get; set; }
+
+      [Option("securities", Required = false, SetName = "Securities", HelpText = "print securities in the system (may be combined with --filter-symbols, or --filter-securities).")]
+      public bool securities { get; set; }
+
+      [Option("symbols", Required = false, SetName = "Symbols", HelpText = "print all symbols in the system (may not be combined with other options).")]
+      public bool symbols { get; set; }
+
+      [Option("bbo", Required = false, SetName = "Books", HelpText = "print bbo for an optionally filtered set of securities/symbols.")]
+      public bool bbo { get; set; }
+
+      [Option("orders", Required = false, SetName = "Orders", HelpText = "print orders in the system.")]
+      public bool orders { get; set; }
+
+      [Option("positions", Required = false, SetName = "Positions", HelpText = "print positions in the system (may be combined with --filter-symbols, --filter-securities, and --filter-accounts).")]
+      public bool positions { get; set; }
+
+      // auxiliary filters
+      [Option("filter-securities", Required = false, HelpText = "filter securities with a regular expression (may be combined with --securities, and --bbo).")]
+      public string filter_securities { get; set; }
+
+      [Option("filter-symbols", Required = false, HelpText = "filter securities for a particular set of symbols (may be combined with --securities, and --bbo).  Do not confuse with the --symbols option, which prints all symbols in the system.")]
+      public string filter_symbols { get; set; }
+
+      [Option("filter-accounts", Required = false, HelpText = "filter for a particular set of accounts.")]
+      public string filter_accounts { get; set; }
+   }
+
+   [Verb("send-order", HelpText = "Send orders.")]
+   class SendOrdersOptions {
+      // this option only applies to Iceberg orders
+      [Option("show-quantity", Required = false, SetName = "Iceberg")]
+      public double show_quantity { get; set; } = 5;
+
+      [Option("price", Required = false, HelpText = "specify the order price.")]
+      public double price { get; set; } = 100;
+
+      [Option("quantity", Required = false, HelpText = "specify the order quantity.")]
+      public uint quantity { get; set; } = 1;
+
+      [Option("account", Required = false, HelpText = "specify the account with which the order should be sent.")]
+      public string account { get; set; }
+
+      [Option("order-type", Required = false, HelpText = "specify the order type (limit, market, or iceberg).")]
+      public CustomOrderDefinition.CustomOneofCase order_type { get; private set; } = CustomOrderDefinition.CustomOneofCase.Limit;
+
+      /// Run the program with the argument <see cref="WatchOptions.securities"/> to display securities/security keys:
+      ///   - display all securities:
+      ///       bts.api.csharp.exe watch securities
+      ///   - display all 'ES' securities:
+      ///       bts.api.csharp.exe watch securities --symbols "ES"
+      ///   - display all 'ES' and 'GC' securities:
+      ///       bts.api.csharp.exe watch securities --symbols "ES,GC"
+      /// If no security key is specified, a random security is used.
+      [Option("security", Required = false, HelpText = "specify the order security by name, or id.")]
+      public string security { get; set; }
+
+      [Option("side", Required = false, HelpText = "specify the order side (buy/sell).")]
+      public Side side { get; set; } = Side.Buy;
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/Program.cs

@@ -1,74 +1,88 @@
-using bts.api.core;
-using bts.api.csharp.examples;
+using bts.api.admin;
+using bts.api.core;
+using bts.api.csharp.data;
+using bts.api.csharp.utils;
+using bts.api.csharp.watch;
 using bts.api.orderman;
 using bts.api.position;
 using CommandLine;
 using System;
-using System.Collections.Generic;
 using System.Threading;
 
 namespace bts.api.csharp {
    class Program {
-      static void Main(string[] args) =>
-         Parser.Default.ParseArguments<Options>(args).WithParsed(_run);
-
-      static void _run(Options options) {
-         var exit_event = new ManualResetEvent(false);
-         SynchronizationContext.SetSynchronizationContext(new SynchronizationContext());
-         var service_context = new ServiceContext();
-         var login = service_context.login("bts", "");
-         login.Wait();
-         var examples = new List<IDisposable>();
-         if (options.subscribe_securities ||! options.any_enabled) {
-            examples.Add(new SecurityExample(service_context.locate<MarketDataService>()));
-         }
-         if (options.subscribe_positions || !options.any_enabled) {
-            examples.Add(new PositionExample(service_context.locate<PositionService>()));
-         }
-         if (options.subscribe_orders || !options.any_enabled) {
-            examples.Add(new OrderExample(service_context.locate<OrderService>()));
-         }
-         if (options.subscribe_book || !options.any_enabled) {
-            examples.Add(new BookExample(service_context.locate<MarketDataService>()));
-         }
-         if (options.send_orders || !options.any_enabled) {
-            examples.Add(SendOrderLoop.init_loop(service_context.locate<OrderService>(), service_context.locate<MarketDataService>()));
-         }
-         Console.CancelKeyPress += on_cancel_key_press;
-         exit_event.WaitOne();
-         foreach (var ex in examples)
-            ex.Dispose();
-         //
-         void on_cancel_key_press(object sender, ConsoleCancelEventArgs e) {
-            exit_event.Set();
-            e.Cancel = true;
-         }
+      static void Main(string[] args) {
+         new Parser(cfg => cfg.CaseInsensitiveEnumValues = true)
+            .ParseArguments<WatchOptions, SendOrdersOptions>(args)
+            .MapResult(
+               _execution_shell<WatchOptions>(_watch),
+               _execution_shell<SendOrdersOptions>(_send_orders, true),
+               errors => 1);
       }
 
-      class Options {
-         [Option("subscribe-securities", Required = false, HelpText = "run security-subscription example.")]
-         public bool subscribe_securities { get; set; }
+      static Func<T, int> _execution_shell<T>(Func<ServiceContext, T, IDisposable> execute, bool auto_quit = false) {
+         return opts => {
+            var exit_event = new ManualResetEvent(auto_quit);
+            Console.CancelKeyPress += on_cancel_key_press;
+            var service_context = new ServiceContext();
+            service_context.login("bts", "").Wait();
+            execute(service_context, opts);
+            exit_event.WaitOne();
+            return 0;
+            //
+            void on_cancel_key_press(object sender, ConsoleCancelEventArgs e) {
+               exit_event.Set();
+               e.Cancel = true;
+            }
+         };
+      }
 
-         [Option("subscribe-orders", Required = false, HelpText = "run order-subscription example.")]
-         public bool subscribe_orders { get; set; }
+      static IDisposable _watch(ServiceContext service_context, WatchOptions options) {
+         if (options.accounts) {
+            // watch accounts
+            return WatchAccounts.run(service_context.locate<AdminService>());
+         } else if (options.securities) {
+            // watch securities
+            var security_predicate = CLIUtils.parse_security_predicate(options.filter_symbols, options.filter_securities);
+            return WatchSecurities.run(service_context.locate<MarketDataService>(), security_predicate);
+         } else if (options.bbo) {
+            // watch bbo
+            return WatchBooks.run(new bts.md.MarketDataClient(),
+               CLIUtils.parse_security_predicate(options.filter_symbols, options.filter_securities));
+         } else if (options.symbols) {
+            // watch symbols
+            return WatchSymbols.run(service_context.locate<MarketDataService>());
+         } else if (options.orders) {
+            // watch orders (optionally filtered by account)
+            var account_predicate = CLIUtils.parse_delimited_predicate<OrderRecordImmutable>(
+               options.filter_accounts, order => order.Def.Account);
+            return WatchOrders.run(service_context.locate<OrderService>(), account_predicate);
+         } else if (options.positions) {
+            // watch positions (optionally filtered by account)
+            var account_predicate = CLIUtils.parse_delimited_predicate<PositionUnitImmutable>(
+               options.filter_accounts, pos => pos.Account);
+            return WatchPositions.run(service_context.locate<PositionService>(), account_predicate);
+         }
+         return null;
+      }
 
-         [Option("subscribe-positions", Required = false, HelpText = "run position-subscription example.")]
-         public bool subscribe_positions { get; set; }
-
-         [Option("subscribe-books", Required = false, HelpText = "run book-subscription example.")]
-         public bool subscribe_book { get; set; }
-
-         [Option("send-orders", Required = false, HelpText = "run send-orders example.")]
-         public bool send_orders { get; set; }
-
-         // if none are enabled, all options will be flipped on,
-         // so the user need not specify a single argument to see the examples run.
-         public bool any_enabled =>
-            subscribe_securities ||
-            subscribe_orders ||
-            subscribe_positions ||
-            subscribe_book ||
-            send_orders;
+      static IDisposable _send_orders(ServiceContext service_context, SendOrdersOptions options) {
+         var custom_order_def = OrderUtils.custom_order_definitioni(options.order_type);
+         if (!custom_order_def.HasValue) {
+            Console.WriteLine($"Unable to create order of type '{options.order_type}.'  The following types are available:\n\t{string.Join("\n\t", OrderUtils.known_order_types)}");
+            return null;
+         }
+         var user = new NameIDPair(service_context.user, service_context.user_id);
+         var admin_service = service_context.locate<AdminService>();
+         var account = AdminUtils.get_account_async(user, admin_service, options.account).WaitResult();
+         var md_service = service_context.locate<MarketDataService>();
+         var security = SecurityUtils.get_security_async(md_service.subscribei_securities(), options.security).WaitResult();
+         var model = new OrderModel(service_context.locate<OrderService>());
+         /// Note that the call below (<see cref="OrderModel.send_order(NameIDPair, NameIDPair, uint, Side, uint, double, CustomOrderDefinition)"/>)
+         /// blocks the current thread until an ack is received from the server.  If you wish to avoid blocking the thread as such,
+         /// use the following method instead: <see cref="OrderModel.send_order_async(NameIDPair, NameIDPair, uint, Side, uint, double, CustomOrderDefinition)"/>.
+         model.send_order(user, account, security.Id, options.side, options.quantity, options.price, custom_order_def.Value.CloneToMutable());
+         return null;
       }
    }
 }

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/data/NameIDPair.cs

@@ -1,6 +1,6 @@
 using System;
 
-namespace bts.api.csharp {
+namespace bts.api.csharp.data {
    readonly struct NameIDPair {
       public NameIDPair(string name, uint id) {
          this.name = name ?? throw new ArgumentNullException(nameof(name));

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/data/OrderModel.cs

@@ -0,0 +1,71 @@
+using bts.api.csharp.utils;
+using bts.api.orderman;
+using System;
+using System.Threading.Tasks;
+
+namespace bts.api.csharp.data {
+   /// <summary>
+   /// Exemplifies how the <see cref="OrderService"/> api may be used to send orders.
+   /// </summary>
+   class OrderModel {
+      readonly OrderService _service;
+
+      public OrderModel(OrderService service) =>
+         _service = service;
+
+      public static OrderDefinition create_order_definition(NameIDPair user, NameIDPair account, uint security_key, Side side, CustomOrderDefinition custom_def) {
+         return new OrderDefinition {
+            Account = account.name,
+            AccountId = account.id,
+            User = user.name,
+            UserId = user.id,
+            SecurityKey = security_key,
+            Side = side,
+            CustomDef = custom_def
+         };
+      }
+
+      /// <summary>
+      /// Sends an order of the type specified by <paramref name="custom_order_definition"/> (asynchronous).
+      /// </summary>
+      /// <returns>The order id if the submission was successful, otherwise null.</returns>
+      public async Task<uint?> send_order_async(NameIDPair user, NameIDPair account, uint security_key, Side side, uint quantity, double price, CustomOrderDefinition custom_order_definition) {
+         Console.WriteLine($"Creating order {OrderUtils.fmt_order(side, quantity, price, user.name, account.name, custom_order_definition)}");
+         var response = await _service.create_order_async(new Create {
+            Quantity = quantity,
+            Price = price,
+            NewOrder = create_order_definition(user, account, security_key, side, custom_order_definition)
+         });
+         if (response.success) {
+            Console.WriteLine($"Order submission succeeded.  Order id is {response.value.OrderKey}.");
+            return response.value.OrderKey;
+         } else {
+            Console.WriteLine($"Order submission failed: [{response.value.ErrorCode}] {response.value.Msg}.");
+            return null;
+         }
+      }
+
+      /// <summary>
+      /// Sends an order with specified parameters (the thread will be blocked until an ack is received from the server).
+      /// </summary>
+      public uint? send_order(NameIDPair user, NameIDPair account, uint security_key, Side side, uint quantity, double price, CustomOrderDefinition custom_order_definition) {
+         /// Note, the thread will be blocked until a response is received from the server.
+         /// For this reason, <see cref="OrderService.create_order_async(Create)"/> is usually preferred.
+         /// An example of how to use that method is provided in <see cref="send_order_async(NameIDPair, NameIDPair, CustomOrderDefinition, uint, double)"/>.
+         Console.WriteLine($"Creating order {OrderUtils.fmt_order(side, quantity, price, user.name, account.name, custom_order_definition)}");
+         var response = _service.create_order(new Create {
+            Quantity = quantity,
+            Price = price,
+            NewOrder = create_order_definition(user, account, security_key, side, custom_order_definition)
+         });
+         switch (response.ErrorCode) {
+            case OrderError.Ok:
+               Console.WriteLine($"Order submission succeeded.  Order id is {response.OrderKey}.");
+               return response.OrderKey;
+            default:
+               Console.WriteLine($"Order submission failed: [{response.ErrorCode}] {response.Msg}.");
+               return null;
+         }
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/BookExample.cs

@@ -1,60 +0,0 @@
-using bts.api.core;
-using bts.api.csharp.utils;
-using System;
-using System.Collections.Generic;
-using System.Diagnostics;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Threading;
-using SecurityKey = System.UInt32;
-
-namespace bts.api.csharp.examples {
-   /// <summary>
-   /// Uses the <see cref="MarketDataService"/> api to observe book updates
-   /// for security in the system, and organize them into a Dictionary.
-   /// </summary>
-   class BookExample : IDisposable {
-      readonly Dictionary<SecurityKey, BookEntryImmutable> _books = new Dictionary<SecurityKey, BookEntryImmutable>();
-      readonly IDisposable _subscription;
-
-      public BookExample(MarketDataService market_data_service) {
-         _subscription = market_data_service.subscribei_book()
-            .ObserveOn(SynchronizationContext.Current)
-            .Subscribe(_on_book_update);
-      }
-
-      public void Dispose() {
-         _subscription.Dispose();
-      }
-
-      void _on_book_update(Update<BookEntryImmutable, uint> update) {
-         foreach (var new_book in update.added) {
-            // of course, we shouldn't have entries for any books in update.added yet
-            Debug.Assert(!_books.ContainsKey(new_book.Key));
-            // display bbo in the console window
-            _print_book_info(new_book.Key, $"book received for the first time, bbo is: {BookUtils.fmt_bbo(new_book)}");
-            // add the new book to our map
-            _books.Add(new_book.Key, new_book);
-         }
-         foreach (var change in update.changes) {
-            // of course, the security key shouldn't change
-            Debug.Assert(change.Old.Key == change.New.Key);
-            // our book entry for this security should be identitical to change.Old
-            Debug.Assert(change.Old.Bid.SequenceEqual(_books[change.Old.Key].Bid));
-            Debug.Assert(change.Old.Ask.SequenceEqual(_books[change.Old.Key].Ask));
-            // display the current book in the console window
-            _print_book_info(change.New.Key, $"book changed, now bbo is: {BookUtils.fmt_bbo(change.New)}");
-            // update our map with the changed book
-            _books[change.New.Key] = change.New;
-         }
-         foreach (var old_book in update.removed) {
-            // of course, we should have entries for all books in update.removed
-            Debug.Assert(_books.Remove(old_book.Key));
-         }
-      }
-
-      static void _print_book_info(SecurityKey key, string message) {
-         Console.WriteLine($"Security {key}: {message}.");
-      }
-   }
-}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/OrderExample.cs

@@ -1,139 +0,0 @@
-using bts.api.core;
-using bts.api.orderman;
-using System;
-using System.Collections.Generic;
-using System.Diagnostics;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Threading;
-using AccountKey = System.UInt32;
-using OrderKey = System.UInt32;
-
-namespace bts.api.csharp.examples {
-   /// <summary>
-   /// Uses the <see cref="OrderService"/> to observe order updates,
-   /// and group them by account.
-   /// </summary>
-   class OrderExample : IDisposable {
-      readonly Dictionary<AccountKey, Dictionary<OrderKey, OrderRecordImmutable>> _data = new Dictionary<AccountKey, Dictionary<AccountKey, OrderRecordImmutable>>();
-      IDisposable _subscription;
-
-      public OrderExample(OrderService order_service) {
-         /// 'OrderService' has 2 methods which can be used to subscribe to order updates.
-         ///  -------------------------------------------------------------------------------------
-         /// 1) <see cref="OrderService.subscribe_orders(string)"/>.
-         /// 2) <see cref="OrderService.subscribei_orders(string)"/>.
-         /// This method (no. 2) is typically preferrable because the data it provides is immutable.
-         /// --------------------------------------------------------------------------------------
-         _subscription = order_service.subscribei_orders()
-            // the 'ObserveOn' call below ensures that the
-            // callback will be invoked this thread.
-            // Be sure to do this if you don't want to worry
-            // about multi-threading issues (locking, etc).
-            .ObserveOn(SynchronizationContext.Current)
-            .Subscribe(_on_update);
-
-      }
-
-      public event Action<AccountKey> account_orders_changed;
-
-      public void Dispose() {
-         _subscription.Dispose();
-      }
-
-      public IEnumerable<OrderRecordImmutable> get_account_orders(AccountKey account) {
-         if (_data.TryGetValue(account, out var account_orders)) {
-            return account_orders.Values;
-         }
-         return Enumerable.Empty<OrderRecordImmutable>();
-      }
-
-      void _on_order_added(OrderRecordImmutable new_order) {
-         if (!_data.TryGetValue(new_order.Def.AccountId, out var account_orders)) {
-            // this is the first order for this account.
-            // initialize the account orders dictionary, and add it to our data.
-            account_orders = new Dictionary<AccountKey, OrderRecordImmutable>();
-            _data.Add(new_order.Def.AccountId, account_orders);
-         }
-         // now add the order to account_orders
-         account_orders.Add(new_order.Key, new_order);
-      }
-
-      void _on_order_changed(Change<OrderRecordImmutable> change) {
-         // ch.New and ch.Old have the same key.
-         Debug.Assert(change.New.Key == change.Old.Key);
-         var key = change.New.Key;
-         // react to a changed order
-         if (change.New.State.FilledQuantity != change.Old.State.FilledQuantity) {
-            // Display new fills in the console window.
-            var num_new_fills = change.New.State.FilledQuantity - change.Old.State.FilledQuantity;
-            _print_order_info(key, $"received {num_new_fills} new fills.");
-            // Be mindful that orders can be overfilled.
-            if (change.New.State.FilledQuantity > change.New.State.Quantity) {
-               // Display overfills in the console window.
-               var num_over_fills = change.New.State.FilledQuantity - change.New.State.Quantity;
-               _print_order_info(key, $"overfilled by {num_over_fills}");
-            } else {
-               // Display working qty in the console window.
-               var working_qty = change.New.State.Quantity - change.New.State.FilledQuantity;
-               _print_order_info(key, $"still working {working_qty}.");
-            }
-         }
-         // Display order status changes in the console window.
-         if (change.New.State.Status != change.Old.State.Status) {
-            _print_order_info(key, $"status changed from {change.Old.State.Status} to {change.New.State.Status}.");
-         }
-         // Account will not change, so our dictionary will definitely have a key for this account.
-         Debug.Assert(_data.ContainsKey(change.New.Def.AccountId));
-         var account_orders = _data[change.New.Def.AccountId];
-         // The value for this key in account_orders should equal ch.Old.
-         Debug.Assert(account_orders[key].Equals(change.Old));
-         // update account orders with the changed order. 
-         account_orders[key] = change.New;
-      }
-
-      void _on_order_removed(OrderRecordImmutable old_val) {
-         // An entry for this order should be present in our data,
-         // as it is in the 'removed' items.
-         // Assert this is the case to illustrate the point.
-         Debug.Assert(_data.ContainsKey(old_val.Def.AccountId));
-         var account_orders = _data[old_val.Def.AccountId];
-         // the removed value should match the one currently in our data.
-         // Assert this is the case, then remove the order.
-         Debug.Assert(account_orders[old_val.Key].Equals(old_val));
-         account_orders.Remove(old_val.Key);
-         _print_order_info(old_val.Key, "has been removed.");
-      }
-
-      void _on_update(Update<OrderRecordImmutable, OrderKey> update) {
-         // record which accounts experienced an order update, then
-         // at the end of this method, fire the account_orders_changed event for each 
-         var accounts_with_order_updates = new HashSet<AccountKey>();
-         foreach (OrderRecordImmutable new_order in update.added) {
-            _on_order_added(new_order);
-            accounts_with_order_updates.Add(new_order.Def.AccountId);
-         }
-         foreach (Change<OrderRecordImmutable> change in update.changes) {
-            _on_order_changed(change);
-            accounts_with_order_updates.Add(change.New.Def.AccountId);
-         }
-         foreach (OrderRecordImmutable old_order in update.removed) {
-            _on_order_removed(old_order);
-            accounts_with_order_updates.Add(old_order.Def.AccountId);
-         }
-         // display all accounts with order updates in the Console window.
-         Console.WriteLine("The following accounts experienced order changes: ");
-         foreach (var account in accounts_with_order_updates) {
-            Console.WriteLine("\n\t" + account);
-         }
-         // lastly, fire the account_orders_changed event for each account experienced an order update.
-         foreach (var account in accounts_with_order_updates) {
-            account_orders_changed?.Invoke(account);
-         }
-      }
-
-      void _print_order_info(OrderKey order_key, string message) {
-         Console.WriteLine($"Order {order_key}: {message}.");
-      }
-   }
-}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/PositionExample.cs

@@ -1,125 +0,0 @@
-using bts.api.core;
-using bts.api.position;
-using System;
-using System.Collections.Generic;
-using System.Diagnostics;
-using System.Reactive.Linq;
-using System.Threading;
-
-namespace bts.api.csharp.examples {
-   /// <summary>
-   /// A pair of security, and account id,
-   /// which uniquely identifies each PositionUnit.
-   /// </summary>
-   readonly struct PositionKey {
-      public PositionKey(uint security_id, uint account_id) {
-         this.security_id = security_id;
-         this.account_id = account_id;
-      }
-
-      public uint security_id { get; }
-      public uint account_id { get; }
-
-      public static PositionKey from_position(PositionUnitImmutable p) =>
-         new PositionKey(p.SecurityId, p.AccountId);
-
-      public override string ToString() =>
-         $"Sec {security_id}, Acc {account_id}";
-   }
-
-   /// <summary>
-   /// Uses the <see cref="PositionService"/> api to monitor positions
-   /// for every account/security pair, and organize them into a Dictionary.
-   /// </summary>
-   class PositionExample : IDisposable {
-      readonly Dictionary<PositionKey, PositionUnitImmutable> _data = new Dictionary<PositionKey, PositionUnitImmutable>();
-      IDisposable _subscription;
-
-      public PositionExample(PositionService position_service) {
-         /// 'PositionService' has 2 methods which can be used to subscribe to position updates.
-         ///  -------------------------------------------------------------------------------------
-         /// 1) <see cref="PositionService.subscribe_position_data(string)"/>.
-         /// 2) <see cref="PositionService.subscribei_position_data(string)"/>.
-         /// This method (no. 2) is typically preferrable because the data it provides is immutable.
-         /// --------------------------------------------------------------------------------------
-         _subscription = position_service.subscribei_position_data()
-            // the 'ObserveOn' call below ensures that the
-            // callback will be invoked this thread.
-            // Be sure to do this if you don't want to worry
-            // about multi-threading issues (locking, etc).
-            .ObserveOn(SynchronizationContext.Current)
-            .Subscribe(_on_update);
-      }
-
-      public event Action data_changed;
-
-      public IReadOnlyDictionary<PositionKey, PositionUnitImmutable> data => _data;
-
-      public void Dispose() =>
-         _subscription.Dispose();
-
-      void _on_position_added(PositionUnitImmutable new_val) {
-         var k = PositionKey.from_position(new_val);
-         // this entry should NOT be present in our _data, as it is in the 'added' items.
-         // Assert this is the case to illustrate the point.
-         Debug.Assert(!_data.ContainsKey(k));
-         _print_position_info(k, $"initial position received.  Day: Long {new_val.DayLongPos}, Short {new_val.DayShortPos}, Net {new_val.DayLongPos - new_val.DayShortPos}.");
-         // add the new position unit to _data
-         _data.Add(k, new_val);
-      }
-
-      void _on_position_changed(Change<PositionUnitImmutable> change) {
-         var k = PositionKey.from_position(change.New);
-         // ch.New and ch.Old have the same key (i.e., the Account/Security pair),
-         Debug.Assert(change.New.AccountId == change.Old.AccountId);
-         Debug.Assert(change.New.SecurityId == change.Old.SecurityId);
-         // of course, the value for this key in our dictionary should equal ch.Old.
-         Debug.Assert(_data[k].Equals(change.Old));
-         // Display changes to the day position in the console window.
-         // 1) check if the day long changed
-         if (change.New.DayLongPos != change.Old.DayLongPos) {
-            Console.WriteLine($"[{k}] day long changed from {change.Old.DayLongPos} to {change.New.DayLongPos}.");
-         }
-         // 2) check if day short changed
-         if (change.New.DayShortPos != change.Old.DayShortPos) {
-            Console.WriteLine($"[{k}] day short changed from {change.Old.DayShortPos} to {change.New.DayShortPos}.");
-         }
-         // 3) check if net day position changed
-         var new_net_day_pos = change.New.DayLongPos - change.New.DayShortPos;
-         var old_net_day_pos = change.Old.DayLongPos - change.Old.DayShortPos;
-         if (new_net_day_pos != old_net_day_pos) {
-            Console.WriteLine($"[{k}] day net changed from {old_net_day_pos} to {new_net_day_pos}.");
-         }
-         // update _data with the changed position.
-         _data[k] = change.New;
-      }
-
-      void _on_position_removed(PositionUnitImmutable old_val) {
-         var k = PositionKey.from_position(old_val);
-         // this entry should be present in our _data, as it is in the 'removed' items.
-         // Assert this is the case to illustrate the point.
-         Debug.Assert(_data.ContainsKey(k));
-         // this should match our data.  Assert this is the case.
-         Debug.Assert(_data[k].Equals(old_val));
-         _data.Remove(k);
-         Console.WriteLine($"[{k}] position has been removed.");
-      }
-
-      void _on_update(Update<PositionUnitImmutable, int> update) {
-         foreach (PositionUnitImmutable p in update.added) {
-            _on_position_added(p);
-         }
-         foreach (Change<PositionUnitImmutable> ch in update.changes) {
-            _on_position_changed(ch);
-         }
-         foreach (PositionUnitImmutable p in update.removed) {
-            _on_position_removed(p);
-         }
-         data_changed?.Invoke();
-      }
-
-      void _print_position_info(PositionKey position_key, string message) {
-         Console.WriteLine($"Position {position_key}: {message}.");
-      }
-   }
-}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/SecurityExample.cs

@@ -1,48 +0,0 @@
-using bts.api.core;
-using System;
-using System.Collections.Generic;
-using System.Diagnostics;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Threading;
-using SecurityKey = System.UInt32;
-
-namespace bts.api.csharp.examples {
-   /// <summary>
-   /// Uses the <see cref="MarketDataService"/> api to observe the
-   /// state of securities in the system.
-   /// </summary>
-   class SecurityExample : IDisposable {
-      readonly IDisposable _subscription;
-      readonly Dictionary<SecurityKey, SecurityImmutable> _securities = new Dictionary<SecurityKey, SecurityImmutable>();
-
-      public SecurityExample(MarketDataService market_data_service) {
-         _subscription = market_data_service.subscribei_securities()
-            .ObserveOn(SynchronizationContext.Current)
-            .Subscribe(_on_securities_update);
-      }
-
-      public void Dispose() {
-         _subscription.Dispose();
-      }
-
-      void _on_securities_update(Update<SecurityImmutable, uint> update) {
-         foreach (var new_security in update.added) {
-            // of course, we shouldn't have entries for any books in update.added yet
-            Debug.Assert(!_securities.ContainsKey(new_security.Id));
-            // display bbo in the console window
-            Console.WriteLine($"received new security: {new_security}.");
-            // add the new security to our map
-            _securities.Add(new_security.Id, new_security);
-         }
-         // As you may have noticed, all of the subcribe methods in the api
-         // return an IObservable<Update<T>>.  It is worth noting that for security updates,
-         // 'changes' will always be empty.
-         Debug.Assert(!update.changes.Any());
-         foreach (var old_security in update.removed) {
-            // of course, we should have entries for all books in update.removed
-            Debug.Assert(_securities.Remove(old_security.Id));
-         }
-      }
-   }
-}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/SendOrderModel.cs

@@ -1,110 +0,0 @@
-using bts.api.csharp.utils;
-using bts.api.orderman;
-using System;
-using System.Threading.Tasks;
-
-namespace bts.api.csharp.examples {
-   static class OrderTemplates {
-      public static CustomOrderDefinition limit() => new CustomOrderDefinition { Limit = new LimitOrderDefinition() };
-      public static CustomOrderDefinition market() => new CustomOrderDefinition { Market = new MarketOrderDefinition() };
-      public static CustomOrderDefinition iceberg(double show_quantity) => iceberg(show_quantity, limit());
-      public static CustomOrderDefinition iceberg(double show_quantity, CustomOrderDefinition child) =>
-         new CustomOrderDefinition {
-            Iceberg = new IcebergOrderDefinition {
-               ShowQuantity = show_quantity,
-               Child = child
-            }
-         };
-   }
-
-   /// <summary>
-   /// Exemplifies how the <see cref="OrderService"/> api may be used to
-   /// send several common order types (limit, market, and iceberg).
-   /// </summary>
-   class SendOrderModel {
-      readonly OrderService _service;
-
-      public SendOrderModel(OrderService service) {
-         _service = service;
-      }
-
-      public OrderDefinition create_order_definition(NameIDPair user, NameIDPair account, uint security_key, CustomOrderDefinition custom_def) {
-         return new OrderDefinition {
-            Account = account.name,
-            AccountId = account.id,
-            User = user.name,
-            UserId = user.id,
-            SecurityKey = security_key,
-            CustomDef = custom_def
-         };
-      }
-
-      /// <summary>
-      /// Sends a limit order (asynchronous).
-      /// </summary>
-      /// <returns>The order id if the submission was successful, otherwise null.</returns>
-      public Task<uint?> send_limit_order_async(NameIDPair user, NameIDPair account, uint security_key, uint quantity, double price) {
-         return send_order_async(user, account, security_key, OrderTemplates.limit(), quantity, price);
-      }
-
-      /// <summary>
-      /// Sends a market order (asynchronous).  Note no price parameter is required for market orders.
-      /// </summary>
-      /// <returns>The order id if the submission was successful, otherwise null.</returns>
-      public Task<uint?> send_market_order_async(NameIDPair user, NameIDPair account, uint security_key, uint quantity) {
-         return send_order_async(user, account, security_key, OrderTemplates.market(), quantity, 0.0);
-      }
-
-      /// <summary>
-      /// Sends an iceberg of limit orders (asynchronous).
-      /// </summary>
-      /// <returns>The order id if the submission was successful, otherwise null.</returns>
-      public Task<uint?> send_iceberg_order_async(NameIDPair user, NameIDPair account, uint security_key, uint quantity, double price, double show_quantity) {
-         return send_order_async(user, account, security_key, OrderTemplates.iceberg(show_quantity), quantity, price);
-      }
-
-      /// <summary>
-      /// Sends an order of the type specified by <paramref name="custom_order_definition"/> (asynchronous).
-      /// </summary>
-      /// <returns>The order id if the submission was successful, otherwise null.</returns>
-      public async Task<uint?> send_order_async(NameIDPair user, NameIDPair account, uint security_key, CustomOrderDefinition custom_order_definition, uint quantity, double price) {
-         Console.WriteLine($"submitting order for user ({user}), account ({account}): {OrderUtils.fmt_order(quantity, price, custom_order_definition)}.");
-         var reply = await _service.create_order_async(new Create {
-            Quantity = quantity,
-            Price = price,
-            NewOrder = create_order_definition(user, account, security_key, custom_order_definition)
-         });
-         if (reply.success) {
-            Console.WriteLine($"received ack that order has been submitted.  Order id is {reply.value.OrderKey}.");
-            return reply.value.OrderKey;
-         } else {
-            Console.WriteLine($"order submission was unsuccessful: [{reply.value.ErrorCode}] {reply.value.Msg}.");
-            return null;
-         }
-      }
-
-      public void send_order(NameIDPair user, NameIDPair account, uint security_key, CustomOrderDefinition custom_order_definition, uint quantity, double price) {
-         /// Note, the thread will be blocked until a response is received from the server.
-         /// For this reason, <see cref="OrderService.create_order_async(Create)"/> is usually preferred.
-         /// An example of how to use that method is provided in <see cref="send_order_async(NameIDPair, NameIDPair, CustomOrderDefinition, uint, double)"/>.
-         Console.WriteLine($"Creating order {OrderUtils.fmt_order(quantity, price, custom_order_definition)}");
-         var response = _service.create_order(new Create {
-            Quantity = quantity,
-            Price = price,
-            NewOrder = create_order_definition(user, account, security_key, custom_order_definition)
-         });
-         switch (response.ErrorCode) {
-            case OrderError.Ok:
-               _print_order_info(response.OrderKey, "successfully created.");
-               break;
-            default:
-               Console.WriteLine($"Failed to create order: [{response.ErrorCode}] {response.Msg}.");
-               break;
-         }
-      }
-
-      static void _print_order_info(uint order_key, string message) {
-         Console.WriteLine($"Order {order_key}: {message}.");
-      }
-   }
-}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/examples/SendOrdersContinously.cs

@@ -1,100 +0,0 @@
-using bts.api.core;
-using bts.api.orderman;
-using mbts;
-using System;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Threading;
-using System.Threading.Tasks;
-
-namespace bts.api.csharp.examples {
-   /// <summary>
-   /// The code in this example is a bit more advanced than the others,
-   /// as it is designed to send orders, asynchronously, in a continuous loop.
-   /// For straightforward examples of how to send orders with the api,
-   /// check out <see cref="SendOrderModel"/>.
-   /// </summary>
-   static class SendOrderLoop {
-      /// <summary>
-      /// As a security key is required to send an order, this method
-      /// uses the <see cref="MarketDataService"/> to observe the securities stream,
-      /// then on the first update, initializes the send-order-loop <see cref="LoopImpl"/>
-      /// with one of the newly received security keys.
-      /// </summary>
-      public static IDisposable init_loop(OrderService order_service, MarketDataService market_data_service) {
-         // If you need to familiarize yourself with the IObservable pattern, check out the official docs:
-         // https://docs.microsoft.com/en-us/dotnet/api/system.iobservable-1?view=netcore-3.1
-
-         var single_security_stream = market_data_service.subscribei_securities()
-            .Where(u => u.all.Any())
-            .Take(1)
-            .Select(u => u.all.FirstOrDefault());
-
-         return init_loop(single_security_stream, create_loop);
-         IDisposable create_loop(SecurityImmutable sec) {
-            return new LoopImpl(order_service, sec.Id);
-         }
-      }
-
-      /// <summary>
-      /// Observes the security stream and creates a new send-order-loop
-      /// whenever a new security arrives.  The previous send-order-loop
-      /// is disposed when the next security arrives, so only one send-order-loop
-      /// shall be active at a time.
-      /// </summary>
-      /// <param name="security">The security stream used to initialize send-order-loops.</param>
-      /// <returns>An IDisposable that unsubsribes from the securities stream, and disposes the active send-order-loop.</returns>
-      public static IDisposable init_loop(IObservable<SecurityImmutable> security, Func<SecurityImmutable, IDisposable> factory) {
-         IDisposable active_loop = null;
-         var security_sub = security.Subscribe(s =>
-            Interlocked.Exchange(ref active_loop, factory(s))?.Dispose());
-         return Disposable.Create(dispose);
-         void dispose() {
-            security_sub.Dispose();
-            active_loop?.Dispose();
-         }
-      }
-
-      class LoopImpl : IDisposable {
-         bool _is_disposed;
-
-         public LoopImpl(OrderService service, uint security_key)
-            : this(service, Users.Default, Accounts.Default, security_key, 10, TimeSpan.FromSeconds(3)) { }
-
-         public LoopImpl(OrderService service, NameIDPair user, NameIDPair account, uint security_key, int max_orders, TimeSpan delay_between_orders) {
-            var model = new SendOrderModel(service);
-            send_orders_continuously();
-
-            async void send_orders_continuously() {
-               // Periodically send an order with one of the CustomOrderDefinitions below.
-               // If you are unfamiliar with async/await, this will also serve as a simple example
-               // of how those keywords may be used.  However, there is no substite for the official docs:
-               // https://docs.microsoft.com/en-us/dotnet/csharp/programming-guide/concepts/async/
-               var order_templates = new CustomOrderDefinitionImmutable[] {
-                  new CustomOrderDefinitionImmutable(OrderTemplates.limit()),
-                  new CustomOrderDefinitionImmutable(OrderTemplates.market()),
-                  new CustomOrderDefinitionImmutable(OrderTemplates.iceberg(5))
-               };
-               for (int num_orders_sent = 0; num_orders_sent < max_orders && !_is_disposed; num_orders_sent++) {
-                  int template_index = num_orders_sent % order_templates.Length;
-                  CustomOrderDefinitionImmutable templatei = order_templates[template_index];
-                  // The order templates we created are immutable, however the api uses the mutable form.
-                  // Not to worry tho, there is a nifty method called 'CloneToMutable.'
-                  // Note that all of the non-primitive immutable parameters in the api methods have a 'CloneToMutable' method,
-                  // it is not unique to CustomOrderDefinitionImmutable.
-                  CustomOrderDefinition template = templatei.CloneToMutable();
-                  await model.send_order_async(user, account, security_key, template, 12, 100);
-                  // pause for a moment before sending the next order
-                  await Task.Delay(delay_between_orders);
-               }
-            }
-         }
-
-         public void Dispose() {
-            // flip _is_disposed to true, so the 'send_orders_continuously' loop
-            // knows it's time to stop.
-            _is_disposed = true;
-         }
-      }
-   }
-}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/AdminUtils.cs

@@ -0,0 +1,79 @@
+using bts.api.admin;
+using bts.api.csharp.data;
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+using System.Collections.ObjectModel;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Threading.Tasks;
+
+namespace bts.api.csharp.utils {
+   static class AdminUtils {
+      public static IReadOnlyDictionary<uint, NameIDPair> map_accounts(AdminDataImmutable admin_datai) {
+         return admin_datai.Accounts.ToDictionary(acc => acc.Id, acc => new NameIDPair(acc.Name, acc.Id));
+      }
+
+      /// <summary>
+      /// Links users to the set of accounts on which they have trading permissions.
+      /// </summary>
+      public static IEnumerable<(NameIDPair user, IEnumerable<uint> accounts)> user_account_permissions(AdminDataImmutable admin_datai) {
+         return admin_datai.Users
+            .Select(user => (new NameIDPair(user.Name, user.Id), _user_tradable_accounts(user)));
+      }
+
+      public static IReadOnlyDictionary<NameIDPair, ImmutableHashSet<NameIDPair>> map_user_account_permissions(AdminDataImmutable admin_datai) {
+         var account_lookup = admin_datai.Accounts.ToLookup(acc => acc.Id);
+         return admin_datai.Users.ToDictionary(
+            user => new NameIDPair(user.Name, user.Id),
+            user => ImmutableHashSet.CreateRange(_user_tradable_accounts(user)
+               .Select(acc_id => new NameIDPair(account_lookup[acc_id].Single().Name, acc_id))));
+      }
+
+      static IEnumerable<uint> _user_tradable_accounts(BTSUserImmutable user) {
+         return user.UserData.AccountPermissions.AccountPermissions
+            .Where(kv => kv.Value.TradingPermission.HasPermissions)
+            .Select(kv => kv.Key);
+      }
+
+      public static NameIDPair get_account(NameIDPair user, AdminService admin_service, string account_name = null) {
+         var task = get_account_async(user, admin_service, account_name);
+         task.Wait();
+         return task.Result;
+      }
+
+      /// <summary>
+      /// Either searches for the account with the specified name,
+      /// or picks a random account for which the specified user has trading permissions.
+      /// </summary>
+      public static async Task<NameIDPair> get_account_async(NameIDPair user, AdminService admin_service, string account_name = null) {
+         return await (account_name == null ? auto_account(user, admin_service) : find_account(admin_service, account_name).FirstAsync());
+      }
+
+      public static IObservable<NameIDPair> auto_account(NameIDPair user, AdminService admin_service) {
+         return admin_service.subscribei_admin_data()
+            .Where(update => update.all.Any())
+            .Select(update => map_user_account_permissions(update.all.First()))
+            .Select(account_perms => account_perms.TryGetValue(user, out var accs) ? accs : ImmutableHashSet<NameIDPair>.Empty)
+            .Where(accs => accs.Count > 0)
+            .Select(accs => accs.First())
+            .Take(1);
+      }
+
+      public static IObservable<NameIDPair> find_account(AdminService admin_service, string account) {
+         return admin_service.subscribei_admin_data()
+            .Select(update => {
+               foreach (var admin_data in update.all) {
+                  foreach (var acc in admin_data.Accounts) {
+                     if (acc.Name == account)
+                        return new NameIDPair(acc.Name, acc.Id);
+                  }
+               }
+               return (NameIDPair?)null;
+            })
+            .Where(acc => acc.HasValue)
+            .Select(acc => acc.Value)
+            .Take(1);
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/CLIUtils.cs

@@ -0,0 +1,56 @@
+using System;
+using System.Collections.Generic;
+using System.IO;
+using System.Linq;
+
+namespace bts.api.csharp.utils {
+   static class CLIUtils {
+      public static IEnumerable<string> parse_delimited(string cli_arg, string file_arg, string delimiter) {
+         var cli_items = _parse_delimited(cli_arg, delimiter);
+         if (file_arg != null) {
+            try {
+               var items = _parse_delimited(File.ReadAllText(file_arg), delimiter);
+               return cli_items is null ? items : cli_items.Concat(items);
+            } catch { }
+         }
+         return cli_items;
+      }
+
+      public static Func<SecurityImmutable, bool> parse_security_predicate(string cli_symbols = null, string cli_security_regex = null) {
+         return _merge_predicates(
+            parse_delimited_predicate<SecurityImmutable>(cli_symbols, sec => sec.Symbol),
+            RegexUtils.default_regex(cli_security_regex)?.to_predicate<SecurityImmutable>());
+      }
+
+      public static Func<T, bool> parse_delimited_predicate<T>(string cli_arg, Func<T, string> get) =>
+         parse_delimited_predicate(cli_arg, null, ",", get);
+
+      public static Func<T, bool> parse_delimited_predicate<T>(string cli_arg, string file_arg, string delimiter, Func<T, string> get) {
+         var items = new HashSet<string>(parse_delimited(cli_arg, file_arg, delimiter));
+         if (items.Count == 0)
+            return null;
+         return sec => items.Contains(get(sec));
+      }
+
+      static IEnumerable<string> _parse_delimited(string delimited_string, string delimiter) {
+         return delimited_string
+            ?.Split(new[] { delimiter }, StringSplitOptions.RemoveEmptyEntries)
+            ?.Select(sym => sym.Trim())
+            ?? Enumerable.Empty<string>();
+      }
+
+     static Func<T, bool> _merge_predicates<T>(params Func<T, bool>[] predicates) {
+         Func<T, bool> result = null;
+         for (int i = 0; i < predicates.Length; i++) {
+            if (predicates[i] != null) {
+               if (result == null) {
+                  result = predicates[i];
+               } else {
+                  result += predicates[i];
+               }
+            }
+         }
+         return result;
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/CollectionUtils.cs

@@ -0,0 +1,23 @@
+using System;
+using System.Collections.Generic;
+
+namespace bts.api.csharp.utils {
+   static class CollectionUtils {
+      public static bool insert_sorted<T>(List<T> list, T value) =>
+         insert_sorted(list, value, Comparer<T>.Default);
+
+      public static bool insert_sorted<T>(List<T> list, T value, IComparer<T> comparer) {
+         if (list is null)
+            throw new ArgumentNullException(nameof(list));
+         if (comparer is null)
+            throw new ArgumentNullException(nameof(comparer));
+         var sorted_index = list.BinarySearch(value, comparer);
+         if (sorted_index < 0) {
+            // this is a new symbol
+            list.Insert(~sorted_index, value);
+            return true;
+         }
+         return false;
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/DelegateUtils.cs

@@ -0,0 +1,8 @@
+using System;
+
+namespace bts.api.csharp.utils {
+   static class DelegateUtils {
+      public static Func<TOuter, TResult> wrap<TInner, TOuter, TResult>(this Func<TInner, TResult> func, Func<TOuter, TInner> get_inner) =>
+         outer => func(get_inner(outer));
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/OrderUtils.cs

@@ -1,9 +1,32 @@
 using bts.api.orderman;
+using System.Collections.Generic;
+using System.Linq;
 
 namespace bts.api.csharp.utils {
    static class OrderUtils {
+      // add new templates as needed
+      static readonly IReadOnlyDictionary<CustomOrderDefinition.CustomOneofCase, CustomOrderDefinitionImmutable>
+         _custom_def_templates = new Dictionary<CustomOrderDefinition.CustomOneofCase, CustomOrderDefinitionImmutable> {
+            { CustomOrderDefinition.CustomOneofCase.Limit, new CustomOrderDefinitionImmutable(new CustomOrderDefinition{ Limit = new LimitOrderDefinition() }) },
+            { CustomOrderDefinition.CustomOneofCase.Market, new CustomOrderDefinitionImmutable(new CustomOrderDefinition{ Market = new MarketOrderDefinition() }) },
+            { CustomOrderDefinition.CustomOneofCase.Iceberg, new CustomOrderDefinitionImmutable(new CustomOrderDefinition{ Iceberg = new IcebergOrderDefinition() }) }
+         };
+
+      public static IEnumerable<CustomOrderDefinition.CustomOneofCase> known_order_types => _custom_def_templates.Keys;
+
+      public static CustomOrderDefinitionImmutable? custom_order_definitioni(CustomOrderDefinition.CustomOneofCase order_type) {
+         if (_custom_def_templates.TryGetValue(order_type, out var templatei)) {
+            return templatei.CloneToMutable();
+         }
+         return null;
+      }
+
       public static string fmt_order(uint quantity, double price, CustomOrderDefinition custom_order_definition) {
          return $"{quantity} @ {price}: {custom_order_definition}";
       }
+
+      public static string fmt_order(Side side, uint quantity, double price, string user, string account, CustomOrderDefinition custom_order_definition) {
+         return $"[{user}][{account}] {side} {fmt_order(quantity, price, custom_order_definition)}.";
+      }
    }
 }

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/RegexUtils.cs

@@ -0,0 +1,25 @@
+using System;
+using System.Text.RegularExpressions;
+
+namespace bts.api.csharp.utils {
+   static class RegexUtils {
+      public static Regex default_regex(string pattern) {
+         // these patterns typically come from the user,
+         // so the 'should_ignore' delegate below allows them
+         // to include all results by specifying "all" or "*".
+         return default_regex(pattern, p => string.IsNullOrEmpty(p) || p == "*" || p.ToLower() == "all");
+      }
+
+      public static Regex default_regex(string pattern, Func<string, bool> should_ignore) {
+         if (pattern == null)
+            return null;
+         pattern = pattern.Trim();
+         if (pattern == string.Empty)
+            return null;
+         return new Regex(pattern, RegexOptions.IgnoreCase | RegexOptions.IgnorePatternWhitespace);
+      }
+
+      public static Func<T, bool> to_predicate<T>(this Regex regex) =>
+         regex == null ? null : new Func<T, bool>(val => regex.IsMatch(val.ToString()));
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/SecurityUtils.cs

@@ -1,8 +1,52 @@
-using System;
+using bts.api.core;
+using System;
 using System.Collections.Generic;
-using System.Text;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Threading.Tasks;
+using SymbolTableGroup = bts.api.core.TableUpdateGrouping<bts.api.SecurityImmutable, uint, string>;
 
 namespace bts.api.csharp.utils {
    static class SecurityUtils {
+      public static IObservable<TableUpdate<SymbolTableGroup, string>> GroupBySymbols(this IObservable<TableUpdate<SecurityImmutable, uint>> securities_source) =>
+         securities_source.GroupTable(sec => sec.Id, sec => sec.Symbol);
+
+      public static async Task<SecurityImmutable> get_security_async(IObservable<Update<SecurityImmutable, uint>> source, string security_str = null) {
+         if (!string.IsNullOrEmpty(security_str)) {
+            Func<SecurityImmutable, bool> is_match;
+            // the user may specify the security string, or security key
+            if (uint.TryParse(security_str, out var sec_key)) {
+               is_match = sec => sec.Id == sec_key;
+            } else {
+               // ignore case and white space
+               security_str = security_str.Replace(" ", "").ToLower();
+               is_match = sec => sec.ToString().Replace(" ", "").ToLower() == security_str;
+            }
+            return await source.Select(update => {
+               foreach (var sec in update.all) {
+                  if (is_match(sec))
+                     return sec;
+               }
+               return (SecurityImmutable?)null;
+            })
+            .Where(sec => sec.HasValue)
+            .Select(sec => sec.Value)
+            .FirstAsync();
+         } else {
+            return await source.Where(update => update.all.Any())
+               .Select(update => update.all.First())
+               .FirstAsync();
+         }
+      }
+
+      public static class Predicates {
+         public static Func<SecurityImmutable, bool> symbols(IEnumerable<string> symbols) {
+            if (symbols is null)
+               return sec => true;
+            // use hashset for quicker Contains check
+            var symbols_set = new HashSet<string>(symbols);
+            return sec => symbols_set.Contains(sec.Symbol);
+         }
+      }
    }
 }

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/StringUtils.cs

@@ -0,0 +1,40 @@
+using bts.api.core;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+
+namespace bts.api.csharp.utils {
+   static class StringUtils {
+      public static IEnumerable<string> format_columns(IEnumerable<IEnumerable<string>> columns, int min_width = 8, int padding = 3) =>
+         format_columns(columns.Select(lines => (Math.Max(min_width, lines.Max(l => l.Length) + padding), lines)));
+
+      public static IEnumerable<string> format_columns(IEnumerable<(int width, IEnumerable<string> lines)> columns) {
+         var column_layout = columns.Select((column, index) => (column.lines.GetEnumerator(), column.width, index)).ToList();
+         int num_active = column_layout.Count;
+         if (num_active == 0)
+            yield break;
+         while (true) {
+            var sb = new StringBuilder();
+            for (int i = 0; i < column_layout.Count; i++) {
+               var (en, width, pos) = column_layout[i];
+               if (en != null && en.MoveNext()) {
+                  sb.Append(string.Format($"{{{0},{-width}}}", en.Current));
+                  sb.Append(string.Format($"{{{0,1}}}", "| "));
+               } else {
+                  sb.Append(string.Format($"{{{0},{-width}}}", ""));
+                  sb.Append(string.Format($"{{{0,1}}}", "| "));
+                  if (en != null) {
+                     // set the enumerable to null to inidicate this column is empty for the remaining rows
+                     en.Dispose();
+                     column_layout[i] = (null, width, pos);
+                     if (--num_active == 0)
+                        yield break;
+                  }
+               }
+            }
+            yield return sb.ToString();
+         }
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/TaskExtensions.cs

@@ -0,0 +1,10 @@
+using System.Threading.Tasks;
+
+namespace bts.api.csharp.utils {
+   static class TaskExtensions {
+      public static T WaitResult<T>(this Task<T> task) {
+         task.Wait();
+         return task.Result;
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/utils/UpdateUtils.cs

@@ -0,0 +1,114 @@
+using bts.api.core;
+using mbts;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+
+namespace bts.api.csharp.utils {
+   static class UpdateUtils {
+      /// <summary>
+      /// Uses a value-subscription delegate to create subscriptions (incrementally) for each value in the update sequence.
+      /// When a value is removed or changed, its corresponding subscription is disposed; if it changed, a new subscription is created with the new value.
+      /// </summary>
+      /// <typeparam name="T">The type of values in the updates.</typeparam>
+      /// <typeparam name="TKey">The type of keys in the updates.</typeparam>
+      /// <param name="update_stream">The update sequence.</param>
+      /// <param name="subscribe_value">The delegate to create a subscription for a particular value.</param>
+      /// <returns>An IDisposable that, upon being disposed, disposes the subscription to the update sequence, and all active value subscriptions.</returns>
+      public static IDisposable subscribe_incremental_values<T, TKey>(IObservable<Update<T, TKey>> update_stream, Func<T, IDisposable> subscribe_value)
+         where TKey : IEquatable<TKey> {
+         var locker = new object();
+         var value_subs = new Dictionary<TKey, IDisposable>();
+         var source_sub = update_stream.Subscribe(on_update);
+         return Disposable.Create(dispose);
+
+         // local methods
+         void on_update(Update<T, TKey> update) {
+            lock (locker) {
+               foreach (var value in update.removed) {
+                  var k = update.key(value);
+                  value_subs[k].Dispose();
+                  value_subs.Remove(k);
+               }
+               foreach (var ch in update.changes) {
+                  var k = update.key(ch.New);
+                  value_subs[k].Dispose();
+                  value_subs[k] = subscribe_value(ch.New);
+               }
+               foreach (var value in update.added) {
+                  value_subs.Add(update.key(value), subscribe_value(value));
+               }
+            }
+         }
+
+         void dispose() {
+            lock (locker) {
+               source_sub.Dispose();
+               foreach (var loop in value_subs.Values) {
+                  loop.Dispose();
+               }
+            }
+         }
+      }
+
+      public static IObservable<TableUpdate<T, TKey>> SafeFilter<T, TKey>(this IObservable<TableUpdate<T, TKey>> source, Func<T, bool> filter) where TKey : IEquatable<TKey> =>
+         filter == null ? source : source.Filter(filter);
+
+      public static bool is_empty<T, TKey>(this TableUpdate<T, TKey> table) where TKey : IEquatable<TKey> =>
+         !table.added.Any() && !table.changes.Any() && !table.removed.Any();
+
+      public static void print_incremental_changes<T, TKey>(Update<T, TKey> update, Func<T, TKey> key_fn, Func<T, string> fmt_value, string title) where TKey :IEquatable<TKey> {
+         print_incremental_changes<T, TKey>(update.added, update.changes, update.removed, v => $"{key_fn(v)}: {fmt_value(v)}", title);
+      }
+
+      public static void print_incremental_changes<T, TKey>(TableUpdate<T, TKey> table, Func<T, TKey> key_fn, Func<T, string> fmt_value, string title) where TKey :IEquatable<TKey> {
+         if (fmt_value is null)
+            fmt_value = v => v.ToString();
+         print_incremental_changes<T, TKey>(table.added, table.changes, table.removed, v => $"{key_fn(v)}: {fmt_value(v)}", title);
+      }
+
+      public static void print_incremental_changes<T, TKey>(IEnumerable<T> added, IEnumerable<Change<T>> changes, IEnumerable<T> removed, Func<T, string> fmt, string title) {
+         if (fmt is null)
+            fmt = v => v?.ToString() ?? "(null)";
+         var console_out = new StringBuilder();
+         Console.WriteLine($"Received {title} update");
+         var lines = StringUtils.format_columns(new[] {
+            added.Select(fmt).Prepend("  Added  "),
+            changes.Select(ch => ch.New).Select(fmt).Prepend("  Changed  "),
+            removed.Select(fmt).Prepend("  Removed  ")
+         });
+         foreach (var l in lines)
+            Console.WriteLine("\t" + l);
+      }
+
+      public static void _print_incremental_changes<T, TKey>(IEnumerable<T> added, IEnumerable<Change<T>> changes, IEnumerable<T> removed, Func<T, string> fmt, string title) {
+         if (fmt is null)
+            fmt = v => v?.ToString() ?? "(null)";
+         var console_out = new StringBuilder();
+         console_out.AppendLine($"Received {title} update");
+         using (var added_en = added.GetEnumerator()) {
+            if (added_en.MoveNext()) {
+               console_out.AppendLine("  Added:");
+               do console_out.AppendLine("    " + fmt(added_en.Current));
+               while (added_en.MoveNext());
+            }
+         }
+         using (var changes_en = changes.GetEnumerator()) {
+            if (changes_en.MoveNext()) {
+               console_out.AppendLine("  Changes");
+               do console_out.AppendLine($"    {fmt(changes_en.Current.Old)} --> {fmt(changes_en.Current.New)}");
+               while (changes_en.MoveNext());
+            }
+         }
+         using (var removed_en = removed.GetEnumerator()) {
+            if (removed_en.MoveNext()) {
+               console_out.AppendLine("  Removed");
+               do console_out.AppendLine("    " + fmt(removed_en.Current));
+               while (removed_en.MoveNext());
+            }
+         }
+         Console.Write(console_out.ToString());
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/watch/WatchAccounts.cs

@@ -0,0 +1,46 @@
+using bts.api.admin;
+using bts.api.core;
+using bts.api.csharp.data;
+using bts.api.csharp.utils;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Concurrency;
+using System.Reactive.Linq;
+
+namespace bts.api.csharp.watch {
+   static class WatchAccounts {
+      /// <summary>
+      /// Uses the <see cref="AdminService"/> to subscribe to administrative data (users, accounts, permissions, etc.),
+      /// and displays account updates in the console window.
+      /// </summary>
+      public static IDisposable run(AdminService admin_service) {
+         // extract accounts from the admin data into an IObservable<IReadOnlyDictionary<uint, NameIDPair>>.
+         IObservable<IReadOnlyDictionary<uint, NameIDPair>> accounts_source =
+            admin_service.subscribei_admin_data()
+            .Select(update => {
+               // Note that update.all is an IEnumerable<AdminDataImmutable>,
+               // however, it should only have one element.  Pass the first element
+               // to the _map_accounts method, and return the resultant IReadOnlyDictionary.
+               return _map_accounts(update.all.FirstOrDefault());
+            });
+
+         // Use the 'Table' extension method to transform the accounts source from an IObservable<IReadOnlyDictionary<TKey, TValue>>
+         // into an IObservable<TableUpdate<TKey, TValue>> (the latter includes incremental update properties).
+         /// <see cref="TableUpdate{T, TKey}.added"/>
+         /// <see cref="TableUpdate{T, TKey}.changes"/>
+         /// <see cref="TableUpdate{T, TKey}.removed"/>
+         IObservable<TableUpdate<NameIDPair, uint>> incremental_accounts_source =
+            accounts_source.Table(account => account.id);
+
+         // subscribe to the incremental account updates,
+         // and print the changes in the console window.
+         return incremental_accounts_source
+            .ObserveOn(ThreadPoolScheduler.Instance)
+            .Subscribe(upd => UpdateUtils.print_incremental_changes(upd, acc => acc.id, acc => acc.name, "Accounts"));
+      }
+
+      static IReadOnlyDictionary<uint, NameIDPair> _map_accounts(AdminDataImmutable admin_data) =>
+         admin_data.Accounts.ToDictionary(acc => acc.Id, acc => new NameIDPair(acc.Name, acc.Id));
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/watch/WatchBooks.cs

@@ -0,0 +1,48 @@
+using bts.md;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Concurrency;
+using System.Reactive.Linq;
+using SecurityKey = System.UInt32;
+
+namespace bts.api.csharp.watch {
+   static class WatchBooks {
+      /// <summary>
+      /// Uses the <see cref="MarketDataService"/> to observe book updates
+      /// for an optionally filtered list of securities in the system,
+      /// and organize them into a dictionary.
+      /// </summary>
+      public static IDisposable run(MarketDataClient md_client, Func<SecurityImmutable, bool> security_predicate = null) {
+         var books = new Dictionary<SecurityKey, IMDBook>();
+         object locker = new object();
+         if (md_client is null)
+            throw new ArgumentNullException(nameof(md_client));
+         if (security_predicate is null)
+            security_predicate = new Func<SecurityImmutable, bool>(sec => true);
+         /// unlike the other api subscriptions, which publish <see cref="core.Update{T, TKey}"/>
+         /// this subscription publishes an <see cref="IEnumerable{T}"/>, so the updates are not incremental
+         /// (i.e., don't have added/removed/changed items).
+         return md_client.subscribe_book(security_predicate)
+            .ObserveOn(ThreadPoolScheduler.Instance)
+            .Subscribe(on_update);
+
+         void on_update(IEnumerable<IMDBook> new_books) {
+            lock (locker) {
+               foreach (var book in new_books) {
+                  Console.WriteLine($"{book.security} book updated: {_fmt_bbo(book)}.");
+                  books[book.security.Id] = book;
+               }
+            }
+         }
+      }
+
+      static string _fmt_bbo(IMDBook book) {
+         return $"{_fmt_price_size(book.bids.FirstOrDefault())} <--> {_fmt_price_size(book.asks.FirstOrDefault())}";
+      }
+
+      static string _fmt_price_size(PriceSize price_size) {
+         return price_size == null ? "N/A" : $"{price_size.size} @ {price_size.price}";
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/watch/WatchOrders.cs

@@ -0,0 +1,109 @@
+using bts.api.core;
+using bts.api.orderman;
+using System;
+using System.Collections.Generic;
+using System.Diagnostics;
+using System.Reactive.Concurrency;
+using System.Reactive.Linq;
+using AccountKey = System.UInt32;
+using OrderKey = System.UInt32;
+
+namespace bts.api.csharp.watch {
+   static class WatchOrders {
+      /// <summary>
+      /// Uses the <see cref="OrderService"/> to observe order updates, and group them by account.
+      /// Fills and status changes are displayed in the console window.
+      /// </summary>
+      public static IDisposable run(OrderService order_service, Func<OrderRecordImmutable, bool> predicate) {
+         /// 'OrderService' has 2 methods which can be used to subscribe to order updates.
+         ///  -------------------------------------------------------------------------------------
+         /// 1) <see cref="OrderService.subscribe_orders(string)"/>.
+         /// 2) <see cref="OrderService.subscribei_orders(string)"/>.
+         /// This method (no. 2) is typically preferrable because the data it provides is immutable.
+         /// --------------------------------------------------------------------------------------
+         var orders_source = order_service.subscribei_orders();
+         if (predicate != null)
+            orders_source = orders_source.Filter(predicate);
+         return run(orders_source.ObserveOn(ThreadPoolScheduler.Instance));
+      }
+
+      public static IDisposable run(IObservable<Update<OrderRecordImmutable, uint>> orders_source) {
+         object locker = new object();
+         var account_order_map = new Dictionary<AccountKey, Dictionary<OrderKey, OrderRecordImmutable>>();
+         return orders_source.Subscribe(on_update);
+
+         void on_order_added(OrderRecordImmutable new_order) {
+            if (!account_order_map.TryGetValue(new_order.Def.AccountId, out var account_orders)) {
+               // this is the first order for this account.
+               // initialize the account orders dictionary, and add it to our data.
+               account_orders = new Dictionary<AccountKey, OrderRecordImmutable>();
+               account_order_map.Add(new_order.Def.AccountId, account_orders);
+            }
+            _print_order_info(new_order, $"observed for the first time.");
+            // now add the order to account_orders
+            account_orders.Add(new_order.Key, new_order);
+         }
+
+         void on_order_changed(Change<OrderRecordImmutable> change) {
+            // ch.New and ch.Old have the same key.
+            Debug.Assert(change.New.Key == change.Old.Key);
+            var key = change.New.Key;
+            // detect fills
+            if (change.New.State.FilledQuantity != change.Old.State.FilledQuantity) {
+               if (change.New.State.FilledQuantity > change.New.State.Quantity) {
+                  // order has been overfilled
+                  var num_over_fills = change.New.State.FilledQuantity - change.New.State.Quantity;
+                  _print_order_info(change.New, $"overfilled by {num_over_fills}.");
+               } else if (change.New.State.FilledQuantity == change.New.State.Quantity) {
+                  // order has been filled to completion
+                  _print_order_info(change.New, "filled to completion");
+               } else if (change.New.State.Status == OrderStatus.Working) {
+                  // order is still working.
+                  var working_qty = change.New.State.Quantity - change.New.State.FilledQuantity;
+                  _print_order_info(change.New, $"still working {working_qty}");
+               } else {
+                  // order has stopped working prematurely (perhaps it was canceled)
+                  _print_order_info(change.New, $"is inactive");
+               }
+            }
+            // Account will not change, so our dictionary will definitely have a key for this account.
+            Debug.Assert(account_order_map.ContainsKey(change.New.Def.AccountId));
+            var account_orders = account_order_map[change.New.Def.AccountId];
+            // The value for this key in account_orders should equal ch.Old.
+            Debug.Assert(account_orders[key].Equals(change.Old));
+            // update account orders with the changed order. 
+            account_orders[key] = change.New;
+         }
+
+         void on_order_removed(OrderRecordImmutable old_val) {
+            // An entry for this order should be present in our data,
+            // as it is in the 'removed' items.
+            // Assert this is the case to illustrate the point.
+            Debug.Assert(account_order_map.ContainsKey(old_val.Def.AccountId));
+            var account_orders = account_order_map[old_val.Def.AccountId];
+            // the removed value should match the one currently in our data.
+            // Assert this is the case, then remove the order.
+            Debug.Assert(account_orders[old_val.Key].Equals(old_val));
+            account_orders.Remove(old_val.Key);
+         }
+
+         void on_update(Update<OrderRecordImmutable, OrderKey> update) {
+            lock (locker) {
+               foreach (OrderRecordImmutable new_order in update.added) {
+                  on_order_added(new_order);
+               }
+               foreach (Change<OrderRecordImmutable> change in update.changes) {
+                  on_order_changed(change);
+               }
+               foreach (OrderRecordImmutable old_order in update.removed) {
+                  on_order_removed(old_order);
+               }
+            }
+         }
+      }
+
+      static void _print_order_info(OrderRecordImmutable order, string message) {
+         Console.WriteLine($"Order {order.Key} ({order.State.Status}, filled {order.State.FilledQuantity}/{order.State.Quantity}): {message}.");
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/watch/WatchPositions.cs

@@ -0,0 +1,112 @@
+using bts.api.core;
+using bts.api.position;
+using System;
+using System.Collections.Generic;
+using System.Diagnostics;
+using System.Reactive.Concurrency;
+using System.Reactive.Linq;
+
+namespace bts.api.csharp.watch {
+   /// <summary>
+   /// A pair of security, and account id,
+   /// which uniquely identifies each PositionUnit.
+   /// </summary>
+   readonly struct PositionKey {
+      public PositionKey(uint security_id, uint account_id) {
+         this.security_id = security_id;
+         this.account_id = account_id;
+      }
+
+      public uint security_id { get; }
+      public uint account_id { get; }
+
+      public static PositionKey from_position(PositionUnitImmutable p) =>
+         new PositionKey(p.SecurityId, p.AccountId);
+
+      public override string ToString() =>
+         $"Sec {security_id}, Acc {account_id}";
+   }
+
+   static class WatchPositions {
+      /// <summary>
+      /// Uses the <see cref="PositionService"/> api to monitor positions
+      /// for every account/security pair, and organize them into a Dictionary.
+      /// </summary>
+      public static IDisposable run(PositionService position_service, Func<PositionUnitImmutable, bool> predicate) {
+         /// 'PositionService' has 2 methods which can be used to subscribe to position updates.
+         ///  -------------------------------------------------------------------------------------
+         /// 1) <see cref="PositionService.subscribe_position_data(string)"/>.
+         /// 2) <see cref="PositionService.subscribei_position_data(string)"/>.
+         /// This method (no. 2) is typically preferrable because the data it provides is immutable.
+         /// --------------------------------------------------------------------------------------
+         return run(position_service.subscribei_position_data().Filter(predicate).ObserveOn(ThreadPoolScheduler.Instance));
+      }
+
+      public static IDisposable run(IObservable<Update<PositionUnitImmutable, int>> position_source) {
+         var data = new Dictionary<PositionKey, PositionUnitImmutable>();
+         return position_source.Subscribe(on_update);
+
+         void on_position_added(PositionUnitImmutable new_val) {
+            var k = PositionKey.from_position(new_val);
+            // this entry should NOT be present in our _data, as it is in the 'added' items.
+            // Assert this is the case to illustrate the point.
+            Debug.Assert(!data.ContainsKey(k));
+            print_position_info(k, $"initial position received.  Day: Long {new_val.DayLongPos}, Short {new_val.DayShortPos}, Net {new_val.DayLongPos - new_val.DayShortPos}.");
+            // add the new position unit to _data
+            data.Add(k, new_val);
+         }
+
+         void on_position_changed(Change<PositionUnitImmutable> change) {
+            var k = PositionKey.from_position(change.New);
+            // ch.New and ch.Old have the same key (i.e., the Account/Security pair),
+            Debug.Assert(change.New.AccountId == change.Old.AccountId);
+            Debug.Assert(change.New.SecurityId == change.Old.SecurityId);
+            // of course, the value for this key in our dictionary should equal ch.Old.
+            Debug.Assert(data[k].Equals(change.Old));
+            // Display changes to the day position in the console window.
+            // 1) check if the day long changed
+            if (change.New.DayLongPos != change.Old.DayLongPos) {
+               print_position_info(k, $"day long changed from {change.Old.DayLongPos} to {change.New.DayLongPos}.");
+            }
+            // 2) check if day short changed
+            if (change.New.DayShortPos != change.Old.DayShortPos) {
+               print_position_info(k, $"day short changed from {change.Old.DayShortPos} to {change.New.DayShortPos}.");
+            }
+            // 3) check if net day position changed
+            var new_net_day_pos = change.New.DayLongPos - change.New.DayShortPos;
+            var old_net_day_pos = change.Old.DayLongPos - change.Old.DayShortPos;
+            if (new_net_day_pos != old_net_day_pos) {
+               print_position_info(k, $"day net changed from {old_net_day_pos} to {new_net_day_pos}.");
+            }
+            // update _data with the changed position.
+            data[k] = change.New;
+         }
+
+         void on_position_removed(PositionUnitImmutable old_val) {
+            var k = PositionKey.from_position(old_val);
+            // this entry should be present in our _data, as it is in the 'removed' items.
+            // Assert this is the case to illustrate the point.
+            Debug.Assert(data.ContainsKey(k));
+            // this should match our data.  Assert this is the case.
+            Debug.Assert(data[k].Equals(old_val));
+            data.Remove(k);
+         }
+
+         void on_update(Update<PositionUnitImmutable, int> update) {
+            foreach (PositionUnitImmutable p in update.added) {
+               on_position_added(p);
+            }
+            foreach (Change<PositionUnitImmutable> ch in update.changes) {
+               on_position_changed(ch);
+            }
+            foreach (PositionUnitImmutable p in update.removed) {
+               on_position_removed(p);
+            }
+         }
+
+         void print_position_info(PositionKey position_key, string message) {
+            Console.WriteLine($"Position {position_key}: {message}.");
+         }
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/watch/WatchSecurities.cs

@@ -0,0 +1,22 @@
+using bts.api.core;
+using bts.api.csharp.utils;
+using System;
+using System.Reactive.Concurrency;
+using System.Reactive.Linq;
+
+namespace bts.api.csharp.watch {
+   static class WatchSecurities {
+      public static IDisposable run(MarketDataService market_data_service, Func<SecurityImmutable, bool> predicate) {
+         // watch securities
+         var securities = market_data_service.subscribei_securities().Table();
+         if (predicate != null)
+            securities = securities.Filter(predicate);
+         return securities
+            .ObserveOn(ThreadPoolScheduler.Instance)
+            .Subscribe(upd => {
+               if (!upd.is_empty())
+                  UpdateUtils.print_incremental_changes(upd, sec => sec.Id, null, "Securities");
+            });
+      }
+   }
+}

src/sdk/examples/client_sdk/bts.api.csharp/src/bts/api/csharp/watch/WatchSymbols.cs

@@ -0,0 +1,48 @@
+using bts.api.core;
+using System;
+using System.Linq;
+using System.Reactive.Concurrency;
+using System.Reactive.Linq;
+using SymbolTableGroup = bts.api.core.TableUpdateGrouping<bts.api.SecurityImmutable, uint, string>;
+
+namespace bts.api.csharp.watch {
+   static class WatchSymbols {
+      /// <summary>
+      /// Observes securities via <see cref="MarketDataService.subscribei_securities(string)"/>, and prints newly received symbols to the console.
+      /// </summary>
+      /// <returns>An IDisposable to dispose the subscription to the securities source.</returns>
+      public static IDisposable run(MarketDataService market_data_service) {
+         return run(market_data_service.subscribei_securities().Table());
+      }
+
+      /// <summary>
+      /// Observes a security update sequence, and prints newly received symbols to the console.
+      /// </summary>
+      /// <returns>An IDisposable to dispose the subscription to the securities source.</returns>
+      public static IDisposable run(IObservable<TableUpdate<SecurityImmutable, uint>> securities_source) {
+         ushort update_count = 0;
+         object locker = new object();
+         return securities_source.GroupTable(sec => sec.Id, sec => sec.Symbol)
+            .ObserveOn(ThreadPoolScheduler.Instance)
+            .Subscribe(on_update);
+
+         void on_update(TableUpdate<SymbolTableGroup, string> group_update) {
+            lock (locker) {
+               var num_new_securities = group_update.added.Concat(group_update.changed).Sum(grp => grp.table.added.Count());
+
+               Console.WriteLine(
+                  $"Security update number {++update_count} provided {num_new_securities} new securities " +
+                  $"on {group_update.added.Count()} new symbols.");
+
+               var new_symbols = group_update.added
+                  .Select(table_group => table_group.group_key)
+                  .OrderBy(sym => sym);
+
+               foreach (var new_symbol in new_symbols) {
+                  Console.WriteLine("\t" + new_symbol);
+               }
+            }
+         }
+      }
+   }
+}

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

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

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

@@ -119,25 +119,7 @@ private:
    enum SecurityFilterAction { ADD, SKIP, DELETE };
    
    std::string parse_contract_symbol(const std::string& sym);
-   template<typename Definition>
-   std::string get_contract_symbol(const Definition& def){
-      const auto& sym = def.contractSymbol;
-      // TODO : this is only exception right now but for HHD sstrips
-      // def.contractSymbol is empty ! 
-      if (sym.size() == 0 && 
-         (
-            def.marketDesc.rfind("NG Swing GDD Futures - Henry", 0) == 0 ||
-            def.marketDesc.rfind("NG GDD for LD1 Futures Spr - Henry", 0) == 0
-         ))
-         return "HHD";
-
-      auto end = sym.find(' ');
-      if(end == std::string::npos)
-         return sym;
-      else
-         return sym.substr(0, end);
-   }
-
+      
    template<typename Definition>
    SecurityFilterAction filter_security(int exchange_id, const Definition& def) 
    {
@@ -148,7 +130,7 @@ private:
       }
       if(_symbol_filter.count("*") > 0)
          return ADD;
-      return _symbol_filter.count(get_contract_symbol(def)) > 0 ? ADD : SKIP;
+      return _symbol_filter.count( parse_contract_symbol(def.contractSymbol) ) > 0 ? ADD : SKIP;
    }
    void flush_books();
    void update_all_status(co2::CoconutSecurityStatus status);
@@ -164,7 +146,7 @@ template<typename Definition>
 void ICEListener::set_security_common(const Definition& def, FixedSecurity& fsec) 
 {
    fsec.numeric_id = def.marketId;
-   std::string sym = get_contract_symbol(def);
+   std::string sym = parse_contract_symbol(def.contractSymbol);
    if(!sym.empty())
    {
       fsec.symbol( sym );
@@ -183,7 +165,7 @@ void ICEListener::set_security_common(const Definition& def, FixedSecurity& fsec
    fsec.ice_settle_denominator = (int8_t)(def.settlePriceDenominator - '0');
    double min_tick = double_of_price(def.incrementPrice, fsec.ice_price_denominator);
    fsec.low_tick = fsec.high_tick = min_tick;
-   fsec.price_break = 0.0;
+   fsec.price_break = 0.0;    
    
    fsec.ice_market_description(def.marketDesc);
    fsec.ice_cleared_alias(def.clearedAlias);
@@ -225,12 +207,12 @@ void ICEListener::on_uds_future_spread(const Definition& def, bool& is_intereste
    // auto expiration = date_of_maturity(sec);
    // if (expiration < datetime::today()) return;
 
-   FixedSpreadSecurityXL fsec;
+   FixedSpreadSecurityL fsec;
    set_security_common(def, fsec);
    fsec.alt_symbol(def.strategySymbol);      
    
-   const auto& legs = def.legs;   
-   if (legs.size() > 0 && legs.size() <= 512) {
+   const auto& legs = def.legs;
+   if (legs.size() > 0) {
       fsec.set_leg_count(legs.size());
       for(size_t x = 0; x < fsec.leg_count(); ++x) 
       {
@@ -256,8 +238,6 @@ void ICEListener::on_uds_future_spread(const Definition& def, bool& is_intereste
       add_security(fsec);
       is_interested = true;            
    }
-   else
-      LOG(md, Error, "Ignoring security {} with {} legs", def.marketDesc, legs.size());
 }
 
 
@@ -268,7 +248,7 @@ void ICEListener::on_future_strip(const FutureDefinition& def, bool& is_interest
    auto exchange_id = def.marketId;
    if (filter_security(exchange_id, def) != ADD) return;   
 
-   FixedSpreadSecurityXL fsec;
+   FixedSpreadSecurityXS fsec;
    set_security_common(def, fsec);
    fsec.alt_symbol(def.stripName);      
    

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

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

src/server/sparkd/position/PositionServicePNLHelper.cpp

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