Adding OnSignal (this is a new algo which is hidden by default)

Limit algo clean history

.gitignore

@@ -35,3 +35,4 @@ trace_data/
 .ionide/*
 /.ignore
 /build
+.clangd/

.vscode/launch.json

@@ -1,6 +1,30 @@
 {
     "version": "0.2.0",
     "configurations": [
+        {
+            "name": "Spark Local",
+            "type": "cppdbg",
+            "request": "launch",
+            "program": "${workspaceRoot}/build/ninja_debug/server/sparkd",
+            "args": [
+                "run",
+                // "test",
+                // "-a",
+                // "[ilink3]"
+            ],
+            "stopAtEntry": false,
+            "cwd": "${workspaceRoot}/build/ninja_debug/server/",
+            "environment": [],
+            "externalConsole": false,
+            "MIMode": "gdb",
+            "setupCommands": [
+                {
+                    "description": "Enable pretty-printing for gdb",
+                    "text": "-enable-pretty-printing",
+                    "ignoreFailures": true
+                }
+            ]
+        },
         {
             "name": "SparkVM Launch",
             "type": "cppdbg",

doc/api/content/server/getting-started/download.md

@@ -68,12 +68,21 @@ To update your Spark SDK simply download an unzip a new [spark_sdk.zip](https://
 
 To preserve the old image so you can go back to it later run `docker tag spark_sdk spark_sdk:your_custom_tag` before loading the new SDK image.
 
-<!--
-Then stop, remove and restart spark_sdk.
+### Re-build the Dev Container
+
+If you are using Visual Studio Code you also need to rebuild the dev-container so it picks up the new image.
+
+#### Inside VSCode
+To re-build from inside Visual Studio Code.  Click the 'Remote Explorer' icon on the left hand side. 
+You should see your spark_sdk project listed under the Containers section.  Right click on it and select **rebuild-container**.
+
+#### Command Line
+To re-build from the command line run `docker ps -a` and find the row with the spark_sdk image. 
 ```
-c:\bts> docker stop spark_sdk
-c:\bts> docker rm spark_sdk
-c:\bts> docker run -d -v %cd%:/sdk --name spark_sdk bluetradingsytems/spark_sdk
+CONTAINER ID        IMAGE                          COMMAND                  CREATED              STATUS                      PORTS                                NAMES
+54d96cfa3888        spark_sdk                      "/bin/sh -c 'echo Co…"   About a minute ago   Up About a minute           127.0.0.1:9000-9001->9000-9001/tcp   quizzical_lichterman
+```
+Then run `docker rm 54d96cfa3888` (use your container id instead of 54d96cfa3888)  or `docker rm quizzical_lichterman` (use your container name).
+
 
-``` -->
 

doc/user/content/release_notes/_index.md

@@ -1,9 +1,22 @@
-+++
++++
 title = "Release notes"
 weight = 3
 sort_by = "weight"
 insert_anchor_links = "right"
 +++
+## 2.16.2
+### User Visible Change
+  - Synthetic creation dialog has a "fractional" checkbox next to the tick settings.  Users may uncheck this box to enter integer tick sizes, so the synthetic security's prices will be displayed without decimals, or fractional units.
+## 2.16.1
+### Bug Fixes
+  - OrderBook's algo state parameters (in the panel on the right side) are sorted alphabetically
+## 2.16.0
+### Bug Fixes
+  - Solved an issue that could result in incorrect ladder levels
+  - Solved an issue that could lead to incorrect routing of orders in the event of certain MSGW changes
+### API Changes
+  - Add C# client side API samples for order entry, position monitoring and market data observation
+
 ## 2.15.10
 ### Bug Fixes
   - Solved an issue that could cause the user interface to fail when playing some alert sounds
@@ -715,3 +728,4 @@ insert_anchor_links = "right"
 - Start, Day and Total PnL columns are painted with a red or green background color based on if the pnl value is negative or positive respectively
 - Corrected cash per point values, used in pnl calculations, for a number of products
 - PnL report will now remember any customizations you make to filtering and/or sorting criteria
+

global.json

@@ -0,0 +1,6 @@
+{
+  "sdk": {
+    "version": "2.1.508",
+    "rollForward": "latestMajor"
+  }
+}

src/client/Directory.Build.Props

@@ -22,6 +22,10 @@
     <GenDir>$(BaseOutputPath)\gen\$(MSBuildProjectName)</GenDir>
 </PropertyGroup>
 
+<PropertyGroup Condition="'$(VCTargetsPath)'==''">
+    <VCTargetsPath>C:\Program Files (x86)\Microsoft Visual Studio\2017\Professional\Common7\IDE\VC\VCTargets</VCTargetsPath>
+</PropertyGroup>
+
 <Import Project="$(ComputerSpecificConfig)" Condition="Exists($(ComputerSpecificConfig))" />
 
 <ItemGroup>

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

@@ -549,24 +549,48 @@
               </u:BindingUpdateGroupCollection>
             </u:Behavior.BindingUpdateGroups>
           </TextBox>
-          <TextBlock
+          <StackPanel
             x:Name="PART_TickFactors_Label"
             Grid.Column="2"
-            VerticalAlignment="Center"
-            Margin="{StaticResource Margin.LHeaderPanelItem}"
-            Text="Ticks"
             IsEnabled="True"
+            Orientation="Horizontal"
             Visibility="{Binding LegTuples.Count, RelativeSource={RelativeSource TemplatedParent}, Converter={StaticResource IntNotZeroVisibilityConverter}}"
-          />
-          <c:TickFactorsPicker
+           >
+            <TextBlock
+              VerticalAlignment="Center"
+              Margin="{StaticResource Margin.LHeaderPanelItem}"
+              Text="Ticks ("
+            />
+            <CheckBox
+              Margin="1,0,0,0"
+              IsChecked="{Binding UseFractionalTicks, RelativeSource={RelativeSource TemplatedParent}}"
+              VerticalAlignment="Center"
+              VerticalContentAlignment="Center"
+              Padding="0"
+            >
+              fractional
+            </CheckBox>
+            <TextBlock VerticalAlignment="Center" Margin="1,0,0,0">)</TextBlock>
+          </StackPanel>
+          <Grid
             x:Name="PART_TickFactors_Picker"
             Grid.Column="3"
-            Margin="{StaticResource Margin.LHeaderPanelItem}"
-            HorizontalAlignment="Stretch"
             IsEnabled="True"
-            SelectedTickFactors="{Binding TickFactors, RelativeSource={RelativeSource TemplatedParent}, Mode=TwoWay}"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
             Visibility="{Binding LegTuples.Count, RelativeSource={RelativeSource TemplatedParent}, Converter={StaticResource IntNotZeroVisibilityConverter}}"
-          />
+          >
+            <c:TickFactorsPicker
+              HorizontalAlignment="Stretch"
+              SelectedTickFactors="{Binding TickFactors, RelativeSource={RelativeSource TemplatedParent}, Mode=TwoWay}"
+              Visibility="{Binding UseFractionalTicks, RelativeSource={RelativeSource TemplatedParent}, Converter={x:Static cv:BooleanToVisibilityConverter.HiddenInstance}}"
+            />
+            <c:TickUpDownInt
+              HorizontalAlignment="Stretch"
+              Minimum="1"
+              Value="{Binding IntegerTickSize, RelativeSource={RelativeSource TemplatedParent}}"
+              Visibility="{Binding UseFractionalTicks, RelativeSource={RelativeSource TemplatedParent}, Converter={StaticResource FalseVisibilityConverter}}"
+            />
+          </Grid>
           <TextBlock
             x:Name="PART_Pricing_Label"
             Grid.Column="4"

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

@@ -52,6 +52,26 @@ namespace mbts.ui.spark {
       public TickFactors TickFactors { get => GetValue(TickFactorsProperty) as TickFactors; set => SetValue(TickFactorsProperty, value); }
       #endregion
 
+      #region UseFractionalTicks
+      public static readonly DependencyProperty UseFractionalTicksProperty = WPFHelper.create_dp<bool, ExecutionStrategyEditor>(
+         nameof(UseFractionalTicks), FrameworkPropertyMetadataOptions.BindsTwoWayByDefault, true);
+
+      public bool UseFractionalTicks {
+         get => (bool)GetValue(UseFractionalTicksProperty);
+         set => SetValue(UseFractionalTicksProperty, value);
+      }
+      #endregion
+
+      #region IntegerTickSize
+      public static readonly DependencyProperty IntegerTickSizeProperty = WPFHelper.create_dp<int, ExecutionStrategyEditor>(
+         nameof(IntegerTickSize), FrameworkPropertyMetadataOptions.BindsTwoWayByDefault, 1);
+
+      public int IntegerTickSize {
+         get => (int)GetValue(IntegerTickSizeProperty);
+         set => SetValue(IntegerTickSizeProperty, value);
+      }
+      #endregion
+
       #region IsNew
       public static readonly DependencyProperty IsNewProperty =
          DependencyProperty.Register(

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

@@ -36,6 +36,8 @@
       ContractPickerModel="{Binding contract_picker_model}"
       HedgePricing="{Binding hedge_pricing}"
       HedgePricingItemsSource="{Binding hedge_pricing_options}"
+      UseFractionalTicks="{Binding use_fractional_ticks}"
+      IntegerTickSize="{Binding integer_tick_size}"
     />
     <c:DialogSkirtOKCancel Grid.Row="1" OKCommand="{Binding commit}" CloseOnOK="False"/>
   </Grid>

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

@@ -2,7 +2,6 @@
 using bts.collections;
 using bts.shell;
 using bts.spark;
-using bts.utils;
 using mbts.ui;
 using mbts.ui.shell;
 using mbts.ui.spark;
@@ -30,8 +29,16 @@ namespace mbts.spark {
       readonly Property<bool> _has_working_orders, _can_add_leg;
 
       Security _synthetic;
-      bool _set_name_automatically, _set_ticks_automatically, _set_quantities_automatically, _set_price_mults_automatically, _is_setting_quantities, _is_setting_price_mults;
+      bool
+         _set_name_automatically,
+         _set_ticks_automatically,
+         _set_quantities_automatically,
+         _set_price_mults_automatically,
+         _is_setting_quantities,
+         _is_setting_price_mults,
+         _use_fractional_ticks = true;
       TickFactors _tick_factors;
+      int _integer_tick_size = 1;
       ExecutionStrategyImmutable _strategy;
       HedgePricing _hedge_pricing;
 
@@ -44,6 +51,10 @@ namespace mbts.spark {
          : this(synthetic, strategy, false) {
          ExceptionAssert.InvalidOperation.That(synthetic.Id != 0, "This constructor may only be used for already-existing synthetic securities (id must be non-zero).");
          _tick_factors = TickUtils.get_regional_ticks(synthetic.ContractSpec).low_tick;
+         if (TickUtils.is_integer_tick(synthetic.ContractSpec)) {
+            _use_fractional_ticks = false;
+            _integer_tick_size = DoubleHelper.to_optional_int32(synthetic.ContractSpec.LowTick) ?? 0;
+         }
          title = $"Edit '{synthetic.Synthetic.Name}'";
          icon = Icons.ModifySynthetic;
          _has_working_orders = backing(nameof(has_working_orders), security_has_working_orders.OnDispatcher());
@@ -131,14 +142,14 @@ namespace mbts.spark {
                flash_error_msg("Name already taken", SparkUtils.UI.MessageFlashDuration, nameof(name)).ignore();
                valid = false;
             }
-            if (_tick_factors == null || !_tick_factors.is_valid()) {
-               flash_error_msg("Please select ticks", SparkUtils.UI.MessageFlashDuration, nameof(tick_factors)).ignore();
+            if (use_fractional_ticks ? (_tick_factors == null || !_tick_factors.is_valid()) : integer_tick_size == 0) {
+               flash_error_msg("Please select ticks", SparkUtils.UI.MessageFlashDuration, use_fractional_ticks ? nameof(tick_factors) : nameof(integer_tick_size)).ignore();
                valid = false;
             }
             if (valid) {
                _synthetic.Synthetic.Legs.SetItems(leg_tuples.Select(l => l.leg));
                _synthetic.Symbol = _deduce_symbol(_synthetic);
-               _synthetic.ContractSpec = _tick_factors.to_spec();
+               _synthetic.ContractSpec = use_fractional_ticks ? _tick_factors.to_spec() : TickUtils.create_integer_tick_spec(integer_tick_size);
                uint? id = await model.create_synthetic(new SecurityImmutable(_synthetic));
                if (id.HasValue && id != 0) {
                   if (await model.save_strategy(id.Value, get_strategy())) {
@@ -295,6 +306,20 @@ namespace mbts.spark {
       public bool has_working_orders => _has_working_orders.Value;
       public bool is_new { get; }
       public bool is_new_leg_popup_open { get; set; }
+      public bool use_fractional_ticks {
+         get => _use_fractional_ticks;
+         set {
+            if (Set(ref _use_fractional_ticks, value))
+               _set_ticks_automatically = false;
+         }
+      }
+      public int integer_tick_size {
+         get => _integer_tick_size;
+         set {
+            if (Set(ref _integer_tick_size, value))
+               _set_ticks_automatically = false;
+         }
+      }
       public bool can_add_leg => _can_add_leg.Value;
       public SyntheticContract.Types.PriceCalc price_calc { get => _synthetic.Synthetic.PriceCalc; set => _synthetic.Synthetic.PriceCalc = value; }
       public ObservableCollection<LegSpreaderParamsTuple> leg_tuples { get; } = new ObservableCollection<LegSpreaderParamsTuple>();
@@ -323,6 +348,16 @@ namespace mbts.spark {
          _strategy = strategy;
          hedge_pricing = strategy.HedgePricing;
          leg_tuples.SetItems(_get_legs(_synthetic, strategy));
+         if (synthetic.HasContractSpec) {
+            /// assign the fields <see cref="_use_fractional_ticks"/> and <see cref="_integer_tick_size"/>,
+            /// rather than the properties <see cref="use_fractional_ticks"/> and <see cref="integer_tick_size"/>
+            /// because the setters of the former flip <see cref="_set_ticks_automatically"/> to false if the value changes.
+            /// This behavior causes the ticks to be automatically deduced as legs are added/removed,
+            /// until the user explicitly enters a different value (as the properties are bound to tick input controls in the view).
+            Set(ref _use_fractional_ticks, !TickUtils.is_integer_tick(synthetic.ContractSpec), nameof(use_fractional_ticks));
+            if (!use_fractional_ticks)
+               Set(ref _integer_tick_size, DoubleHelper.to_optional_int32(synthetic.ContractSpec.LowTick) ?? 0, nameof(integer_tick_size));
+         }
          RaisePropertyChanged(nameof(name), nameof(tick_factors));
       }
 

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

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

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

@@ -534,13 +534,44 @@ namespace mbts.spark {
          _size_from_row(row, _price_list, _asks, _vm.security.ContractSpec);
 
       uint _volume_from_row(int row) {
-         if (_price_list.SafeTryGetAt(row, out var price)) {
-            var vapls = _volume_container.read_new_value();
-            if (vapls != null) {
-               return vapls.SelectFirstOrDefault(v => MathUtils.epsilon_equals(v.Price, price), v => v.Volume);
-            } 
+         const int max_tries = 3;
+         var errors = new List<string>(0);
+         int num_tries = 0;
+         for (; num_tries < max_tries; num_tries++) {
+            try {
+               var rv = impl();
+               if (num_tries > 0) {
+                  log_errors(true);
+               }
+               return rv;
+            } catch (Exception ex) {
+               errors.Add(ex.ToString());
+            }
+         }
+         log_errors(false);
+         return 0;
+
+         void log_errors(bool succeeded) {
+            // Only log distinct errors to avoid useless noise.
+            // It's likely that the exception will always be the same (IndexOutOfRange),
+            // however, this bug is not fully understood, so assume nothing.
+            var error_msg = string.Join("; ", errors.Distinct());
+            if (succeeded) {
+               Log.Ui.error($"Ladder '{security}' got volume for row at index '{row}' after {num_tries + 1} attempts (price_list array length is {_price_list.Length}).  The following exceptions were observed: {error_msg}");
+            } else {
+               Log.Ui.error($"Ladder '{security}' failed to get volume for row at index '{row}' after {max_tries} attempts (price_list array length is {_price_list.Length}): {error_msg}");
+            }
+         }
+
+         uint impl() {
+            if (_price_list.SafeTryGetAt(row, out var price)) {
+               var vapls = _volume_container.read_new_value();
+               if (vapls != null) {
+                  return vapls.SelectFirstOrDefault(v => MathUtils.epsilon_equals(v.Price, price), v => v.Volume);
+               }
+            }
+            return 0u;
          }
-         return 0u;
       }
 
 

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

@@ -36,7 +36,6 @@ namespace mbts.spark {
       public OrderBookRowVM(OrderBookVM owner, OrderSecurityRootPair order_tuple, bool is_expanded, Action<bool> on_selection_changed) {
          _owner = owner;
          this.order_tuple = order_tuple;
-         is_visible = !is_child;
          _is_expanded = is_expanded;
          prospective_quantity = this.quantity;
          prospective_price = this.price;
@@ -113,7 +112,6 @@ namespace mbts.spark {
       // Tree
       public bool is_parent { get => _is_parent; set => Set(ref _is_parent, value); }
       public bool is_child => order.has_parent();
-      public bool is_visible { get; set; }
       public bool is_expanded {
          get => _is_expanded;
          set {

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

@@ -51,6 +51,7 @@ namespace mbts.spark {
       readonly OrderParamsAggregator _selected_params_mon;
       readonly CommonValueMonitor<SecurityImmutable?> _selected_security_mon = new CommonValueMonitor<SecurityImmutable?>();
       readonly RightPanelModel _right_panel = new RightPanelModel();
+      readonly CustomStateSynchronizer _custom_state_sync;
       OrderBookFillsGridSettings _cached_fills_settings = OrderBookStartupData.DefaultFillsGrid;
       double
          _raw_right_panel_width = OrderBookStartupData.Default.right_panel_width,
@@ -124,6 +125,8 @@ namespace mbts.spark {
          _row_collection.CollectionChanged += _row_collection_CollectionChanged;
          _current_row = backing<OrderBookRowVM>(nameof(current_row));
          _columns.filter_changed += _on_filter_changed;
+         _custom_state_sync = new CustomStateSynchronizer(this);
+         // commands
          collapse_all_rows_command = new DelegateCommand(_row_collection.collapse_all);
          expand_all_rows_command = new DelegateCommand(_row_collection.expand_all);
          var modify_selected_orders_async_cmd = new AsyncCommand(_modify_selected_orders_async, () => _selected_params_mon.all_active && order_mod_vm.is_dirty);
@@ -188,6 +191,7 @@ namespace mbts.spark {
                security_plurality = p;
                RaisePropertyChanged(nameof(security_plurality));
             }),
+            _current_row.Subscribe(_ => _custom_state_sync.sync()),
             orders_source.OnDispatcher().Subscribe(t => {
                if (_selected_rows.Count == 0) {
                   _cached_orders = t.state;
@@ -207,6 +211,8 @@ namespace mbts.spark {
                      }
                   }
                }
+               _custom_state_sync.sync(true);
+               orders_changed?.Invoke();
             }),
             model.on_orders_can_attach.OnDispatcher().Subscribe(table => {
                _cached_attachable = new MappedDictionary<uint, KeyValuePair<uint, bool>, bool>(table.state, kv => kv.Value);
@@ -375,7 +381,7 @@ namespace mbts.spark {
       }
 
       public event Action<OrderRecordImmutable?> selected_order_changed;
-      public event Action begin_attaching, end_attaching;
+      public event Action begin_attaching, end_attaching, orders_changed;
       public event Action<(IEnumerable, bool)> request_selection;
 
       public ObservableAppendCollection<DIYGrid.ColumnBase> columns { get; }
@@ -395,6 +401,7 @@ namespace mbts.spark {
          }
       }
       public OrderRecordImmutable? current_order => current_row?.order;
+      public ObservableCollection<NamedValueVM> current_algo_custom_state { get; } = new ObservableCollection<NamedValueVM>();
       public AlgoDefinitionVM algo_vm => order_mod_vm.algo_vm;
       public OrderParamsVM order_mod_vm { get; }
       public FillsVMContainer fills_vm { get; } = new FillsVMContainer();
@@ -474,6 +481,28 @@ namespace mbts.spark {
       public IObservable<bool> subscribe_show_fills() => _show_fills.observe_current(true);
       public IObservable<bool> subscribe_show_ladder() => _show_ladder.observe_current(true);
       public IObservable<bool> subscribe_show_order_params() => _show_order_params.observe_current(true);
+      public IObservable<OrderSecurityAlgo?> subscribe_single_selected_order() =>
+         Observable.Create<OrderSecurityAlgo?>(o => {
+            OrderSecurityAlgo? last_fired = null;
+            orders_changed += notify;
+            _current_row.Changed += on_current_row_changed;
+            notify();
+            return Disposable.Create(dispose);
+            // local methods
+            void notify() {
+               var next = current_row == null ? (OrderSecurityAlgo?)null : current_row.order_tuple.order;
+               if (next != last_fired)
+                  o.OnNext(last_fired = next);
+            }
+
+            void on_current_row_changed(OrderBookRowVM oldval, OrderBookRowVM newval) =>
+               notify();
+
+            void dispose() {
+               orders_changed -= notify;
+               _current_row.Changed -= on_current_row_changed;
+            }
+         });
 
       public void row_selection_changed(SelectionChangedEventArgs e) {
          try {
@@ -503,6 +532,7 @@ namespace mbts.spark {
             _can_attach_selected_orders.refresh();
             _can_detach_selected_orders.refresh();
             selected_order_changed?.Invoke(current_order);
+            _custom_state_sync.sync();
          } catch (Exception ex) {
             // [John]I observed a strange null-reference exception in this callback when the launcher was shutting down (see https://bluetradesys.atlassian.net/browse/SPARK-2089)
             Log.Ui.error($"[{nameof(OrderBookVM)}] Error handling selection change: {ex}");
@@ -723,6 +753,45 @@ namespace mbts.spark {
          }
       }
 
+      class CustomStateSynchronizer {
+         readonly OrderBookVM _vm;
+         OrderBookRowVM _synced_row;
+
+         public CustomStateSynchronizer(OrderBookVM vm) =>
+            _vm = vm;
+
+         public void sync(bool force_refresh = false) {
+            var row = _vm.current_row != null &&
+               _vm.selected_rows.Select(r => r.order_tuple.root.order.Key).Distinct().TryGetSingle(out uint droot) &&
+               _vm.current_row.order_tuple.root.order.Key == droot ?
+                  _vm.current_row : null;
+            if (force_refresh || row != _synced_row) {
+               _synced_row = row;
+               _refresh();
+            }
+         }
+
+         void _refresh() {
+            _vm.current_algo_custom_state.Clear();
+            if (_synced_row == null)
+               return;
+            var dcs = _synced_row.order.dynamic_custom_state();
+            // while dcs is not expected to be null, best to play it safe and double check.
+            if (dcs.is_null_or_empty()) {
+               var descendent_rows = _vm._row_collection.get_descendent_rows(_synced_row.order_key);
+               if (_vm._row_collection.filter != null)
+                  descendent_rows = descendent_rows.Where(child => _vm._row_collection.filter(child.order_tuple));
+               foreach (var dr in descendent_rows) {
+                  dcs = dr.order.dynamic_custom_state();
+                  if (!dcs.is_null_or_empty())
+                     break;
+               }
+            }
+            foreach (var p in dcs.empty_if_null().OrderBy(kv => kv.Key))
+               _vm.current_algo_custom_state.Add(new NamedValueVM(p.Key, DynamicOrderHelper.fmt_param(p.Value)));
+         }
+      }
+
       public class OrderParamsVM : DisposableViewModelBase {
          readonly SelectorProperty<AccountTuple, AccountTuple?> _accounts;
          readonly OrderBookVM _owner;

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

@@ -1,4 +1,5 @@
-using bts.api;
+using bts;
+using bts.api;
 using bts.api.orderman;
 using bts.shell;
 using bts.shell.fills;
@@ -6,9 +7,11 @@ using bts.shell.orderbook;
 using bts.spark;
 using bts.view;
 using mbts.persist;
+using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.extensions;
 using mbts.ui.spark;
+using mbts.ui.utilities;
 using mbts.ui.utility;
 using mbts.utils;
 using System;
@@ -24,7 +27,10 @@ namespace mbts.spark {
       const string _window_type = "OrderBook", _default_title = "Order Book";
       readonly INotificationService _notification_service;
       readonly IWindowSettingsManager<OrderBookGridSettings> _settings_manager;
+      readonly bool _can_edit_specific_algo_params;
       IDisposable _attachment_exit_sub;
+      // initialized in thread_init
+      List<IDisposable> _thread_init_resources;
       OrderBookStartupData _state;
       OrdersModel _model;
       OrderBookVM _vm;
@@ -34,13 +40,14 @@ namespace mbts.spark {
       SparkCommand[] _commands;
 
       public OrderBookWindow(OrdersModel model, OrderBookWindowFactory factory, IBus bus, INotificationService notification_service,
-         OrderBookStartupData state, ImageSource icon, IWindowSettingsManager<OrderBookGridSettings> settings_manager)
+         OrderBookStartupData state, ImageSource icon, IWindowSettingsManager<OrderBookGridSettings> settings_manager, bool can_edit_specific_algo_params)
          : base(_default_title, bus, factory, SparkCommands.ShowOrders.icon) {
          _model = model;
          _factory = factory;
          _notification_service = notification_service;
          _state = state;
          _settings_manager = settings_manager;
+         _can_edit_specific_algo_params = can_edit_specific_algo_params;
          thread_id = config.Configuration.get<bts.config.MultiThreadedWindows>().order_book ? "OrderBook" : null;
       }
 
@@ -64,12 +71,14 @@ namespace mbts.spark {
       public string thread_id { get; }
 
       public override void Dispose() {
-         _commands.OfType<IDisposable>().DisposeAll();
+         Disposable.dispose(_thread_init_resources);
          Disposable.dispose(ref _attachment_exit_sub);
          Disposable.dispose(ref _vm);
       }
 
       public void thread_init() {
+         Log.assert(_thread_init_resources == null, $"{nameof(_thread_init_resources)} must be initialized in thread_init.");
+         _thread_init_resources = new List<IDisposable>();
          _menu_display_vm = new SparkMenuDisplayVM();
          if (_state != null)
             _menu_display_vm.load_from(_state.menu_display);
@@ -147,6 +156,15 @@ namespace mbts.spark {
             can_execute: () => _vm.selected_orders.Any(x => passes_recreate_search_criteria(x))
          );
          recreate_selected_orders_command.group = CommandGroups.Modify;
+         ICommand edit_algo_params_cmd;
+         if (_can_edit_specific_algo_params) {
+            _thread_init_resources.Add(CommandHelper.bind_param_source(
+               new DialogCommand<OrderSecurityAlgo?, Window>(mk_algo_params_dialog, has_algo_params),
+               _vm.subscribe_single_selected_order(),
+               out edit_algo_params_cmd, true));
+         } else {
+            edit_algo_params_cmd = DelegateCommand.empty;
+         }
 
          var attach_selected_orders_command = new SparkCommandCommand(
             "Attach To Selected",
@@ -194,14 +212,22 @@ namespace mbts.spark {
          show_grid_settings_command.group = CommandGroups.Auxiliary;
 
          _commands = new SparkCommand[] {
+            // modify commands
             toggle_show_right_panel_command,
             attach_selected_orders_command,
             detach_selected_orders_command,
             recreate_selected_orders_command,
+            new SparkCommandCommand("Algo Params...", Icons.Algo, edit_algo_params_cmd) {
+               group = CommandGroups.Modify,
+               show_in_toolbar = false,
+               show_in_context_menu = _can_edit_specific_algo_params
+            },
+            // cancel commands
             cancel_selected_orders_command,
             cancel_buy_orders_command,
             cancel_sell_orders_command,
             cancel_all_orders_command,
+
             toggle_collapse_all_command,
             toggle_expand_all_command,
             show_grid_settings_command,
@@ -210,9 +236,12 @@ namespace mbts.spark {
             hidden_cmd(new SparkCommandCommand(OrderBookView.CommandDescriptions.RevertOrders, null, _vm.revert_selected_orders_cmd, OrderBookView.KeyboardShortcuts.RevertOrders)),
             _menu_display_vm.spark_cmd
          };
-         _vm.as_demuxer().subscribe<bool>(nameof(OrderBookVM.show_right_panel))
-            .Subscribe(_ => toggle_show_right_panel_command.title = get_toggle_show_right_panel_cmd_title());
+         _thread_init_resources.AddRange(_commands.OfType<IDisposable>());
+         _thread_init_resources.Add(_vm.as_demuxer()
+            .subscribe<bool>(nameof(OrderBookVM.show_right_panel))
+            .Subscribe(_ => toggle_show_right_panel_command.title = get_toggle_show_right_panel_cmd_title()));
          _vm.selected_order_changed += vm_selected_order_changed;
+         _thread_init_resources.Add(Disposable.Create(() => _vm.selected_order_changed -= vm_selected_order_changed));
          // local methods
          string get_toggle_show_right_panel_cmd_title() =>
             _vm.show_right_panel ? OrderBookView.CommandDescriptions.HideRightPanel : OrderBookView.CommandDescriptions.ShowRightPanel;
@@ -234,6 +263,36 @@ namespace mbts.spark {
             attach_selected_orders_command.raiseCanExecuteChanged();
             detach_selected_orders_command.raiseCanExecuteChanged();
          }
+
+         bool has_algo_params(OrderSecurityAlgo? order) =>
+            order.HasValue && !OrderDataHelper.get_metadata(order.Value.algo.value.CustomCase).NoProps;
+
+         Window mk_algo_params_dialog(OrderSecurityAlgo? order) {
+            if (!has_algo_params(order))
+               return null;
+            var algo_def = AlgoDefinitionVM.create(_model, order.Value.algo, editing_permissions: AlgoEditingPermissions.AllowEditValues);
+            var algo_params_vm = new OrderBookAlgoParamsVM(algo_def, order.Value.order.is_non_terminal());
+            var dialog = new OrderBookAlgoParamsDialog {
+               Content = algo_params_vm
+            };
+            ui.WindowStyle.SetTitleContent(dialog, algo_def);
+            dialog.Closed += (s, e) => {
+               Disposable.dispose(ref algo_params_vm);
+               dialog = null;
+            };
+            algo_params_vm.RequestCommit += commit;
+            algo_params_vm.RequestClose += (s, e) => close_dialog();
+            return dialog;
+
+            void close_dialog() {
+               dialog?.Close();
+               dialog = null;
+            }
+            void commit(CustomOrderDefinitionImmutable value) {
+               _model.update_order(order.Value.order, new_algo: value).ignore();
+               close_dialog();
+            }
+         }
       }
 
       protected override void OnParentViewCreated(SparkWindowView parent_view) {

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

@@ -1,6 +1,7 @@
 using bts.api;
 using bts.shell.orderbook;
 using bts.spark;
+using mbts.config;
 using mbts.persist;
 using mbts.spark;
 using mbts.ui;
@@ -15,8 +16,11 @@ namespace bts.shell {
       readonly INotificationServiceDataCache _notification_service_data_cache;
       readonly OrdersModel _model;
       readonly UserSettingsHub _settings_hub;
+      readonly OrderBookConfig _config;
 
       public OrderBookWindowFactory(IShellModule owner, IBus bus, INotificationService notification_service, INotificationServiceDataCache notification_service_data_cache, OrdersModel model, UserSettingsHub settings_hub) : base(owner, "SparkOrderBookWindow") {
+         var raw_config = Configuration.get<bts.config.OrderBookOptions>();
+         _config = new OrderBookConfig(raw_config.can_edit_specific_algo_params);
          _bus = bus;
          _notification_service = notification_service;
          _notification_service_data_cache = notification_service_data_cache;
@@ -29,7 +33,8 @@ namespace bts.shell {
          var settings_manager = new WindowSettingsManager<OrderBookGridSettings>(_settings_hub, state.grid_settings_wrapper(),
             us => us.order_book_grid ?? OrderBookStartupData.DefaultGrid,
             (us, s) => us.with(order_book_grid: s));
-         var w = new OrderBookWindow(_model, this, _bus, _notification_service, state, SparkCommands.ShowOrders.icon, settings_manager.as_non_shared());
+         var w = new OrderBookWindow(_model, this, _bus, _notification_service, state,
+            SparkCommands.ShowOrders.icon, settings_manager.as_non_shared(), _config.can_edit_specific_algo_params);
          return Task.FromResult<IShellWindow>(w);
       }
 
@@ -37,5 +42,12 @@ namespace bts.shell {
          var w = await load(startup_data);
          _bus.post(SparkTags.ShowWindow, w);
       }
+
+      readonly struct OrderBookConfig {
+         public readonly bool can_edit_specific_algo_params;
+
+         public OrderBookConfig(bool can_edit_specific_algo_params) =>
+            this.can_edit_specific_algo_params = can_edit_specific_algo_params;
+      }
    }
 }

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

@@ -0,0 +1,40 @@
+<Window
+  x:Class="bts.shell.orderbook.OrderBookAlgoParamsDialog"
+  x:ClassModifier="internal"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:sp="clr-namespace:mbts.spark"
+  xmlns:ob="clr-namespace:bts.shell.orderbook"
+  xmlns:usp="clr-namespace:mbts.ui.spark"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:c="clr-namespace:mbts.ui.controls"
+  u:WindowStyle.SizeToContent="WidthAndHeight"
+  Margin="0"
+  Padding="0"
+  Style="{StaticResource BTSWindowTitleTemplate}"
+>
+  <u:WindowStyle.TitleContentTemplate>
+    <DataTemplate DataType="{x:Type sp:AlgoDefinitionVM}">
+      <StackPanel HorizontalAlignment="Left" Orientation="Horizontal">
+        <usp:OrderTypeItem Margin="4,0" DisplayName="{Binding name, StringFormat='{}{0} Params'}" BadgeFill="{Binding badge_fill}"/>
+      </StackPanel>
+    </DataTemplate>
+  </u:WindowStyle.TitleContentTemplate>
+  <Window.ContentTemplate>
+    <DataTemplate DataType="{x:Type ob:OrderBookAlgoParamsVM}">
+      <Grid>
+        <Grid.RowDefinitions>
+          <RowDefinition Height="*"/>
+          <RowDefinition Height="Auto"/>
+        </Grid.RowDefinitions>
+        <usp:AlgoEditorGridView
+          Width="390"
+          Margin="5"
+          AlgoParamRows="{Binding param_rows}"
+          CanUserChangeAlgoRoot="False"
+        />
+        <c:DialogSkirt Grid.Row="1" RightItems="{Binding dialog_skirt}"/>
+      </Grid>
+    </DataTemplate>
+  </Window.ContentTemplate>
+</Window>

src/client/spark/Modules/Trading/OrderBook/View/OrderBookAlgoParamsDialog.xaml.cs

@@ -0,0 +1,49 @@
+using bts.api.orderman;
+using bts.collections;
+using mbts.spark;
+using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.shell;
+using System;
+using System.Collections.Generic;
+using System.Windows;
+
+namespace bts.shell.orderbook {
+   /// <summary>
+   /// Interaction logic for OrderBookAlgoParamsDialog.xaml
+   /// </summary>
+   partial class OrderBookAlgoParamsDialog : Window {
+      public OrderBookAlgoParamsDialog() =>
+         InitializeComponent();
+   }
+
+   class OrderBookAlgoParamsVM : DisposableViewModelBase, IRequestViewClose {
+      readonly ObservableAggregateCollection<AlgoParamRowVM> _param_rows = new ObservableAggregateCollection<AlgoParamRowVM>();
+      readonly DialogSkirtItem _commit, _cancel;
+
+      public OrderBookAlgoParamsVM(AlgoDefinitionVM algo_definition, bool can_user_edit) {
+         this.algo_definition = algo_definition;
+         _dispose = AlgoParamRowsHelper.connect(algo_definition, _param_rows, false);
+         _commit = new DialogSkirtItem("OK", new DelegateCommand(commit, () => can_user_edit)) { is_default = true };
+         _cancel = new DialogSkirtItem("Cancel", new DelegateCommand(close)) { is_cancel = true };
+         // local methods
+         void commit() {
+            RequestCommit?.Invoke(new CustomOrderDefinitionImmutable(algo_definition.algo_root.created_assigned()));
+            close();
+         }
+         void close() => RequestClose?.Invoke(this, EventArgs.Empty);
+      }
+
+      public event EventHandler RequestClose;
+      public event Action<CustomOrderDefinitionImmutable> RequestCommit;
+
+      public AlgoDefinitionVM algo_definition { get; }
+      public IReadOnlyObservableCollection<AlgoParamRowVM> param_rows => _param_rows;
+      public IEnumerable<DialogSkirtItem> dialog_skirt {
+         get {
+            yield return _commit;
+            yield return _cancel;
+         }
+      }
+   }
+}

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

@@ -484,6 +484,7 @@
           <Border Padding="12,12,12,6">
             <Grid>
               <Grid.RowDefinitions>
+                <RowDefinition Height="Auto"/>
                 <RowDefinition Height="Auto"/>
                 <RowDefinition Height="*"/>
               </Grid.RowDefinitions>
@@ -495,7 +496,45 @@
                 AlgoParamRows="{Binding param_rows}"
                 IsReadOnly="{Binding DataContext.can_user_modify_selected_orders, ElementName=Root, Converter={StaticResource NotConverter}}"
               />
-              <StackPanel Grid.Row="1" HorizontalAlignment="Right" VerticalAlignment="Top" Margin="0,8,0,0" Orientation="Horizontal">
+              <c:ExpanderToggleButton
+                x:Name="algo_state_toggle"
+                Grid.Row="1"
+                BorderThickness="0"
+                Content="Algo State"
+                HorizontalContentAlignment="Left"
+                Margin="0,4,0,0"
+                VerticalAlignment="Top"
+                Visibility="{Binding current_algo_custom_state.Count, Converter={StaticResource IntNotZeroVisibilityConverter}}"
+              />
+              <c:DIYGrid Grid.Row="1" Rows="{Binding current_algo_custom_state}" Margin="0,28,0,4">
+                <c:DIYGrid.Visibility>
+                  <MultiBinding>
+                    <MultiBinding.Converter>
+                      <cv:MultiValueConverterPipe>
+                        <cv:BooleanAndConverter/>
+                        <cv:BooleanToVisibilityConverter/>
+                      </cv:MultiValueConverterPipe>
+                    </MultiBinding.Converter>
+                    <Binding Path="current_algo_custom_state.Count" Mode="OneWay" Converter="{StaticResource IntNotZeroConverter}"/>
+                    <Binding Path="IsChecked" ElementName="algo_state_toggle"/>
+                  </MultiBinding>
+                </c:DIYGrid.Visibility>
+                <c:DIYGrid.Columns>
+                  <c:DIYGridColumnCollection>
+                    <c:DIYGridColumn id="Name" Header="Param" Width="176"/>
+                    <c:DIYGridColumn id="Value" Header="Value" Width="176"/>
+                  </c:DIYGridColumnCollection>
+                </c:DIYGrid.Columns>
+                <c:DIYGrid.RowTemplate>
+                  <DataTemplate>
+                    <Grid c:DIYGrid.SyncWithColumnGeometry="True">
+                      <c:TextCell c:DIYGrid.ColumnKey="Name" Text="{Binding name}"/>
+                      <c:TextCell c:DIYGrid.ColumnKey="Value" Text="{Binding value}"/>
+                    </Grid>
+                  </DataTemplate>
+                </c:DIYGrid.RowTemplate>
+              </c:DIYGrid>
+              <StackPanel Grid.Row="2" HorizontalAlignment="Right" VerticalAlignment="Top" Margin="0,8,0,0" Orientation="Horizontal">
                 <Button x:Name="modify_orders_button" Command="{Binding modify_selected_orders_cmd}">
                   <Button.Margin>
                     <Thickness Right="{StaticResource DialogSkirtButtonPadding.Right}"/>

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

@@ -23,6 +23,32 @@ namespace mbts.spark {
 
       public IEnumerable<string> dynamic_types => _dynamic_types.DynamicOrderDesc.Select(d => d.DynamicOrderType);
 
+      public static string fmt_param(DynamicOrderParam dyn_param) {
+         if (dyn_param == null)
+            return null;
+         switch (dyn_param.ValueCase) {
+            case DynamicOrderParam.ValueOneofCase.AsArray:
+               return string.Join(", ", dyn_param.AsArray.Element.Select(fmt_param));
+            case DynamicOrderParam.ValueOneofCase.AsBool:
+               return dyn_param.AsBool.ToString();
+            case DynamicOrderParam.ValueOneofCase.AsDouble:
+               return dyn_param.AsDouble.ToString();
+            case DynamicOrderParam.ValueOneofCase.AsEnumerated:
+               return dyn_param.AsEnumerated.EnumValue;
+            case DynamicOrderParam.ValueOneofCase.AsInt32:
+               return dyn_param.AsInt32.ToString();
+            case DynamicOrderParam.ValueOneofCase.AsQuantity:
+               return dyn_param.AsQuantity.ToString();
+            case DynamicOrderParam.ValueOneofCase.AsString:
+               return dyn_param.AsString;
+            default:
+               // implement additional cases as needed
+               // (as of 4/17/20, this method is only used to format
+               // dynamic orders' CustomState params in the orderbook)
+               return $"({dyn_param.ValueCase})";
+         }
+      }
+
       public void add_dynamic_order_defs(List<CustomOrderDefinitionImmutable> defs, Func<CustomOrderDefinition.CustomOneofCase, CustomOrderDefinition> factory) {
          foreach (var d in _dynamic_types.DynamicOrderDesc) {
             var dorder = factory(CustomOrderDefinition.CustomOneofCase.Dynamic);

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

@@ -33,7 +33,7 @@ namespace mbts.spark
          {
             return;
          } 
-         var ev = fd.EnumType.Values.First(x => x.Name == value)?.Number;
+         var ev = fd.EnumType.Values.FirstOrDefault(x => x.Name == value)?.Number;
          if(ev.HasValue)
             fd.Accessor.SetValue(message, ev.Value);
       }

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

@@ -2,7 +2,6 @@
 using bts.api;
 using bts.api.orderman;
 using bts.collections;
-using bts.spark;
 using Google.Protobuf;
 using Google.Protobuf.Reflection;
 using mbts.collections;
@@ -15,21 +14,19 @@ using System.Collections.ObjectModel;
 using System.ComponentModel;
 using System.Linq;
 using System.Reactive.Linq;
+using System.Reflection;
 using AlgoType = bts.api.orderman.CustomOrderDefinition.CustomOneofCase;
 
 namespace mbts.spark {
-   static partial class OrderTypeVMFactory 
-   {
-      internal class GenericOrderFactory
-      {
-         static public IAlgoVM create_vm(AlgoKey key, AlgoType algo_type, string display_name, AlgoEditingPermissions editing_permissions)
-         {
+   static partial class OrderTypeVMFactory {
+      internal class GenericOrderFactory {
+         static public IAlgoVM create_vm(AlgoKey key, AlgoType algo_type, string display_name, AlgoEditingPermissions editing_permissions) {
             var prop = typeof(CustomOrderDefinition).GetProperty(algo_type.ToString(),
-               System.Reflection.BindingFlags.Instance | System.Reflection.BindingFlags.Public);
+               BindingFlags.Instance | BindingFlags.Public);
             var rt = prop.PropertyType;
 
             var propi = typeof(CustomOrderDefinitionImmutable).GetProperty(algo_type.ToString(),
-               System.Reflection.BindingFlags.Instance | System.Reflection.BindingFlags.Public);
+               BindingFlags.Instance | BindingFlags.Public);
             var rti = propi.PropertyType;
 
             var vmt = typeof(GenericOrderVM<,>);
@@ -38,38 +35,33 @@ namespace mbts.spark {
             object vm = Activator.CreateInstance(makevm, key, algo_type, display_name, editing_permissions);
             return (IAlgoVM)vm;
          }
-         static public void setup_generic_custom_order(CustomOrderDefinition custom, CustomOrderDefinition.CustomOneofCase type)
-         {
+         static public void setup_generic_custom_order(CustomOrderDefinition custom, CustomOrderDefinition.CustomOneofCase type) {
             var prop = typeof(CustomOrderDefinition).GetProperty(type.ToString(),
-               System.Reflection.BindingFlags.Instance | System.Reflection.BindingFlags.Public);
+               BindingFlags.Instance | BindingFlags.Public);
             var rt = prop.PropertyType;
             var rtt = Activator.CreateInstance(rt);
-            
+
             var ci = rt.GetProperties().Where(x => x.PropertyType == typeof(CustomOrderDefinition));
-            foreach(var cid in ci)
+            foreach (var cid in ci)
                cid.SetValue(rtt, new CustomOrderDefinition { Limit = new LimitOrderDefinition() });
             prop.SetValue(custom, rtt);
          }
-      }      
-      
+      }
+
       class GenericOrderVM<TMutable, TImmutable> : OrderTypeVMBase<TMutable, TImmutable>
-         where TMutable : class, IMessage, new() where TImmutable : struct, IImmutableMessage
-      {         
+         where TMutable : class, IMessage, new() where TImmutable : struct, IImmutableMessage {
          readonly ObservableKeyedCollection<GenericOrderParamVM<TMutable>, string> _parameters =
             new ObservableKeyedCollection<GenericOrderParamVM<TMutable>, string>(vm => vm.descriptor.Name);
          readonly AlgoType _algo_type;
 
          public GenericOrderVM(AlgoKey key, AlgoType algo_type, string display_name, AlgoEditingPermissions editing_permissions)
-            : base(key, display_name, editing_permissions) 
-         {
+            : base(key, display_name, editing_permissions) {
             _algo_type = algo_type;
             _parameters = new ObservableKeyedCollection<GenericOrderParamVM<TMutable>, string>(vm => vm.descriptor.Name);
             _resources.AddRange(
-               ObservableAutoWrapper.connect_item_hooks(_parameters, p =>
-               {
+               ObservableAutoWrapper.connect_item_hooks(_parameters, p => {
                   p.PropertyChanged += on_param_prop_changed;
-                  return Disposable.Create(() => 
-                  {
+                  return Disposable.Create(() => {
                      p.PropertyChanged -= on_param_prop_changed;
                      remove_property(p.descriptor.Name);
                      p.Dispose();
@@ -80,84 +72,74 @@ namespace mbts.spark {
          }
 
          public string algo_type => _algo_type.ToString();
-         public override string abbreviation => 
+         public override string abbreviation =>
             model == null ? display_name : model.factory.abbreviate_algo(new OneOf<CustomOrderDefinition.CustomOneofCase, string>(_algo_type));
          public override AlgoDisplayGroup group => AlgoDisplayGroup.API;
          public ObservableCollection<GenericOrderParamVM<TMutable>> parameters => _parameters;
 
-         protected override void on_model_internal() 
-         {
+         protected override void on_model_internal() =>
             _sync_generic_params();
-         }
 
-         void _sync_generic_params()
-         {
-            if (model != null)
-            {               
-               Google.Protobuf.Reflection.MessageDescriptor desc = new TMutable().Descriptor;               
+         void _sync_generic_params() {
+            if (model != null) {
+               MessageDescriptor desc = new TMutable().Descriptor;
                _parameters.SyncWithDictionary(
                   desc.Fields.InDeclarationOrder().Where(_is_value_param_desc).ToDictionary(p => p.Name), _mk_param_vm);
             }
          }
-         static bool _is_value_param_desc(FieldDescriptor desc)
-         {
-            return (desc.FieldType != Google.Protobuf.Reflection.FieldType.Message || 
+
+         static bool _is_value_param_desc(FieldDescriptor desc) =>
+            (desc.FieldType != FieldType.Message ||
                _is_quantity_measure_desc(desc));
-         }
 
-         static bool _is_quantity_measure_desc(FieldDescriptor desc)
-         {
-            return desc.FieldType == Google.Protobuf.Reflection.FieldType.Message &&
+         static bool _is_quantity_measure_desc(FieldDescriptor desc) =>
+            desc.FieldType == FieldType.Message &&
                desc.MessageType.FullName == typeof(bts.spark.QuantityMeasure).FullName;
-         }
 
-         protected override IEnumerable<ChildAlgoData> get_selector_data() 
-         {
-            var v = OrderDataHelper.get_child_algo_data(_algo_type);
-            return v;
-         }
+         protected override IEnumerable<ChildAlgoData> get_selector_data() =>
+            OrderDataHelper.get_child_algo_data(_algo_type);
 
-         GenericOrderParamVM<TMutable> _mk_param_vm(FieldDescriptor descriptor) 
-         {
+         GenericOrderParamVM<TMutable> _mk_param_vm(FieldDescriptor descriptor) {
             ExceptionAssert.Argument.NotNull(descriptor, nameof(descriptor));
-
-            if (descriptor.FieldType == FieldType.Message && 
-                descriptor.MessageType.FullName == typeof(bts.spark.QuantityMeasure).FullName)
-            {
+            if (descriptor.FieldType == FieldType.Message &&
+                descriptor.MessageType.FullName == typeof(bts.spark.QuantityMeasure).FullName) {
                var qm = new GenericOrderQuantityVM<TMutable>(descriptor);
                return attached(qm, GenericOrderHelper.get_quantity_value, GenericOrderHelper.set_quantity_value);
-            }
-            else if(descriptor.FieldType == FieldType.Enum)
-            {
-               var pvm = new GenericOrderEnumeratedVM<TMutable>(descriptor);
-               attached(pvm, GenericOrderHelper.get_enumerated_value, GenericOrderHelper.set_enumerated_value);
-               return pvm;
-            }
-            else if (descriptor.FieldType == FieldType.Bool)
+            } else if (descriptor.FieldType == FieldType.Enum) {
+               return EnumParamFactory.create(this, descriptor);
+            } else if (descriptor.FieldType == FieldType.Bool) {
                return mk<bool?, bool>(descriptor, v => v, v => v.GetValueOrDefault());
-            else if (descriptor.FieldType == FieldType.Double || descriptor.FieldType == FieldType.Float)
+            } else if (descriptor.FieldType == FieldType.Double || descriptor.FieldType == FieldType.Float) {
                return mk<double, double>(descriptor, v => v, v => v, double.NaN);
-            else if (descriptor.FieldType == FieldType.Int32)
+            } else if (descriptor.FieldType == FieldType.Int32) {
                return mk<int?, int>(descriptor, v => v, v => v.GetValueOrDefault());
-            else if (descriptor.FieldType == FieldType.UInt32)
+            } else if (descriptor.FieldType == FieldType.UInt32) {
                return mk<uint?, uint>(descriptor, v => v, v => v.GetValueOrDefault());
-            else if (descriptor.FieldType == FieldType.String)
+            } else if (descriptor.FieldType == FieldType.String) {
                return mk<string, string>(descriptor, v => v, v => v);
-            else
-               return null;
+            } else return null;
          }
-         GenericOrderParamVM<TMutable, TView, TModel> mk<TView, TModel>(FieldDescriptor fdesc, Func<TModel, TView> convert, Func<TView, TModel> convert_back, TView default_value = default)
-         {
-            var pvm = new GenericOrderParamVM<TMutable, TView, TModel>(fdesc, convert, convert_back);
-            return attached<TView, GenericOrderParamVM<TMutable, TView, TModel>>(pvm, get_from_param, assign_to_param, default_value);
 
+         GenericOrderParamVM<TMutable, TView, TModel> mk<TView, TModel>(
+            FieldDescriptor fdesc,
+            Func<TModel, TView> convert,
+            Func<TView, TModel> convert_back,
+            TView default_value = default) {
+            //
+            var pvm = new GenericOrderParamVM<TMutable, TView, TModel>(fdesc, convert, convert_back);
+            return attached(pvm, get_from_param, assign_to_param, default_value);
             TView get_from_param(IMessage param, FieldDescriptor fd) => convert(ConvertUtils.try_convert<TModel>(fdesc.Accessor.GetValue(param)));
             void assign_to_param(IMessage param, FieldDescriptor fd, TView value) => fdesc.Accessor.SetValue(param, convert_back(value));
          }
 
-         TParam attached<T, TParam>(TParam pvm, Func<IMessage, FieldDescriptor, T> selector, Action<IMessage, FieldDescriptor, T> assign_to_param, T default_value = default) where TParam : GenericOrderParamVM<TMutable>, IGenericOrderParamVM<T>
-         {
-            add_property<T>(
+         TParam attached<T, TParam>(
+            TParam pvm,
+            Func<IMessage, FieldDescriptor, T>
+            selector, Action<IMessage, FieldDescriptor, T> assign_to_param,
+            T default_value = default)
+            where TParam : GenericOrderParamVM<TMutable>, IGenericOrderParamVM<T> {
+            //
+            add_property(
                pvm.descriptor.Name,
                mdef => mdef != null ? selector(mdef, pvm.descriptor) : default_value,
                (mdef, v) => assign_to_param(mdef, pvm.descriptor, v),
@@ -166,7 +148,37 @@ namespace mbts.spark {
                pvm.subscribe_value(),
                default_value);
             return pvm;
-         }         
+         }
+
+         static class EnumParamFactory {
+            [ThreadStatic]
+            static Dictionary<Type, IFactory> _factories_backing;
+            static Dictionary<Type, IFactory> _factories =>
+               _factories_backing ?? (_factories_backing = new Dictionary<Type, IFactory>());
+
+            public static GenericOrderParamVM<TMutable> create(GenericOrderVM<TMutable, TImmutable> owner, FieldDescriptor descriptor) {
+               if (descriptor.FieldType != FieldType.Enum)
+                  throw ExceptionBuilder.Argument.unexpected_case(descriptor.FieldType, $"{nameof(descriptor)}.{nameof(FieldDescriptor.FieldType)}");
+               if (!_factories.TryGetValue(descriptor.EnumType.ClrType, out var f)) {
+                  // Impl<T> is a nested type, so parent class's generic type args must be included.
+                  _factories[descriptor.EnumType.ClrType] = f = (IFactory)Activator.CreateInstance(typeof(Impl<>)
+                     .MakeGenericType(typeof(TMutable), typeof(TImmutable), descriptor.EnumType.ClrType));
+               }
+               return f.create(owner, descriptor);
+            }
+
+            interface IFactory {
+               GenericOrderParamVM<TMutable> create(GenericOrderVM<TMutable, TImmutable> owner, FieldDescriptor descriptor);
+            }
+
+            class Impl<T> : IFactory where T : struct {
+               static readonly Func<T, T?> _convert = v => v;
+               static readonly Func<T?, T> _convert_back = v => v ?? default;
+
+               public GenericOrderParamVM<TMutable> create(GenericOrderVM<TMutable, TImmutable> owner, FieldDescriptor descriptor) =>
+                  owner.mk(descriptor, _convert, _convert_back, default);
+            }
+         }
       }
    }
-}
+}

src/client/spark/Orders/OrderUtils.cs

@@ -63,6 +63,11 @@ namespace mbts.spark {
       public static string last_msg(this OrderRecordImmutable order) =>
          order.HasState ? order.State.LastMsg : string.Empty;
 
+      public static IReadOnlyDictionary<string, DynamicOrderParam> dynamic_custom_state(this OrderRecordImmutable order) =>
+         order.HasState && order.State.HasDynamic ?
+            (order.State.Dynamic.CustomState ?? DictionaryHelper.empty<string, DynamicOrderParam>()) :
+            DictionaryHelper.empty<string, DynamicOrderParam>();
+
       public static DateTime created(this OrderRecordImmutable order) =>
          order.HasState && order.State.HasCreated ? order.State.Created.ToDateTime().ToLocalTime() : DateTime.MinValue;
 

src/client/spark/Spark.csproj

@@ -12,6 +12,7 @@
     <RuntimeIdentifiers>win7-x64</RuntimeIdentifiers>
     <PlatformTarget>AnyCPU</PlatformTarget>
     <LanguageTargets>$(MSBuildExtensionsPath)\$(VisualStudioVersion)\Bin\Microsoft.CSharp.targets</LanguageTargets>
+    <LanguageTargets Condition="'$(VisualStudioVersion)'=='16.0'">$(MSBuildToolsPath)\Microsoft.CSharp.targets</LanguageTargets>
     <ApplicationIcon>logo.ico</ApplicationIcon>
     <OutputType>WinExe</OutputType>
     <StartupObject>mbts.ui.shell.App</StartupObject>

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

@@ -63,5 +63,20 @@ namespace mbts {
 
       public static double? nan_nullable(double value) =>
          double.IsNaN(value) ? (double?)null : value;
+
+      public static int? to_optional_int32(double value) {
+         if (double.IsNaN(value) || double.IsInfinity(value))
+            return null;
+         if (value > 0) {
+            value = Math.Floor(value);
+            if (value <= int.MaxValue)
+               return (int)value;
+         } else if (value < 0) {
+            value = Math.Ceiling(value);
+            if (value >= int.MinValue)
+               return (int)value;
+         }
+         return null;
+      }
    }
 }

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

@@ -0,0 +1,9 @@
+namespace mbts.ui.controls {
+   class DIYGridColumn : DIYGrid.ColumnBase<string> {
+      public DIYGridColumn()
+         : base() {
+         is_visible = true;
+         Width = 60;
+      }
+   }
+}

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

@@ -1005,6 +1005,8 @@
             ContractPickerModel="{Binding contract_picker_model}"
             HedgePricing="{Binding hedge_pricing}"
             HedgePricingItemsSource="{Binding hedge_pricing_options}"
+            UseFractionalTicks="{Binding use_fractional_ticks}"
+            IntegerTickSize="{Binding integer_tick_size}"
           />
           <c:DialogSkirt Grid.Row="1" Margin="-4" VerticalAlignment="Top" RightItems="{Binding skirt_items}"/>
         </Grid>

src/client/spark/view/Converters/BooleanToVisibilityConverter.cs

@@ -12,6 +12,9 @@ namespace mbts.ui.converters
       public Visibility VisibilityForFalse { get { return _visfalse; } set { _visfalse = value; } }
 
       public static BooleanToVisibilityConverter Instance => new BooleanToVisibilityConverter();
+      public static BooleanToVisibilityConverter HiddenInstance => new BooleanToVisibilityConverter {
+         VisibilityForFalse = Visibility.Hidden
+      };
 
       public object Convert(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture) {
          bool flag = false;

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

@@ -49,6 +49,28 @@ namespace mbts.spark {
       public static double parse(this ContractSpecificationImmutable? spec, string text, double display_multiplier, string nan_text) =>
          spec.spec_or_default().parse(text, display_multiplier, nan_text);
 
+      public static bool is_integer_tick(ContractSpecificationImmutable spec) =>
+         spec.MainFraction == 0 &&
+         spec.PriceDisplayFormat == 0 &&
+         spec.LowTick > 0 &&
+         MathUtils.is_int(spec.LowTick) &&
+         spec.HighTick > 0 &&
+         MathUtils.is_int(spec.HighTick);
+
+      public static ContractSpecification create_integer_tick_spec(int low_tick) =>
+         create_integer_tick_spec(low_tick, low_tick);
+
+      public static ContractSpecification create_integer_tick_spec(int low_tick, int high_tick) {
+         var rv = SecurityDataHelper.Defaults.ContractSpecification;
+         rv.MainFraction = 0;
+         rv.SubFraction = 0;
+         rv.PriceDisplayFormat = 0;
+         rv.PriceBreak = 0;
+         rv.LowTick = low_tick;
+         rv.HighTick = high_tick;
+         return rv;
+      }
+
       public static double low_tick(NativePriceSize[] bids, NativePriceSize[] asks) {
          double low = bids[bids.Length - 1].price;
          if (double.IsNaN(low))
@@ -326,7 +348,7 @@ namespace mbts.spark {
          }
 
          static bool _check_tick_size(double tick_size) =>
-            (tick_size > 0 && tick_size <= 0.5) || tick_size == 1;
+            tick_size > 0 && (tick_size <= 0.5 || MathUtils.is_int(tick_size));
 
          struct SpecKey : IEquatable<SpecKey> {
             public readonly uint denominator, display_digits;

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

@@ -1,5 +1,7 @@
 using mbts.ui.converters;
+using System;
 using System.Globalization;
+using System.Reactive.Linq;
 using System.Windows;
 using System.Windows.Data;
 using System.Windows.Input;
@@ -12,6 +14,31 @@ namespace mbts.ui.utilities {
       public static string fmt(string title, KeyGesture key_gesture) =>
          key_gesture == null ? title : $"{title} ({key_gesture.GetDisplayStringForCulture(CultureInfo.CurrentCulture)})";
 
+      public static IDisposable bind_param_source<T>(ICommand command, IObservable<T> param_source, out ICommand bound_cmd, bool dispose_command_on_dispose = false) {
+         bool initialized = false;
+         bool can_execute = false;
+         T param = default;
+         var bcmd = new DelegateCommand(() => command.Execute(param), () => can_execute);
+         bound_cmd = bcmd;
+         var sub = param_source.Subscribe(p => {
+            param = p;
+            if (!initialized) {
+               initialized = true;
+               can_execute = command.CanExecute(p);
+               bcmd.RaiseCanExecuteChanged();
+            } else if (can_execute != command.CanExecute(p)) {
+               can_execute = !can_execute;
+               bcmd.RaiseCanExecuteChanged();
+            }
+         });
+         return dispose_command_on_dispose ?
+            Disposable.Create(() => {
+               Disposable.dispose(ref sub);
+               (command as IDisposable)?.Dispose();
+               command = null;
+            }) : sub;
+      }
+
       #region Paraphrased from https://referencesource.microsoft.com/#PresentationFramework/src/Framework/MS/Internal/Commands/CommandHelpers.cs
 
       public static bool CanExecuteCommandSource(ICommandSource commandSource) {

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

@@ -30,6 +30,21 @@ namespace mbts.ui {
       public string name { get; }
    }
 
+   class NamedValueVM : ViewModelBase {
+      string _name;
+      object _value;
+
+      public NamedValueVM() { }
+
+      public NamedValueVM(string name, object value) {
+         _name = name;
+         _value = value;
+      }
+
+      public string name { get => _name; set => Set(ref _name, value); }
+      public object value { get => _value; set => Set(ref _value, value); }
+   }
+
    static class EnabledValueVMExtensions {
       public static T? get_nullable<T>(this EnabledValueVM<T> vm) where T : struct =>
          vm.enabled ? vm.value : (T?)null;

src/client/spark_api/security/SecurityHelper.cs

@@ -83,22 +83,24 @@ namespace bts.api {
          }
 
          public static int Compare(SecurityImmutable x, SecurityImmutable y) {
-            if (x.ContractCase == ContractOneofCase.Future) return y.ContractCase == ContractOneofCase.Future ? Compare(x.Symbol, x.Future, y.Symbol, y.Future) : -1;
-            else if (y.ContractCase == ContractOneofCase.Future) return 1;
+            if (x.ContractCase == ContractOneofCase.Future) {
+               return y.ContractCase == ContractOneofCase.Future ? Compare(x.Symbol, x.Future, y.Symbol, y.Future) : -1;
+            } else if (y.ContractCase == ContractOneofCase.Future) {
+               return 1;
+            }
             var xlegs = get_flat_future_legs(x).ToList();
             var ylegs = get_flat_future_legs(y).ToList();
             int max = Math.Min(xlegs.Count, ylegs.Count);
             for (int i = 0; i < max; i++) {
                int rv = Compare(xlegs[i].symbol, xlegs[i].future, ylegs[i].symbol, ylegs[i].future);
-               if (rv != 0) return rv;
-            }
-            for (int i = 0; i < max; i++) {
-               int rv = xlegs[i].quantity.CompareTo(ylegs[i].quantity);
-               if (rv != 0) return rv;
-            }
-            for (int i = 0; i < max; i++) {
-               int rv = xlegs[i].exchange.CompareTo(ylegs[i].exchange);
-               if (rv != 0) return rv;
+               if (rv != 0)
+                  return rv;
+               rv = xlegs[i].quantity.CompareTo(ylegs[i].quantity);
+               if (rv != 0)
+                  return rv;
+               rv = xlegs[i].exchange.CompareTo(ylegs[i].exchange);
+               if (rv != 0)
+                  return rv;
             }
             return xlegs.Count.CompareTo(ylegs.Count);
          }

src/client/spark_core/utils/FilePathHelper.cs

@@ -0,0 +1,21 @@
+using System;
+using System.IO;
+
+namespace bts.utils {
+   public static class FilePathHelper {
+      public static string GetUniquePathWithDate(string path_root, string ext) =>
+         GetUniquePath($"{path_root}_{DateTime.Now:MM - dd - yyyy_hh - mm}", ext);
+
+      public static string GetUniquePath(string path_root, string ext) {
+         var path = $"{path_root}.{ext}";
+         const int max_copies = 2 ^ 14;
+         int i = 1;
+         while (File.Exists(path)) {
+            path = $"{path_root}({i++}).{ext}";
+            if (i == max_copies)
+               throw new InvalidOperationException("Unable to make path unique by concating a number.");
+         }
+         return path;
+      }
+   }
+}

src/client/spark_core/utils/ObservableExtensions.cs

@@ -209,7 +209,7 @@ namespace System.Reactive.Linq {
       /// <returns>An IDisposable object used to unsubscribe from the source sequence, and dispose the latest value subscription.</returns>
       public static IDisposable SubscribeEach<T>(this IObservable<T> source, Func<T, IDisposable> subscribe_value) {
          IDisposable value_sub = null;
-         IDisposable source_sub = source.Select(v => v).Subscribe(on_source);
+         IDisposable source_sub = source.Subscribe(on_source);
          return Disposable.Create(dispose);
          // local methods
          void on_source(T value) {

src/client/spark_core/utils/UpdateExtensions.cs

@@ -1,208 +1,253 @@
-using bts.api.core;
-using bts.collections;
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Reactive.Linq;
-
-namespace bts.utils {
-   public static class UpdateExtensions {
-      public static TableUpdate<T, TKey> with_added<T, TKey>(this TableUpdate<T, TKey> table, IEnumerable<T> added) where TKey : IEquatable<TKey> =>
-         TableUpdate<T, TKey>.update(table, added, Enumerable.Empty<Change<T>>(), Enumerable.Empty<T>(), table.key_extractor);
-
-      public static TableUpdate<T, TKey> with_removed<T, TKey>(this TableUpdate<T, TKey> table, IEnumerable<T> removed) where TKey : IEquatable<TKey> =>
-         TableUpdate<T, TKey>.update(table, Enumerable.Empty<T>(), Enumerable.Empty<Change<T>>(), removed, table.key_extractor);
-
-      public static TableUpdate<T, TKey> with_changed<T, TKey>(this TableUpdate<T, TKey> table, IEnumerable<T> changed) where TKey : IEquatable<TKey> =>
-         TableUpdate<T, TKey>.update(table, Enumerable.Empty<T>(), changed.Select(v => new Change<T>(table.state[table.key_extractor(v)], v)), Enumerable.Empty<T>(), table.key_extractor);
-
-      public static TableUpdate<T, TKey> with_changes<T, TKey>(this TableUpdate<T, TKey> table, IEnumerable<Change<T>> changes) where TKey : IEquatable<TKey> =>
-         TableUpdate<T, TKey>.update(table, Enumerable.Empty<T>(), changes, Enumerable.Empty<T>(), table.key_extractor);
-
-      public static IObservable<TableUpdate<TResult, TKey>> RootDependent<T, TResult, TKey>(
-         this IObservable<TableUpdate<T, TKey>> source,
-         Func<T, TKey> key,
-         Func<T, TKey> parent_key,
-         Func<T, T, TResult> with_root,
-         Func<T, TResult> without_root,
-         Func<TResult, TKey> result_key)
-         where TKey : IEquatable<TKey> =>
-         RootDependent(source, key, parent_key, with_root, without_root, result_key, default);
-
-      // TODO: unit tests
-      public static IObservable<TableUpdate<TResult, TKey>> RootDependent<T, TKey, TResult>(
-         this IObservable<TableUpdate<T, TKey>> source,
-         Func<T, TKey> key,
-         Func<T, TKey> parent_key,
-         Func<T, T, TResult> get_result,
-         Func<T, TResult> get_result_no_parent,
-         Func<TResult, TKey> result_key,
-         TKey no_parent_key)
-         where TKey : IEquatable<TKey> =>
-         Observable.Create<TableUpdate<TResult, TKey>>(observer => {
-            var state = DictionaryHelper.empty<TKey, T>();
-            var output = TableUpdate<TResult, TKey>.mk_empty(result_key);
-            var parent_to_children = new SetMap<TKey, T>();
-            return source.Subscribe(update);
-            //
-            void update(TableUpdate<T, TKey> input) {
-               state = input.state;
-               var builder = output.to_builder();
-               // execute all parent_to_children changes first, so descendent-propagation will be efficient (otherwise propagation might be needlessly performed on values that are yet to be removed, or performed with the wrong root, if the real root is yet to be added).
-               foreach (var v in input.removed.Concat(input.changes.Select(ch => ch.Old))) {
-                  var k = input.key_extractor(v);
-                  parent_to_children.remove(parent_key(v), v);
-               }
-               foreach (var v in input.added.Concat(input.changed)) {
-                  var pk = parent_key(v);
-                  if (!pk.Equals(no_parent_key))
-                     parent_to_children.add(pk, v);
-               }
-               foreach (var v in input.removed) {
-                  var k = input.key_extractor(v);
-                  builder.remove(k);
-                  if (parent_to_children.try_lookup(k, out ISet<T> children)) {
-                     foreach (var child in children) {
-                        var ck = key(child);
-                        builder.add_or_update(ck, get_result_no_parent(child));
-                        foreach (var d in descendents(ck))
-                           builder.add_or_update(key(d), get_result(d, child));
-                     }
-                  }
-               }
-               foreach (var v in input.changed) {
-                  var k = input.key_extractor(v);
-                  var root = get_root(v);
-                  TResult result;
-                  if (key(root).Equals(k)) {
-                     result = get_result_no_parent(v);
-                     foreach (var d in descendents(k))
-                        builder.add_or_update(key(d), get_result(d, v));
-                  } else {
-                     result = get_result(v, root);
-                  }
-                  builder.add_or_update(k, result);
-               }
-               foreach (var v in input.added) {
-                  var k = input.key_extractor(v);
-                  var pk = parent_key(v);
-                  TResult result;
-                  if (pk.Equals(no_parent_key)) {
-                     result = get_result_no_parent(v);
-                     foreach (var d in descendents(k))
-                        builder.add_or_update(key(d), get_result(d, v));
-                  } else {
-                     parent_to_children.add(pk, v);
-                     var root = get_root(v);
-                     if (key(root).Equals(k)) {
-                        result = get_result_no_parent(v);
-                        foreach (var d in descendents(k))
-                           builder.add_or_update(key(d), get_result(d, v));
-                     } else {
-                        result = get_result(v, root);
-                     }
-                  }
-                  builder.add_or_update(k, result);
-               }
-               observer.OnNext(output = builder.to_table());
-            }
-            T get_root(T value) {
-               var pk = parent_key(value);
-               while (!pk.Equals(no_parent_key) && state.TryGetValue(pk, out var parent)) {
-                  value = parent;
-                  pk = parent_key(value);
-               }
-               return value;
-            }
-            IEnumerable<T> descendents(TKey k) {
-               if (parent_to_children.try_lookup(k, out ISet<T> children)) {
-                  foreach (var child in children) {
-                     yield return child;
-                     foreach (var d in descendents(key(child)))
-                        yield return d;
-                  }
-               }
-            }
-         });
-
-      public static IObservable<TableUpdate<T, TKey>> MergeTable<T, TKey>(this IObservable<TableUpdate<T, TKey>> source, IObservable<TableUpdate<T, TKey>> other) where TKey : IEquatable<TKey> =>
-         source.AggregateLatest(other, _Merge<T, TKey>.source_change_del, _Merge<T, TKey>.other_change_del, () => TableUpdate<T, TKey>.empty, TableUpdate<T, TKey>.empty, TableUpdate<T, TKey>.empty);
-
-      public static IObservable<TableUpdate<KeyValuePair<TKey, TResult>, TKey>> ParentDependent<T, TKey, TResult>(
-         this IObservable<TableUpdate<T, TKey>> source,
-         Func<T, TKey> key,
-         Func<T, TKey> parent_key,
-         Func<T, T, TResult> get_result,
-         Func<T, TResult> get_result_no_parent)
-         where TResult : IEquatable<TResult>
-         where TKey : IEquatable<TKey> =>
-         ParentDependent(source, key, parent_key, get_result, get_result_no_parent, EqualityComparer<TResult>.Default, default);
-
-      public static IObservable<TableUpdate<KeyValuePair<TKey, TResult>, TKey>> ParentDependent<T, TKey, TResult>(
-         this IObservable<TableUpdate<T, TKey>> source,
-         Func<T, TKey> key,
-         Func<T, TKey> parent_key,
-         Func<T, T, TResult> get_result,
-         Func<T, TResult> get_result_no_parent,
-         IEqualityComparer<TResult> result_comparer,
-         TKey no_parent_key)
-         where TKey : IEquatable<TKey> =>
-         Observable.Create<TableUpdate<KeyValuePair<TKey, TResult>, TKey>>(observer => {
-            var value_comparer = EqualityComparer.Create<KeyValuePair<TKey, TResult>, TResult>(kv => kv.Value, result_comparer);
-            var state = DictionaryHelper.empty<TKey, T>();
-            var output = TableUpdate<KeyValuePair<TKey, TResult>, TKey>.mk_empty(kv => kv.Key);
-            var parent_to_children = new SetMap<TKey, T>();
-            return source.Subscribe(update);
-            //
-            void update(TableUpdate<T, TKey> input) {
-               state = input.state;
-               var builder = output.to_builder();
-               foreach (var v in input.removed) {
-                  var k = input.key_extractor(v);
-                  builder.remove(k);
-                  parent_to_children.remove(parent_key(v), v);
-                  if (parent_to_children.try_lookup(k, out ISet<T> children)) {
-                     foreach (var child in children)
-                        builder.add_or_update(new KeyValuePair<TKey, TResult>(key(child), get_result_no_parent(child)));
-                  }
-               }
-               foreach (var v in input.changed) {
-                  var k = key(v);
-                  builder.add_or_update(new KeyValuePair<TKey, TResult>(k, lookup_result(v)));
-                  parent_to_children.set(parent_key(v), v);
-                  if (parent_to_children.try_lookup(k, out ISet<T> children)) {
-                     foreach (var child in children)
-                        builder.add_or_update(new KeyValuePair<TKey, TResult>(key(child), get_result(child, v)));
-                  }
-               }
-               foreach (var v in input.added) {
-                  var k = key(v);
-                  builder.add_or_update(new KeyValuePair<TKey, TResult>(k, lookup_result(v)));
-                  parent_to_children.add(parent_key(v), v);
-                  if (parent_to_children.try_lookup(k, out ISet<T> children)) {
-                     foreach (var child in children)
-                        builder.add_or_update(new KeyValuePair<TKey, TResult>(key(child), get_result(child, v)));
-                  }
-               }
-               var result = builder.to_table_checked(value_comparer);
-               if (result.has_changes())
-                  observer.OnNext(output = result);
-            }
-            TResult lookup_result(T child) {
-               var pk = parent_key(child);
-               return !pk.Equals(no_parent_key) && state.TryGetValue(pk, out T parent) ?  get_result(child, parent) : get_result_no_parent(child);
-            }
-         });
-
-      static class _Merge<T, TKey> where TKey : IEquatable<TKey> {
-         public static readonly Func<TableUpdate<T, TKey>, Change<TableUpdate<T, TKey>>, TableUpdate<T, TKey>, TableUpdate<T, TKey>> source_change_del = _source_changed_impl;
-         public static readonly Func<TableUpdate<T, TKey>, TableUpdate<T, TKey>, Change<TableUpdate<T, TKey>>, TableUpdate<T, TKey>> other_change_del = _other_changed_impl;
-
-         static TableUpdate<T, TKey> _source_changed_impl(TableUpdate<T, TKey> target, Change<TableUpdate<T, TKey>> source_change, TableUpdate<T, TKey> other_table) =>
-            TableUpdate<T, TKey>.update(target, source_change.New.added, source_change.New.changes, source_change.New.removed, source_change.New.key_extractor);
-
-         static TableUpdate<T, TKey> _other_changed_impl(TableUpdate<T, TKey> target, TableUpdate<T, TKey> source_table, Change<TableUpdate<T, TKey>> other_change) =>
-            TableUpdate<T, TKey>.update(target, other_change.New.added, other_change.New.changes, other_change.New.removed, other_change.New.key_extractor);
-      }
-   }
-}
+using bts.api.core;
+using bts.collections;
+using bts.utils.proto;
+using Google.Protobuf;
+using mbts;
+using System;
+using System.Collections.Generic;
+using System.IO;
+using System.Linq;
+using System.Reactive.Linq;
+
+namespace bts.utils {
+   public static class UpdateExtensions {
+      public static TableUpdate<T, TKey> with_added<T, TKey>(this TableUpdate<T, TKey> table, IEnumerable<T> added) where TKey : IEquatable<TKey> =>
+         TableUpdate<T, TKey>.update(table, added, Enumerable.Empty<Change<T>>(), Enumerable.Empty<T>(), table.key_extractor);
+
+      public static TableUpdate<T, TKey> with_removed<T, TKey>(this TableUpdate<T, TKey> table, IEnumerable<T> removed) where TKey : IEquatable<TKey> =>
+         TableUpdate<T, TKey>.update(table, Enumerable.Empty<T>(), Enumerable.Empty<Change<T>>(), removed, table.key_extractor);
+
+      public static TableUpdate<T, TKey> with_changed<T, TKey>(this TableUpdate<T, TKey> table, IEnumerable<T> changed) where TKey : IEquatable<TKey> =>
+         TableUpdate<T, TKey>.update(table, Enumerable.Empty<T>(), changed.Select(v => new Change<T>(table.state[table.key_extractor(v)], v)), Enumerable.Empty<T>(), table.key_extractor);
+
+      public static TableUpdate<T, TKey> with_changes<T, TKey>(this TableUpdate<T, TKey> table, IEnumerable<Change<T>> changes) where TKey : IEquatable<TKey> =>
+         TableUpdate<T, TKey>.update(table, Enumerable.Empty<T>(), changes, Enumerable.Empty<T>(), table.key_extractor);
+
+      public static IObservable<TableUpdate<TResult, TKey>> RootDependent<T, TResult, TKey>(
+         this IObservable<TableUpdate<T, TKey>> source,
+         Func<T, TKey> key,
+         Func<T, TKey> parent_key,
+         Func<T, T, TResult> with_root,
+         Func<T, TResult> without_root,
+         Func<TResult, TKey> result_key)
+         where TKey : IEquatable<TKey> =>
+         RootDependent(source, key, parent_key, with_root, without_root, result_key, default);
+
+      // TODO: unit tests
+      public static IObservable<TableUpdate<TResult, TKey>> RootDependent<T, TKey, TResult>(
+         this IObservable<TableUpdate<T, TKey>> source,
+         Func<T, TKey> key,
+         Func<T, TKey> parent_key,
+         Func<T, T, TResult> get_result,
+         Func<T, TResult> get_result_no_parent,
+         Func<TResult, TKey> result_key,
+         TKey no_parent_key)
+         where TKey : IEquatable<TKey> =>
+         Observable.Create<TableUpdate<TResult, TKey>>(observer => {
+            var state = DictionaryHelper.empty<TKey, T>();
+            var output = TableUpdate<TResult, TKey>.mk_empty(result_key);
+            var parent_to_children = new SetMap<TKey, T>();
+            return source.Subscribe(update);
+            //
+            void update(TableUpdate<T, TKey> input) {
+               state = input.state;
+               var builder = output.to_builder();
+               // execute all parent_to_children changes first, so descendent-propagation will be efficient (otherwise propagation might be needlessly performed on values that are yet to be removed, or performed with the wrong root, if the real root is yet to be added).
+               foreach (var v in input.removed.Concat(input.changes.Select(ch => ch.Old))) {
+                  var k = input.key_extractor(v);
+                  parent_to_children.remove(parent_key(v), v);
+               }
+               foreach (var v in input.added.Concat(input.changed)) {
+                  var pk = parent_key(v);
+                  if (!pk.Equals(no_parent_key))
+                     parent_to_children.add(pk, v);
+               }
+               foreach (var v in input.removed) {
+                  var k = input.key_extractor(v);
+                  builder.remove(k);
+                  if (parent_to_children.try_lookup(k, out ISet<T> children)) {
+                     foreach (var child in children) {
+                        var ck = key(child);
+                        builder.add_or_update(ck, get_result_no_parent(child));
+                        foreach (var d in descendents(ck))
+                           builder.add_or_update(key(d), get_result(d, child));
+                     }
+                  }
+               }
+               foreach (var v in input.changed) {
+                  var k = input.key_extractor(v);
+                  var root = get_root(v);
+                  TResult result;
+                  if (key(root).Equals(k)) {
+                     result = get_result_no_parent(v);
+                     foreach (var d in descendents(k))
+                        builder.add_or_update(key(d), get_result(d, v));
+                  } else {
+                     result = get_result(v, root);
+                  }
+                  builder.add_or_update(k, result);
+               }
+               foreach (var v in input.added) {
+                  var k = input.key_extractor(v);
+                  var pk = parent_key(v);
+                  TResult result;
+                  if (pk.Equals(no_parent_key)) {
+                     result = get_result_no_parent(v);
+                     foreach (var d in descendents(k))
+                        builder.add_or_update(key(d), get_result(d, v));
+                  } else {
+                     parent_to_children.add(pk, v);
+                     var root = get_root(v);
+                     if (key(root).Equals(k)) {
+                        result = get_result_no_parent(v);
+                        foreach (var d in descendents(k))
+                           builder.add_or_update(key(d), get_result(d, v));
+                     } else {
+                        result = get_result(v, root);
+                     }
+                  }
+                  builder.add_or_update(k, result);
+               }
+               observer.OnNext(output = builder.to_table());
+            }
+            T get_root(T value) {
+               var pk = parent_key(value);
+               while (!pk.Equals(no_parent_key) && state.TryGetValue(pk, out var parent)) {
+                  value = parent;
+                  pk = parent_key(value);
+               }
+               return value;
+            }
+            IEnumerable<T> descendents(TKey k) {
+               if (parent_to_children.try_lookup(k, out ISet<T> children)) {
+                  foreach (var child in children) {
+                     yield return child;
+                     foreach (var d in descendents(key(child)))
+                        yield return d;
+                  }
+               }
+            }
+         });
+
+      public static IObservable<TableUpdate<T, TKey>> MergeTable<T, TKey>(this IObservable<TableUpdate<T, TKey>> source, IObservable<TableUpdate<T, TKey>> other) where TKey : IEquatable<TKey> =>
+         source.AggregateLatest(other, _Merge<T, TKey>.source_change_del, _Merge<T, TKey>.other_change_del, () => TableUpdate<T, TKey>.empty, TableUpdate<T, TKey>.empty, TableUpdate<T, TKey>.empty);
+
+      public static IObservable<TableUpdate<KeyValuePair<TKey, TResult>, TKey>> ParentDependent<T, TKey, TResult>(
+         this IObservable<TableUpdate<T, TKey>> source,
+         Func<T, TKey> key,
+         Func<T, TKey> parent_key,
+         Func<T, T, TResult> get_result,
+         Func<T, TResult> get_result_no_parent)
+         where TResult : IEquatable<TResult>
+         where TKey : IEquatable<TKey> =>
+         ParentDependent(source, key, parent_key, get_result, get_result_no_parent, EqualityComparer<TResult>.Default, default);
+
+      public static IObservable<TableUpdate<KeyValuePair<TKey, TResult>, TKey>> ParentDependent<T, TKey, TResult>(
+         this IObservable<TableUpdate<T, TKey>> source,
+         Func<T, TKey> key,
+         Func<T, TKey> parent_key,
+         Func<T, T, TResult> get_result,
+         Func<T, TResult> get_result_no_parent,
+         IEqualityComparer<TResult> result_comparer,
+         TKey no_parent_key)
+         where TKey : IEquatable<TKey> =>
+         Observable.Create<TableUpdate<KeyValuePair<TKey, TResult>, TKey>>(observer => {
+            var value_comparer = EqualityComparer.Create<KeyValuePair<TKey, TResult>, TResult>(kv => kv.Value, result_comparer);
+            var state = DictionaryHelper.empty<TKey, T>();
+            var output = TableUpdate<KeyValuePair<TKey, TResult>, TKey>.mk_empty(kv => kv.Key);
+            var parent_to_children = new SetMap<TKey, T>();
+            return source.Subscribe(update);
+            //
+            void update(TableUpdate<T, TKey> input) {
+               state = input.state;
+               var builder = output.to_builder();
+               foreach (var v in input.removed) {
+                  var k = input.key_extractor(v);
+                  builder.remove(k);
+                  parent_to_children.remove(parent_key(v), v);
+                  if (parent_to_children.try_lookup(k, out ISet<T> children)) {
+                     foreach (var child in children)
+                        builder.add_or_update(new KeyValuePair<TKey, TResult>(key(child), get_result_no_parent(child)));
+                  }
+               }
+               foreach (var v in input.changed) {
+                  var k = key(v);
+                  builder.add_or_update(new KeyValuePair<TKey, TResult>(k, lookup_result(v)));
+                  parent_to_children.set(parent_key(v), v);
+                  if (parent_to_children.try_lookup(k, out ISet<T> children)) {
+                     foreach (var child in children)
+                        builder.add_or_update(new KeyValuePair<TKey, TResult>(key(child), get_result(child, v)));
+                  }
+               }
+               foreach (var v in input.added) {
+                  var k = key(v);
+                  builder.add_or_update(new KeyValuePair<TKey, TResult>(k, lookup_result(v)));
+                  parent_to_children.add(parent_key(v), v);
+                  if (parent_to_children.try_lookup(k, out ISet<T> children)) {
+                     foreach (var child in children)
+                        builder.add_or_update(new KeyValuePair<TKey, TResult>(key(child), get_result(child, v)));
+                  }
+               }
+               var result = builder.to_table_checked(value_comparer);
+               if (result.has_changes())
+                  observer.OnNext(output = result);
+            }
+            TResult lookup_result(T child) {
+               var pk = parent_key(child);
+               return !pk.Equals(no_parent_key) && state.TryGetValue(pk, out T parent) ?  get_result(child, parent) : get_result_no_parent(child);
+            }
+         });
+
+      static class _Merge<T, TKey> where TKey : IEquatable<TKey> {
+         public static readonly Func<TableUpdate<T, TKey>, Change<TableUpdate<T, TKey>>, TableUpdate<T, TKey>, TableUpdate<T, TKey>> source_change_del = _source_changed_impl;
+         public static readonly Func<TableUpdate<T, TKey>, TableUpdate<T, TKey>, Change<TableUpdate<T, TKey>>, TableUpdate<T, TKey>> other_change_del = _other_changed_impl;
+
+         static TableUpdate<T, TKey> _source_changed_impl(TableUpdate<T, TKey> target, Change<TableUpdate<T, TKey>> source_change, TableUpdate<T, TKey> other_table) =>
+            TableUpdate<T, TKey>.update(target, source_change.New.added, source_change.New.changes, source_change.New.removed, source_change.New.key_extractor);
+
+         static TableUpdate<T, TKey> _other_changed_impl(TableUpdate<T, TKey> target, TableUpdate<T, TKey> source_table, Change<TableUpdate<T, TKey>> other_change) =>
+            TableUpdate<T, TKey>.update(target, other_change.New.added, other_change.New.changes, other_change.New.removed, other_change.New.key_extractor);
+      }
+   }
+}
+namespace bts.utils.diagnostics {
+   public static class DiagnosticUpdateExtensions {
+      // Hard to imagine why this util would be needed outside of diagnosig bugs.
+      // The #if DEBUG directive is an extra precaution to avoid accidentally writing
+      // files like this on a client's machine.
+#if DEBUG
+      static readonly string _proto_capture_ext = "proto_capture";
+
+      public static IObservable<TableUpdate<T, TKey>> ProtoBufCapture<T, TKey, TProto>(this IObservable<TableUpdate<T, TKey>> source, Func<T, TProto> to_message)
+         where TKey : IEquatable<TKey>
+         where TProto : class, IMessage<TProto> =>
+         ProtoBufCapture(source,
+            FilePathHelper.GetUniquePathWithDate(Path.Combine(Directory.GetCurrentDirectory(), typeof(TProto).Name), _proto_capture_ext),
+            to_message);
+
+      public static IObservable<TableUpdate<T, TKey>> ProtoBufCapture<T, TKey, TProto>(this IObservable<TableUpdate<T, TKey>> source, string path, Func<T, TProto> to_message)
+         where TKey : IEquatable<TKey>
+         where TProto : class, IMessage<TProto> =>
+         Observable.Create<TableUpdate<T, TKey>>(o => {
+            // write the state on dispose, and/or on error
+            IReadOnlyDictionary<TKey, T> state = DictionaryHelper.empty<TKey, T>();
+            var sub = source.Subscribe(table => {
+               state = table.state;
+               o.OnNext(table);
+            }, ex => {
+               save(true);
+               o.OnError(ex);
+            },
+            o.OnCompleted);
+            return Disposable.Create(() => {
+               save(false);
+               Disposable.dispose(ref sub);
+            });
+            void save(bool has_error) {
+               if (state.Count > 0)
+                  FileStreamHelper.WriteProtos(has_error ? $"{path}(error)" : path, state.Values.Select(to_message).ExceptNull());
+            }
+         });
+#endif
+   }
+}

src/client/spark_test/Resources/ResourceHelper.cs

@@ -0,0 +1,13 @@
+using System.IO;
+using System.Reflection;
+
+namespace bts.resources {
+   class ResourceHelper {
+      const string _default_namespace = "spark_test.Resources";
+
+      public static Stream LoadResource(string name) {
+         var ass = Assembly.GetExecutingAssembly();
+         return ass.GetManifestResourceStream(name) ?? ass.GetManifestResourceStream($"{_default_namespace}.{name}");
+      }
+   }
+}

src/client/spark_test/Security/SecurityTests.cs

@@ -1,13 +1,11 @@
-using System;
+using bts.api;
+using bts.resources;
+using bts.test;
+using bts.utils.proto;
 using System.Collections.Generic;
 using System.Linq;
-using System.Text;
-using System.Threading.Tasks;
-using bts.api;
-using bts.test;
 
-namespace bts.mcore
-{
+namespace bts.mcore {
    [TestGroup]
    class SecurityTests {
       [Test]
@@ -28,5 +26,23 @@ namespace bts.mcore
          Assert.That(dict[b] == 1);
          Assert.That(dict[c] == 2);
       }
+
+      [Test]
+      public void test_security_compare() {
+         const string securities_resource = "KrandallOrderBookCrash.security_proto";
+         // verify that the sample size doesn't shrink for some reason.
+         // if it grows a bit that's fine; the generic comparison test
+         // asserts against collections that are too large.
+         const int min_sample_size = 91;
+
+         var securities = StreamHelper.ReadProtos<Security>(
+            ResourceHelper.LoadResource(securities_resource))
+            .Select(s => new SecurityImmutable(s))
+            .ToList();
+         Assert.IsTrue(securities.Count >= min_sample_size);
+
+         ComparisonTests.transitive_comparison(securities, SecurityHelper.Comparer.InstanceImmutable);
+         ComparisonTests.identity_comparison(securities, SecurityHelper.Comparer.InstanceImmutable);
+      }
    }
 }

src/client/spark_test/Utils/ComparisonTests.cs

@@ -0,0 +1,34 @@
+using bts.test;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace bts.mcore {
+   static class ComparisonTests {
+      public static void transitive_comparison<T>(IEnumerable<T> items, IComparer<T> comparer) {
+         // Verify that the sample size isn't too big.
+         // This test compares each item to every other item
+         // (technically twice; lhs/rhs is flipped the second time),
+         // so performance is O(n^2).
+         const int max_sample_size = 4092;
+         var sorted_items = items.ToList();
+         Assert.That(sorted_items.Count <= max_sample_size);
+         sorted_items.Sort(comparer);
+         for (int i = 0; i < sorted_items.Count - 1; i++) {
+            for (int j = i + 1; j < sorted_items.Count; j++) {
+               assert_comp(i, j);
+            }
+         }
+         void assert_comp(int lhs, int rhs) {
+            int pos_comp = lhs.CompareTo(rhs);
+            // hit both sides for good measure
+            Assert.That(comparer.Compare(sorted_items[lhs], sorted_items[rhs]) == pos_comp);
+            Assert.That(comparer.Compare(sorted_items[rhs], sorted_items[lhs]) == -pos_comp);
+         }
+      }
+
+      public static void identity_comparison<T>(IEnumerable<T> items, IComparer<T> comparer) {
+         foreach (var v in items)
+            Assert.That(comparer.Compare(v, v) == 0);
+      }
+   }
+}

src/client/spark_test/spark_test.csproj

@@ -14,5 +14,7 @@
   <ItemGroup>
     <Content Include="../spark_test/system_test_scripts/*.sh" CopyToOutputDirectory="PreserveNewest"></Content>
   </ItemGroup>
-
+  <ItemGroup>
+    <EmbeddedResource Include="Resources\KrandallOrderBookCrash.security_proto" />
+  </ItemGroup>
 </Project>

src/lib/CMakeDeps.cmake

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

src/lib/api/service_helpers/AdminServiceUtils.cpp

@@ -685,6 +685,7 @@ bts::api::admin::BTSAccount* AdminServiceUtils::create_account(bts::api::admin::
    new_account_ptr->set_name(account_name);
    new_account_ptr->set_description(description);
    new_account_ptr->set_is_active(is_active);
+   new_account_ptr->mutable_risk_limit_enforcement()->set_ignore_spread_position_limits(true);
    return new_account_ptr;
 }
 void AdminServiceUtils::update_account(bts::api::admin::AdminData& admin_data,

src/lib/api/services/OrderService.proto

@@ -104,6 +104,7 @@ message CustomOrderDefinition
     SplitterOrderDefinition   splitter = 29;
     ScratchOrderDefinition scratch = 31;
     ProRataOrderDefinition prorata = 32;
+    DeleteAndCoverDefinition delete_and_cover = 34;
     
     DynamicOrderDefinition dynamic = 1000;
   }
@@ -144,6 +145,13 @@ message TickOrderDefinition {
   bool detach_on_toward = 5;
   CustomOrderDefinition child = 6;
 }
+enum LeanOnToward
+{
+   NO_CHANGE = 0; //continue to lean on initial inside market
+   CANCEL = 1; //cancel algo and order
+   DETACH = 2; //cancel algo but leave order working
+   REPRICE = 3; //lean on new inside market
+}
 message LeanOrderDefinition {
   spark.QuantityMeasure cross_threshold = 1;
   uint32 max_chase_ticks = 2;
@@ -179,6 +187,21 @@ message CoverOrderDefinition {
   CustomOrderDefinition child = 3;
   bool cancel_on_external_hedge_cancel = 4;
   bool cancel_hedges_on_cancel = 5;
+  bool detach_hedges = 6;
+}
+message DeleteAndCoverDefinition{
+  // cover
+  uint32 hedge_ticks = 1;
+  bool cancel_on_external_hedge_cancel = 2;
+  bool cancel_hedges_on_cancel = 3;
+  bool detach_hedges = 4;
+  // main child = top
+  spark.QuantityMeasure top_threshold = 10;
+  uint32 ticks_off = 11;
+  // hedge child = Lean
+  spark.QuantityMeasure cross_threshold = 20;
+  uint32 max_chase_ticks = 21;
+  LeanOnToward trade_toward_behavior = 22;
 }
 message OffsetOrderDefinition {
   uint32 tick_offset_on_deploy = 1;
@@ -383,7 +406,9 @@ message OCOOrderState {}
 message PricerOrderState {}
 message ScratchOrderState {}
 message ProRataOrderState {}
-message DynamicOrderState {}
+message DynamicOrderState {
+  map<string,DynamicOrderParam> custom_state = 1;
+}
 message QueueHolderState {}
 message SplitterOrderState {}
 
@@ -644,7 +669,7 @@ message RegisteredDynamicOrderTypes {
 
 message DynamicOrderParam {
   oneof value {
-    uint32 as_int32 = 1;
+    int32 as_int32 = 1;
     uint32 as_uint32 = 2;
     double as_double = 3;
     string as_string = 4;

src/lib/config/protos/MarketData.proto

@@ -52,6 +52,11 @@ message PublisherOptions
    optional uint32 heartbeat_boot_seconds = 12 [default = 60]; // 1 minute grace period from shm creation
 
    optional bool skip_options = 13 [default = true];
+
+   optional uint32 hot_initial = 20 [default = 1024];
+   optional uint32 hot_growth = 21 [default = 1024];
+   optional uint32 cold_initial = 22 [default = 8192];
+   optional uint32 cold_growth = 23 [default = 2048];
 }
 
 message ICEPublisherOptions
@@ -193,6 +198,11 @@ message RecordOptions {
    optional bool record_sim = 5 [default=false];
 }
 
+// If starting on Sunday pre-load the selected symbols from disk
+message SecurityPreload {
+   repeated string symbol = 1;
+}
+
 //
 // Replay options
 // 

src/lib/config/protos/UI.proto

@@ -76,6 +76,7 @@ message LadderKnobs {
 message OrderBookOptions {
    optional bool animate_child_order_rows = 1 [default = false];
    optional double status_color_opacity_when_selected = 2 [default = 0.35];
+   optional bool can_edit_specific_algo_params = 3 [default = false];
 }
 
 message OrderTicketOptions {

src/lib/config/protos/toggles.proto

@@ -67,4 +67,7 @@ message DynamicAlgos{
    optional bool enable_dorman = 1 [default = false];
    optional bool enable_pyramid = 2 [default = false];
    optional bool enable_tas = 3 [default = false];
+   optional bool enable_tascounter = 4 [default = false];
+   optional bool enable_limit_cover = 5 [default = false];
+   optional bool enable_onsignal = 6 [default = false];
 }

src/lib/domain_model/Security.h

@@ -41,16 +41,16 @@ inline api::Side other_side(api::Side side) {
    }
 }
 
-inline double market_epislon() { return 1e-10; }
+inline double market_epsilon() { return 1e-10; }
 
 // better == p1 more aggressive than p1 ie for a buy order p1 is higher
 // than p2, and for a sell order p1 is lower than p2
 inline bool is_better(api::Side side, Price p1, Price p2) {
    switch (side) {
    case api::SIDE_BUY:
-      return p1.value() - p2.value() > market_epislon();
+      return p1.value() - p2.value() > market_epsilon();
    case api::SIDE_SELL:
-      return p2.value() - p1.value() > market_epislon();
+      return p2.value() - p1.value() > market_epsilon();
    default:
       return false;
    }
@@ -76,7 +76,7 @@ inline Price worsen_price(api::Side side, Price p, Price offset) {
 }
 
 inline bool is_same(Price p1, Price p2) {
-   return std::abs(p1.value() - p2.value()) < market_epislon();
+   return std::abs(p1.value() - p2.value()) < market_epsilon();
 }
 
 inline bool is_equal_or_better(api::Side side, Price p1, Price p2) {
@@ -211,6 +211,9 @@ inline bool gr_than(double p1, double p2, double tick_size) {
    return gr_than_eq(p1, p2, tick_size) &&
           !test_price_equality(p1, p2, tick_size);
 }
+inline bool test_price_equality(double price_1, double price_2) {
+   return std::fabs(price_2 - price_1) < market_epsilon();
+}
 
-
-}}
+} // namespace securities
+} // namespace bts

src/lib/md/MDConsumer.cpp

@@ -792,7 +792,7 @@ public:
             // We can safely send a security key to every _instance because by definition
             // a security cannot appear in 2 instances
             if (unresolved_securities.size() > 250) {
-               LOG(md,Warn,"Failed to resolve legs for {}"
+               LOG(md,Info,"Failed to resolve legs for {}"
                    " spreads. This can happen when a spread is subscribed without "
                    "it's underliers and may lead to higher than expected CPU use.",
                    unresolved_securities.size() );

src/lib/md/MDProducer.cpp

@@ -20,8 +20,14 @@ public:
       _symbol(symbol),
       _type(type),
       _exchange(exchange),
-      _hot(hot_segment_name(symbol, type, exchange, platform), 1024, 1024, flags & MDProducerFlags::Shared),
-      _cold(cold_segment_name(symbol, type, exchange, platform), 8192, 2048, flags & MDProducerFlags::Shared),
+      _hot(hot_segment_name(symbol, type, exchange, platform), 
+         config::get<PublisherOptions>().hot_initial(), 
+         config::get<PublisherOptions>().hot_growth(),
+         flags & MDProducerFlags::Shared),
+      _cold(cold_segment_name(symbol, type, exchange, platform), 
+         config::get<PublisherOptions>().cold_initial(), 
+         config::get<PublisherOptions>().cold_growth(), 
+         flags & MDProducerFlags::Shared),
       _trades(_cold.header().trade_buffer, BTS_ARRAYSIZE(_cold.header().trade_buffer), true),
       _rfqs(_cold.header().rfq_buffer, BTS_ARRAYSIZE(_cold.header().rfq_buffer), true)
       {

src/lib/md/vendor/OnixsUtils.cpp

@@ -18,16 +18,16 @@ const char * onixs_license[] = {
 "    <name>Blue Trading Systems OF 9420-2</name>",
 "  </customer>",
 "  <period>",
-"    <since>2019-05-02</since>",
-"    <till>2020-05-13</till>",
+"    <since>2020-05-01</since>",
+"    <till>2021-05-12</till>",
 "  </period>",
 "  <products>",
 "    <product id=\"4\" name=\"CME Market Data Handler for C++\" />",
 "    <product id=\"7\" name=\"ICE iMpact Multicast Price Feed Handler for C++\" />",
 "    <product id=\"67\" name=\"Eurex Market and Reference Data Interfaces (EMDI, RDI) Handler for C++\" />",
 "  </products>",
-"  <checksum>5E50A1DACD94D7C1BECD316EEAE5AB02</checksum>",
-"</license>",
+"  <checksum>1C9210495AA3C9C884B7A37A4C7AD8F9</checksum>",
+"</license>"
 };
 
 OnixsTemplLicense onixs_create_temporary_license() {

src/lib/orderman/actors/OrderStore.cpp

@@ -154,10 +154,13 @@ void OrderStore::store_and_publish_if_complete(
 
 bool OrderStore::_order_cutoff(const api::orderman::OrderRecord &rec) {
    // TODO: move this to orderutils
-   bool working = (rec.state().status() ==
-                   api::orderman::OrderStatus::ORDER_STATUS_WORKING) ||
-                  (rec.state().status() ==
-                   api::orderman::OrderStatus::ORDER_STATUS_PENDING_WORKING);
+   bool working =
+     (rec.state().status() ==
+      api::orderman::OrderStatus::ORDER_STATUS_WORKING) ||
+     (rec.state().status() ==
+      api::orderman::OrderStatus::ORDER_STATUS_DISCONNECTED) ||
+     (rec.state().status() ==
+      api::orderman::OrderStatus::ORDER_STATUS_PENDING_WORKING);
    return me->soft_cleanup_enabled && !working &&
           rec.state().created().seconds() < me->cutoff_time.tv_sec;
 }

src/lib/orderman/actors/SODPosition.cpp

@@ -7,6 +7,7 @@
 #include "lib/utils/PBUtils.h"
 #include "lib/utils/bts_assert.h"
 #include <google/protobuf/timestamp.pb.h>
+#include <google/protobuf/util/time_util.h>
 #include <sstream>
 #include <sys/time.h>
 
@@ -53,7 +54,7 @@ timeval SODPosition::sod_time() {
    // if the server started before the sod for today
    if (rv.tv_sec >= now_epoch)
       rv = subtract_days (rv,1);
-   return rv;   
+   return rv;
 }
 
 timeval SODPosition::get_order_cutoff_time(
@@ -98,6 +99,48 @@ timeval SODPosition::now(){
    return tv;
 }
 
+google::protobuf::Timestamp SODPosition::today_local_time_to_utc_timestamp (
+                                                   uint16_t hours,
+                                                   uint16_t mins,
+                                                   uint16_t secs,
+                                                   bool add_day_if_less,
+                                                   bool subtract_day_if_more){
+   time_t now_epoch;
+   time(&now_epoch); // seconds since epoch (utc) (independent of machine timezone)
+   auto now_ts = google::protobuf::util::TimeUtil::TimeTToTimestamp(now_epoch);
+   struct tm *ptm_local = localtime(&now_epoch);  // in local timezone
+   ptm_local->tm_hour = hours;
+   ptm_local->tm_min = mins;
+   ptm_local->tm_sec = secs;
+   ptm_local->tm_isdst = -1;
+   time_t ovrd_epoch = mktime(ptm_local);  // converts local time to UTC epoch time
+   if(ovrd_epoch < now_epoch){
+      if (add_day_if_less)
+         ovrd_epoch += 24*60*60;
+   }
+   else{
+      if(subtract_day_if_more)
+         ovrd_epoch -= 24*60*60;
+   }
+   auto ovrd_ts = google::protobuf::util::TimeUtil::TimeTToTimestamp(ovrd_epoch);
+   return ovrd_ts;
+}
+
+google::protobuf::Timestamp SODPosition::add_seconds (
+                                       const google::protobuf::Timestamp& ts,
+                                       int secs_diff){
+   auto secs = google::protobuf::util::TimeUtil::TimestampToSeconds(ts);
+   secs += secs_diff;
+   return google::protobuf::util::TimeUtil::SecondsToTimestamp(secs);
+}
+
+google::protobuf::Timestamp SODPosition::add_nanoseconds (
+                                       const google::protobuf::Timestamp& ts,
+                                       long diff){
+   return google::protobuf::util::TimeUtil::NanosecondsToTimestamp(
+      google::protobuf::util::TimeUtil::TimestampToNanoseconds(ts) + diff);
+}
+
 google::protobuf::Timestamp SODPosition::to_timestamp (timeval tv){
    google::protobuf::Timestamp rv;
    rv.set_seconds(tv.tv_sec);

src/lib/orderman/actors/SODPosition.h

@@ -31,6 +31,18 @@ public:
                      const std::map<std::string,std::string>& ordermap);
    static timeval now();
    static google::protobuf::Timestamp to_timestamp (timeval);
+   static google::protobuf::Timestamp today_local_time_to_utc_timestamp (
+            uint16_t hours,
+            uint16_t mins,
+            uint16_t secs,
+            bool add_day_if_less,
+            bool subtract_day_if_more);
+   static google::protobuf::Timestamp add_seconds (
+                                 const google::protobuf::Timestamp& ts,
+                                 int secs);
+   static google::protobuf::Timestamp add_nanoseconds (
+                                 const google::protobuf::Timestamp& ts,
+                                 long diff);
    bool is_sod (const google::protobuf::Timestamp& fill_time) const;
 };
 

src/lib/orderman/events/OrderStateUpdateEvent.h

@@ -11,16 +11,16 @@ namespace bts {
 namespace orderman {
 
 class OrderStateUpdateEvent : public mercury::Event<OrderStateUpdateEvent> {
- public:
+public:
    using SynopsisPolicy = mercury::CacheAll<OrderStateUpdateEvent>;
 
    OrderStateUpdateEvent()
       : key(null_order_key()), parent_key(null_order_key()) {}
 
    OrderStateUpdateEvent(
-       OrderKey k, OrderKey pk,
-       std::shared_ptr<const api::orderman::OrderDefinition> const &def,
-       api::orderman::OrderState const &state) {
+      OrderKey k, OrderKey pk,
+      std::shared_ptr<const api::orderman::OrderDefinition> const &def,
+      api::orderman::OrderState const &state) {
       init(k, pk, def, state);
    }
 
@@ -41,18 +41,21 @@ class OrderStateUpdateEvent : public mercury::Event<OrderStateUpdateEvent> {
       display_status = state.display_status();
 
       custom = state.custom_case();
-
-      auto native_state = get_native_state(state);
-      if (native_state) {
-         exchange_order_id = native_state->exchange_order_id();
-         last_msg_seq_num = native_state->last_msg_seq_num();
-         sub_error_code = native_state->sub_error_code();
-         native_status = native_state->native_status();
-         routing_record = native_state->routing_record();
-         native_type = native_state->native_type();
-         orderman::str_to(native_state->last_transact_time(),
-                          &last_transact_time);
-         stop_px = native_state->stop_px();
+      if (custom == api::orderman::OrderState::kDynamic) {
+         dynamic_order_state = state.dynamic();
+      } else {
+         auto native_state = get_native_state(state);
+         if (native_state) {
+            exchange_order_id = native_state->exchange_order_id();
+            last_msg_seq_num = native_state->last_msg_seq_num();
+            sub_error_code = native_state->sub_error_code();
+            native_status = native_state->native_status();
+            routing_record = native_state->routing_record();
+            native_type = native_state->native_type();
+            orderman::str_to(native_state->last_transact_time(),
+                             &last_transact_time);
+            stop_px = native_state->stop_px();
+         }
       }
    }
 
@@ -70,7 +73,6 @@ class OrderStateUpdateEvent : public mercury::Event<OrderStateUpdateEvent> {
    uint32_t filled_at_attach_time_quantity;
    std::string last_msg;
    api::orderman::OrderState::DisplayStatus display_status;
-   
    api::orderman::OrderState::CustomCase custom;
 
    // native order state
@@ -82,7 +84,10 @@ class OrderStateUpdateEvent : public mercury::Event<OrderStateUpdateEvent> {
    api::orderman::NativeOrderType native_type;
    mercury::TimeStampStr last_transact_time;
    double stop_px;
-   
+
+   // dynamic order state
+   std::optional<api::orderman::DynamicOrderState> dynamic_order_state;
+
    api::orderman::OrderState quick_rebuild_state() const {
       api::orderman::OrderState result;
       result.set_status(status);
@@ -111,11 +116,11 @@ class OrderStateUpdateEvent : public mercury::Event<OrderStateUpdateEvent> {
          break;
       case api::orderman::OrderState::kStopLimit:
          rebuild_native_state(
-             result.mutable_stop_limit()->mutable_native_state());
+            result.mutable_stop_limit()->mutable_native_state());
          break;
       case api::orderman::OrderState::kGlbxIceberg:
          rebuild_native_state(
-             result.mutable_glbx_iceberg()->mutable_native_state());
+            result.mutable_glbx_iceberg()->mutable_native_state());
          break;
       case api::orderman::OrderState::kIceberg:
          result.mutable_iceberg();
@@ -163,7 +168,7 @@ class OrderStateUpdateEvent : public mercury::Event<OrderStateUpdateEvent> {
          result.mutable_prorata();
          break;
       case api::orderman::OrderState::kDynamic:
-         result.mutable_dynamic();
+         *result.mutable_dynamic() = dynamic_order_state.value();
          break;
       case api::orderman::OrderState::kSplitter:
          result.mutable_splitter();
@@ -175,7 +180,7 @@ class OrderStateUpdateEvent : public mercury::Event<OrderStateUpdateEvent> {
       return result;
    }
 
- private:
+private:
    void rebuild_native_state(api::orderman::NativeOrderState *st) const {
       st->set_stop_px(stop_px);
       st->set_exchange_order_id(exchange_order_id);

src/lib/orderman/order_factory/OrderFactory.cpp

@@ -24,6 +24,7 @@
 #include "lib/orderman/orders/algo/algo_orders/OffsetAlgo.h"
 #include "lib/orderman/orders/algo/algo_orders/ScratchAlgo.h"
 #include "lib/orderman/orders/algo/algo_orders/ProRataAlgo.h"
+#include "lib/orderman/orders/algo/algo_orders/DeleteAndCoverAlgo.h"
 #include "lib/orderman/orders/book_algos/OCOOrder.h"
 #include "lib/orderman/orders/book_algos/PricerOrder.h"
 #include "lib/orderman/orders/spreader_orders/SpreaderOrder.h"
@@ -242,6 +243,10 @@ Order &OrderFactory::allocate(OrderKey k, OrderKey pk,
       order_ptr.reset(
          new orderman::AlgoWrapperOrder(std::make_unique<splitter::SplitterAlgo>()));
       break;
+   case CustomOrderDefinition::kDeleteAndCover:
+      order_ptr.reset(
+         new orderman::AlgoWrapperOrder(std::make_unique<DeleteAndCoverAlgo>()));
+      break;
    case CustomOrderDefinition::CUSTOM_NOT_SET:
       bts_assert_msg(false, "Cannot create order with unknown type");
       break;

src/lib/orderman/orderman_utils/BookUtils.cpp

@@ -0,0 +1,26 @@
+#include "BookUtils.h"
+
+namespace bts {
+namespace orderman {
+using Size = bts::md::Size;
+using Side = bts::api::Side;
+
+Size BookUtils::volume_at_or_better(const Book& book, Side side, Price price) {
+   return volume_at_or_better(book, side, price.value());
+}
+Size BookUtils::volume_at_or_better(const Book& book, Side side, double price) {
+   Size volume = 0;
+   SidePriceComp spc(side);
+   for (const auto& plevel : book.side(side)) {
+      if (spc(price, plevel.price()))
+         break;
+      volume += plevel.size();
+   }
+   return volume;
+}
+
+SidePriceComp BookUtils::price_comp(Side side) {
+   return SidePriceComp(side);
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orderman_utils/BookUtils.h

@@ -0,0 +1,18 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/config/protos/MarketData.pb.h"
+#include "lib/domain_model/Security.h"
+#include "lib/domain_model/common.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orderman_utils/PriceComp.h"
+
+namespace bts {
+namespace orderman {
+
+struct BookUtils {
+   static md::Size volume_at_or_better(const Book& book, api::Side side, Price price);
+   static md::Size volume_at_or_better(const Book& book, api::Side side, double price);
+   static SidePriceComp price_comp(api::Side side);
+};
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orderman_utils/Formatter.h

@@ -0,0 +1,283 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/config/protos/MarketData.pb.h"
+#include "lib/domain_model/common.h"
+#include "lib/md/PriceSize.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orders/algo/IAlgoOrder.h"
+#include "lib/utils/PBUtils.h"
+#include <functional>
+#include <iostream>
+#include <map>
+#include <sstream>
+#include <fmt/format.h>
+
+namespace bts {
+namespace orderman {
+struct Formatter {
+   using Side = bts::api::Side;
+   // this is a placeholder for other book formats down the road.
+   enum class BookFormat { BBO = 1 };
+   enum class Tense {
+      Present,
+      Preterite
+   };
+
+   template<typename T>
+   inline static void concat(std::ostream& ostr, const T& v) {
+      ostr << v;
+   }
+
+   template<typename T, typename... Args>
+   inline static void concat(std::ostream& ostr, const T& first, Args... args) {
+      ostr << first;
+      (concat(ostr, args), ...);
+   }
+
+   template<typename T>
+   inline static std::string fmt(const T& curr) {
+      std::stringstream str;
+      str << curr;
+      return str.str();
+   }
+
+   template<typename T, typename... Args>
+   inline static std::string fmt(const T& curr, Args... next) {
+      std::stringstream str;
+      concat(str, curr, next...);
+      return str.str();
+   }
+
+   template <class TKey, class TValue>
+   static std::string fmt_values(const std::map<TKey, TValue>& map) {
+      if (map.empty())
+         return "None";
+      std::stringstream str;
+      auto it = map.begin();
+      str << it->second;
+      while (++it != map.end()) {
+         str << ", " << it->second;
+      }
+      return str.str();
+   }
+
+   template <class T>
+   static std::string fmt_values(const std::vector<T>& values) {
+      if (values.empty())
+         return "None";
+      std::stringstream str;
+      auto it = values.begin();
+      str << *it;
+      while (++it != values.end()) {
+         str << ", " << *it;
+      }
+      return str.str();
+   }
+
+   static std::string fmt_fill(Side side, uint32_t qty, double price) {
+      std::stringstream ostr;
+      ostr << to_string(side, Tense::Preterite) << " " << qty << " @ " << price;
+      return ostr.str();
+   }
+
+   static std::string fmt_order(Side side, uint32_t qty, double price) {
+      std::stringstream ostr;
+      ostr << to_string(side) << " " << qty << " @ " << price;
+      return ostr.str();
+   }
+
+   static std::string fmt_order(OrderKey key, uint32_t qty, double price, const api::orderman::OrderDefinition& def) {
+      std::stringstream ostr;
+      ostr << key << " " << to_string(def.side()) << " " << qty << " @ "
+           << price << std::endl << "[Def]" << utils::pb::to_string(def);
+      return ostr.str();
+   }
+
+   static std::string fmt_order(OrderKey key, Side side, uint32_t qty, double price, ChildState state) {
+      std::stringstream ostr;
+      ostr << key << " " << to_string(side) << " " << qty << " @ " << price
+           << " " << to_string(state);
+      return ostr.str();
+   }
+
+private:
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream&, const std::string&) { }
+
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream&, std::function<std::string()>) { }
+
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream& str, const std::string& separator, const T& curr) {
+      str << separator << curr;
+   }
+
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream& str, std::function<std::string()> get_separator, const T& curr) {
+      str << get_separator() << curr;
+   }
+
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream& str, const std::string& separator, const T& curr, Args... next) {
+      str << separator << curr;
+      (join_next(str, separator, next), ...);
+   }
+
+   template<typename T, typename... Args>
+   inline static void join_next(std::stringstream& str, std::function<std::string()> get_separator, const T& curr, Args... next) {
+      str << get_separator() << curr;
+      (join_next(str, get_separator, next), ...);
+   }
+
+public:
+   template<typename T, typename... Next>
+   inline static std::string join(const std::string&, const T& curr) {
+      std::stringstream str;
+      str << curr;
+      return str.str();
+   }
+
+   template<typename T, typename... Next>
+   inline static std::string join(const std::string& separator, const T& curr, Next... next) {
+      std::stringstream str;
+      str << curr;
+      join_next(str, separator, next...);
+      return str.str();
+   }
+
+   template<typename T, typename... Next>
+   inline static std::string join(std::function<std::string()> get_separator, const T& curr, Next... next) {
+      std::stringstream str;
+      str << curr;
+      join_next(str, get_separator, next...);
+      return str.str();
+   }
+
+   template <class T>
+   static std::string to_string(const T& value) {
+      std::stringstream str;
+      str << value;
+      return str.str();
+   }
+
+   static std::string to_string(bool value) {
+      return value ? "true" : "false";
+   }
+
+   static std::string to_string(Side side, Tense tense = Tense::Present) {
+      switch (side) {
+      case bts::api::SIDE_BUY:
+         switch (tense) {
+         case Tense::Preterite:
+            return "Bought";
+         case Tense::Present:
+         default:
+            return "Buy";
+         }
+      case bts::api::SIDE_SELL:
+         switch (tense) {
+         case Tense::Preterite:
+            return "Sold";
+         case Tense::Present:
+         default:
+            return "Sell";
+         }
+      default:
+         return fmt("Side_", static_cast<int>(side));
+      }
+   }
+
+   static std::string to_string(ChildStatus value) {
+      switch (value) {
+      case ChildStatus::WORKING: return "Working";
+      case ChildStatus::COMPLETED: return "Completed";
+      case ChildStatus::CANCELED: return "Canceled";
+      default: return fmt("ChildStatus_", static_cast<int>(value));
+      }
+   }
+
+   static std::string to_string(ChildState value) {
+      std::stringstream ostr;
+      ostr << "[" << to_string(value.status) << "] "
+           << value.quantity.value() << " @ " << value.price.value()
+           << "(total filled " << value.total_fills.value() << " @[avg] "
+           << value.avg_price.value() << ", last filled "
+           << value.last_fills.value() << " @ "
+           << value.last_price.value() << ")";
+      return ostr.str();
+   }
+
+   static std::string to_string(const Book &book) {
+      return to_string(book, BookFormat::BBO);
+   }
+
+   static std::string to_string(const Book &book, BookFormat format) {
+      // add other impls as needed
+      std::stringstream ostr;
+      switch (format) {
+      case BookFormat::BBO:
+         if (book.bid().size() > 0 && !book.bid().at(0).is_nan()) {
+            auto best_bid = book.bid().at(0);
+            ostr << best_bid.size() << "@" << best_bid.price();
+         } else {
+            ostr << "N/A";
+         }
+         ostr << " <> ";
+         if (book.ask().size() > 0 && !book.ask().at(0).is_nan()) {
+            auto best_ask = book.ask().at(0);
+            ostr << best_ask.size() << "@" << best_ask.price();
+         } else {
+            ostr << "N/A";
+         }
+         break;
+      default:
+         break;
+      }
+      return ostr.str();
+   }
+
+   static std::string to_string(api::orderman::OrderError error) {
+      return api::orderman::OrderError_Name(error);
+   }
+
+   static std::string to_string(api::orderman::CustomOrderDefinition::CustomCase algo_type) {
+      switch (algo_type) {
+      case api::orderman::CustomOrderDefinition::CustomCase::kLimit: return "Limit";
+      case api::orderman::CustomOrderDefinition::CustomCase::kOffset: return "Offset";
+      case api::orderman::CustomOrderDefinition::CustomCase::kCover: return "Cover";
+      case api::orderman::CustomOrderDefinition::CustomCase::kIceberg: return "Iceberg";
+      default: return fmt("AlgoType_", static_cast<int>(algo_type));
+      }
+   }
+};
+
+// << operators
+inline std::ostream &operator<<(std::ostream &ostr, const api::Side &side) {
+   ostr << Formatter::to_string(side);
+   return ostr;
+}
+
+inline std::ostream &operator<<(std::ostream &ostr, const ChildStatus &child_status) {
+   ostr << Formatter::to_string(child_status);
+   return ostr;
+}
+
+inline std::ostream &operator<<(std::ostream &ostr, const ChildState &child_state) {
+   ostr << "[" << child_state.status << "] " << child_state.quantity.value()
+        << " @ " << child_state.price.value() << "(filled "
+        << child_state.total_fills.value() << " @avg "
+        << child_state.avg_price.value() << ")";
+   return ostr;
+}
+
+inline std::ostream& operator<<(std::ostream& ostr, const bts::Price& price) {
+   ostr << price.value();
+   return ostr;
+}
+
+inline std::ostream& operator<<(std::ostream& ostr, const bts::Quantity& quantity) {
+   ostr << quantity.value();
+   return ostr;
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orderman_utils/PriceComp.h

@@ -0,0 +1,32 @@
+#pragma once
+#include "lib/domain_model/Security.h"
+
+namespace bts {
+namespace orderman {
+struct PriceComp {
+   bool operator()(const Price& lhs, const Price& rhs) { return lhs.value() > rhs.value(); }
+   bool operator()(const double& lhs, const double& rhs) { return lhs > rhs; }
+};
+
+struct ReversePriceComp {
+   bool operator()(const Price& lhs, const Price& rhs) { return lhs.value() < rhs.value(); }
+   bool operator()(const double& lhs, const double& rhs) { return lhs < rhs; }
+};
+
+struct SidePriceComp {
+   SidePriceComp(api::Side side) : _side(side) {}
+
+   api::Side side() const { return _side; }
+
+   bool operator()(const Price& lhs, const Price& rhs) {
+      return _side == api::SIDE_SELL ? lhs.value() < rhs.value() : lhs.value() > rhs.value();
+   }
+
+   bool operator()(const double& lhs, const double& rhs) {
+      return _side == api::SIDE_SELL ? lhs < rhs : lhs > rhs;
+   }
+private:
+   api::Side _side;
+};
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orderman_utils/orderman_utils.h

@@ -1,3 +1,4 @@
+#pragma once
 #include "lib/api/services/OrderService.pb.h"
 #include <optional>
 #include <variant>

src/lib/orderman/orders/GLBXNativeOrder.cpp

@@ -190,21 +190,18 @@ void NativeOrder::on_init_recovered(OrderRecord const &rec,
          return;
       }
 
-      // bail if the session we used for the order is no longer valid
-      auto const &session = native_state.routing_record().session();
-      if (!serv.order_router.is_valid_session(session)) {
-         LOG(OrderMan, Error,
-             "Unknown JetFIX session {} referenced by recovered "
-             "order {}. This is a serious "
-             "problem which has to be corrected manually. ",
-             session, rec.key());
+      auto rq = serv.order_router.get_routing_record(
+         UserID(def.user_id()), AccountID(def.account_id()), *me->sec);
+      if (!rq.has_route) {
+         auto msg = fmt::format("Could not route order: {}", rq.error_msg);
+         LOG(OrderMan, Error, "Unable to route order {} recovered from disk. Message: {}",
+             rec.key(), msg);
          transition_to_error(NativeOrderState::SUB_ERROR_UNKNOWN_FIX_SESSION,
-                             fmt::format("Unknown FIX session: {}", session));
+                             "Could not route order");
          return;
       }
-
       // if we made it this far we are good.
-      me->routing_record = native_state.routing_record();
+      me->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/algo/AlgoWrapperOrder.cpp

@@ -119,6 +119,13 @@ struct AlgoWrapperOrder::PImpl {
                                            : OrderState::HIDDEN);
    }
 
+   void update_custom_state(api::orderman::DynamicOrderState const&cstate) {
+      is_state_dirty = true;
+      bts_assert(definition.has_custom_def());
+      bts_assert(definition.custom_def().has_dynamic());
+      *_state.mutable_dynamic() = cstate;
+   }
+   
    void set_key(OrderKey k) { _my_key = k; }
 
  private:
@@ -658,6 +665,12 @@ void AlgoWrapperOrder::set_ladder_visibility(bool is_visible) {
    me->set_ladder_visibility(is_visible);
 }
 
+void AlgoWrapperOrder::update_custom_state(api::orderman::DynamicOrderState const&cstate) {
+   if (!is_working())
+      return;
+   me->update_custom_state(cstate);
+}
+
 void AlgoWrapperOrder::cancel(std::string const &msg) {
    if (!is_working())
       return;

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

@@ -72,6 +72,7 @@ class AlgoWrapperOrder : public Order,
    void terminate_error(std::string const &msg) override;
    void complete() override;
    void update_fill_state(Quantity total_fills, Price last_price) override;
+   void update_custom_state(api::orderman::DynamicOrderState const&) override;
    void set_ladder_visibility (bool is_visibile) override;
    
    // Private

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

@@ -122,6 +122,9 @@ class IAlgoServices : public IBeforeLaunchAlgoServices {
    // Set wheter this algo instance should be displayed in the Spark UI ladder
    virtual void set_ladder_visibility(bool is_visible) = 0;
 
+   // Report custom algo state for display in the Spark UI
+   virtual void update_custom_state(api::orderman::DynamicOrderState const&) = 0;
+   
    // Update this algos's filled quantity and last price
    virtual void update_fill_state(Quantity total_fills, Price last_price) = 0;
 };

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

@@ -18,6 +18,7 @@ struct CoverAlgo::PImpl {
    Price price_improvement_delta;
    bool cancel_on_external_hedge_cancel = false;
    bool cancel_hedges_on_cancel = false;
+   bool detach_hedges = false;
    ChildTemplate *child_template = nullptr;
    ChildTemplate *hedge_template = nullptr;
    Quantity hedged_fills = Quantity(0);
@@ -101,8 +102,12 @@ void CoverAlgo::on_covered_change(ChildState const &st) {
              me->price_improvement_delta);
 
          auto hedge =
-             algo().launch_child(*me->hedge_template, hedge_price, hedge_qty);
-         me->hedges.push_back(hedge);
+            algo().launch_child(*me->hedge_template, hedge_price, hedge_qty,
+                                !me->detach_hedges);
+         if (me->detach_hedges) 
+            algo().detach_child(hedge);
+         else
+            me->hedges.push_back(hedge);
 
          me->hedged_fills =
              Quantity(hedge_qty.value() + me->hedged_fills.value());
@@ -247,6 +252,7 @@ void CoverAlgo::update_definition(
    me->price_improvement_delta = Price(
        securities::tick_size(serv.security()).value() * cover.hedge_ticks());
    me->cancel_hedges_on_cancel = cover.cancel_hedges_on_cancel();
+   me->detach_hedges = cover.detach_hedges();
    me->cancel_on_external_hedge_cancel =
        cover.cancel_on_external_hedge_cancel();
 }

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

@@ -0,0 +1,148 @@
+#include "lib/orderman/orders/algo/algo_orders/DeleteAndCoverAlgo.h"
+
+#include "lib/domain_model/Security.h"
+#include "lib/orderman/order_factory/IOrderFactory.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/orderman/orders/algo/IAlgoServices.h"
+#include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
+#include "lib/os/os.h"
+#include "lib/utils/PBUtils.h"
+
+namespace bts {
+namespace orderman {
+
+using namespace api::orderman;
+
+struct DeleteAndCoverAlgo::PImpl{
+   IAlgoServices* algo_services = nullptr;
+   OrderDefinition order_def;
+   ChildTemplate* child_template = nullptr;
+   OrderKey child_key;
+};
+
+void copy_lean (LeanOrderDefinition& lean,
+                const DeleteAndCoverDefinition& dc){
+   lean.mutable_cross_threshold()->CopyFrom(dc.cross_threshold());
+   lean.set_max_chase_ticks(dc.max_chase_ticks());
+   switch(dc.trade_toward_behavior()){
+      case LeanOnToward::NO_CHANGE:
+         lean.set_trade_toward_behavior(LeanOrderDefinition::NO_CHANGE);
+         break;
+      case LeanOnToward::CANCEL:
+         lean.set_trade_toward_behavior(LeanOrderDefinition::CANCEL);
+         break;
+      case LeanOnToward::DETACH:
+         lean.set_trade_toward_behavior(LeanOrderDefinition::DETACH);
+         break;
+      case LeanOnToward::REPRICE:
+         lean.set_trade_toward_behavior(LeanOrderDefinition::REPRICE);
+         break;
+      default:
+         bts_assert(false);
+         break;
+   }
+}
+
+void copy_top(TopOrderDefinition& top,
+              const DeleteAndCoverDefinition& dc){
+   top.mutable_top_threshold()->CopyFrom(dc.top_threshold());
+   top.set_ticks_off(dc.ticks_off());
+}
+
+void copy_cover(CoverOrderDefinition& cover,
+                const DeleteAndCoverDefinition& dc){
+   cover.set_detach_hedges(true);
+   cover.set_hedge_ticks(dc.hedge_ticks());
+   cover.set_cancel_on_external_hedge_cancel(dc.cancel_on_external_hedge_cancel());
+   cover.set_cancel_hedges_on_cancel(dc.cancel_hedges_on_cancel());
+}
+
+DeleteAndCoverAlgo::DeleteAndCoverAlgo() : me(new PImpl()) {}
+DeleteAndCoverAlgo::~DeleteAndCoverAlgo() {}
+IAlgoServices &DeleteAndCoverAlgo::algo() const { return *me->algo_services; }
+
+// initialization /////////////////////////////////////////////////////////////
+///////////////////////////////////////////////////////////////////////////////
+OrderOpResult DeleteAndCoverAlgo::do_before_launch(IBeforeLaunchAlgoServices& serv) {
+   auto &def = serv.definition();
+   if(def.has_custom_def() && def.custom_def().has_delete_and_cover()){
+      const auto& dc = def.custom_def().delete_and_cover();
+      LOG(OrderMan, Info, "DeleteAndCoverAlgo do_before_launch args: {}",
+         utils::pb::to_string(dc));
+      // init child temp
+      me->order_def = serv.definition();
+      me->order_def.set_attach_target_order_key(null_order_key().value());
+      // Lean
+      LeanOrderDefinition lean;
+      copy_lean(lean,dc);      
+      lean.mutable_child()->mutable_limit()->MergeFrom (
+                                          LimitOrderDefinition());
+      // Top
+      TopOrderDefinition top;
+      copy_top(top,dc);
+      top.mutable_child()->mutable_limit()->MergeFrom (
+                                          LimitOrderDefinition());
+      // Cover
+      CoverOrderDefinition cover;
+      copy_cover(cover,dc);      
+      cover.mutable_child()->mutable_top()->MergeFrom (top);
+      cover.mutable_hedge()->mutable_lean()->CopyFrom(lean);
+      // put it all together
+      me->order_def.mutable_custom_def()->mutable_cover()->MergeFrom (cover);
+      me->child_template = &(serv.make_child_template(me->order_def));
+      return {};
+   }
+   else
+      return {OrderError::ORDER_ERROR_INVALID_PARAMETER,
+              std::string("Parameters are not well formed")};
+}
+void DeleteAndCoverAlgo::do_launch(IAlgoServices& algo) {
+   me->algo_services = &algo;
+   bts_assert(me->child_template);
+   me->child_key = algo.launch_child(*me->child_template, algo.price(), algo.quantity());   
+}
+void DeleteAndCoverAlgo::do_launch_attached(IAlgoServices& algo, 
+                                            OrderKey k, 
+                                            ChildState st) {
+   me->algo_services = &algo;
+   me->child_key = k;
+   on_child_change(k, st);
+}
+// updates ////////////////////////////////////////////////////////////////////
+///////////////////////////////////////////////////////////////////////////////
+void DeleteAndCoverAlgo::do_update(const api::orderman::Update& u) {
+   LOG(OrderMan, Info, "DeleteAndCoverAlgo order {} receiving update: {}",
+       algo().order_key().value(), utils::pb::to_string(u));
+   if (u.has_custom() && u.custom().has_delete_and_cover()){
+      const auto& dc = u.custom().delete_and_cover();
+      copy_cover(*me->order_def.mutable_custom_def()->mutable_cover(),dc);
+      copy_lean(*me->order_def.mutable_custom_def()->mutable_cover()->mutable_hedge()->mutable_lean(),dc);
+      copy_top(*me->order_def.mutable_custom_def()->mutable_cover()->mutable_child()->mutable_top(),dc);
+      Update child_u = u;      
+      child_u.mutable_custom()->CopyFrom(me->order_def.custom_def());
+      child_u.set_order_key (me->child_key.value());// is this needed?
+      algo().update_child(me->child_key,child_u); 
+   }
+   else
+      LOG(OrderMan, Error, "DeleteAndCoverAlgo order {} Invalid update: {}",
+          algo().order_key().value(), utils::pb::to_string(u));
+}
+// callbacks //////////////////////////////////////////////////////////////////
+///////////////////////////////////////////////////////////////////////////////
+
+void DeleteAndCoverAlgo::on_child_change(OrderKey, const ChildState &st) {
+   algo().update_fill_state(st.total_fills,st.last_price);
+   switch (st.status){
+      case ChildStatus::WORKING:
+         break;
+      case ChildStatus::CANCELED:         
+         algo().cancel();
+         break;
+      case ChildStatus::COMPLETED:
+         algo().complete();
+         break;
+   }
+}
+} // namespace orderman
+} // namespace bts

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

@@ -0,0 +1,28 @@
+#pragma once
+
+#include "lib/orderman/orders/algo/IAlgoOrder.h"
+
+namespace bts {
+namespace orderman {
+
+class ChildTemplate;
+
+class DeleteAndCoverAlgo : public IAlgoOrder {
+public:
+   DeleteAndCoverAlgo();
+   ~DeleteAndCoverAlgo();
+public:
+   OrderOpResult do_before_launch(IBeforeLaunchAlgoServices &) override;
+   void do_launch(IAlgoServices &) override;
+   void do_launch_attached(IAlgoServices&, OrderKey, ChildState) override;
+   void do_update(api::orderman::Update const &) override;
+   void on_child_change(OrderKey, ChildState const &) override;
+private:
+   IAlgoServices &algo() const ;
+private:
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+};
+
+} // namespace orderman
+} // namespace bts

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

@@ -0,0 +1,401 @@
+#include "lib/orderman/orders/algo/algo_orders/LimitCoverAlgo.h"
+#include "lib/sparkproto/SparkProtos.pb.h"
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/order_factory/IOrderFactory.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/orderman/orders/algo/IAlgoServices.h"
+#include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
+#include "lib/os/os.h"
+#include "lib/utils/PBUtils.h"
+#include "lib/orderman/orders/algo/utils/DynamicOrderAdapter.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverDefinition.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h"
+#include <map>
+#include <limits>
+#include <iostream>
+#include <sstream>
+
+#define DEFAULT_LOG_LEVEL Info
+
+#define SUMMARIZE_TRANSACTION_BEGIN(id, type, ...) Summary __LOG_TRANS(this, id, Formatter::fmt(__VA_ARGS__), type, DEFAULT_LOG_LEVEL)
+
+#define SUMMARIZE_TRANSACTION(id, type) Summary __LOG_TRANS(this, id, "", type, DEFAULT_LOG_LEVEL)
+#define SUMMARIZE SUMMARIZE_TRANSACTION(__FUNCTION__, SummaryType::StatusChange)
+
+// define 'PRINT_SUMMARIES' to print all logs to the console
+// (assuming logs are made with the MSG/MSG_LEVEL macros)
+#ifdef PRINT_SUMMARIES
+#define _PRINT_MSG(x) std::cout << x << std::endl;
+#else
+#define _PRINT_MSG(x)
+#endif
+
+#define _MSG(level, msg)                                                    \
+   _PRINT_MSG(msg);                                                         \
+   LOG(OrderMan, level, "{}", msg)
+
+#define MSG_LEVEL(level, ...) _MSG(level, (Formatter::fmt(__VA_ARGS__)))
+// these automatically prepend log_header() to the args
+#define MSG(...) MSG_LEVEL(DEFAULT_LOG_LEVEL, log_header(), " ", __VA_ARGS__)
+#define DIAG(...) MSG_LEVEL(Diag, log_header(), " ", __VA_ARGS__)
+#define INFO(...) MSG_LEVEL(Info, log_header(), " ", __VA_ARGS__)
+#define WARN(...) MSG_LEVEL(Warn, log_header(), " ", __VA_ARGS__)
+#define ERROR(...) MSG_LEVEL(Error, log_header(), " ", __VA_ARGS__)
+
+namespace bts {
+namespace orderman {
+using namespace api::orderman;
+using namespace bts::orderman::limit_cover::utils;
+using Adapter = bts::orderman::LimitCoverAdapter;
+
+namespace limit_cover {
+namespace utils {
+void init_delete_and_cover(OrderDefinition& target, const DeleteAndCoverDefinition& def) {
+   if (!target.has_custom_def())
+      *target.mutable_custom_def() = CustomOrderDefinition();
+   init_delete_and_cover(*target.mutable_custom_def(), def);
+}
+
+void init_delete_and_cover(CustomOrderDefinition& target, const DeleteAndCoverDefinition& def) {
+   if (!target.has_delete_and_cover()) {
+      *target.mutable_delete_and_cover() = DeleteAndCoverDefinition(def);
+   } else {
+      target.mutable_delete_and_cover()->CopyFrom(def);
+   }
+}
+
+void init_child_update(Update& target, uint32_t qty, double price, const DeleteAndCoverDefinition& def) {
+   target.set_quantity(qty);
+   target.set_price(price);
+   init_delete_and_cover(*target.mutable_custom(), def);
+}
+
+#define INVALID_DEF(x) OrderOpResult(api::orderman::ORDER_ERROR_INVALID_ORDER_DEFINITON, x)
+
+OrderOpResult validate_custom_def(const CustomOrderDefinition& custom_def) {
+   if (!custom_def.has_dynamic())
+      return INVALID_DEF("DynamicOrderDefinition is undefined");
+   return Adapter::validate_proto(custom_def.dynamic());
+}
+OrderOpResult validate_def(const OrderDefinition& def) {
+   if (def.attach_target_order_key() != 0) {
+      return INVALID_DEF("Attach not supported.");
+   } else if (def.has_custom_def()) {
+      return validate_custom_def(def.custom_def());
+   } else {
+      return INVALID_DEF("CustomOrderDefinition is undefined.");
+   }
+}
+
+OrderOpResult validate_update(const Update& upd) {
+   return upd.has_custom() ?
+      validate_custom_def(upd.custom()) : OrderOpResult();
+}
+} // namespace utils
+} // namespace limit_cover
+
+struct LimitCoverAlgo::PImpl {
+   IAlgoServices *algo = nullptr;
+   Status status = Status::WAITING_TO_DEPLOY;
+   OrderKey child_key = null_order_key();
+   double child_price = os::nan();
+   uint32_t child_qty = 0;
+   Book book;
+   uint32_t limit_volume = 0;
+   std::map<uint32_t, LimitCoverGate> gates;
+   double settlement = os::nan();
+   double price_offset_from_settle = 0;
+   double limit_price = os::nan();
+};
+
+struct LimitCoverAlgo::Summary {
+   Summary(LimitCoverAlgo* owner, std::string transaction_id, std::string begin_tag = {}, SummaryType type = SummaryType::StatusChange, log::Level level = DEFAULT_LOG_LEVEL)
+   : _owner(owner), _transaction_id(transaction_id), _original_status(owner->me->status), _type(type), _level(level) {
+      if (_owner != nullptr && !_transaction_id.empty()) {
+         std::stringstream str;
+         str << owner->log_header() << " begin " << transaction_id << ".";
+         if (!begin_tag.empty()) {
+            str << "  " << begin_tag << ".";
+         }
+         if (type == SummaryType::FullState) {
+            str << "  Algo State: " << _owner->fmt_state() << ".";
+         }
+         MSG_LEVEL(level, str.str());
+      }
+   }
+
+   ~Summary() {
+      std::stringstream msg_str;
+      if (!_transaction_id.empty()) {
+         msg_str << " end " << _transaction_id << ".";
+      }
+      switch (_type) {
+      case SummaryType::StatusChange:
+         if (_owner->me->status != _original_status)
+            msg_str << " Status changed from " << _original_status << " to " << _owner->me->status << ".";
+         break;
+      case SummaryType::FullState:
+         msg_str << "  Algo State: " << _owner->fmt_state() << ".";
+         break;
+      }
+      auto msg = msg_str.str();
+      if (!msg.empty()) {
+         MSG_LEVEL(_level, _owner->log_header(), msg);
+      }
+   }
+
+ private:
+   LimitCoverAlgo *_owner;
+   std::string _transaction_id;
+   Status _original_status;
+   SummaryType _type;
+   log::Level _level;
+};
+
+LimitCoverAlgo::LimitCoverAlgo() : me(new PImpl()) {}
+LimitCoverAlgo::~LimitCoverAlgo() {}
+
+OrderOpResult
+LimitCoverAlgo::do_before_launch(IBeforeLaunchAlgoServices &balgo) {
+   SUMMARIZE;
+   bts_assert(me->status == Status::WAITING_TO_DEPLOY);
+   bts_assert(me->gates.empty());
+   auto vd = validate_def(balgo.definition());
+   if (vd.ok()) {
+      auto lcdef = Adapter::from_proto(balgo.definition());
+      me->price_offset_from_settle = lcdef.price_offset();
+      me->gates = lcdef.normal_gates();
+   }
+   return vd;
+}
+
+void LimitCoverAlgo::do_launch(IAlgoServices& algo) {
+   SUMMARIZE;
+   bts_assert(me->status == Status::WAITING_TO_DEPLOY);
+   me->algo = &algo;
+   me->child_qty = algo.quantity().value();
+   algo.subscribe_book(SecurityKey(algo.security().id()));
+   algo.subscribe_settlement(SecurityKey(algo.security().id()));
+}
+
+void LimitCoverAlgo::do_update(Update const &upd) {
+   SUMMARIZE_TRANSACTION_BEGIN(__FUNCTION__, SummaryType::StatusChange, utils::pb::to_string(upd));
+   auto vup = validate_update(upd);
+   if (!vup.ok()) {
+      me->status = Status::DONE;
+      algo().terminate_error(Formatter::fmt("Invalid update: ", vup.error_msg, "."));
+      return;
+   }
+   if (upd.has_custom()) {
+      auto lcdef = Adapter::from_proto(upd.custom());
+      if (me->status == Status::WAITING_TO_DEPLOY) {
+         me->price_offset_from_settle = lcdef.price_offset();
+         recompute_limit_price();
+         recompute_limit_volume();
+      }
+      me->gates = lcdef.normal_gates();
+      if (me->status == Status::WORKING)
+         recompute_gate();
+   }
+   switch (me->status) {
+   case Status::WAITING_TO_DEPLOY:
+      try_deploy();
+      break;
+   case Status::WORKING: {
+      // don't change the child price; the price param is irrelevant to this algo.
+      if (upd.has_custom() || me->child_qty != upd.quantity())
+         update_child(upd.quantity());
+      break;
+   }
+   default:
+      break;
+   }
+}
+
+void LimitCoverAlgo::on_book(SecurityKey, Book const &b) {
+   SUMMARIZE_TRANSACTION_BEGIN(__FUNCTION__, SummaryType::StatusChange, "BBO: ", Formatter::to_string(b));
+   me->book = b;
+   recompute_limit_volume();
+   switch (me->status) {
+   case Status::WAITING_TO_DEPLOY:
+      try_deploy();
+      break;
+   case Status::WORKING: {
+      if (recompute_gate())
+         update_child(me->child_qty);
+      break;
+   }
+   default:
+      break;
+   }
+}
+
+void LimitCoverAlgo::update_child(uint32_t qty) {
+   bts_assert(me->algo != nullptr);
+   bts_assert(me->status == Status::WORKING);
+   me->child_qty = qty;
+   Update upd;
+   init_child_update(upd, qty, me->child_price, curr_gate().definition());
+   MSG("updating algo child: ", utils::pb::to_string(upd));
+   me->algo->update_child(me->child_key, upd);
+}
+
+void LimitCoverAlgo::on_child_change(OrderKey key, ChildState const& state) {
+   bts_assert(key == me->child_key);
+   SUMMARIZE_TRANSACTION_BEGIN(__FUNCTION__, SummaryType::FullState, "Child State: ", Formatter::to_string(state));
+   algo().update_fill_state(state.total_fills, state.last_price);
+   me->child_price = state.price.value();
+   switch (me->status) {
+   case Status::WORKING:
+      switch (state.status) {
+      case ChildStatus::WORKING:
+         break;
+      case ChildStatus::CANCELED: {
+         auto msg = Formatter::fmt("main child (", key, ") canceled unexpectedly.");
+         MSG(msg, ".  ", fmt_state());
+         me->status = Status::DONE;
+         algo().terminate_error(msg);
+         break;
+      }
+      case ChildStatus::COMPLETED:
+         me->status = Status::DONE;
+         algo().complete();
+         break;
+      }
+      break;
+   case Status::DONE:
+      break;
+   default:
+      bts_assert_msg(false, Formatter::fmt(log_header(), " unexpected status: ", me->status));
+      break;
+   }
+}
+
+void LimitCoverAlgo::on_settlement(SecurityKey, Price settlement) {
+   if (me->status == Status::WAITING_TO_DEPLOY) {
+      MSG("updating settlement from ", me->settlement, " to ", settlement);
+      me->settlement = settlement.value();
+      DIAG("recomputing limit price...");
+      recompute_limit_price();
+      DIAG("limit price is ", me->limit_price);
+      DIAG("recomputing limit volume...");
+      recompute_limit_volume();
+      DIAG("limit volume is ", me->limit_volume);
+      try_deploy();
+   } else {
+      MSG("ignored settlement update to ", settlement,
+         ": settlement updates are only processed while the algo is ", Status::WAITING_TO_DEPLOY,
+         ".  Settlement at time of deploy was ", me->settlement);
+   }
+}
+
+void LimitCoverAlgo::try_deploy() {
+   MSG("trying to deploy.  ", fmt_state());
+   bts_assert(me->status == Status::WAITING_TO_DEPLOY);
+   bts_assert(me->algo != nullptr);
+   // this is probably redundant (better safe than sorry tho). 
+   bts_assert(me->child_key == null_order_key());
+   if (os::is_nan(me->settlement)) {
+      MSG("still waiting for settle.");
+   } else if (me->limit_volume < activation_threshold()) {
+      MSG("still waiting for limit volume (", me->limit_volume, ") to breech activation threshold (", activation_threshold(), ").");
+   } else {
+      bts_assert(!os::is_nan(me->limit_price));
+      recompute_gate();
+      OrderDefinition child_def;
+      bts_assert(!me->gates.empty());
+      child_def.CopyFrom(algo().definition());
+      init_delete_and_cover(child_def, curr_gate().definition());
+      bts_assert(child_def.custom_def().has_delete_and_cover());
+      MSG("deploying child order: ", utils::pb::to_string(child_def));
+      me->child_key = algo().launch_child(child_def, Price(me->limit_price), algo().quantity());
+      me->status = Status::WORKING;
+      algo().set_ladder_visibility(false);
+   }
+}
+
+template<class T>
+bool did_change(T& backing, T new_value) {
+   if (backing == new_value)
+      return false;
+   backing = new_value;
+   return true;
+}
+
+bool LimitCoverAlgo::recompute_gate() {
+   if (me->gates.empty())
+      return false;
+   auto orig_sz = me->gates.size();
+   auto it = me->gates.lower_bound(me->limit_volume);
+   if (it == me->gates.end() || (it != me->gates.begin() && it->first > me->limit_volume))
+      it--;
+   me->gates.erase(me->gates.begin(), it);
+   return me->gates.size() < orig_sz;
+}
+
+// limit price
+double LimitCoverAlgo::compute_limit_price() const {
+   return os::is_nan(me->settlement) ? os::nan() :
+      securities::improve_price(side(), Price(me->settlement), Price(me->price_offset_from_settle))
+      .value();
+}
+bool LimitCoverAlgo::recompute_limit_price() {
+   return did_change(me->limit_price, compute_limit_price());
+}
+
+// limit volume
+uint32_t LimitCoverAlgo::compute_limit_volume() const {
+   return me->algo == nullptr ? 0 :
+      BookUtils::volume_at_or_better(me->book, side(), me->limit_price);
+}
+bool LimitCoverAlgo::recompute_limit_volume() {
+   return did_change(me->limit_volume, compute_limit_volume());
+}
+
+// pseudo properties (const state accessors)
+IAlgoServices &LimitCoverAlgo::algo() const { return *me->algo; }
+
+api::Side LimitCoverAlgo::side() const {
+   return me->algo == nullptr ? api::SIDE_UNDEFINED : me->algo->definition().side();
+}
+
+const LimitCoverGate& LimitCoverAlgo::curr_gate() const {
+   bts_assert(!me->gates.empty());
+   return me->gates.begin()->second;
+}
+
+uint32_t LimitCoverAlgo::activation_threshold() const {
+   return me->gates.empty() ? std::numeric_limits<uint32_t>::max() : me->gates.begin()->first;
+}
+
+std::string LimitCoverAlgo::log_header() const {
+   std::stringstream ostr;
+   ostr << "LimitCoverAlgo";
+   if (me->algo != nullptr) {
+      ostr << "(" << me->algo->order_key().value() << ")";
+   }
+   ostr << "[" << fmt_status(me->status) << "]";
+   return ostr.str();
+}
+
+std::string LimitCoverAlgo::fmt_state() const {
+   std::stringstream ostr;
+   if (me->algo != nullptr) {
+      ostr << " [" << fmt_status(me->status) << "]"
+         << Formatter::to_string(side()) << " " << me->algo->quantity().value()
+         << " @ " << me->algo->price().value()
+         << " (" << me->price_offset_from_settle
+         << " away from settle).";
+      if (me->child_key != null_order_key()) {
+         ostr << "  Main child key: " << me->child_key << ", ";
+      }
+      ostr << " Settle: " << me->settlement
+         << ", Limit Price: " << me->limit_price
+         << ", BBO: " << Formatter::to_string(me->book);
+   } else {
+      ostr << "(initializing)";
+   }
+   return ostr.str();
+}
+} // namespace orderman
+} // namespace bts

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

@@ -0,0 +1,94 @@
+#pragma once
+#include "lib/orderman/orderman_utils/BookUtils.h"
+#include "lib/orderman/orderman_utils/Formatter.h"
+#include "lib/orderman/orders/algo/IAlgoOrder.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverDefinition.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverGate.h"
+#include <map>
+
+namespace bts {
+namespace orderman {
+class LimitCoverAlgo : public IAlgoOrder {
+ public:
+   LimitCoverAlgo();
+   ~LimitCoverAlgo();
+
+   OrderOpResult do_before_launch(IBeforeLaunchAlgoServices &) override;
+   void do_launch(IAlgoServices &) override;
+   void do_update(api::orderman::Update const &) override;
+   void on_book(SecurityKey, Book const &) override;
+   void on_settlement(SecurityKey, Price settlement) override;
+   void on_child_change(OrderKey, ChildState const &) override;
+
+   enum class Status {
+      WAITING_TO_DEPLOY,
+      WORKING,
+      DONE
+   };
+   using Status = bts::orderman::LimitCoverAlgo::Status;
+
+   enum SummaryType {
+      StatusChange,
+      FullState
+   };
+
+ private:
+   struct PImpl;
+   struct Summary;
+   std::unique_ptr<PImpl> me;
+
+   IAlgoServices &algo() const;
+   api::Side side() const;
+   std::string log_header() const;
+   std::string fmt_state() const;
+   // returns the first gate in gates (asserts that gates isn't empty).
+   // Note: after the child is deployed, gates with lower thresholds are
+   // removed when the limit volume passes the next gates' thresh.
+   const LimitCoverGate& curr_gate() const;
+   /// On the compute/recompute methods:
+   ///   compute_blah just returns the result (doesn't mutate any state),
+   ///   while recompute_blah assigns the result to the appropriate field,
+   ///   and returns a bool indicating whether or not the value changed.
+   // limit price
+   double compute_limit_price() const;
+   bool recompute_limit_price();
+   // limit volume
+   uint32_t compute_limit_volume() const;
+   bool recompute_limit_volume();
+   // recomputes the current gate (i.e., the one with the
+   // highest activation thresh that is still less than
+   // the limit volume) then removes all gates with lower threshs.
+   bool recompute_gate();
+   uint32_t activation_threshold() const;
+   //
+   void try_deploy();
+   void update_child(uint32_t qty);
+};
+
+namespace limit_cover {
+namespace utils {
+inline std::string fmt_status(LimitCoverAlgo::Status status) {
+   switch (status) {
+   case LimitCoverAlgo::Status::WAITING_TO_DEPLOY: return "WAITING_TO_DEPLOY";
+   case LimitCoverAlgo::Status::WORKING: return "WORKING";
+   case LimitCoverAlgo::Status::DONE: return "DONE";
+   default: return Formatter::fmt("STATUS_", static_cast<int>(status));
+   }
+}
+void init_delete_and_cover(api::orderman::OrderDefinition& target, const api::orderman::DeleteAndCoverDefinition& def);
+void init_delete_and_cover(api::orderman::CustomOrderDefinition& target, const api::orderman::DeleteAndCoverDefinition& def);
+void init_child_update(api::orderman::Update& target, uint32_t qty, double price, const api::orderman::DeleteAndCoverDefinition& def);
+OrderOpResult validate_def(const api::orderman::OrderDefinition&);
+OrderOpResult validate_custom_def(const api::orderman::CustomOrderDefinition&);
+OrderOpResult validate_update(const api::orderman::Update&);
+} // namespace utils
+} // namespace limit_cover
+
+inline std::ostream& operator<<(std::ostream& ostr, const LimitCoverAlgo::Status& status) {
+   ostr << limit_cover::utils::fmt_status(status);
+   return ostr;
+}
+
+
+} // namespace orderman
+} // namespace bts

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

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

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

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

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

@@ -538,6 +538,14 @@ bool PyramidAlgo::_md_recvd() const{
    return true;
 }
 
+bool gr_than_eq(double p1, double p2){
+   return securities::test_price_equality(p1,p2) || p1 > p2;
+}
+
+bool less_than_eq(double p1, double p2){
+   return securities::test_price_equality(p1,p2) || p1 < p2;
+}
+
 bool PyramidAlgo::_working_state_met() const{
    double cover_sum = 0.0;
    size_t i = 0;
@@ -545,10 +553,17 @@ bool PyramidAlgo::_working_state_met() const{
       if (i++ > 0)
          cover_sum += l.opp_md()[0].price();
    bool rv = !os::is_nan(cover_sum) && 
-             ((me->side == api::Side::SIDE_BUY &&
-             me->out_price.value() <= cover_sum) ||
-             (me->side == api::Side::SIDE_SELL &&
-             me->out_price.value() >= cover_sum));
+             (
+                (
+                   me->side == api::Side::SIDE_BUY &&
+                   less_than_eq(me->out_price.value(),cover_sum)
+                )
+                ||
+                (
+                   me->side == api::Side::SIDE_SELL &&
+                   gr_than_eq(me->out_price.value(),cover_sum)
+                )
+             );
    if (!rv && !os::is_nan(cover_sum)){
       // price condition is not met, but if the
       // cum qty at the top leg price is > threashold 

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

@@ -3,11 +3,15 @@
 #include "lib/api/services/OrderService.pb.h"
 #include "lib/logging/logging.h"
 #include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h"
+#include "lib/orderman/orders/algo/algo_orders/LimitCoverAlgo.h"
 #include "lib/config/protos/toggles.pb.h"
 #include "lib/config/config.h"
 #include "DormanAlgo.h"
 #include "PyramidAlgo.h"
 #include "TASAlgo.h"
+#include "TASCounterAlgo.h"
+#include "OnSignalAlgo.h"
 
 using namespace bts;
 using namespace api::orderman;
@@ -148,6 +152,45 @@ extern "C" void init_pyramid_plugin(bts::SparkServices& srv) {
    srv.register_dynamic_algo_order(join_desc, []() { return std::make_unique<orderman::PyramidAlgo>(); });
 }
 
+extern "C" void init_tascounter_plugin(bts::SparkServices& srv) {
+   DynamicOrderDescriptor join_desc;
+
+   join_desc.set_dynamic_order_type("TASCounter");
+   // all 6 contracts. They can theoretically be inferred from the front month
+   // since T1 are calendars 1 month apart starting from the front month
+   // ex Mar-May, May-Jul, Jul-Sep being T1 front, second and third respectively
+   // (assuming Mar is the front month)
+   *join_desc.add_param_desc() = param_security_key("T1 Front");
+   *join_desc.add_param_desc() = param_security_key("T1 Second");
+   *join_desc.add_param_desc() = param_security_key("T1 Third");
+   *join_desc.add_param_desc() = param_security_key("T2 Front");
+   *join_desc.add_param_desc() = param_security_key("T2 Second");
+   *join_desc.add_param_desc() = param_security_key("T3 Front");
+   // tas contracts (could have been derived)
+   *join_desc.add_param_desc() = param_security_key("T1 Front TAS");
+   *join_desc.add_param_desc() = param_security_key("T1 Second TAS");
+   *join_desc.add_param_desc() = param_security_key("T1 Third TAS");
+   // automatic orders
+   *join_desc.add_param_desc() = param_uint32("T1 Front Time");
+   *join_desc.add_param_desc() = param_uint32("T1 Front Qty");
+   *join_desc.add_param_desc() = param_bool("T1 Front Order Enabled");
+
+   *join_desc.add_param_desc() = param_uint32("T1 Second Time");
+   *join_desc.add_param_desc() = param_uint32("T1 Second Qty");
+   *join_desc.add_param_desc() = param_bool("T1 Second Order Enabled");
+
+   *join_desc.add_param_desc() = param_uint32("T1 Third Time");
+   *join_desc.add_param_desc() = param_uint32("T1 Third Qty");
+   *join_desc.add_param_desc() = param_bool("T1 Third Order Enabled");
+   // settlement time
+   *join_desc.add_param_desc() = param_uint32("Settlement Start Hour");
+   *join_desc.add_param_desc() = param_uint32("Settlement Start Minutes");
+   *join_desc.add_param_desc() = param_uint32("Settlement Start Seconds");
+   *join_desc.add_param_desc() = param_uint32("Settlement Period (seconds)");
+   
+   srv.register_dynamic_algo_order(join_desc, []() { return std::make_unique<orderman::TASCounterAlgo>(); });
+}
+
 extern "C" void init_tas_plugin(bts::SparkServices& srv) {
    DynamicOrderDescriptor tas_desc;
 
@@ -158,11 +201,39 @@ extern "C" void init_tas_plugin(bts::SparkServices& srv) {
       auto idx = std::to_string(i+1);
       *tas_desc.add_param_desc() = param_double("Order " + idx + " Price");
       *tas_desc.add_param_desc() = param_uint32("Order " + idx + " Quantity");
-      *tas_desc.add_param_desc() = param_bool("Order " + idx + " Buy?");   
+      *tas_desc.add_param_desc() = param_bool("Order " + idx + " Buy?");
    }   
    srv.register_dynamic_algo_order(tas_desc, []() { return std::make_unique<orderman::TASAlgo>(); });
 }
 
+extern "C" void init_limit_cover(bts::SparkServices & srv) {
+   DynamicOrderDescriptor lc_desc;
+   lc_desc.set_dynamic_order_type("LimitCover");
+   LimitCoverAdapter::define_proto(lc_desc);
+   srv.register_dynamic_algo_order(lc_desc, []() { return std::make_unique<orderman::LimitCoverAlgo>(); });
+}
+
+extern "C" void init_on_signal_plugin(bts::SparkServices& srv) {
+   DynamicOrderDescriptor on_signal;
+   on_signal.set_dynamic_order_type("OnSignal");   
+   *on_signal.add_param_desc() = param_uint32("Time Hours");
+   *on_signal.add_param_desc() = param_uint32("Time Minutes");
+   *on_signal.add_param_desc() = param_uint32("Time Seconds");
+   *on_signal.add_param_desc() = param_bool("Preopen");
+   *on_signal.add_param_desc() = param_bool("Open");
+   // contracts who's signals have to be received to send the algo
+   *on_signal.add_param_desc() = param_security_key("Signal Contract 1");
+   size_t n_child_ords = 10;
+   for (size_t i=0; i< n_child_ords; i++){
+      auto idx = std::to_string(i+1);
+      *on_signal.add_param_desc() = param_security_key("Order " + idx + " Contract");
+      *on_signal.add_param_desc() = param_order("Order " + idx);
+      *on_signal.add_param_desc() = param_double("Order " + idx + " Price");
+      *on_signal.add_param_desc() = param_int32("Order " + idx + " Quantity");
+   }   
+   srv.register_dynamic_algo_order(on_signal, []() { return std::make_unique<orderman::OnSignalAlgo>(); });
+}
+
 extern "C" void init_spark_plugin(bts::SparkServices &srv) {
    auto& dyn_algo_config = config::get<config::toggles::DynamicAlgos>();
    if(dyn_algo_config.enable_dorman())
@@ -171,6 +242,12 @@ extern "C" void init_spark_plugin(bts::SparkServices &srv) {
       init_pyramid_plugin(srv);
    if(dyn_algo_config.enable_tas())
       init_tas_plugin(srv);
+   if(dyn_algo_config.enable_tascounter())
+      init_tascounter_plugin(srv);
+   if (dyn_algo_config.enable_limit_cover())
+      init_limit_cover(srv);
+   if (dyn_algo_config.enable_onsignal())
+      init_on_signal_plugin(srv);
 }
 
-}}}
+}}}

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

@@ -0,0 +1,490 @@
+#include "lib/orderman/orders/algo/algo_orders/TASCounterAlgo.h"
+#include "lib/domain_model/Security.h"
+#include "lib/orderman/order_factory/IOrderFactory.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/orderman/orders/algo/IAlgoServices.h"
+#include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
+#include "lib/os/os.h"
+#include "lib/domain_model/Security.h"
+#include "lib/utils/PBUtils.h"
+#include "lib/utils/datetime.h"
+#include <google/protobuf/timestamp.pb.h>
+#include "lib/orderman/actors/SODPosition.h"
+#include <google/protobuf/util/time_util.h>
+#include <stdint.h>
+
+namespace bts {
+namespace orderman {
+
+using namespace api::orderman;
+using namespace google::protobuf;
+
+enum class TASCounterAlgo::Status { WORKING, DONE };
+
+// book and trade data for each of the 6 contracts as well as the TAS contracts
+// (the vwap of the TAS contracts is not used, but for uniformity is kept in the
+// the same structure)
+struct ContractMarketData{
+   uint32_t tot_vol = 0;
+   double running_sum = 0;
+   Book book;
+   double estimated_settle = 0.0;
+   void on_trade (const TickerUpdateEvent::Trade& t){
+      tot_vol += t.quantity.value();
+      running_sum += t.price.value()*t.quantity.value();
+   }
+   const double vwap(){
+      return tot_vol == 0 ? os::nan() : running_sum/tot_vol;
+   }
+};
+// the input for the t1 front, second and third orders, as well as the template
+// and working order key are kept here
+struct ContractAutoOrder{
+   // inputs
+   uint32_t n_secs = 0;
+   uint32_t qty = 0;
+   bool enabled = false;
+   // dont know yet which side will be sent
+   ChildTemplate* buy_ord = nullptr;
+   ChildTemplate* sell_ord = nullptr;
+   // computed input
+   // the is AlgoData::settle_stop - n_secs
+   Timestamp algo_start;
+   // output
+   std::optional<OrderKey> tas_order = std::nullopt;
+};
+
+struct AlgoData{
+   double tick_size;
+   Timestamp settle_start;
+   Timestamp settle_stop;
+   ContractMarketData t1_front,
+                      t1_second,
+                      t1_third,
+                      t2_front,
+                      t2_second,
+                      t3_front;
+   ContractMarketData t1_front_tas,
+                      t1_second_tas,
+                      t1_third_tas;
+   ContractAutoOrder t1_front_order,
+                     t1_second_order,
+                     t1_third_order;
+   DynamicOrderState out_state;
+};
+
+struct TASCounterAlgo::PImpl {
+   // reporting
+   uint16_t reporting_period_msecs = 500;
+   bts::datetime::PTime last_report_time = bts::datetime::now();
+   // immutable state
+   IAlgoServices* algo_services = nullptr;
+   // mutable state
+   AlgoData data;
+   // to avoid lookups on md and ticker callbacks
+   std::map<SecurityKey,ContractMarketData*> md_map;
+   Status state = Status::WORKING;   
+};
+
+//fwd decls
+void _copy_output(AlgoData&);
+bool _copy_settle_times (AlgoData&,const Map<std::string,DynamicOrderParam>&);
+void _copy_order_data (AlgoData&,const Map<std::string,DynamicOrderParam>&);
+bool _setup_data(IBeforeLaunchAlgoServices&, AlgoData&,
+                 std::map<SecurityKey,ContractMarketData*>&);
+double round_to_nearest(double price, double tick_size);                 
+long long t1_minus_t2_usecs (const Timestamp&, const Timestamp&);
+long long t_minus_now_usecs (const google::protobuf::Timestamp&);
+bool trade_within_time_win (const Timestamp&, const Timestamp&,
+                            const TickerUpdateEvent::Trade& t);
+bool now_within_time_win (const Timestamp&, const Timestamp&);
+
+
+TASCounterAlgo::TASCounterAlgo() : me(new PImpl()) {}
+TASCounterAlgo::~TASCounterAlgo() {}
+// initialization /////////////////////////////////////////////////////////////
+///////////////////////////////////////////////////////////////////////////////
+OrderOpResult TASCounterAlgo::do_before_launch(IBeforeLaunchAlgoServices& serv) {
+   if(_setup_data(serv,me->data,me->md_map))
+      return {};
+   return {OrderError::ORDER_ERROR_INVALID_PARAMETER,
+           std::string("Parameters are not well formed")};
+}
+void TASCounterAlgo::do_launch(IAlgoServices& algo_services) {
+   me->algo_services = &algo_services;
+   algo_services.subscribe_timer();
+   for (const auto& kp : me->md_map){
+      algo_services.subscribe_book(kp.first);
+      algo_services.subscribe_ticker(kp.first);      
+   }
+}
+void TASCounterAlgo::do_launch_attached(
+                                 IAlgoServices& algo_services, 
+                                 OrderKey,
+                                 ChildState) {
+   // not allowed
+   me->algo_services = &algo_services;
+}
+// updates ////////////////////////////////////////////////////////////////////
+///////////////////////////////////////////////////////////////////////////////
+void TASCounterAlgo::do_update(const api::orderman::Update& u) {
+   if(me->state == Status::DONE)
+      return;
+   const auto& p = u.custom().dynamic().order_params();
+   // only order data change is allowed
+   _copy_order_data(me->data,p);
+   _check_and_send_order();
+}
+// callbacks //////////////////////////////////////////////////////////////////
+///////////////////////////////////////////////////////////////////////////////
+void TASCounterAlgo::on_book(SecurityKey k, const Book& b) {
+   if(me->state == Status::DONE)
+      return;
+   const auto& it = me->md_map.find(k);
+   if(it != me->md_map.end()){
+      it->second->book = b;
+      _check_and_send_order();
+   }
+}
+void TASCounterAlgo::on_ticker(SecurityKey k, const TradeVector& v){
+   if(me->state == Status::DONE)
+      return;
+   const auto& it = me->md_map.find(k);   
+   if(it != me->md_map.end()){
+      auto contract_md = it->second;
+      for (const auto& t : v)
+         if (_within_settle()){
+            contract_md->on_trade(t);
+         }
+      _check_and_send_order();      
+   }
+}
+
+// this only gets called on an explicit algo cancel
+// from the outside
+TASCounterAlgo::OnCancelResponse TASCounterAlgo::on_cancel(){
+   return IAlgoOrder::OnCancelResponse::HONOR;
+}
+
+void TASCounterAlgo::on_timer(){
+   if(me->state == Status::DONE)
+      return;      
+   _check_and_send_order();
+   if(bts::datetime::msecs_since(me->last_report_time) >= 
+                                 me->reporting_period_msecs){
+      me->last_report_time = bts::datetime::now();
+      _report_state();
+   }
+   // check for end and exit
+   if (t1_minus_t2_usecs(util::TimeUtil::GetCurrentTime(),
+                         me->data.settle_stop) > 0){
+      std::string msg = "session over";
+      _cxl_and_end(false,msg);
+   }
+}
+
+IAlgoServices& TASCounterAlgo::_algo() const { return *me->algo_services; }
+
+void TASCounterAlgo::_switch_state(TASCounterAlgo::Status new_state){
+   switch (new_state){
+      case (TASCounterAlgo::Status::WORKING):
+         bts_assert(false);
+         break;
+      case (TASCounterAlgo::Status::DONE):
+         bts_assert(me->state == TASCounterAlgo::Status::WORKING);
+         break;
+   }
+   LOG(OrderMan, Info,"TASCounterAlgo::_switch_state key:{} {}->{} ",
+                      _algo().order_key(),
+                      static_cast<int>(me->state), 
+                      static_cast<int>(new_state));
+   me->state = new_state;
+}
+
+void TASCounterAlgo::_cxl_and_end (bool is_error, const std::string& err_msg){
+   if(me->state == Status::DONE)
+      return;
+   if(is_error)
+      _algo().terminate_error(err_msg);
+   else
+      _algo().complete();
+   _switch_state(TASCounterAlgo::Status::DONE);      
+}
+
+void TASCounterAlgo::_compute_settles(){
+   AlgoData& d = me->data;
+   d.t1_front.estimated_settle = d.t1_front.vwap();
+   d.t1_second.estimated_settle = d.t2_front.vwap() - d.t1_front.vwap();
+   d.t1_third.estimated_settle = d.t3_front.vwap() - d.t1_front.vwap() - 
+                                 d.t1_second.vwap();
+   // round to closest value
+   d.t1_front.estimated_settle = round_to_nearest(
+                        d.t1_front.estimated_settle,me->data.tick_size);
+   d.t1_second.estimated_settle = round_to_nearest(
+                        d.t1_second.estimated_settle,me->data.tick_size);
+   d.t1_third.estimated_settle = round_to_nearest(
+                        d.t1_third.estimated_settle,me->data.tick_size);
+}
+
+// the decision to send an order can be caused by
+// 1. change in settings (=> time window, enabling orders etc)
+// 2. book update (=> TAS book can result in order)
+// 3. ticker (=> new estimated settlement)
+// 4. time passing (=> in the window now)
+void TASCounterAlgo::_check_and_send_order(){
+   _compute_settles();
+   auto should_send_tas_order = 
+                     [](const ContractMarketData& c,
+                         const ContractAutoOrder& o,
+                         const ContractMarketData& tas_c,
+                         bool is_buy,
+                         double& out_price,
+                         uint32_t& out_qty) -> bool {
+      // buying the tas at the offer or selling it at the bid                      
+      const auto& tas_opp_top = is_buy ? tas_c.book.ask()[0] : tas_c.book.bid()[0];
+      const auto& c_same_top = is_buy ? c.book.bid()[0] : c.book.ask()[0];
+      if(tas_opp_top.size() > 0 && c_same_top.size() > 0){
+         // delivery price as defined by where the TAS order is traded
+         double tas_delv_price = c.estimated_settle + tas_opp_top.price();
+         // if the delv price for the buy order is <= contract bid or
+         // or the delv price for the sell order is >= contract offer
+         // then we are buying at the bid or selling at the offer 
+         double c_price = c_same_top.price();
+         if((is_buy && tas_delv_price <= c_price) ||
+            (!is_buy && tas_delv_price >= c_price)){
+            out_qty = std::min(o.qty,tas_opp_top.size());
+            out_price = tas_opp_top.price();
+            return true;
+         }
+      }
+      return false;
+   };
+
+   auto _send_order_tn = [&](
+                            const ContractMarketData& c,
+                            ContractAutoOrder& o,
+                            const ContractMarketData& tas_c) -> void {
+      if(o.enabled && o.n_secs > 0 && o.qty > 0 &&
+         !o.tas_order.has_value() &&
+         now_within_time_win(o.algo_start,me->data.settle_stop)){
+            double price;
+            uint32_t qty;
+            if(should_send_tas_order(c,o,tas_c,true,price,qty)){
+               o.tas_order = _algo().launch_child(*o.buy_ord,
+                                                   Price(price),
+                                                   Quantity(qty));
+            }
+            else if(should_send_tas_order(c,o,tas_c,false,price,qty)){
+               o.tas_order = _algo().launch_child(*o.sell_ord,
+                                                   Price(price),
+                                                   Quantity(qty));
+            }
+      }
+   };
+   _send_order_tn(me->data.t1_front,me->data.t1_front_order,me->data.t1_front_tas);
+   _send_order_tn(me->data.t1_second,me->data.t1_second_order,me->data.t1_second_tas);
+   _send_order_tn(me->data.t1_third,me->data.t1_third_order,me->data.t1_third_tas);
+}
+
+void TASCounterAlgo::_report_state(){
+   _compute_settles();
+   _copy_output(me->data);
+   _algo().update_custom_state(me->data.out_state);
+}
+
+bool TASCounterAlgo::_within_settle() const{
+   return now_within_time_win(me->data.settle_start,me->data.settle_stop);
+}
+///////////////////////////////////////////////////////////////////////////////
+// stateless conversion ///////////////////////////////////////////////////////
+
+// stateless helpers
+ChildTemplate* _create_order_template (IBeforeLaunchAlgoServices& serv,
+                                       SecurityKey key,
+                                       api::Side side){
+   OrderDefinition order_def = serv.definition();
+   order_def.set_security_key (key.value());
+   order_def.set_side(side);   
+   order_def.mutable_custom_def()->mutable_limit()->MergeFrom (
+                                       api::orderman::LimitOrderDefinition());
+   return &(serv.make_child_template(order_def));
+}
+// copies output into the dynamic state for publishing
+void _copy_output(AlgoData& d){
+   auto& m = *(d.out_state.mutable_custom_state());
+   // we can safely assume its within int32
+   auto secs_to_settle = static_cast<int>(t_minus_now_usecs(d.settle_start)/1000000);
+   // if its in settle (-ve value), its set to 0
+   secs_to_settle = std::max(secs_to_settle,0);
+   m["Seconds To Settle"].set_as_int32(secs_to_settle);
+   m["VWAP T1-Front"].set_as_double(d.t1_front.vwap());
+   m["VWAP T1-Second"].set_as_double(d.t1_second.vwap());
+   m["VWAP T1-Third"].set_as_double(d.t1_third.vwap());
+   m["VWAP T2-Front"].set_as_double(d.t2_front.vwap());
+   m["VWAP T2-Second"].set_as_double(d.t2_second.vwap());
+   m["VWAP T3-Front"].set_as_double(d.t3_front.vwap());
+   m["T1-Front Projected Settle"].set_as_double(d.t1_front.estimated_settle);
+   m["T1-Second Projected Settle"].set_as_double(d.t1_second.estimated_settle);
+   m["T1-Third Projected Settle"].set_as_double(d.t1_third.estimated_settle);
+}
+// copies the settle time/period part of the input data
+bool _copy_settle_times (AlgoData& d,
+                         const Map<std::string,DynamicOrderParam>& params){
+   auto hh = get_if<uint32_t>(params, "Settlement Start Hour");
+   auto mm = get_if<uint32_t>(params, "Settlement Start Minutes");
+   auto ss = get_if<uint32_t>(params, "Settlement Start Seconds");
+   auto settle_period_secs = get_if<uint32_t>(params, "Settlement Period (seconds)");
+   if (hh.has_value() && mm.has_value() && 
+       ss.has_value() && settle_period_secs.has_value() &&
+       hh.value() <= 23 && mm.value() <= 59 && ss.value() <= 59){
+      d.settle_start = SODPosition::today_local_time_to_utc_timestamp(
+            hh.value(),
+            mm.value(),
+            ss.value(),
+            true,
+            false);
+      d.settle_stop = SODPosition::add_seconds(d.settle_start,
+                                               settle_period_secs.value());
+      auto settle_start_txt = util::TimeUtil::ToString(d.settle_start);
+      auto settle_stop_txt = util::TimeUtil::ToString(d.settle_stop);
+      LOG(OrderMan, Info, "TASCounterAlgo::_copy_settle_times "
+          "settle_start:{} settle_stop:{} ",
+          settle_start_txt,
+          settle_stop_txt);      
+      return true;
+   }
+   return false;
+}
+// copies the order execution part of the input data
+void _copy_order_data (AlgoData& out_d,
+                       const Map<std::string,DynamicOrderParam>& params){   
+   auto copy_o = [&](ContractAutoOrder& out_order,
+                     std::string time_name,
+                     std::string qty_name,
+                     std::string enabled_name
+                     ) -> bool {
+      out_order.enabled = false;
+      auto time = get_if<uint32_t>(params, time_name);
+      auto qty = get_if<uint32_t>(params, qty_name);
+      auto enabled = get_if<bool>(params, enabled_name);
+      if(time.has_value() && qty.has_value() && enabled.has_value()){
+         out_order.n_secs = time.value();
+         out_order.qty = qty.value();
+         out_order.enabled = enabled.value();
+         out_order.algo_start = SODPosition::add_seconds(out_d.settle_stop,
+                                                         -1 * out_order.n_secs);
+         return true;
+      }
+      return false;
+   };
+   copy_o(out_d.t1_front_order,                                 
+          "T1 Front Time",
+          "T1 Front Qty",
+          "T1 Front Order Enabled");
+   copy_o(out_d.t1_second_order,
+          "T1 Second Time",
+          "T1 Second Qty",
+          "T1 Second Order Enabled");
+   copy_o(out_d.t1_third_order,
+          "T1 Third Time",
+          "T1 Third Qty",
+          "T1 Third Order Enabled");
+}
+// copies all of the input params (in the algo) into proper structures
+bool _setup_data(IBeforeLaunchAlgoServices& serv,
+                 AlgoData& out_d,
+                 std::map<SecurityKey,ContractMarketData*>& out_md_map){
+   auto& def = serv.definition();
+   // [ captures ] (parameters) -> returnTypesDeclaration { lambdaStatements; }   
+   auto init_contract_bk = [&out_md_map](auto& out_contract_md, 
+                            const auto& params,
+                            auto param_name) -> void {
+      auto k = get_if<uint32_t>(params, param_name);
+      if(k.has_value()){
+         out_contract_md.book = Book(SecurityKey(k.value()));
+         out_md_map[out_contract_md.book.security_key()] = &out_contract_md;   
+      }
+   };
+   if (def.has_custom_def() && def.custom_def().has_dynamic()){
+      out_d.tick_size = serv.security().contract_spec().low_tick();
+      const auto& p = def.custom_def().dynamic().order_params();
+      // settlement time
+      if(!_copy_settle_times(out_d,p))
+         return false;
+      // main contracts
+      init_contract_bk(out_d.t1_front, p,"T1 Front");
+      init_contract_bk(out_d.t1_second, p,"T1 Second");
+      init_contract_bk(out_d.t1_third, p,"T1 Third");
+      init_contract_bk(out_d.t2_front, p,"T2 Front");
+      init_contract_bk(out_d.t2_second, p,"T2 Second");
+      init_contract_bk(out_d.t3_front, p,"T3 Front");
+      // TAS contracts
+      init_contract_bk(out_d.t1_front_tas, p,"T1 Front TAS");
+      init_contract_bk(out_d.t1_second_tas, p,"T1 Second TAS");
+      init_contract_bk(out_d.t1_third_tas, p,"T1 Third TAS");
+      // auto orders
+      _copy_order_data(out_d,p);      
+      // order template
+      out_d.t1_front_order.buy_ord = _create_order_template(serv,
+                        out_d.t1_front_tas.book.security_key(),api::Side::SIDE_BUY);
+      out_d.t1_front_order.sell_ord = _create_order_template(serv,
+                        out_d.t1_front_tas.book.security_key(),api::Side::SIDE_SELL);
+      out_d.t1_second_order.buy_ord = _create_order_template(serv,
+                        out_d.t1_second_tas.book.security_key(),api::Side::SIDE_BUY);
+      out_d.t1_second_order.sell_ord = _create_order_template(serv,
+                        out_d.t1_second_tas.book.security_key(),api::Side::SIDE_SELL);
+      out_d.t1_third_order.buy_ord = _create_order_template(serv,
+                        out_d.t1_third_tas.book.security_key(),api::Side::SIDE_BUY);
+      out_d.t1_third_order.sell_ord = _create_order_template(serv,
+                        out_d.t1_third_tas.book.security_key(),api::Side::SIDE_SELL);
+      return true;
+   }
+   return false;
+}
+double round_to_nearest(double price, double tick_size){
+   if(os::is_nan(price))
+      return price;
+   auto buy_price = bts::securities::raw_round_to_quote_price(
+                                                         price,
+                                                         tick_size,
+                                                         api::Side::SIDE_BUY);
+   auto sell_price = buy_price + tick_size;
+   return std::abs(price-buy_price) < std::abs(sell_price-price) ? buy_price :
+                                                                   sell_price;
+}
+// time helpers
+// converts std::chrono::system_clock::time_point to google timestamp
+google::protobuf::Timestamp to_pf_ts (const bts::TimeStamp& ts){   
+   auto ts_us = std::chrono::time_point_cast<std::chrono::microseconds>(ts);
+   auto ts_us_val = ts_us.time_since_epoch();
+   auto usecs = ts_us_val.count();
+   return google::protobuf::util::TimeUtil::MicrosecondsToTimestamp(usecs);
+}
+long long t1_minus_t2_usecs (const Timestamp& t1,const Timestamp& t2){
+   return util::TimeUtil::TimestampToMicroseconds(t1) -
+          util::TimeUtil::TimestampToMicroseconds(t2);
+}
+long long t_minus_now_usecs (const Timestamp& t){
+   auto now = util::TimeUtil::GetCurrentTime();
+   return t1_minus_t2_usecs(t,now);
+}
+bool within_time_win (const Timestamp& beg, const Timestamp& end,
+                      const Timestamp& ts){
+   return t1_minus_t2_usecs(ts,beg)>=0 &&
+          t1_minus_t2_usecs(ts,end)<=0;
+}
+// if current time is within time window
+bool now_within_time_win (const Timestamp& beg,
+                      const Timestamp& end){
+   return within_time_win(beg,end,util::TimeUtil::GetCurrentTime());
+}
+bool trade_within_time_win (const Timestamp& beg, const Timestamp& end,
+                            const TickerUpdateEvent::Trade& t){
+   auto ts = to_pf_ts(t.ts);
+   return within_time_win(beg,end,ts);
+}
+
+} // namespace orderman
+
+} // namespace bts

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

@@ -0,0 +1,41 @@
+#pragma once
+
+#include "lib/orderman/orders/algo/IAlgoOrder.h"
+
+namespace bts {
+namespace orderman {
+
+class ChildTemplate;
+
+class TASCounterAlgo : public IAlgoOrder {
+public:
+   TASCounterAlgo();
+   ~TASCounterAlgo();
+   struct TASCounterAlgoParams{
+   };
+public:
+   OrderOpResult do_before_launch(IBeforeLaunchAlgoServices &) override;
+   void do_launch(IAlgoServices &) override;
+   void do_launch_attached(IAlgoServices &, OrderKey, ChildState) override;
+   void do_update(api::orderman::Update const &) override;
+   void on_book(SecurityKey, Book const &) override;
+   void on_ticker(SecurityKey, TradeVector const&) override;
+   IAlgoOrder::OnCancelResponse on_cancel() override;
+   void on_timer() override;
+private:
+   enum class Status;
+
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+private:
+   IAlgoServices& _algo() const ;
+   void _switch_state (Status new_status);
+   void _cxl_and_end (bool is_error, const std::string& err_msg);
+   void _check_and_send_order();
+   void _compute_settles ();
+   void _report_state();
+   bool _within_settle() const;
+};
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.cpp

@@ -0,0 +1,152 @@
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h"
+#include "lib/orderman/orders/OrderOpResult.h"
+#include "lib/orderman/orders/algo/utils/DynamicOrderAdapter.h"
+#include <utility>
+
+namespace bts {
+namespace orderman {
+template<typename T>
+using Param = bts::orderman::dynamic_adapter::ParamKey<bts::orderman::LimitCoverDefinition, T>;
+using DynamicOrderEnumerated = bts::api::orderman::DynamicOrderEnumerated;
+using OnToward = bts::api::orderman::LeanOnToward;
+using LimitCoverDefinition = bts::orderman::LimitCoverDefinition;
+using namespace bts::api::orderman;
+#define ON_TOWARD_NAME_PAIR(x) std::make_pair(x, #x)
+
+template<uint32_t gate_num>
+std::string gate_param_name(std::string name) {
+   return Formatter::fmt("Gate ", gate_num, " ", name);
+}
+
+template<>
+std::string gate_param_name<0>(std::string name) {
+   return Formatter::fmt("Initial ", name);
+}
+
+struct PriceOffset : public Param<double> {
+   PriceOffset() : Param<double>(std::string("Limit"),
+      [](const LimitCoverDefinition& def) { return def.price_offset(); },
+      [](LimitCoverDefinition& def, double v) { def.price_offset(v); }) {}
+};
+
+template<uint32_t gate_num>
+struct ActivationThreshold : public Param<uint32_t> {
+   ActivationThreshold() : Param<uint32_t>(gate_param_name<gate_num>("Activation Threshold"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).activation_threshold(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).activation_threshold(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct CoverThreshold : public Param<uint32_t> {
+   CoverThreshold() : Param<uint32_t>(gate_param_name<gate_num>("Cover Threshold"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).cover_threshold(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).cover_threshold(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct DeleteThreshold : public Param<uint32_t> {
+   DeleteThreshold() : Param<uint32_t>(gate_param_name<gate_num>("Delete Threshold"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).delete_threshold(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).delete_threshold(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct HedgeTicks : public Param<uint32_t> {
+   HedgeTicks() : Param<uint32_t>(gate_param_name<gate_num>("Hedge Ticks"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).hedge_ticks(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).hedge_ticks(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct TopTicksOff : public Param<uint32_t> {
+   TopTicksOff() : Param<uint32_t>(gate_param_name<gate_num>("Top Ticks Offset"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).top_ticks_offset(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).top_ticks_offset(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct MaxChaseTicks : public Param<uint32_t> {
+   MaxChaseTicks() : Param<uint32_t>(gate_param_name<gate_num>("Max Chase Ticks"),
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).max_chase_ticks(); },
+      [](LimitCoverDefinition& def, uint32_t v) { def.mgate(gate_num).max_chase_ticks(v); }) { }
+};
+
+template<uint32_t gate_num>
+struct TradeTowardBehavior : public dynamic_adapter::EnumParamKey<LimitCoverDefinition, OnToward> {
+   TradeTowardBehavior() : EnumParamKey<LimitCoverDefinition, OnToward>(
+      gate_param_name<gate_num>("Trade Toward Behavior"), {
+         ON_TOWARD_NAME_PAIR(NO_CHANGE),
+         ON_TOWARD_NAME_PAIR(CANCEL),
+         ON_TOWARD_NAME_PAIR(DETACH),
+         ON_TOWARD_NAME_PAIR(REPRICE)
+      },
+      [](const LimitCoverDefinition& def) { return def.gate(gate_num).on_toward(); },
+      [](LimitCoverDefinition& def, OnToward v) { def.mgate(gate_num).on_toward(v); })
+    {}
+};
+
+template<>
+struct ActivationThreshold<0> : public Param<uint32_t> {
+   ActivationThreshold() : Param<uint32_t>(std::string("Entry Threshold"),
+      [](const LimitCoverDefinition& def) { return def.gate(0).activation_threshold(); },
+      [](LimitCoverDefinition& def, uint32_t v) {
+         auto& g = def.mgate(0);
+         g.activation_threshold(v);
+         g.cover_threshold(v);
+         g.delete_threshold(v);
+      }) {}
+};
+
+using Adapter = dynamic_adapter::DynamicOrderAdapter<LimitCoverDefinition,
+   PriceOffset,
+   // [gate 0]
+   ActivationThreshold<0>,
+   HedgeTicks<0>,
+   TopTicksOff<0>,
+   MaxChaseTicks<0>,
+   TradeTowardBehavior<0>,
+   // gate 1
+   ActivationThreshold<1>,
+   CoverThreshold<1>,
+   DeleteThreshold<1>,
+   HedgeTicks<1>,
+   TopTicksOff<1>,
+   MaxChaseTicks<1>,
+   TradeTowardBehavior<1>,
+   // gate 2
+   ActivationThreshold<2>,
+   CoverThreshold<2>,
+   DeleteThreshold<2>,
+   HedgeTicks<2>,
+   TopTicksOff<2>,
+   MaxChaseTicks<2>,
+   TradeTowardBehavior<2>>;
+
+LimitCoverDefinition LimitCoverAdapter::from_proto(const api::orderman::OrderDefinition& order) {
+   if (order.has_custom_def())
+      return from_proto(order.custom_def());
+   return LimitCoverDefinition();
+}
+LimitCoverDefinition LimitCoverAdapter::from_proto(const api::orderman::CustomOrderDefinition& custom_def) {
+   LimitCoverDefinition rv;
+   if (custom_def.has_dynamic())
+      Adapter().from_proto(custom_def.dynamic(), rv);
+   return rv;
+}
+
+#define INVALID_DEF(x) OrderOpResult(api::orderman::ORDER_ERROR_INVALID_ORDER_DEFINITON, x)
+
+OrderOpResult LimitCoverAdapter::validate_proto(const api::orderman::DynamicOrderDefinition& dyn) {
+   return Adapter().validate_proto(dyn) ?
+      OrderOpResult() :
+      INVALID_DEF("One or more dynamic parameters are missing or invalid.");
+}
+void LimitCoverAdapter::init_proto(const LimitCoverDefinition& def, api::orderman::DynamicOrderDefinition& dyn) {
+   Adapter().to_proto(dyn, def);
+}
+
+void LimitCoverAdapter::define_proto(api::orderman::DynamicOrderDescriptor& desc) {
+   Adapter().define_proto(desc);
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h

@@ -0,0 +1,15 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverDefinition.h"
+
+namespace bts {
+namespace orderman {
+struct LimitCoverAdapter {
+   static LimitCoverDefinition from_proto(const api::orderman::OrderDefinition& order);
+   static LimitCoverDefinition from_proto(const api::orderman::CustomOrderDefinition& custom_def);
+   static OrderOpResult validate_proto(const api::orderman::DynamicOrderDefinition& order);
+   static void init_proto(const LimitCoverDefinition& def, api::orderman::DynamicOrderDefinition& dyn);
+   static void define_proto(api::orderman::DynamicOrderDescriptor& desc);
+};
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverDefinition.h

@@ -0,0 +1,71 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverGate.h"
+#include "lib/orderman/orderman_utils/Formatter.h"
+#include <ostream>
+#include <map>
+#include <vector>
+
+namespace bts {
+namespace orderman {
+namespace limit_cover {
+// The exclusive maximum number of gates.
+// Note: the limit cover spec called for 3 gates (2 gates explicitly,
+// plus an initial activation threshold, which is treated as another gate).
+const uint32_t max_num_gates = 4;
+}
+struct LimitCoverDefinition {
+   // price offset
+   double price_offset() const {
+      return _price_offset;
+   }
+   void price_offset(double value) {
+      _price_offset = value;
+   }
+
+   LimitCoverGate gate(uint32_t index) const {
+      return _gate_or_default(index);
+   }
+   LimitCoverGate& mgate(uint32_t index) {
+      return _ensure_gate(index);
+   }
+   void gate(uint32_t index, LimitCoverGate value) {
+      _ensure_gate(index) = value;
+   }
+
+   // The original LimitAlgo spec called for an initial activation thresh, and 2 gates
+   // (fyi a gate has 3 members: activation thresh, cover thresh, and delete thresh).
+   // The initial activation thresh serves as the initial cover, and delete threshes as well.
+   // In this sense, the activation threshold can be considered as an 'initial gate' itself.
+   // 'normal_gates' does just that: returns a map of both gates plus the 'initial gate.'
+   std::map<uint32_t, LimitCoverGate> normal_gates() const {
+      std::map<uint32_t, LimitCoverGate> m;
+      for (auto g : _gates)
+         m.insert(std::make_pair(g.activation_threshold(), g));
+      return m;
+   }
+private:
+   double _price_offset;
+   std::vector<LimitCoverGate> _gates;
+
+   LimitCoverGate& _ensure_gate(uint32_t index) {
+      bts_assert(index < limit_cover::max_num_gates);
+      while (_gates.size() <= index)
+         _gates.push_back(LimitCoverGate());
+      return _gates[index];
+   }
+
+   LimitCoverGate _gate_or_default(uint32_t index) const {
+      return _gates.size() > index ? _gates[index] : LimitCoverGate();
+   }
+};
+
+inline std::ostream& operator<<(std::ostream& ostr, const LimitCoverDefinition& lcd) {
+   auto ngates = lcd.normal_gates();
+   ostr << "Price Offset: " << lcd.price_offset()
+        << ", Activation Thresh: " << lcd.gate(0).activation_threshold()
+        << ", Gates: " << Formatter::fmt_values(ngates);
+   return ostr;
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverGate.h

@@ -0,0 +1,87 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/sparkproto/SparkProtos.pb.h"
+#include "lib/utils/PBUtils.h"
+#include <ostream>
+
+namespace bts {
+namespace orderman {
+struct LimitCoverGate {
+   LimitCoverGate() : LimitCoverGate(0, 0, 0) {}
+
+   LimitCoverGate(const LimitCoverGate& other)
+      : _activation_threshold(other._activation_threshold), _definition(other._definition) {}
+
+   LimitCoverGate(uint32_t activation_thresh, uint32_t cover_thresh, uint32_t delete_thresh)
+      : _activation_threshold(activation_thresh), _definition() {
+      cover_threshold(cover_thresh);
+      delete_threshold(delete_thresh);
+   }
+
+   // activation threshold
+   uint32_t activation_threshold() const { return _activation_threshold; }
+   void activation_threshold(uint32_t value) { _activation_threshold = value; }
+
+   // cover threshold
+   uint32_t cover_threshold() const {
+      return _definition.has_cross_threshold() ? _get_absolute(_definition.cross_threshold()) : 0;
+   }
+   void cover_threshold(uint32_t value) {
+      if (!_definition.has_cross_threshold()) {
+         *_definition.mutable_cross_threshold() = bts::spark::QuantityMeasure();
+      }
+      _definition.mutable_cross_threshold()->set_absolute(value);
+   }
+
+   // delete threshold
+   uint32_t delete_threshold() const {
+      return _definition.has_top_threshold() ? _get_absolute(_definition.top_threshold()) : 0;
+   }
+   void delete_threshold(uint32_t value) {
+      if (!_definition.has_top_threshold()) {
+         *_definition.mutable_top_threshold() = bts::spark::QuantityMeasure();
+      }
+      _definition.mutable_top_threshold()->set_absolute(value);
+   }
+   
+   // hedge ticks
+   uint32_t hedge_ticks() const { return _definition.hedge_ticks(); }
+   void hedge_ticks(uint32_t value) { _definition.set_hedge_ticks(value); }
+   // top ticks offset
+   uint32_t top_ticks_offset() const { return _definition.ticks_off(); }
+   void top_ticks_offset(uint32_t value) { _definition.set_ticks_off(value); }
+   // max chase ticks
+   uint32_t max_chase_ticks() const { return _definition.max_chase_ticks(); }
+   void max_chase_ticks(uint32_t value) { _definition.set_max_chase_ticks(value); }
+   // on toward
+   api::orderman::LeanOnToward on_toward() const { return _definition.trade_toward_behavior(); }
+   void on_toward(api::orderman::LeanOnToward value) { _definition.set_trade_toward_behavior(value); }
+   // definition
+   const api::orderman::DeleteAndCoverDefinition& definition() const { return _definition; }
+   api::orderman::DeleteAndCoverDefinition& mdefinition() { return _definition; }
+   void definition(api::orderman::DeleteAndCoverDefinition value) { _definition = value; }
+
+   api::orderman::CustomOrderDefinition custom_def() const {
+      api::orderman::CustomOrderDefinition cod;
+      *(cod.mutable_delete_and_cover()) = definition();
+      return cod;
+   }
+   void custom_def(const api::orderman::CustomOrderDefinition &cod) {
+      if (cod.has_delete_and_cover())
+         definition(cod.delete_and_cover());
+   }
+private:
+   uint32_t _activation_threshold;
+   api::orderman::DeleteAndCoverDefinition _definition;
+
+   static inline uint32_t _get_absolute(spark::QuantityMeasure qty_measure, uint32_t fallback_value = 0) {
+      return qty_measure.quantity_case() == spark::QuantityMeasure::kAbsolute ? qty_measure.absolute() : fallback_value;
+   }
+};
+
+inline std::ostream& operator<<(std::ostream& ostr, const LimitCoverGate& g) {
+   ostr << "Activation Thresh: " << g.activation_threshold() << ", Definition: " << utils::pb::to_string(g.custom_def());
+   return ostr;
+}
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/AlgoTestDriver.cpp

@@ -71,9 +71,11 @@ struct AlgoTestDriverBase::Impl : public RecursionCounter {
    bool sub_position = false;
 
    // Callbacks
-   std::vector<std::function<void(OrderKey)>> on_child_launching;
+   std::vector<std::function<void(OrderKey, Quantity, Price)>> on_child_launching;
    std::vector<std::function<void(const ChildOrder&)>> on_child_changing;
    std::vector<std::function<void(const ChildOrder&, const ChildOrder&)>> on_child_changed;
+   // runs after the child change has been forwarded to the underlying algo.
+   std::vector<std::function<void(const ChildOrder&, const ChildOrder&)>> after_child_changed;
    bool allow_overfill = false;
 
    Impl(IAlgoOrder& o) : algo(o) {}
@@ -206,6 +208,20 @@ const std::vector<ChildOrder>& AlgoTestDriverBase::child_orders() const {
    return me->orders;
 }
 
+// This method asserts that the child exists.  If the need arises for an
+// optional return, leave this method as is, and add a 'try_find_child' method.
+// These are tests, so it's reasonable to assume the caller is certain about
+// the existence of the child it seeks.
+const ChildOrder& AlgoTestDriverBase::find_child(OrderKey key) const {
+   for (auto& c : me->orders) {
+      if (c.key == key)
+         return c;
+   }
+   REQUIRE(false);
+   bts_assert(false);
+   return me->orders.front();
+}
+
 const std::vector<ChildOrder>& AlgoTestDriverBase::detached_orders() const {
    return me->detached_orders;
 }
@@ -237,6 +253,7 @@ void AlgoTestDriverBase::fill(OrderKey k, Price price, Quantity qty) {
          for (const auto& cb : me->on_child_changed) cb(old, child);
          // No defer because this is called from outside
          if (child.subscribed)  me->algo.on_child_change(k, child.cstate);
+         for (const auto& cb : me->after_child_changed) cb(old, child);
          break;
       }
    }
@@ -273,7 +290,7 @@ void AlgoTestDriverBase::fill(Price p, Quantity q) {
    }
 }
 
-void AlgoTestDriverBase::on_child_launching(std::function<void(OrderKey)>&& cb) {
+void AlgoTestDriverBase::on_child_launching(std::function<void(OrderKey, Quantity, Price)>&& cb) {
    me->on_child_launching.push_back(cb);
 }
 void AlgoTestDriverBase::on_child_changing(std::function<void(const ChildOrder&)>&& cb) {
@@ -282,18 +299,21 @@ void AlgoTestDriverBase::on_child_changing(std::function<void(const ChildOrder&)
 void AlgoTestDriverBase::on_child_changed(std::function<void(const ChildOrder&, const ChildOrder&)>&& cb) {
    me->on_child_changed.push_back(cb);
 }
-   
+void AlgoTestDriverBase::after_child_changed(std::function<void(const ChildOrder&, const ChildOrder&)>&& cb) {
+   me->after_child_changed.push_back(cb);
+}
 bool AlgoTestDriverBase::allow_overfill() const { return me->allow_overfill; }
 void AlgoTestDriverBase::allow_overfill(bool value) { me->allow_overfill = value; }
 
 //
 // Utility
 
-ChildOrder mkchild(OrderKey key, Price price, Quantity qty, bool sub) {
+ChildOrder mkchild(OrderKey key, Price price, Quantity qty, bool sub, ChildStatus status = ChildStatus::WORKING) {
    ChildOrder result = {};
    result.key = key;
    result.cstate.price = price;
    result.cstate.quantity = qty;
+   result.cstate.status = status;
    result.subscribed = sub;
    return result;
 }
@@ -407,7 +427,7 @@ OrderKey AlgoTestDriverBase::launch_child(ChildTemplate&, Price price, Quantity
    OrderKey key = me->next_order();
    me->orders.push_back(
       mkchild(key, price, qty, sub));
-   for(const auto& cb : me->on_child_launching) cb(key);
+   for(const auto& cb : me->on_child_launching) cb(key, qty, price);
    return key;
 }
 OrderKey AlgoTestDriverBase::launch_child(api::orderman::OrderDefinition const & def, Price price, Quantity qty, bool sub) {
@@ -415,7 +435,7 @@ OrderKey AlgoTestDriverBase::launch_child(api::orderman::OrderDefinition const &
    me->orders.push_back(
       mkchild(key, price, qty, sub));
    me->orders.back().def = {def};
-   for(const auto& cb : me->on_child_launching) cb(key);
+   for(const auto& cb : me->on_child_launching) cb(key, qty, price);
    return key;
 }
 void AlgoTestDriverBase::update_child(OrderKey key, api::orderman::Update const & update) {
@@ -490,5 +510,6 @@ void AlgoTestDriverBase::complete() {
 }
 void AlgoTestDriverBase::set_ladder_visibility(bool) { /* whatever, ok */ }
 void AlgoTestDriverBase::update_fill_state(Quantity q, Price p) { me->fill_state = { q, p }; }
+void AlgoTestDriverBase::update_custom_state(api::orderman::DynamicOrderState const&) {}
 
 }}}//namespace

src/lib/orderman/orders/algo/algo_orders/tests/AlgoTestDriver.h

@@ -61,6 +61,8 @@ class AlgoTestDriverBase : private IAlgoServices {
    Quantity total_fills() const override;
    bool is_shutting_down() const override;
    std::vector<PositionUpdate> const & current_positions() const override;
+   void update_child(OrderKey , api::orderman::Update const &) override; 
+   void cancel_child(OrderKey) override; 
    //
    // Change state
 
@@ -79,6 +81,7 @@ class AlgoTestDriverBase : private IAlgoServices {
    //
    // Inspection methods
    const std::vector<ChildOrder>& child_orders() const;
+   const ChildOrder& find_child(OrderKey) const;
    const std::vector<ChildOrder>& detached_orders() const;
    AlgoState state() const;
 
@@ -87,10 +90,11 @@ class AlgoTestDriverBase : private IAlgoServices {
    // Fill this quantity, start with the largest child order
    void fill(Price, Quantity);
 
-   void on_child_launching(std::function<void(OrderKey)>&&);
+   void on_child_launching(std::function<void(OrderKey, Quantity, Price)>&&);
    void on_child_changing(std::function<void(const ChildOrder&)>&&);
    void on_child_changed(std::function<void(const ChildOrder&, const ChildOrder&)>&&);
-   
+   void after_child_changed(std::function<void(const ChildOrder&, const ChildOrder&)>&&);
+
    //
    // Tweak internal REQUIRE 
    bool allow_overfill() const;
@@ -130,8 +134,6 @@ private:
    OrderKey launch_child(ChildTemplate &, Price, Quantity, bool) override;
    OrderKey launch_child(api::orderman::OrderDefinition const &, Price,
                          Quantity, bool) override;
-   void update_child(OrderKey , api::orderman::Update const &) override; 
-   void cancel_child(OrderKey) override; 
    void detach_child(OrderKey) override;
    void detach_all_children() override;
 
@@ -140,7 +142,7 @@ private:
    void complete() override;
    void set_ladder_visibility(bool) override;
    void update_fill_state(Quantity , Price) override;
-
+   void update_custom_state(api::orderman::DynamicOrderState const&) override;
 };
 
 template <class Algo>
@@ -157,4 +159,17 @@ struct AlgoTestDriver : public AlgoTestDriverBase
    const Algo& algo() const { return _algo; }
 };
 
+inline std::ostream& operator <<(std::ostream& ostr, const AlgoState& state) {
+   switch (state) {
+   case AlgoState::CREATED: ostr << "CREATED"; break;
+   case AlgoState::READY: ostr << "READY"; break;
+   case AlgoState::RUNNING: ostr << "RUNNING"; break;
+   case AlgoState::CANCELED: ostr << "CANCELED"; break;
+   case AlgoState::TERMINATED: ostr << "TERMINATED"; break;
+   case AlgoState::COMPLETED: ostr << "COMPLETED"; break;
+   default: ostr << "AlgoState_" << static_cast<int>(state); break;
+   }
+   return ostr;
+}
+
 }}}//namespace

src/lib/orderman/orders/algo/algo_orders/tests/LimitCoverTests.cpp

@@ -0,0 +1,196 @@
+#include "lib/orderman/orders/algo/algo_orders/LimitCoverAlgo.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/AlgoTestDriver.h"
+#include "catch/catch.hpp"
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/domain_model/Security.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orderman_utils/BookUtils.h"
+#include "lib/orderman/orderman_utils/Formatter.h"
+#include "lib/orderman/orderman_utils/PriceComp.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverState.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverTestUtils.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/TestSteps.h"
+#include "lib/sparkproto/SparkProtos.pb.h"
+#include "lib/utils/PBUtils.h"
+#include <iostream>
+#include <functional>
+#include <optional>
+#include <array>
+#include <random>
+#include <variant>
+#include <cmath>
+
+// for some reason, intellisense poops its pants without 'using namespace std.'
+// std::optional<T>, and std::unordered_map<T>, in particular, break intellisense for the whole document.
+using namespace std;
+using namespace bts::api::orderman;
+using namespace bts::orderman::limit_cover::utils;
+//#define PRINT_SUMMARIES
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+// Glossary:
+//   * limit-price:
+//       The price at which the main child is deployed (computed as a tick offset from the settlement).
+//   * limit-volume:
+//       The same-side market volume at or better than the limit price.
+//       This is recomputed whenever the book changes (obviously).
+//   * volume-gate:
+//      * volume-gate: a simple struct with 3 fields:
+//          1) activation_threshold (uint)
+//          2) cover_threshold (uint) must be <= activation_thresh
+//          3) delete_threshold (uint) must be <= activation_thresh
+//      * current-volume-gate:
+//          The volume gate with the highest activation threshold that is still
+//          <= the limit-volume. This is recomputed whenever the book changes
+//          (obviously).
+//      * volume-gates:
+//          A series of volume gates, sorted by 'activation_threshold.'
+//          Initially, the current-volume-gate is one with the lowest activation threshold.
+//          The main child is not deployed until the limit-volume reaches that threshold.
+//          After that, the algo continues to observe the limit-volume, removing gates with lower
+//          thresholds when the volume breeches the next gate's thresh.
+
+// Test Assertions:
+//   * child is not launched until the limit-volume reaches the initial activation threshold.
+//   * limit-volume is always correct (verify whenever the book changes).
+//   * current-volume-gate is always correct (verify whenever the book changes).
+
+// Test Design:
+//    * expectations of the limit cover algo's state are stored in an instance of 'LimitCoverState.'
+//      The actual LimitCoverAlgo does not use this class; the tests just use it as a means
+//      to validate the actual LimitCoverAlgo's state, and to wrap calls to the LimitCoverAlgo
+//      with validation checks.
+
+//    * each test implementation should be executed 6 times:
+//      2 x 3 = test both sides, with each of the following termination steps:
+//         1) Fill to completion
+//         2) Cancel the algo
+//         3) Cancel the child
+
+//    * Restrictions on the parameters:
+//        - the spec explicitly called for 3 volume gates, and specified that the 3 thresholds
+//          (activation, cover, and delete) be the same for the first gate
+//          (technically, the spec described 2 gates and an 'entry threshold').
+//        - the algo should immediately cancel itself if these parameters are not the case.
+//          while it would most likely not cause a problem, these assumptions allow the tests to focus
+//          on a narrow range of inputs (and of course, such restrictions naturally decrease the
+//          chance of a bug slipping through).
+
+LimitCoverState init_state(
+   OrderDefinition& mdef,
+   Side side,
+   uint32_t quantity,
+   double price,
+   double price_offset,
+   std::vector<LimitCoverGate> gates,
+   bool cancel_hedges_on_cancel = true,
+   bool cancel_on_external_hedge_cancel = false) {
+   //
+   REQUIRE(!gates.empty());
+   for (auto& g : gates) {
+      g.mdefinition().set_cancel_hedges_on_cancel(cancel_hedges_on_cancel);
+      g.mdefinition().set_cancel_on_external_hedge_cancel(cancel_on_external_hedge_cancel);
+   }
+   LimitCoverDefinition lc_def;
+   lc_def.price_offset(price_offset);
+   uint32_t gate_pos = 0;
+   for (auto g : gates) {
+      lc_def.gate(gate_pos++, g);
+   }
+   DynamicOrderDefinition dyn_def;
+   LimitCoverAdapter::init_proto(lc_def, dyn_def);
+   *(mdef.mutable_custom_def()->mutable_dynamic()) = dyn_def;
+   mdef.set_side(side);
+   return LimitCoverState(mdef, quantity, price);
+}
+
+template<typename... Steps>
+inline void test_impl(Side side, uint32_t qty, double price_offset, double settle, std::vector<LimitCoverGate> gates, Steps... steps) {
+   std::cout << std::endl << std::endl;
+   std::cout << "*************************************************************************************************************************" << std::endl;
+   std::cout << "=========================================================================================================================" << std::endl;
+   int step_count = 1;
+   std::cout << "Test " << "[" << Formatter::to_string(side) << " Order]" << std::endl << "\t1. "
+             << Formatter::join([&]() {
+                   return Formatter::fmt("\n\t", ++step_count, ". ");
+                }, steps...)
+             << std::endl;
+   std::cout << "=========================================================================================================================" << std::endl;
+   std::cout << "*************************************************************************************************************************" << std::endl;
+   std::cout << std::endl;
+   OrderDefinition def;
+   // price is irrelevant
+   auto state = init_state(def, side, qty, -99999, price_offset, gates);
+   state.settlement(settle);
+   (steps.execute(state), ...);
+}
+
+template<typename... Steps>
+inline void test_permutations(
+   uint32_t qty,
+   double settle,
+   std::vector<LimitCoverGate> gates,
+   Steps... steps) {
+   std::vector<double> price_offsets { 0.0, 0.75, 1.25, -0.75, -1.25 };
+   for (auto po : price_offsets) {
+      // complete
+      test_impl(api::SIDE_BUY, qty, po, settle, gates, steps..., test_steps::Complete());
+      test_impl(api::SIDE_SELL, qty, po, settle, gates, steps..., test_steps::Complete());
+      // cancel child
+      test_impl(api::SIDE_BUY, qty, po, settle, gates, steps..., test_steps::CancelChild());
+      test_impl(api::SIDE_SELL, qty, po, settle, gates, steps..., test_steps::CancelChild());
+      // cancel algo
+      test_impl(api::SIDE_BUY, qty, po, settle, gates, steps..., test_steps::CancelAlgo());
+      test_impl(api::SIDE_SELL, qty, po, settle, gates, steps..., test_steps::CancelAlgo());
+   }
+}
+
+TEST_CASE("test_activation_thresholds.", "[algo][limit_cover]") {
+   SECTION("Activate 1st gate.") {
+      test_permutations(25, 100, {
+            LimitCoverGate(4, 4, 4),
+            LimitCoverGate(10, 7, 5),
+            LimitCoverGate(15, 12, 11),
+         },
+         // test steps
+         test_steps::BeginLaunch(),
+         test_steps::Launch(),
+         test_steps::BreechActivationThresh());
+   }
+   SECTION("Activate 1st then 2nd gate.") {
+      test_permutations(25, 100, {
+            LimitCoverGate(4, 4, 4),
+            LimitCoverGate(10, 7, 5),
+            LimitCoverGate(15, 12, 11),
+         },
+         // test steps
+         test_steps::BeginLaunch(),
+         test_steps::Launch(),
+         test_steps::BreechActivationThresh(),
+         test_steps::Fill([](const auto& state) { return test_params::fills::child(state, 8); }),
+         test_steps::BreechActivationThresh(),
+         test_steps::Fill([](const auto& state) { return test_params::fills::child(state, 2); }),
+         test_steps::BreechActivationThresh());
+   }
+   SECTION("Activate 2nd gate.") {
+      test_permutations(25, 100, {
+            LimitCoverGate(4, 4, 4),
+            LimitCoverGate(10, 7, 5),
+            LimitCoverGate(15, 12, 11),
+         },
+         // test steps
+         test_steps::BeginLaunch(),
+         test_steps::Launch(),
+         test_steps::BreechActivationThresh(1, 1),
+         test_steps::Fill([](const auto& state) { return test_params::fills::child(state, 8); }));
+   }
+}
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverState.cpp

@@ -0,0 +1,199 @@
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverState.h"
+#include "catch/catch.hpp"
+#include "lib/domain_model/Security.h"
+#include "lib/md/IntPrice.h"
+#include "lib/orderman/order_factory/IOrderFactory.h"
+#include "lib/orderman/orderman_utils/BookUtils.h"
+#include "lib/orderman/orderman_utils/Formatter.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverAdapter.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverTestUtils.h"
+
+#define VALIDATE Validation __VALIDATION(this)
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+using namespace std;
+using namespace bts::api::orderman;
+using namespace bts::orderman::limit_cover::utils;
+using Size = bts::md::Size;
+using Side = bts::api::Side;
+
+   LimitCoverState::LimitCoverState(
+      const OrderDefinition& def,
+      uint32_t quantity,
+      double price)
+      : driver(def, int_price(price), Quantity(quantity)), _definition(def), _gates(), _book(SecurityKey(security().id())) {
+      auto ngs = limit_cover().normal_gates();
+      _gates.insert(ngs.begin(), ngs.end());
+      // attach callbacks
+      driver.on_child_launching([&](OrderKey key, Quantity child_qty, Price child_price) {
+         // should never deploy twice
+         REQUIRE(_child == null_order_key());
+         REQUIRE(key != null_order_key());
+         _child = key;
+         // qty should match the algo's, but price must be the limit price
+         // (the algo's price is irrelevant)
+         REQUIRE(child_qty.value() == driver.quantity().value());
+         REQUIRE(child_price.value() == limit_price());
+         // todo: verify delete and cover def matches the current gate
+         //REQUIRE(child_def.custom_def().delete_and_cover())
+         REQUIRE(limit_volume() >= activation_threshold());
+      });
+      driver.on_child_changed([&](const ChildOrder&, const ChildOrder& new_state) {
+         REQUIRE(new_state.key == _child);
+         REQUIRE(new_state.def.has_value());
+         REQUIRE(new_state.def.value().has_custom_def());
+         REQUIRE(new_state.def.value().custom_def().has_delete_and_cover());
+      });
+      driver.after_child_changed([&](const ChildOrder&, const ChildOrder& new_state) {
+         REQUIRE(driver.total_fills().value() == new_state.cstate.total_fills.value());
+      });
+   }
+
+   uint32_t LimitCoverState::quantity() const {
+      return driver.quantity().value();
+   }
+   double LimitCoverState::price() const {
+      return driver.price().value();
+   }
+   const api::Security& LimitCoverState::security() const {
+      return driver.security();
+   }
+   const bts::api::orderman::OrderDefinition& LimitCoverState::def() const {
+      return _definition;
+   }
+   LimitCoverDefinition LimitCoverState::limit_cover() const {
+      return LimitCoverAdapter::from_proto(def());
+   }
+   uint32_t LimitCoverState::limit_volume() const {
+      return _limit_volume;
+   }
+   double LimitCoverState::limit_price() const {
+      return _limit_price;
+   }
+   OrderKey LimitCoverState::child() const {
+      return _child;
+   }
+   optional<ChildOrder> LimitCoverState::child_state() const {
+      if (has_been_deployed()) {
+         return ChildOrder(*driver.child_orders().begin());
+      }
+      return {};
+   }
+   void LimitCoverState::update_child(const Update& u) {
+      driver.update_child(child(), u);
+   }
+   bool LimitCoverState::has_been_deployed() const {
+      return _child != null_order_key();
+   }
+   bool LimitCoverState::is_terminated() const {
+      switch (driver.state()) {
+      case AlgoState::CANCELED:
+      case AlgoState::TERMINATED:
+         return true;
+      default:
+         return false;
+      }
+   }
+   const std::map<uint32_t, LimitCoverGate>& LimitCoverState::gates() const {
+      return _gates;
+   }
+   const LimitCoverGate& LimitCoverState::curr_gate() const {
+      REQUIRE(!gates().empty());
+      return gates().begin()->second;
+   }
+   uint32_t LimitCoverState::activation_threshold() const {
+      return gates().empty() ? std::numeric_limits<uint32_t>::max() : gates().begin()->first;
+   }
+   // settlement
+   double LimitCoverState::settlement() const { return _settlement; }
+   void LimitCoverState::settlement(double value) {
+      VALIDATE;
+      // the algo is not supposed to disregard settlement changes
+      // after the child has been deployed
+      if (!has_been_deployed()) {
+         _settlement = value;
+         recompute_all();
+      }
+      driver.update_settlement(SecurityKey(security().id()), Price(value));
+   }
+
+   // book
+   const Book& LimitCoverState::book() const { return _book; }
+   void LimitCoverState::book(Book value) {
+      VALIDATE;
+      _book = value;
+      recompute_all();
+      driver.update_book(value);
+   }
+
+   OrderOpResult LimitCoverState::before_launch() {
+      _gates.clear();
+      auto ngs = limit_cover().normal_gates();
+      _gates.insert(ngs.begin(), ngs.end());
+      return driver.before_launch();
+   }
+   void LimitCoverState::launch() {
+      VALIDATE;
+      _is_initialized = true;
+      recompute_all();
+      driver.launch();
+   }
+   void LimitCoverState::do_update(const Update& upd) {
+      REQUIRE(!is_terminated());
+      // updates should not affect the child's price (after it has been launched).
+      // this is bc the literal 'price' parameter is irrelevant to this algo,
+      // for all intents and purposes, its price is the tick offset from settlement. 
+      auto upd_valid = validate_update(upd);
+      // keep definition in sync with update
+      if (upd.has_custom() && upd_valid.ok()) {
+         *(_definition.mutable_custom_def()) = upd.custom();
+      }
+      driver.do_update(upd);
+      if (upd_valid.ok()) {
+         recompute_all();
+      } else {
+         REQUIRE(driver.state() == AlgoState::TERMINATED);
+      }
+   }
+
+   void LimitCoverState::recompute_limit_price() {
+      _limit_price = os::is_nan(settlement()) ? os::nan() :
+         securities::improve_price(side(), Price(settlement()), Price(limit_cover().price_offset()))
+         .value();
+   }
+
+   void LimitCoverState::recompute_limit_volume() {
+      _limit_volume = os::is_nan(settlement()) ? os::nan() :
+         BookUtils::volume_at_or_better(_book, side(), limit_price());
+   }
+
+   void LimitCoverState::recompute_all() {
+      recompute_limit_price();
+      recompute_limit_volume();
+      if (_is_initialized)
+         recompute_gate();
+   }
+
+   void LimitCoverState::recompute_gate() {
+      if (gates().empty())
+         return;
+      auto it = _gates.lower_bound(limit_volume());
+      if (it->first > limit_volume() && it != _gates.begin())
+         it--;
+      _gates.erase(_gates.begin(), it);
+   }
+
+   LimitCoverState::ValidateDeployment::ValidateDeployment(LimitCoverState* state) :
+      _state(state), _had_been_deployed(state->has_been_deployed()) { }
+
+   LimitCoverState::ValidateDeployment::~ValidateDeployment() {
+      if (!_had_been_deployed && _state->limit_volume() >= _state->activation_threshold())
+         REQUIRE(_state->has_been_deployed());
+   }
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverState.h

@@ -0,0 +1,121 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/domain_model/Security.h"
+#include "lib/orderman/orderman_utils/Book.h"
+#include "lib/orderman/orders/algo/algo_orders/LimitCoverAlgo.h"
+#include "lib/orderman/orders/algo/algo_orders/limit_cover/LimitCoverDefinition.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/AlgoTestDriver.h"
+#include "lib/sparkproto/SparkProtos.pb.h"
+#include <iostream>
+#include <map>
+#include <optional>
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+struct LimitCoverState {
+   AlgoTestDriver<LimitCoverAlgo> driver;
+
+   LimitCoverState(
+      const api::orderman::OrderDefinition& def,
+      uint32_t quantity,
+      double price);
+
+   const api::orderman::OrderDefinition& def() const;
+   uint32_t quantity() const;
+   double price() const;
+   const api::Security& security() const;
+   LimitCoverDefinition limit_cover() const;
+   api::Side side() const { return def().side(); }
+   uint32_t activation_threshold() const;
+   // main child
+   OrderKey child() const;
+   std::optional<ChildOrder> child_state() const;
+   // gates/curr gate
+   const std::map<uint32_t, LimitCoverGate>& gates() const;
+   const LimitCoverGate& curr_gate() const;
+   // book
+   const Book& book() const;
+   void book(Book new_book);
+   //
+   bool has_been_deployed() const;
+   // settle
+   double settlement() const;
+   void settlement(double value);
+   // limit price
+   double limit_price() const;
+   // limit volume
+   uint32_t limit_volume() const;
+   bool is_terminated() const;
+   OrderOpResult before_launch();
+   void launch();
+   void do_update(const api::orderman::Update&);
+   void update_child(const api::orderman::Update&);
+
+private:
+   api::orderman::OrderDefinition _definition;
+   uint32_t _limit_volume = 0;
+   OrderKey _child;
+   double _limit_price = os::nan();
+   double _settlement = os::nan();
+   bool _is_initialized = false;
+   std::map<uint32_t, LimitCoverGate> _gates;
+   Book _book;
+
+   void recompute_limit_price();
+   void recompute_limit_volume();
+   void recompute_all();
+   void recompute_gate();
+
+   struct ValidateDeployment {
+      ValidateDeployment(LimitCoverState* state);
+      ~ValidateDeployment();
+
+   private:
+      LimitCoverState* _state;
+      bool _had_been_deployed;
+   };
+
+   struct Validation : public ValidateDeployment {
+      Validation(LimitCoverState* state)
+         : ValidateDeployment(state) {}
+
+      ~Validation() {}
+   };
+};
+
+// custom formatting uses 1 line (unlike pb::to_string).
+inline std::ostream& operator<<(std::ostream& ostr, const bts::spark::QuantityMeasure& qm) {
+   switch (qm.quantity_case()) {
+   case bts::spark::QuantityMeasure::kAbsolute:
+      ostr << "[absolute] " << qm.absolute();
+      break;
+   case bts::spark::QuantityMeasure::kRatio:
+      ostr << "[ratio] " << qm.ratio();
+      break;
+   default:
+      ostr << "[quantity_case_" << static_cast<int>(qm.quantity_case()) << "]";
+      break;
+   }
+   return ostr;
+}
+
+inline std::ostream& operator<<(std::ostream& ostr, const LimitCoverState& lcs) {
+   ostr << "qty: " << lcs.quantity() << std::endl;
+   ostr << "limit price: " << lcs.limit_price() << std::endl;
+   ostr << "limit volume: " << lcs.limit_volume() << std::endl;
+   ostr << "activation/curr gate thresh: " << lcs.activation_threshold() << std::endl;
+   ostr << "settlement: " << lcs.settlement() << std::endl;
+   ostr << "bbo: " << Formatter::to_string(lcs.book()) << std::endl;
+   ostr << "has been deployed: " << lcs.has_been_deployed() << std::endl;
+   ostr << "status: " << lcs.driver.state() << std::endl;
+   ostr << "child: " << lcs.child() << std::endl;
+   ostr << "child qty: " << (lcs.child_state().has_value() ? lcs.child_state().value().cstate.quantity.value() : 0) << std::endl;
+   ostr << "filled qty: " << lcs.driver.total_fills().value() << std::endl;
+   return ostr;
+}
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverTestUtils.h

@@ -0,0 +1,44 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/md/IntPrice.h"
+#include "lib/orderman/orderman_utils/Formatter.h"
+#include "lib/sparkproto/SparkProtos.pb.h"
+#include <iostream>
+
+#define SUMMARIZE(...) Summary __summary__ (Formatter::fmt(__VA_ARGS__)) 
+
+using Side = bts::api::Side;
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+using namespace std;
+inline bts::md::IntPrice int_price(double value) {
+   return bts::md::IntPrice_from_double<8>(value);
+}
+inline bts::md::PriceSize price_size(double price, uint32_t size) {
+   return bts::md::PriceSize(int_price(price), size);
+}
+inline bts::spark::QuantityMeasure qty_measure(uint32_t abs) {
+   bts::spark::QuantityMeasure qm;
+   qm.set_absolute(abs);
+   return qm;
+}
+
+struct Summary {
+   Summary(std::string header)
+      : _header(header) {
+      std::cout << "Begin " << header << std::endl;
+   }
+   ~Summary() {
+      std::cout << "End " << _header << std::endl;
+   }
+private:
+   std::string _header;
+};
+
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/limit_cover/TestSteps.cpp

@@ -0,0 +1,221 @@
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/TestSteps.h"
+#include "catch/catch.hpp"
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/order_factory/IOrderFactory.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverTestUtils.h"
+#include <functional>
+#include <iostream>
+#include <optional>
+#include <string>
+#include <vector>
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+
+std::string ITestStep::name() const { return "step with no name"; }
+void ITestStep::execute(LimitCoverState &state) const {
+   SUMMARIZE(name());
+   assert_pre_conditions(state);
+   _execute(state);
+   assert_post_conditions(state);
+}
+void ITestStep::assert_pre_conditions_core(const LimitCoverState &) const {}
+void ITestStep::execute_core(LimitCoverState &) const { bts_assert(false); }
+void ITestStep::assert_post_conditions_core(const LimitCoverState &) const {}
+void ITestStep::assert_pre_conditions(const LimitCoverState &state) const {
+   // SUMMARIZE("Asserting Pre-conditions (", name(), ")...");
+   assert_pre_conditions_core(state);
+}
+void ITestStep::assert_post_conditions(const LimitCoverState &state) const {
+   // SUMMARIZE("Asserting Post-conditions (", name(), ")...");
+   assert_post_conditions_core(state);
+}
+void ITestStep::_execute(LimitCoverState &state) const {
+   // SUMMARIZE("Executing (", name(), ")...");
+   execute_core(state);
+}
+
+std::ostream& operator<<(std::ostream& ostr, const ITestStep& ts) {
+   ostr << ts.name();
+   return ostr;
+}
+
+LimitCoverState& operator<<(LimitCoverState& state, const ITestStep& ts) {
+   SUMMARIZE(ts.name());
+   ts.execute(state);
+   return state;
+}
+
+/////////////////////
+// Test Params
+/////////////////////
+namespace test_params {
+namespace fills {
+Fill child(const LimitCoverState& state, std::optional<uint32_t> qty, std::optional<double> price) {
+   if (!qty.has_value()) {
+      REQUIRE(state.child_state().value().active_qty() > 0);
+   }
+   if (!price.has_value()) {
+      REQUIRE(state.child_state().has_value());
+   }
+   return test_params::Fill(
+      qty.has_value() ? qty.value() : state.child_state().value().active_qty(),
+      price.has_value() ? price.value() : state.child_state().value().cstate.price.value());
+}
+} // namespace fills
+} // namespace test_params
+
+/////////////////////
+// Order Selectors
+/////////////////////
+namespace order_selectors {
+std::vector<OrderKey> child(const LimitCoverState& state) {
+   std::vector<OrderKey> rv;
+   if (state.has_been_deployed()) {
+      rv.push_back(state.child());
+   }
+   return rv;
+}
+std::vector<OrderKey> self(const LimitCoverState&) {
+   std::vector<OrderKey> rv;
+   rv.push_back(null_order_key());
+   return rv;
+}
+} // namespace order_selectors
+
+/////////////////////////
+// Order Ops (step impls)
+/////////////////////////
+namespace ops {
+void begin_launch(LimitCoverState& state) {
+   REQUIRE(state.driver.before_launch().ok());
+}
+
+void launch(LimitCoverState& state) {
+   state.driver.launch();
+}
+
+void breech_activation_thresh(LimitCoverState& state, uint32_t thresh_count, int offset) {
+   auto book = state.book();
+   REQUIRE(!os::is_nan(state.limit_price()));
+   auto gate_it = state.gates().upper_bound(state.limit_volume());
+   REQUIRE(gate_it != state.gates().end());
+   while (thresh_count-- > 0 && gate_it != state.gates().end())
+      gate_it++;
+   auto thresh = gate_it->first + offset;
+   int gi = 1;
+   auto& bs = book.side(state.side());
+   if (bs[0].size() == 0) {
+      bs[0] = price_size(state.limit_price(), thresh);
+   } else if (BookUtils::price_comp(state.side())(state.limit_price(), bs[0].price())) {
+      // shift existing levels down 1 index,
+      // put the limit volume at the top
+      for (int i = bs.size() - 1; i > 0; i--) {
+         bs[i] = bs[i - 1];
+      }
+      bs[0] = price_size(state.limit_price(), thresh);
+   } else {
+      // add the difference to the qty for the best price
+      bs[0] = price_size(bs[0].price(), bs[0].size() + thresh - state.limit_volume());
+   }
+   state.book(book);
+}
+
+void fill_child(LimitCoverState& state, uint32_t qty, double price, bool allow_overfill) {
+   SUMMARIZE("filling child: ", Formatter::fmt_order(state.side(), qty, price));
+   bts_assert(os::is_finite(price));
+   bts_assert(qty > 0);
+   REQUIRE(state.has_been_deployed());
+   REQUIRE(!state.is_terminated());
+   uint32_t orig_filled_qty = state.driver.total_fills().value();
+   if (state.child_state().has_value()) {
+      auto cs = state.child_state().value();
+      REQUIRE(((cs.cstate.total_fills.value() - cs.cstate.fills_at_attach_time.value()) == orig_filled_qty));
+      if (!allow_overfill) {
+         REQUIRE(cs.active_qty() >= qty);
+      }
+   } else {
+      REQUIRE(orig_filled_qty == 0);
+   }
+   state.driver.fill(state.child(), Price(price), Quantity(qty));
+}
+
+void fill_child(LimitCoverState& lcs, uint32_t qty, bool allow_overfill) {
+   fill_child(lcs, qty, lcs.limit_price(), allow_overfill);
+}
+
+void cancel_child(LimitCoverState& state) {
+   REQUIRE(state.has_been_deployed());
+   REQUIRE(!state.is_terminated());
+   state.driver.cancel_child(state.child());
+   REQUIRE(state.driver.state() == AlgoState::TERMINATED);
+}
+
+void complete(LimitCoverState& state) {
+   REQUIRE(state.has_been_deployed());
+   REQUIRE(!state.is_terminated());
+   REQUIRE(state.driver.quantity().value() > state.driver.total_fills().value());
+   fill_child(state, state.driver.quantity().value() - state.driver.total_fills().value());
+   REQUIRE(state.driver.state() == AlgoState::COMPLETED);
+}
+} // namespace ops
+
+/////////////////////
+// Test Steps
+/////////////////////
+namespace test_steps {
+// Begin Launch
+std::string BeginLaunch::name() const { return "Begin Launch"; }
+void BeginLaunch::execute_core(LimitCoverState &state) const { ops::begin_launch(state); }
+
+// Launch
+std::string Launch::name() const { return "Launch"; }
+void Launch::execute_core(LimitCoverState &state) const { ops::launch(state); } 
+
+// Breech Activation Threshold
+std::string BreechActivationThresh::name() const {
+   std::stringstream title;
+   title << "Breech Activation Threshold " << (thresh_count + 1);
+   if (offset > 0) {
+      title << " (+" << offset << ")";
+   } else if (offset < 0) {
+      title << " (" << offset << ")";
+   }
+   return title.str();
+}
+void BreechActivationThresh::execute_core(LimitCoverState &state) const {
+   ops::breech_activation_thresh(state, thresh_count, offset);
+}
+
+// Fill
+std::string Fill::name() const { return "Fill"; }
+void Fill::execute_core(LimitCoverState &state) const {
+   auto p = get_params(state);
+   ops::fill_child(state, p.quantity, p.price);
+}
+
+// Complete
+std::string Complete::name() const { return "Complete"; }
+void Complete::execute_core(LimitCoverState &state) const {
+   ops::complete(state);
+}
+
+// Cancel Child
+std::string CancelChild::name() const { return "Cancel Child"; }
+void CancelChild::execute_core(LimitCoverState& state) const {
+   ops::cancel_child(state);
+}
+
+// Cancel Algo
+std::string CancelAlgo::name() const { return "Cancel Algo"; }
+void CancelAlgo::execute_core(LimitCoverState& state) const {
+   state.driver.cancel();
+   REQUIRE(state.driver.state() == AlgoState::CANCELED);
+}
+} // namespace test_steps
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/limit_cover/TestSteps.h

@@ -0,0 +1,126 @@
+#pragma once
+#include "catch/catch.hpp"
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/orders/algo/algo_orders/tests/limit_cover/LimitCoverState.h"
+#include <functional>
+#include <iostream>
+#include <optional>
+#include <string>
+#include <vector>
+
+namespace bts {
+namespace orderman {
+namespace test {
+namespace limit_cover {
+// In Visual Studio, intellisense and syntax highlighting don't work (at all)
+// when <optional> is included, unless 'using namespace std;' is specified.
+using namespace std;
+
+struct ITestStep {
+   virtual std::string name() const;
+   void execute(LimitCoverState& state) const;
+protected:
+   virtual void assert_pre_conditions_core(const LimitCoverState&) const;
+   virtual void execute_core(LimitCoverState&) const;
+   virtual void assert_post_conditions_core(const LimitCoverState&) const;
+private:
+   void assert_pre_conditions(const LimitCoverState& state) const;
+   void assert_post_conditions(const LimitCoverState& state) const;
+   void _execute(LimitCoverState& state) const;
+};
+
+std::ostream& operator<<(std::ostream& ostr, const ITestStep& ts);
+LimitCoverState& operator<<(LimitCoverState& state, const ITestStep& ts);
+
+namespace order_selectors {
+std::vector<OrderKey> child(const LimitCoverState &lcs);
+std::vector<OrderKey> self(const LimitCoverState &);
+} // namespace order_selectors
+
+namespace ops {
+void begin_launch(LimitCoverState& lcs);
+void launch(LimitCoverState& lcs);
+void breech_activation_thresh(LimitCoverState& lcs, uint32_t thresh_count = 0, int offset = 0);
+
+void fill_child(LimitCoverState& lcs, uint32_t qty, double price, bool allow_overfill = false);
+void fill_child(LimitCoverState& lcs, uint32_t qty, bool allow_overfill = false);
+
+void cancel_child(LimitCoverState& state);
+void complete(LimitCoverState& lcs);
+}
+
+namespace test_params {
+struct Fill {
+   uint32_t quantity;
+   double price;
+
+   Fill(uint32_t quantity, double price)
+      : quantity(quantity), price(price) {}
+};
+
+namespace fills {
+Fill child(const LimitCoverState& state, optional<uint32_t> qty = {}, optional<double> price = {});
+} // namespace fills
+} // namespace test_params
+namespace test_steps {
+struct BeginLaunch : public ITestStep {
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct Launch : public ITestStep {
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct BreechActivationThresh : public ITestStep {
+   uint32_t thresh_count;
+   int offset;
+
+   BreechActivationThresh(uint32_t thresh_count = 0, int offset = 0)
+      : thresh_count(thresh_count), offset(offset) { }
+
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct Fill : public ITestStep {
+   std::function<test_params::Fill(const LimitCoverState&)> get_params;
+
+   Fill(std::function<test_params::Fill(const LimitCoverState&)> get_params)
+      : get_params(get_params) {}
+
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct Complete : public ITestStep {
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct CancelChild : public ITestStep {
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct CancelAlgo : public ITestStep {
+   std::string name() const override;
+   void execute_core(LimitCoverState& state) const override;
+};
+
+struct Custom : public ITestStep {
+   Custom(std::string name, std::function<void(LimitCoverState&)> impl)
+      : _name(name), _impl(impl) { }
+
+   std::string name() const override { return _name; }
+   void execute_core(LimitCoverState& state) const override { _impl(state); }
+private:
+   std::string _name;
+   std::function<void(LimitCoverState&)> _impl;
+};
+} // namespace test_steps
+} // namespace limit_cover
+} // namespace test
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/algo/algo_orders/tests/splitter_tests.cpp

@@ -577,7 +577,7 @@ TEST_CASE("Increase then decrease", "[algo][splitter]") {
 
    // Set up some instant fills
    bool applied_second_update = false;
-   state.on_child_launching([&, update](const auto &) mutable {
+   state.on_child_launching([&, update](const auto &, auto, auto) mutable {
       if (!applied_second_update) {
          applied_second_update = true;
          update.mutable_custom()->mutable_splitter()->set_exposed_qty(350);

src/lib/orderman/orders/algo/utils/DynamicOrderAdapter.h

@@ -0,0 +1,215 @@
+#pragma once
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/orderman/orderman_utils/orderman_utils.h"
+#include "lib/plugin/SparkServices.h"
+#include "lib/utils/bts_assert.h"
+#include <functional>
+#include <map>
+#include <cstdarg>
+#include <utility>
+#include <vector>
+
+namespace bts {
+namespace orderman {
+namespace dynamic_adapter {
+#define NOT_IMPLEMENTED bts_assert_msg(false, "Not implemented.")
+#define _CONCAT_(x,y) x##y
+#define VALUE_CASE(x) bts::api::orderman::DynamicOrderParam::_CONCAT_(kAs,x)
+
+#define VALIDATE_PROTO(x,y)\
+template<> inline bool validate_proto<x>(const bts::api::orderman::DynamicOrderParam& p) { return p.value_case() == VALUE_CASE(y); }
+
+#define _ASSIGN_TO_PROTO_(x,y)\
+template<> inline void assign_to_proto<x>(bts::api::orderman::DynamicOrderParam& param, x value) { param.y(value); }
+#define ASSIGN_TO_PROTO(x,y) _ASSIGN_TO_PROTO_(x,_CONCAT_(set_as_,y))
+
+#define _GET_FROM_PROTO_(x,y)\
+template<> inline x get_from_proto<x>(const bts::api::orderman::DynamicOrderParam& param) { return param.y(); }
+#define GET_FROM_PROTO(x,y) _GET_FROM_PROTO_(x,_CONCAT_(as_,y))
+
+#define _DEFINE_PARAM_(x,y)\
+template<> inline void define_param<x>(bts::api::orderman::DynamicOrderDescriptor& desc, std::string name) {\
+   *desc.add_param_desc() = y(name);\
+}
+#define DEFINE_PARAM(x,y) _DEFINE_PARAM_(x,_CONCAT_(param_,y))
+
+#define PRIMITIVE_PROTO_IMPL(x,y,z)\
+VALIDATE_PROTO(x,z)\
+ASSIGN_TO_PROTO(x,y)\
+GET_FROM_PROTO(x,y)\
+DEFINE_PARAM(x,y)
+
+using CustomOrderDefinition = bts::api::orderman::CustomOrderDefinition;
+using DynamicOrderParam = bts::api::orderman::DynamicOrderParam;
+using DynamicOrderEnumerated = bts::api::orderman::DynamicOrderEnumerated;
+
+template<class T> inline bool validate_proto(const DynamicOrderParam&) { NOT_IMPLEMENTED; return false; }
+template<class T> inline void assign_to_proto(DynamicOrderParam&, T) { NOT_IMPLEMENTED; }
+template<class T> inline T get_from_proto(const api::orderman::DynamicOrderParam&) { NOT_IMPLEMENTED; return T(); }
+template<class T> inline void define_param(bts::api::orderman::DynamicOrderDescriptor&, std::string) { NOT_IMPLEMENTED; }
+
+// primitives
+PRIMITIVE_PROTO_IMPL(int, int32, Int32)
+PRIMITIVE_PROTO_IMPL(uint32_t, uint32, Uint32)
+PRIMITIVE_PROTO_IMPL(double, double, Double)
+PRIMITIVE_PROTO_IMPL(bool, bool, Bool)
+
+// order def
+VALIDATE_PROTO(bts::api::orderman::CustomOrderDefinition, OrderDef)
+GET_FROM_PROTO(bts::api::orderman::CustomOrderDefinition, order_def)
+template<> inline void assign_to_proto<CustomOrderDefinition>(DynamicOrderParam& param, CustomOrderDefinition value) {
+   *(param.mutable_as_order_def()) = value;
+}
+template<> inline void define_param<CustomOrderDefinition>(api::orderman::DynamicOrderDescriptor& desc, std::string name) {
+   *desc.add_param_desc() = param_order(name);
+}
+
+// enumerated
+VALIDATE_PROTO(bts::api::orderman::DynamicOrderEnumerated, Enumerated)
+GET_FROM_PROTO(bts::api::orderman::DynamicOrderEnumerated, enumerated)
+template<> inline void assign_to_proto<DynamicOrderEnumerated>(DynamicOrderParam& param, DynamicOrderEnumerated value) {
+   *(param.mutable_as_enumerated()) = value;
+}
+
+template<class TDef, class TValue>
+struct ParamKey {
+   ParamKey(std::string name, std::function<TValue(const TDef&)> get, std::function<void(TDef&, TValue)> set)
+      : _name(name), _get(get), _set(set) { }
+
+   const std::string& name() const { return _name; }
+   virtual void assign_to_def(const api::orderman::DynamicOrderParam& param, TDef& def) {
+      if (dynamic_adapter::validate_proto<TValue>(param))
+         _set(def, get_from_proto<TValue>(param));
+   }
+   virtual void assign_to_proto(const TDef& def, api::orderman::DynamicOrderParam& param) {
+      dynamic_adapter::assign_to_proto<TValue>(param, _get(def));
+   }
+   virtual void assign_to_proto(const TDef& def, api::orderman::DynamicOrderDefinition& dyn) {
+      api::orderman::DynamicOrderParam dop;
+      assign_to_proto(def, dop);
+      (*dyn.mutable_order_params())[name()] = dop;
+   }
+   virtual void define_param(api::orderman::DynamicOrderDescriptor& desc) {
+      dynamic_adapter::define_param<TValue>(desc, name());
+   }
+   virtual bool validate_proto(const api::orderman::DynamicOrderDefinition& dyn) {
+      auto it = dyn.order_params().find(name());
+      return it != dyn.order_params().end() && dynamic_adapter::validate_proto<TValue>(it->second);
+   }
+
+private:
+   std::string _name;
+   std::function<TValue(const TDef&)> _get;
+   std::function<void(TDef&, TValue)> _set;
+};
+
+template<class TDef, class TValue>
+struct EnumParamKey : public ParamKey<TDef, TValue> {
+   EnumParamKey(std::string name, std::vector<std::pair<TValue, std::string>> named_values, std::function<TValue(const TDef&)> get, std::function<void(TDef&, TValue)> set)
+      : ParamKey<TDef, TValue>(name, get, set), _name(name), _named_values(named_values), _get(get), _set(set) {
+   }
+
+   void assign_to_def(const api::orderman::DynamicOrderParam& param, TDef& def) override {
+      if (dynamic_adapter::validate_proto<DynamicOrderEnumerated>(param))
+         _set(def, _from_proto(param.as_enumerated()));
+   }
+
+   void assign_to_proto(const TDef& def, api::orderman::DynamicOrderParam& param) override {
+      dynamic_adapter::assign_to_proto(param, _to_proto(_get(def)));
+   }
+
+   void assign_to_proto(const TDef& def, api::orderman::DynamicOrderDefinition& dyn) override {
+      api::orderman::DynamicOrderParam param;
+      assign_to_proto(def, param);
+      (*dyn.mutable_order_params())[_name] = param;
+   }
+
+   void define_param(api::orderman::DynamicOrderDescriptor& order_desc) override {
+      // enum desc
+      api::orderman::DynamicOrderEnumeratedDescriptor enum_desc;
+      for (auto& p : _named_values) {
+         enum_desc.add_element(p.second);
+      }
+      // param type desc
+      api::orderman::DynamicOrderTypeDescriptor param_type_desc;
+      *param_type_desc.mutable_enumerated() = enum_desc;
+      // param desc
+      api::orderman::DynamicOrderParamDescriptor param_desc;
+      param_desc.set_param_name(_name);
+      *param_desc.mutable_param_type() = param_type_desc;
+      // order desc
+      *order_desc.add_param_desc() = param_desc;
+   }
+
+   bool validate_proto(const api::orderman::DynamicOrderDefinition& dyn) override {
+      auto it = dyn.order_params().find(_name);
+      return it != dyn.order_params().end() && it->second.value_case() == VALUE_CASE(Enumerated);
+   }
+
+private:
+   std::string _name;
+   std::vector<std::pair<TValue, std::string>> _named_values;
+
+   DynamicOrderEnumerated _to_proto(TValue v) {
+      DynamicOrderEnumerated deo;
+      for (auto p : _named_values) {
+         if (p.first == v) {
+            deo.set_enum_value(p.second);
+            break;
+         }
+      }
+      return deo;
+   }
+
+   TValue _from_proto(const std::string& enum_name) {
+      for (auto p : _named_values) {
+         if (p.second == enum_name)
+            return p.first;
+      }
+      bts_assert_msg(false, "Failed to match enum name to enum value.");
+      return TValue();
+   }
+   TValue _from_proto(DynamicOrderEnumerated deo) {
+      return _from_proto(deo.enum_value());
+   }
+
+   std::function<TValue(const TDef&)> _get;
+   std::function<void(TDef&, TValue)> _set;
+};
+
+template<class TParam, class... TNextParam>
+inline void define_proto(api::orderman::DynamicOrderDescriptor& desc, TParam param, TNextParam... next_param) {
+   param.define_param(desc);
+   (define_proto(desc, next_param), ...);
+}
+
+template<class TDef, class TParam, class... TNextParam>
+inline void from_proto(const google::protobuf::Map<std::string, api::orderman::DynamicOrderParam>& map, TDef& def, TParam param, TNextParam... next_param) {
+   auto pit = map.find(param.name());
+   if (pit != map.end()) {
+      param.assign_to_def(pit->second, def);
+   }
+   (from_proto(map, def, next_param), ...);
+}
+
+template<class TDef, class TParam, class... TNextParam>
+inline void to_proto(api::orderman::DynamicOrderDefinition& dyn, const TDef& def, TParam param_key, TNextParam... next_param) {
+   param_key.assign_to_proto(def, dyn);
+   (to_proto(dyn, def, next_param), ...);
+}
+
+template<class TParam, class... TNextParam>
+inline bool validate_proto(const api::orderman::DynamicOrderDefinition& dyn, TParam param, TNextParam... next_param) {
+   return param.validate_proto(dyn) && validate_proto(dyn, next_param...);
+}
+
+template<typename TDef, typename... T>
+struct DynamicOrderAdapter {
+   void define_proto(api::orderman::DynamicOrderDescriptor& desc) { (dynamic_adapter::define_proto(desc, T()), ...); }
+   void from_proto(const api::orderman::DynamicOrderDefinition& dyn, TDef& def) { (dynamic_adapter::from_proto(dyn.order_params(), def, T()), ...); }
+   void to_proto(api::orderman::DynamicOrderDefinition& dyn, const TDef& def) { (dynamic_adapter::to_proto(dyn, def, T()), ...); }
+   bool validate_proto(const api::orderman::DynamicOrderDefinition& dyn) { return (T().validate_proto(dyn), ...); }
+};
+} // namespace dynamic_adapter
+} // namespace orderman
+} // namespace bts

src/sdk/disable_onixs.py

@@ -2,7 +2,7 @@
 
 import sys
 f = open(sys.argv[1], 'rb+')
-license = '5E50A1DACD94D7C1BECD316EEAE5AB02'
+license = '1C9210495AA3C9C884B7A37A4C7AD8F9'
 data = f.read()
 match =  data.find(license)
 if match > 0:

src/sdk/examples/client_sdk/bts.api.csharp/Directory.Build.Props

@@ -0,0 +1,14 @@
+<Project>
+  <PropertyGroup>
+    <CSharpAPIRoot>$(MSBuildThisFileDirectory)</CSharpAPIRoot>
+    <Configuration Condition="'$(configuration)'==''">Debug</Configuration>
+  </PropertyGroup>
+  
+  <PropertyGroup Label="Output">
+    <BaseOutputPath>$(CSharpAPIRoot)\build\$(Configuration)</BaseOutputPath>
+    <OutputPath>$(BaseOutputPath)\bin</OutputPath>
+    <BaseIntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</BaseIntermediateOutputPath>
+    <IntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</IntermediateOutputPath>
+    <GenDir>$(BaseOutputPath)\gen\$(MSBuildProjectName)</GenDir>
+  </PropertyGroup>
+</Project>

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

@@ -0,0 +1,25 @@
+
+Microsoft Visual Studio Solution File, Format Version 12.00
+# Visual Studio Version 16
+VisualStudioVersion = 16.0.30104.148
+MinimumVisualStudioVersion = 10.0.40219.1
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "bts.api.csharp", "src/bts.api.csharp.csproj", "{2B9FECC6-16F4-4B85-92BF-62AAA2B7652D}"
+EndProject
+Global
+	GlobalSection(SolutionConfigurationPlatforms) = preSolution
+		Debug|Any CPU = Debug|Any CPU
+		Release|Any CPU = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(ProjectConfigurationPlatforms) = postSolution
+		{2B9FECC6-16F4-4B85-92BF-62AAA2B7652D}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{2B9FECC6-16F4-4B85-92BF-62AAA2B7652D}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{2B9FECC6-16F4-4B85-92BF-62AAA2B7652D}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{2B9FECC6-16F4-4B85-92BF-62AAA2B7652D}.Release|Any CPU.Build.0 = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(SolutionProperties) = preSolution
+		HideSolutionNode = FALSE
+	EndGlobalSection
+	GlobalSection(ExtensibilityGlobals) = postSolution
+		SolutionGuid = {FC6CE0CA-B0CB-44E3-8176-1D759D05AAD4}
+	EndGlobalSection
+EndGlobal

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

@@ -0,0 +1,15 @@
+<Project Sdk="Microsoft.NET.Sdk">
+
+  <PropertyGroup>
+    <TargetFrameworks>netcoreapp2.1;netcoreapp3.1</TargetFrameworks>
+    <OutputType>Exe</OutputType>
+  </PropertyGroup>
+
+  <ItemGroup>
+    <PackageReference Include="CommandLineParser" Version="2.8.0" />
+    <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.Linq" Version="4.4.1" />
+  </ItemGroup>
+</Project>

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

@@ -0,0 +1,23 @@
+using System;
+
+namespace bts.api.csharp {
+   readonly struct NameIDPair {
+      public NameIDPair(string name, uint id) {
+         this.name = name ?? throw new ArgumentNullException(nameof(name));
+         this.id = id;
+      }
+
+      public string name { get; }
+      public uint id { get; }
+   }
+
+   static class Users {
+      public static NameIDPair Default =>
+         new NameIDPair("bts", 1);
+   }
+
+   static class Accounts {
+      public static NameIDPair Default =>
+         new NameIDPair("TEST", 1);
+   }
+}

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

@@ -0,0 +1,74 @@
+using bts.api.core;
+using bts.api.csharp.examples;
+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;
+         }
+      }
+
+      class Options {
+         [Option("subscribe-securities", Required = false, HelpText = "run security-subscription example.")]
+         public bool subscribe_securities { get; set; }
+
+         [Option("subscribe-orders", Required = false, HelpText = "run order-subscription example.")]
+         public bool subscribe_orders { get; set; }
+
+         [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;
+      }
+   }
+}

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

@@ -0,0 +1,60 @@
+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

@@ -0,0 +1,139 @@
+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

@@ -0,0 +1,125 @@
+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

@@ -0,0 +1,48 @@
+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));
+         }
+      }
+   }
+}