Default PIQ column to not visible

SPARK-2361 ladder - hidden PIQ column causes bids not to work

Approved-by: Jake Norbut <jake.norbut@bluetradesys.com>

src/client/spark/view/Spark/Ladder/LadderGridHost.cs

@@ -97,7 +97,7 @@ namespace mbts.spark {
 
       public event Action visible_columns_changed;
 
-      public IEnumerable<ColumnType> visible_columns =>
+      public IEnumerable<ColumnType> visible_column_types =>
          columns.Where(c => c.settings.show)
          .Select(c => c.column_type);
 
@@ -253,6 +253,7 @@ namespace mbts.spark {
       #endregion
 
       Column[] columns { get; set; } = new Column[0];
+      IEnumerable<Column> _visible_columns => columns.Where(c => c.settings.show);
 
       public void drag_out_of_bounds() =>
          _tactile_adorner?.drag_out_of_bounds();
@@ -330,7 +331,7 @@ namespace mbts.spark {
 
       #region Column Utility Methods
       Column _column_for_point(Point point) =>
-         columns.FirstOrDefault(c => c.x_right > point.X, columns.Length > 0 ? columns[columns.Length - 1] : Column.Empty);
+         _visible_columns.FirstOrDefault(c => c.x_right > point.X, columns.Length > 0 ? columns[columns.Length - 1] : Column.Empty);
 
       double _column_start(ColumnType col_type) =>
          columns.TakeWhile(c => c.column_type != col_type).Sum(c => c.settings.width);
@@ -913,4 +914,4 @@ namespace mbts.spark {
          }
       }
    }
-}
+}

src/client/spark/view/Spark/Ladder/LadderSettings.cs

@@ -38,6 +38,14 @@ namespace mbts.spark {
          font_weight = FontWeights.SemiBold.ToOpenTypeWeight()
       };
 
+      public static LadderColumnSettings DefaultPiqColumnSettings => new LadderColumnSettings {
+         show = false,
+         width = 50,
+         font_family = "Segoe UI",
+         font_size = 10,
+         font_weight = FontWeights.SemiBold.ToOpenTypeWeight()
+      };
+
       [ProtoMember(1)]
       public bool show { get; set; }
       [ProtoMember(2)]
@@ -250,7 +258,7 @@ namespace mbts.spark {
                ask_column = LadderColumnSettings.Default,
                price_column = LadderColumnSettings.Default,
                last_column = LadderColumnSettings.Default,
-               piq_column = LadderColumnSettings.Default;
+               piq_column = LadderColumnSettings.DefaultPiqColumnSettings;
             orders_column.background = BTSColors.LadderSpecial.default_column_background;
             bid_column.foreground = 0xFFFFFF;
             bid_column.background = BTSColors.MarketData.bid;

src/client/spark/view/Spark/Ladder/LadderView.xaml.cs

@@ -15,7 +15,7 @@ namespace mbts.spark {
          InitializeComponent();
          _column_headers_presenter.Columns = new GridViewColumnCollection();
          _ladder.visible_columns_changed += () => _column_headers_presenter.Columns.SetItems(
-            _ladder.visible_columns.Select(t => ColumnFactory.create(_ladder, t)));
+            _ladder.visible_column_types.Select(t => ColumnFactory.create(_ladder, t)));
          this.vm = vm;
          DataContext = vm;
          DataContextChanged += datacontext_changed;

src/client/spark_api/Co2/Co2NativeMethods.cs

@@ -35,6 +35,7 @@ namespace mbts.co2
          public readonly IntPtr hot;
          public readonly IntPtr cold_data;
          public readonly IntPtr cold_header;
+         private readonly IntPtr unused_mbo;
       }
 
       [DllImport("libspark")]

src/client/spark_test/System/LimitsTests.cs

@@ -78,7 +78,7 @@ namespace bts.tests
          return securities;
       }
 
-   [Test(Timeout = 30)]
+      [Test(Timeout = 30)]
       public async Task test_position_limits() {
          string test_symbol = "CL";
 

src/client/sparkcmd/Cmd/OrderStress.cs

@@ -0,0 +1,157 @@
+using bts.api;
+using bts.api.core;
+using bts.api.orderman;
+using bts.co2;
+using bts.test;
+using CommandLine;
+using mbts.co2;
+using mbts.config;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Threading.Tasks;
+
+namespace bts {
+
+   [Verb("orderstress", HelpText = "Create a bunch of orders")]
+   public class OrderStressOptions {
+      // Maybe options to create fewer orders or sleep
+
+      [Option('s', "sleep", HelpText = "Sleep ms between order submission", Default = 100)]
+      public int sleep { get; set; }
+
+      [Option('d', "depth", HelpText = "How many orders per side", Default = 10u)]
+      public uint depth { get; set; }
+
+      [Option('q', "quanityt", HelpText = "Order quantity", Default = 1u)]
+      public uint quantity { get; set; }
+   };
+
+   public struct Market {
+      public SecurityImmutable security;
+      public IntPrice? bid;
+      public IntPrice? ask;
+   }
+
+   public static class OrderStress {
+      static IEnumerable<Market> all_markets(ServiceContext ctx) {
+         var channels =
+            UserSymbol.get_all()
+            .Select(u =>
+               new SecurityChannel() {
+                  Time = 0,
+                  Flags = (int)(MDRequest.Types.Flags.Direct | MDRequest.Types.Flags.Implied),
+                  Type = u.type,
+                  Symbol = u.symbol,
+                  Exchange = u.exchange
+               }
+            );
+         var request = new MDRequest() { Host = "system_test" };
+         request.Channels.AddRange(channels);
+
+         var relay = ctx.locate<MarketDataRelay>();
+         System.Threading.Thread.Sleep(100);
+         var result = relay.requestmd(request);
+
+         foreach (var ch in result.Channels) {
+            foreach (var update in ch.Updates) {
+               if (update.Security != null) {
+                  var m = new Market() {
+                     security = new SecurityImmutable(update.Security),
+                     bid = best(
+                        (a,b) => a > b ? a : b,
+                        update.Direct?.Bids?.FirstOrDefault(), update.Implied?.Bids?.FirstOrDefault()),
+                     ask = best(
+                        (a,b) => a < b ? a : b,
+                        update.Direct?.Asks?.FirstOrDefault(), update.Implied?.Asks?.FirstOrDefault())
+                  };
+                  if (m.bid.HasValue || m.ask.HasValue) {
+                     yield return m;
+                  }
+               }
+            }
+         }
+      }
+
+      private static IntPrice? best(Func<IntPrice, IntPrice,IntPrice> comp, params PriceSizeMessage[] ps) {
+         IntPrice? result = null;
+         foreach (var p in ps) {
+            if (p != null) {
+               var ip = new IntPrice(p.Mantissa, (sbyte)p.Exponent);
+               if (result == null) {
+                  result = ip;
+               }
+               else {
+                  result = comp(result.Value, ip);
+               }
+            }
+         }
+         return result;
+      }
+
+      static Create mkorder(uint security, double price, uint size, Side side) {
+         return new Create {
+            Price = price,
+            Quantity = size,
+            NewOrder = new OrderDefinition {
+               SecurityKey = security,
+               Side = side,
+               TimeInForce = TimeInForce.Day,
+               ManualOrderIndicator = ManualOrderIndicator.Yes,
+               CtiCode = CTICode.CtiCode1,
+               CustomerOrFirm = CustomerOrFirm.Firm,
+               AccountId = 1,
+               UserId = 1,
+               CustomDef = new CustomOrderDefinition {
+                  Limit = new LimitOrderDefinition()
+               }
+            }
+         };
+      }
+
+      public static int Run(OrderStressOptions o) {
+
+         var ctx = new ServiceContext();
+         ConsoleEx.WriteLine("Please log in to Spark", ConsoleColor.Yellow);
+         ConsoleEx.Write("Username: ", ConsoleColor.Yellow);
+         var name = Console.ReadLine();
+         ConsoleEx.Write("Password: ", ConsoleColor.Yellow);
+         var pw = Console.ReadLine();
+
+         var login_result = ctx.login(name, pw);
+         if (!login_result.Result.success) {
+            ConsoleEx.WriteLine("Invalid Credentials", ConsoleColor.Red);
+         }
+
+         if (Configuration.get<config.DeploymentType>().type.ToUpper() == "PROD") {
+            ConsoleEx.WriteLine("Refusing to run on production system", ConsoleColor.Red);
+            return -1;
+         }
+
+         var orders = ctx.locate<OrderService>();
+         foreach (var m in all_markets(ctx)) {
+            ConsoleEx.WriteLine(m.security.security_desc(), ConsoleColor.White);
+            var tick = m.security.ContractSpec.LowTick;
+            if (m.bid.HasValue) {
+               // start at bid and place 1 order at 10 levels
+               for (var x=0; x < o.depth; ++x) {
+                  var price = m.bid.Value.price() - (tick * x);
+                  ConsoleEx.WriteLine($"Buy {o.quantity} at {price}", ConsoleColor.Blue);
+                  orders.create_order_async(mkorder(m.security.Id, price, o.quantity, Side.Buy));
+                  System.Threading.Thread.Sleep(o.sleep);
+               }
+            }
+            if (m.ask.HasValue) {
+               for (var x = 0; x < o.depth; ++x) {
+                  var price = m.ask.Value.price() + (tick * x);
+                  ConsoleEx.WriteLine($"Sell {o.quantity} at {price}", ConsoleColor.Red);
+                  orders.create_order_async(mkorder(m.security.Id, price, o.quantity, Side.Sell));
+                  System.Threading.Thread.Sleep(o.sleep);
+               }
+            }
+         }
+         return 3;
+      }
+   }
+
+}

src/client/sparkcmd/Program.cs

@@ -13,47 +13,29 @@ using System.Reflection;
 namespace sparkcmd {
    class Program {
 
-      static object option<T>(Func<T, int> run) { return run; }
-      static Type argType(object arg) {
-         return arg.GetType().GetGenericArguments().First();
-      }
-      static int Run(Func<IEnumerable<Error>, int> on_error, params Type[] runners) {
-         var run_methods =
-            runners
-            .Select(r => r.GetMethod("Run", BindingFlags.Static | BindingFlags.Public))
-            .ToList();
-         var args =
-            run_methods
-            .Select(m => m.GetParameters().First().GetType());
-
-         var parser = Parser.Default.GetType().GetMethod("ParseArguments", new[] { typeof(IEnumerable<string>) });
-
-         //var types = args.Select(argType).ToArray();
-         //var parse = CommandLine.Parser.Default.GetType().GetMethod("ParseArguments", BindingFlags.Public).MakeGenericMethod(types);
-         return 3;
-      }
+      // static object option<T>(Func<T,int> run) {return run;}
+      // static Type argType(object arg) {
+      //    return arg.GetType().GetGenericArguments().First();
+      // }
+      // static int Run(Func<IEnumerable<Error>,int> on_error, params object[] args) {
+      //    var types = args.Select(argType).ToArray();
+      //    var parse = CommandLine.Parser.Default.GetType().GetMethod("ParseArguments", BindingFlags.Public).MakeGenericMethod(types);
+      //    return 3;
+      // }
       static int Main(string[] args) {
          mbts.utils.BTSNativeMethods.provide_command_line(args, args.Length);
-
-         //return Parser.Default
-         //.ParseArguments<ConfigcheckOptions,ScriptClientOptions,TailServiceOptions,ServiceTestOptions,SettingsManagerOptions,TestCommandOptions>(args)
-         //.MapResult<ConfigcheckOptions,ScriptClientOptions,TailServiceOptions,ServiceTestOptions,SettingsManagerOptions,TestCommandOptions,int>(
-         //   Configcheck.Run,
-         //   ScriptClientCommand.Run,
-         //   TailService.Run,
-         //   ServiceTest.Run,
-         //   SettingsManagerCommand.Run,
-         //   TestCommand.Run,
-         //   errors => 1);
-
-         return Run(
-            errors => 1,
-            typeof(Configcheck),
-            typeof(ScriptClientCommand),
-            typeof(TailService),
-            typeof(ServiceTest),
-            typeof(SettingsManagerCommand),
-            typeof(TestCommand));
+         // note: this can be made to infer the options type list from the list of delegates
+         return Parser.Default
+         .ParseArguments<ConfigcheckOptions,ScriptClientOptions,TailServiceOptions,ServiceTestOptions,SettingsManagerOptions,TestCommandOptions,OrderStressOptions >(args)
+         .MapResult<ConfigcheckOptions,ScriptClientOptions,TailServiceOptions,ServiceTestOptions,SettingsManagerOptions,TestCommandOptions,OrderStressOptions,int>(
+            Configcheck.Run,
+            ScriptClientCommand.Run,
+            TailService.Run,
+            ServiceTest.Run,
+            SettingsManagerCommand.Run,
+            TestCommand.Run,
+            OrderStress.Run,
+            errors => 1);
       }
    }
 }

src/lib/api/public/Update.h

@@ -81,11 +81,6 @@ namespace api {
                for (size_t x = 0; x < raw.added_keys.size(); ++x) {
                   (*state)[raw.added_keys[x]] = raw.added_items[x];
                }
-               std::vector<T> all;
-               all.reserve(state->size());
-               for (const auto& item : *state) {
-                  all.push_back(item.second);
-               }
                //
                // Change
                std::vector<Change<T>> changed;
@@ -94,6 +89,13 @@ namespace api {
                   changed.push_back(Change<T>{(*state)[raw.changed_keys[x]], raw.changed_items[x]});
                   (*state)[raw.changed_keys[x]] = raw.changed_items[x];
                }
+               //
+               // All
+               std::vector<T> all;
+               all.reserve(state->size());
+               for (const auto& item : *state) {
+                  all.push_back(item.second);
+               }
                
                return Update<T, TKey, ServiceType>(all, raw.added_items, changed, removed);
             }

src/lib/md/MBOServiceServer.cpp

@@ -148,14 +148,14 @@ std::optional<uint32_t> search_orders(const ExchangeOrderKey oid, const std::vec
       const auto& oo = orders[x];
       if (oo.id == oid) {
          if (oo.price == price) return { position };
-         else return 0 ;
+         else return 0;
       }
       else if (price == oo.price) {
-         position += 1;
+         position += oo.size;
       }
       else {
          price = oo.price;
-         position = 1;
+         position = oo.size;
       }
    }
    return std::nullopt;

src/lib/md/MBOServiceServer.h

@@ -2,6 +2,7 @@
 #include "lib/api/public/ServiceContext.h"
 #include "lib/api/services/MBOService.server.pb.h"
 #include <memory>
+#include <optional>
 
 namespace bts { 
 namespace utils { class Dispatcher; }
@@ -24,4 +25,5 @@ class MBOServiceServer : public MBOServiceBase {
 
 };
 
+
 }} //namespace 

src/lib/md/test/mbo_tests.cpp

@@ -9,6 +9,10 @@
 
 namespace bts {
 namespace md {
+
+// fwd declare from MBOServiceServer.cpp
+std::optional<uint32_t> search_orders(const ExchangeOrderKey oid, const std::vector<SnapshotOrder>& orders);
+
 namespace test {
 int mbo_tests = 0;
 
@@ -202,6 +206,7 @@ TEST_CASE("MBO sort order", "[md][mbo]") {
    }
 }
 
+
 TEST_CASE("MBO change price and size", "[md][mbo]") {
    // When an order's size goes up it gets a new priority
    Co2TestInstrument instr { "MBO", api::SECURITYTYPE_FUTURE };
@@ -288,7 +293,27 @@ TEST_CASE("MBO change price and size", "[md][mbo]") {
       }
    }
    }
+
+   // Do some tests on the snapshot
+   MBOSnapshot result;
+   copy_to_snapshot(state, &result);
+
+   auto ask30 = search_orders(ExchangeOrderKey(701267928346), result.asks); 
+   REQUIRE(ask30);
+   REQUIRE(*ask30 == 0);
+
+   auto bid2875 = search_orders(ExchangeOrderKey(701267993135), result.bids);
+   REQUIRE(bid2875);
+   REQUIRE(*bid2875 == 20);
    
+   bid2875 = search_orders(ExchangeOrderKey(701267299079), result.bids);
+   REQUIRE(bid2875);
+   REQUIRE(*bid2875 == 6);
+
+   auto not_bid = search_orders(ExchangeOrderKey(701967299879), result.bids);
+   auto not_ask = search_orders(ExchangeOrderKey(701967299879), result.asks);
+   REQUIRE(!not_bid);
+   REQUIRE(!not_ask);
 }
 
 }}}