feat: Impl synthetic book

The synth book computation code doesn't support doubles

.clang-format

@@ -1 +1,10 @@
 IndentWidth: 3
+BinPackArguments: true
+BinPackParameters: false 
+AlignAfterOpenBracket: AlwaysBreak
+AlwaysBreakTemplateDeclarations: true
+PenaltyReturnTypeOnItsOwnLine: 140
+---
+Language: Proto
+IndentWidth: 2
+AllowShortFunctionsOnASingleLine: None

.config/dotnet-tools.json

@@ -0,0 +1,12 @@
+{
+  "version": 1,
+  "isRoot": true,
+  "tools": {
+    "dotnet-format": {
+      "version": "5.1.225507",
+      "commands": [
+        "dotnet-format"
+      ]
+    }
+  }
+}

.editorconfig

@@ -0,0 +1,251 @@
+# Remove the line below if you want to inherit .editorconfig settings from higher directories
+root = true
+
+# C# files
+[*.cs]
+
+#### Core EditorConfig Options ####
+
+# Indentation and spacing
+indent_size = 3
+indent_style = space
+tab_width = 3
+
+# New line preferences
+end_of_line = crlf
+insert_final_newline = true
+
+#### .NET Coding Conventions ####
+
+# Organize usings
+dotnet_separate_import_directive_groups = true
+dotnet_sort_system_directives_first = false
+file_header_template = unset
+
+# this. and Me. preferences
+dotnet_style_qualification_for_event = false:silent
+dotnet_style_qualification_for_field = false:silent
+dotnet_style_qualification_for_method = false:silent
+dotnet_style_qualification_for_property = false:silent
+
+# Language keywords vs BCL types preferences
+dotnet_style_predefined_type_for_locals_parameters_members = true:silent
+dotnet_style_predefined_type_for_member_access = true:silent
+
+# Parentheses preferences
+dotnet_style_parentheses_in_arithmetic_binary_operators = always_for_clarity:silent
+dotnet_style_parentheses_in_other_binary_operators = always_for_clarity:silent
+dotnet_style_parentheses_in_other_operators = never_if_unnecessary:silent
+dotnet_style_parentheses_in_relational_binary_operators = always_for_clarity:silent
+
+# Modifier preferences
+dotnet_style_require_accessibility_modifiers = for_non_interface_members:silent
+
+# Expression-level preferences
+dotnet_style_coalesce_expression = true:suggestion
+dotnet_style_collection_initializer = true:suggestion
+dotnet_style_explicit_tuple_names = true:suggestion
+dotnet_style_null_propagation = true:suggestion
+dotnet_style_object_initializer = true:suggestion
+dotnet_style_operator_placement_when_wrapping = beginning_of_line
+dotnet_style_prefer_auto_properties = true:silent
+dotnet_style_prefer_compound_assignment = true:suggestion
+dotnet_style_prefer_conditional_expression_over_assignment = true:silent
+dotnet_style_prefer_conditional_expression_over_return = true:silent
+dotnet_style_prefer_inferred_anonymous_type_member_names = true:suggestion
+dotnet_style_prefer_inferred_tuple_names = true:suggestion
+dotnet_style_prefer_is_null_check_over_reference_equality_method = true:suggestion
+dotnet_style_prefer_simplified_boolean_expressions = true:suggestion
+dotnet_style_prefer_simplified_interpolation = true:suggestion
+
+# Field preferences
+dotnet_style_readonly_field = true:suggestion
+
+# Parameter preferences
+dotnet_code_quality_unused_parameters = all:suggestion
+
+# Suppression preferences
+dotnet_remove_unnecessary_suppression_exclusions = none
+
+#### C# Coding Conventions ####
+
+# var preferences
+csharp_style_var_elsewhere = false:silent
+csharp_style_var_for_built_in_types = false:silent
+csharp_style_var_when_type_is_apparent = false:silent
+
+# Expression-bodied members
+csharp_style_expression_bodied_accessors = true:silent
+csharp_style_expression_bodied_constructors = false:silent
+csharp_style_expression_bodied_indexers = true:silent
+csharp_style_expression_bodied_lambdas = true:silent
+csharp_style_expression_bodied_local_functions = false:silent
+csharp_style_expression_bodied_methods = false:silent
+csharp_style_expression_bodied_operators = false:silent
+csharp_style_expression_bodied_properties = true:silent
+
+# Pattern matching preferences
+csharp_style_pattern_matching_over_as_with_null_check = true:suggestion
+csharp_style_pattern_matching_over_is_with_cast_check = true:suggestion
+csharp_style_prefer_not_pattern = true:suggestion
+csharp_style_prefer_pattern_matching = true:silent
+csharp_style_prefer_switch_expression = true:suggestion
+
+# Null-checking preferences
+csharp_style_conditional_delegate_call = true:suggestion
+
+# Modifier preferences
+csharp_prefer_static_local_function = true:suggestion
+csharp_preferred_modifier_order = public,private,protected,internal,static,extern,new,virtual,abstract,sealed,override,readonly,unsafe,volatile,async:silent
+
+# Code-block preferences
+csharp_prefer_braces = true:silent
+csharp_prefer_simple_using_statement = true:suggestion
+
+# Expression-level preferences
+csharp_prefer_simple_default_expression = true:suggestion
+csharp_style_deconstructed_variable_declaration = true:suggestion
+csharp_style_inlined_variable_declaration = true:suggestion
+csharp_style_pattern_local_over_anonymous_function = true:suggestion
+csharp_style_prefer_index_operator = true:suggestion
+csharp_style_prefer_range_operator = true:suggestion
+csharp_style_throw_expression = true:suggestion
+csharp_style_unused_value_assignment_preference = discard_variable:suggestion
+csharp_style_unused_value_expression_statement_preference = discard_variable:silent
+
+# 'using' directive preferences
+csharp_using_directive_placement = inside_namespace:silent
+
+#### C# Formatting Rules ####
+
+# New line preferences
+csharp_new_line_before_catch = false
+csharp_new_line_before_else = false
+csharp_new_line_before_finally = false
+csharp_new_line_before_members_in_anonymous_types = true
+csharp_new_line_before_members_in_object_initializers = true
+csharp_new_line_before_open_brace = none
+csharp_new_line_between_query_expression_clauses = true
+
+# Indentation preferences
+csharp_indent_block_contents = true
+csharp_indent_braces = false
+csharp_indent_case_contents = true
+csharp_indent_case_contents_when_block = true
+csharp_indent_labels = one_less_than_current
+csharp_indent_switch_labels = true
+
+# Space preferences
+csharp_space_after_cast = false
+csharp_space_after_colon_in_inheritance_clause = true
+csharp_space_after_comma = true
+csharp_space_after_dot = false
+csharp_space_after_keywords_in_control_flow_statements = true
+csharp_space_after_semicolon_in_for_statement = true
+csharp_space_around_binary_operators = before_and_after
+csharp_space_around_declaration_statements = false
+csharp_space_before_colon_in_inheritance_clause = true
+csharp_space_before_comma = false
+csharp_space_before_dot = false
+csharp_space_before_open_square_brackets = false
+csharp_space_before_semicolon_in_for_statement = false
+csharp_space_between_empty_square_brackets = false
+csharp_space_between_method_call_empty_parameter_list_parentheses = false
+csharp_space_between_method_call_name_and_opening_parenthesis = false
+csharp_space_between_method_call_parameter_list_parentheses = false
+csharp_space_between_method_declaration_empty_parameter_list_parentheses = false
+csharp_space_between_method_declaration_name_and_open_parenthesis = false
+csharp_space_between_method_declaration_parameter_list_parentheses = false
+csharp_space_between_parentheses = false
+csharp_space_between_square_brackets = false
+
+# Wrapping preferences
+csharp_preserve_single_line_blocks = true
+csharp_preserve_single_line_statements = true
+
+#### Naming styles ####
+
+# Naming rules
+
+dotnet_naming_rule.interface_should_be_begins_with_i.severity = suggestion
+dotnet_naming_rule.interface_should_be_begins_with_i.symbols = interface
+dotnet_naming_rule.interface_should_be_begins_with_i.style = begins_with_i
+
+dotnet_naming_rule.types_should_be_pascal_case.severity = suggestion
+dotnet_naming_rule.types_should_be_pascal_case.symbols = types
+dotnet_naming_rule.types_should_be_pascal_case.style = pascal_case
+
+dotnet_naming_rule.non_field_members_should_be_pascal_case.severity = suggestion
+dotnet_naming_rule.non_field_members_should_be_pascal_case.symbols = non_field_members
+dotnet_naming_rule.non_field_members_should_be_pascal_case.style = pascal_case
+
+# Symbol specifications
+
+dotnet_naming_symbols.interface.applicable_kinds = interface
+dotnet_naming_symbols.interface.applicable_accessibilities = public, internal, private, protected, protected_internal, private_protected
+dotnet_naming_symbols.interface.required_modifiers =
+
+# user types
+dotnet_naming_symbols.user_types.applicable_kinds = class, struct, interface, enum
+dotnet_naming_symbols.user_types.applicable_accessibilities = public, internal, private, protected, protected_internal, private_protected
+dotnet_naming_symbols.user_types.required_modifiers =
+
+# non_field_members
+dotnet_naming_symbols.non_field_members.applicable_kinds = property, event, method
+dotnet_naming_symbols.non_field_members.applicable_accessibilities = public, internal, private, protected, protected_internal, private_protected
+dotnet_naming_symbols.non_field_members.required_modifiers =
+
+# public symbols
+dotnet_naming_symbols.public_symbols.applicable_kinds = property,method,field,event,delegate
+dotnet_naming_symbols.public_symbols.applicable_accessibilities = public,internal
+
+# parameters
+dotnet_naming_symbols.parameters.applicable_kinds = parameter
+dotnet_naming_symbols.parameters.applicable_accessibilities = public,internal,protected,private,protected_internal,private_internal
+
+# private symbols
+dotnet_naming_symbols.private_symbols.applicable_kinds = property,method,field,event,delegate
+dotnet_naming_symbols.private_symbols.applicable_accessibilities = protected,private
+
+# Naming styles
+
+dotnet_naming_style.snake_case.required_prefix =
+dotnet_naming_style.snake_case.required_suffix =
+dotnet_naming_style.snake_case.word_separator = _
+dotnet_naming_style.snake_case.capitalization = all_lower
+
+dotnet_naming_style.private_snake_case.required_prefix = _
+dotnet_naming_style.private_snake_case.required_suffix =
+dotnet_naming_style.private_snake_case.word_separator = _
+dotnet_naming_style.private_snake_case.capitalization = all_lower
+
+dotnet_naming_style.user_types.required_prefix =
+dotnet_naming_style.user_types.required_suffix =
+dotnet_naming_style.user_types.word_separator =
+dotnet_naming_style.user_types.capitalization = pascal_case
+
+dotnet_naming_style.interface.required_prefix = I
+dotnet_naming_style.interface.required_suffix =
+dotnet_naming_style.interface.word_separator =
+dotnet_naming_style.interface.capitalization = pascal_case
+
+# rules
+dotnet_naming_rule.user_types.symbols = user_types
+dotnet_naming_rule.user_types.style = user_types
+dotnet_naming_rule.user_types.severity = suggestion
+
+dotnet_naming_rule.interfaces.symbols = interface
+dotnet_naming_rule.interfaces.style = interface_style
+dotnet_naming_rule.interfaces.severity = suggestion
+
+dotnet_naming_rule.public_members_snake_case.symbols = public_symbols
+dotnet_naming_rule.public_members_snake_case.style = snake_case
+dotnet_naming_rule.public_members_snake_case.severity = suggestion
+
+dotnet_naming_rule.private_members_snake_case.symbols = private_symbols
+dotnet_naming_rule.private_members_snake_case.style = private_snake_case
+dotnet_naming_rule.private_members_snake_case.severity = suggestion
+
+dotnet_naming_rule.parameters.symbols = parameters
+dotnet_naming_rule.parameters.style = snake_case
+dotnet_naming_rule.parameters.severity = suggestion

.gitignore

@@ -1,11 +1,13 @@
 nohup.out
 build/
+.build_proxy/
 cmake-build-debug/
+.cache/
+.ipynb_checkpoints/
 .idea/
 .dir-locals.el
 *.pyc
-.vscode/*
-!.vscode/*.json
+**.vscode
 .vs
 obj/
 *.csproj.user
@@ -17,10 +19,13 @@ vcxproj.user
 src/client/spark/Properties/launchSettings.json
 compile_commands.json
 .cquery_cached_index/
+.cache/*
+.clangd/*
 src/client/sparkcmd/Properties/launchSettings.json
 node_modules
 paket-files
 project.lock.json
+src/.clang-format
 src/server/sparkd/orderman/perf_analysis/data
 src/server/sparkd/orderman/perf_analysis/logs/
 src/server/sparkd/orderman/perf_analysis/trace_data/
@@ -34,4 +39,15 @@ trace_data/
 /doc/user/public/*
 .ionide/*
 /.ignore
+*.rej
 /build
+/build.*/*
+.clangd/
+*CMakeDeps.cmake
+/sniper.ipynb
+/src/.clang-format
+/src/server/sparkd/cmds/spartan/analysis/.ipynb_checkpoints
+/src/server/sparkd/cmds/spartan/analysis/data
+*.tmp/*
+/.venv*/*
+.cache/

.gitmodules

@@ -7,3 +7,6 @@
 [submodule "docker/windows"]
 	path = docker/windows
 	url = git@bitbucket.org:bluetradesys/windows_docker.git
+[submodule "src/deribit-crypto-connector-demo-application"]
+	path = src/deribit-crypto-connector-demo-application
+	url = git@gitlab.com:cryptoexchanges1/deribit-crypto-connector-demo-application.git

CMakeLists.txt

@@ -1,65 +1,94 @@
 cmake_minimum_required(VERSION 3.5)
 project(spark)
 
-if (WIN32)
-  set (platform "windows")
-else ()
-  set (platform "linux")
-endif ()
+if(WIN32)
+  set(platform "windows")
+else()
+  set(platform "linux")
+endif()
 
-set (EXTERNALS_ROOT "${CMAKE_SOURCE_DIR}/externals/${platform}")
-set (SPARK_PYTHON "${EXTERNALS_ROOT}/python")
-set (SPARK_BIN "${EXTERNALS_ROOT}/bin")
-set (SPARK_INCLUDE "${EXTERNALS_ROOT}/include")
-set (SPARK_LIB "${EXTERNALS_ROOT}/lib/${CMAKE_BUILD_TYPE}")
+set(EXTERNALS_ROOT "${CMAKE_SOURCE_DIR}/externals/${platform}")
+set(SPARK_PYTHON "${EXTERNALS_ROOT}/python")
+set(SPARK_BIN "${EXTERNALS_ROOT}/bin")
+set(SPARK_INCLUDE "${EXTERNALS_ROOT}/include")
+set(SPARK_LIB "${EXTERNALS_ROOT}/lib/${CMAKE_BUILD_TYPE}")
+set(BUILD_SDK OFF CACHE BOOL "Build the sdk")
 
-include_directories (BEFORE SYSTEM ${SPARK_INCLUDE} ${EXTERNALS_ROOT}/include/zlib)
-link_directories (${SPARK_LIB})
+include_directories(BEFORE SYSTEM ${SPARK_INCLUDE} ${EXTERNALS_ROOT}/include/zlib)
+link_directories(${SPARK_LIB})
 
-if (WIN32)
-  set (CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} \
-                        /MP \ 
-                        /WX /wd4251 /wd4250 /wd4251 /wd4244 /wd4267 /wd4355 /wd4275 /wd4345 \
-                        /DCURL_STATICLIB \
-                        /D_WINSOCK_DEPRECATED_NO_WARNINGS \
-                        /D__TBB_NO_IMPLICIT_LINKAGE \
-                        /DBOOST_ALL_NO_LIB \
-                        /D_SCL_SECURE_NO_WARNINGS /D_CRT_SECURE_NO_WARNINGS /D_WIN32_WINNT=0x0600")
-
-  set (CMAKE_CXX_FLAGS_DEBUG  "${CMAKE_CXX_FLAGS_DEBUG} /MTd") 
-  set (CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} /MT")
-  set(CMAKE_SHARED_LINKER_FLAGS_RELEASE "${CMAKE_SHARED_LINKER_FLAGS_RELEASE} /DEBUG /OPT:REF /OPT:ICF /LTCG")
+if(WIN32)
+  # flags
+  set(
+    CMAKE_CXX_FLAGS
+    "${CMAKE_CXX_FLAGS} \
+    /MP \
+    /WX /wd4251 /wd4250 /wd4251 /wd4244 /wd4267 /wd4355 /wd4275 /wd4345 \
+    /bigobj \
+    /DCURL_STATICLIB \
+    /D_WINSOCK_DEPRECATED_NO_WARNINGS \
+    /D__TBB_NO_IMPLICIT_LINKAGE \
+    /DBOOST_ALL_NO_LIB \
+    /std:c++17 \
+    /D_SCL_SECURE_NO_WARNINGS /D_CRT_SECURE_NO_WARNINGS /D_WIN32_WINNT=0x0600")
+  set(CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} /MTd")
+  set(CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} /MT")
+  set(
+    CMAKE_SHARED_LINKER_FLAGS_RELEASE
+    "${CMAKE_SHARED_LINKER_FLAGS_RELEASE} \
+    /DEBUG \
+    /OPT:REF \
+    /OPT:ICF \
+    /LTCG")
 
+  # subdirs
   add_subdirectory(src/lib)
-else ()
-# so that sparkd looks for libspark.so in its directory
-  set (CMAKE_BUILD_WITH_INSTALL_RPATH TRUE) 
-  set (CMAKE_INSTALL_RPATH ".")
+else()
+  # make sparkd look for libspark.so in its directory
+  set(CMAKE_BUILD_WITH_INSTALL_RPATH TRUE)
+  set(CMAKE_INSTALL_RPATH ".")
 
-  set (CMAKE_CXX_FLAGS_DEBUG  "${CMAKE_CXX_FLAGS_DEBUG} \
-                               -fPIC -Wall -pedantic -Wextra -Werror \
-                               -Wno-missing-braces -Wno-ignored-qualifiers \
-                               --std=c++17 -fdiagnostics-color")
-  set (CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} -fno-omit-frame-pointer -DNDEBUG -O3")
-  set (CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} -Wno-undef")
+  # flags
+  set(
+    CMAKE_CXX_FLAGS_DEBUG
+    "${CMAKE_CXX_FLAGS_DEBUG} \
+    -fPIC \
+    -Wall \
+    -pedantic \
+    -Wextra \
+    -Werror \
+    -Wno-missing-braces \
+    -Wno-ignored-qualifiers \
+    --std=c++17 -fdiagnostics-color")
+  set(CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} -fno-omit-frame-pointer -DNDEBUG -O3")
+  set(CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} -DDEBUG")
+  set(CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} -Wno-undef")
+
+  # subdirs
   add_subdirectory(src/server/sparkd)
   add_subdirectory(src/lib)
   add_subdirectory(src/web)
   add_subdirectory(doc/user)
-  add_subdirectory(src/sdk)
+  if(BUILD_SDK)
+    add_subdirectory(src/sdk)
+  endif()
   add_subdirectory(src/data_files)
 
-  add_custom_command(OUTPUT ${CMAKE_BINARY_DIR}/server
+  add_custom_command(
+    OUTPUT ${CMAKE_BINARY_DIR}/server
     COMMAND mkdir -p ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/server/sparkd/sparkd ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/web ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/data_files ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/lib/libspark.so ${CMAKE_BINARY_DIR}/server
-    COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.13.0.0 ${CMAKE_BINARY_DIR}/server
+    COMMAND
+      ln ARGS -sf
+      ${EXTERNALS_ROOT}/lib/Release/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.16.0.0
+      ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libACE-5.7.5.so ${CMAKE_BINARY_DIR}/server
     COMMAND mkdir ARGS -p ${CMAKE_BINARY_DIR}/server/plugins
     COMMENT "Creating server runtime layout"
-    DEPENDS sparkd data_files_dir)  
+    DEPENDS sparkd data_files_dir)
 
   add_custom_target(server_layout ALL DEPENDS ${CMAKE_BINARY_DIR}/server)
 endif()

SpreaderFrontEnd/SpreaderFrontEnd.sln

@@ -0,0 +1,25 @@
+
+Microsoft Visual Studio Solution File, Format Version 12.00
+# Visual Studio Version 17
+VisualStudioVersion = 17.2.32630.192
+MinimumVisualStudioVersion = 10.0.40219.1
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "SpreaderFrontEnd", "SpreaderFrontEnd\SpreaderFrontEnd.csproj", "{28EE9ABE-BBA6-4587-8BEB-3B0CD979ED22}"
+EndProject
+Global
+	GlobalSection(SolutionConfigurationPlatforms) = preSolution
+		Debug|Any CPU = Debug|Any CPU
+		Release|Any CPU = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(ProjectConfigurationPlatforms) = postSolution
+		{28EE9ABE-BBA6-4587-8BEB-3B0CD979ED22}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{28EE9ABE-BBA6-4587-8BEB-3B0CD979ED22}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{28EE9ABE-BBA6-4587-8BEB-3B0CD979ED22}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{28EE9ABE-BBA6-4587-8BEB-3B0CD979ED22}.Release|Any CPU.Build.0 = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(SolutionProperties) = preSolution
+		HideSolutionNode = FALSE
+	EndGlobalSection
+	GlobalSection(ExtensibilityGlobals) = postSolution
+		SolutionGuid = {3E2EF0DA-32BB-4A7A-9089-B132E1677AA7}
+	EndGlobalSection
+EndGlobal

SpreaderFrontEnd/SpreaderFrontEnd/BookCalcs/Book.cs

@@ -0,0 +1,36 @@
+using System;
+using System.Linq;
+
+namespace SpreaderFrontEnd {
+   public class Book : IEquatable<Book> {
+      public Book(BookSide bids = null, BookSide asks = null) {
+         this.bids = bids ?? new BookSide();
+         this.asks = asks ?? new BookSide();
+      }
+
+      public BookSide bids { get; }
+      public BookSide asks { get; }
+
+      public Book Clone() {
+         return new Book(
+            new BookSide(bids.levels.ToList()),
+            new BookSide(asks.levels.ToList()));
+      }
+
+      public bool Equals(Book other) {
+         return other != null && other.bids.Equals(bids) && other.asks.Equals(asks);
+      }
+
+      public override bool Equals(object obj) {
+         return Equals(obj as Book);
+      }
+
+      public override int GetHashCode() {
+         return HashCodeHelper.combine(bids.GetHashCode(), asks.GetHashCode());
+      }
+
+      public override string ToString() {
+         return $"bid: {bids} | ask: {asks}";
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/BookCalcs/BookSide.cs

@@ -0,0 +1,38 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace SpreaderFrontEnd {
+   public class BookSide : IEquatable<BookSide> {
+      public BookSide() {
+         levels = new List<PriceLevel>();
+      }
+
+      public BookSide(IEnumerable<PriceLevel> levels) {
+         this.levels = levels?.ToList() ?? new List<PriceLevel>();
+      }
+
+      public IList<PriceLevel> levels { get; }
+
+      public BookSide Clone() {
+         return new BookSide(levels.ToList());
+      }
+
+      public bool Equals(BookSide other) {
+         return other != null && levels.SequenceEqual(other.levels);
+      }
+
+      public override bool Equals(object obj) {
+         return Equals(obj as BookSide);
+      }
+
+      public override int GetHashCode() {
+         return levels.Select(l => l.GetHashCode()).Skip(1).Aggregate(
+            levels[0].GetHashCode(), HashCodeHelper.combine);
+      }
+
+      public override string ToString() {
+         return string.Join("; ", levels);
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/BookCalcs/LegBookSideCursor.cs

@@ -0,0 +1,120 @@
+using System;
+using System.Collections.Generic;
+using System.Diagnostics;
+
+namespace SpreaderFrontEnd {
+   public class LegCursor {
+      public LegCursor(int leg_size, IList<PriceLevel> levels) {
+         this.leg_size = leg_size;
+         this.levels = levels;
+      }
+
+      /// <summary>
+      /// The [signed] quantity of this leg in the SpreaderContract to which it belongs
+      /// </summary>
+      public int leg_size { get; }
+
+      /// <summary>
+      /// The [unsigned] quantity of this leg in the SpreaderContract to which it belongs
+      /// </summary>
+      public int leg_size_abs {
+         get {
+            return Math.Abs(leg_size);
+         }
+      }
+
+      /// <summary>
+      /// The price levels of the underlying BookSide
+      /// </summary>
+      public IList<PriceLevel> levels { get; }
+
+      /// <summary>
+      /// The index of the current level. When <see cref="consume_unit_qty(uint, out List{PriceLevel})"/>
+      /// is called, quantity consumption begins at this level. Once this level's quantity is fully
+      /// consumed, <see cref="cursor"/> is incremented, and <see cref="curr_level_consumed_qty"/>
+      /// is reset to 0.
+      /// </summary>
+      public int cursor { get; private set; }
+
+      /// <summary>
+      /// The quantity that has been consumed at the current level (i.e., the level at index
+      /// <see cref="cursor"/>)
+      /// </summary>
+      public uint curr_level_consumed_qty { get; private set; }
+
+      /// <summary>
+      /// Consumes the specified quantity of units at the best available price(s)
+      /// </summary>
+      /// <param name="unit_qty">
+      /// The unit quantity to consume
+      /// </param>
+      /// <returns>True if the entire quantity is consumed, otherwise false.</returns>
+      public bool consume_unit_qty(uint unit_qty, out List<PriceLevel> consumed_levels) {
+         consumed_levels = new List<PriceLevel>();
+         uint marg_qty = (uint)(unit_qty * leg_size_abs);
+         var consumed_qty = _consume_raw_qty(marg_qty, ref consumed_levels);
+         Debug.Assert(consumed_qty % leg_size_abs == 0);
+         uint consumed_units = (uint)(consumed_qty / leg_size_abs);
+         return consumed_units == unit_qty;
+      }
+
+      /// <summary>
+      /// Gets the number of units (raw_quantity / leg_size_abs) available at the best price
+      /// </summary>
+      public PriceLevel curr_synth_level() {
+         if (cursor >= levels.Count) {
+            return PriceLevel.empty;
+         }
+
+         var curr_level = levels[cursor];
+         Debug.Assert(curr_level.qty >= curr_level_consumed_qty);
+         var curr_level_rem_qty = curr_level.qty - curr_level_consumed_qty;
+         if (curr_level_rem_qty >= leg_size_abs) {
+            return new PriceLevel(
+               price: curr_level.price * leg_size_abs,
+               qty: (uint)(curr_level_rem_qty / leg_size_abs));
+         }
+
+         double unit_cost = curr_level.price * curr_level_rem_qty;
+         var unit_rem = leg_size_abs - curr_level_rem_qty;
+         for (int i = cursor + 1; i < levels.Count; i++) {
+            curr_level = levels[i];
+            if (curr_level.qty >= unit_rem) {
+               unit_cost += curr_level.price * unit_rem;
+               return new PriceLevel(price: unit_cost, qty: 1);
+            }
+            unit_cost += curr_level.price * curr_level.qty;
+            unit_rem -= curr_level.qty;
+         }
+         return PriceLevel.empty;
+      }
+
+      /// <summary>
+      /// Consumes as much of the specified [raw] quantity as possible
+      /// </summary>
+      /// <returns>
+      /// The quantity that was actually consumed
+      /// </returns>
+      uint _consume_raw_qty(uint raw_qty, ref List<PriceLevel> dest) {
+         if (levels == null || cursor >= levels.Count) {
+            return 0;
+         }
+         var curr_level = levels[cursor];
+         // Cursor should be incremented when curr_level_consumed_qty == levels[cursor].qty
+         // (i.e., curr_level.qty should never be less than curr_level_consumed_qty)
+         Debug.Assert(curr_level.qty > curr_level_consumed_qty);
+         var curr_level_qty_rem = curr_level.qty - curr_level_consumed_qty;
+         if (curr_level_qty_rem > raw_qty) {
+            curr_level_consumed_qty += raw_qty;
+            dest.Add(new PriceLevel(price: curr_level.price, qty: raw_qty));
+            return raw_qty;
+         }
+         // The input qty is greater than the qty that remains at this level. Consume the rest on
+         // the next level.
+         cursor++;
+         curr_level_consumed_qty = 0;
+         dest.Add(new PriceLevel(price: curr_level.price, qty: curr_level_qty_rem));
+         return curr_level_qty_rem + _consume_raw_qty(raw_qty - curr_level_qty_rem, ref dest);
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/BookCalcs/PriceLevel.cs

@@ -0,0 +1,44 @@
+using System;
+
+namespace SpreaderFrontEnd {
+   public struct PriceLevel : IEquatable<PriceLevel> {
+      public PriceLevel(double price, uint qty) {
+         this.price = price;
+         this.qty = qty;
+      }
+
+      public static PriceLevel empty {
+         get {
+            return new PriceLevel(double.NaN, 0);
+         }
+      }
+
+      public double price { get; }
+      public uint qty { get; }
+
+      public PriceLevel subtract_qty(uint value) {
+         System.Diagnostics.Debug.Assert(value <= qty);
+         return new PriceLevel(price, qty - value);
+      }
+      
+      public PriceLevel add_qty(uint value) {
+         return new PriceLevel(price, qty + value);
+      }
+
+      public override string ToString() {
+         return $"{price} ({qty})";
+      }
+
+      public bool Equals(PriceLevel other) {
+         return qty == other.qty && price.Equals(other.price);
+      }
+
+      public override bool Equals(object obj) {
+         return obj is PriceLevel other && Equals(other);
+      }
+
+      public override int GetHashCode() {
+         return HashCodeHelper.combine(price.GetHashCode(), qty.GetHashCode());
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/BookCalcs/SpreaderBookCalculator.cs

@@ -0,0 +1,49 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Diagnostics;
+
+namespace SpreaderFrontEnd {
+   public static class SpreaderBookCalculator {
+      public static Book compute_spreader_book(
+         SpreaderContract contract, IEnumerable<Book> leg_books) {
+         if (contract == null) {
+            throw new ArgumentNullException(nameof(contract));
+         }
+         if (leg_books == null) {
+            throw new ArgumentNullException(nameof(leg_books));
+         }
+         var leg_book_list = leg_books as IList<Book> ?? leg_books.ToList();
+         var synth_book = new SyntheticBook(contract, leg_book_list);
+         return synth_book.to_book();
+      }
+
+      public static BookSide compute_spreader_book_side(
+         SpreaderContract contract, IList<Book> leg_books, bool is_bid) {
+         Debug.Assert(contract.spread_legs.Count == leg_books.Count);
+         var leg_cursors = leg_books.Select((b, i) => new LegCursor(
+            contract.spread_legs[i].qty,
+            contract.spread_legs[i].qty < 0 == is_bid ? b.asks.levels : b.bids.levels)).ToList();
+         var level_qty = leg_cursors.Select(lc => lc.curr_synth_level().qty).Min();
+         var result = new BookSide();
+
+         while (level_qty > 0) {
+            double level_price = 0;
+            for (int i = 0; i < leg_cursors.Count; i++) {
+               var lc = leg_cursors[i];
+               bool did_consume = lc.consume_unit_qty(level_qty, out var consumed_levels);
+               Debug.Assert(did_consume);
+               var leg_cost = consumed_levels.Select(l => l.price * l.qty).Sum() / level_qty;
+               if (lc.leg_size < 0) {
+                  level_price -= leg_cost;
+               } else {
+                  level_price += leg_cost;
+               }
+            }
+            result.levels.Add(new PriceLevel(price: level_price, qty: level_qty));
+            level_qty = leg_cursors.Select(lc => lc.curr_synth_level().qty).Min();
+         }
+         return result;
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/BookCalcs/SyntheticBook.cs

@@ -0,0 +1,17 @@
+using System.Collections.Generic;
+
+namespace SpreaderFrontEnd {
+   class SyntheticBook {
+      public SyntheticBook(SpreaderContract contract, IList<Book> leg_books) {
+         bids = new SyntheticBookSide(contract, leg_books, true);
+         asks = new SyntheticBookSide(contract, leg_books, false);
+      }
+
+      public SyntheticBookSide bids { get; }
+      public SyntheticBookSide asks { get; }
+
+      public Book to_book() {
+         return new Book(bids: bids.to_book_side(), asks: asks.to_book_side());
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/BookCalcs/SyntheticBookSide.cs

@@ -0,0 +1,28 @@
+using System.Collections;
+using System.Collections.Generic;
+
+namespace SpreaderFrontEnd {
+   class SyntheticBookSide : IEnumerable<PriceLevel> {
+      readonly SpreaderContract _contract;
+      readonly IList<Book> _leg_books;
+      readonly bool _is_bid;
+
+      public SyntheticBookSide(SpreaderContract contract, IList<Book> leg_books, bool is_bid) {
+         _contract = contract;
+         _leg_books = leg_books;
+         _is_bid = is_bid;
+      }
+
+      public BookSide to_book_side() {
+         return new BookSide(this);
+      }
+
+      public IEnumerator<PriceLevel> GetEnumerator() {
+         return new SyntheticBookSideEnumerator(_contract, _leg_books, _is_bid);
+      }
+
+      IEnumerator IEnumerable.GetEnumerator() {
+         return GetEnumerator();
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/BookCalcs/SyntheticBookSideEnumerator.cs

@@ -0,0 +1,59 @@
+using System.Collections.Generic;
+using System.Linq;
+using System.Diagnostics;
+using System.Collections;
+
+namespace SpreaderFrontEnd {
+   class SyntheticBookSideEnumerator : IEnumerator<PriceLevel> {
+      readonly List<LegCursor> _leg_cursors;
+
+      PriceLevel _current;
+      uint _level_qty;
+
+      public SyntheticBookSideEnumerator(
+         SpreaderContract contract, IList<Book> leg_books, bool is_bid) {
+         Debug.Assert(contract.spread_legs.Count == leg_books.Count);
+         _leg_cursors = new List<LegCursor>(leg_books.Count);
+         for (int i = 0; i < leg_books.Count; i++) {
+            _leg_cursors.Add(new LegCursor(
+               contract.spread_legs[i].qty,
+               contract.spread_legs[i].qty < 0 == is_bid ?
+                  leg_books[i].asks.levels : leg_books[i].bids.levels));
+         }
+      }
+
+      public PriceLevel Current => _current;
+
+      object IEnumerator.Current => _current;
+
+      public void Dispose() { }
+
+      public bool MoveNext() {
+         _level_qty = _leg_cursors.Select(lc => lc.curr_synth_level().qty).Min();
+         if (_level_qty == 0) {
+            return false;
+         }
+         double level_price = 0;
+         for (int i = 0; i < _leg_cursors.Count; i++) {
+            var lc = _leg_cursors[i];
+            bool did_consume = lc.consume_unit_qty(_level_qty, out var consumed_levels);
+            Debug.Assert(did_consume);
+            var leg_cost = consumed_levels.Select(l => l.price * l.qty).Sum() / _level_qty;
+            if (lc.leg_size < 0) {
+               level_price -= leg_cost;
+            } else {
+               level_price += leg_cost;
+            }
+         }
+         _current = new PriceLevel(price: level_price, qty: _level_qty);
+         return true;
+      }
+
+      public void Reset() {
+         for (int i = 0; i < _leg_cursors.Count; i++) {
+            var lc = _leg_cursors[i];
+            _leg_cursors[i] = new LegCursor(lc.leg_size, lc.levels);
+         }
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/HashCodeHelper.cs

@@ -0,0 +1,8 @@
+namespace SpreaderFrontEnd {
+   static class HashCodeHelper {
+      // Copied from https://referencesource.microsoft.com/#System.Numerics/System/Numerics/HashCodeHelper.cs
+      public static int combine(int h1, int h2) {
+         return (((h1 << 5) + h1) ^ h2);
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/LegControl.Designer.cs

@@ -0,0 +1,744 @@
+using System.Windows.Forms;
+
+namespace SpreaderFrontEnd
+{
+    partial class LegControl
+    {
+        /// <summary> 
+        /// Required designer variable.
+        /// </summary>
+        private System.ComponentModel.IContainer components = null;
+
+        /// <summary> 
+        /// Clean up any resources being used.
+        /// </summary>
+        /// <param name="disposing">true if managed resources should be disposed; otherwise, false.</param>
+        protected override void Dispose(bool disposing)
+        {
+            if (disposing && (components != null))
+            {
+                components.Dispose();
+            }
+            base.Dispose(disposing);
+        }
+
+        #region Component Designer generated code
+
+        /// <summary> 
+        /// Required method for Designer support - do not modify 
+        /// the contents of this method with the code editor.
+        /// </summary>
+        private void InitializeComponent()
+        {
+         this._combobox_security = new System.Windows.Forms.ComboBox();
+         this.label1 = new System.Windows.Forms.Label();
+         this.label2 = new System.Windows.Forms.Label();
+         this.label3 = new System.Windows.Forms.Label();
+         this.label5 = new System.Windows.Forms.Label();
+         this.groupBox1 = new System.Windows.Forms.GroupBox();
+         this._textbox_quote_qho_length = new System.Windows.Forms.TextBox();
+         this._textbox_quote_insidemarketdistance_towarddistance = new System.Windows.Forms.TextBox();
+         this._textbox_quote_conditional_ticks = new System.Windows.Forms.TextBox();
+         this._textbox_quote_throttle_outsideticks = new System.Windows.Forms.TextBox();
+         this._textbox_quote_throttle_insideticks = new System.Windows.Forms.TextBox();
+         this._textbox_quote_showqty_qty = new System.Windows.Forms.TextBox();
+         this.label11 = new System.Windows.Forms.Label();
+         this._checkbox_quote_insidemarketdistance = new System.Windows.Forms.CheckBox();
+         this.label10 = new System.Windows.Forms.Label();
+         this._checkbox_quote_conditional = new System.Windows.Forms.CheckBox();
+         this.label9 = new System.Windows.Forms.Label();
+         this.label8 = new System.Windows.Forms.Label();
+         this._checkbox_quote_throttle = new System.Windows.Forms.CheckBox();
+         this.label7 = new System.Windows.Forms.Label();
+         this._checkbox_quote_showqty = new System.Windows.Forms.CheckBox();
+         this.label6 = new System.Windows.Forms.Label();
+         this.groupBox2 = new System.Windows.Forms.GroupBox();
+         this._textbox_prehedge_payless_paylessticks = new System.Windows.Forms.TextBox();
+         this._textbox_prehedge_payup_payupticks = new System.Windows.Forms.TextBox();
+         this._textbox_prehedge_payup_threshold = new System.Windows.Forms.TextBox();
+         this._textbox_prehedge_payless_threshold = new System.Windows.Forms.TextBox();
+         this.label13 = new System.Windows.Forms.Label();
+         this.label14 = new System.Windows.Forms.Label();
+         this.label15 = new System.Windows.Forms.Label();
+         this._checkbox_prehedge_payup = new System.Windows.Forms.CheckBox();
+         this.label16 = new System.Windows.Forms.Label();
+         this._checkbox_prehedge_payless = new System.Windows.Forms.CheckBox();
+         this.groupBox3 = new System.Windows.Forms.GroupBox();
+         this._textbox_posthedge_sizebasedcross_crossticks = new System.Windows.Forms.TextBox();
+         this._textbox_posthedge_sizebasedcross_threshold = new System.Windows.Forms.TextBox();
+         this._textbox_posthedge_timesbasedcross_crossticks = new System.Windows.Forms.TextBox();
+         this._textbox_posthedge_timesbasedcross_timems = new System.Windows.Forms.TextBox();
+         this._textbox_posthedge_ticksawaycross_crossticks = new System.Windows.Forms.TextBox();
+         this._textbox_posthedge_ticksawaycross_threshold = new System.Windows.Forms.TextBox();
+         this.label20 = new System.Windows.Forms.Label();
+         this.label21 = new System.Windows.Forms.Label();
+         this._checkbox_posthedge_sizebasedcross = new System.Windows.Forms.CheckBox();
+         this.label12 = new System.Windows.Forms.Label();
+         this.label17 = new System.Windows.Forms.Label();
+         this.label18 = new System.Windows.Forms.Label();
+         this._checkbox_posthedge_timebasedcross = new System.Windows.Forms.CheckBox();
+         this.label19 = new System.Windows.Forms.Label();
+         this._checkbox_posthedge_ticksawaycross = new System.Windows.Forms.CheckBox();
+         this._textbox_leg_qty = new System.Windows.Forms.TextBox();
+         this._checkbox_leg_enablequoting = new System.Windows.Forms.CheckBox();
+         this._textbox_leg_leanqtyfactor = new System.Windows.Forms.TextBox();
+         this._combobox_mdtype = new System.Windows.Forms.ComboBox();
+         this._textbox_leg_price_mult = new System.Windows.Forms.TextBox();
+         this.label4 = new System.Windows.Forms.Label();
+         this._label_leanqty_factor = new System.Windows.Forms.Label();
+         this.groupBox1.SuspendLayout();
+         this.groupBox2.SuspendLayout();
+         this.groupBox3.SuspendLayout();
+         this.SuspendLayout();
+         // 
+         // _combobox_security
+         // 
+         this._combobox_security.DropDownStyle = System.Windows.Forms.ComboBoxStyle.DropDownList;
+         this._combobox_security.FormattingEnabled = true;
+         this._combobox_security.Location = new System.Drawing.Point(157, 15);
+         this._combobox_security.Name = "_combobox_security";
+         this._combobox_security.Size = new System.Drawing.Size(100, 23);
+         this._combobox_security.TabIndex = 0;
+         // 
+         // label1
+         // 
+         this.label1.AutoSize = true;
+         this.label1.Location = new System.Drawing.Point(16, 23);
+         this.label1.Name = "label1";
+         this.label1.Size = new System.Drawing.Size(49, 15);
+         this.label1.TabIndex = 1;
+         this.label1.Text = "Security";
+         // 
+         // label2
+         // 
+         this.label2.AutoSize = true;
+         this.label2.Location = new System.Drawing.Point(16, 58);
+         this.label2.Name = "label2";
+         this.label2.Size = new System.Drawing.Size(53, 15);
+         this.label2.TabIndex = 2;
+         this.label2.Text = "Quantity";
+         // 
+         // label3
+         // 
+         this.label3.AutoSize = true;
+         this.label3.Location = new System.Drawing.Point(16, 128);
+         this.label3.Name = "label3";
+         this.label3.Size = new System.Drawing.Size(89, 15);
+         this.label3.TabIndex = 3;
+         this.label3.Text = "Enable Quoting";
+         // 
+         // label5
+         // 
+         this.label5.AutoSize = true;
+         this.label5.Location = new System.Drawing.Point(16, 198);
+         this.label5.Name = "label5";
+         this.label5.Size = new System.Drawing.Size(98, 15);
+         this.label5.TabIndex = 5;
+         this.label5.Text = "Market Data Type";
+         // 
+         // groupBox1
+         // 
+         this.groupBox1.Controls.Add(this._textbox_quote_qho_length);
+         this.groupBox1.Controls.Add(this._textbox_quote_insidemarketdistance_towarddistance);
+         this.groupBox1.Controls.Add(this._textbox_quote_conditional_ticks);
+         this.groupBox1.Controls.Add(this._textbox_quote_throttle_outsideticks);
+         this.groupBox1.Controls.Add(this._textbox_quote_throttle_insideticks);
+         this.groupBox1.Controls.Add(this._textbox_quote_showqty_qty);
+         this.groupBox1.Controls.Add(this.label11);
+         this.groupBox1.Controls.Add(this._checkbox_quote_insidemarketdistance);
+         this.groupBox1.Controls.Add(this.label10);
+         this.groupBox1.Controls.Add(this._checkbox_quote_conditional);
+         this.groupBox1.Controls.Add(this.label9);
+         this.groupBox1.Controls.Add(this.label8);
+         this.groupBox1.Controls.Add(this._checkbox_quote_throttle);
+         this.groupBox1.Controls.Add(this.label7);
+         this.groupBox1.Controls.Add(this._checkbox_quote_showqty);
+         this.groupBox1.Controls.Add(this.label6);
+         this.groupBox1.ForeColor = System.Drawing.Color.Black;
+         this.groupBox1.Location = new System.Drawing.Point(12, 238);
+         this.groupBox1.Name = "groupBox1";
+         this.groupBox1.Size = new System.Drawing.Size(265, 369);
+         this.groupBox1.TabIndex = 6;
+         this.groupBox1.TabStop = false;
+         this.groupBox1.Text = "Quote";
+         // 
+         // _textbox_quote_qho_length
+         // 
+         this._textbox_quote_qho_length.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_quote_qho_length.Location = new System.Drawing.Point(145, 28);
+         this._textbox_quote_qho_length.Name = "_textbox_quote_qho_length";
+         this._textbox_quote_qho_length.Size = new System.Drawing.Size(100, 23);
+         this._textbox_quote_qho_length.TabIndex = 6;
+         // 
+         // _textbox_quote_insidemarketdistance_towarddistance
+         // 
+         this._textbox_quote_insidemarketdistance_towarddistance.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_quote_insidemarketdistance_towarddistance.Location = new System.Drawing.Point(145, 314);
+         this._textbox_quote_insidemarketdistance_towarddistance.Name = "_textbox_quote_insidemarketdistance_towarddistance";
+         this._textbox_quote_insidemarketdistance_towarddistance.Size = new System.Drawing.Size(100, 23);
+         this._textbox_quote_insidemarketdistance_towarddistance.TabIndex = 15;
+         // 
+         // _textbox_quote_conditional_ticks
+         // 
+         this._textbox_quote_conditional_ticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_quote_conditional_ticks.Location = new System.Drawing.Point(145, 250);
+         this._textbox_quote_conditional_ticks.Name = "_textbox_quote_conditional_ticks";
+         this._textbox_quote_conditional_ticks.Size = new System.Drawing.Size(100, 23);
+         this._textbox_quote_conditional_ticks.TabIndex = 13;
+         // 
+         // _textbox_quote_throttle_outsideticks
+         // 
+         this._textbox_quote_throttle_outsideticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_quote_throttle_outsideticks.Location = new System.Drawing.Point(145, 186);
+         this._textbox_quote_throttle_outsideticks.Name = "_textbox_quote_throttle_outsideticks";
+         this._textbox_quote_throttle_outsideticks.Size = new System.Drawing.Size(100, 23);
+         this._textbox_quote_throttle_outsideticks.TabIndex = 11;
+         // 
+         // _textbox_quote_throttle_insideticks
+         // 
+         this._textbox_quote_throttle_insideticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_quote_throttle_insideticks.Location = new System.Drawing.Point(145, 156);
+         this._textbox_quote_throttle_insideticks.Name = "_textbox_quote_throttle_insideticks";
+         this._textbox_quote_throttle_insideticks.Size = new System.Drawing.Size(100, 23);
+         this._textbox_quote_throttle_insideticks.TabIndex = 10;
+         // 
+         // _textbox_quote_showqty_qty
+         // 
+         this._textbox_quote_showqty_qty.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_quote_showqty_qty.Location = new System.Drawing.Point(145, 92);
+         this._textbox_quote_showqty_qty.Name = "_textbox_quote_showqty_qty";
+         this._textbox_quote_showqty_qty.Size = new System.Drawing.Size(100, 23);
+         this._textbox_quote_showqty_qty.TabIndex = 8;
+         // 
+         // label11
+         // 
+         this.label11.AutoSize = true;
+         this.label11.Location = new System.Drawing.Point(45, 322);
+         this.label11.Name = "label11";
+         this.label11.Size = new System.Drawing.Size(93, 15);
+         this.label11.TabIndex = 16;
+         this.label11.Text = "Toward Distance";
+         // 
+         // _checkbox_quote_insidemarketdistance
+         // 
+         this._checkbox_quote_insidemarketdistance.AutoSize = true;
+         this._checkbox_quote_insidemarketdistance.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
+         this._checkbox_quote_insidemarketdistance.Location = new System.Drawing.Point(15, 288);
+         this._checkbox_quote_insidemarketdistance.Name = "_checkbox_quote_insidemarketdistance";
+         this._checkbox_quote_insidemarketdistance.Size = new System.Drawing.Size(131, 19);
+         this._checkbox_quote_insidemarketdistance.TabIndex = 14;
+         this._checkbox_quote_insidemarketdistance.Text = "Inside Market Dist.";
+         this._checkbox_quote_insidemarketdistance.UseVisualStyleBackColor = true;
+         this._checkbox_quote_insidemarketdistance.CheckedChanged += new System.EventHandler(this._checkbox_quote_insidemarketdistance_CheckedChanged);
+         // 
+         // label10
+         // 
+         this.label10.AutoSize = true;
+         this.label10.Location = new System.Drawing.Point(47, 258);
+         this.label10.Name = "label10";
+         this.label10.Size = new System.Drawing.Size(33, 15);
+         this.label10.TabIndex = 14;
+         this.label10.Text = "Ticks";
+         // 
+         // _checkbox_quote_conditional
+         // 
+         this._checkbox_quote_conditional.AutoSize = true;
+         this._checkbox_quote_conditional.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
+         this._checkbox_quote_conditional.Location = new System.Drawing.Point(15, 224);
+         this._checkbox_quote_conditional.Name = "_checkbox_quote_conditional";
+         this._checkbox_quote_conditional.Size = new System.Drawing.Size(88, 19);
+         this._checkbox_quote_conditional.TabIndex = 12;
+         this._checkbox_quote_conditional.Text = "Conditional";
+         this._checkbox_quote_conditional.UseVisualStyleBackColor = true;
+         this._checkbox_quote_conditional.CheckedChanged += new System.EventHandler(this._checkbox_quote_conditional_CheckedChanged);
+         // 
+         // label9
+         // 
+         this.label9.AutoSize = true;
+         this.label9.Location = new System.Drawing.Point(45, 194);
+         this.label9.Name = "label9";
+         this.label9.Size = new System.Drawing.Size(77, 15);
+         this.label9.TabIndex = 12;
+         this.label9.Text = "Outside Ticks";
+         // 
+         // label8
+         // 
+         this.label8.AutoSize = true;
+         this.label8.Location = new System.Drawing.Point(45, 164);
+         this.label8.Name = "label8";
+         this.label8.Size = new System.Drawing.Size(67, 15);
+         this.label8.TabIndex = 11;
+         this.label8.Text = "Inside Ticks";
+         // 
+         // _checkbox_quote_throttle
+         // 
+         this._checkbox_quote_throttle.AutoSize = true;
+         this._checkbox_quote_throttle.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
+         this._checkbox_quote_throttle.Location = new System.Drawing.Point(15, 130);
+         this._checkbox_quote_throttle.Name = "_checkbox_quote_throttle";
+         this._checkbox_quote_throttle.Size = new System.Drawing.Size(72, 19);
+         this._checkbox_quote_throttle.TabIndex = 9;
+         this._checkbox_quote_throttle.Text = "Throttle";
+         this._checkbox_quote_throttle.UseVisualStyleBackColor = true;
+         this._checkbox_quote_throttle.CheckedChanged += new System.EventHandler(this._checkbox_quote_throttle_CheckedChanged);
+         // 
+         // label7
+         // 
+         this.label7.AutoSize = true;
+         this.label7.Location = new System.Drawing.Point(45, 100);
+         this.label7.Name = "label7";
+         this.label7.Size = new System.Drawing.Size(53, 15);
+         this.label7.TabIndex = 9;
+         this.label7.Text = "Quantity";
+         // 
+         // _checkbox_quote_showqty
+         // 
+         this._checkbox_quote_showqty.AutoSize = true;
+         this._checkbox_quote_showqty.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
+         this._checkbox_quote_showqty.Location = new System.Drawing.Point(15, 66);
+         this._checkbox_quote_showqty.Name = "_checkbox_quote_showqty";
+         this._checkbox_quote_showqty.Size = new System.Drawing.Size(108, 19);
+         this._checkbox_quote_showqty.TabIndex = 7;
+         this._checkbox_quote_showqty.Text = "Show Quantity";
+         this._checkbox_quote_showqty.UseVisualStyleBackColor = true;
+         this._checkbox_quote_showqty.CheckedChanged += new System.EventHandler(this._checkbox_quote_showqty_CheckedChanged);
+         // 
+         // label6
+         // 
+         this.label6.AutoSize = true;
+         this.label6.Location = new System.Drawing.Point(15, 36);
+         this.label6.Name = "label6";
+         this.label6.Size = new System.Drawing.Size(121, 15);
+         this.label6.TabIndex = 6;
+         this.label6.Text = "Queue Holder Length";
+         // 
+         // groupBox2
+         // 
+         this.groupBox2.Controls.Add(this._textbox_prehedge_payless_paylessticks);
+         this.groupBox2.Controls.Add(this._textbox_prehedge_payup_payupticks);
+         this.groupBox2.Controls.Add(this._textbox_prehedge_payup_threshold);
+         this.groupBox2.Controls.Add(this._textbox_prehedge_payless_threshold);
+         this.groupBox2.Controls.Add(this.label13);
+         this.groupBox2.Controls.Add(this.label14);
+         this.groupBox2.Controls.Add(this.label15);
+         this.groupBox2.Controls.Add(this._checkbox_prehedge_payup);
+         this.groupBox2.Controls.Add(this.label16);
+         this.groupBox2.Controls.Add(this._checkbox_prehedge_payless);
+         this.groupBox2.Location = new System.Drawing.Point(13, 626);
+         this.groupBox2.Name = "groupBox2";
+         this.groupBox2.Size = new System.Drawing.Size(264, 234);
+         this.groupBox2.TabIndex = 7;
+         this.groupBox2.TabStop = false;
+         this.groupBox2.Text = "Pre-Hedge";
+         // 
+         // _textbox_prehedge_payless_paylessticks
+         // 
+         this._textbox_prehedge_payless_paylessticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_prehedge_payless_paylessticks.Location = new System.Drawing.Point(144, 90);
+         this._textbox_prehedge_payless_paylessticks.Name = "_textbox_prehedge_payless_paylessticks";
+         this._textbox_prehedge_payless_paylessticks.Size = new System.Drawing.Size(100, 23);
+         this._textbox_prehedge_payless_paylessticks.TabIndex = 18;
+         // 
+         // _textbox_prehedge_payup_payupticks
+         // 
+         this._textbox_prehedge_payup_payupticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_prehedge_payup_payupticks.Location = new System.Drawing.Point(144, 187);
+         this._textbox_prehedge_payup_payupticks.Name = "_textbox_prehedge_payup_payupticks";
+         this._textbox_prehedge_payup_payupticks.Size = new System.Drawing.Size(100, 23);
+         this._textbox_prehedge_payup_payupticks.TabIndex = 21;
+         // 
+         // _textbox_prehedge_payup_threshold
+         // 
+         this._textbox_prehedge_payup_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_prehedge_payup_threshold.Location = new System.Drawing.Point(144, 156);
+         this._textbox_prehedge_payup_threshold.Name = "_textbox_prehedge_payup_threshold";
+         this._textbox_prehedge_payup_threshold.Size = new System.Drawing.Size(100, 23);
+         this._textbox_prehedge_payup_threshold.TabIndex = 20;
+         // 
+         // _textbox_prehedge_payless_threshold
+         // 
+         this._textbox_prehedge_payless_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_prehedge_payless_threshold.Location = new System.Drawing.Point(144, 59);
+         this._textbox_prehedge_payless_threshold.Name = "_textbox_prehedge_payless_threshold";
+         this._textbox_prehedge_payless_threshold.Size = new System.Drawing.Size(100, 23);
+         this._textbox_prehedge_payless_threshold.TabIndex = 17;
+         // 
+         // label13
+         // 
+         this.label13.AutoSize = true;
+         this.label13.Location = new System.Drawing.Point(44, 98);
+         this.label13.Name = "label13";
+         this.label13.Size = new System.Drawing.Size(74, 15);
+         this.label13.TabIndex = 14;
+         this.label13.Text = "Payless Ticks";
+         // 
+         // label14
+         // 
+         this.label14.AutoSize = true;
+         this.label14.Location = new System.Drawing.Point(44, 195);
+         this.label14.Name = "label14";
+         this.label14.Size = new System.Drawing.Size(69, 15);
+         this.label14.TabIndex = 12;
+         this.label14.Text = "Payup Ticks";
+         // 
+         // label15
+         // 
+         this.label15.AutoSize = true;
+         this.label15.Location = new System.Drawing.Point(44, 164);
+         this.label15.Name = "label15";
+         this.label15.Size = new System.Drawing.Size(59, 15);
+         this.label15.TabIndex = 11;
+         this.label15.Text = "Threshold";
+         // 
+         // _checkbox_prehedge_payup
+         // 
+         this._checkbox_prehedge_payup.AutoSize = true;
+         this._checkbox_prehedge_payup.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
+         this._checkbox_prehedge_payup.Location = new System.Drawing.Point(15, 129);
+         this._checkbox_prehedge_payup.Name = "_checkbox_prehedge_payup";
+         this._checkbox_prehedge_payup.Size = new System.Drawing.Size(64, 19);
+         this._checkbox_prehedge_payup.TabIndex = 19;
+         this._checkbox_prehedge_payup.Text = "Pay Up";
+         this._checkbox_prehedge_payup.UseVisualStyleBackColor = true;
+         this._checkbox_prehedge_payup.CheckedChanged += new System.EventHandler(this._checkbox_prehedge_payup_CheckedChanged);
+         // 
+         // label16
+         // 
+         this.label16.AutoSize = true;
+         this.label16.Location = new System.Drawing.Point(44, 67);
+         this.label16.Name = "label16";
+         this.label16.Size = new System.Drawing.Size(59, 15);
+         this.label16.TabIndex = 9;
+         this.label16.Text = "Threshold";
+         // 
+         // _checkbox_prehedge_payless
+         // 
+         this._checkbox_prehedge_payless.AutoSize = true;
+         this._checkbox_prehedge_payless.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
+         this._checkbox_prehedge_payless.Location = new System.Drawing.Point(15, 32);
+         this._checkbox_prehedge_payless.Name = "_checkbox_prehedge_payless";
+         this._checkbox_prehedge_payless.Size = new System.Drawing.Size(71, 19);
+         this._checkbox_prehedge_payless.TabIndex = 16;
+         this._checkbox_prehedge_payless.Text = "Pay Less";
+         this._checkbox_prehedge_payless.UseVisualStyleBackColor = true;
+         this._checkbox_prehedge_payless.CheckedChanged += new System.EventHandler(this._checkbox_prehedge_payless_CheckedChanged);
+         // 
+         // groupBox3
+         // 
+         this.groupBox3.Controls.Add(this._textbox_posthedge_sizebasedcross_crossticks);
+         this.groupBox3.Controls.Add(this._textbox_posthedge_sizebasedcross_threshold);
+         this.groupBox3.Controls.Add(this._textbox_posthedge_timesbasedcross_crossticks);
+         this.groupBox3.Controls.Add(this._textbox_posthedge_timesbasedcross_timems);
+         this.groupBox3.Controls.Add(this._textbox_posthedge_ticksawaycross_crossticks);
+         this.groupBox3.Controls.Add(this._textbox_posthedge_ticksawaycross_threshold);
+         this.groupBox3.Controls.Add(this.label20);
+         this.groupBox3.Controls.Add(this.label21);
+         this.groupBox3.Controls.Add(this._checkbox_posthedge_sizebasedcross);
+         this.groupBox3.Controls.Add(this.label12);
+         this.groupBox3.Controls.Add(this.label17);
+         this.groupBox3.Controls.Add(this.label18);
+         this.groupBox3.Controls.Add(this._checkbox_posthedge_timebasedcross);
+         this.groupBox3.Controls.Add(this.label19);
+         this.groupBox3.Controls.Add(this._checkbox_posthedge_ticksawaycross);
+         this.groupBox3.Location = new System.Drawing.Point(13, 882);
+         this.groupBox3.Name = "groupBox3";
+         this.groupBox3.Size = new System.Drawing.Size(264, 319);
+         this.groupBox3.TabIndex = 8;
+         this.groupBox3.TabStop = false;
+         this.groupBox3.Text = "Post-Hedge";
+         // 
+         // _textbox_posthedge_sizebasedcross_crossticks
+         // 
+         this._textbox_posthedge_sizebasedcross_crossticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_posthedge_sizebasedcross_crossticks.Location = new System.Drawing.Point(144, 276);
+         this._textbox_posthedge_sizebasedcross_crossticks.Name = "_textbox_posthedge_sizebasedcross_crossticks";
+         this._textbox_posthedge_sizebasedcross_crossticks.Size = new System.Drawing.Size(100, 23);
+         this._textbox_posthedge_sizebasedcross_crossticks.TabIndex = 30;
+         // 
+         // _textbox_posthedge_sizebasedcross_threshold
+         // 
+         this._textbox_posthedge_sizebasedcross_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_posthedge_sizebasedcross_threshold.Location = new System.Drawing.Point(144, 246);
+         this._textbox_posthedge_sizebasedcross_threshold.Name = "_textbox_posthedge_sizebasedcross_threshold";
+         this._textbox_posthedge_sizebasedcross_threshold.Size = new System.Drawing.Size(100, 23);
+         this._textbox_posthedge_sizebasedcross_threshold.TabIndex = 29;
+         // 
+         // _textbox_posthedge_timesbasedcross_crossticks
+         // 
+         this._textbox_posthedge_timesbasedcross_crossticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_posthedge_timesbasedcross_crossticks.Location = new System.Drawing.Point(144, 182);
+         this._textbox_posthedge_timesbasedcross_crossticks.Name = "_textbox_posthedge_timesbasedcross_crossticks";
+         this._textbox_posthedge_timesbasedcross_crossticks.Size = new System.Drawing.Size(100, 23);
+         this._textbox_posthedge_timesbasedcross_crossticks.TabIndex = 27;
+         // 
+         // _textbox_posthedge_timesbasedcross_timems
+         // 
+         this._textbox_posthedge_timesbasedcross_timems.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_posthedge_timesbasedcross_timems.Location = new System.Drawing.Point(144, 152);
+         this._textbox_posthedge_timesbasedcross_timems.Name = "_textbox_posthedge_timesbasedcross_timems";
+         this._textbox_posthedge_timesbasedcross_timems.Size = new System.Drawing.Size(100, 23);
+         this._textbox_posthedge_timesbasedcross_timems.TabIndex = 26;
+         // 
+         // _textbox_posthedge_ticksawaycross_crossticks
+         // 
+         this._textbox_posthedge_ticksawaycross_crossticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_posthedge_ticksawaycross_crossticks.Location = new System.Drawing.Point(144, 88);
+         this._textbox_posthedge_ticksawaycross_crossticks.Name = "_textbox_posthedge_ticksawaycross_crossticks";
+         this._textbox_posthedge_ticksawaycross_crossticks.Size = new System.Drawing.Size(100, 23);
+         this._textbox_posthedge_ticksawaycross_crossticks.TabIndex = 24;
+         // 
+         // _textbox_posthedge_ticksawaycross_threshold
+         // 
+         this._textbox_posthedge_ticksawaycross_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_posthedge_ticksawaycross_threshold.Location = new System.Drawing.Point(144, 58);
+         this._textbox_posthedge_ticksawaycross_threshold.Name = "_textbox_posthedge_ticksawaycross_threshold";
+         this._textbox_posthedge_ticksawaycross_threshold.Size = new System.Drawing.Size(100, 23);
+         this._textbox_posthedge_ticksawaycross_threshold.TabIndex = 23;
+         // 
+         // label20
+         // 
+         this.label20.AutoSize = true;
+         this.label20.Location = new System.Drawing.Point(44, 284);
+         this.label20.Name = "label20";
+         this.label20.Size = new System.Drawing.Size(65, 15);
+         this.label20.TabIndex = 17;
+         this.label20.Text = "Cross Ticks";
+         // 
+         // label21
+         // 
+         this.label21.AutoSize = true;
+         this.label21.Location = new System.Drawing.Point(44, 254);
+         this.label21.Name = "label21";
+         this.label21.Size = new System.Drawing.Size(59, 15);
+         this.label21.TabIndex = 16;
+         this.label21.Text = "Threshold";
+         // 
+         // _checkbox_posthedge_sizebasedcross
+         // 
+         this._checkbox_posthedge_sizebasedcross.AutoSize = true;
+         this._checkbox_posthedge_sizebasedcross.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
+         this._checkbox_posthedge_sizebasedcross.Location = new System.Drawing.Point(15, 220);
+         this._checkbox_posthedge_sizebasedcross.Name = "_checkbox_posthedge_sizebasedcross";
+         this._checkbox_posthedge_sizebasedcross.Size = new System.Drawing.Size(117, 19);
+         this._checkbox_posthedge_sizebasedcross.TabIndex = 28;
+         this._checkbox_posthedge_sizebasedcross.Text = "Size Based Cross";
+         this._checkbox_posthedge_sizebasedcross.UseVisualStyleBackColor = true;
+         this._checkbox_posthedge_sizebasedcross.CheckedChanged += new System.EventHandler(this._checkbox_posthedge_sizebasedcross_CheckedChanged);
+         // 
+         // label12
+         // 
+         this.label12.AutoSize = true;
+         this.label12.Location = new System.Drawing.Point(44, 96);
+         this.label12.Name = "label12";
+         this.label12.Size = new System.Drawing.Size(65, 15);
+         this.label12.TabIndex = 14;
+         this.label12.Text = "Cross Ticks";
+         // 
+         // label17
+         // 
+         this.label17.AutoSize = true;
+         this.label17.Location = new System.Drawing.Point(44, 190);
+         this.label17.Name = "label17";
+         this.label17.Size = new System.Drawing.Size(65, 15);
+         this.label17.TabIndex = 12;
+         this.label17.Text = "Cross Ticks";
+         // 
+         // label18
+         // 
+         this.label18.AutoSize = true;
+         this.label18.Location = new System.Drawing.Point(44, 160);
+         this.label18.Name = "label18";
+         this.label18.Size = new System.Drawing.Size(57, 15);
+         this.label18.TabIndex = 11;
+         this.label18.Text = "Time(ms)";
+         // 
+         // _checkbox_posthedge_timebasedcross
+         // 
+         this._checkbox_posthedge_timebasedcross.AutoSize = true;
+         this._checkbox_posthedge_timebasedcross.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
+         this._checkbox_posthedge_timebasedcross.Location = new System.Drawing.Point(15, 126);
+         this._checkbox_posthedge_timebasedcross.Name = "_checkbox_posthedge_timebasedcross";
+         this._checkbox_posthedge_timebasedcross.Size = new System.Drawing.Size(122, 19);
+         this._checkbox_posthedge_timebasedcross.TabIndex = 25;
+         this._checkbox_posthedge_timebasedcross.Text = "Time Based Cross";
+         this._checkbox_posthedge_timebasedcross.UseVisualStyleBackColor = true;
+         this._checkbox_posthedge_timebasedcross.CheckedChanged += new System.EventHandler(this._checkbox_posthedge_timebasedcross_CheckedChanged);
+         // 
+         // label19
+         // 
+         this.label19.AutoSize = true;
+         this.label19.Location = new System.Drawing.Point(44, 66);
+         this.label19.Name = "label19";
+         this.label19.Size = new System.Drawing.Size(59, 15);
+         this.label19.TabIndex = 9;
+         this.label19.Text = "Threshold";
+         // 
+         // _checkbox_posthedge_ticksawaycross
+         // 
+         this._checkbox_posthedge_ticksawaycross.AutoSize = true;
+         this._checkbox_posthedge_ticksawaycross.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
+         this._checkbox_posthedge_ticksawaycross.Location = new System.Drawing.Point(15, 32);
+         this._checkbox_posthedge_ticksawaycross.Name = "_checkbox_posthedge_ticksawaycross";
+         this._checkbox_posthedge_ticksawaycross.Size = new System.Drawing.Size(119, 19);
+         this._checkbox_posthedge_ticksawaycross.TabIndex = 22;
+         this._checkbox_posthedge_ticksawaycross.Text = "Ticks Away Cross";
+         this._checkbox_posthedge_ticksawaycross.UseVisualStyleBackColor = true;
+         this._checkbox_posthedge_ticksawaycross.CheckedChanged += new System.EventHandler(this._checkbox_posthedge_ticksawaycross_CheckedChanged);
+         // 
+         // _textbox_leg_qty
+         // 
+         this._textbox_leg_qty.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_leg_qty.Location = new System.Drawing.Point(157, 50);
+         this._textbox_leg_qty.Name = "_textbox_leg_qty";
+         this._textbox_leg_qty.Size = new System.Drawing.Size(100, 23);
+         this._textbox_leg_qty.TabIndex = 1;
+         this._textbox_leg_qty.Tag = "Double";
+         // 
+         // _checkbox_leg_enablequoting
+         // 
+         this._checkbox_leg_enablequoting.AutoSize = true;
+         this._checkbox_leg_enablequoting.Location = new System.Drawing.Point(157, 129);
+         this._checkbox_leg_enablequoting.Name = "_checkbox_leg_enablequoting";
+         this._checkbox_leg_enablequoting.Size = new System.Drawing.Size(15, 14);
+         this._checkbox_leg_enablequoting.TabIndex = 3;
+         this._checkbox_leg_enablequoting.UseVisualStyleBackColor = true;
+         // 
+         // _textbox_leg_leanqtyfactor
+         // 
+         this._textbox_leg_leanqtyfactor.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_leg_leanqtyfactor.Location = new System.Drawing.Point(157, 155);
+         this._textbox_leg_leanqtyfactor.Name = "_textbox_leg_leanqtyfactor";
+         this._textbox_leg_leanqtyfactor.Size = new System.Drawing.Size(100, 23);
+         this._textbox_leg_leanqtyfactor.TabIndex = 4;
+         // 
+         // _combobox_mdtype
+         // 
+         this._combobox_mdtype.AutoCompleteCustomSource.AddRange(new string[] {
+            "Merged",
+            "Direct"});
+         this._combobox_mdtype.FormattingEnabled = true;
+         this._combobox_mdtype.Location = new System.Drawing.Point(157, 190);
+         this._combobox_mdtype.Name = "_combobox_mdtype";
+         this._combobox_mdtype.Size = new System.Drawing.Size(100, 23);
+         this._combobox_mdtype.TabIndex = 5;
+         // 
+         // _textbox_leg_price_mult
+         // 
+         this._textbox_leg_price_mult.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
+         this._textbox_leg_price_mult.Location = new System.Drawing.Point(157, 85);
+         this._textbox_leg_price_mult.Name = "_textbox_leg_price_mult";
+         this._textbox_leg_price_mult.Size = new System.Drawing.Size(100, 23);
+         this._textbox_leg_price_mult.TabIndex = 2;
+         this._textbox_leg_price_mult.Tag = "Double";
+         // 
+         // label4
+         // 
+         this.label4.AutoSize = true;
+         this.label4.Location = new System.Drawing.Point(16, 93);
+         this.label4.Name = "label4";
+         this.label4.Size = new System.Drawing.Size(87, 15);
+         this.label4.TabIndex = 10;
+         this.label4.Text = "Price Multiplier";
+         // 
+         // _label_leanqty_factor
+         // 
+         this._label_leanqty_factor.AutoSize = true;
+         this._label_leanqty_factor.Location = new System.Drawing.Point(16, 163);
+         this._label_leanqty_factor.Name = "_label_leanqty_factor";
+         this._label_leanqty_factor.Size = new System.Drawing.Size(90, 15);
+         this._label_leanqty_factor.TabIndex = 4;
+         this._label_leanqty_factor.Text = "Lean Qty Factor";
+         // 
+         // LegControl
+         // 
+         this.AutoScaleDimensions = new System.Drawing.SizeF(7F, 15F);
+         this.AutoScaleMode = System.Windows.Forms.AutoScaleMode.Font;
+         this.BackColor = System.Drawing.Color.White;
+         this.Controls.Add(this._textbox_leg_price_mult);
+         this.Controls.Add(this.label4);
+         this.Controls.Add(this._combobox_mdtype);
+         this.Controls.Add(this._textbox_leg_leanqtyfactor);
+         this.Controls.Add(this._checkbox_leg_enablequoting);
+         this.Controls.Add(this._textbox_leg_qty);
+         this.Controls.Add(this.groupBox3);
+         this.Controls.Add(this.groupBox2);
+         this.Controls.Add(this.groupBox1);
+         this.Controls.Add(this.label5);
+         this.Controls.Add(this._label_leanqty_factor);
+         this.Controls.Add(this.label3);
+         this.Controls.Add(this.label2);
+         this.Controls.Add(this.label1);
+         this.Controls.Add(this._combobox_security);
+         this.Name = "LegControl";
+         this.Size = new System.Drawing.Size(291, 1220);
+         this.groupBox1.ResumeLayout(false);
+         this.groupBox1.PerformLayout();
+         this.groupBox2.ResumeLayout(false);
+         this.groupBox2.PerformLayout();
+         this.groupBox3.ResumeLayout(false);
+         this.groupBox3.PerformLayout();
+         this.ResumeLayout(false);
+         this.PerformLayout();
+
+        }
+
+        #endregion
+
+        private ComboBox _combobox_security;
+        private Label label1;
+        private Label label2;
+        private Label label3;
+        private Label label5;
+        private GroupBox groupBox1;
+        private Label label6;
+        private Label label11;
+        private CheckBox _checkbox_quote_insidemarketdistance;
+        private Label label10;
+        private CheckBox _checkbox_quote_conditional;
+        private Label label9;
+        private Label label8;
+        private CheckBox _checkbox_quote_throttle;
+        private Label label7;
+        private CheckBox _checkbox_quote_showqty;
+        private GroupBox groupBox2;
+        private Label label13;
+        private Label label14;
+        private Label label15;
+        private CheckBox _checkbox_prehedge_payup;
+        private Label label16;
+        private CheckBox _checkbox_prehedge_payless;
+        private GroupBox groupBox3;
+        private Label label20;
+        private Label label21;
+        private CheckBox _checkbox_posthedge_sizebasedcross;
+        private Label label12;
+        private Label label17;
+        private Label label18;
+        private CheckBox _checkbox_posthedge_timebasedcross;
+        private Label label19;
+        private CheckBox _checkbox_posthedge_ticksawaycross;
+        private TextBox _textbox_leg_qty;
+        private CheckBox _checkbox_leg_enablequoting;
+        private TextBox _textbox_leg_leanqtyfactor;
+        private ComboBox _combobox_mdtype;
+        private TextBox _textbox_quote_insidemarketdistance_towarddistance;
+        private TextBox _textbox_quote_conditional_ticks;
+        private TextBox _textbox_quote_throttle_outsideticks;
+        private TextBox _textbox_quote_throttle_insideticks;
+        private TextBox _textbox_quote_showqty_qty;
+        private TextBox _textbox_prehedge_payless_paylessticks;
+        private TextBox _textbox_prehedge_payup_payupticks;
+        private TextBox _textbox_prehedge_payup_threshold;
+        private TextBox _textbox_prehedge_payless_threshold;
+        private TextBox _textbox_posthedge_sizebasedcross_crossticks;
+        private TextBox _textbox_posthedge_sizebasedcross_threshold;
+        private TextBox _textbox_posthedge_timesbasedcross_crossticks;
+        private TextBox _textbox_posthedge_timesbasedcross_timems;
+        private TextBox _textbox_posthedge_ticksawaycross_crossticks;
+        private TextBox _textbox_posthedge_ticksawaycross_threshold;
+        private TextBox _textbox_quote_qho_length;
+        private TextBox _textbox_leg_price_mult;
+        private Label label4;
+        private Label _label_leanqty_factor;
+    }
+}

SpreaderFrontEnd/SpreaderFrontEnd/LegControl.cs

@@ -0,0 +1,305 @@
+using System;
+using System.Collections.Generic;
+using System.ComponentModel;
+using System.Data;
+using System.Drawing;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using System.Windows.Forms;
+using System.Diagnostics;
+using System.Reflection;
+
+namespace SpreaderFrontEnd {
+   // UI control that represents a spreader leg. This is hidden within the MainSpreaderForm
+   public partial class LegControl : UserControl {
+      private SpreaderLegContract _leg_contract = new SpreaderLegContract();
+      private IEnumerable<string> _securities = new List<string>();
+      public LegControl() {
+         InitializeComponent();
+      }
+      public void initialize(IEnumerable<string> securities, SpreaderLegContract? leg_contract) {
+         _securities = securities;
+         _leg_contract = leg_contract ?? new SpreaderLegContract();
+         _populate_ui();
+      }
+
+      #region Data -> UI
+
+      private void _populate_ui() {
+         _populate_basic();
+         _populate_quote();
+         _populate_prehedge();
+         _populate_posthedge();
+         _initialize_enablement();
+         _assign_events();
+      }
+
+      void _assign_events() {
+         foreach (System.Reflection.FieldInfo fi in GetType().GetFields(BindingFlags.NonPublic
+             | BindingFlags.Public
+             | BindingFlags.Instance)) {
+            if (fi.FieldType == typeof(TextBox)) {
+               object? val = fi.GetValue(this);
+               if (val != null) {
+                  TextBox? textbox = val as TextBox;
+                  if (textbox != null) {
+                     textbox.TextChanged += Textbox_TextChanged;
+                     textbox.EnabledChanged += Textbox_EnabledChanged;
+                  }
+               }
+            }
+         }
+      }
+
+      private void Textbox_EnabledChanged(object? sender, EventArgs e) {
+      }
+
+      private void Textbox_TextChanged(object? sender, EventArgs e) {
+         if (sender != null && sender is TextBox) {
+            TextBox? tb = sender as TextBox;
+            if (tb == null)
+               return;
+            if ("Double".Equals(tb.Tag)) {
+               double res;
+               bool parsed = Double.TryParse(tb.Text, out res);
+               tb.ForeColor = parsed ? Color.Black : Color.Red;
+            } else {
+               UInt32 res;
+               bool parsed = UInt32.TryParse(tb.Text, out res);
+               tb.ForeColor = parsed ? Color.Black : Color.Red;
+            }
+         }
+      }
+
+      void _populate_basic() {
+         // security
+         _combobox_security.Items.Clear();
+         List<string> securities_plus_empty = new List<string>(_securities);
+         securities_plus_empty.Add(String.Empty);
+         _combobox_security.Items.AddRange(securities_plus_empty.ToArray());
+         _combobox_security.Text = _leg_contract.security;
+         // qty etc
+         _textbox_leg_qty.Text = _leg_contract.qty.ToString();
+         _textbox_leg_price_mult.Text = _leg_contract.price_mult.ToString();
+         _checkbox_leg_enablequoting.Checked = _leg_contract.enable_quoting;
+         _textbox_leg_leanqtyfactor.Text = _leg_contract.lean_qty_factor.ToString();
+         _combobox_mdtype.Text = _leg_contract.md_type.ToString();
+      }
+
+      void _populate_quote() {
+         Debug.Assert(_leg_contract.quote_params != null);
+         var qp = _leg_contract.quote_params;
+         _textbox_quote_qho_length.Text = qp.qho_length.ToString();
+         // show qty
+         _checkbox_quote_showqty.Checked = qp.show_qty != null;
+         if (qp.show_qty != null) {
+            _checkbox_quote_showqty.Checked = true;
+            _textbox_quote_showqty_qty.Text = qp.show_qty.show_qty.ToString();
+         }
+         // throttle
+         _checkbox_quote_throttle.Checked = qp.throttle != null;
+         if (qp.throttle != null) {
+            _textbox_quote_throttle_insideticks.Text = qp.throttle.inside_ticks.ToString();
+            _textbox_quote_throttle_outsideticks.Text = qp.throttle.outside_ticks.ToString();
+         }
+         // conditional
+         _checkbox_quote_conditional.Checked = qp.conditional != null;
+         if (qp.conditional != null) {
+            _textbox_quote_conditional_ticks.Text = qp.conditional.ticks.ToString();
+         }
+         // inside market dist.
+         _checkbox_quote_insidemarketdistance.Checked = qp.inside_market_distance != null;
+         if (qp.inside_market_distance != null) {
+            _textbox_quote_insidemarketdistance_towarddistance.Text = qp.inside_market_distance.ToString();
+         }
+      }
+
+      void _populate_prehedge() {
+         var ph = _leg_contract.pre_hedge_params;
+         // payless
+         _checkbox_prehedge_payless.Checked = ph.payless != null;
+         if (ph.payless != null) {
+            _textbox_prehedge_payless_threshold.Text = ph.payless.threshold.ToString();
+            _textbox_prehedge_payless_paylessticks.Text = ph.payless.payless_ticks.ToString();
+         }
+         // payup
+         _checkbox_prehedge_payup.Checked = ph.payup != null;
+         if (ph.payup != null) {
+            _textbox_prehedge_payup_threshold.Text = ph.payup.threshold.ToString();
+            _textbox_prehedge_payup_payupticks.Text = ph.payup.payup_ticks.ToString();
+         }
+      }
+
+      void _populate_posthedge() {
+         var ph = _leg_contract.post_hedge_params;
+         _checkbox_posthedge_ticksawaycross.Checked = ph.ticks_away_cross != null;
+         // ticks away cross
+         if (ph.ticks_away_cross != null) {
+            _textbox_posthedge_ticksawaycross_threshold.Text = ph.ticks_away_cross.threshold.ToString();
+            _textbox_posthedge_ticksawaycross_crossticks.Text = ph.ticks_away_cross.cross_ticks.ToString();
+         }
+         //time based cross
+         _checkbox_posthedge_timebasedcross.Checked = ph.time_based_cross != null;
+         if (ph.time_based_cross != null) {
+            _textbox_posthedge_timesbasedcross_timems.Text = ph.time_based_cross.time_ms.ToString();
+            _textbox_posthedge_timesbasedcross_crossticks.Text = ph.time_based_cross.cross_ticks.ToString();
+         }
+         // size based cross
+         _checkbox_posthedge_sizebasedcross.Checked = ph.size_based_cross != null;
+         if (ph.size_based_cross != null) {
+            _textbox_posthedge_sizebasedcross_threshold.Text = ph.size_based_cross.threshold.ToString();
+            _textbox_posthedge_sizebasedcross_crossticks.Text = ph.size_based_cross.ToString();
+         }
+      }
+
+      // forces checkbox events so that the text boxes connected to it are enabled/disabled
+      private void _initialize_enablement() {
+         _checkbox_quote_showqty_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
+         _checkbox_quote_throttle_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
+         _checkbox_quote_conditional_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
+         _checkbox_quote_insidemarketdistance_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
+         _checkbox_prehedge_payless_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
+         _checkbox_prehedge_payup_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
+         _checkbox_posthedge_ticksawaycross_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
+         _checkbox_posthedge_timebasedcross_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
+         _checkbox_posthedge_sizebasedcross_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
+      }
+
+      #endregion
+
+      #region UI -> Data
+
+      public ParsedUIData<SpreaderLegContract> get_data() {
+         SpreaderLegContract rv = new SpreaderLegContract();
+         try {
+            // top part
+            rv.security = _combobox_security.Text;
+            rv.qty = Int32.Parse(_textbox_leg_qty.Text);
+            rv.price_mult = Double.Parse(_textbox_leg_price_mult.Text);
+            rv.enable_quoting = _checkbox_leg_enablequoting.Checked;
+            rv.lean_qty_factor = Double.Parse(_textbox_leg_leanqtyfactor.Text);
+            rv.md_type = SpreaderLegContract.MDType.Merged;
+            // Quote
+            rv.quote_params = new SpreaderLegContract.QuoteParams();
+            rv.quote_params.qho_length = String.IsNullOrEmpty(_textbox_quote_qho_length.Text) ? 0 :
+                UInt32.Parse(_textbox_quote_qho_length.Text);
+            rv.quote_params.show_qty = null;
+            if (_checkbox_quote_showqty.Checked) {
+               rv.quote_params.show_qty = new SpreaderLegContract.QuoteParams.ShowQty();
+               rv.quote_params.show_qty.show_qty = UInt32.Parse(_textbox_quote_showqty_qty.Text);
+            }
+            rv.quote_params.throttle = null;
+            if (_checkbox_quote_throttle.Checked) {
+               rv.quote_params.throttle = new SpreaderLegContract.QuoteParams.Throttle();
+               rv.quote_params.throttle.inside_ticks = UInt32.Parse(_textbox_quote_throttle_insideticks.Text);
+               rv.quote_params.throttle.outside_ticks = UInt32.Parse(_textbox_quote_throttle_outsideticks.Text);
+            }
+            rv.quote_params.conditional = null;
+            if (_checkbox_quote_conditional.Checked) {
+               rv.quote_params.conditional = new SpreaderLegContract.QuoteParams.Conditional();
+               rv.quote_params.conditional.ticks = Int32.Parse(_textbox_quote_conditional_ticks.Text);
+            }
+            rv.quote_params.inside_market_distance = null;
+            if (_checkbox_quote_insidemarketdistance.Checked) {
+               rv.quote_params.inside_market_distance = new SpreaderLegContract.QuoteParams.InsideMarketDistance();
+               rv.quote_params.inside_market_distance.toward_distance =
+                     UInt32.Parse(_textbox_quote_insidemarketdistance_towarddistance.Text);
+            }
+            //Pre-Hedge
+            rv.pre_hedge_params = new SpreaderLegContract.PreHedgeParams();
+            rv.pre_hedge_params.payless = null;
+            if (_checkbox_prehedge_payless.Checked) {
+               rv.pre_hedge_params.payless = new SpreaderLegContract.PreHedgeParams.PayLess();
+               rv.pre_hedge_params.payless.threshold = UInt32.Parse(_textbox_prehedge_payless_threshold.Text);
+               rv.pre_hedge_params.payless.payless_ticks =
+                  UInt32.Parse(_textbox_prehedge_payless_paylessticks.Text);
+            }
+            rv.pre_hedge_params.payup = null;
+            if (_checkbox_prehedge_payup.Checked) {
+               rv.pre_hedge_params.payup = new SpreaderLegContract.PreHedgeParams.PayUp();
+               rv.pre_hedge_params.payup.threshold = UInt32.Parse(_textbox_prehedge_payup_threshold.Text);
+               rv.pre_hedge_params.payup.payup_ticks = UInt32.Parse(_textbox_prehedge_payup_payupticks.Text);
+            }
+            //Post-Hedge
+            rv.post_hedge_params = new SpreaderLegContract.PostHedgeParams();
+            rv.post_hedge_params.ticks_away_cross = null;
+            if (_checkbox_posthedge_ticksawaycross.Checked) {
+               rv.post_hedge_params.ticks_away_cross = new SpreaderLegContract.PostHedgeParams.TicksAwayCross();
+               rv.post_hedge_params.ticks_away_cross.threshold = UInt32.Parse(_textbox_posthedge_ticksawaycross_threshold.Text);
+               rv.post_hedge_params.ticks_away_cross.cross_ticks = UInt32.Parse(_textbox_posthedge_ticksawaycross_crossticks.Text);
+            }
+            rv.post_hedge_params.time_based_cross = null;
+            if (_checkbox_posthedge_timebasedcross.Checked) {
+               rv.post_hedge_params.time_based_cross = new SpreaderLegContract.PostHedgeParams.TimeBasedCross();
+               rv.post_hedge_params.time_based_cross.time_ms =
+                  UInt32.Parse(_textbox_posthedge_timesbasedcross_timems.Text);
+               rv.post_hedge_params.time_based_cross.cross_ticks =
+                  UInt32.Parse(_textbox_posthedge_timesbasedcross_crossticks.Text);
+            }
+            rv.post_hedge_params.size_based_cross = null;
+            if (_checkbox_posthedge_sizebasedcross.Checked) {
+               rv.post_hedge_params.size_based_cross = new SpreaderLegContract.PostHedgeParams.SizedBasedCross();
+               rv.post_hedge_params.size_based_cross.threshold = UInt32.Parse(_textbox_posthedge_sizebasedcross_threshold.Text);
+               rv.post_hedge_params.size_based_cross.cross_ticks = UInt32.Parse(_textbox_posthedge_sizebasedcross_crossticks.Text);
+            }
+         }
+         catch(Exception ex) {
+            return new ParsedUIData<SpreaderLegContract>(null, true, ex.Message);
+         }
+         return new ParsedUIData<SpreaderLegContract>(rv, false, String.Empty);
+      }
+
+      #endregion
+
+      public SpreaderLegContract get_contract() {
+         return null;
+      }
+
+      #region Checkbox Check Change Events
+
+      private void _checkbox_quote_showqty_CheckedChanged(object sender, EventArgs e) {
+         _textbox_quote_showqty_qty.Enabled = _checkbox_quote_showqty.Checked;
+      }
+
+      private void _checkbox_quote_throttle_CheckedChanged(object sender, EventArgs e) {
+         _textbox_quote_throttle_insideticks.Enabled = _checkbox_quote_throttle.Checked;
+         _textbox_quote_throttle_outsideticks.Enabled = _checkbox_quote_throttle.Checked;
+      }
+
+      private void _checkbox_quote_conditional_CheckedChanged(object sender, EventArgs e) {
+         _textbox_quote_conditional_ticks.Enabled = _checkbox_quote_conditional.Checked;
+      }
+
+      private void _checkbox_quote_insidemarketdistance_CheckedChanged(object sender, EventArgs e) {
+         _textbox_quote_insidemarketdistance_towarddistance.Enabled = _checkbox_quote_insidemarketdistance.Checked;
+      }
+
+      private void _checkbox_prehedge_payless_CheckedChanged(object sender, EventArgs e) {
+         _textbox_prehedge_payless_threshold.Enabled = _checkbox_prehedge_payless.Checked;
+         _textbox_prehedge_payless_paylessticks.Enabled = _checkbox_prehedge_payless.Checked;
+      }
+
+      private void _checkbox_prehedge_payup_CheckedChanged(object sender, EventArgs e) {
+         _textbox_prehedge_payup_threshold.Enabled = _checkbox_prehedge_payup.Checked;
+         _textbox_prehedge_payup_payupticks.Enabled = _checkbox_prehedge_payup.Checked;
+      }
+
+      private void _checkbox_posthedge_ticksawaycross_CheckedChanged(object sender, EventArgs e) {
+         _textbox_posthedge_ticksawaycross_threshold.Enabled = _checkbox_posthedge_ticksawaycross.Checked;
+         _textbox_posthedge_ticksawaycross_crossticks.Enabled = _checkbox_posthedge_ticksawaycross.Checked;
+      }
+
+      private void _checkbox_posthedge_timebasedcross_CheckedChanged(object sender, EventArgs e) {
+         _textbox_posthedge_timesbasedcross_timems.Enabled = _checkbox_posthedge_timebasedcross.Checked;
+         _textbox_posthedge_timesbasedcross_crossticks.Enabled = _checkbox_posthedge_timebasedcross.Checked;
+      }
+
+      private void _checkbox_posthedge_sizebasedcross_CheckedChanged(object sender, EventArgs e) {
+         _textbox_posthedge_sizebasedcross_threshold.Enabled = _checkbox_posthedge_sizebasedcross.Checked;
+         _textbox_posthedge_sizebasedcross_crossticks.Enabled = _checkbox_posthedge_sizebasedcross.Checked;
+      }
+
+      #endregion
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/LegControl.resx

@@ -0,0 +1,60 @@
+<root>
+  <xsd:schema id="root" xmlns="" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns:msdata="urn:schemas-microsoft-com:xml-msdata">
+    <xsd:import namespace="http://www.w3.org/XML/1998/namespace" />
+    <xsd:element name="root" msdata:IsDataSet="true">
+      <xsd:complexType>
+        <xsd:choice maxOccurs="unbounded">
+          <xsd:element name="metadata">
+            <xsd:complexType>
+              <xsd:sequence>
+                <xsd:element name="value" type="xsd:string" minOccurs="0" />
+              </xsd:sequence>
+              <xsd:attribute name="name" use="required" type="xsd:string" />
+              <xsd:attribute name="type" type="xsd:string" />
+              <xsd:attribute name="mimetype" type="xsd:string" />
+              <xsd:attribute ref="xml:space" />
+            </xsd:complexType>
+          </xsd:element>
+          <xsd:element name="assembly">
+            <xsd:complexType>
+              <xsd:attribute name="alias" type="xsd:string" />
+              <xsd:attribute name="name" type="xsd:string" />
+            </xsd:complexType>
+          </xsd:element>
+          <xsd:element name="data">
+            <xsd:complexType>
+              <xsd:sequence>
+                <xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
+                <xsd:element name="comment" type="xsd:string" minOccurs="0" msdata:Ordinal="2" />
+              </xsd:sequence>
+              <xsd:attribute name="name" type="xsd:string" use="required" msdata:Ordinal="1" />
+              <xsd:attribute name="type" type="xsd:string" msdata:Ordinal="3" />
+              <xsd:attribute name="mimetype" type="xsd:string" msdata:Ordinal="4" />
+              <xsd:attribute ref="xml:space" />
+            </xsd:complexType>
+          </xsd:element>
+          <xsd:element name="resheader">
+            <xsd:complexType>
+              <xsd:sequence>
+                <xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
+              </xsd:sequence>
+              <xsd:attribute name="name" type="xsd:string" use="required" />
+            </xsd:complexType>
+          </xsd:element>
+        </xsd:choice>
+      </xsd:complexType>
+    </xsd:element>
+  </xsd:schema>
+  <resheader name="resmimetype">
+    <value>text/microsoft-resx</value>
+  </resheader>
+  <resheader name="version">
+    <value>2.0</value>
+  </resheader>
+  <resheader name="reader">
+    <value>System.Resources.ResXResourceReader, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
+  </resheader>
+  <resheader name="writer">
+    <value>System.Resources.ResXResourceWriter, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
+  </resheader>
+</root>

SpreaderFrontEnd/SpreaderFrontEnd/MainSpreaderForm.Designer.cs

@@ -0,0 +1,152 @@
+using System.Windows.Forms;
+
+namespace SpreaderFrontEnd
+{
+    partial class MainSpreaderForm
+    {
+        /// <summary>
+        /// Required designer variable.
+        /// </summary>
+        private System.ComponentModel.IContainer components = null;
+
+        /// <summary>
+        /// Clean up any resources being used.
+        /// </summary>
+        /// <param name="disposing">true if managed resources should be disposed; otherwise, false.</param>
+        protected override void Dispose(bool disposing)
+        {
+            if (disposing && (components != null))
+            {
+                components.Dispose();
+            }
+            base.Dispose(disposing);
+        }
+
+        #region Windows Form Designer generated code
+
+        /// <summary>
+        /// Required method for Designer support - do not modify
+        /// the contents of this method with the code editor.
+        /// </summary>
+        private void InitializeComponent()
+        {
+         this._button_ok = new System.Windows.Forms.Button();
+         this._button_cancel = new System.Windows.Forms.Button();
+         this._label_spreader_name = new System.Windows.Forms.Label();
+         this._textbox_spreader_name = new System.Windows.Forms.TextBox();
+         this._legcontrol1 = new SpreaderFrontEnd.LegControl();
+         this._legcontrol2 = new SpreaderFrontEnd.LegControl();
+         this._legcontrol3 = new SpreaderFrontEnd.LegControl();
+         this._legcontrol4 = new SpreaderFrontEnd.LegControl();
+         this._legcontrol5 = new SpreaderFrontEnd.LegControl();
+         this.SuspendLayout();
+         // 
+         // _button_ok
+         // 
+         this._button_ok.Location = new System.Drawing.Point(1231, 1306);
+         this._button_ok.Name = "_button_ok";
+         this._button_ok.Size = new System.Drawing.Size(120, 33);
+         this._button_ok.TabIndex = 4;
+         this._button_ok.Text = "OK";
+         this._button_ok.UseVisualStyleBackColor = false;
+         this._button_ok.Click += new System.EventHandler(this._button_ok_Click);
+         // 
+         // _button_cancel
+         // 
+         this._button_cancel.Location = new System.Drawing.Point(1380, 1306);
+         this._button_cancel.Name = "_button_cancel";
+         this._button_cancel.Size = new System.Drawing.Size(121, 33);
+         this._button_cancel.TabIndex = 5;
+         this._button_cancel.Text = "Cancel";
+         this._button_cancel.UseVisualStyleBackColor = false;
+         this._button_cancel.Click += new System.EventHandler(this._button_cancel_Click);
+         // 
+         // _label_spreader_name
+         // 
+         this._label_spreader_name.AutoSize = true;
+         this._label_spreader_name.Location = new System.Drawing.Point(22, 28);
+         this._label_spreader_name.Name = "_label_spreader_name";
+         this._label_spreader_name.Size = new System.Drawing.Size(88, 15);
+         this._label_spreader_name.TabIndex = 6;
+         this._label_spreader_name.Text = "Spreader Name";
+         // 
+         // _textbox_spreader_name
+         // 
+         this._textbox_spreader_name.Location = new System.Drawing.Point(116, 25);
+         this._textbox_spreader_name.Name = "_textbox_spreader_name";
+         this._textbox_spreader_name.Size = new System.Drawing.Size(343, 23);
+         this._textbox_spreader_name.TabIndex = 0;
+         // 
+         // _legcontrol1
+         // 
+         this._legcontrol1.BackColor = System.Drawing.Color.White;
+         this._legcontrol1.Location = new System.Drawing.Point(22, 67);
+         this._legcontrol1.Name = "_legcontrol1";
+         this._legcontrol1.Size = new System.Drawing.Size(291, 1220);
+         this._legcontrol1.TabIndex = 1;
+         // 
+         // _legcontrol2
+         // 
+         this._legcontrol2.BackColor = System.Drawing.Color.White;
+         this._legcontrol2.Location = new System.Drawing.Point(319, 67);
+         this._legcontrol2.Name = "_legcontrol2";
+         this._legcontrol2.Size = new System.Drawing.Size(291, 1220);
+         this._legcontrol2.TabIndex = 2;
+         // 
+         // _legcontrol3
+         // 
+         this._legcontrol3.BackColor = System.Drawing.Color.White;
+         this._legcontrol3.Location = new System.Drawing.Point(616, 67);
+         this._legcontrol3.Name = "_legcontrol3";
+         this._legcontrol3.Size = new System.Drawing.Size(291, 1220);
+         this._legcontrol3.TabIndex = 3;
+         // 
+         // _legcontrol4
+         // 
+         this._legcontrol4.BackColor = System.Drawing.Color.White;
+         this._legcontrol4.Location = new System.Drawing.Point(913, 67);
+         this._legcontrol4.Name = "_legcontrol4";
+         this._legcontrol4.Size = new System.Drawing.Size(291, 1220);
+         this._legcontrol4.TabIndex = 4;
+         // 
+         // _legcontrol5
+         // 
+         this._legcontrol5.BackColor = System.Drawing.Color.White;
+         this._legcontrol5.Location = new System.Drawing.Point(1210, 67);
+         this._legcontrol5.Name = "_legcontrol5";
+         this._legcontrol5.Size = new System.Drawing.Size(291, 1220);
+         this._legcontrol5.TabIndex = 5;
+         // 
+         // MainSpreaderForm
+         // 
+         this.AutoScaleDimensions = new System.Drawing.SizeF(7F, 15F);
+         this.AutoScaleMode = System.Windows.Forms.AutoScaleMode.Font;
+         this.ClientSize = new System.Drawing.Size(1517, 1363);
+         this.Controls.Add(this._legcontrol5);
+         this.Controls.Add(this._legcontrol4);
+         this.Controls.Add(this._legcontrol3);
+         this.Controls.Add(this._legcontrol2);
+         this.Controls.Add(this._legcontrol1);
+         this.Controls.Add(this._textbox_spreader_name);
+         this.Controls.Add(this._label_spreader_name);
+         this.Controls.Add(this._button_cancel);
+         this.Controls.Add(this._button_ok);
+         this.Name = "MainSpreaderForm";
+         this.Text = "MainSpreaderForm";
+         this.ResumeLayout(false);
+         this.PerformLayout();
+
+        }
+
+        #endregion
+        private Button _button_ok;
+        private Button _button_cancel;
+        private Label _label_spreader_name;
+        private TextBox _textbox_spreader_name;
+        private LegControl _legcontrol1;
+        private LegControl _legcontrol2;
+        private LegControl _legcontrol3;
+        private LegControl _legcontrol4;
+        private LegControl _legcontrol5;
+    }
+}

SpreaderFrontEnd/SpreaderFrontEnd/MainSpreaderForm.cs

@@ -0,0 +1,81 @@
+using System;
+using System.Collections.Generic;
+using System.ComponentModel;
+using System.Data;
+using System.Drawing;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using System.Windows.Forms;
+
+namespace SpreaderFrontEnd {
+   // This is the main UI widget. It is passed a list of securities and a SpreaderContract.
+   // The SpreaderContract can be empty (which will be the case when creating a new spreader).
+   // It has 3 public facing members (other than the constructor),
+   // 2 events that tell whether OK or Cancel was hit, respectively,
+   // and get_spreader_contract that returns a ParsedUIData<SpreaderContract>
+
+   public partial class MainSpreaderForm : Form {
+      private IEnumerable<LegControl> _leg_controls;
+      public Action on_OK = () => { };
+      public Action on_cancel = () => { };
+      private readonly IEnumerable<string> _securities;
+      private SpreaderContract _spreader_contract;
+
+      public MainSpreaderForm(IEnumerable<string> securities,
+                              SpreaderContract spreader_contract)
+          : base() {
+         InitializeComponent();
+         _leg_controls = new LegControl[] { _legcontrol1, _legcontrol2, _legcontrol3, _legcontrol4, _legcontrol5 };
+         _securities = securities;
+         System.Diagnostics.Debug.Assert(spreader_contract != null);
+         // System.Diagnostics.Debug.Assert(spreader_contract.spread_legs.Count() == SpreaderContract.max_nlegs);
+         _spreader_contract = spreader_contract;
+         _textbox_spreader_name.Text = _spreader_contract.name;
+         for (var i = 0; i < _leg_controls.Count(); i++) {
+            SpreaderLegContract? lc = i < _spreader_contract.spread_legs.Count() ?
+                _spreader_contract.spread_legs.ElementAt(i) : null;
+            _leg_controls.ElementAt(i).initialize(securities, lc);
+         }
+      }
+
+      public ParsedUIData<SpreaderContract> get_spreader_contract() {
+         if (String.IsNullOrEmpty(_textbox_spreader_name.Text)) {
+            return new ParsedUIData<SpreaderContract>(null, true, "Spreader name is not set");
+         }
+         List<SpreaderLegContract> leg_contracts = new List<SpreaderLegContract>();
+         uint i = 0;
+         foreach (LegControl lc in _leg_controls) {
+            i++;
+            var leg_res = lc.get_data();
+            if (leg_res.is_error) {
+               return new ParsedUIData<SpreaderContract>(null, true, $"Leg: {i} is not set correctly");
+            }
+            leg_contracts.Add(leg_res.ui_data);
+         }
+         IEnumerable<SpreaderLegContract> leg_contracts_rv = 
+               leg_contracts.Where(l => !String.IsNullOrEmpty(l.security));
+         if (leg_contracts_rv.Count() <= 1) {
+            return new ParsedUIData<SpreaderContract>(
+               null, true, "Spreader needs at least 2 legs");
+         }
+         // check the number of legs
+         return new ParsedUIData<SpreaderContract>(
+            new SpreaderContract(_textbox_spreader_name.Text, leg_contracts_rv), false, String.Empty);
+      }
+
+      private void _button_ok_Click(object sender, EventArgs e) {
+         ParsedUIData<SpreaderContract> ui_data = get_spreader_contract();
+         if (ui_data.is_error) {
+            string err_txt = $"The following error happened \n{ui_data.error_txt}";
+            System.Windows.Forms.MessageBox.Show(err_txt, "Spreader Error", MessageBoxButtons.OK, MessageBoxIcon.Error);
+            return;
+         }
+         on_OK();
+      }
+
+      private void _button_cancel_Click(object sender, EventArgs e) {
+         on_cancel();
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/MainSpreaderForm.resx

@@ -0,0 +1,60 @@
+<root>
+  <xsd:schema id="root" xmlns="" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns:msdata="urn:schemas-microsoft-com:xml-msdata">
+    <xsd:import namespace="http://www.w3.org/XML/1998/namespace" />
+    <xsd:element name="root" msdata:IsDataSet="true">
+      <xsd:complexType>
+        <xsd:choice maxOccurs="unbounded">
+          <xsd:element name="metadata">
+            <xsd:complexType>
+              <xsd:sequence>
+                <xsd:element name="value" type="xsd:string" minOccurs="0" />
+              </xsd:sequence>
+              <xsd:attribute name="name" use="required" type="xsd:string" />
+              <xsd:attribute name="type" type="xsd:string" />
+              <xsd:attribute name="mimetype" type="xsd:string" />
+              <xsd:attribute ref="xml:space" />
+            </xsd:complexType>
+          </xsd:element>
+          <xsd:element name="assembly">
+            <xsd:complexType>
+              <xsd:attribute name="alias" type="xsd:string" />
+              <xsd:attribute name="name" type="xsd:string" />
+            </xsd:complexType>
+          </xsd:element>
+          <xsd:element name="data">
+            <xsd:complexType>
+              <xsd:sequence>
+                <xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
+                <xsd:element name="comment" type="xsd:string" minOccurs="0" msdata:Ordinal="2" />
+              </xsd:sequence>
+              <xsd:attribute name="name" type="xsd:string" use="required" msdata:Ordinal="1" />
+              <xsd:attribute name="type" type="xsd:string" msdata:Ordinal="3" />
+              <xsd:attribute name="mimetype" type="xsd:string" msdata:Ordinal="4" />
+              <xsd:attribute ref="xml:space" />
+            </xsd:complexType>
+          </xsd:element>
+          <xsd:element name="resheader">
+            <xsd:complexType>
+              <xsd:sequence>
+                <xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
+              </xsd:sequence>
+              <xsd:attribute name="name" type="xsd:string" use="required" />
+            </xsd:complexType>
+          </xsd:element>
+        </xsd:choice>
+      </xsd:complexType>
+    </xsd:element>
+  </xsd:schema>
+  <resheader name="resmimetype">
+    <value>text/microsoft-resx</value>
+  </resheader>
+  <resheader name="version">
+    <value>2.0</value>
+  </resheader>
+  <resheader name="reader">
+    <value>System.Resources.ResXResourceReader, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
+  </resheader>
+  <resheader name="writer">
+    <value>System.Resources.ResXResourceWriter, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
+  </resheader>
+</root>

SpreaderFrontEnd/SpreaderFrontEnd/ParsedUIData.cs

@@ -0,0 +1,20 @@
+namespace SpreaderFrontEnd {
+   using System;
+   using System.Collections.Generic;
+   using System.Linq;
+   using System.Text;
+   using System.Threading.Tasks;
+
+
+   public class ParsedUIData<T> {
+      public readonly T ui_data;
+      public readonly bool is_error;
+      public readonly string error_txt;
+
+      public ParsedUIData(T ui_data, bool is_error, string error_txt) {
+         this.ui_data = ui_data;
+         this.is_error = is_error;
+         this.error_txt = error_txt;
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/Program.cs

@@ -0,0 +1,18 @@
+using System;
+using System.Windows.Forms;
+
+namespace SpreaderFrontEnd {
+   internal static class Program {
+      /// <summary>
+      ///  The main entry point for the application.
+      /// </summary>
+      [STAThread]
+      static void Main() {
+         SyntheticBookTest.run();
+         // To customize application configuration such as set high DPI settings or default font,
+         // see https://aka.ms/applicationconfiguration.
+         ApplicationConfiguration.Initialize();
+         Application.Run(new TestForm());
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/SpreaderContract.cs

@@ -0,0 +1,35 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace SpreaderFrontEnd
+{
+    [Serializable]
+   // Represents a spreader contract (anologous ot the protobuf on the C++ side)
+   // We could have generated managed wrappers from the protobuf, but we did not want
+   // to make your build process complicated hence opted for this class.
+   // It is quite simply a wrapper around an enumeration of SpreaderLegContract
+   public class SpreaderContract
+    {
+        public static uint max_nlegs = 5;
+        public string name = String.Empty;
+        public IList<SpreaderLegContract> spread_legs = new List<SpreaderLegContract>();
+
+        public SpreaderContract(string name, IEnumerable<SpreaderLegContract> spread_legs)
+        {
+            this.name = name;
+            this.spread_legs = spread_legs.ToList();
+        }
+
+        public static SpreaderContract empty
+        {
+            get
+            {
+                return new SpreaderContract("UNNAMED",
+                          Enumerable.Repeat<SpreaderLegContract>(new SpreaderLegContract(), 5));
+            }
+        }
+    }
+}

SpreaderFrontEnd/SpreaderFrontEnd/SpreaderFrontEnd.csproj

@@ -0,0 +1,11 @@
+<Project Sdk="Microsoft.NET.Sdk">
+
+  <PropertyGroup>
+    <OutputType>WinExe</OutputType>
+    <TargetFramework>net6.0-windows</TargetFramework>
+    <Nullable>enable</Nullable>
+    <UseWindowsForms>true</UseWindowsForms>
+    <LanguageVersion>7</LanguageVersion>
+  </PropertyGroup>
+
+</Project>

SpreaderFrontEnd/SpreaderFrontEnd/SpreaderLegContract.cs

@@ -0,0 +1,90 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace SpreaderFrontEnd
+{
+    [Serializable]
+    // Represents a single leg of the spreader. It is made up of
+    // 1. a main section consisting of the security, qty, price mult etc
+    // 2. Quote parameters
+    // 3. Pre-Hedge parameters
+    // 4. Post-Hedge parameters
+    // It maps pretty directly to the UI (LegControl)
+    public class SpreaderLegContract
+    {
+        public enum MDType { 
+            Direct = 0,
+            Merged = 1,
+        }
+         
+        public string security = String.Empty;
+        public int qty = 1;
+        public double price_mult = 1;
+        public bool enable_quoting = false;
+        public double lean_qty_factor = 1;
+        public MDType md_type = MDType.Direct;
+        public QuoteParams quote_params = new QuoteParams();
+        public PreHedgeParams pre_hedge_params = new PreHedgeParams();
+        public PostHedgeParams post_hedge_params = new PostHedgeParams();
+
+        public class QuoteParams
+        {
+            public class ShowQty {
+                public UInt32 show_qty = 1;
+            }
+            public class Throttle {
+                public UInt32 inside_ticks = 0;
+                public UInt32 outside_ticks = 0;
+            }
+            public class Conditional {
+                public Int32 ticks = 0;
+            }
+            public class InsideMarketDistance {
+                public UInt32 toward_distance = 0;
+            }
+            public UInt32 qho_length = 0;
+            public ShowQty? show_qty = null;
+            public Throttle? throttle = null;
+            public Conditional? conditional = null;
+            public InsideMarketDistance? inside_market_distance = null;
+        }
+
+        public class PreHedgeParams
+        {
+            public class PayLess {
+                public UInt32 threshold = 0;
+                public UInt32 payless_ticks = 0;
+            }
+            public class PayUp
+            {
+                public UInt32 threshold = 0;
+                public UInt32 payup_ticks = 0;
+            }
+            public PayLess? payless = null;
+            public PayUp? payup = null;
+        }
+
+        public class PostHedgeParams
+        {
+            public class TicksAwayCross {
+                public UInt32 threshold = 0;
+                public UInt32 cross_ticks = 0;
+            }
+            public class TimeBasedCross {
+                public UInt32 time_ms = 0;
+                public UInt32 cross_ticks = 0;
+            }
+            public class SizedBasedCross {
+                public UInt32 threshold = 0;
+                public UInt32 cross_ticks = 0;
+            }
+            public TicksAwayCross? ticks_away_cross = null;
+            public TimeBasedCross? time_based_cross = null;
+            public SizedBasedCross? size_based_cross = null;
+        }
+
+    }
+}

SpreaderFrontEnd/SpreaderFrontEnd/TestForm.Designer.cs

@@ -0,0 +1,79 @@
+using System.Windows.Forms;
+
+namespace SpreaderFrontEnd
+{
+    partial class TestForm
+    {
+        /// <summary>
+        ///  Required designer variable.
+        /// </summary>
+        private System.ComponentModel.IContainer components = null;
+
+        /// <summary>
+        ///  Clean up any resources being used.
+        /// </summary>
+        /// <param name="disposing">true if managed resources should be disposed; otherwise, false.</param>
+        protected override void Dispose(bool disposing)
+        {
+            if (disposing && (components != null))
+            {
+                components.Dispose();
+            }
+            base.Dispose(disposing);
+        }
+
+        #region Windows Form Designer generated code
+
+        /// <summary>
+        ///  Required method for Designer support - do not modify
+        ///  the contents of this method with the code editor.
+        /// </summary>
+        private void InitializeComponent()
+        {
+            this._button_launch_new = new System.Windows.Forms.Button();
+            this._button_load_existing = new System.Windows.Forms.Button();
+            this.SuspendLayout();
+            // 
+            // _button_launch_new
+            // 
+            this._button_launch_new.Location = new System.Drawing.Point(96, 46);
+            this._button_launch_new.Name = "_button_launch_new";
+            this._button_launch_new.Size = new System.Drawing.Size(169, 26);
+            this._button_launch_new.TabIndex = 0;
+            this._button_launch_new.Text = "Launch New";
+            this._button_launch_new.UseVisualStyleBackColor = true;
+            this._button_launch_new.Click += new System.EventHandler(this._button_launch_new_Click);
+            // 
+            // _button_load_existing
+            // 
+            this._button_load_existing.Location = new System.Drawing.Point(96, 114);
+            this._button_load_existing.Name = "_button_load_existing";
+            this._button_load_existing.Size = new System.Drawing.Size(169, 26);
+            this._button_load_existing.TabIndex = 1;
+            this._button_load_existing.Text = "Load Existing";
+            this._button_load_existing.UseVisualStyleBackColor = true;
+            this._button_load_existing.Click += new System.EventHandler(this._button_load_existing_Click);
+            // 
+            // TestForm
+            // 
+            this.AutoScaleDimensions = new System.Drawing.SizeF(7F, 15F);
+            this.AutoScaleMode = System.Windows.Forms.AutoScaleMode.Font;
+            this.ClientSize = new System.Drawing.Size(371, 213);
+            this.Controls.Add(this._button_load_existing);
+            this.Controls.Add(this._button_launch_new);
+            this.FormBorderStyle = System.Windows.Forms.FormBorderStyle.FixedSingle;
+            this.MaximizeBox = false;
+            this.MinimizeBox = false;
+            this.Name = "TestForm";
+            this.SizeGripStyle = System.Windows.Forms.SizeGripStyle.Hide;
+            this.Text = "Test Launcher";
+            this.ResumeLayout(false);
+
+        }
+
+        #endregion
+
+        private Button _button_launch_new;
+        private Button _button_load_existing;
+    }
+}

SpreaderFrontEnd/SpreaderFrontEnd/TestForm.cs

@@ -0,0 +1,91 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Windows.Forms;
+
+namespace SpreaderFrontEnd {
+   // Test class that demostrates how to use the MainSpreaderForm.
+   // It has 2 buttons. "Launch New" launches a brand new spreader (empty UI)
+   // while "Launch Existing" loads the MainSpreaderForm with an existing
+   // spreader (hard coded arbitrary values)
+   public partial class TestForm : Form {
+      private IEnumerable<string> _securities = new string[] {
+            "ZCG23",
+            "ZCH23",
+            "ZCJ23",
+            "ZCL23",
+            "ZCM23"
+        };
+
+      public TestForm() {
+         InitializeComponent();
+      }
+
+      private void _button_launch_new_Click(object sender, EventArgs e) {
+         _show_form(SpreaderContract.empty);
+      }
+
+      private void _button_load_existing_Click(object sender, EventArgs e) {
+         var sc = _generate_test_contract();
+         _show_form(sc);
+      }
+
+      private void _show_form(SpreaderContract spreader_contract) {
+         MainSpreaderForm f = new MainSpreaderForm(_securities, spreader_contract);
+         f.on_OK = () => {
+            MessageBox.Show("Received OK", "OK", MessageBoxButtons.OK, MessageBoxIcon.Information);
+            f.Close();
+         };
+         f.on_cancel = () => {
+            MessageBox.Show("Received Cancel", "Cancel", MessageBoxButtons.OK, MessageBoxIcon.Warning);
+            f.Close();
+         };
+         f.ShowDialog();
+      }
+
+      private SpreaderContract _generate_test_contract() {
+         List<SpreaderLegContract> lcs = new List<SpreaderLegContract>();
+         for (uint i = 0; i < 3; i++) {
+            SpreaderLegContract lc = _generate_test_leg_contract(i);
+            lcs.Add(lc);
+         }
+         SpreaderContract sc = new SpreaderContract("TEST SPREADER", lcs);
+         return sc;
+      }
+
+      private SpreaderLegContract _generate_test_leg_contract(uint idx) {
+         SpreaderLegContract rv = new SpreaderLegContract();
+         rv.security = _securities.ElementAt(0);
+         rv.qty = 1;
+         rv.price_mult = 1;
+         rv.enable_quoting = true;
+         rv.lean_qty_factor = 2;
+         rv.md_type = SpreaderLegContract.MDType.Merged;
+         // quote
+         rv.quote_params = new SpreaderLegContract.QuoteParams();
+         rv.quote_params.qho_length = 0;
+         rv.quote_params.show_qty = new SpreaderLegContract.QuoteParams.ShowQty();
+         rv.quote_params.show_qty.show_qty = 10;
+         rv.quote_params.throttle = new SpreaderLegContract.QuoteParams.Throttle();
+         rv.quote_params.throttle.inside_ticks = 3;
+         rv.quote_params.throttle.outside_ticks = 2;
+         // pre hedge
+         rv.pre_hedge_params = new SpreaderLegContract.PreHedgeParams();
+         rv.pre_hedge_params.payless = new SpreaderLegContract.PreHedgeParams.PayLess();
+         rv.pre_hedge_params.payless.threshold = 1000;
+         rv.pre_hedge_params.payless.payless_ticks = 7;
+         rv.pre_hedge_params.payup = new SpreaderLegContract.PreHedgeParams.PayUp();
+         rv.pre_hedge_params.payup.threshold = 500;
+         rv.pre_hedge_params.payup.payup_ticks = 12;
+         // post hedge
+         rv.post_hedge_params = new SpreaderLegContract.PostHedgeParams();
+         rv.post_hedge_params.ticks_away_cross = new SpreaderLegContract.PostHedgeParams.TicksAwayCross();
+         rv.post_hedge_params.ticks_away_cross.threshold = 10;
+         rv.post_hedge_params.ticks_away_cross.cross_ticks = 3;
+         rv.post_hedge_params.time_based_cross = new SpreaderLegContract.PostHedgeParams.TimeBasedCross();
+         rv.post_hedge_params.time_based_cross.time_ms = 20;
+         rv.post_hedge_params.time_based_cross.cross_ticks = 5;
+         return rv;
+      }
+   }
+};

SpreaderFrontEnd/SpreaderFrontEnd/TestForm.resx

@@ -0,0 +1,60 @@
+<root>
+  <xsd:schema id="root" xmlns="" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns:msdata="urn:schemas-microsoft-com:xml-msdata">
+    <xsd:import namespace="http://www.w3.org/XML/1998/namespace" />
+    <xsd:element name="root" msdata:IsDataSet="true">
+      <xsd:complexType>
+        <xsd:choice maxOccurs="unbounded">
+          <xsd:element name="metadata">
+            <xsd:complexType>
+              <xsd:sequence>
+                <xsd:element name="value" type="xsd:string" minOccurs="0" />
+              </xsd:sequence>
+              <xsd:attribute name="name" use="required" type="xsd:string" />
+              <xsd:attribute name="type" type="xsd:string" />
+              <xsd:attribute name="mimetype" type="xsd:string" />
+              <xsd:attribute ref="xml:space" />
+            </xsd:complexType>
+          </xsd:element>
+          <xsd:element name="assembly">
+            <xsd:complexType>
+              <xsd:attribute name="alias" type="xsd:string" />
+              <xsd:attribute name="name" type="xsd:string" />
+            </xsd:complexType>
+          </xsd:element>
+          <xsd:element name="data">
+            <xsd:complexType>
+              <xsd:sequence>
+                <xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
+                <xsd:element name="comment" type="xsd:string" minOccurs="0" msdata:Ordinal="2" />
+              </xsd:sequence>
+              <xsd:attribute name="name" type="xsd:string" use="required" msdata:Ordinal="1" />
+              <xsd:attribute name="type" type="xsd:string" msdata:Ordinal="3" />
+              <xsd:attribute name="mimetype" type="xsd:string" msdata:Ordinal="4" />
+              <xsd:attribute ref="xml:space" />
+            </xsd:complexType>
+          </xsd:element>
+          <xsd:element name="resheader">
+            <xsd:complexType>
+              <xsd:sequence>
+                <xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
+              </xsd:sequence>
+              <xsd:attribute name="name" type="xsd:string" use="required" />
+            </xsd:complexType>
+          </xsd:element>
+        </xsd:choice>
+      </xsd:complexType>
+    </xsd:element>
+  </xsd:schema>
+  <resheader name="resmimetype">
+    <value>text/microsoft-resx</value>
+  </resheader>
+  <resheader name="version">
+    <value>2.0</value>
+  </resheader>
+  <resheader name="reader">
+    <value>System.Resources.ResXResourceReader, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
+  </resheader>
+  <resheader name="writer">
+    <value>System.Resources.ResXResourceWriter, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
+  </resheader>
+</root>

SpreaderFrontEnd/SpreaderFrontEnd/Tests/SyntheticBookTest.cs

@@ -0,0 +1,230 @@
+using System;
+using System.Diagnostics;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace SpreaderFrontEnd {
+   public static class SyntheticBookTest {
+      /// <summary>
+      /// Run synthetic book computation tests
+      /// </summary>
+      public static int run() {
+         // Seed the test with a standard butterfly spread. Leg size multipliers will be applied to
+         // each leg to generate more variations to test.
+         var legs = new List<SpreaderLegContract> {
+            new SpreaderLegContract() {
+               security = "Leg1Sec",
+               qty = 1
+            },
+            new SpreaderLegContract() {
+               security = "Leg2Sec",
+               qty = -2
+            },
+            new SpreaderLegContract() {
+               security = "Leg3Sec",
+               qty = 1
+            }
+         };
+         var leg_multipliers = new List<int> { 1, -1, 2, -2, 3, -3 };
+         var contract = new SpreaderContract("Test", legs);
+
+         // Define a book (seed) for each leg. Quantities will be added to each price level for each
+         // leg's book to generate more variations to test.
+         var leg1_book = new Book(
+            bids: new BookSide(levels: new List<PriceLevel> {
+               new PriceLevel(price: 3, qty: 10),
+               new PriceLevel(price: 2, qty: 4),
+               new PriceLevel(price: 1, qty: 6)
+            }),
+            asks: new BookSide(levels: new List<PriceLevel> {
+               new PriceLevel(price: 4, qty: 5),
+               new PriceLevel(price: 5, qty: 7),
+               new PriceLevel(price: 6, qty: 8)
+            }));
+         var leg2_book = new Book(
+            bids: new BookSide(levels: new List<PriceLevel> {
+               new PriceLevel(price: 3, qty: 1),
+               new PriceLevel(price: 2, qty: 7),
+               new PriceLevel(price: 1, qty: 2)
+            }),
+            asks: new BookSide(levels: new List<PriceLevel> {
+               new PriceLevel(price: 4, qty: 3),
+               new PriceLevel(price: 5, qty: 3),
+               new PriceLevel(price: 6, qty: 5)
+            }));
+         var leg3_book = new Book(
+            bids: new BookSide(levels: new List<PriceLevel> {
+               new PriceLevel(price: 3, qty: 2),
+               new PriceLevel(price: 2, qty: 1),
+               new PriceLevel(price: 1, qty: 8)
+            }),
+            asks: new BookSide(levels: new List<PriceLevel> {
+               new PriceLevel(price: 4, qty: 4),
+               new PriceLevel(price: 5, qty: 3),
+               new PriceLevel(price: 6, qty: 4)
+            }));
+         var level_qty_additions = new List<uint> { 1, 2, 3, 4 };
+         var leg_books = new List<Book> { leg1_book, leg2_book, leg3_book };
+
+         for (int i = 0; i < leg_multipliers.Count; i++) {
+            var leg_mult = leg_multipliers[i];
+            for (int j = 0; j < contract.spread_legs.Count; j++) {
+               // Apply leg mult 
+               contract.spread_legs[j].qty *= leg_mult;
+               foreach (var lqa in level_qty_additions) {
+                  foreach(var lb in leg_books) {
+                     // Apply qty addition to bid-levels
+                     for (int level_idx = 0; level_idx < lb.bids.levels.Count; level_idx++) {
+                        var orig_level = lb.bids.levels[level_idx];
+                        lb.bids.levels[level_idx] = orig_level.add_qty(lqa);
+                        run(leg_books, contract);
+                        // Subtract the qty that was just added so each qty addition is applied to
+                        // the original level
+                        lb.bids.levels[level_idx] = lb.bids.levels[level_idx].subtract_qty(lqa);
+                     }
+
+                     // Apply qty additions to ask-levels
+                     for (int level_idx = 0; level_idx < lb.asks.levels.Count; level_idx++) {
+                        var orig_level = lb.asks.levels[level_idx];
+                        lb.asks.levels[level_idx] = orig_level.add_qty(lqa);
+                        run(leg_books, contract);
+                        // Subtract the qty that was just added so each qty addition is applied to
+                        // the original level
+                        lb.asks.levels[level_idx] = lb.asks.levels[level_idx].subtract_qty(lqa);
+                     }
+                  }
+               }
+               // Divide by leg_mult so the each mult is applied to the original leg
+               contract.spread_legs[j].qty /= leg_mult;
+            }
+         }
+         return 0;
+      }
+
+      public static void run(List<Book> leg_books, SpreaderContract contract) {
+         var synth_book = SpreaderBookCalculator.compute_spreader_book(contract, leg_books);
+         for (int i = 0; i < contract.spread_legs.Count; i++) {
+            Console.WriteLine($"Leg{i} (qty {contract.spread_legs[i].qty}): {leg_books[i]}");
+         }
+         Console.WriteLine($"Synthetic Book: {synth_book}");
+         var leg_book_tups = _to_leg_book_tuples(leg_books, contract);
+         var expected_book = _compute_synth_book(leg_book_tups);
+         Console.WriteLine($"Expected Book: {expected_book}");
+         Debug.Assert(expected_book.Equals(synth_book));
+      }
+
+      static List<Tuple<Book, int>> _to_leg_book_tuples(List<Book> leg_books, SpreaderContract contract) {
+         Debug.Assert(leg_books.Count == contract.spread_legs.Count);
+         var rv = new List<Tuple<Book, int>>();
+         for (int i = 0; i < leg_books.Count; i++) {
+            rv.Add(Tuple.Create(leg_books[i], contract.spread_legs[i].qty));
+         }
+         return rv;
+      }
+
+      static List<Tuple<BookSide, int>> _to_leg_book_side_tuples(List<Tuple<Book, int>> leg_books, bool is_bid) {
+         var leg_book_tups = new List<Tuple<BookSide, int>>();
+         for (int i = 0; i < leg_books.Count; i++) {
+            var leg_size = leg_books[i].Item2;
+            var leg_book = leg_books[i].Item1;
+            var is_buy_leg = leg_size > 0;
+            var leg_book_side = is_buy_leg == is_bid ? leg_book.bids : leg_book.asks;
+            leg_book_tups.Add(Tuple.Create(leg_book_side, leg_size));
+         }
+         return leg_book_tups;
+      }
+
+      static Book _compute_synth_book(List<Tuple<Book, int>> leg_books) {
+         var leg_bids = _to_leg_book_side_tuples(leg_books, true);
+         var leg_asks = _to_leg_book_side_tuples(leg_books, false);
+         var synth_bids = _compute_synth_book_side(leg_bids);
+         var synth_asks = _compute_synth_book_side(leg_asks);
+         return new Book(synth_bids, synth_asks);
+      }
+
+      // <summary>
+      // Computes the synthetic book in a simple/unoptimized way, to ensure correctness. Books
+      // generated by the 'optimized' routine, which will be used in practice, should match those
+      // generated by this one.
+      // </summary>
+      static BookSide _compute_synth_book_side(IEnumerable<Tuple<BookSide, int>> leg_books) {
+         // Clone the books so we can mutate them without changing the input 'leg_books'
+         var leg_books_list = leg_books.Select(lb => Tuple.Create(lb.Item1.Clone(), lb.Item2)).ToList();
+         var levels = new List<PriceLevel>();
+         var top_level = _get_top_level(leg_books_list);
+         while (top_level.qty > 0) {
+            levels.Add(top_level);
+            foreach (var lb in leg_books_list) {
+               _remove_qty_from_top(lb.Item1, (int)(top_level.qty * Math.Abs(lb.Item2)));
+            }
+            top_level = _get_top_level(leg_books_list);
+         }
+         return new BookSide(levels);
+      }
+
+      static PriceLevel _get_top_level(IEnumerable<Tuple<BookSide, int>> leg_books) {
+         var leg_sizes = leg_books.Select(lb => lb.Item2).ToList();
+         var top_levels = leg_books.Select(_get_top_level).ToList();
+         var qty = top_levels.Select(l => l.qty).Min();
+         if (qty == 0) {
+            return PriceLevel.empty;
+         }
+         double price = 0;
+         for (int i = 0; i < top_levels.Count; i++) {
+            var leg_price = top_levels[i].price;
+            var leg_size = leg_sizes[i];
+            if (leg_size < 0) {
+               price -= leg_price;
+            } else {
+               price += leg_price;
+            }
+         }
+         return new PriceLevel(price, qty);
+      }
+
+      static PriceLevel _get_top_level(Tuple<BookSide, int> leg_book) {
+         return _get_top_level(leg_book.Item1, leg_book.Item2);
+      }
+
+      static PriceLevel _get_top_level(BookSide book, int leg_size) {
+         if (book.levels.Count == 0) {
+            return PriceLevel.empty;
+         }
+         var first_level = book.levels.First();
+         var abs_leg_size = Math.Abs(leg_size);
+         if (first_level.qty >= abs_leg_size) {
+            return new PriceLevel(first_level.price * abs_leg_size, (uint)(first_level.qty / abs_leg_size));
+         }
+         double price = first_level.qty * first_level.price;
+         var qty_rem = abs_leg_size - first_level.qty;
+         for (int i = 1; i < book.levels.Count; i++) {
+            var level = book.levels[i];
+            if (level.qty >= qty_rem) {
+               price += qty_rem * level.price;
+               return new PriceLevel(price, 1);
+            }
+            price += level.qty * level.price;
+            qty_rem -= level.qty;
+         }
+         return PriceLevel.empty;
+      }
+
+      /// <summary>
+      /// Removes the specified quantity from the top of the book
+      /// </summary>
+      static void _remove_qty_from_top(BookSide book, int qty) {
+         var subtracted_qty = 0;
+         while (subtracted_qty < qty && book.levels.Count > 0) {
+            var first_level = book.levels[0];
+            var qty_to_subtract = qty - subtracted_qty;
+            if (first_level.qty > qty_to_subtract) {
+               first_level = first_level.subtract_qty((uint)qty_to_subtract);
+               book.levels[0] = first_level;
+               return;
+            }
+            book.levels.RemoveAt(0);
+            subtracted_qty += (int)first_level.qty;
+         }
+      }
+   }
+}

SpreaderFrontEnd/SpreaderFrontEnd/Utils.cs

@@ -0,0 +1,78 @@
+using System;
+using System.Reflection;
+using System.Runtime.Serialization.Formatters.Binary;
+using System.IO;
+
+namespace SpreaderFrontEnd
+{
+    public class Utils
+    {
+        public static void bin_serialize<T>(T t, Stream str)
+        {
+#pragma warning disable SYSLIB0011
+            BinaryFormatter bf = new BinaryFormatter();
+            bf.Serialize(str, t);
+#pragma warning restore SYSLIB0011
+        }
+
+        public static T bin_deserialize<T>(Stream str)
+        {
+#pragma warning disable SYSLIB0011
+            BinaryFormatter bf = new BinaryFormatter();
+            T rv = (T)bf.Deserialize(str);
+#pragma warning restore SYSLIB0011
+            return rv;
+        }
+
+        public static T? basic_deep_clone<T>(T t)
+        {
+            try
+            {
+                MemoryStream str = new MemoryStream();
+                bin_serialize(t, str);
+                str.Position = 0;
+                return bin_deserialize<T>(str);
+            }
+            catch
+            {
+                return default(T);
+            }
+        }
+
+        public static object? CloneObject(object objSource)
+        {
+            //step : 1 Get the type of source object and create a new instance of that type
+            Type typeSource = objSource.GetType();
+            object? objTarget = Activator.CreateInstance(typeSource);
+            //Step2 : Get all the properties of source object type
+            PropertyInfo[] propertyInfo = typeSource.GetProperties(BindingFlags.Public | BindingFlags.NonPublic | BindingFlags.Instance);
+            //Step : 3 Assign all source property to taget object 's properties
+            foreach (PropertyInfo property in propertyInfo)
+            {
+                //Check whether property can be written to
+                if (property.CanWrite)
+                {
+                    //Step : 4 check whether property type is value type, enum or string type
+                    if (property.PropertyType.IsValueType || property.PropertyType.IsEnum || property.PropertyType.Equals(typeof(System.String)))
+                    {
+                        property.SetValue(objTarget, property.GetValue(objSource, null), null);
+                    }
+                    //else property type is object/complex types, so need to recursively call this method until the end of the tree is reached
+                    else
+                    {
+                        object? objPropertyValue = property.GetValue(objSource, null);
+                        if (objPropertyValue == null)
+                        {
+                            property.SetValue(objTarget, null, null);
+                        }
+                        else
+                        {
+                            property.SetValue(objTarget, CloneObject(objPropertyValue), null);
+                        }
+                    }
+                }
+            }
+            return objTarget;
+        }
+    }
+}

SpreaderFrontEnd/SpreaderFrontEnd/bin/Debug/net6.0-windows/SpreaderFrontEnd.deps.json

@@ -0,0 +1,23 @@
+{
+  "runtimeTarget": {
+    "name": ".NETCoreApp,Version=v6.0",
+    "signature": ""
+  },
+  "compilationOptions": {},
+  "targets": {
+    ".NETCoreApp,Version=v6.0": {
+      "SpreaderFrontEnd/1.0.0": {
+        "runtime": {
+          "SpreaderFrontEnd.dll": {}
+        }
+      }
+    }
+  },
+  "libraries": {
+    "SpreaderFrontEnd/1.0.0": {
+      "type": "project",
+      "serviceable": false,
+      "sha512": ""
+    }
+  }
+}

SpreaderFrontEnd/SpreaderFrontEnd/bin/Debug/net6.0-windows/SpreaderFrontEnd.runtimeconfig.json

@@ -0,0 +1,15 @@
+{
+  "runtimeOptions": {
+    "tfm": "net6.0",
+    "frameworks": [
+      {
+        "name": "Microsoft.NETCore.App",
+        "version": "6.0.0"
+      },
+      {
+        "name": "Microsoft.WindowsDesktop.App",
+        "version": "6.0.0"
+      }
+    ]
+  }
+}

dev/gen/omnisharp.json

@@ -0,0 +1,54 @@
+{
+    "FormattingOptions": {
+            "NewLine": "\n",
+            "UseTabs": false,
+            "TabSize": 3,
+            "IndentationSize": 3,
+            "SpacingAfterMethodDeclarationName": false,
+            "SpaceWithinMethodDeclarationParenthesis": false,
+            "SpaceBetweenEmptyMethodDeclarationParentheses": false,
+            "SpaceAfterMethodCallName": false,
+            "SpaceWithinMethodCallParentheses": false,
+            "SpaceBetweenEmptyMethodCallParentheses": false,
+            "SpaceAfterControlFlowStatementKeyword": true,
+            "SpaceWithinExpressionParentheses": false,
+            "SpaceWithinCastParentheses": false,
+            "SpaceWithinOtherParentheses": false,
+            "SpaceAfterCast": false,
+            "SpacesIgnoreAroundVariableDeclaration": false,
+            "SpaceBeforeOpenSquareBracket": false,
+            "SpaceBetweenEmptySquareBrackets": false,
+            "SpaceWithinSquareBrackets": false,
+            "SpaceAfterColonInBaseTypeDeclaration": true,
+            "SpaceAfterComma": true,
+            "SpaceAfterDot": false,
+            "SpaceAfterSemicolonsInForStatement": true,
+            "SpaceBeforeColonInBaseTypeDeclaration": true,
+            "SpaceBeforeComma": false,
+            "SpaceBeforeDot": false,
+            "SpaceBeforeSemicolonsInForStatement": false,
+            "SpacingAroundBinaryOperator": "single",
+            "IndentBraces": false,
+            "IndentBlock": true,
+            "IndentSwitchSection": true,
+            "IndentSwitchCaseSection": true,
+            "LabelPositioning": "oneLess",
+            "WrappingPreserveSingleLine": true,
+            "WrappingKeepStatementsOnSingleLine": true,
+            "NewLinesForBracesInTypes": false,
+            "NewLinesForBracesInMethods": false,
+            "NewLinesForBracesInProperties": false,
+            "NewLinesForBracesInAccessors": false,
+            "NewLinesForBracesInAnonymousMethods": false,
+            "NewLinesForBracesInControlBlocks": false,
+            "NewLinesForBracesInAnonymousTypes": false,
+            "NewLinesForBracesInObjectCollectionArrayInitializers": false,
+            "NewLinesForBracesInLambdaExpressionBody": false,
+            "NewLineForElse": false,
+            "NewLineForCatch": false,
+            "NewLineForFinally": false,
+            "NewLineForMembersInObjectInit": true,
+            "NewLineForMembersInAnonymousTypes": true,
+            "NewLineForClausesInQuery": true
+    }
+}

dev/john/Dockerfile

@@ -0,0 +1,120 @@
+FROM spark-crypto_18.04
+
+RUN \
+    DEBIAN_FRONTEND=noninteractive apt-get update \
+    && apt-get install -y \
+    htop \
+    locales \
+    source-highlight \
+    powerline \
+    fonts-powerline
+
+
+# Hide these in the .docker directory to avoid conflicts with existing repos on
+# this computer (in case a parent dir, such as $HOME, is mounted inside a
+# container)
+ARG repo_root="/home/john/Documents/repos/.docker"
+
+# Create dirs for public/private repos
+USER john
+RUN \
+    mkdir -p $repo_root/public \
+    && mkdir -p $repo_root/private
+
+
+## Get latest fish (build from source)
+# 1) get build deps
+USER root
+RUN \
+    DEBIAN_FRONTEND=noninteractive apt-get update \
+    && apt-get install -y software-properties-common
+RUN \
+    apt-add-repository ppa:fish-shell/release-3 \
+    && sed -i "s/^# deb/deb/g" /etc/apt/sources.list
+
+RUN DEBIAN_FRONTEND=noninteractive apt-get update && apt-get build-dep -y fish
+
+
+# 2) Clone repo
+USER john
+RUN \
+    cd $repo_root/public \
+    && git clone https://github.com/fish-shell/fish-shell.git
+
+RUN \
+    cd $repo_root/public/fish-shell \
+    && mkdir build \
+    && cd build \
+    && cmake -DCMAKE_BUILD_TYPE=Release -DBUILD_DOCS=0 .. \
+    && cmake --build .
+
+# Switch to root, rather than running inline w/ sudo cmd, to avoid having to
+# enter a password
+USER root
+RUN \
+    cd $repo_root/public/fish-shell/build \
+    && make install
+USER john
+
+
+## Get oh-my-fish
+RUN \
+    cd $repo_root/public \
+    && git clone https://github.com/oh-my-fish/oh-my-fish.git
+
+RUN \
+    cd $repo_root/public/oh-my-fish \
+    && ./bin/install --noninteractive --yes
+
+
+## Get my fish config
+RUN \
+    cd $repo_root/private \
+    && git clone https://github.com/johncolvin-og/myfishconfig
+
+RUN \
+    cd $repo_root/private/myfishconfig \
+    && cp src/config.fish /home/john/.config/fish/ \
+    && cp src/aliases.fish /home/john/.config/fish/ \
+    && cp -r src/functions /home/john/.config/fish/ \
+    && cp -r src/themes/johncolvin /home/john/.local/share/omf/themes/ \
+    && fish --command "omf theme johncolvin"
+
+
+## Get my bash config (back up existing)
+RUN \
+    cd $repo_root/private \
+    && git clone https://github.com/johncolvin-og/mybashconfig \
+    && cd mybashconfig \
+    && cp src/* /home/john/
+
+
+# Get vim files/tools
+USER root
+RUN \
+    DEBIAN_FRONTEND=noninteractive apt-get update \
+    && apt-get install -y curl
+USER john
+RUN curl -fLo home/john/.vim/autoload/plug.vim --create-dirs \
+    https://raw.githubusercontent.com/junegunn/vim-plug/master/plug.vim
+
+
+# Some fonts look sketchy if the language isn't set to english:
+#   * The powerline git glyphs in the fish prompt are all displayed as question
+#   marks.
+#
+#   * The shell confuses the position of the cursor, so characters are left
+#   around when they should have been cleared, and the cursor's home position
+#   is pushed one or two places to the right.
+#
+#   * Most likely, the bad cursor position is caused by some dependencies the
+#   interpretation of escape sequences have on the language setting.  At this
+#   point I don't even care anymore (literally took 8 hours to figure this
+#   out).  I just know this shit is needed to make the prompt work correctly.
+USER root
+RUN locale-gen "en_US.UTF-8"
+USER john
+ENV LANG en_US.UTF-8
+ENV LANGUAGE en_US:en
+ENV LC_ALL en_US.UTF-8
+RUN fc-cache -vf

dev/john/build_docker.fish

@@ -0,0 +1,16 @@
+#!/usr/bin/env fish
+
+set this_dir (realpath (dirname (status -f)))
+set image_working_dir (realpath "$this_dir/../..")
+
+set image_name $argv[1]
+if test (count $argv) -eq 0
+    set image_name_cmd "$this_dir/docker_image_name.fish"
+    set image_name (eval $image_name_cmd)
+end
+
+docker build \
+    -f "$this_dir/Dockerfile" \
+    -t "$image_name" \
+    "$image_working_dir"
+

dev/john/docker_container_name.fish

@@ -0,0 +1,11 @@
+#!/usr/bin/env fish
+
+if test (count $argv) -gt 0
+    echo $argv
+    exit 0
+end
+
+set image_name_cmd (realpath (dirname (status -f)))"/docker_image_name.fish"
+set image_name (eval $image_name_cmd)
+echo $image_name
+

dev/john/docker_image_name.fish

@@ -0,0 +1,4 @@
+#!/usr/bin/env fish
+
+echo "$USER""s_"(basename (git rev-parse --show-toplevel))"-dev"
+

dev/john/docker_shell.fish

@@ -0,0 +1,12 @@
+#!/usr/bin/env fish
+
+set inst_name $argv[1]
+if test (count $argv) -eq 0
+    set script_dir (realpath (dirname (status -f)))
+    set inst_name (eval $script_dir"/docker_container_name.fish")
+end
+
+set working_dir (realpath (pwd))
+echo $inst_name
+docker exec -w $working_dir -it "$inst_name" bash
+

dev/john/setup_builds.fish

@@ -0,0 +1,146 @@
+#!/usr/bin/env fish
+
+function print_help_and_exit
+    echo "\
+Usage: setup_builds.sh [OPTIONS] compiler build-type
+
+Positionals:
+  gcc                Compile with gcc
+  clang              Compile with clang
+  debug              Build debug
+  release            Build release
+
+Options:
+  --compiler         <clang|gcc> Specify the compiler
+  --type             <debug|release> Specify the type of build 
+  -f,--force         Overwrite existing build directories
+  -h,--help          Print this help message and exit
+
+"
+    exit $argv[1]
+end
+
+function assert_dir
+    if test ! -d "$argv[1]"
+        if test -n "$argv[2]"
+            echo "Invalid variable "$argv[2]": '"$argv[1]"' is not a directory"
+        else
+            echo "'"$argv[1]"' is not a directory"
+        end
+        exit 1
+    end
+end
+
+# common variables
+
+set tools_path (realpath (dirname (status -f)))
+set spartan_path_cmd $tools_path/spartan_path.fish
+set repo_root (eval $spartan_path_cmd "repo-root")
+set build_root "$repo_root"/"build"
+mkdir -p "$build_root"
+
+# Initialize the build directory.  Expected arguments: <compiler>, <build_type>
+# Note: this method assumes the variables 'repot_root' and 'build_root' have
+# already been properly initialized
+function setup_build
+    assert_dir $repo_root
+    assert_dir $build_root
+    set compiler "$argv[1]"
+    set build_type "$argv[2]"
+
+    if test \( -z "$build_type" \) -o \( \( "$build_type" != debug \) -a \( "$build_type" != release \) \)
+        print_help_and_exit 1
+    end
+
+    if test "$build_type" = debug
+        set build_type_arg Debug
+        if test "$compiler" = gcc
+            set compiler_arg "/usr/lib/ccache/g++"
+        else
+            # set compiler_arg "/usr/lib/ccache/clang++"
+            set compiler_arg "clang++"
+        end
+    else if test "$build_type" = release
+        set build_type_arg Release
+        if test "$compiler" = gcc
+            set compiler_arg "g++"
+        else
+            set compiler_arg "clang++"
+        end
+    end
+
+    if test \( -z "$compiler" \) -o \( \( "$compiler" != gcc \) -a \( "$compiler" != clang \) \)
+        print_help_and_exit 1
+    end
+
+    set build_dest $build_root"/"$compiler"/"$build_type
+
+    echo "Set up build: "$compiler" "$build_type
+
+    if test \( -z "$force" \) -a \( -d $build_dest \)
+        echo "The build directory '"$build_dest"' already exists (use -f to overwrite)"
+        return 1
+    end
+
+    rm -rf "$build_dest"
+    mkdir -p "$build_dest"
+    cd "$build_dest"
+    cmake -G Ninja -DCMAKE_BUILD_TYPE=$build_type_arg -DCMAKE_EXPORT_COMPILE_COMMANDS=1 -DCMAKE_CXX_COMPILER=$compiler_arg $repo_root
+end
+
+# The while loop below removes arguments (via shift) as it parses them.
+# Additional information that needs to be extracted from the arguments must be
+# done so before the loop is executed.
+
+set i 1
+while test $i -le (count $argv)
+    switch $argv[$i]
+        case --compiler
+            set i (math "$i + 1")
+            set compiler $argv[$i]
+        case clang
+            set compiler clang
+        case gcc
+            set compiler gcc
+        case --type
+            set i (math "$i + 1")
+            set build_type $argv[$i]
+        case release
+            set build_type release
+        case debug
+            set build_type debug
+        case -f
+            set force 1
+        case --force
+            set force 1
+        case -h
+            print_help_and_exit 0
+        case --help
+            print_help_and_exit 0
+        case '*'
+            print_help_and_exit 1
+    end
+    set i (math "$i + 1")
+end
+
+echo "compiler in "$compiler
+echo "build type in "$build_type
+if test -n "$compiler"
+    if test -n "$build_type"
+        setup_build $compiler $build_type
+    else
+        # all builds for the specified compiler
+        setup_build $compiler debug
+        setup_build $compiler release
+    end
+else if test -n "$build_type"
+    # all builds for the specified build type
+    setup_build gcc $build_type
+    setup_build clang $build_type
+else
+    # all builds
+    setup_build gcc debug
+    setup_build gcc release
+    setup_build clang debug
+    setup_build clang release
+end

dev/john/setup_builds_new.fish

@@ -0,0 +1,153 @@
+#!/usr/bin/env fish
+
+function print_help_and_exit
+  echo "\
+Usage: setup_builds.sh [OPTIONS] compiler build-type
+
+Positionals:
+  gcc                Compile with gcc
+  clang              Compile with clang
+  debug              Build debug
+  release            Build release
+
+Options:
+  --compiler         <clang|gcc> Specify the compiler
+  --type             <debug|release> Specify the type of build 
+  -f,--force         Overwrite existing build directories
+  -h,--help          Print this help message and exit
+
+"
+  exit $argv[1]
+end
+
+function assert_dir
+  if test ! -d "$argv[1]"
+    if test -n "$argv[2]"
+      echo "Invalid variable "$argv[2]": '"$argv[1]"' is not a directory"
+    else
+      echo "'"$argv[1]"' is not a directory"
+    end
+    exit 1
+  end
+end
+
+# common variables
+
+#set tools_path (readlink -f (pwd))
+#set tools_path (cd (dirname (status --current-filename)); and pwd)
+set tools_path (realpath (dirname (status -f)))
+set spartan_path_cmd $tools_path/spartan_path.fish
+set repo_root (eval $spartan_path_cmd "repo-root")
+# Don't call 'spartan_path_cmd "build"' bc it returns specific build path
+# (i.e., for a particular compiler/build type), not the root build path
+# set build_root (eval $spartan_path_cmd "build")
+set build_root "$repo_root"/"build"
+mkdir -p "$build_root"
+
+# Initialize the build directory.  Expected arguments: <compiler>, <build_type>
+# Note: this method assumes the variables 'repot_root' and 'build_root' have
+# already been properly initialized
+function setup_build
+  assert_dir $repo_root
+  assert_dir $build_root
+  set compiler "$argv[1]"
+  set build_type "$argv[2]"
+
+  if test \( -z "$build_type" \) -o \( \( "$build_type" != "debug" \) -a \( "$build_type" != "release" \) \)
+    print_help_and_exit 1
+  end
+
+  if test "$build_type" = "debug"
+    set build_type_arg "Debug"
+    if test "$compiler" = "gcc"
+      set compiler_arg "/usr/lib/ccache/g++"
+    else
+      set compiler_arg "/usr/lib/ccache/clang++"
+    end
+  else if test "$build_type" = "release"
+    set build_type_arg "Release"
+    if test "$compiler" = "gcc"
+      set compiler_arg "g++"
+    else
+      set compiler_arg "clang++"
+    end
+  end
+
+  if test \( -z "$compiler" \) -o \( \( "$compiler" != "gcc" \) -a \( "$compiler" != "clang" \) \)
+    print_help_and_exit 1
+  end
+
+  set build_dest $build_root"/"$compiler"/"$build_type
+  set conan_dest $repo_root"/conan/"$compiler"_"$build_type
+
+  echo "Set up build: "$compiler" "$build_type
+
+  if test \( -z "$force" \) -a \( -d $build_dest \)
+    echo "The build directory '"$build_dest"' already exists (use -f to overwrite)"
+    return 1
+  end
+
+  rm -rf "$build_dest"
+  mkdir -p "$build_dest"
+  mkdir -p "$conan_dest"
+  cd "$build_dest"
+  conan install --build missing --profile $conan_dest $repo_root
+  cmake -G Ninja -DCMAKE_BUILD_TYPE=$build_type_arg -DCMAKE_EXPORT_COMPILE_COMMANDS=1 -DCMAKE_CXX_COMPILER=$compiler_arg $repo_root
+end
+
+# The while loop below removes arguments (via shift) as it parses them.
+# Additional information that needs to be extracted from the arguments must be
+# done so before the loop is executed.
+
+set i 1
+while test $i -le (count $argv)
+  switch $argv[$i]
+    case '--compiler'
+      set i (math "$i + 1")
+      set compiler $argv[$i]
+    case 'clang'
+      set compiler 'clang'
+    case 'gcc'
+      set compiler 'gcc'
+    case '--type'
+      set i (math "$i + 1")
+      set build_type $argv[$i]
+    case 'release'
+      set build_type 'release'
+    case 'debug'
+      set build_type 'debug'
+    case '-f'
+      set force 1
+    case '--force'
+      set force 1
+    case '-h'
+      print_help_and_exit 0
+    case '--help'
+      print_help_and_exit 0
+    case '*'
+      print_help_and_exit 1
+  end
+  set i (math "$i + 1")
+end
+
+echo "compiler in "$compiler
+echo "build type in "$build_type
+if test -n "$compiler"
+  if test -n "$build_type"
+    setup_build $compiler $build_type
+  else
+    # all builds for the specified compiler
+    setup_build $compiler "debug"
+    setup_build $compiler "release"
+  end
+else if test -n "$build_type"
+  # all builds for the specified build type
+  setup_build "gcc" $build_type
+  setup_build "clang" $build_type
+else
+  # all builds
+  setup_build "gcc" "debug"
+  setup_build "gcc" "release"
+  setup_build "clang" "debug"
+  setup_build "clang" "release"
+end

dev/john/spartan_path.fish

@@ -0,0 +1,92 @@
+#!/usr/bin/env fish
+
+#basename (git rev-parse --show-toplevel)
+
+function print_help_and_exit
+  echo "\
+Print paths to core parts of the repository
+Usage: sparkd_path.sh SUBCOMMAND
+
+Subcommands:
+  build              Print build path
+  repo-root          Print repo root path
+
+"
+  exit $argv[1]
+end
+
+function print_build_help_and_exit
+  echo "\
+Print build path
+Usage: sparkd_path.sh build [OPTIONS] compiler build-type
+
+Positionals:
+  gcc                Print gcc build path
+  clang              Print clang build path
+  debug              Print debug build path
+  release            Print release build path
+
+Options:
+  --compiler         <clang|gcc> Specify the compiler
+  --type             <debug|release> Specify the type of build 
+  -h,--help          Print this help message and exit
+
+"
+  exit $argv[1]
+end
+
+function print_repo_root
+  git rev-parse --show-toplevel
+end
+
+function run_repo_root
+  print_repo_root
+end
+
+function run_build
+  set compiler "gcc"
+  set build_type "release"
+  set i 1
+  while test $i -lt (count $argv)
+    switch $argv[$i]
+      case '--compiler'
+        set i (math "$i + 1")
+        set compiler $argv[$i]
+      case 'clang'
+        set compiler 'clang'
+      case 'gcc'
+        set compiler 'gcc'
+      case '--type'
+        set i (math "$i + 1")
+        set build_type $argv[$i]
+      case 'release'
+        set build_type 'release'
+      case 'debug'
+        set build_type 'debug'
+      '-h'
+        print_build_help_and_exit 0
+      '--help'
+        print_build_help_and_exit 0
+      '*'
+        print_build_help_and_exit 1
+      end
+      set i (math "$i + 1")
+    end
+  if test \( $compiler = "clang" \) -o \( $compiler = "gcc" \)
+    set comp_path $compiler
+  else
+    print_build_help_and_exit 1
+  end
+  set src_root (print_repo_root)
+  set build_root (readlink -f "$src_root""/build")
+  set build_dest $build_root"/"$compiler"/"$build_type
+  echo $build_dest
+end
+
+if test "$argv[1]" = "repo-root"
+  print_repo_root $argv[2..-1]
+else if test "$argv[1]" = "build"
+  run_build $argv[2..-1]
+else
+  print_help_and_exit 1
+end

dev/john/start_docker.fish

@@ -0,0 +1,43 @@
+#!/usr/bin/env fish
+
+set image_name $argv[1]
+set cont_name $argv[2]
+
+if test (count $argv) -lt 2
+   if test (count $argv) -lt 1
+      set image_name_cmd (realpath (dirname (status -f)))"/docker_image_name.fish"
+      set image_name (eval $image_name_cmd)
+   end
+   set cont_name_cmd (realpath (dirname (status -f)))"/docker_container_name.fish "$image_name
+   set cont_name (eval $cont_name_cmd)
+end
+
+set working_dir (realpath (pwd))
+
+set home_path /home/john
+set repo_path (git rev-parse --show-toplevel)
+set repo_path_out /home/john/Documents/repos/bts/(basename $repo_path)
+set working_dir $repo_path_out
+
+echo "starting docker instance '"$cont_name"' (image '"$image_name"')"
+echo "working dir "$working_dir
+
+docker run \
+  --rm \
+  --net host \
+  -h (hostname) \
+  -e "TZ=America/New_York" \
+  --cap-add=SYS_PTRACE \
+  --security-opt seccomp=unconfined \
+  --name $cont_name \
+  -v $repo_path:$repo_path_out \
+  -u (id -u $USER) \
+  -w $working_dir \
+  --shm-size=4024m \
+  -t \
+  -i \
+  -d \
+  -e DISPLAY="$DISPLAY" \
+  "$image_name" \
+  bash
+

dev/john/vscode/launch.json

@@ -0,0 +1,513 @@
+{
+  "version": "0.2.0",
+  "configurations": [
+    {
+      "name": "Spark Local",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "${workspaceRoot}/build/gcc/debug/server/sparkd",
+      "args": [
+        "run",
+        "test",
+        "-a",
+        "OutrightVanillaOrder"
+      ],
+      "stopAtEntry": false,
+      "cwd": "${workspaceRoot}/build/gcc/debug/server/",
+      "environment": [
+        {
+          "name": "TZ",
+          "value": "America/Chicago"
+        }
+      ],
+      "externalConsole": false,
+      "MIMode": "gdb",
+      "setupCommands": [
+        {
+          "description": "Enable pretty-printing for gdb",
+          "text": "-enable-pretty-printing",
+          "ignoreFailures": true
+        }
+      ]
+    },
+    {
+      "name": "SparkVM Launch",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "/home/bts/spark/build/gcc/debug/server/sparkd",
+      "args": [
+        "test",
+        "-a",
+        "[ilink3]"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/gcc/debug/server/",
+      "environment": [],
+      "externalConsole": true,
+      "MIMode": "gdb",
+      "preLaunchTask": "",
+      "logging": {
+        "engineLogging": false
+      },
+      "setupCommands": [
+        {
+          "description": "Enable pretty-printing for gdb",
+          "text": "enable pretty-printer",
+          "ignoreFailures": true
+        },
+        {
+          "description": "Skip STL",
+          "text": "skip -gfi /usr/include/c++/7/bits/*.h",
+          "ignoreFailures": true
+        },
+        {
+          "description": "LD LIBRARY",
+          "text": "set env LD_LIBRARY_PATH=.",
+          "ignoreFailures": false
+        }
+      ],
+      "pipeTransport": {
+        "pipeCwd": "${workspaceRoot}",
+        "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+        "pipeArgs": [
+          "bts@sparkvm"
+        ],
+        "debuggerPath": "/usr/bin/gdb"
+      },
+      "sourceFileMap": {
+        "/home/bts/spark/": "${workspaceRoot}"
+      }
+    },
+    {
+      "name": "(gdb) Launch",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "${workspaceRoot}/build/gcc/debug/server/sparkd/sparkd",
+      "args": [
+        "run"
+      ],
+      "stopAtEntry": false,
+      "cwd": "${workspaceRoot}/build/gcc/debug/src/server/sparkd",
+      "environment": [],
+      "externalConsole": true,
+      "MIMode": "gdb",
+      "setupCommands": [
+        {
+          "description": "Enable pretty-printing for gdb",
+          "text": "-enable-pretty-printing",
+          "ignoreFailures": true
+        }
+      ]
+    },
+    {
+      "name": "Client Launch",
+      "type": "clr",
+      "request": "launch",
+      "program": "${workspaceRoot}/build/Debug/bin/net471/spark.exe",
+      "args": [],
+      "cwd": "${workspaceRoot}",
+      "stopAtEntry": false,
+      "externalConsole": true,
+      "requireExactSource": false
+    },
+    {
+      "name": "SDK Launch",
+      "type": "clr",
+      "request": "launch",
+      "program": "${workspaceRoot}/build/Debug/bin/net471/spark_sdk.exe",
+      "args": [
+        "md",
+        "GLBX",
+        "Future",
+        "CL",
+        "CLZ9",
+        "--user=bts",
+        "--pass="
+      ],
+      "cwd": "${workspaceRoot}",
+      "stopAtEntry": false,
+      "externalConsole": true,
+      "requireExactSource": false
+    },
+    {
+      "name": "Excel Launch",
+      "type": "clr",
+      "request": "launch",
+      "program": "C:/Program Files/Microsoft Office/Office14/EXCEL.EXE",
+      "args": [
+        "${workspaceRoot}/build/Debug/bin/net471/spark_excel-addin64-packed.xll"
+      ],
+      "cwd": "${workspaceRoot}",
+      "stopAtEntry": false,
+      "externalConsole": true,
+      "requireExactSource": false
+    },
+    {
+      "name": "Client Tests",
+      "type": "clr",
+      "request": "launch",
+      "program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
+      "args": [
+        "test",
+        "ApiUpdateTests"
+      ],
+      "cwd": "${workspaceRoot}",
+      "stopAtEntry": false,
+      "externalConsole": true,
+      "requireExactSource": false
+    },
+    {
+      "name": "Client Attach",
+      "type": "clr",
+      "request": "attach",
+      "processId": "${command:pickProcess}"
+    },
+    {
+      "name": "Spreader Tests",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "/home/bts/spark/build/gcc/debug/server/sparkd",
+      "args": [
+        "test",
+        "[spreader]"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/gcc/debug/server/",
+      "environment": [],
+      "externalConsole": true,
+      "MIMode": "gdb",
+      "preLaunchTask": "",
+      "logging": {
+        "engineLogging": false
+      },
+      "setupCommands": [
+        {
+          "description": "Enable pretty-printing for gdb",
+          "text": "enable pretty-printer",
+          "ignoreFailures": true
+        }
+      ],
+      "pipeTransport": {
+        "pipeCwd": "${workspaceRoot}",
+        "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+        "pipeArgs": [
+          "bts@sparkvm"
+        ],
+        "debuggerPath": "/usr/bin/gdb"
+      },
+      "sourceFileMap": {
+        "/home/bts/spark/": "${workspaceRoot}"
+      }
+    },
+    {
+      "name": "MD Synthetic Tests",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "/home/bts/spark/build/gcc/debug/server/sparkd",
+      "args": [
+        "test",
+        "[md][synthetic]"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/gcc/debug/server/",
+      "environment": [],
+      "externalConsole": true,
+      "MIMode": "gdb",
+      "preLaunchTask": "",
+      "logging": {
+        "engineLogging": false
+      },
+      "setupCommands": [
+        {
+          "description": "Enable pretty-printing for gdb",
+          "text": "enable pretty-printer",
+          "ignoreFailures": true
+        }
+      ],
+      "pipeTransport": {
+        "pipeCwd": "${workspaceRoot}",
+        "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+        "pipeArgs": [
+          "bts@sparkvm"
+        ],
+        "debuggerPath": "/usr/bin/gdb"
+      },
+      "sourceFileMap": {
+        "/home/bts/spark/": "${workspaceRoot}"
+      }
+    },
+    {
+      "name": "Spartan Tests",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "/home/bts/spark/build/gcc/debug/server/sparkd",
+      "args": [
+        "test",
+        "[spartan_md]"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/gcc/debug/server/",
+      "environment": [],
+      "externalConsole": true,
+      "MIMode": "gdb",
+      "preLaunchTask": "",
+      "logging": {
+        "engineLogging": false
+      },
+      "setupCommands": [
+        {
+          "description": "Enable pretty-printing for gdb",
+          "text": "enable pretty-printer",
+          "ignoreFailures": true
+        }
+      ],
+      "pipeTransport": {
+        "pipeCwd": "${workspaceRoot}",
+        "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+        "pipeArgs": [
+          "bts@sparkvm"
+        ],
+        "debuggerPath": "/usr/bin/gdb"
+      },
+      "sourceFileMap": {
+        "/home/bts/spark/": "${workspaceRoot}"
+      }
+    },
+    {
+      "name": "Matcher Tests",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "/home/bts/spark/build/gcc/debug/server/sparkd",
+      "args": [
+        "test",
+        "[matcher]"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/gcc/debug/server/",
+      "environment": [],
+      "externalConsole": true,
+      "MIMode": "gdb",
+      "preLaunchTask": "",
+      "logging": {
+        "engineLogging": false
+      },
+      "setupCommands": [
+        {
+          "description": "Enable pretty-printing for gdb",
+          "text": "enable pretty-printer",
+          "ignoreFailures": true
+        }
+      ],
+      "pipeTransport": {
+        "pipeCwd": "${workspaceRoot}",
+        "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+        "pipeArgs": [
+          "bts@sparkvm"
+        ],
+        "debuggerPath": "/usr/bin/gdb"
+      },
+      "sourceFileMap": {
+        "/home/bts/spark/": "${workspaceRoot}"
+      }
+    },
+    {
+      "name": "Admin Service Tests",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "/home/bts/spark/build/gcc/debug/src/server/sparkd/sparkd",
+      "args": [
+        "test",
+        "[admin_service]"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/gcc/debug/src/server/sparkd/",
+      "environment": [],
+      "externalConsole": true,
+      "MIMode": "gdb",
+      "preLaunchTask": "",
+      "logging": {
+        "engineLogging": false
+      },
+      "setupCommands": [
+        {
+          "description": "Enable pretty-printing for gdb",
+          "text": "enable pretty-printer",
+          "ignoreFailures": true
+        }
+      ],
+      "pipeTransport": {
+        "pipeCwd": "${workspaceRoot}",
+        "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+        "pipeArgs": [
+          "bts@sparkvm"
+        ],
+        "debuggerPath": "/usr/bin/gdb"
+      },
+      "sourceFileMap": {
+        "/home/bts/spark/": "${workspaceRoot}"
+      }
+    },
+    {
+      "name": "Limiter Tests",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "/home/bts/spark/build/gcc/debug/src/server/sparkd/sparkd",
+      "args": [
+        "test",
+        "[limiter]"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/gcc/debug/src/server/sparkd/",
+      "environment": [],
+      "externalConsole": true,
+      "MIMode": "gdb",
+      "preLaunchTask": "",
+      "logging": {
+        "engineLogging": false
+      },
+      "setupCommands": [
+        {
+          "description": "Enable pretty-printing for gdb",
+          "text": "enable pretty-printer",
+          "ignoreFailures": true
+        }
+      ],
+      "pipeTransport": {
+        "pipeCwd": "${workspaceRoot}",
+        "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+        "pipeArgs": [
+          "bts@sparkvm"
+        ],
+        "debuggerPath": "/usr/bin/gdb"
+      },
+      "sourceFileMap": {
+        "/home/bts/spark/": "${workspaceRoot}"
+      }
+    },
+    {
+      "name": "MD Tests",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "/home/bts/spark/build/gcc/debug/server/sparkd",
+      "args": [
+        "test",
+        "[algo]"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/gcc/debug/server/",
+      "environment": [],
+      "externalConsole": true,
+      "MIMode": "gdb",
+      "preLaunchTask": "",
+      "logging": {
+        "engineLogging": false
+      },
+      "setupCommands": [
+        {
+          "description": "Enable pretty-printing for gdb",
+          "text": "-enable-pretty-printing",
+          "ignoreFailures": true
+        },
+        {
+          "description": "Skip STL",
+          "text": "skip -gfi /usr/include/c++/7/bits/*.h",
+          "ignoreFailures": true
+        }
+      ],
+      "pipeTransport": {
+        "pipeCwd": "${workspaceRoot}",
+        "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+        "pipeArgs": [
+          "bts@sparkvm"
+        ],
+        "debuggerPath": "/usr/bin/gdb"
+      },
+      "sourceFileMap": {
+        "/home/bts/spark/": "${workspaceRoot}"
+      }
+    },
+    {
+      "name": "SparkVM attach",
+      "type": "cppdbg",
+      "request": "attach",
+      "program": "/home/bts/spark/build/gcc/debug/src/server/sparkd/sparkd",
+      "processId": "${command:pickRemoteProcess}",
+      "MIMode": "gdb",
+      "pipeTransport": {
+        "pipeCwd": "${workspaceRoot}",
+        "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+        "pipeArgs": [
+          "bts@sparkvm"
+        ],
+        "debuggerPath": "/usr/bin/gdb"
+      },
+      "sourceFileMap": {
+        "/home/bts/spark/": "${workspaceRoot}"
+      }
+    },
+    {
+      "name": "Python",
+      "type": "python",
+      "request": "launch",
+      "stopOnEntry": false,
+      "python": "${command:python.interpreterPath}",
+      "program": "${file}",
+      "cwd": "${workspaceRoot}",
+      "env": {},
+      "envFile": "${workspaceRoot}/.env",
+      "args": [
+        "DEBUG"
+      ],
+      "debugOptions": [
+        "WaitOnAbnormalExit",
+        "WaitOnNormalExit",
+        "RedirectOutput"
+      ]
+    },
+    {
+      "name": ".NET Core Remote Attach",
+      "type": "coreclr",
+      "request": "attach",
+      "processId": "${command:pickRemoteProcess}",
+      "pipeTransport": {
+        "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+        "pipeArgs": [
+          "bts@sparkvm"
+        ],
+        "debuggerPath": "/home/bts/vsdbg/vsdbg",
+        "pipeCwd": "${workspaceRoot}",
+        "quoteArgs": true
+      },
+      "sourceFileMap": {
+        "/home/bts/spark/": "${workspaceRoot}"
+      },
+      "justMyCode": true
+    },
+    {
+      "name": ".NET Core Remote Launch",
+      "type": "coreclr",
+      "request": "launch",
+      "program": "/usr/bin/dotnet",
+      "args": [
+        "sparkcmd.dll",
+        "test",
+        "test_join_create_and_takeout_market"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/gcc/debug/server",
+      "pipeTransport": {
+        "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+        "pipeArgs": [
+          "bts@sparkvm"
+        ],
+        "debuggerPath": "/home/bts/vsdbg/vsdbg",
+        "pipeCwd": "${workspaceRoot}",
+        "quoteArgs": true
+      },
+      "sourceFileMap": {
+        "/home/bts/spark/": "${workspaceRoot}"
+      },
+      "justMyCode": false
+    },
+  ]
+}

dev/john/vscode/settings.json

@@ -0,0 +1,16 @@
+{
+  "files.associations": {
+    "utility": "cpp",
+    "initializer_list": "cpp",
+    "list": "cpp",
+    "type_traits": "cpp",
+    "vector": "cpp",
+    "xhash": "cpp",
+    "xstring": "cpp",
+    "system_error": "cpp",
+    "array": "cpp",
+    "string_view": "cpp",
+    "xutility": "cpp",
+    "*.ipp": "cpp"
+  }
+}

dev/john/vscode/tasks.json

@@ -0,0 +1,41 @@
+{
+  // See https://go.microsoft.com/fwlink/?LinkId=733558
+  // for the documentation about the tasks.json format
+  "version": "2.0.0",
+  "tasks": [
+    {
+      "label": "Touch CMakeLists.txt",
+      "type": "process",
+      "promptOnClose": false,
+      "isBackground": true,
+      "command": "touch",
+      "args": ["${workspaceRoot}/CMakeLists.txt"],
+      "problemMatcher": [],
+      "presentation": {
+        "echo": false,
+        "revealProblems": "onProblem",
+        "reveal": "silent",
+        "focus": false,
+        "panel": "shared",
+        "showReuseMessage": false,
+        "clear": true
+      }
+    }
+  ],
+  "inputs": [
+    {
+      "id": "build_configuration",
+      "type": "pickString",
+      "default": "debug",
+      "description": "Configuration:",
+      "options": ["debug", "release"]
+    },
+    {
+      "id": "compiler",
+      "type": "pickString",
+      "default": "gcc",
+      "description": "Compiler",
+      "options": ["clang", "gcc"]
+    }
+  ]
+}

dev/taha/vscode/c_cpp_properties.json

@@ -0,0 +1,107 @@
+{
+    "configurations": [
+        {
+            "name": "Linux",
+            "includePath": [
+                "/usr/include",
+                "/usr/local/include",
+                "${workspaceRoot}",
+                "${workspaceFolder}/src",
+                "${workspaceRoot}/externals/linux/include"
+            ],
+            "defines": [],
+            "intelliSenseMode": "clang-x64",
+            "browse": {
+                "path": [
+                    "/usr/include",
+                    "/usr/local/include",
+                    "${workspaceRoot}",
+                    "${workspaceFolder}/src",
+                    "${workspaceRoot}/externals/linux/include"
+                ],
+                "limitSymbolsToIncludedHeaders": true,
+                "databaseFilename": ""
+            },
+            "cStandard": "c11",
+            "cppStandard": "c++17",
+            "compileCommands": "${workspaceFolder}/build/ninja_debug/compile_commands.json"
+        },
+        {
+            "name": "Windows",
+            "intelliSenseMode": "clang-x64",
+            "includePath": [
+                "${workspaceRoot}/src",
+                "${workspaceRoot}/build/src",
+                "${workspaceRoot}/build/ninja_debug/src",
+                "${workspaceRoot}/externals/windows/include",
+                "${workspaceRoot}/externals/linux/include",
+                "${workspaceRoot}/externals/windows/vscode/usr/include/c++/6",
+                "${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu/c++/6",
+                "${workspaceRoot}/externals/windows/vscode/usr/include/c++/6/backward",
+                "${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include",
+                "${workspaceRoot}/externals/windows/vscode/usr/local/include",
+                "${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include-fixed",
+                "${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu",
+                "${workspaceRoot}/externals/windows/vscode/usr/include"
+            ],
+            "defines": [
+                "__linux__",
+                "__x86_64__"
+            ],
+            "browse": {
+                "path": [
+                    "${workspaceRoot}/src",
+                    "${workspaceRoot}/build/src",
+                    "${workspaceRoot}/build/ninja_debug/src",
+                    "${workspaceRoot}/externals/windows/include",
+                    "${workspaceRoot}/externals/linux/include",
+                    "${workspaceRoot}/externals/windows/vscode/usr/include/c++/6",
+                    "${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu/c++/6",
+                    "${workspaceRoot}/externals/windows/vscode/usr/include/c++/6/backward",
+                    "${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include",
+                    "${workspaceRoot}/externals/windows/vscode/usr/local/include",
+                    "${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include-fixed",
+                    "${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu",
+                    "${workspaceRoot}/externals/windows/vscode/usr/include/*"
+                ],
+                "limitSymbolsToIncludedHeaders": true,
+                "databaseFilename": ""
+            },
+            "cStandard": "c11",
+            "cppStandard": "c++17"
+        },
+        {
+            "name": "WindowsQuick",
+            "intelliSenseMode": "clang-x64",
+            "includePath": [
+                "${workspaceRoot}/src",
+                "${workspaceRoot}/build/src",
+                "${workspaceRoot}/build/ninja_debug/src",
+                "${workspaceRoot}/externals/windows/include",
+                "${workspaceRoot}/externals/linux/include",
+                "${workspaceRoot}/externals/windows/vscode/usr/include/c++/6",
+                "${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu/c++/6",
+                "${workspaceRoot}/externals/windows/vscode/usr/include/c++/6/backward",
+                "${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include",
+                "${workspaceRoot}/externals/windows/vscode/usr/local/include",
+                "${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include-fixed",
+                "${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu",
+                "${workspaceRoot}/externals/windows/vscode/usr/include"
+            ],
+            "defines": [
+                "__linux__",
+                "__x86_64__"
+            ],
+            "browse": {
+                "path": [
+                    "${workspaceRoot}/src"
+                ],
+                "limitSymbolsToIncludedHeaders": true,
+                "databaseFilename": "${workspaceRoot}/.vscode/browse.vc.db"
+            },
+            "cStandard": "c11",
+            "cppStandard": "c++17"
+        }
+    ],
+    "version": 4
+}

dev/taha/vscode/launch.json

@@ -1,371 +1,402 @@
-{
-    "version": "0.2.0",
-    "configurations": [
-        {
-            "name": "SparkVM Launch",
-            "type": "cppdbg",
-            "request": "launch",
-            "program": "/home/bts/spark/build/ninja_debug/server/sparkd",
-            "args": [
-                "run"
-            ],
-            "stopAtEntry": false,
-            "cwd": "/home/bts/spark/build/ninja_debug/server/",
-            "environment": [],
-            "externalConsole": true,
-            "MIMode": "gdb",
-            "preLaunchTask": "",
-            "logging": {
-                "engineLogging": false
-            },
-            "setupCommands": [
-                {
-                    "description": "Enable pretty-printing for gdb",
-                    "text": "enable pretty-printer",
-                    "ignoreFailures": true
-                },
-                {
-                    "description": "Skip STL",
-                    "text": "skip -gfi /usr/include/c++/7/bits/*.h",
-                    "ignoreFailures": true
-                },
-                {
-                    "description": "LD LIBRARY",
-                    "text": "set env LD_LIBRARY_PATH=.",
-                    "ignoreFailures": false
-                }
-            ],
-            "pipeTransport": {
-                "pipeCwd": "${workspaceRoot}",
-                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": [
-                    "bts@sparkvm"
-                ],
-                "debuggerPath": "/usr/bin/gdb"
-            },
-            "sourceFileMap": {
-                "/home/bts/spark/": "${workspaceRoot}"
-            }
-        },
-        {
-            "name": "(gdb) Launch",
-            "type": "cppdbg",
-            "request": "launch",
-            "program": "${workspaceRoot}/build/ninja_debug/server/sparkd/sparkd",
-            "args": [
-                "run"
-            ],
-            "stopAtEntry": false,
-            "cwd": "${workspaceRoot}/build/ninja_debug/src/server/sparkd",
-            "environment": [],
-            "externalConsole": true,
-            "MIMode": "gdb",
-            "setupCommands": [
-                {
-                    "description": "Enable pretty-printing for gdb",
-                    "text": "-enable-pretty-printing",
-                    "ignoreFailures": true
-                }
-            ]
-        },
-        {
-            "name": "Client Launch",
-            "type": "clr",
-            "request": "launch",
-            "program": "${workspaceRoot}/build/Debug/bin/net471/spark.exe",
-            "args": [],
-            "cwd": "${workspaceRoot}",
-            "stopAtEntry": false,
-            "externalConsole": true,
-            "requireExactSource": false
-        },
-        {
-            "name": "SDK Launch",
-            "type": "clr",
-            "request": "launch",
-            "program": "${workspaceRoot}/build/Debug/bin/net471/spark_sdk.exe",
-            "args": [
-                "md",
-                "GLBX",
-                "Future",
-                "CL",
-                "CLZ9",
-                "--user=bts",
-                "--pass="
-            ],
-            "cwd": "${workspaceRoot}",
-            "stopAtEntry": false,
-            "externalConsole": true,
-            "requireExactSource": false
-        },
-        {
-            "name": "Excel Launch",
-            "type": "clr",
-            "request": "launch",
-            "program": "C:/Program Files/Microsoft Office/Office14/EXCEL.EXE",
-            "args": [
-                "${workspaceRoot}/build/Debug/bin/net471/spark_excel-addin64-packed.xll"
-            ],
-            "cwd": "${workspaceRoot}",
-            "stopAtEntry": false,
-            "externalConsole": true,
-            "requireExactSource": false
-        },
-        {
-            "name": "Client Tests",
-            "type": "clr",
-            "request": "launch",
-            "program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
-            "args": [
-                "test",
-                "ApiUpdateTests"
-            ],
-            "cwd": "${workspaceRoot}",
-            "stopAtEntry": false,
-            "externalConsole": true,
-            "requireExactSource": false
-        },
-        {
-            "name": "Client Attach",
-            "type": "clr",
-            "request": "attach",
-            "processId": "${command:pickProcess}"
-        },
-        {
-            "name": "Spreader Tests",
-            "type": "cppdbg",
-            "request": "launch",
-            "program": "/home/bts/spark/build/ninja_debug/server/sparkd",
-            "args": [
-                "test",
-                "[spreader]"
-            ],
-            "stopAtEntry": false,
-            "cwd": "/home/bts/spark/build/ninja_debug/server/",
-            "environment": [],
-            "externalConsole": true,
-            "MIMode": "gdb",
-            "preLaunchTask": "",
-            "logging": {
-                "engineLogging": false
-            },
-            "setupCommands": [
-                {
-                    "description": "Enable pretty-printing for gdb",
-                    "text": "enable pretty-printer",
-                    "ignoreFailures": true
-                }
-            ],
-            "pipeTransport": {
-                "pipeCwd": "${workspaceRoot}",
-                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": [
-                    "bts@sparkvm"
-                ],
-                "debuggerPath": "/usr/bin/gdb"
-            },
-            "sourceFileMap": {
-                "/home/bts/spark/": "${workspaceRoot}"
-            }
-        },
-        {
-            "name": "Admin Service Tests",
-            "type": "cppdbg",
-            "request": "launch",
-            "program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
-            "args": [
-                "test",
-                "[admin_service]"
-            ],
-            "stopAtEntry": false,
-            "cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
-            "environment": [],
-            "externalConsole": true,
-            "MIMode": "gdb",
-            "preLaunchTask": "",
-            "logging": {
-                "engineLogging": false
-            },
-            "setupCommands": [
-                {
-                    "description": "Enable pretty-printing for gdb",
-                    "text": "enable pretty-printer",
-                    "ignoreFailures": true
-                }
-            ],
-            "pipeTransport": {
-                "pipeCwd": "${workspaceRoot}",
-                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": [
-                    "bts@sparkvm"
-                ],
-                "debuggerPath": "/usr/bin/gdb"
-            },
-            "sourceFileMap": {
-                "/home/bts/spark/": "${workspaceRoot}"
-            }
-        },
-        {
-            "name": "Limiter Tests",
-            "type": "cppdbg",
-            "request": "launch",
-            "program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
-            "args": [
-                "test",
-                "[limiter]"
-            ],
-            "stopAtEntry": false,
-            "cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
-            "environment": [],
-            "externalConsole": true,
-            "MIMode": "gdb",
-            "preLaunchTask": "",
-            "logging": {
-                "engineLogging": false
-            },
-            "setupCommands": [
-                {
-                    "description": "Enable pretty-printing for gdb",
-                    "text": "enable pretty-printer",
-                    "ignoreFailures": true
-                }
-            ],
-            "pipeTransport": {
-                "pipeCwd": "${workspaceRoot}",
-                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": [
-                    "bts@sparkvm"
-                ],
-                "debuggerPath": "/usr/bin/gdb"
-            },
-            "sourceFileMap": {
-                "/home/bts/spark/": "${workspaceRoot}"
-            }
-        },
-        {
-            "name": "MD Tests",
-            "type": "cppdbg",
-            "request": "launch",
-            "program": "/home/bts/spark/build/ninja_debug/server/sparkd",
-            "args": [
-                "test",
-                "[algo]"
-            ],
-            "stopAtEntry": false,
-            "cwd": "/home/bts/spark/build/ninja_debug/server/",
-            "environment": [],
-            "externalConsole": true,
-            "MIMode": "gdb",
-            "preLaunchTask": "",
-            "logging": {
-                "engineLogging": false
-            },
-            "setupCommands": [
-                {
-                    "description": "Enable pretty-printing for gdb",
-                    "text": "-enable-pretty-printing",
-                    "ignoreFailures": true
-                },
-                {
-                    "description": "Skip STL",
-                    "text": "skip -gfi /usr/include/c++/7/bits/*.h",
-                    "ignoreFailures": true
-                }
-            ],
-            "pipeTransport": {
-                "pipeCwd": "${workspaceRoot}",
-                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": [
-                    "bts@sparkvm"
-                ],
-                "debuggerPath": "/usr/bin/gdb"
-            },
-            "sourceFileMap": {
-                "/home/bts/spark/": "${workspaceRoot}"
-            }
-        },
-        {
-            "name": "SparkVM attach",
-            "type": "cppdbg",
-            "request": "attach",
-            "program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
-            "processId": "${command:pickRemoteProcess}",
-            "MIMode": "gdb",
-            "pipeTransport": {
-                "pipeCwd": "${workspaceRoot}",
-                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": [
-                    "bts@sparkvm"
-                ],
-                "debuggerPath": "/usr/bin/gdb"
-            },
-            "sourceFileMap": {
-                "/home/bts/spark/": "${workspaceRoot}"
-            }
-        },
-        {
-            "name": "Python",
-            "type": "python",
-            "request": "launch",
-            "stopOnEntry": false,
-            "pythonPath": "${config:python.pythonPath}",
-            "program": "${file}",
-            "cwd": "${workspaceRoot}",
-            "env": {},
-            "envFile": "${workspaceRoot}/.env",
-            "args": [
-                "DEBUG"
-            ],
-            "debugOptions": [
-                "WaitOnAbnormalExit",
-                "WaitOnNormalExit",
-                "RedirectOutput"
-            ]
-        },
-        {
-            "name": ".NET Core Remote Attach",
-            "type": "coreclr",
-            "request": "attach",
-            "processId": "${command:pickRemoteProcess}",
-            "pipeTransport": {
-                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": [
-                    "bts@sparkvm"
-                ],
-                "debuggerPath": "/home/bts/vsdbg/vsdbg",
-                "pipeCwd": "${workspaceRoot}",
-                "quoteArgs": true
-            },
-            "sourceFileMap": {
-                "/home/bts/spark/": "${workspaceRoot}"
-            },
-            "justMyCode": true
-        },
-        {
-            "name": ".NET Core Remote Launch",
-            "type": "coreclr",
-            "request": "launch",
-            "program": "/usr/bin/dotnet",
-            "args": [
-                "sparkcmd.dll",
-                "test",
-                "test_join_create_and_takeout_market"
-            ],
-            "stopAtEntry": false,
-            "cwd": "/home/bts/spark/build/ninja_debug/server",
-            "pipeTransport": {
-                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
-                "pipeArgs": [
-                    "bts@sparkvm"
-                ],
-                "debuggerPath": "/home/bts/vsdbg/vsdbg",
-                "pipeCwd": "${workspaceRoot}",
-                "quoteArgs": true
-            },
-            "sourceFileMap": {
-                "/home/bts/spark/": "${workspaceRoot}"
-            },
-            "justMyCode": false
-        },
-    ]
+{
+    "version": "0.2.0",
+    "configurations": [
+        {
+            "name": "Spark Local",
+            "type": "cppdbg",
+            "request": "launch",
+            "program": "${workspaceRoot}/build/gcc/debug/server/sparkd",
+            "args": [
+                "run",
+                "test",
+                "-a",
+                "OutrightVanillaOrder"
+            ],
+            "stopAtEntry": false,
+            "cwd": "${workspaceRoot}/build/gcc/debug/server/",
+            "environment": [
+                {
+                    "name": "TZ",
+                    "value": "America/Chicago"
+                }
+            ],
+            "externalConsole": false,
+            "MIMode": "gdb",
+            "setupCommands": [
+                {
+                    "description": "Enable pretty-printing for gdb",
+                    "text": "-enable-pretty-printing",
+                    "ignoreFailures": true
+                }
+            ]
+        },
+        {
+            "name": "SparkVM Launch",
+            "type": "cppdbg",
+            "request": "launch",
+            "program": "/home/bts/spark/build/gcc/debug/server/sparkd",
+            "args": [
+                "test",
+                "-a",
+                "[ilink3]"
+            ],
+            "stopAtEntry": false,
+            "cwd": "/home/bts/spark/build/gcc/debug/server/",
+            "environment": [],
+            "externalConsole": true,
+            "MIMode": "gdb",
+            "preLaunchTask": "",
+            "logging": {
+                "engineLogging": false
+            },
+            "setupCommands": [
+                {
+                    "description": "Enable pretty-printing for gdb",
+                    "text": "enable pretty-printer",
+                    "ignoreFailures": true
+                },
+                {
+                    "description": "Skip STL",
+                    "text": "skip -gfi /usr/include/c++/7/bits/*.h",
+                    "ignoreFailures": true
+                },
+                {
+                    "description": "LD LIBRARY",
+                    "text": "set env LD_LIBRARY_PATH=.",
+                    "ignoreFailures": false
+                }
+            ],
+            "pipeTransport": {
+                "pipeCwd": "${workspaceRoot}",
+                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
+                "debuggerPath": "/usr/bin/gdb"
+            },
+            "sourceFileMap": {
+                "/home/bts/spark/": "${workspaceRoot}"
+            }
+        },
+        {
+            "name": "(gdb) Launch",
+            "type": "cppdbg",
+            "request": "launch",
+            "program": "${workspaceRoot}/build/gcc/debug/server/sparkd/sparkd",
+            "args": [
+                "run"
+            ],
+            "stopAtEntry": false,
+            "cwd": "${workspaceRoot}/build/ninja_debug/src/server/sparkd",
+            "environment": [],
+            "externalConsole": true,
+            "MIMode": "gdb",
+            "setupCommands": [
+                {
+                    "description": "Enable pretty-printing for gdb",
+                    "text": "-enable-pretty-printing",
+                    "ignoreFailures": true
+                }
+            ]
+        },
+        {
+            "name": "Client Launch",
+            "type": "clr",
+            "request": "launch",
+            "program": "${workspaceRoot}/build/Debug/bin/net471/spark.exe",
+            "args": [],
+            "cwd": "${workspaceRoot}",
+            "stopAtEntry": false,
+            "externalConsole": true,
+            "requireExactSource": false
+        },
+        {
+            "name": "SDK Launch",
+            "type": "clr",
+            "request": "launch",
+            "program": "${workspaceRoot}/build/Debug/bin/net471/spark_sdk.exe",
+            "args": [
+                "md",
+                "GLBX",
+                "Future",
+                "CL",
+                "CLZ9",
+                "--user=bts",
+                "--pass="
+            ],
+            "cwd": "${workspaceRoot}",
+            "stopAtEntry": false,
+            "externalConsole": true,
+            "requireExactSource": false
+        },
+        {
+            "name": "Excel Launch",
+            "type": "clr",
+            "request": "launch",
+            "program": "C:/Program Files/Microsoft Office/Office14/EXCEL.EXE",
+            "args": [
+                "${workspaceRoot}/build/Debug/bin/net471/spark_excel-addin64-packed.xll"
+            ],
+            "cwd": "${workspaceRoot}",
+            "stopAtEntry": false,
+            "externalConsole": true,
+            "requireExactSource": false
+        },
+        {
+            "name": "Client Tests",
+            "type": "clr",
+            "request": "launch",
+            "program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
+            "args": [
+                "test",
+                "ApiUpdateTests"
+            ],
+            "cwd": "${workspaceRoot}",
+            "stopAtEntry": false,
+            "externalConsole": true,
+            "requireExactSource": false
+        },
+        {
+            "name": "Client Attach",
+            "type": "clr",
+            "request": "attach",
+            "processId": "${command:pickProcess}"
+        },
+        {
+            "name": "Spreader Tests",
+            "type": "cppdbg",
+            "request": "launch",
+            "program": "/home/bts/spark/build/gcc/debug/server/sparkd",
+            "args": [
+                "test",
+                "[spreader]"
+            ],
+            "stopAtEntry": false,
+            "cwd": "/home/bts/spark/build/gcc/debug/server/",
+            "environment": [],
+            "externalConsole": true,
+            "MIMode": "gdb",
+            "preLaunchTask": "",
+            "logging": {
+                "engineLogging": false
+            },
+            "setupCommands": [
+                {
+                    "description": "Enable pretty-printing for gdb",
+                    "text": "enable pretty-printer",
+                    "ignoreFailures": true
+                }
+            ],
+            "pipeTransport": {
+                "pipeCwd": "${workspaceRoot}",
+                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
+                "debuggerPath": "/usr/bin/gdb"
+            },
+            "sourceFileMap": {
+                "/home/bts/spark/": "${workspaceRoot}"
+            }
+        },
+        {
+            "name": "Admin Service Tests",
+            "type": "cppdbg",
+            "request": "launch",
+            "program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
+            "args": [
+                "test",
+                "[admin_service]"
+            ],
+            "stopAtEntry": false,
+            "cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
+            "environment": [],
+            "externalConsole": true,
+            "MIMode": "gdb",
+            "preLaunchTask": "",
+            "logging": {
+                "engineLogging": false
+            },
+            "setupCommands": [
+                {
+                    "description": "Enable pretty-printing for gdb",
+                    "text": "enable pretty-printer",
+                    "ignoreFailures": true
+                }
+            ],
+            "pipeTransport": {
+                "pipeCwd": "${workspaceRoot}",
+                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
+                "debuggerPath": "/usr/bin/gdb"
+            },
+            "sourceFileMap": {
+                "/home/bts/spark/": "${workspaceRoot}"
+            }
+        },
+        {
+            "name": "Limiter Tests",
+            "type": "cppdbg",
+            "request": "launch",
+            "program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
+            "args": [
+                "test",
+                "[limiter]"
+            ],
+            "stopAtEntry": false,
+            "cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
+            "environment": [],
+            "externalConsole": true,
+            "MIMode": "gdb",
+            "preLaunchTask": "",
+            "logging": {
+                "engineLogging": false
+            },
+            "setupCommands": [
+                {
+                    "description": "Enable pretty-printing for gdb",
+                    "text": "enable pretty-printer",
+                    "ignoreFailures": true
+                }
+            ],
+            "pipeTransport": {
+                "pipeCwd": "${workspaceRoot}",
+                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
+                "debuggerPath": "/usr/bin/gdb"
+            },
+            "sourceFileMap": {
+                "/home/bts/spark/": "${workspaceRoot}"
+            }
+        },
+        {
+            "name": "MD Tests",
+            "type": "cppdbg",
+            "request": "launch",
+            "program": "/home/bts/spark/build/gcc/debug/server/sparkd",
+            "args": [
+                "test",
+                "[algo]"
+            ],
+            "stopAtEntry": false,
+            "cwd": "/home/bts/spark/build/gcc/debug/server/",
+            "environment": [],
+            "externalConsole": true,
+            "MIMode": "gdb",
+            "preLaunchTask": "",
+            "logging": {
+                "engineLogging": false
+            },
+            "setupCommands": [
+                {
+                    "description": "Enable pretty-printing for gdb",
+                    "text": "-enable-pretty-printing",
+                    "ignoreFailures": true
+                },
+                {
+                    "description": "Skip STL",
+                    "text": "skip -gfi /usr/include/c++/7/bits/*.h",
+                    "ignoreFailures": true
+                }
+            ],
+            "pipeTransport": {
+                "pipeCwd": "${workspaceRoot}",
+                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
+                "debuggerPath": "/usr/bin/gdb"
+            },
+            "sourceFileMap": {
+                "/home/bts/spark/": "${workspaceRoot}"
+            }
+        },
+        {
+            "name": "SparkVM attach",
+            "type": "cppdbg",
+            "request": "attach",
+            "program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
+            "processId": "${command:pickRemoteProcess}",
+            "MIMode": "gdb",
+            "pipeTransport": {
+                "pipeCwd": "${workspaceRoot}",
+                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
+                "debuggerPath": "/usr/bin/gdb"
+            },
+            "sourceFileMap": {
+                "/home/bts/spark/": "${workspaceRoot}"
+            }
+        },
+        {
+            "name": "Python",
+            "type": "python",
+            "request": "launch",
+            "stopOnEntry": false,
+            "pythonPath": "${config:python.pythonPath}",
+            "program": "${file}",
+            "cwd": "${workspaceRoot}",
+            "env": {},
+            "envFile": "${workspaceRoot}/.env",
+            "args": [
+                "DEBUG"
+            ],
+            "debugOptions": [
+                "WaitOnAbnormalExit",
+                "WaitOnNormalExit",
+                "RedirectOutput"
+            ]
+        },
+        {
+            "name": ".NET Core Remote Attach",
+            "type": "coreclr",
+            "request": "attach",
+            "processId": "${command:pickRemoteProcess}",
+            "pipeTransport": {
+                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
+                "debuggerPath": "/home/bts/vsdbg/vsdbg",
+                "pipeCwd": "${workspaceRoot}",
+                "quoteArgs": true
+            },
+            "sourceFileMap": {
+                "/home/bts/spark/": "${workspaceRoot}"
+            },
+            "justMyCode": true
+        },
+        {
+            "name": ".NET Core Remote Launch",
+            "type": "coreclr",
+            "request": "launch",
+            "program": "/usr/bin/dotnet",
+            "args": [
+                "sparkcmd.dll",
+                "test",
+                "test_join_create_and_takeout_market"
+            ],
+            "stopAtEntry": false,
+            "cwd": "/home/bts/spark/build/gcc/debug/server",
+            "pipeTransport": {
+                "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+                "pipeArgs": [
+                    "bts@sparkvm"
+                ],
+                "debuggerPath": "/home/bts/vsdbg/vsdbg",
+                "pipeCwd": "${workspaceRoot}",
+                "quoteArgs": true
+            },
+            "sourceFileMap": {
+                "/home/bts/spark/": "${workspaceRoot}"
+            },
+            "justMyCode": false
+        }
+    ]
 }

dev/taha/vscode/settings.json

@@ -7,9 +7,9 @@
         "vector": "cpp",
         "xhash": "cpp",
         "xstring": "cpp",
-    "system_error": "cpp",
-    "array": "cpp",
-    "string_view": "cpp"
+    "system_error": "cpp",
+    "array": "cpp",
+    "string_view": "cpp"
         "xutility": "cpp",
         "*.ipp": "cpp"
 }

doc/api/content/client/getting-started/services.md

@@ -124,4 +124,17 @@ service OrderService {
 ```
 ### C++ Example
 ```cpp
+#include "lib/api/public/ServiceContext.h"
+#include "lib/api/services/OrderService.client.pb.h"
+using namespace bts::api;
+ServiceContext ctx;
+auto orders = ctx.locate<orderman::OrderService>();
+auto unsub = orders.subscribe_fills().subscribe([](const auto& update) {
+  std::cout 
+    << "Added " << update.added().size() << " items, "
+    << "Removed " << update.removed().size() << " items, "
+    << "Updated " << update.updated().size() << " items, "
+    << "Total items " << update.all().size() << std::endl;
+});
+std::this_thread::sleep_for(std::chrono::minutes(5));
 ```

doc/api/content/client/services/marketdata.md

@@ -1,3 +1,51 @@
 +++
 title = "Market Data"
-+++
++++
+
+
+Use the MarketDataService to subscribe enumerate all available securities.
+
+```cs
+using System;
+using System.Threading;
+using bts.api;
+using bts.api.core;
+
+namespace sample {
+   class Program {
+      static void Main(string[] args) {
+         using var context = new ServiceContext();
+         var md = context.locate<MarketDataService>();
+         using var sub = md.subscribe_securities().Subscribe(update => {
+            foreach (var security in update.added) {
+               Console.WriteLine($"Added security {security.Id}: {security.Symbol}");
+            }
+         });
+
+         Thread.Sleep(TimeSpan.FromMinutes(5));
+      }
+   }
+}
+```
+
+```cpp
+#include "lib/api/public/ServiceContext.h"
+#include "spark/lib/domain_model/Security.h"
+#include "lib/api/services/MarketDataService.client.pb.h"
+#include <thread>
+
+using namespace bts::api;
+
+int main(int argc, char** argv) {
+   ServiceContext ctx;
+   auto md_service = ctx.locate<bts::api::MarketDataService>();
+   auto sub = md_service.subscribe_securities().subscribe([](const auto& update) {
+      for (const auto& s : update.added()) {
+         std::cout << "Added security: " << s->id() << ": " << s->symbol() << std::endl;
+      }
+   });
+
+   std::this_thread::sleep_for(std::chrono::minutes(5));
+   return 0;
+}
+```

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/CMakeDeps.cmake

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

doc/user/content/release_notes/_index.md

@@ -1,9 +1,29 @@
-+++
++++
 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
+### API Changes
+  - Added settlement and position information to the API
+  - Added the ability for user algos to report custom state to the user interface
+  - Added the ability for algos to discover all active securities
 ## 2.15.3
 ### Bug Fixes
   - Fixed a bug where some CME currency spreads exhibited incorrect tick values
@@ -708,3 +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"
+  }
+}

omnisharp.json

@@ -0,0 +1,20 @@
+{
+  "FormattingOptions": {
+    "NewLineForCatch": false,
+    "NewLineForClausesInQuery": true,
+    "NewLineForElse": false,
+    "NewLineForFinally": false,
+    "NewLineForMembersInAnonymousTypes": true,
+    "NewLineForMembersInObjectInit": true,
+    "NewLinesForBracesInAccessors": false,
+    "NewLinesForBracesInAnonymousMethods": false,
+    "NewLinesForBracesInAnonymousTypes": false,
+    "NewLinesForBracesInControlBlocks": false,
+    "NewLinesForBracesInLambdaExpressionBody": false,
+    "NewLinesForBracesInMethods": false,
+    "NewLinesForBracesInObjectCollectionArrayInitializers": false,
+    "NewLinesForBracesInProperties": false,
+    "NewLinesForBracesInTypes": false,
+    "TabSize": 3
+  }
+}

requirements.txt

@@ -0,0 +1,17 @@
+astroid==2.7.3
+autopep8==1.5.7
+cffi==1.14.6
+colorama==0.4.4
+isort==5.9.3
+lazy-object-proxy==1.6.0
+mccabe==0.6.1
+platformdirs==2.3.0
+protobuf==3.19.1
+pybars3==0.9.7
+pycodestyle==2.7.0
+pycparser==2.20
+pylint==2.10.2
+PyMeta3==0.5.1
+toml==0.10.2
+wrapt==1.12.1
+yapf==0.31.0

server_sln/spark_server.sln

@@ -1,41 +1,41 @@
-
-Microsoft Visual Studio Solution File, Format Version 12.00
-# Visual Studio 15
-VisualStudioVersion = 15.0.26730.10
-MinimumVisualStudioVersion = 10.0.40219.1
-Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "sparkd", "src\server\sparkd\sparkd.vcxproj", "{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}"
-EndProject
-Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "libspark", "build\src\lib\libspark.vcxproj", "{502FD050-679A-3B50-B438-098500700919}"
-EndProject
-Global
-	GlobalSection(SolutionConfigurationPlatforms) = preSolution
-		Debug|x64 = Debug|x64
-		MinSizeRel|x64 = MinSizeRel|x64
-		Release|x64 = Release|x64
-		RelWithDebInfo|x64 = RelWithDebInfo|x64
-	EndGlobalSection
-	GlobalSection(ProjectConfigurationPlatforms) = postSolution
-		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Debug|x64.ActiveCfg = Debug|x64
-		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Debug|x64.Build.0 = Debug|x64
-		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.MinSizeRel|x64.ActiveCfg = Release|x64
-		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.MinSizeRel|x64.Build.0 = Release|x64
-		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Release|x64.ActiveCfg = Release|x64
-		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Release|x64.Build.0 = Release|x64
-		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.RelWithDebInfo|x64.ActiveCfg = Release|x64
-		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.RelWithDebInfo|x64.Build.0 = Release|x64
-		{502FD050-679A-3B50-B438-098500700919}.Debug|x64.ActiveCfg = Debug|x64
-		{502FD050-679A-3B50-B438-098500700919}.Debug|x64.Build.0 = Debug|x64
-		{502FD050-679A-3B50-B438-098500700919}.MinSizeRel|x64.ActiveCfg = MinSizeRel|x64
-		{502FD050-679A-3B50-B438-098500700919}.MinSizeRel|x64.Build.0 = MinSizeRel|x64
-		{502FD050-679A-3B50-B438-098500700919}.Release|x64.ActiveCfg = Release|x64
-		{502FD050-679A-3B50-B438-098500700919}.Release|x64.Build.0 = Release|x64
-		{502FD050-679A-3B50-B438-098500700919}.RelWithDebInfo|x64.ActiveCfg = RelWithDebInfo|x64
-		{502FD050-679A-3B50-B438-098500700919}.RelWithDebInfo|x64.Build.0 = RelWithDebInfo|x64
-	EndGlobalSection
-	GlobalSection(SolutionProperties) = preSolution
-		HideSolutionNode = FALSE
-	EndGlobalSection
-	GlobalSection(ExtensibilityGlobals) = postSolution
-		SolutionGuid = {6A7249D7-B40C-4656-9347-60072D0B8FDB}
-	EndGlobalSection
-EndGlobal
+
+Microsoft Visual Studio Solution File, Format Version 12.00
+# Visual Studio 15
+VisualStudioVersion = 15.0.26730.10
+MinimumVisualStudioVersion = 10.0.40219.1
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "sparkd", "src\server\sparkd\sparkd.vcxproj", "{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}"
+EndProject
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "libspark", "build\src\lib\libspark.vcxproj", "{502FD050-679A-3B50-B438-098500700919}"
+EndProject
+Global
+	GlobalSection(SolutionConfigurationPlatforms) = preSolution
+		Debug|x64 = Debug|x64
+		MinSizeRel|x64 = MinSizeRel|x64
+		Release|x64 = Release|x64
+		RelWithDebInfo|x64 = RelWithDebInfo|x64
+	EndGlobalSection
+	GlobalSection(ProjectConfigurationPlatforms) = postSolution
+		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Debug|x64.ActiveCfg = Debug|x64
+		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Debug|x64.Build.0 = Debug|x64
+		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.MinSizeRel|x64.ActiveCfg = Release|x64
+		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.MinSizeRel|x64.Build.0 = Release|x64
+		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Release|x64.ActiveCfg = Release|x64
+		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Release|x64.Build.0 = Release|x64
+		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.RelWithDebInfo|x64.ActiveCfg = Release|x64
+		{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.RelWithDebInfo|x64.Build.0 = Release|x64
+		{502FD050-679A-3B50-B438-098500700919}.Debug|x64.ActiveCfg = Debug|x64
+		{502FD050-679A-3B50-B438-098500700919}.Debug|x64.Build.0 = Debug|x64
+		{502FD050-679A-3B50-B438-098500700919}.MinSizeRel|x64.ActiveCfg = MinSizeRel|x64
+		{502FD050-679A-3B50-B438-098500700919}.MinSizeRel|x64.Build.0 = MinSizeRel|x64
+		{502FD050-679A-3B50-B438-098500700919}.Release|x64.ActiveCfg = Release|x64
+		{502FD050-679A-3B50-B438-098500700919}.Release|x64.Build.0 = Release|x64
+		{502FD050-679A-3B50-B438-098500700919}.RelWithDebInfo|x64.ActiveCfg = RelWithDebInfo|x64
+		{502FD050-679A-3B50-B438-098500700919}.RelWithDebInfo|x64.Build.0 = RelWithDebInfo|x64
+	EndGlobalSection
+	GlobalSection(SolutionProperties) = preSolution
+		HideSolutionNode = FALSE
+	EndGlobalSection
+	GlobalSection(ExtensibilityGlobals) = postSolution
+		SolutionGuid = {6A7249D7-B40C-4656-9347-60072D0B8FDB}
+	EndGlobalSection
+EndGlobal

spark_client.sln

@@ -1,10 +1,10 @@
 Microsoft Visual Studio Solution File, Format Version 12.00
-# Visual Studio 15
-VisualStudioVersion = 15.0.27130.2024
+# Visual Studio Version 16
+VisualStudioVersion = 16.0.30114.105
 MinimumVisualStudioVersion = 15.0.26124.0
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_api", "src\client\spark_api\spark_api.csproj", "{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}"
 EndProject
-Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "libspark", "build\src\lib\libspark.vcxproj", "{3335AAF0-489D-359D-8305-9B7A44E2C760}"
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "libspark", "build\src\lib\libspark.vcxproj", "{9FA60215-26AF-3EB7-AB89-D4F4B126EF40}"
 EndProject
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Spark", "src\client\spark\Spark.csproj", "{9A4D4D07-1AB6-4B2B-B111-A4F34D6C267E}"
 EndProject
@@ -12,213 +12,87 @@ Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "sparkcmd", "src\client\spar
 EndProject
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_core", "src\client\spark_core\spark_core.csproj", "{6E449EB6-20AC-4FA6-B8D9-10F4BB7E1FEE}"
 EndProject
-Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ZERO_CHECK", "build\ZERO_CHECK.vcxproj", "{2256015B-E7D5-3614-8F39-814CA68A4444}"
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ZERO_CHECK", "build\ZERO_CHECK.vcxproj", "{A1B7276B-8F81-3D58-A22E-870AF28DF9B9}"
 EndProject
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_sdk", "src\client\spark_sdk\spark_sdk.csproj", "{6963C314-83C4-4667-B0D0-C2F7AE208C29}"
 	ProjectSection(ProjectDependencies) = postProject
-		{3335AAF0-489D-359D-8305-9B7A44E2C760} = {3335AAF0-489D-359D-8305-9B7A44E2C760}
+		{9FA60215-26AF-3EB7-AB89-D4F4B126EF40} = {9FA60215-26AF-3EB7-AB89-D4F4B126EF40}
 	EndProjectSection
 EndProject
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_test", "src\client\spark_test\spark_test.csproj", "{ECD78CC5-138F-4809-A764-2358C2AC2E82}"
 EndProject
-Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_excel", "src\client\spark_excel\spark_excel.csproj", "{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}"
-EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
-		Debug|Any CPU = Debug|Any CPU
 		Debug|x64 = Debug|x64
-		Debug|x86 = Debug|x86
-		MinSizeRel|Any CPU = MinSizeRel|Any CPU
 		MinSizeRel|x64 = MinSizeRel|x64
-		MinSizeRel|x86 = MinSizeRel|x86
-		Release|Any CPU = Release|Any CPU
 		Release|x64 = Release|x64
-		Release|x86 = Release|x86
-		RelWithDebInfo|Any CPU = RelWithDebInfo|Any CPU
 		RelWithDebInfo|x64 = RelWithDebInfo|x64
-		RelWithDebInfo|x86 = RelWithDebInfo|x86
 	EndGlobalSection
 	GlobalSection(ProjectConfigurationPlatforms) = postSolution
-		{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Debug|Any CPU.ActiveCfg = Debug|x64
 		{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Debug|x64.ActiveCfg = Debug|x64
 		{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Debug|x64.Build.0 = Debug|x64
-		{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Debug|x86.ActiveCfg = Debug|x64
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-		{ECD78CC5-138F-4809-A764-2358C2AC2E82}.RelWithDebInfo|x86.ActiveCfg = Release|Any CPU
-		{ECD78CC5-138F-4809-A764-2358C2AC2E82}.RelWithDebInfo|x86.Build.0 = Release|Any CPU
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Debug|Any CPU.ActiveCfg = Debug|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Debug|x64.ActiveCfg = Debug|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Debug|x64.Build.0 = Debug|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Debug|x86.ActiveCfg = Debug|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.MinSizeRel|Any CPU.ActiveCfg = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.MinSizeRel|Any CPU.Build.0 = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.MinSizeRel|x64.ActiveCfg = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.MinSizeRel|x64.Build.0 = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.MinSizeRel|x86.ActiveCfg = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.MinSizeRel|x86.Build.0 = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Release|Any CPU.ActiveCfg = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Release|x64.ActiveCfg = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Release|x64.Build.0 = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Release|x86.ActiveCfg = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|Any CPU.ActiveCfg = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|Any CPU.Build.0 = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x64.ActiveCfg = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x64.Build.0 = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x86.ActiveCfg = Release|x64
-		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x86.Build.0 = Release|x64
+		{ECD78CC5-138F-4809-A764-2358C2AC2E82}.Debug|x64.ActiveCfg = Debug|x64
+		{ECD78CC5-138F-4809-A764-2358C2AC2E82}.Debug|x64.Build.0 = Debug|x64
+		{ECD78CC5-138F-4809-A764-2358C2AC2E82}.MinSizeRel|x64.ActiveCfg = Debug|x64
+		{ECD78CC5-138F-4809-A764-2358C2AC2E82}.MinSizeRel|x64.Build.0 = Debug|x64
+		{ECD78CC5-138F-4809-A764-2358C2AC2E82}.Release|x64.ActiveCfg = Release|x64
+		{ECD78CC5-138F-4809-A764-2358C2AC2E82}.Release|x64.Build.0 = Release|x64
+		{ECD78CC5-138F-4809-A764-2358C2AC2E82}.RelWithDebInfo|x64.ActiveCfg = Release|x64
+		{ECD78CC5-138F-4809-A764-2358C2AC2E82}.RelWithDebInfo|x64.Build.0 = Release|x64
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE

src/.vscode/settings.json

@@ -1,17 +0,0 @@
-{
-   "files.associations": {
-      "chrono": "cpp",
-      "future": "cpp",
-      "system_error": "cpp",
-      "ios": "cpp",
-      "utility": "cpp",
-      "iosfwd": "cpp",
-      "xhash": "cpp",
-      "xstring": "cpp",
-      "xtree": "cpp",
-      "xutility": "cpp",
-      "exception": "cpp",
-      "bitset": "cpp",
-      "xlocale": "cpp"
-   }
-}

src/client/Directory.Build.Props

@@ -1,6 +1,6 @@
 <Project>
 
-<PropertyGroup>
+  <PropertyGroup>
     <ComputerSpecificConfig>..\..\tools\override\$(computername).props</ComputerSpecificConfig>
     <SparkRoot>$([System.IO.Path]::GetFullPath($(MSBuildThisFileDirectory)\..\..))</SparkRoot>
     <SourceRoot>$([System.IO.Path]::GetFullPath($(SparkRoot)\src))</SourceRoot>
@@ -12,53 +12,41 @@
     <EnableDefaultContentItems>False</EnableDefaultContentItems>
     <ShowMissingItemTypes>false</ShowMissingItemTypes>
     <Configuration Condition="'$(configuration)'==''">Debug</Configuration>
-</PropertyGroup>
+  </PropertyGroup>
 
-<PropertyGroup Label="Output">
+  <PropertyGroup Label="Output">
     <BaseOutputPath>$(SparkRoot)\build\$(Configuration)</BaseOutputPath>
     <OutputPath>$(BaseOutputPath)\bin</OutputPath>
     <BaseIntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</BaseIntermediateOutputPath>
     <IntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</IntermediateOutputPath>
     <GenDir>$(BaseOutputPath)\gen\$(MSBuildProjectName)</GenDir>
-</PropertyGroup>
+  </PropertyGroup>
 
-<Import Project="$(ComputerSpecificConfig)" Condition="Exists($(ComputerSpecificConfig))" />
+  <Import
+      Project="$(ComputerSpecificConfig)"
+      Condition="Exists($(ComputerSpecificConfig))" />
 
-<ItemGroup>
-    <AvailableItemName Include="Proto2">
-        <Targets>CompileProto3</Targets>
-    </AvailableItemName>
-    <AvailableItemName Include="Proto3">
-        <Targets>CompileProto3</Targets>
-    </AvailableItemName>
-    <AvailableItemName Include="Proto3Excel">
-        <Targets>CompileProto3Excel</Targets>
-    </AvailableItemName>    
-</ItemGroup>
-
-<PropertyGroup Label="ProtoBuf">
+  <PropertyGroup Label="ProtoBuf">
     <ProtocPluginBase>$(SparkRoot)\src\lib\api\service_compiler</ProtocPluginBase>
-    <ProtoInclude>$(Externals)\include</ProtoInclude>
     <protoc>$(Externals)\bin\protoc.exe</protoc>
     <protogen>$(Externals)\bin\protogen.exe</protogen>
-</PropertyGroup>
+  </PropertyGroup>
 
-<ItemDefinitionGroup>
-    <Proto2>
-    </Proto2>
+  <ItemDefinitionGroup>
+    <Proto2></Proto2>
     <Proto3>
-        <OutBase>$(IntermediateOutputPath)\gen\%(relativedir)</OutBase>
-        <OutCS>%(OutBase)%(FileName).cs</OutCS>
-        <OutCSClient>%(OutBase)%(FileName).client.pb.cs</OutCSClient>
-        <OutCSServer>%(OutBase)%(FileName).server.pb.cs</OutCSServer>
-        <OutCSImmutable>%(OutBase)%(FileName).immutable.pb.cs</OutCSImmutable>        
-        <CompileOptions></CompileOptions>
+      <OutBase>$(IntermediateOutputPath)\gen\%(relativedir)</OutBase>
+      <OutCS>%(OutBase)%(FileName).cs</OutCS>
+      <OutCSClient>%(OutBase)%(FileName).client.pb.cs</OutCSClient>
+      <OutCSServer>%(OutBase)%(FileName).server.pb.cs</OutCSServer>
+      <OutCSImmutable>%(OutBase)%(FileName).immutable.pb.cs</OutCSImmutable>
+      <CompileOptions></CompileOptions>
     </Proto3>
     <Proto3Excel>
-        <OutBase>$(IntermediateOutputPath)\gen\%(relativedir)</OutBase>
-        <OutCSExcel>%(OutBase)%(FileName).excel.pb.cs</OutCSExcel>
-        <CompileOptions></CompileOptions>
-    </Proto3Excel>    
-</ItemDefinitionGroup>
+      <OutBase>$(IntermediateOutputPath)\gen\%(relativedir)</OutBase>
+      <OutCSExcel>%(OutBase)%(FileName).excel.pb.cs</OutCSExcel>
+      <CompileOptions></CompileOptions>
+    </Proto3Excel>
+  </ItemDefinitionGroup>
 
 </Project>

src/client/Directory.Build.Targets

@@ -1,97 +1,85 @@
-<Project>
-
-
-
-<Target Name="CompileProto2" 
-    Condition="'@(Proto2)'!=''"
-    Inputs="$(MSBuildProjectFile);$(protogen);%(Proto2.FullPath)" 
-    Outputs="$(GenDir)\proto2\%(Proto2.filename).cs"
-    AfterTargets="PreBuildEvent">
-    <PropertyGroup>
-        <SourceRelativeFile>$([System.String]::Copy('%(proto2.fullpath)').Replace($(SourceRoot), ''))</SourceRelativeFile>
-        <SourceRelativeDir>$([System.IO.Path]::GetDirectoryName($(SourceRelativeFile)))</SourceRelativeDir>
-        <WorkingDirectory>$(GenDir)\proto2</WorkingDirectory>
-    </PropertyGroup>
-    <MakeDir Directories="$(WorkingDirectory)" />
-    <Copy SourceFiles="%(Proto2.FullPath)" DestinationFolder="$(WorkingDirectory)" SkipUnchangedFiles="True" UseHardLinksIfPossible="True" />
-    <Error Text="protogen.exe does not exist. If you forgot to clone with externals try: git submodule update --init --recursive" Condition="!Exists($(protogen))" />
-    <Exec Command="$(Protogen) %(Proto2.filename)%(proto2.extension) --csharp_out=. -I. -I$(SourceRoot) -I$(Externals)\include"
-          WorkingDirectory="$(WorkingDirectory)" />
-    <ItemGroup>
-        <Compile Include="$(WorkingDirectory)\%(Proto2.filename).cs" />
-    </ItemGroup>
-</Target>
-
-<!-- 
-    Run this after GetAssemblyVersion because it happens after the Xaml compiler 
-    and exists in both xaml and non-xaml projects.  One of the (many) xaml compile
-    passes wipes out the additional compile includes that we add.
--->
-<Target Name="CompileProto3" AfterTargets="GetAssemblyVersion"
-    Condition="'@(Proto3)'!=''"
-    Inputs="$(protoc);
-    %(Proto3.Identity);$(ProtocPluginBase)\plugin.py;
-    $(ProtocPluginBase)\templates\c#\client.pb.cs;
-    $(ProtocPluginBase)\templates\c#\server.pb.cs;
-    $(ProtocPluginBase)\templates\c#\immutable.pb.cs;"
-    Outputs="%(Proto3.OutCS);%(Proto3.OutCSServer);%(Proto3.OutCSClient);%(Proto3.OutCSImmutable)">
-    <MakeDir Directories="%(Proto3.OutBase)" />
-
-    <Message Importance="High" Text="Generating service %(Proto3.FileName)" />
-    <Exec Command="
-       set PATH=$(spark_build_python_path);%path% &amp;
-       set PYTHONPATH=$(Externals)\python &amp;
-       $(protoc) ^
-       %(Proto3.FullPath) ^
-       --error_format=msvs ^
-       --proto_path=$(protoinc);$(SourceRoot) ^
-       --plugin=&quot;protoc-gen-service=$(ProtocPluginBase)\plugin.cmd&quot; ^
-       --service_out=lang=c#,strip_out_path=1:%(Proto3.OutBase) ^
-       --csharp_out=%(CompileOptions)%(Proto3.OutBase)"
-      WorkingDirectory="%(relativedir)" />
-    <ItemGroup>
-       <Compile Include="%(Proto3.OutCS)" />
-       <Compile Include="%(Proto3.OutCSClient)" />
-       <Compile Include="%(Proto3.OutCSServer)" />
-       <Compile Include="%(Proto3.OutCSImmutable)" />
-    </ItemGroup>
-</Target>
-
-<Target Name="CompileProto3Excel" AfterTargets="GetAssemblyVersion"
-    Condition="'@(Proto3Excel)'!=''"
-    Inputs="$(protoc);
-    %(Proto3Excel.Identity);$(ProtocPluginBase)\plugin.py;
-    $(ProtocPluginBase)\templates\excel\excel.pb.cs;"
-    Outputs="%(Proto3Excel.OutCSExcel)">
-    <MakeDir Directories="%(Proto3Excel.OutBase)" />
-
-    <Message Importance="High" Text="Generating excel service %(Proto3Excel.FileName)" />
-    <Exec Command="
-       set PATH=$(spark_build_python_path);%path% &amp;
-       set PYTHONPATH=$(Externals)\python &amp;
-       $(protoc) ^
-       %(Proto3Excel.FullPath) ^
-       --error_format=msvs ^
-       --proto_path=$(protoinc);$(SourceRoot) ^
-       --plugin=&quot;protoc-gen-service=$(ProtocPluginBase)\plugin.cmd&quot; ^
-       --service_out=lang=excel,strip_out_path=1:%(Proto3Excel.OutBase) ^
-       "
-      WorkingDirectory="%(relativedir)" />
-    <ItemGroup>
-       <Compile Include="%(Proto3Excel.OutCSExcel)" />
-    </ItemGroup>
-</Target>
-
-<Target Name="AfterClean" AfterTargets="Clean">
-    <Delete Files="%(Proto3.OutCS)" />
-    <Delete Files="%(Proto3.OutCSClient)" />
-    <Delete Files="%(Proto3.OutCSServer)" />
-    <Delete Files="%(Proto3.OutCSImmutable)" />
-    <Delete Files="$(GenDir)\proto2\*" />
-    <Delete Files="%(Proto3Excel.OutCSExcel)" />
-</Target>
-
-<Target Name="Test" DependsOnTargets="Build">
-</Target>
-
-</Project>
+<Project>
+
+  <Target
+      Name="CompileProto2"
+      Condition="'@(Proto2)'!=''"
+      Inputs="$(MSBuildProjectFile);$(protogen);%(Proto2.FullPath)"
+      Outputs="$(GenDir)\proto2\%(Proto2.filename).cs"
+      AfterTargets="PreBuildEvent">
+    <PropertyGroup>
+      <SourceRelativeFile>$([System.String]::Copy('%(proto2.fullpath)').Replace($(SourceRoot), ''))</SourceRelativeFile>
+      <SourceRelativeDir>$([System.IO.Path]::GetDirectoryName($(SourceRelativeFile)))</SourceRelativeDir>
+      <WorkingDirectory>$(GenDir)\proto2</WorkingDirectory>
+    </PropertyGroup>
+    <MakeDir Directories="$(WorkingDirectory)" />
+    <Copy
+        SourceFiles="%(Proto2.FullPath)"
+        DestinationFolder="$(WorkingDirectory)"
+        SkipUnchangedFiles="True"
+        UseHardLinksIfPossible="True" />
+    <Error
+        Text="protogen.exe does not exist. If you forgot to clone with externals try: git submodule update --init --recursive"
+        Condition="!Exists($(protogen))" />
+    <Exec
+        Command="$(Protogen) %(Proto2.filename)%(proto2.extension) --csharp_out=. -I. -I$(SourceRoot) -I$(Externals)\include"
+        WorkingDirectory="$(WorkingDirectory)" />
+    <ItemGroup>
+      <Compile Include="$(WorkingDirectory)\%(Proto2.filename).cs" />
+    </ItemGroup>
+  </Target>
+
+  <!-- 
+    Run this after GetAssemblyVersion because it happens after the Xaml compiler 
+    and exists in both xaml and non-xaml projects.  One of the (many) xaml compile
+    passes wipes out the additional compile includes that we add.
+  -->
+  <Target
+      Name="CompileProto3"
+      AfterTargets="GetAssemblyVersion"
+      Condition="'@(Proto3)'!=''"
+      Inputs="$(protoc);
+    %(Proto3.Identity);$(ProtocPluginBase)\plugin.py;
+    $(ProtocPluginBase)\templates\c#\client.pb.cs;
+    $(ProtocPluginBase)\templates\c#\server.pb.cs;
+    $(ProtocPluginBase)\templates\c#\immutable.pb.cs;"
+      Outputs="%(Proto3.OutCS);%(Proto3.OutCSServer);%(Proto3.OutCSClient);%(Proto3.OutCSImmutable)">
+    <MakeDir Directories="%(Proto3.OutBase)" />
+
+    <Message
+        Importance="High"
+        Text="Generating service %(Proto3.FileName)" />
+    <Exec Command="$(SparkRoot)\.venv\Scripts\activate.bat" />
+    <Exec Command="set PYTHONPATH=$(SparkRoot)\.venv\Scripts\python" />
+    <Exec
+        Command="
+       $(SparkRoot)\tools\build_protos.cmd ^
+       %(Proto3.FullPath) ^
+       --error_format=msvs ^
+       --proto_path=$(SourceRoot) ^
+       --plugin=&quot;protoc-gen-service=$(ProtocPluginBase)\plugin.cmd&quot; ^
+       --service_out=lang=c#,strip_out_path=1:%(Proto3.OutBase) ^
+       --csharp_out=%(CompileOptions)%(Proto3.OutBase)"
+        WorkingDirectory="%(relativedir)" />
+    <ItemGroup>
+      <Compile Include="%(Proto3.OutCS)" />
+      <Compile Include="%(Proto3.OutCSClient)" />
+      <Compile Include="%(Proto3.OutCSServer)" />
+      <Compile Include="%(Proto3.OutCSImmutable)" />
+    </ItemGroup>
+  </Target>
+
+  <Target
+      Name="AfterClean"
+      AfterTargets="Clean">
+    <Delete Files="%(Proto3.OutCS)" />
+    <Delete Files="%(Proto3.OutCSClient)" />
+    <Delete Files="%(Proto3.OutCSServer)" />
+    <Delete Files="%(Proto3.OutCSImmutable)" />
+    <Delete Files="$(GenDir)\proto2\*" />
+  </Target>
+
+  <Target
+      Name="Test"
+      DependsOnTargets="Build"></Target>
+
+</Project>

src/client/spark/AW2/AnalyticsParameters/AnalyticsExpirationParametersRowVM.cs

@@ -0,0 +1,146 @@
+namespace mbts.spark {
+   using mbts.analytics;
+   using mbts.ui;
+   using mbts.ui.shell;
+
+   using System;
+   using System.Collections.Generic;
+   using System.Linq;
+   using System.Reactive.Linq;
+
+   class AnalyticsExpirationParametersRowVM : DisposableViewModelBase, ISelectable, IEquatable<AnalyticsExpirationParametersRowVM> {
+      readonly AnalyticsExpirationParameters _committed_value;
+      readonly Property<bool> _is_selected;
+
+      readonly Property<SecurityExpiration> _driver;
+      readonly Property<SecurityExpiration> _deliverable;
+      readonly Property<SecurityExpiration> _roll_schedule;
+      readonly Property<double> _roll_target;
+      readonly Property<double> _riskless_rate;
+      readonly Property<double> _settlement_price;
+      readonly Property<double> _delta_beta;
+      readonly Property<double> _vega_beta;
+
+      readonly Property<bool> _is_driver_dirty;
+      readonly Property<bool> _is_deliverable_dirty;
+      readonly Property<bool> _is_roll_schedule_dirty;
+      readonly Property<bool> _is_roll_target_dirty;
+      readonly Property<bool> _is_riskless_rate_dirty;
+      readonly Property<bool> _is_settlement_price_dirty;
+      readonly Property<bool> _is_delta_beta_dirty;
+      readonly Property<bool> _is_vega_beta_dirty;
+      readonly Property<bool> _is_dirty;
+
+      bool _is_last_row_of_month_group;
+
+      public AnalyticsExpirationParametersRowVM(AnalyticsExpirationParametersVM owner, AnalyticsExpirationParameters committed_value) {
+         this.owner = owner ?? throw new ArgumentNullException(nameof(owner));
+         _committed_value = committed_value ?? throw new ArgumentNullException(nameof(committed_value));
+         security = committed_value.security ?? throw new ArgumentException("security must be non-null", nameof(committed_value));
+
+         _is_selected = backing(nameof(is_selected), false);
+         _is_selected.Changed += (oldval, newval) => is_selected_changed?.Invoke(newval);
+
+         var is_dirty_srcs = new List<IObservable<bool>>();
+         (_driver, _is_driver_dirty) = mk_cell_props(nameof(driver), committed_value.driver_security);
+         (_deliverable, _is_deliverable_dirty) = mk_cell_props(nameof(deliverable), committed_value.deliverable_security);
+         (_roll_schedule, _is_roll_schedule_dirty) = mk_cell_props(nameof(roll_schedule), committed_value.roll_schedule_expiration);
+         (_roll_target, _is_roll_target_dirty) = mk_cell_props(nameof(roll_target), committed_value.roll_target);
+         (_riskless_rate, _is_riskless_rate_dirty) = mk_cell_props(nameof(riskless_rate), committed_value.riskless_rate);
+         (_settlement_price, _is_settlement_price_dirty) = mk_cell_props(nameof(settlement_price), committed_value.settlement_price);
+         (_delta_beta, _is_delta_beta_dirty) = mk_cell_props(nameof(delta_beta), committed_value.delta_beta);
+         (_vega_beta, _is_vega_beta_dirty) = mk_cell_props(nameof(vega_beta), committed_value.vega_beta);
+
+         _is_dirty = backing(
+            nameof(is_dirty),
+            Observable.CombineLatest(is_dirty_srcs).Select(dirties => dirties.Any()).OnDispatcher());
+
+         (Property<T> prop, Property<bool> dirty_prop) mk_cell_props<T>(string name, T orig_val) {
+            var prop = backing(name, orig_val);
+            var dirty_src = prop.observe_current(true).Select(new_val => !Equals(new_val, orig_val));
+            is_dirty_srcs.Add(dirty_src);
+            var dirty_prop = backing($"is_{prop.name}_dirty", dirty_src);
+            return (prop, dirty_prop);
+         }
+      }
+
+      public event Action<bool> is_selected_changed;
+
+      public AnalyticsExpirationParametersVM owner { get; }
+      public SecurityExpiration security { get; }
+      public SecurityExpiration driver { get => _driver.Value; set => _driver.set(value); }
+      public SecurityExpiration deliverable { get => _deliverable.Value; set => _deliverable.set(value); }
+      public SecurityExpiration roll_schedule { get => _roll_schedule.Value; set => _roll_schedule.set(value); }
+      public AnalyticsExpirationParameters original_params => _committed_value;
+
+      public double roll_target { get => _roll_target.Value; set => _roll_target.set(value); }
+      public double riskless_rate { get => _riskless_rate.Value; set => _riskless_rate.set(value); }
+      public double settlement_price { get => _settlement_price.Value; set => _settlement_price.set(value); }
+      public double delta_beta { get => _delta_beta.Value; set => _delta_beta.set(value); }
+      public double vega_beta { get => _vega_beta.Value; set => _vega_beta.set(value); }
+
+      public bool is_driver_dirty => _is_driver_dirty.Value;
+      public bool is_deliverable_dirty => _is_deliverable_dirty.Value;
+      public bool is_roll_schedule_dirty => _is_roll_schedule_dirty.Value;
+      public bool is_roll_target_dirty => _is_roll_target_dirty.Value;
+      public bool is_riskless_rate_dirty => _is_riskless_rate_dirty.Value;
+      public bool is_settlement_price_dirty => _is_settlement_price_dirty.Value;
+      public bool is_delta_beta_dirty => _is_delta_beta_dirty.Value;
+      public bool is_vega_beta_dirty => _is_vega_beta_dirty.Value;
+      public bool is_dirty => _is_dirty.Value;
+
+      public bool is_selected {
+         get => _is_selected.Value;
+         set => _is_selected.set(value);
+      }
+
+      public bool is_last_row_of_month_group {
+         get => _is_last_row_of_month_group;
+         set => Set(ref _is_last_row_of_month_group, value);
+      }
+
+      public AnalyticsExpirationParameters candidate_value => new(
+         security,
+         driver,
+         deliverable.is_empty() ? null : deliverable,
+         roll_schedule.is_empty() ? null : roll_schedule,
+         roll_target,
+         riskless_rate,
+         settlement_price,
+         delta_beta,
+         vega_beta);
+
+      public IObservable<SecurityExpiration> observe_roll_schedule() =>
+         _roll_schedule.observe_current(true);
+
+      public IObservable<bool> observe_roll_schedule_dirty() =>
+         _is_roll_schedule_dirty.observe_current(true);
+
+      public IObservable<bool> observe_is_dirty() =>
+         _is_dirty.observe_current(true);
+
+      public void revert() {
+         driver = _committed_value.driver_security;
+         deliverable = _committed_value.deliverable_security;
+         roll_schedule = _committed_value.roll_schedule_expiration;
+         roll_target = _committed_value.roll_target;
+         riskless_rate = _committed_value.riskless_rate;
+         settlement_price = _committed_value.settlement_price;
+         delta_beta = _committed_value.delta_beta;
+         vega_beta = _committed_value.vega_beta;
+      }
+
+      public override string ToString() =>
+         $"sec: {security}; drv: {driver}; dlv: {deliverable}; roll: {roll_schedule} @ {roll_target}";
+
+      public bool Equals(AnalyticsExpirationParametersRowVM other) =>
+         other is not null &&
+         security.Equals(other.security);
+
+      public override bool Equals(object obj) =>
+         Equals(obj as AnalyticsExpirationParametersRowVM);
+
+      public override int GetHashCode() =>
+         security.GetHashCode();
+   }
+}

src/client/spark/AW2/AnalyticsParameters/AnalyticsExpirationParametersSettings.cs

@@ -0,0 +1,19 @@
+namespace mbts.spark {
+   using ProtoBuf;
+
+   [ProtoContract]
+   class AnalyticsExpirationParametersSettings {
+      public const int VERSION = 1;
+
+      public static AnalyticsExpirationParametersSettings Default => new();
+
+      [ProtoMember(10)]
+      public string[] selected_symbols {get;set;}
+
+      [ProtoMember(20)]
+      public bool auto_copy_rates_is_checked {get;set;}
+
+      [ProtoMember(30)]
+      public bool auto_copy_rolls_is_checked {get;set;}
+   }
+}

src/client/spark/AW2/AnalyticsParameters/AnalyticsExpirationParametersVM.cs

@@ -0,0 +1,236 @@
+namespace mbts.spark {
+   using bts.api;
+   using bts.reactive;
+   using bts.utils;
+
+   using mbts;
+   using mbts.analytics;
+   using mbts.collections;
+   using mbts.ui;
+   using mbts.ui.controls;
+   using mbts.ui.shell;
+   using mbts.ui.utility;
+   using mbts.utils;
+
+   using System;
+   using System.Collections.Generic;
+   using System.Collections.Immutable;
+   using System.Collections.ObjectModel;
+   using System.Collections.Specialized;
+   using System.Linq;
+   using System.Reactive;
+   using System.Reactive.Linq;
+   using System.Windows.Controls;
+   using System.Windows.Input;
+
+   class AnalyticsExpirationParametersVM : DisposableViewModelBase, IHandleRowSelection {
+      readonly IBus _bus;
+      readonly ObservableCollection<AnalyticsExpirationParameters> _parameters = new();
+      readonly DeferrableActionWrapper _sync_visible_rows;
+      readonly Property<AnalyticsExpirationParametersRowVM> _copy_row_source;
+      readonly DelegateProperty<bool> _is_dirty;
+      readonly HashSet<AnalyticsExpirationParametersRowVM> _selected_rows = new();
+
+      AnalyticsExpirationParametersMap _parameter_map;
+      bool _auto_copy_rolls_is_checked;
+      bool _auto_copy_rates_is_checked;
+      (ICommand cmd, IDisposable can_exe_sub)? _smart_copy_roll_target_to_selection_cmd;
+      (ICommand cmd, IDisposable can_exe_sub)? _smart_copy_riskless_rate_to_selection_cmd;
+
+      public AnalyticsExpirationParametersVM(IBus bus, AnalyticsExpirationParametersSettings startup_data) {
+         _bus = bus ?? throw new ArgumentNullException(nameof(bus));
+         var selected_symbol_ref_count = new RefCountMap<string>();
+         _sync_visible_rows = new(() =>
+            visible_rows.sync_with(rows.Where(x => selected_symbol_ref_count.ContainsKey(x.security.symbol))));
+         non_options_with_empty = new ObservableAggregateCollection<SecurityExpiration>(
+            new() { SecurityExpiration.empty }, non_options);
+         _copy_row_source = backing<AnalyticsExpirationParametersRowVM>(nameof(copy_row_source));
+         _is_dirty = backing(nameof(is_dirty), () => rows.Any(r => r.is_dirty));
+
+         if (startup_data is not null) {
+            if (!startup_data.selected_symbols.is_null_or_empty()) {
+               selected_symbols.AddRange(startup_data.selected_symbols);
+            }
+            auto_copy_rolls_is_checked = startup_data.auto_copy_rolls_is_checked;
+            auto_copy_rates_is_checked = startup_data.auto_copy_rates_is_checked;
+         }
+
+         commit_cmd = ObservantCommand.create(_commit, out var can_commit_observer);
+         revert_cmd = ObservantCommand.create(_revert, out var can_revert_observer);
+
+         _dispose = Disposable.Create(
+            ObservableAutoWrapper.connect(_parameters, rows, p => new(this, p), r => r.Dispose()),
+            rows.Subscribe((s, e) => _sync_visible_rows.execute()),
+            _bus.subscribe(SparkTags.ExpirationParametersInputTag).OnDispatcher().Subscribe(
+               CompositeObserver.create(
+                  Observer.Create<AnalyticsExpirationParametersMap>(_on_parameter_map),
+                  can_commit_observer.wrap<bool, AnalyticsExpirationParametersMap>(m => m is not null))),
+            ObservableAutoWrapper.connect_item_hooks(selected_symbols, sym => {
+               if (selected_symbol_ref_count.increment_adds_key(sym)) {
+                  _sync_visible_rows.execute();
+               }
+               return Disposable.Create(() => {
+                  if (selected_symbol_ref_count.decrement_removes_key(sym)) {
+                     _sync_visible_rows.execute();
+                  }
+               });
+            }),
+            ObservableAutoWrapper.connect_item_hooks(rows, r => r.observe_is_dirty().Subscribe(_ => _is_dirty.refresh())),
+            _is_dirty.observe_current(true).OnDispatcher().Subscribe(can_revert_observer),
+            Disposable.wrap_collection(rows),
+            Disposable.Create(() => {
+               _smart_copy_roll_target_to_selection_cmd?.can_exe_sub?.Dispose();
+               _smart_copy_riskless_rate_to_selection_cmd?.can_exe_sub?.Dispose();
+            }));
+      }
+
+      public ObservableCollection<SecurityExpiration> non_options { get; } = new();
+      public ObservableCollection<SecurityExpiration> non_options_with_empty { get; } = new();
+
+      public ObservableCollection<AnalyticsExpirationParametersRowVM> rows { get; } = new();
+      public ObservableCollection<AnalyticsExpirationParametersRowVM> visible_rows { get; } = new();
+      public AnalyticsExpirationParametersRowVM copy_row_source {
+         get => _copy_row_source.Value;
+         set => _copy_row_source.set(value);
+      }
+
+      public ObservableCollection<string> symbols { get; } = new();
+      public ObservableCollection<string> selected_symbols { get; } = new();
+
+      public bool is_dirty => _is_dirty.Value;
+
+      public bool auto_copy_rolls_is_checked {
+         get => _auto_copy_rolls_is_checked;
+         set => Set(ref _auto_copy_rolls_is_checked, value);
+      }
+
+      public bool auto_copy_rates_is_checked {
+         get => _auto_copy_rates_is_checked;
+         set => Set(ref _auto_copy_rates_is_checked, value);
+      }
+
+      public ICommand commit_cmd { get; }
+      public ICommand revert_cmd { get; }
+
+      public ICommand copy_driver_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.driver = f.driver);
+      public ICommand copy_deliverable_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.deliverable = f.deliverable);
+      public ICommand copy_roll_schedule_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.roll_schedule = f.roll_schedule);
+      public ICommand copy_roll_target_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.roll_target = f.roll_target);
+      public ICommand copy_riskless_rate_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.riskless_rate = f.riskless_rate);
+      public ICommand copy_settlement_price_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.settlement_price = f.settlement_price);
+      public ICommand copy_delta_beta_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.delta_beta = f.delta_beta);
+      public ICommand copy_vega_beta_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.vega_beta = f.vega_beta);
+
+      public ICommand smart_copy_roll_target_to_selection_cmd =>
+         (_smart_copy_roll_target_to_selection_cmd ??= _smart_copy_to_selection_cmd(
+            (f, t) => t.roll_target = f.roll_target)).cmd;
+
+      public ICommand smart_copy_riskless_rate_to_selection_cmd =>
+         (_smart_copy_riskless_rate_to_selection_cmd ??= _smart_copy_to_selection_cmd(
+            (f, t) => t.riskless_rate = f.riskless_rate)).cmd;
+
+      public void commit(IEnumerable<AnalyticsExpirationParameters> data) =>
+         _bus.post(SparkTags.ExpirationParametersCommitTag, data);
+
+      public IEnumerable<SecurityExpiration> get_smart_copy_roll_exps(
+         AnalyticsExpirationParameters source) =>
+         get_smart_copy_roll_exps(source.roll_schedule_expiration);
+
+      public IEnumerable<SecurityExpiration> get_smart_copy_roll_exps(
+         SecurityExpiration roll_schedule_expiration) {
+         foreach (var (exp, exp_params) in _parameter_map?.exp_map.empty_if_null()) {
+            if (exp_params.roll_schedule_expiration.Equals(roll_schedule_expiration)) {
+               yield return exp;
+            }
+         }
+      }
+
+      public AnalyticsExpirationParametersSettings get_state() =>
+         new() {
+            selected_symbols = selected_symbols.Cast<string>().ToArray(),
+            auto_copy_rates_is_checked = auto_copy_rates_is_checked,
+            auto_copy_rolls_is_checked = auto_copy_rolls_is_checked
+         };
+
+      Action<AnalyticsExpirationParametersRowVM> _copy_to_selection(Action<AnalyticsExpirationParametersRowVM, AnalyticsExpirationParametersRowVM> copy_to_row) =>
+         from_row => {
+            foreach (var to_row in _selected_rows) {
+               copy_to_row(from_row, to_row);
+            }
+         };
+
+      ICommand _copy_to_selection_cmd(Action<AnalyticsExpirationParametersRowVM, AnalyticsExpirationParametersRowVM> copy_to_row) =>
+         Command.create(_copy_to_selection(copy_to_row));
+
+      Action<AnalyticsExpirationParametersRowVM> _smart_copy_to_selection(Action<AnalyticsExpirationParametersRowVM, AnalyticsExpirationParametersRowVM> copy_to_row) =>
+         from_row => {
+            foreach (var to_row in _get_smart_copy_roll_target_rows(from_row)) {
+               copy_to_row(from_row, to_row);
+            }
+         };
+
+      (ICommand cmd, IDisposable can_exe_sub) _smart_copy_to_selection_cmd(
+         Action<AnalyticsExpirationParametersRowVM, AnalyticsExpirationParametersRowVM> copy_to_row) {
+         var cmd = ObservantCommand.create(
+            _smart_copy_to_selection(copy_to_row), observe_can_execute, out var can_exe_observer);
+         var can_exe_sub = _copy_row_source.observe_current(true).OnDispatcher().Subscribe(can_exe_observer);
+         return (cmd, can_exe_sub);
+
+         static IObservable<bool> observe_can_execute(AnalyticsExpirationParametersRowVM row) =>
+            row is null ?
+               Observable.Return(false) :
+               row.observe_roll_schedule()
+                  .CombineLatest(row.observe_roll_schedule_dirty(), (rs, rs_dirty) => (rs, rs_dirty))
+                  .Select(tup => !tup.rs.is_empty() && !tup.rs_dirty)
+                  .OnDispatcher();
+      }
+
+      IEnumerable<AnalyticsExpirationParametersRowVM> _get_smart_copy_roll_target_rows(AnalyticsExpirationParametersRowVM row) {
+         var target_exps = get_smart_copy_roll_exps(
+            row.original_params.roll_schedule_expiration)
+            .ToHashSet();
+         return rows.Where(r => target_exps.Contains(r.security));
+      }
+
+      void _commit() {
+         if (_parameter_map is null) {
+            // Don't commit before [any] data has been received from the server
+            return;
+         }
+         var new_params = rows.Select(r => r.candidate_value).ToImmutableList();
+         _bus.post(SparkTags.ExpirationParametersCommitTag, new_params);
+      }
+
+      void _revert() {
+         foreach (var r in rows) {
+            r.revert();
+         }
+      }
+
+      void _on_parameter_map(AnalyticsExpirationParametersMap parameter_map) {
+         bool is_first_update = _parameter_map is null;
+         _parameter_map = parameter_map ?? throw new ArgumentNullException(nameof(parameter_map));
+         _parameters.sync_with(parameter_map.get_sorted_exps().Select(parameter_map.get_parameter));
+         non_options.sync_with(parameter_map.get_sorted_exps().Where(exp => exp.security_type != SecurityType.Option));
+
+         // Set `is_last_row_of_month_group` for each row
+         foreach (var exp_rows in rows.GroupBy(r => r.security.expiration.Month)) {
+            var sorted_exp_rows = exp_rows.OrderBy(r => r.security.expiration).ToList();
+            foreach (var row in sorted_exp_rows.Take(sorted_exp_rows.Count - 1)) {
+               row.is_last_row_of_month_group = false;
+            }
+            sorted_exp_rows.Last().is_last_row_of_month_group = true;
+         }
+
+         symbols.sync_with(_parameters.Select(p => p.security.symbol).Distinct().Ordered());
+         using var _ = _sync_visible_rows.defer_execution();
+         if (is_first_update) {
+            // select all symbols on first update
+            selected_symbols.sync_with(symbols);
+         }
+      }
+
+      public void row_selection_changed(SelectionChangedEventArgs e) =>
+         RowSelectionHelper.apply_changes(_selected_rows, e);
+   }
+}

src/client/spark/AW2/AnalyticsParameters/AnalyticsExpirationParametersView.xaml

@@ -0,0 +1,547 @@
+<UserControl
+    x:Class="mbts.ui.shell.AnalyticsExpirationParametersView"
+    x:ClassModifier="internal"
+    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+    xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006"
+    xmlns:d="http://schemas.microsoft.com/expression/blend/2008"
+    xmlns:c="clr-namespace:mbts.ui.controls"
+    xmlns:u="clr-namespace:mbts.ui"
+    xmlns:cv="clr-namespace:mbts.ui.converters"
+    xmlns:shell="clr-namespace:mbts.ui.shell"
+    Background="{StaticResource CommonBackground}">
+  <UserControl.Resources>
+    <cv:DoubleTextConverter x:Key="DoubleTextConverter" />
+    <cv:DoubleTextConverter
+        x:Key="RisklessRateConverter"
+        Multiplier="100" />
+    <shell:ExpTextConverter
+        x:Key="ExpirationTextConverter"
+        ShowSymbol="True"
+        MapExp="True" />
+    <DataTemplate x:Key="ExpirationTemplate">
+      <TextBlock Text="{Binding Converter={StaticResource ExpirationTextConverter}}">
+        <TextBlock.Style>
+          <Style TargetType="TextBlock">
+            <Style.Triggers>
+              <Trigger
+                  Property="Text"
+                  Value="None">
+                <Setter
+                    Property="FontStyle"
+                    Value="Italic" />
+                <Setter
+                    Property="Foreground"
+                    Value="Gray" />
+              </Trigger>
+            </Style.Triggers>
+          </Style>
+        </TextBlock.Style>
+      </TextBlock>
+    </DataTemplate>
+
+    <ContextMenu x:Key="DriverContextMenu">
+      <MenuItem
+        Header="Copy Driver to Selection"
+        Command="{Binding owner.copy_driver_to_selection_cmd}"
+        CommandParameter="{Binding}"
+      />
+    </ContextMenu>
+    <ContextMenu x:Key="DeliverableContextMenu">
+      <MenuItem
+        Header="Copy Deliverable to Selection"
+        Command="{Binding owner.copy_deliverable_to_selection_cmd}"
+        CommandParameter="{Binding}"
+      />
+    </ContextMenu>
+    <ContextMenu x:Key="RollScheduleContextMenu">
+      <MenuItem
+        Header="Copy Roll Schedule to Selection"
+        Command="{Binding owner.copy_roll_schedule_to_selection_cmd}"
+        CommandParameter="{Binding}"
+      />
+    </ContextMenu>
+    <ContextMenu x:Key="RollTargetContextMenu">
+      <MenuItem
+        Header="Copy Roll Target to Selection"
+        Command="{Binding owner.copy_roll_target_to_selection_cmd}"
+        CommandParameter="{Binding}"
+      />
+      <MenuItem
+        Header="Smart Copy Roll Target"
+        Command="{Binding owner.smart_copy_roll_target_cmd}"
+        CommandParameter="{Binding}"
+      />
+    </ContextMenu>
+    <ContextMenu x:Key="RisklessRateContextMenu">
+      <MenuItem
+        Header="Copy Riskless Rate to Selection"
+        Command="{Binding owner.copy_riskless_rate_to_selection_cmd}"
+        CommandParameter="{Binding}"
+      />
+    </ContextMenu>
+    <ContextMenu x:Key="SettlementPriceContextMenu">
+      <MenuItem
+        Header="{Binding security}"
+        HeaderStringFormat="Copy '{0}' Settlement to Selection"
+        Command="{Binding owner.copy_settlement_price_to_selection_cmd}"
+        CommandParameter="{Binding}"
+      />
+    </ContextMenu>
+    <ContextMenu x:Key="DeltaBetaContextMenu">
+      <MenuItem
+        Header="Copy Delta Beta to Selection"
+        Command="{Binding owner.copy_delta_beta_to_selection_cmd}"
+        CommandParameter="{Binding}"
+      />
+    </ContextMenu>
+    <ContextMenu x:Key="VegaBetaContextMenu">
+      <MenuItem
+        Header="Copy Vega Beta to Selection"
+        Command="{Binding owner.copy_vega_beta_to_selection_cmd}"
+        CommandParameter="{Binding}"
+      />
+    </ContextMenu>
+  </UserControl.Resources>
+  <Grid>
+    <Grid.Resources>
+      <cv:BooleanToVisibilityConverter x:Key="TrueVisibilityConverter" />
+      <cv:BooleanToVisibilityConverter x:Key="FalseVisibilityConverter" VisibilityForFalse="Visible" VisibilityForTrue="Collapsed" />
+    </Grid.Resources>
+    <Grid.RowDefinitions>
+      <RowDefinition Height="Auto" />
+      <RowDefinition Height="*" />
+      <RowDefinition Height="Auto" />
+    </Grid.RowDefinitions>
+
+    <StackPanel
+        Grid.Row="0"
+        Orientation="Horizontal"
+        Margin="0,5,0,5">
+
+      <c:ComboCheckBox
+        ItemsSource="{Binding symbols}"
+        SelectedItems="{Binding selected_symbols}"
+        HorizontalAlignment="Left"
+        Margin="5,2,2,2"
+        TextBlock.Foreground="Black"
+        HeaderContent="Symbols"
+        ShowSelectAll="True"
+      />
+
+      <WrapPanel>
+        <TextBlock Margin="5,5,0,0" Text="Auto copy rolls:" />
+        <CheckBox Margin="5,5,10,0" IsChecked="{Binding auto_copy_rolls_is_checked}" />
+      </WrapPanel>
+      <WrapPanel>
+        <TextBlock Margin='0,5,0,0' Text="Auto copy rates:" />
+        <CheckBox Margin="5,5,0,0" IsChecked="{Binding auto_copy_rates_is_checked}" />
+      </WrapPanel>
+    </StackPanel>
+    <c:DataGridEx
+        x:Name="_grid"
+        Grid.Row="1"
+        ItemsSource="{Binding visible_rows}"
+        AlternatingRowBackground="{u:BTSColor MarketData.driver_background}"
+        VerticalGridLinesBrush="Gray"
+        EnableRowVirtualization="True"
+        EnableColumnVirtualization="True"
+        CanUserAddRows="False"
+        AutoGenerateColumns="False"
+        CanUserReorderColumns="False"
+        CanUserSortColumns="False"
+        CanUserDeleteRows="False"
+        RowHeaderWidth="0"
+        GridLinesVisibility="Vertical"
+        SelectionUnit="FullRow"
+        SelectedUnits="{Binding selected_rows}"
+        PreviewMouseRightButtonUp="_grid_PreviewMouseRightButtonUp">
+      <DataGrid.Resources>
+        <Style TargetType="{x:Type DataGridCell}" BasedOn="{StaticResource {x:Type DataGridCell}}">
+          <Setter Property="BorderThickness" Value="1" />
+          <Style.Triggers>
+            <Trigger
+                Property="IsSelected"
+                Value="True">
+              <Setter
+                  Property="Background"
+                  Value="{u:BTSColor Grid.grid_selection_background}" />
+              <Setter
+                  Property="BorderBrush"
+                  Value="{u:BTSColor Grid.grid_selection_background}" />
+            </Trigger>
+          </Style.Triggers>
+        </Style>
+      </DataGrid.Resources>
+      <DataGrid.RowStyle>
+        <Style TargetType="DataGridRow">
+          <Setter Property="IsSelected" Value="{Binding is_selected, Mode=TwoWay}"/>
+          <Setter Property="Background" Value="Transparent"/>
+          <Style.Triggers>
+            <Trigger
+                Property="IsSelected"
+                Value="true">
+              <Setter
+                  Property="Background"
+                  Value="{u:BTSColor Grid.grid_selection_background}" />
+            </Trigger>
+            <DataTrigger
+                Binding="{Binding is_last_row_of_month_group}"
+                Value="True">
+              <Setter
+                  Property="BorderThickness"
+                  Value="0,0,0,1" />
+              <Setter
+                  Property="BorderBrush"
+                  Value="Black" />
+            </DataTrigger>
+          </Style.Triggers>
+        </Style>
+      </DataGrid.RowStyle>
+      <DataGrid.ColumnHeaderStyle>
+        <Style TargetType="DataGridColumnHeader">
+          <Setter
+              Property="Background"
+              Value="{u:BTSColor Name=header}" />
+          <Setter
+              Property="Foreground"
+              Value="{u:BTSColor Name=header_text}" />
+          <Setter
+              Property="HorizontalContentAlignment"
+              Value="Center" />
+          <Setter
+              Property="BorderThickness"
+              Value="0,0,1,0" />
+          <Setter
+              Property="BorderBrush"
+              Value="Black" />
+          <Setter
+              Property="Padding"
+              Value="3" />
+          <Setter
+              Property="MinWidth"
+              Value="80" />
+        </Style>
+      </DataGrid.ColumnHeaderStyle>
+      <DataGrid.Columns>
+        <DataGridTextColumn
+            Header="Security"
+            Binding="{Binding security, Converter={StaticResource ExpirationTextConverter}}"
+            IsReadOnly="True">
+          <DataGridTextColumn.CellStyle>
+            <Style
+                TargetType="DataGridCell"
+                BasedOn="{StaticResource {x:Type DataGridCell}}">
+              <Setter
+                  Property="Background"
+                  Value="{u:BTSColor Name=header}" />
+              <Setter
+                  Property="Foreground"
+                  Value="{u:BTSColor Name=header_text}" />
+              <Setter
+                  Property="BorderThickness"
+                  Value="0" />
+              <Setter
+                  Property="VerticalContentAlignment"
+                  Value="Center" />
+              <Setter
+                  Property="Padding"
+                  Value="3" />
+              <Style.Triggers>
+                <DataTrigger
+                    Binding="{Binding security.security_type}"
+                    Value="OPTION">
+                  <Setter
+                      Property="Foreground"
+                      Value="{u:BTSColor Name=header_text}" />
+                </DataTrigger>
+                <DataTrigger
+                    Binding="{Binding security.security_type}"
+                    Value="FUTURE">
+                  <Setter
+                      Property="Foreground"
+                      Value="Gold" />
+                </DataTrigger>
+                <DataTrigger
+                    Binding="{Binding security.security_type}"
+                    Value="UNSET">
+                  <Setter
+                      Property="Foreground"
+                      Value="PaleGreen" />
+                </DataTrigger>
+              </Style.Triggers>
+            </Style>
+          </DataGridTextColumn.CellStyle>
+        </DataGridTextColumn>
+        <DataGridTemplateColumn
+            Header="Driver"
+            MinWidth="105">
+          <DataGridTemplateColumn.CellStyle>
+            <Style
+                TargetType="DataGridCell"
+                BasedOn="{StaticResource {x:Type DataGridCell}}">
+              <Setter
+                  Property="ContextMenu"
+                  Value="{StaticResource DriverContextMenu}" />
+              <Style.Triggers>
+                <DataTrigger
+                    Binding="{Binding is_driver_dirty}"
+                    Value="True">
+                  <Setter
+                      Property="BorderBrush"
+                      Value="Red" />
+                </DataTrigger>
+              </Style.Triggers>
+            </Style>
+          </DataGridTemplateColumn.CellStyle>
+          <DataGridTemplateColumn.CellTemplate>
+            <DataTemplate>
+              <ComboBox
+                  ItemsSource="{Binding DataContext.non_options, RelativeSource={RelativeSource AncestorType=c:DataGridEx}}"
+                  ItemTemplate="{StaticResource ExpirationTemplate}"
+                  SelectedItem="{Binding driver, UpdateSourceTrigger=PropertyChanged}"
+                  Margin="2" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellTemplate>
+        </DataGridTemplateColumn>
+        <DataGridTemplateColumn
+            Header="Deliverable"
+            MinWidth="105">
+          <DataGridTemplateColumn.CellStyle>
+            <Style
+                TargetType="DataGridCell"
+                BasedOn="{StaticResource {x:Type DataGridCell}}">
+              <Setter
+                  Property="ContextMenu"
+                  Value="{StaticResource DeliverableContextMenu}" />
+              <Style.Triggers>
+                <DataTrigger
+                    Binding="{Binding is_deliverable_dirty}"
+                    Value="True">
+                  <Setter
+                      Property="BorderBrush"
+                      Value="Red" />
+                </DataTrigger>
+              </Style.Triggers>
+            </Style>
+          </DataGridTemplateColumn.CellStyle>
+          <DataGridTemplateColumn.CellTemplate>
+            <DataTemplate>
+              <ComboBox
+                  ItemsSource="{Binding DataContext.non_options_with_empty, RelativeSource={RelativeSource AncestorType=c:DataGridEx}}"
+                  ItemTemplate="{StaticResource ExpirationTemplate}"
+                  SelectedItem="{Binding deliverable, UpdateSourceTrigger=PropertyChanged}"
+                  Margin="2" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellTemplate>
+        </DataGridTemplateColumn>
+        <DataGridTemplateColumn
+            Header="Roll Schedule"
+            MinWidth="105">
+          <DataGridTemplateColumn.CellStyle>
+            <Style
+                TargetType="DataGridCell"
+                BasedOn="{StaticResource {x:Type DataGridCell}}">
+              <Setter
+                  Property="ContextMenu"
+                  Value="{StaticResource RollScheduleContextMenu}" />
+              <Style.Triggers>
+                <DataTrigger
+                    Binding="{Binding is_roll_schedule_dirty}"
+                    Value="True">
+                  <Setter
+                      Property="BorderBrush"
+                      Value="Red" />
+                </DataTrigger>
+              </Style.Triggers>
+            </Style>
+          </DataGridTemplateColumn.CellStyle>
+          <DataGridTemplateColumn.CellTemplate>
+            <DataTemplate>
+              <ComboBox
+                  ItemsSource="{Binding DataContext.non_options_with_empty, RelativeSource={RelativeSource AncestorType=c:DataGridEx}}"
+                  ItemTemplate="{StaticResource ExpirationTemplate}"
+                  SelectedItem="{Binding roll_schedule, UpdateSourceTrigger=PropertyChanged}"
+                  Margin="2" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellTemplate>
+        </DataGridTemplateColumn>
+        <DataGridTemplateColumn Header="Roll Target $">
+          <DataGridTemplateColumn.CellStyle>
+            <Style
+                TargetType="DataGridCell"
+                BasedOn="{StaticResource {x:Type DataGridCell}}">
+              <Setter
+                  Property="ContextMenu"
+                  Value="{StaticResource RollTargetContextMenu}" />
+              <Style.Triggers>
+                <DataTrigger
+                    Binding="{Binding is_roll_target_dirty}"
+                    Value="True">
+                  <Setter
+                      Property="BorderBrush"
+                      Value="Red" />
+                </DataTrigger>
+              </Style.Triggers>
+            </Style>
+          </DataGridTemplateColumn.CellStyle>
+          <DataGridTemplateColumn.CellTemplate>
+            <DataTemplate>
+              <TextBlock
+                  Text="{Binding roll_target, Converter={StaticResource DoubleTextConverter}}"
+                  VerticalAlignment="Center"
+                  Margin="2,0,2,0"
+                  ContextMenu="{StaticResource RollTargetContextMenu}" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellTemplate>
+          <DataGridTemplateColumn.CellEditingTemplate>
+            <DataTemplate>
+              <TextBox
+                  Text="{Binding roll_target, Converter={StaticResource DoubleTextConverter}}"
+                  Margin="2" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellEditingTemplate>
+        </DataGridTemplateColumn>
+        <DataGridTemplateColumn Header="Riskless Rate %">
+          <DataGridTemplateColumn.CellStyle>
+            <Style
+                TargetType="DataGridCell"
+                BasedOn="{StaticResource {x:Type DataGridCell}}">
+              <Setter
+                  Property="ContextMenu"
+                  Value="{StaticResource RisklessRateContextMenu}" />
+              <Style.Triggers>
+                <DataTrigger
+                    Binding="{Binding is_riskless_rate_dirty}"
+                    Value="True">
+                  <Setter
+                      Property="BorderBrush"
+                      Value="Red" />
+                </DataTrigger>
+              </Style.Triggers>
+            </Style>
+          </DataGridTemplateColumn.CellStyle>
+          <DataGridTemplateColumn.CellTemplate>
+            <DataTemplate>
+              <TextBlock
+                  Text="{Binding riskless_rate, Converter={StaticResource RisklessRateConverter}}"
+                  VerticalAlignment="Center"
+                  Margin="2,0,2,0"
+                  ContextMenu="{StaticResource RisklessRateContextMenu}" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellTemplate>
+          <DataGridTemplateColumn.CellEditingTemplate>
+            <DataTemplate>
+              <TextBox Text="{Binding riskless_rate, Converter={StaticResource RisklessRateConverter}}" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellEditingTemplate>
+        </DataGridTemplateColumn>
+        <DataGridTemplateColumn Header="Settlement Price $">
+          <DataGridTemplateColumn.CellStyle>
+            <Style
+                TargetType="DataGridCell"
+                BasedOn="{StaticResource {x:Type DataGridCell}}">
+              <Setter
+                  Property="ContextMenu"
+                  Value="{StaticResource SettlementPriceContextMenu}" />
+              <Style.Triggers>
+                <DataTrigger
+                    Binding="{Binding is_settlement_price_dirty}"
+                    Value="True">
+                  <Setter
+                      Property="BorderBrush"
+                      Value="Red" />
+                </DataTrigger>
+              </Style.Triggers>
+            </Style>
+          </DataGridTemplateColumn.CellStyle>
+          <DataGridTemplateColumn.CellTemplate>
+            <DataTemplate>
+              <TextBlock
+                  Text="{Binding settlement_price, Converter={StaticResource DoubleTextConverter}}"
+                  VerticalAlignment="Center"
+                  Margin="2,0,2,0"
+                  ContextMenu="{StaticResource SettlementPriceContextMenu}" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellTemplate>
+          <DataGridTemplateColumn.CellEditingTemplate>
+            <DataTemplate>
+              <TextBox Text="{Binding settlement_price, Converter={StaticResource DoubleTextConverter}}" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellEditingTemplate>
+        </DataGridTemplateColumn>
+
+        <DataGridTemplateColumn Header="Delta Beta">
+          <DataGridTemplateColumn.CellStyle>
+            <Style
+                TargetType="DataGridCell"
+                BasedOn="{StaticResource {x:Type DataGridCell}}">
+              <Setter
+                  Property="ContextMenu"
+                  Value="{StaticResource DeltaBetaContextMenu}" />
+              <Style.Triggers>
+                <DataTrigger
+                    Binding="{Binding is_delta_beta_dirty}"
+                    Value="True">
+                  <Setter
+                      Property="BorderBrush"
+                      Value="Red" />
+                </DataTrigger>
+              </Style.Triggers>
+            </Style>
+          </DataGridTemplateColumn.CellStyle>
+          <DataGridTemplateColumn.CellTemplate>
+            <DataTemplate>
+              <TextBlock
+                  Text="{Binding delta_beta, Converter={StaticResource DoubleTextConverter}}"
+                  VerticalAlignment="Center"
+                  Margin="2,0,2,0"
+                  ContextMenu="{StaticResource DeltaBetaContextMenu}" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellTemplate>
+          <DataGridTemplateColumn.CellEditingTemplate>
+            <DataTemplate>
+              <TextBox Text="{Binding delta_beta, Converter={StaticResource DoubleTextConverter}}" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellEditingTemplate>
+        </DataGridTemplateColumn>
+
+        <DataGridTemplateColumn Header="Vega Beta">
+          <DataGridTemplateColumn.CellStyle>
+            <Style
+                TargetType="DataGridCell"
+                BasedOn="{StaticResource {x:Type DataGridCell}}">
+              <Setter
+                  Property="ContextMenu"
+                  Value="{StaticResource VegaBetaContextMenu}" />
+              <Style.Triggers>
+                <DataTrigger
+                    Binding="{Binding is_vega_beta_dirty}"
+                    Value="True">
+                  <Setter
+                      Property="BorderBrush"
+                      Value="Red" />
+                </DataTrigger>
+              </Style.Triggers>
+            </Style>
+          </DataGridTemplateColumn.CellStyle>
+          <DataGridTemplateColumn.CellTemplate>
+            <DataTemplate>
+              <TextBlock
+                  Text="{Binding vega_beta, Converter={StaticResource DoubleTextConverter}}"
+                  VerticalAlignment="Center"
+                  Margin="2,0,2,0"
+                  ContextMenu="{StaticResource VegaBetaContextMenu}" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellTemplate>
+          <DataGridTemplateColumn.CellEditingTemplate>
+            <DataTemplate>
+              <TextBox Text="{Binding vega_beta, Converter={StaticResource DoubleTextConverter}}" />
+            </DataTemplate>
+          </DataGridTemplateColumn.CellEditingTemplate>
+        </DataGridTemplateColumn>
+
+      </DataGrid.Columns>
+    </c:DataGridEx>
+  </Grid>
+</UserControl>

src/client/spark/AW2/AnalyticsParameters/AnalyticsExpirationParametersView.xaml.cs

@@ -0,0 +1,76 @@
+namespace mbts.ui.shell {
+   using bts.api;
+
+   using mbts.spark;
+   using mbts.ui.controls;
+   using mbts.ui.extensions;
+
+   using System;
+   using System.Windows;
+   using System.Windows.Controls;
+   using System.Windows.Controls.Primitives;
+   using System.Windows.Data;
+   using System.Windows.Input;
+
+   /// <summary>
+   /// Interaction logic for AnalyticsExpirationParametersView.xaml
+   /// </summary>
+   partial class AnalyticsExpirationParametersView : UserControl {
+      IDisposable _context_menu_op;
+      IDisposable _data_context_hooks;
+
+      public AnalyticsExpirationParametersView() {
+         InitializeComponent();
+         DataContextChanged += on_data_context_changed;
+         void on_data_context_changed(object sender, DependencyPropertyChangedEventArgs e) {
+            Disposable.dispose(ref _data_context_hooks);
+            if (e.NewValue is IHandleRowSelection hrs) {
+               hrs.row_selection_changed(new(Selector.SelectionChangedEvent, Array.Empty<object>(), _grid.SelectedItems));
+               _data_context_hooks = _grid.SubscribeSelectionChanged((s, e) => hrs.row_selection_changed(e));
+            }
+         }
+      }
+
+      void _grid_PreviewMouseRightButtonUp(object sender, MouseButtonEventArgs e) {
+         Disposable.dispose(ref _context_menu_op);
+         if (e.OriginalSource is not FrameworkElement el || DataContext is not AnalyticsExpirationParametersVM vm) {
+            return;
+         }
+         var cell = el.find_ancestor_of_type<DataGridCell>();
+         if (cell?.ContextMenu is not ContextMenu cm || cell.DataContext is not AnalyticsExpirationParametersRowVM row) {
+            return;
+         }
+         vm.copy_row_source = row;
+         cm.DataContext = row;
+         cm.IsOpen = true;
+         _context_menu_op = cm.SubscribeClosed((s, e) => vm.copy_row_source = null);
+         e.Handled = true;
+      }
+   }
+
+   class ExpTextConverter : IValueConverter {
+      public ExpTextConverter() {
+         NullOrEmptyText = "None";
+      }
+
+      public bool ShowType { get; set; }
+      public bool ShowSymbol { get; set; }
+      public bool MapExp { get; set; }
+      public string NullOrEmptyText { get; set; }
+
+      public object Convert(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture) {
+         var exp = value as SecurityExpiration;
+         if (exp == null || exp.is_empty()) {
+            return NullOrEmptyText;
+         }
+         return ShowSymbol ?
+            SecurityFormatter.format_future(exp.symbol, exp.expiration) :
+            DateFormatter.Format(exp.expiration, DateFormat.MonthCodeLastDigitYear);
+      }
+
+      public object ConvertBack(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture) {
+         throw new NotImplementedException();
+      }
+   }
+
+}

src/client/spark/AW2/AnalyticsParameters/AnalyticsExpirationParametersWindow.cs

@@ -0,0 +1,48 @@
+namespace mbts.spark {
+   using bts.api;
+   using bts.spark;
+
+   using mbts.ui;
+   using mbts.ui.shell;
+
+   using System.Collections.Generic;
+   using System.Windows;
+   using System.Windows.Input;
+
+   class AnalyticsExpirationParametersWindow : SparkWindow<AnalyticsExpirationParametersSettings>, ISharedWindow {
+      public const string WINDOW_TYPE = "AnalyticsExpirationParameters";
+
+      readonly AnalyticsExpirationParametersSettings _init_settings;
+      List<SparkCommand> _commands;
+
+      AnalyticsExpirationParametersVM _vm;
+      AnalyticsExpirationParametersView _view;
+
+      public AnalyticsExpirationParametersWindow(
+         IBus bus, AnalyticsExpirationParametersWindowFactory factory, AnalyticsExpirationParametersSettings settings)
+         : base("Analytics Exp Params", bus, factory) {
+         _init_settings = settings;
+         _dispose = Disposable.Create(() => _vm?.Dispose());
+      }
+
+      public override string window_type => WINDOW_TYPE;
+      public string thread_id => WINDOW_TYPE;
+
+      public override AnalyticsExpirationParametersSettings SaveState =>
+         _vm?.get_state();
+
+      public override UIElement Content =>
+         _view;
+
+      public override IEnumerable<SparkCommand> Commands => _commands.empty_if_null();
+
+      public void thread_init() {
+         _vm = new AnalyticsExpirationParametersVM(_bus, _init_settings);
+         _view = new AnalyticsExpirationParametersView { DataContext = _vm };
+         _commands = new() {
+            new SparkCommandCommand("Commit", Icons.Disk, _vm.commit_cmd, new KeyGesture(Key.S, ModifierKeys.Control)),
+            new SparkCommandCommand("Revert", Icons.UndoCircular, _vm.revert_cmd, new KeyGesture(Key.Z, ModifierKeys.Control)),
+         };
+      }
+   }
+}

src/client/spark/AW2/AnalyticsParameters/AnalyticsExpirationParametersWindowFactory.cs

@@ -0,0 +1,30 @@
+namespace mbts.spark {
+   using bts.api;
+   using bts.shell;
+   using bts.spark;
+
+   using mbts.ui;
+
+   using System;
+   using System.Reactive.Linq;
+   using System.Threading.Tasks;
+
+   class AnalyticsExpirationParametersWindowFactory : ShellWindowFactory<AnalyticsExpirationParametersSettings> {
+      readonly IBus _bus;
+
+      public AnalyticsExpirationParametersWindowFactory(IShellModule module, IBus bus)
+         : base(module, SparkCommands.show_vol_surface.title) {
+         _bus = bus;
+         _dispose = bus.subscribe(SparkTags.show_analytics_exp_params).OnDispatcher().Subscribe(_show);
+      }
+
+      public override Task<IShellWindow> load(AnalyticsExpirationParametersSettings state) =>
+         Task.FromResult(_create(state));
+
+      void _show(AnalyticsExpirationParametersSettings  _) =>
+         _bus.post(SparkTags.ShowWindow, _create(new()));
+
+      IShellWindow _create(AnalyticsExpirationParametersSettings startup_data) =>
+         new AnalyticsExpirationParametersWindow(_bus, this, startup_data);
+   }
+}

src/client/spark/AW2/AnalyticsParameters/AnalyticsParametersUIModel.cs

@@ -0,0 +1,40 @@
+namespace mbts.spark {
+   using bts.api;
+
+   using mbts;
+   using mbts.analytics;
+
+   using System;
+   using System.Collections.Generic;
+   using System.Linq;
+   using System.Text;
+   using System.Threading.Tasks;
+
+   class AnalyticsParametersUIModel : IDisposable {
+      AnalyticsExpirationParametersMap _curr_val = null;
+      readonly IBus _bus;
+      readonly IDisposable _sub;
+
+      public event Action<AnalyticsExpirationParametersMap> on_expiration_parameters;
+
+      public AnalyticsParametersUIModel(IBus bus) {
+         _bus = bus;
+         _sub = _bus.subscribe(SparkTags.ExpirationParametersInputTag)
+            .Subscribe(d => on_expiration_parameters?.Invoke(d));
+      }
+
+      public void commit(IEnumerable<AnalyticsExpirationParameters> data) =>
+         _bus.post(SparkTags.ExpirationParametersCommitTag, data);
+
+      public IEnumerable<mbts.SecurityExpiration> get_smart_copy_roll_exps(AnalyticsExpirationParameters source) {
+         if (_curr_val != null) {
+            foreach (var kv in _curr_val.exp_map)
+               if (kv.Value.roll_schedule_expiration.Equals(source.roll_schedule_expiration))
+                  yield return kv.Key;
+         }
+      }
+
+      public void Dispose() =>
+         _sub.Dispose();
+   }
+}

src/client/spark/AW2/Bus/AnalyticsParametersManager.cs

@@ -0,0 +1,101 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+using bts;
+using mbts.analytics;
+using bts.api.analytics;
+using System.Reactive.Linq;
+using bts.api;
+using System.Threading;
+
+namespace mbts.spark {
+   // 1. Reads exp params from the network and publishes
+   //    it to the BB
+   // 2. Listens to ExpirationParametersCommitTag and
+   //    writes the calls into persistence to save the data
+   public class AnalyticsParametersManager : IDisposable {
+      private readonly ThreadedBlackboard _bb;
+      private AnalyticsService _analytics_service;
+      private List<IDisposable> _disposables = new List<IDisposable>();
+      private IDictionary<mbts.SecurityExpiration, AnalyticsExpirationParameters>
+         _data = new Dictionary<mbts.SecurityExpiration, AnalyticsExpirationParameters>();
+      private readonly ITag<IEnumerable<AnalyticsExpirationParameters>>
+         _in_bb_exp_params_commit_tag = SparkTags.ExpirationParametersCommitTag;
+      private readonly ITag<SystemContractData> _in_contracts_tag = SparkTags.SystemContractsTag;
+      private readonly ITag<AnalyticsExpirationParametersMap> _out_exp_params_tag =
+         SparkTags.ExpirationParametersInputTag;
+      private HighPerformanceTimer _timer = new HighPerformanceTimer();
+
+      public AnalyticsParametersManager(ThreadedBlackboard bb,
+                                        AnalyticsService analytics_server) {
+         _bb = bb;
+         _analytics_service = analytics_server;
+         var exp_params_sub = _analytics_service.subscribei_exp_parameters()
+           .ObserveOn(SynchronizationContext.Current)
+           .Subscribe(_on_exp_parameters);
+         _disposables.Add(exp_params_sub);
+         _bb.subscribe(_in_bb_exp_params_commit_tag);
+         _bb.subscribe(_in_contracts_tag);
+         _bb.data_callback += _on_bb_data;
+      }
+
+      private void _on_bb_data(object tag, object data) {
+         if (_in_contracts_tag.Equals(tag)) {
+            _assemble_and_publish();
+         } else if (_in_bb_exp_params_commit_tag == tag) {
+            // listens to the commit tag and saves it
+            IEnumerable<AnalyticsExpirationParameters> exp_params =
+               data as IEnumerable<AnalyticsExpirationParameters>;
+            exp_params = exp_params.Where(e => e.security.expiration.Date >=
+               DateTime.Now.Date.Subtract(TimeSpan.FromDays(1)));
+            bts.Log.Gen.info(
+               String.Format("AnalyticsParametersManager._on_bb_data received commit count:{0}",
+                             exp_params.Count()));
+            ExpirationParameterEntryList to_save = new ExpirationParameterEntryList();
+            to_save.ParamList.AddRange(exp_params.Select(i => i.to_exp_param_entry()));
+            _timer.start();
+            _analytics_service.set_exp_parameters(to_save);
+            _timer.stop();
+            bts.Log.Gen.info(
+               String.Format("AnalyticsParametersManager saved exp_params count:{0} t:{1} msecs",
+                              exp_params.Count(), _timer.lastIntervalTime));
+         }
+      }
+
+      void _on_exp_parameters(bts.api.core.Update<ExpirationParameterEntryListImmutable, int> update) {
+         _data = new Dictionary<mbts.SecurityExpiration, AnalyticsExpirationParameters>();
+         bts.Log.Gen.info(String.Format("AnalyticsParametersManager._on_exp_parameters received count:{0}",
+                        update.all.Count()));
+         bts.Log.assert(update.all.Count() == 0 || update.all.Count() == 1);
+         foreach (ExpirationParameterEntryListImmutable l in update.all) {
+            foreach (ExpirationParameterEntryImmutable e in l.ParamList) {
+               AnalyticsExpirationParameters new_entry = new AnalyticsExpirationParameters(e);
+               _data[new_entry.security] = new_entry;
+            }
+            break;
+         }
+         Log.Gen.info($"AnalyticsParametersManager._on_exp_parameters count: {_data.Count}");
+         _assemble_and_publish();
+         // _bb.post(_out_exp_params_tag, new AnalyticsExpirationParametersMap(_data));
+      }
+
+      private void _assemble_and_publish() {
+         if (_data != null) {
+            SystemContractData sc_data = _bb.read_state(_in_contracts_tag);
+            if (sc_data != null) {
+               _bb.post(_out_exp_params_tag, new AnalyticsExpirationParametersMap(_data, sc_data));
+            }
+         }
+      }
+
+      #region IDisposable
+      public void Dispose() {
+         _bb.data_callback -= _on_bb_data;
+         foreach (IDisposable d in _disposables) {
+            d.Dispose();
+         }
+      }
+      #endregion
+   }
+}

src/client/spark/AW2/Bus/RequestResponse/VolSurfaceCalculationRequest.cs

@@ -0,0 +1,44 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using mbts.analytics;
+
+namespace mbts.spark
+{
+   /// UI (VolSurfaceDisplayModel) publishes this to the request calculator
+   /// (This is published in response to user typing in, or any of the macro
+   /// actions on the right)
+   public class VolSurfaceCalculationRequest : ICloneable
+   {
+      public readonly VolSurfaceInput volsurface_input;
+      public readonly int request_id;
+      public readonly IDictionary<VolSurfaceExpiration, VolCurveAction> action_map;
+      public readonly bool cascade_up, cascade_down;
+
+      public VolSurfaceCalculationRequest(VolSurfaceInput this_volsurface_input, int this_request_id)
+         : this(this_volsurface_input, this_request_id, new Dictionary<VolSurfaceExpiration, VolCurveAction>())
+      { }
+
+      public VolSurfaceCalculationRequest(VolSurfaceInput this_volsurface_input, int this_request_id,
+                                          IDictionary<VolSurfaceExpiration, VolCurveAction> this_action_map,
+                                          bool this_cascade_up = false, bool this_cascade_down = false)
+      {
+         request_id = this_request_id;
+         volsurface_input = VolSurfaceUtilityFunctions.clone_proto(this_volsurface_input);
+         action_map = this_action_map;
+         cascade_up = this_cascade_up;
+         cascade_down = this_cascade_down;
+      }
+
+      public object Clone()
+      {
+         return new VolSurfaceCalculationRequest(VolSurfaceUtilityFunctions.clone_proto(volsurface_input),
+                                                  request_id,
+                                                  action_map != null ? new Dictionary<VolSurfaceExpiration, VolCurveAction>(action_map) : null,
+                                                  cascade_up, cascade_down);
+                                                   
+      }
+   }
+}

src/client/spark/AW2/Bus/RequestResponse/VolSurfaceCalculationResponse.cs

@@ -0,0 +1,25 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using mbts.analytics;
+
+namespace mbts.spark
+{
+   public class VolSurfaceCalculationResponse : ICloneable
+   {
+      public readonly VolSurfaceOutput volsurface_calculation_output;
+      public readonly int request_id;
+      public VolSurfaceCalculationResponse(VolSurfaceOutput this_volsurface_calculation_output, int this_request_id)
+      {
+         request_id = this_request_id;
+         volsurface_calculation_output = this_volsurface_calculation_output;
+      }
+
+      public object Clone()
+      {
+         return new VolSurfaceCalculationResponse(volsurface_calculation_output != null ? volsurface_calculation_output.Clone() as VolSurfaceOutput : null, request_id);
+      }
+   }
+}

src/client/spark/AW2/Bus/SingleOptionDriverPricePublisher.cs

@@ -0,0 +1,205 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using mbts.analytics;
+using bts.api;
+using bts.api.analytics;
+
+public class DriverMD {
+   public readonly DriverCalculationType calc_type = DriverCalculationType.Direct;
+   public readonly Nullable<SecurityImmutable> driver_security = null;
+   public readonly VolSurfaceMDUnit md = null;
+   public readonly Nullable<double> calculated_driver = null;
+   public static DriverMD empty = new DriverMD(
+       DriverCalculationType.Direct, null, null, null);
+   public DriverMD(DriverCalculationType calc_type,
+                   Nullable<SecurityImmutable> driver_security,
+                   VolSurfaceMDUnit md,
+                   Nullable<double> calculated_driver) {
+      this.calc_type = calc_type;
+      this.driver_security = driver_security;
+      this.md = md;
+      this.calculated_driver = calculated_driver;
+   }
+   public DriverMD(SecurityImmutable driver_security,
+                   VolSurfaceMDUnit md)
+                   :
+                   this(DriverCalculationType.Direct, driver_security, md, null) {
+
+   }
+   public DriverMD(double driver)
+                   :
+                   this(DriverCalculationType.TimeWeightedInterp, null, null, driver) {
+   }
+   public double get_driver() {
+      switch (calc_type) {
+         case DriverCalculationType.Direct:
+            return VolSurfaceCoreFunctions.get_driver(md);
+         case DriverCalculationType.TimeWeightedInterp:
+            return calculated_driver.HasValue ? calculated_driver.Value : Double.NaN;
+      }
+      return Double.NaN;
+   }
+}
+
+namespace mbts.spark {
+   // Publishes the driver prices for expirations of a single option (this is not AW2 specific)
+   // f(AnalyticsExpirationParametersMap, SystemContractData) -> OptionDriverPriceMap
+   // This is constructed by the ResourceAllocator
+   public class SingleOptionDriverPricePublisher {
+      private readonly SecurityTuple _sec_tup;
+      private ThreadedBlackboard _bb;
+      // tags
+      private ITag<AnalyticsExpirationParametersMap> _in_bb_exp_params_tag =
+         SparkTags.ExpirationParametersInputTag;
+      private ITag<SystemContractData> _in_bb_contracts_tag =
+         SparkTags.SystemContractsTag;
+      private OptionDriverPriceMap _last_published;
+      private readonly PerfStatsLogger _logger;
+      private readonly TimeSpan _fire_period = TimeSpan.FromMilliseconds(300);
+      private DateTime _last_fire_time = DateTime.MinValue;
+
+      public SingleOptionDriverPricePublisher(SecurityTuple sec_tup,
+                                               ThreadedBlackboard bb) {
+         bts.Log.Gen.info($"SingleOptionDriverPricePublisher initialized st:{sec_tup}");
+         _sec_tup = sec_tup;
+         _bb = bb;
+         _logger = new PerfStatsLogger(50, 50,
+            $"SingleOptionDriverPricePublisher_{sec_tup.security_name}_{GetHashCode()}");
+         _last_published = new OptionDriverPriceMap(sec_tup.security_name,
+            new Dictionary<SecurityExpiration, DriverMD>());
+         _bb.subscribe(_in_bb_exp_params_tag);
+         _bb.subscribe(_in_bb_contracts_tag);
+         _bb.data_callback += _on_bb_data;
+         _bb.timer_callback += _on_bb_timer;
+         _compute_and_fire();
+      }
+
+      private void _on_bb_data(object tag, object data) {
+         if (_in_bb_exp_params_tag == tag || _in_bb_contracts_tag == tag) {
+            _on_bb_timer();
+         }
+      }
+
+      private void _on_bb_timer() {
+         if (DateTime.Now - _last_fire_time >= _fire_period) {
+            _last_fire_time = DateTime.Now;
+            _compute_and_fire();
+         }
+      }
+
+      private void _compute_and_fire() {
+         _logger.start_default_timer();
+         AnalyticsExpirationParametersMap param_map = _bb.read_state(_in_bb_exp_params_tag);
+         SystemContractData sc_data = _bb.read_state(_in_bb_contracts_tag);
+         if (param_map == null || sc_data == null) {
+            return;
+         }
+         IDictionary<mbts.SecurityExpiration, mbts.SecurityExpiration> driver_map =
+            param_map.get_option_to_driver_map(_sec_tup.security_name);
+         // look up the market data
+         IDictionary<SecurityExpiration, DriverMD> res =
+              new Dictionary<SecurityExpiration, DriverMD>();
+         foreach (var kv in driver_map) {
+            SecurityExpiration option_exp = kv.Key;
+            SecurityExpiration driver = kv.Value;
+            if (_direct_valid_driver(driver)) {
+               Tuple<SecurityImmutable, VolSurfaceMDUnit> md_tup = sc_data.get_exp_md(driver);
+               // to deal with expired expirations
+               if (md_tup != null) {
+                  res.Add(option_exp, new DriverMD(md_tup.Item1, md_tup.Item2));
+               }
+            } else {
+               // SecurityTuple driver_sectup = _get_option_driver(driver_map, option_exp);
+               // bts.Log.Gen.info("SingleOptionDriverPricePublisher._compute_and_fire " +
+               //    $"option_exp: {option_exp} driver: {driver_sectup}");
+               // 
+               double interp_pr = interp_driver(sc_data, driver_map, option_exp);
+               res.Add(option_exp, new DriverMD(interp_pr));
+            }
+            // for exps with interp_drivers (right represented by invalid driver) find the 
+            // neighboring option's future. then find the nearest 2 future exps (nearest 
+            // to this option's exp) and do a tim weighted interp
+            // if not neighboring driver then calculate it from the spot 
+         }
+         if (_is_different(res)) {
+            _last_published = new OptionDriverPriceMap(_sec_tup.security_name, res);
+            var to_fire = new OptionDriverPriceMap(_sec_tup.security_name, res);
+            bts.Log.Gen.info("SingleOptionDriverPricePublisher._compute_and_fire \n" +
+                              $"map:{to_fire.log_string()}");
+            _logger.stop_default_timer();
+            _bb.post(SparkTags.OptionDriverBBOTag(_sec_tup.security_name),
+                     new OptionDriverPriceMap(_sec_tup.security_name, res));
+         }
+      }
+
+      // compares the new values to the previous
+      private bool _is_different(IDictionary<SecurityExpiration, DriverMD> new_dic) {
+         Func<DriverMD, DriverMD, bool> is_dmd_diff = (d1, d2) => {
+            bool eq = VolSurfaceUtilityFunctions.compare_doubles(d1.get_driver(), d2.get_driver());
+            return !eq;
+         };
+         new_dic.Difference(_last_published.exp_price_map, out var ex_left, out var ex_right, out var overlap);
+         return ex_left.Count() != 0 || ex_right.Count() != 0 ||
+               overlap.Where(v => is_dmd_diff(v.Value.left, v.Value.right)).Count() > 0;
+      }
+
+      #region driver interp
+      private static bool _direct_valid_driver(SecurityExpiration driver_exp) {
+         return driver_exp != null && /*driver_exp.expiration >= DateTime.Now.Date &&*/
+               (driver_exp.security_tuple.security_type == SecurityType.Future ||
+               driver_exp.security_tuple.security_type == SecurityType.Stock);
+      }
+      // returns the driver sectup (it assumes all expirations of this option sectup
+      // are being driven by the same sectup)
+      public static SecurityTuple get_driver_sectup(
+         IDictionary<mbts.SecurityExpiration, mbts.SecurityExpiration> driver_map,
+         SecurityExpiration exp) {
+         foreach (var kv in driver_map) {
+            SecurityExpiration driver = kv.Value;
+            if (_direct_valid_driver(driver) &&
+               exp.security_tuple.Equals(kv.Key.security_tuple)) {
+               return driver.security_tuple;
+            }
+         }
+         return null;
+      }
+
+      public static Tuple<SecurityExpiration, SecurityExpiration>
+            find_neighbors(SystemContractData sc_data,
+                           SecurityTuple sec_tup, DateTime exp) {
+         var exps = sc_data.exp_map.Where(
+            kv => sec_tup.Equals(kv.Key.security_tuple)).Select(kv => kv.Key);
+         if (exps == null) {
+            return null;
+         }
+         SecurityExpiration low, high;
+         VolSurfaceUtilityFunctions.find_neighbors(exps, exp,
+            (t, p) => t.expiration.Subtract(p).TotalMilliseconds, out low, out high);
+         return Tuple.Create(low, high);
+      }
+
+      public static double interp_driver(SystemContractData sc_data,
+                           IDictionary<SecurityExpiration, SecurityExpiration> driver_map,
+                           SecurityExpiration option_exp) {
+         SecurityTuple driver_sectup = get_driver_sectup(driver_map, option_exp);
+         if (driver_sectup == null)
+            return Double.NaN;
+         var ngh_drivers = find_neighbors(sc_data, driver_sectup, option_exp.expiration);
+         if (ngh_drivers == null || ngh_drivers.Item1 == null || ngh_drivers.Item2 == null)
+            return Double.NaN;
+         var low = sc_data.get_exp_md(ngh_drivers.Item1);
+         var high = sc_data.get_exp_md(ngh_drivers.Item2);
+         if (low == null || low.Item2 == null)
+            return Double.NaN;
+         if (high == null || high.Item2 == null)
+            return Double.NaN;
+         // finally we have the value we need, interp it now
+         return VolSurfaceCoreFunctions.linear_interpolate_time(
+                           ngh_drivers.Item1.expiration, VolSurfaceCoreFunctions.get_driver(low.Item2),
+                           ngh_drivers.Item2.expiration, VolSurfaceCoreFunctions.get_driver(high.Item2),
+                           option_exp.expiration);
+      }
+      #endregion
+   }
+}

src/client/spark/AW2/Bus/SingleVolSurfaceClientTheosPublishHelper.cs

@@ -0,0 +1,47 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+using mbts.analytics;
+
+namespace mbts.spark {
+   // UNUSED
+   // This class is held by the SingleVolSurfaceClientPrecomputedTheosPublisher
+   // and acts as a buffer for publishing values. If wait_for_theo_confirmation
+   // setting is true, it publshes an alert tag, otherwise publishes the theos
+   // directly
+   public class SingleVolSurfaceClientTheosPublishHelper {
+      private readonly int _vs_id;
+      private readonly ThreadedBlackboard _bb;
+      private int _n_updates = 0;
+
+      public SingleVolSurfaceClientTheosPublishHelper(int vs_id, ThreadedBlackboard bb) {
+         bts.Log.assert(false);
+         _vs_id = vs_id;
+         _bb = bb;
+      }
+
+      public void publish(IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> exp_theo_map) {
+         if (_n_updates == 0)
+            /// If its the first theos send it rightaway
+            _bb.post(SparkTags.VolSurfaceInterpGreeksTag(_vs_id), exp_theo_map);
+         else {
+            if (_is_theo_acceptance_confirmation_on)
+               _bb.post(SparkTags.VolSurfaceTheoAlertTag,
+                        new VolSurfaceTheoAlertData(Guid.NewGuid().ToString(), _vs_id, exp_theo_map));
+            else
+               _bb.post(SparkTags.VolSurfaceInterpGreeksTag(_vs_id), exp_theo_map);
+         }
+         _n_updates++;
+      }
+
+      private bool _is_theo_acceptance_confirmation_on {
+         get {
+            // in edge this was in a TC2 setting
+            return false;
+         }
+      }
+   }
+}

src/client/spark/AW2/Bus/SingleVolSurfaceCommittedOutputRetriever.cs

@@ -0,0 +1,78 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using mbts.analytics;
+using bts.api;
+
+namespace mbts.spark {
+   // Publishes the vol outputs for a single vol surface.
+   // Despite of the name Retriever, this class computes the vols
+   // - f (vs_input, aux_data, securities) -> vs_output
+   // and publishes it
+   // Subs :
+   // 1. Committed VS Input
+   // 3. VS Nonvol Data
+   // Pubs :
+   // 1. VS Out
+   public class SingleVolSurfaceCommittedOutputRetriever : IDisposable {
+      private readonly int _vs_id;
+      private readonly ITag<VolSurfaceInput> _in_bb_vs_input_tag;
+      private readonly ITag<VolSurfaceNonVolData> _in_bb_nonvol_data_tag;
+      private readonly ITag<VolSurfaceStandardTime> _in_vs_standard_time_tag;
+      private readonly ITag<VolSurfaceOutput> _out_bb_computed_vol_tag;
+      private readonly ThreadedBlackboard _bb;
+      private readonly HighPerformanceTimer _timer = new HighPerformanceTimer();
+      private readonly PerfStatsLogger _logger = new PerfStatsLogger(50, 100);
+      private readonly string _log_id;
+
+      public SingleVolSurfaceCommittedOutputRetriever(int vs_id,
+         ThreadedBlackboard threaded_bb, IEnumerable<string> symbols) {
+         bts.Log.Gen.info($"SingleVolSurfaceCommittedOutputRetriever cons vs_id:{vs_id} tid:{_tid()}");
+         _vs_id = vs_id;
+         _bb = threaded_bb;
+         _in_bb_vs_input_tag = SparkTags.VolSurfaceCommittedInputTag(vs_id);
+         _in_bb_nonvol_data_tag = SparkTags.VolSurfaceNonVolDataTag(vs_id);
+         _in_vs_standard_time_tag = SparkTags.VolSurfaceStandardTimeTag(vs_id);
+         _out_bb_computed_vol_tag = SparkTags.VolSurfaceCommittedOutputTag(vs_id);
+         _log_id = String.Format("SingleVolSurfaceCommittedOutputRetriever_{0}", vs_id);
+         _bb.subscribe(_in_bb_vs_input_tag);
+         _bb.subscribe(_in_bb_nonvol_data_tag);
+         _bb.subscribe(_in_vs_standard_time_tag);
+         _bb.data_callback += _on_bb_data;
+         _recompute_and_publish();
+      }
+      private static int _tid() { return VolSurfaceTroubleshootingFunctions.tid(); }
+      private void _on_bb_data(object tag, object data) {
+         if (_in_bb_vs_input_tag.Equals(tag) || _in_bb_nonvol_data_tag.Equals(tag) ||
+             _in_vs_standard_time_tag.Equals(tag))
+            _recompute_and_publish(tag);
+      }
+
+      private void _recompute_and_publish(object tag = null) {
+         VolSurfaceInput vs_input = _bb.read_state(_in_bb_vs_input_tag);
+         VolSurfaceNonVolData vs_nonvol_data = _bb.read_state(_in_bb_nonvol_data_tag);
+         VolSurfaceStandardTime vs_standard_time = _bb.read_state(_in_vs_standard_time_tag);
+         if (vs_input != null && vs_nonvol_data != null && vs_standard_time != null) {
+            _timer.start();
+            IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map =
+                VolSurfaceUtilityFunctions.compute_aux_data(vs_input,
+                     vs_nonvol_data.input, vs_nonvol_data.driver_price_map, vs_standard_time);
+            VolSurfaceOutput vs_output = GeneralVolSurfaceCalculator.compute(
+               vs_input, vs_nonvol_data.contracts, aux_data_map);
+            _timer.stop();
+            var tag_str = tag == null ? "Null" : tag.ToString();
+            bts.Log.Gen.info($"SingleVolSurfaceCommittedOutputRetriever._recompute_and_publish " +
+                             $"vs_id: {_vs_id} time:{_timer.lastIntervalTime} ms tag:{tag_str} " +
+                             $"tid:{_tid()}"); //output: {vs_output.log_string()}*/");
+            _logger.log(_log_id, _log_id, _timer.lastIntervalTime);
+            _bb.post(_out_bb_computed_vol_tag, vs_output);
+         }
+      }
+
+      #region IDisposable
+      public void Dispose() { _bb.data_callback -= _on_bb_data; }
+      #endregion
+   }
+}

src/client/spark/AW2/Bus/SingleVolSurfaceDataSource.cs

@@ -0,0 +1,98 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using mbts.analytics;
+using bts;
+using bts.utils;
+using bts.api;
+
+
+namespace mbts.spark {
+   /// Listens to the input (either committed or candidate depending on the arg)
+   /// and creates the actual source that is immutable wrt the symbol list.
+   /// (Making the real sources immutable wrt to the symbol list simplifies
+   /// things a lot. Symbol lists rarely every change, but its a pain to
+   /// handle such changes)
+   public class SingleVolSurfaceDataSource : IDisposable {
+      public enum SymbolListType {
+         Committed,
+         Candidate,
+         Combined,
+      }
+      private readonly SymbolListType _list_type;
+      private readonly int _vs_id;
+      private readonly ThreadedBlackboard _bb;
+      private readonly Func<IEnumerable<string>, IDisposable> _create_func;
+      private readonly ITag<VolSurfaceInput> _in_bb_committed_data_tag;
+      private readonly ITag<VolSurfaceCalculationRequest> _in_bb_calc_req_tag;
+
+      private HashSet<string> _option_symbols = new HashSet<string>();
+      private IDisposable _source = null;
+
+      public SingleVolSurfaceDataSource(SymbolListType list_type, int vs_id, ThreadedBlackboard threaded_bb,
+                                        Func<IEnumerable<string>, IDisposable> create_func) {
+         Log.Gen.info(String.Format("SingleVolSurfaceDataSource constructed vs_id {0}", vs_id));
+         _list_type = list_type;
+         _vs_id = vs_id;
+         _bb = threaded_bb;
+         _create_func = create_func;
+         _in_bb_committed_data_tag = SparkTags.VolSurfaceCommittedInputTag(vs_id);
+         _in_bb_calc_req_tag = SparkTags.VolSurfaceCalculationRequestTag(vs_id);
+         _bb.subscribe(_in_bb_committed_data_tag);
+         _bb.subscribe(_in_bb_calc_req_tag);
+         _bb.data_callback += _on_bb_data;
+         _recompute();
+      }
+
+      private void _on_bb_data(object tag, object data) {
+         if (_in_bb_committed_data_tag.Equals(tag) || _in_bb_calc_req_tag.Equals(tag))
+            _recompute();
+      }
+
+      private void _recompute() {
+         VolSurfaceCalculationRequest vs_calc_req = _bb.read_state(_in_bb_calc_req_tag);
+         VolSurfaceInput vs_comm_inp = _bb.read_state(_in_bb_committed_data_tag);
+         if (_list_type == SymbolListType.Candidate) {
+            if (vs_calc_req != null && vs_calc_req.volsurface_input != null) {
+               HashSet<string> new_sym_map = new HashSet<string>(VolSurfaceDataFunctions.get_symbols(vs_calc_req.volsurface_input));
+               _create_if_needed(new_sym_map);
+            }
+         } else if (_list_type == SymbolListType.Committed) {
+            if (vs_comm_inp != null) {
+               HashSet<string> new_sym_map = new HashSet<string>(VolSurfaceDataFunctions.get_symbols(vs_comm_inp));
+               _create_if_needed(new_sym_map);
+            }
+         } else if (_list_type == SymbolListType.Combined) {
+            List<string> new_sym_list = new List<string>();
+            if (vs_calc_req != null && vs_calc_req.volsurface_input != null)
+               new_sym_list.AddRange(VolSurfaceDataFunctions.get_symbols(vs_calc_req.volsurface_input));
+            if (vs_comm_inp != null)
+               new_sym_list.AddRange(VolSurfaceDataFunctions.get_symbols(vs_comm_inp));
+            _create_if_needed(new HashSet<string>(new_sym_list));
+         }
+      }
+
+      private void _create_if_needed(HashSet<string> new_sym_map) {
+         if (!CollectionHelper.hashset_equals(_option_symbols, new_sym_map)) {
+            _option_symbols = new HashSet<string>(new_sym_map);
+            if (_source != null)
+               _source.Dispose();
+            _source = _create_func(_option_symbols);
+            _bb.post(SparkTags.AquireTag(Guid.NewGuid().ToString()),
+                                 new SymbolResourceAllocationUnit(
+                                    _option_symbols.Select(i => new mbts.SecurityTuple(SecurityType.Option, i, Venue.Unset)), this, true));
+         }
+      }
+
+      #region IDisposable
+      public void Dispose() {
+         if (_source != null)
+            _source.Dispose();
+         _bb.data_callback -= _on_bb_data;
+      }
+      #endregion
+
+   }
+}

src/client/spark/AW2/Bus/SingleVolSurfaceGateway.cs

@@ -0,0 +1,145 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using mbts.analytics;
+using bts;
+using bts.api.analytics;
+using System.Reactive.Linq;
+using System.Threading;
+using bts.api;
+using System.Collections;
+
+namespace mbts.spark {
+   // For a single VolSurface this class
+   // 1. Listents to commmits and calls the service to persist data
+   // 2. Gathers the vol surface input from the nw and publishes it
+   // 3. Gathers the vol surface list and publishes it
+   public class SingleVolSurfaceGateway : IDisposable {
+      private readonly int _volsurface_id;
+      private readonly ThreadedBlackboard _bb;
+      private readonly ITag<VolSurfaceInput> _in_bb_committ_tag;
+      private readonly AnalyticsService _analytics_service;
+      private readonly HighPerformanceTimer _timer = new HighPerformanceTimer();
+      private readonly string _user;
+      private readonly List<IDisposable> _disposables = new List<IDisposable>();
+      private IDictionary<UInt64, VolSurfaceInputSnapshot> _snp_shot_map = new
+         Dictionary<UInt64, VolSurfaceInputSnapshot>();
+
+      public SingleVolSurfaceGateway(int volsurface_id, ThreadedBlackboard threaded_bb,
+                                     AnalyticsService analytics_service) {
+         bts.Log.Gen.info(String.Format("SingleVolSurfaceGateway created for vs_id:{0}",
+                                       volsurface_id));
+         _volsurface_id = volsurface_id;
+         _bb = threaded_bb;
+         _user = "TEST_USER"; // TODO
+         _in_bb_committ_tag = SparkTags.VolSurfaceCommitTag(volsurface_id);
+         _analytics_service = analytics_service;
+         _bb.subscribe(_in_bb_committ_tag);
+         _bb.data_callback += _on_bb_data;
+         var vs_sub = _analytics_service.subscribei_volsurfaces()
+            .ObserveOn(SynchronizationContext.Current)
+            .Subscribe(_on_vss);
+         _disposables.Add(vs_sub);
+      }
+
+      private void _log_basic_vs_info(VolSurfaceInput vs_inp) {
+         bts.Log.Gen.info(String.Format("SingleVolSurfaceGateway vs_id:{0} vs:{1}",
+            vs_inp.surface_settings.core_settings.vol_surface_id, vs_inp.log_string()));
+      }
+
+      private void _on_vss(bts.api.core.Update<VolSurfaceEntryImmutable, UInt64> update) {
+         IEnumerable<VolSurfaceEntryImmutable> all_vss = update.all;
+         var this_vs_vss = all_vss.Where(vs => vs.VsId == _volsurface_id);
+         bts.Log.Gen.info(String.Format("SingleVolSurfaceGateway._on_vss count:{0} vs_count:{1}",
+            all_vss.Count(), this_vs_vss.Count()));
+         if (this_vs_vss.Count() == 0) {
+            return;
+         }
+         VolSurfaceEntryImmutable vs = this_vs_vss.MaxElement(vs => vs.SaveTime);
+         VolSurfaceInput vs_input = _to_vs_input(vs);
+         _log_basic_vs_info(vs_input);
+         _bb.post(
+            SparkTags.VolSurfaceCommittedInputTag(_volsurface_id), vs_input);
+         _update_publish_snapshots(this_vs_vss);
+      }
+
+      private void _update_publish_snapshots(IEnumerable<VolSurfaceEntryImmutable> vss) {
+         foreach (VolSurfaceEntryImmutable vse in vss) {
+            if (!_snp_shot_map.ContainsKey(vse.SaveTime)) {
+               VolSurfaceInputSnapshot snp = new VolSurfaceInputSnapshot(vse);
+               _snp_shot_map.Add(vse.SaveTime, snp);
+            }
+         }
+         bts.Log.Gen.info(String.Format("SingleVolSurfaceGateway._update_publish_snapshots count:{0}",
+                           _snp_shot_map.Count));
+         _bb.post(SparkTags.VolSurfaceInputSnapshotListTag(_volsurface_id),
+                                       _snp_shot_map.Values);
+      }
+
+      static VolSurfaceInput _to_vs_input(VolSurfaceEntryImmutable vs) {
+         byte[] vs_bytes = vs.Volsurface.ToByteArray();
+         return
+            mbts.analytics.VolSurfaceUtilityFunctions.deserialize_proto<VolSurfaceInput>(vs_bytes);
+      }
+
+      private void _on_bb_data(object tag, object data) {
+         if (_in_bb_committ_tag.Equals(tag)) {
+            try {
+               _timer.start();
+               VolSurfaceInput vs_input = data as VolSurfaceInput;
+               _sanitize_input(ref vs_input);
+               vs_input = VolSurfaceDataFunctions.unset_driver_overrides(vs_input);
+               vs_input.saver_login = _user;
+               VolSurfaceUtilityFunctions.save_volsurface(vs_input, _analytics_service, _user);
+               _timer.stop();
+               Log.Gen.info(String.Format(
+                  "SingleVolSurfaceGateway._on_bb_data Time to commit volsurface {0} {1} msecs",
+                  _volsurface_id, _timer.lastIntervalTime));
+               var archived_theos = _get_theos();
+               if (archived_theos != null)
+                  _analytics_service.archive_theos(archived_theos);
+            } catch (Exception ex) {
+               Log.Gen.warn(ex.ToString());
+               _bb.post(SparkTags.MessageDisplayTag,
+                  new MessageDisplayData("Vol Surface Addition",
+                                          String.Format("Could not create Vol Surface, Error : {0}", ex.Message)));
+            }
+         }
+      }
+
+      private void _sanitize_input(ref VolSurfaceInput vs_input) {
+         vs_input.surface_settings.core_settings.time_settings = vs_input.surface_settings.core_settings.time_settings ?? new VolSurfaceTimeSettings() { time_mode = VolSurfaceEnums.VolSurfaceTimeMode.Manual };
+         if (vs_input.surface_settings.core_settings.master_slave_relationships != null)
+            foreach (VolSurfaceSymbolRelationship vssr in vs_input.surface_settings.core_settings.master_slave_relationships)
+               _force_distinct_connected_symbols(vssr);
+         if (vs_input.surface_settings.core_settings.implied_vol_marketdata_relationships != null)
+            foreach (VolSurfaceSymbolRelationship vssr in vs_input.surface_settings.core_settings.implied_vol_marketdata_relationships)
+               _force_distinct_connected_symbols(vssr);
+      }
+
+      private void _force_distinct_connected_symbols(VolSurfaceSymbolRelationship vssr) {
+         var distinct_syms = vssr.connected_symbols.Distinct().ToList();
+         if (distinct_syms.Count != vssr.connected_symbols.Count)
+            vssr.connected_symbols = distinct_syms;
+      }
+
+      private ArchivedTheoList _get_theos() {
+         var cand_theos = SingleVolSurfaceTheoSource.compute_cand_theos(_volsurface_id, _bb);
+         SystemContractData sc_data = _bb.read_state(SparkTags.SystemContractsTag);
+         var rv = SingleVolSurfaceTheoSource.convert_to_id_map(cand_theos, sc_data);
+         rv.SaveTime = VolSurfaceUtilityFunctions.get_unix_epoch_msecs();
+         var sec_tups = SingleVolSurfaceTheoSource.get_vs_sectups(_volsurface_id, _bb);
+         rv.SecTups.AddRange(sec_tups);
+         return rv;
+      }
+
+      #region Disposable
+      public void Dispose() {
+         _bb.data_callback -= _on_bb_data;
+         _disposables.ForEach(d => d.Dispose());
+      }
+      #endregion
+   }
+}

src/client/spark/AW2/Bus/SingleVolSurfaceInterpGreeksPublisher.cs

@@ -0,0 +1,194 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using mbts.analytics;
+using System.Collections.Concurrent;
+using System.IO;
+using System.IO.Compression;
+using bts;
+using bts.api;
+using mbts.ui.converters;
+
+namespace mbts.spark {
+   // This class gathers all the inputs needed to calculate InterpGreeks, pass it to 
+   // VolSurfacePrecomputedTheosProducer, and publishes the InterpGreeks to the bus
+   // (called SingleVolSurfaceClientPrecomputedTheosPublisher in Edge)
+   // It listens to
+   // a. vol surface inputs
+   // b. exp params (roll, rates etc)
+   // c. securities (exp, strikes) for options in the vs
+   // d. driver prices for options in vs
+   // and passes the data above to VolSurfacePrecomputedTheosProducer where
+   // the real calculations take place.
+   public class SingleVolSurfaceInterpGreeksPublisher : IDisposable {
+      private readonly int _vs_id;
+      private readonly ThreadedBlackboard _bb;
+      private HashSet<string> _all_symbols;
+      private VolSurfaceInterpGreeksProducer _theo_producer;
+      private readonly ITag<VolSurfaceInput> _in_vs_input_tag;
+      private readonly ITag<VolSurfaceNonVolInput> _in_vs_nonvol_input_tag;
+      private readonly ITag<VolSurfaceStrikeMap> _in_vs_contracts_tag;
+      private ITag<IReadOnlyDictionary<string, OptionDriverPriceMap>>
+         _in_all_syms_driver_price_tag = SparkTags.AllOptionDriverBBOTag;
+      private readonly ITag<VolSurfaceStandardTime> _in_vs_standard_time_tag;
+      private readonly ITag<bool> _in_ui_up_tag;
+      private readonly string _user;
+      private readonly PerfStatsLogger _logger;
+
+      public SingleVolSurfaceInterpGreeksPublisher(int vs_id,
+               ThreadedBlackboard threaded_bb, IEnumerable<string> symbols) {
+         bts.Log.Gen.info($"SingleVolSurfaceInterpGreeksPublisher cons {vs_id}");
+         _vs_id = vs_id;
+         _bb = threaded_bb;
+         _all_symbols = new HashSet<string>(symbols);
+         _logger = new PerfStatsLogger(10, 100,
+            $"SingleVolSurfaceInterpGreeksPublisher_{vs_id}");
+         _theo_producer = new VolSurfaceInterpGreeksProducer(vs_id);
+         // TODO
+         _user = String.Empty;   // get current user from somewhere (ask John)
+         _theo_producer.on_theos += _theo_producer_on_theos;
+         _theo_producer.on_vols += _theo_producer_on_vols;
+         _in_vs_input_tag = SparkTags.VolSurfaceCommittedInputTag(vs_id);
+         _in_vs_nonvol_input_tag = SparkTags.VolSurfaceNonVolInputTag;
+         _in_vs_contracts_tag = SparkTags.VolSurfaceContractsTag(vs_id);
+         _in_vs_standard_time_tag = SparkTags.VolSurfaceStandardTimeTag(vs_id);
+         _in_ui_up_tag = SparkTags.VolSurfaceActiveUITag(_vs_id);
+         _bb.subscribe(_in_vs_input_tag);
+         _bb.subscribe(_in_vs_nonvol_input_tag);
+         _bb.subscribe(_in_vs_contracts_tag);
+         _bb.subscribe(_in_all_syms_driver_price_tag);
+         _bb.subscribe(_in_vs_standard_time_tag);
+         _bb.subscribe(_in_ui_up_tag);
+         _bb.data_callback += _on_bb_data;
+         _init();
+      }
+
+      // reading all the data from the bus and setting up the producer
+      private void _init() {
+         var vs_inp = _bb.read_state(_in_vs_input_tag);
+         if (vs_inp != null)
+            _theo_producer.set_vol_data(vs_inp);
+         var vs_nonvol_input = _bb.read_state(_in_vs_nonvol_input_tag);
+         if (vs_nonvol_input != null)
+            _theo_producer.set_nonvol_parameters((vs_nonvol_input).exp_input_map);
+         _set_contracts();
+         _read_and_set_drivers();
+         var vs_standard_time = _bb.read_state(_in_vs_standard_time_tag);
+         if (vs_standard_time != null)
+            _theo_producer.set_system_vol_time(vs_standard_time);
+      }
+
+      private void _read_and_set_drivers() {
+         var all_sym_price_map = _bb.read_state(_in_all_syms_driver_price_tag);
+         IDictionary<VolSurfaceExpiration, DriverMD> exp_price_map =
+            OptionDriverPriceMap.get_vs_price_map(all_sym_price_map,
+                                                  (s) => _all_symbols.Contains(s));
+         _theo_producer.set_driver_price(
+            exp_price_map.ToDictionary(kv => kv.Key, kv => kv.Value.get_driver()));
+      }
+
+      #region Blackboard Callbacks
+      private void _on_bb_data(object tag, object data) {
+         if (_in_vs_input_tag.Equals(tag)) {
+            var vs_inp = _bb.read_state(_in_vs_input_tag);
+            _theo_producer.set_vol_data(vs_inp);
+         } else if (_in_vs_nonvol_input_tag.Equals(tag)) {
+            var vs_nonvol_input = _bb.read_state(_in_vs_nonvol_input_tag);
+            if (vs_nonvol_input != null)
+               _theo_producer.set_nonvol_parameters((vs_nonvol_input).exp_input_map);
+         } else if (_in_vs_contracts_tag.Equals(tag))
+            _set_contracts();
+         else if (_in_all_syms_driver_price_tag.Equals(tag))
+            _read_and_set_drivers();
+         else if (_in_vs_standard_time_tag.Equals(tag))
+            _theo_producer.set_system_vol_time(_bb.read_state(_in_vs_standard_time_tag));
+      }
+
+      private void _set_contracts() {
+         // in edge this used to filter exps that were active in TC2
+         var all_contracts = _bb.read_state(_in_vs_contracts_tag);
+         if (all_contracts != null) {
+            _theo_producer.set_contracts(all_contracts.strike_map);
+         }
+      }
+
+      #endregion
+
+      private void _log_data<T>(
+         IDictionary<VolSurfaceExpiration, IEnumerable<T>> theos,
+         DateTime exp_filter,
+         string prefix,
+         Func<T, string> log_func,
+         Comparison<T> sort_func) {
+         string rv = prefix + "\n";
+         foreach (var kv in theos) {
+            var exp = kv.Key;
+            if (exp.expiration != exp_filter) {
+               continue;
+            }
+            var sorted = new List<T>(kv.Value);
+            sorted.Sort(sort_func);
+            foreach (var t in sorted) {
+               rv += "\n" + $"exp: {exp} {log_func(t)}";
+            }
+         }
+         Log.Gen.info(rv);
+      }
+
+      private void _log_vol_matrix(
+         IDictionary<VolSurfaceExpiration, IEnumerable<VolMatrix>> vols,
+         DateTime exp_filter) {
+         _log_data(vols, exp_filter, "InterpGreeks VolMatrix", (t) => t.log_string(),
+                  (t1, t2) => {
+                     var rv = t1.expiration.CompareTo(t2.expiration);
+                     if (rv == 0)
+                        rv = t1.strike.CompareTo(t2.strike);
+                     if (rv == 0)
+                        rv = t1.driver.CompareTo(t2.driver);
+                     return rv;
+                  });
+      }
+
+      private void _log_theos(
+         IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> theos,
+         DateTime exp_filter) {
+         _log_data(theos, exp_filter, "InterpGreeks Theos", (t) => t.log_string(),
+                  (t1, t2) => {
+                     var rv = t1.expiration.CompareTo(t2.expiration);
+                     if (rv == 0)
+                        rv = t1.strike.CompareTo(t2.strike);
+                     if (rv == 0)
+                        rv = t1.driver.CompareTo(t2.driver);
+                     return rv;
+                  });
+      }
+
+      private int _n_updates = 0;
+      private void _theo_producer_on_theos(
+            IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> exp_theo_map,
+            double vol_compute_time, double theo_compute_time) {
+         Log.Gen.info("SingleVolSurfaceInterpGreeksPublisher._theo_producer_on_theos " +
+                      $"vs_id: {_vs_id} n_updates: {++_n_updates} " +
+                      $"vol_compute_time: {vol_compute_time} " +
+                      $"theo_compute_time: {theo_compute_time}");
+         _logger.log_default(theo_compute_time);
+         _bb.post(SparkTags.VolSurfaceInterpGreeksTag(_vs_id), exp_theo_map);
+      }
+
+      private void _theo_producer_on_vols(
+         IDictionary<VolSurfaceExpiration, IEnumerable<mbts.analytics.VolMatrix>> exp_vol_map,
+         double vol_compute_time, double theo_compute_time) {
+         Log.Gen.info("SingleVolSurfaceInterpGreeksPublisher._theo_producer_on_vols " +
+                      $"vs_id: {_vs_id} vol_compute_time: {vol_compute_time} " +
+                      $"theo_compute_time: {theo_compute_time}");
+      }
+
+      #region IDisposable
+      public void Dispose() {
+         _bb.data_callback -= _on_bb_data;
+      }
+      #endregion
+   }
+}

src/client/spark/AW2/Bus/SingleVolSurfaceManager.cs

@@ -0,0 +1,74 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using bts.api.analytics;
+using bts.api;
+
+namespace mbts.spark {
+   public class SingleVolSurfaceManager : IDisposable {
+      private readonly int _vs_id;
+      private IEnumerable<IDisposable> _resources;
+      private readonly ThreadedBlackboard _bb;
+      private readonly AnalyticsService _analytics_service;
+      private ITag<bool> _vs_activation_tag;
+      private bool _activated = false;
+
+      public SingleVolSurfaceManager(int vs_id, ThreadedBlackboard t_bb,
+                                     AnalyticsService analytics_service) {
+         var tid = System.Threading.Thread.CurrentThread.ManagedThreadId;
+         bts.Log.Ui.info($"SingleVolSurfaceManager.cons vs_id:{vs_id} tid:{tid}");
+         _vs_id = vs_id;
+         _bb = t_bb;
+         _analytics_service = analytics_service;
+         _vs_activation_tag = SparkTags.VolSurfaceActiveUITag(vs_id);
+         _bb.subscribe(_vs_activation_tag);
+         _bb.data_callback += _on_data;
+      }
+
+      private void _spin_resources() {
+         bts.Log.Ui.info($"SingleVolSurfaceManager._spin_resources vs_id:{_vs_id}");
+         _resources = new IDisposable[]
+        {
+            new SingleVolSurfaceGateway(_vs_id, _bb, _analytics_service),
+            new SingleVolSurfaceTimeSource(_vs_id,_bb),
+            new SingleVolSurfaceDataSource(SingleVolSurfaceDataSource.SymbolListType.Combined,
+               _vs_id, _bb, syms => new SingleVolSurfaceNonVolDataSource(_vs_id, syms, _bb)),
+            new SingleVolSurfaceDataSource(SingleVolSurfaceDataSource.SymbolListType.Committed, _vs_id, _bb,
+               a_syms => new SingleVolSurfaceCommittedOutputRetriever(_vs_id, _bb, a_syms)),
+            new SingleVolSurfaceDataSource(SingleVolSurfaceDataSource.SymbolListType.Combined, _vs_id, _bb,
+               a_syms => new SingleVolSurfaceRequestCalculator(_vs_id, a_syms, _bb)),
+            new SingleVolSurfaceMarketImpliedVolSource(_vs_id, _bb),
+            // new SingleVolSurfaceTheoSource(_vs_id, _bb),
+            // TODO: suspending heatmaps for now (12/24/21)
+            // new SingleVolSurfaceHeatmapManager (vs_id, t_bb),
+            // server work that can optionally be done on the client
+            new SingleVolSurfaceDataSource (SingleVolSurfaceDataSource.SymbolListType.Committed, _vs_id, _bb,
+               a_syms => new SingleVolSurfaceInterpGreeksPublisher (_vs_id, _bb, a_syms)),
+        };
+      }
+
+      private void _on_data(object tag, object data) {
+         if (_vs_activation_tag.Equals(tag)) {
+            if (_activated) {
+               // TODO: not cleaning up recources
+               return;
+            }
+            bool is_activation_signal = data is Boolean && (Boolean)data;
+            if (is_activation_signal) {
+               _activated = true;
+               _spin_resources();
+            }
+         }
+      }
+
+      #region IDisposable
+      private bool _is_disposed = false;
+      public void Dispose() {
+         if (!_is_disposed) {
+            _is_disposed = true;
+            _resources.ToList().ForEach(d => d.Dispose());
+         }
+      }
+      #endregion
+   }
+}

src/client/spark/AW2/Bus/SingleVolSurfaceMarketImpliedVolSource.cs

@@ -0,0 +1,236 @@
+namespace mbts.spark {
+   using bts;
+   using bts.api;
+
+   using mbts;
+   using mbts.analytics;
+
+   using System;
+   using System.Collections.Generic;
+   using System.Linq;
+   using System.Collections;
+
+   /// This class publishes the market implied vols for the
+   /// selected expiration.
+   public class SingleVolSurfaceMarketImpliedVolSource : IDisposable {
+      // This keeps the last computed exp and its bbo
+      #region MD caching
+      private class CachedExpMD {
+         public SecurityExpiration exp = SecurityExpiration.empty;
+         public IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>> k_md_map =
+            new Dictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>>();
+         private bool _has_changed(
+               SecurityExpiration new_exp,
+               IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>> new_k_md_map) {
+            if (new_exp != exp) {
+               return true;
+            }
+            if (k_md_map.Count() != new_k_md_map.Count) {
+               return true;
+            }
+            foreach (var kv in k_md_map) {
+               Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit> k_md;
+               if (!new_k_md_map.TryGetValue(kv.Key, out k_md)) {
+                  return true;
+               }
+               if (!kv.Value.Item1.Equals(k_md.Item1) ||
+                   !kv.Value.Item2.Equals(k_md.Item2)) {
+                  return true;
+               }
+            }
+            return false;
+         }
+         public bool set(
+               SecurityExpiration new_exp,
+               IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>> new_k_md_map) {
+            bool has_changed = _has_changed(new_exp, new_k_md_map);
+            if (has_changed) {
+               exp = new_exp;
+               k_md_map = new_k_md_map;
+            }
+            return has_changed;
+         }
+      }
+      #endregion
+      private readonly int _vs_id;
+      private readonly ITag<IReadOnlyDictionary<uint, SecurityMD>> _in_bb_sec_map_tag;
+      private readonly ITag<mbts.analytics.VolSurfaceOutput> _in_bb_committed_output_tag;
+      private readonly ITag<VolSurfaceCalculationResponse> _in_bb_calc_resp_tag;
+      private readonly ITag<bool> _in_bb_inp_dirty_tag;
+      private readonly ITag<Tuple<VolSurfaceDisplayGridExpiration, bool>>
+         _in_bb_selected_exp_tag;
+      private readonly ITag<mbts.analytics.VolSurfaceEnums.MarketSide>
+         _in_bb_market_impliedvol_side_tag;
+      private readonly ITag<bool> _in_bb_ignore_market_implied_vol_source_settings_tag;
+      private CachedExpMD _cached_exp_md = new CachedExpMD();
+      private readonly ThreadedBlackboard _bb;
+      private readonly HighPerformanceTimer _timer = new HighPerformanceTimer();
+      private readonly PerfStatsLogger _logger = new PerfStatsLogger(50, 50);
+      private TimeSpan _compute_period = TimeSpan.FromMilliseconds(333);
+      private bool _is_dirty = true;
+
+      public SingleVolSurfaceMarketImpliedVolSource(int vs_id, ThreadedBlackboard bb) {
+         bts.Log.Gen.info($"SingleVolSurfaceMarketImpliedVolSource cons vs_id:{vs_id}");
+         _vs_id = vs_id;
+         _bb = bb;
+         _in_bb_sec_map_tag = SparkTags.SecuritiesTag;
+         _in_bb_committed_output_tag = SparkTags.VolSurfaceCommittedOutputTag(vs_id);
+         _in_bb_calc_resp_tag = SparkTags.VolSurfaceCalculationResponseTag(vs_id);
+         _in_bb_inp_dirty_tag = SparkTags.VolSurfaceDirtyStateTag(vs_id);
+         _in_bb_selected_exp_tag = SparkTags.VolSurfaceGridSelectionTag(_vs_id);
+         _in_bb_market_impliedvol_side_tag = SparkTags.VolSurfaceMarketImpliedVolSide(_vs_id);
+         _in_bb_ignore_market_implied_vol_source_settings_tag =
+            SparkTags.VolSurfaceIgnoreImpliedVolSettingsTag(vs_id);
+         _bb.subscribe(_in_bb_committed_output_tag);
+         _bb.subscribe(_in_bb_calc_resp_tag);
+         _bb.subscribe(_in_bb_inp_dirty_tag);
+         _bb.subscribe(_in_bb_selected_exp_tag);
+         _bb.subscribe(_in_bb_market_impliedvol_side_tag);
+         _bb.subscribe(_in_bb_ignore_market_implied_vol_source_settings_tag);
+         _bb.data_callback += _on_bb_data;
+         _bb.timer_callback += _on_bb_timer;
+      }
+
+      private void _on_bb_data(object tag, object data) {
+         if (tag != null)
+            if (_in_bb_committed_output_tag.Equals(tag) ||
+                _in_bb_calc_resp_tag.Equals(tag) ||
+               _in_bb_inp_dirty_tag.Equals(tag) || _in_bb_selected_exp_tag.Equals(tag) ||
+               _in_bb_market_impliedvol_side_tag.Equals(tag) ||
+                _in_bb_ignore_market_implied_vol_source_settings_tag.Equals(tag))
+               _is_dirty = true;
+      }
+
+      private void _check_bbo_change() {
+         var sc_data = _bb.read_state(SparkTags.SystemContractsTag);
+         Tuple<VolSurfaceDisplayGridExpiration, bool> sel_exp_tup =
+            _bb.read_state(_in_bb_selected_exp_tag);
+         if (sc_data == null || sel_exp_tup == null) {
+            return;
+         }
+         VolSurfaceExpiration new_sel_exp = sel_exp_tup.Item1.ToVSExp();
+         var new_md = sc_data.get_option_bbo_vsexp(new_sel_exp);
+         bool bbo_dirty = _cached_exp_md.set(new_md.Item1, new_md.Item2);
+         _is_dirty = _is_dirty || bbo_dirty;
+      }
+
+      private DateTime _last_publish_time = DateTime.MinValue;
+      private void _on_bb_timer() {
+         if (DateTime.Now - _last_publish_time >= _compute_period) {
+            _check_bbo_change();
+            if (_is_dirty)
+               _recompute_and_publish();
+            _is_dirty = false;
+            _last_publish_time = DateTime.Now;
+         }
+      }
+
+      private void _recompute_and_publish() {
+         Tuple<VolSurfaceDisplayGridExpiration, bool> sel_exp =
+            _bb.read_state(_in_bb_selected_exp_tag);
+         VolSurfaceOutput vs_output = _resolve_curr_cand();
+         if (vs_output != null && vs_output.volsurface_input != null &&
+            vs_output.aux_data_map != null &&
+            sel_exp != null && sel_exp.Item1 != null) {
+            var impliedvol_side = _get_market_impliedvol_side(_bb, _vs_id);
+            VolSurfaceExpiration orig_exp = new VolSurfaceExpiration() {
+               symbol = sel_exp.Item1.symbol,
+               expiration = sel_exp.Item1.expiration
+            };
+            _timer.start();
+            VolSurfaceExpiration md_exp;
+            VolCurveMarketImpliedVolData exp_impl_vol_map =
+               VolSurfaceCoreFunctions.compute_implied_vols(
+                  vs_output.volsurface_input,
+                  orig_exp, vs_output.aux_data_map,
+                  arg_exp => _get_bbo(arg_exp),
+                  impliedvol_side,
+                  _ignore_market_implied_vol_source_settings(_bb, _vs_id),
+                  out md_exp);
+            _timer.stop();
+            _logger.log("SingleVolSurfaceMarketImpliedVolSource",
+                        "SingleVolSurfaceMarketImpliedVolSource",
+                        _timer.lastIntervalTime);
+            if (exp_impl_vol_map is null) {
+               return;
+            }
+            bts.Log.Gen.info(
+               $"SingleVolSurfaceMarketImpliedVolSource._recompute_and_publish " +
+               exp_impl_vol_map.log_string());
+            _bb.post(SparkTags.VolSurfaceMarketImpliedVolTag(_vs_id),
+               new Dictionary<VolSurfaceExpiration,
+                              Tuple<VolSurfaceExpiration, VolCurveMarketImpliedVolData>>() {
+                  { orig_exp, Tuple.Create(md_exp, exp_impl_vol_map) }
+               });
+         }
+      }
+
+      // Returns the candidate or committed VolSurface depending
+      private VolSurfaceOutput _resolve_curr_cand() {
+         bool is_dirty = _bb.read_state(_in_bb_inp_dirty_tag, false);
+         if (is_dirty) {
+            VolSurfaceCalculationResponse vs_resp = _bb.read_state(_in_bb_calc_resp_tag);
+            return vs_resp != null ? vs_resp.volsurface_calculation_output : null;
+         } else
+            return _bb.read_state(_in_bb_committed_output_tag);
+      }
+
+      private IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>>
+      _get_bbo(VolSurfaceExpiration vs_exp) {
+         return get_option_bbo(_bb, vs_exp);
+      }
+
+      private static bool _normalize_bbo = true;
+      #region Static helpers
+
+      // for some markets (crypto ie), the options prices are not in
+      // the same terms as strikes, ie strikes are in USD whereras the
+      // option prices are in BTC
+      internal static double get_option_price_mult(
+                                                ThreadedBlackboard bb,
+                                                VolSurfaceExpiration option_exp) {
+         var driver_map = bb.read_state(SparkTags.AllOptionDriverBBOTag);
+         if (driver_map != null &&
+            driver_map.TryGetValue(option_exp.symbol, out var sym_map)) {
+            var vs_md = sym_map.get_driver_md(option_exp.expiration);
+            return vs_md.get_driver();
+         }
+         return Double.NaN;
+      }
+      internal static
+      IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>>
+      get_option_bbo(ThreadedBlackboard bb, VolSurfaceExpiration vs_exp) {
+         var sc_data = bb.read_state(SparkTags.SystemContractsTag);
+         IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>> rv =
+            sc_data.get_option_bbo_vsexp(vs_exp).Item2;
+         double mult = get_option_price_mult(bb, vs_exp);
+         if (_normalize_bbo)
+            return rv.ToDictionary(kv => kv.Key, kv =>
+              Tuple.Create(kv.Value.Item1.mult_price(mult),
+                           kv.Value.Item2.mult_price(mult)));
+         return rv;
+      }
+
+      internal static bool _ignore_market_implied_vol_source_settings(
+            ThreadedBlackboard bb, int vs_id) {
+         return bb.read_state(
+            SparkTags.VolSurfaceIgnoreImpliedVolSettingsTag(vs_id), false);
+      }
+
+      internal static VolSurfaceEnums.MarketSide
+      _get_market_impliedvol_side(ThreadedBlackboard bb, int vs_id) {
+         return bb.read_state(
+            SparkTags.VolSurfaceMarketImpliedVolSide(vs_id),
+            VolSurfaceEnums.MarketSide.Mid);
+      }
+
+      #endregion
+
+      #region IDisposable
+      public void Dispose() {
+         _bb.data_callback -= _on_bb_data;
+         _bb.timer_callback -= _on_bb_timer;
+      }
+      #endregion
+   }
+}

src/client/spark/AW2/Bus/SingleVolSurfaceNonVolDataSource.cs

@@ -0,0 +1,91 @@
+using System;
+using System.Collections.Generic;
+
+using mbts.analytics;
+using bts.api;
+using System.Linq;
+
+namespace mbts.spark {
+   // f (SystemContractData, 
+   //    VolSurfaceNonVolInput, 
+   //    IDictionary<mbts.analytics.VolSurfaceExpiration, double>) -> VolSurfaceNonVolData
+   // Subs :
+   // 1. Securities (SystemContractsTag)
+   // 2. NonVolInput (VolSurfaceNonVolInputTag)
+   // 3. Driver prices (VolSurfaceOptionDriverTag)
+   // Publishes :
+   // 1. VolSurfaceNonVolData which is simply a union of the 3 inputs
+   // 2. VolSurfaceStrikeMap
+   public class SingleVolSurfaceNonVolDataSource : IDisposable {
+      private readonly int _vs_id;
+      private readonly IEnumerable<string> _option_symbols;
+      private readonly ThreadedBlackboard _bb;
+      private readonly ITag<SystemContractData> _in_bb_contract_data_tag;
+      private readonly ITag<VolSurfaceNonVolInput> _in_bb_vs_nonvol_input_tag;
+      private readonly ITag<IReadOnlyDictionary<string, OptionDriverPriceMap>> _in_bb_all_driver_price_tag;
+      private readonly ITag<mbts.analytics.VolSurfaceNonVolData> _out_bb_vs_nonvol_data_tag;
+      private readonly ITag<mbts.analytics.VolSurfaceStrikeMap> _out_bb_vs_contracts_tag;
+
+      public SingleVolSurfaceNonVolDataSource(int vs_id, IEnumerable<string> option_symbols,
+            ThreadedBlackboard bb) {
+         bts.Log.Gen.info($"SingleVolSurfaceNonVolDataSource vs_id:{vs_id}");
+         _vs_id = vs_id;
+         _option_symbols = option_symbols;
+         _bb = bb;
+         _in_bb_contract_data_tag = SparkTags.SystemContractsTag;
+         _in_bb_vs_nonvol_input_tag = SparkTags.VolSurfaceNonVolInputTag;
+         _in_bb_all_driver_price_tag = SparkTags.AllOptionDriverBBOTag;
+         _out_bb_vs_nonvol_data_tag = SparkTags.VolSurfaceNonVolDataTag(vs_id);
+         _out_bb_vs_contracts_tag = SparkTags.VolSurfaceContractsTag(vs_id);
+         _bb.subscribe(_in_bb_contract_data_tag);
+         _bb.subscribe(_in_bb_vs_nonvol_input_tag);
+         _bb.subscribe(_in_bb_all_driver_price_tag);
+         _bb.data_callback += _on_bb_data;
+         _init();
+      }
+
+      private void _init() {
+         _publish_vs_strike_map();
+         _recompute_and_fire();
+      }
+
+      private void _publish_vs_strike_map() {
+         SystemContractData sc_data = _bb.read_state(_in_bb_contract_data_tag);
+         if (sc_data != null) {
+            var k_map = new VolSurfaceStrikeMap(_option_symbols, sc_data);
+            bts.Log.Gen.info($"SingleVolSurfaceNonVolDataSource vs_id:{_vs_id} " +
+                              "publishing strike_map sz:{k_map.strike_map.Count()}");
+            _bb.post(_out_bb_vs_contracts_tag, new VolSurfaceStrikeMap(_option_symbols, sc_data));
+         }
+      }
+
+      private void _on_bb_data(object tag, object data) {
+         if (_in_bb_contract_data_tag.Equals(tag)) {
+            _publish_vs_strike_map();
+            _recompute_and_fire();
+         } else if (_in_bb_vs_nonvol_input_tag.Equals(tag) ||
+                    _in_bb_all_driver_price_tag.Equals(tag))
+            _recompute_and_fire();
+      }
+
+      private void _recompute_and_fire() {
+         SystemContractData sc_data = _bb.read_state(_in_bb_contract_data_tag);
+         VolSurfaceNonVolInput vs_nonvol_input = _bb.read_state(_in_bb_vs_nonvol_input_tag);
+         var all_sym_price_map = _bb.read_state(_in_bb_all_driver_price_tag);
+         var exp_price_map = OptionDriverPriceMap.get_vs_price_map(
+            all_sym_price_map, (s) => _option_symbols.Contains(s));
+         if (sc_data != null && vs_nonvol_input != null && exp_price_map != null) {
+            bts.Log.Gen.info($"SingleVolSurfaceNonVolDataSource vs_id:{_vs_id} " +
+                              "publishing VolSurfaceNonVolData");
+            _bb.post(_out_bb_vs_nonvol_data_tag,
+                     new VolSurfaceNonVolData(
+                        vs_nonvol_input, exp_price_map,
+                        new VolSurfaceStrikeMap(_option_symbols, sc_data).strike_map));
+         }
+      }
+
+      #region IDisposable
+      public void Dispose() { _bb.data_callback -= _on_bb_data; }
+      #endregion
+   }
+}

src/client/spark/AW2/Bus/SingleVolSurfaceRequestCalculator.cs

@@ -0,0 +1,168 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+using bts.api;
+
+using mbts.analytics;
+
+namespace mbts.spark {
+   // All local changes to the VolSurface that trigger calculations
+   // are handled here.
+   // Subs :
+   // 1. VS Calc Req
+   // 2. VS Nonvol Data
+   // 3. Dirty   
+   // Pubs :
+   // 1. Calc Resp
+   public class SingleVolSurfaceRequestCalculator : IDisposable {
+      private readonly int _vs_id;
+      private readonly HashSet<string> _symbols;
+      private readonly ThreadedBlackboard _bb;
+      private readonly ITag<VolSurfaceCalculationRequest> _in_bb_request_tag;
+      private readonly ITag<VolSurfaceNonVolData> _in_bb_nonvol_data_tag;
+      private readonly ITag<VolSurfaceStandardTime> _in_bb_vs_standard_time_tag;
+      private readonly ITag<VolSurfaceEnums.MarketSide> _in_bb_market_impliedvol_side_tag;
+      private readonly ITag<bool> _in_bb_dirty_tag;
+      private HighPerformanceTimer _timer = new HighPerformanceTimer();
+      /// data
+      private VolSurfaceOutput _last_output;
+
+      public SingleVolSurfaceRequestCalculator(int vs_id, IEnumerable<string> symbols,
+                                               ThreadedBlackboard threaded_bb) {
+         bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator cons vs_id:{vs_id}");
+         _vs_id = vs_id;
+         _symbols = new HashSet<string>(symbols);
+         _bb = threaded_bb;
+         _in_bb_request_tag = SparkTags.VolSurfaceCalculationRequestTag(vs_id);
+         _in_bb_nonvol_data_tag = SparkTags.VolSurfaceNonVolDataTag(vs_id);
+         _in_bb_vs_standard_time_tag = SparkTags.VolSurfaceStandardTimeTag(vs_id);
+         _in_bb_market_impliedvol_side_tag = SparkTags.VolSurfaceMarketImpliedVolSide(vs_id);
+         _in_bb_dirty_tag = SparkTags.VolSurfaceDirtyStateTag(vs_id);
+         _bb.subscribe(_in_bb_request_tag);
+         _bb.subscribe(_in_bb_nonvol_data_tag);
+         _bb.subscribe(_in_bb_vs_standard_time_tag);
+         _bb.subscribe(_in_bb_vs_standard_time_tag);
+         _bb.subscribe(_in_bb_dirty_tag);
+         _bb.data_callback += _on_bb_data;
+         _recompute_and_publish(true);
+      }
+
+      private void _on_bb_data(object tag, object data) {
+         if (_in_bb_request_tag.Equals(tag) || _in_bb_dirty_tag.Equals(tag))
+            _recompute_and_publish(true);
+         else if (_in_bb_nonvol_data_tag.Equals(tag) || _in_bb_vs_standard_time_tag.Equals(tag))
+            _recompute_and_publish(false);
+
+      }
+
+      private void _recompute_and_publish(bool is_new_request) {
+         bool is_dirty = _bb.read_state(_in_bb_dirty_tag, false);
+         VolSurfaceNonVolData nonvol_data = _bb.read_state(_in_bb_nonvol_data_tag);
+         VolSurfaceStandardTime vs_standard_time = _bb.read_state(_in_bb_vs_standard_time_tag);
+         if (is_dirty && nonvol_data != null) {
+            _timer.start();
+            VolSurfaceCalculationRequest curr_req = _bb.read_state(_in_bb_request_tag),
+                                         effective_req = null;
+            if (is_new_request)
+               effective_req = curr_req;
+            else {
+               if (_last_output != null)
+                  effective_req =
+                     new VolSurfaceCalculationRequest(_last_output.volsurface_input, curr_req.request_id);
+            }
+            if (effective_req != null) {
+               IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map =
+                  VolSurfaceUtilityFunctions.compute_aux_data(effective_req.volsurface_input,
+                                                              nonvol_data.input,
+                                                              nonvol_data.driver_price_map,
+                                                              vs_standard_time, true);
+               IDictionary<VolSurfaceExpiration, VolCurveAction> action_map =
+                  _post_process_action(effective_req, aux_data_map);
+               _last_output = GeneralVolSurfaceCalculator.compute(effective_req.volsurface_input,
+                                                                  nonvol_data.contracts,
+                                                                  aux_data_map,
+                                                                  action_map,
+                                                                  null,
+                                                                  effective_req.cascade_up,
+                                                                  effective_req.cascade_down);
+               _timer.stop();
+               bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator._recompute_and_publish time:" +
+                                $"{_timer.lastIntervalTime} vs_output:{_last_output.log_string()}");
+               _bb.post(SparkTags.VolSurfaceCalculationResponseTag(_vs_id),
+                        new VolSurfaceCalculationResponse(_last_output, effective_req.request_id));
+            }
+         }
+      }
+
+      /// Computes the impl vol if the action is fit to market
+      private IDictionary<VolSurfaceExpiration, VolCurveAction> _post_process_action(
+         VolSurfaceCalculationRequest req,
+         IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map) {
+         IDictionary<VolSurfaceExpiration, VolCurveAction> rv = req.action_map;
+         /// TODO : VolCurveAction needs to be structured better. The UI enforces that
+         /// all exps have the same action, but the structure doesnt. So here the UI
+         /// constraint is flowing in
+         if (rv != null && rv.Count > 0) {
+            VolCurveAction rep_action = rv.ElementAt(0).Value;
+            if (rep_action.action_type == VolCurveAction.ActionType.FitToMarket) {
+               IDictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData> impl_vol_map =
+                  _fill_in_implied_vols(req.volsurface_input, req.action_map, aux_data_map,
+                                       req.cascade_up, req.cascade_down);
+               rv = impl_vol_map.ToDictionary(kv => kv.Key, kv => new VolCurveAction(
+                  new VolCurveMarketFitAction(rep_action.market_fit_action.fit_action, kv.Value,
+                                             rep_action.market_fit_action.use_weighted_regression)));
+            }
+         }
+         return rv;
+      }
+
+      private IDictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData> _fill_in_implied_vols(
+            VolSurfaceInput vs_inp,
+            IDictionary<VolSurfaceExpiration, VolCurveAction> action_map,
+            IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map,
+            bool cascade_up, bool cascade_down) {
+         IDictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData> rv =
+            new Dictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData>();
+         VolCurveAction rep_action = action_map.ElementAt(0).Value;
+         HashSet<VolSurfaceExpiration> master_exps =
+            VolSurfaceUtilityFunctions.get_master_expirations(vs_inp, true);
+         IEnumerable<VolSurfaceExpiration> applicable_exps;
+         if (cascade_up || cascade_down)
+            applicable_exps =
+               VolSurfaceUtilityFunctions.get_exp_list_from_cascade(
+                  vs_inp.surface_parameters.curve_parameters_map.Select(t => t.Item1),
+                  action_map.Keys, cascade_up, cascade_down);
+         else
+            applicable_exps = action_map.Keys;
+         applicable_exps = applicable_exps.Where(vs_exp => master_exps.Contains(vs_exp));
+
+         VolSurfaceEnums.MarketSide impliedvol_side =
+            SingleVolSurfaceMarketImpliedVolSource._get_market_impliedvol_side(_bb, _vs_id);
+         foreach (VolSurfaceExpiration vs_exp in applicable_exps) {
+            VolSurfaceExpiration md_exp;
+            VolCurveMarketImpliedVolData exp_impl_data =
+               VolSurfaceCoreFunctions.compute_implied_vols(vs_inp, vs_exp, aux_data_map,
+                  arg_vs_exp => SingleVolSurfaceMarketImpliedVolSource.get_option_bbo(_bb, arg_vs_exp),
+                  impliedvol_side,
+                  SingleVolSurfaceMarketImpliedVolSource._ignore_market_implied_vol_source_settings(
+                     _bb, _vs_id),
+                  out md_exp);
+            rv[vs_exp] = exp_impl_data;
+         }
+         return rv;
+      }
+
+      #region IDisposable
+      private bool _disposed = false;
+      public void Dispose() {
+         if (!_disposed) {
+            _disposed = true;
+            _bb.data_callback -= _on_bb_data;
+         }
+      }
+      #endregion
+   }
+}

src/client/spark/AW2/Bus/SingleVolSurfaceTheoSource.cs

@@ -0,0 +1,245 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using mbts.analytics;
+using bts;
+using bts.api;
+using bts.api.analytics;
+
+namespace mbts.spark {
+   // Publishes the committed and candidate greeks in the
+   // form of VolSurfaceTheoData
+   // (this was the data that was published in the winform syncfusion grid,
+   // with the candidate/committed next to each other)
+   // Subs :
+   // 1. Comm Vol Output
+   // 2. Cand Calc Response
+   // 3. Is Dirty (ie a pending change?)
+   // 4. Detailed Window State
+   // Pubs :
+   // 1. VolSurfaceTheoData (cand and comm theos)
+   public class SingleVolSurfaceTheoSource : IDisposable {
+      private readonly int _vs_id;
+      private readonly ThreadedBlackboard _bb;
+      private readonly ITag<VolSurfaceOutput> _in_committed_vol_output_tag;
+      private readonly ITag<VolSurfaceCalculationResponse> _in_candidate_vol_output_tag;
+      private readonly ITag<bool> _in_input_dirty_tag;
+      private readonly ITag<bool> _in_window_state_tag;
+      private readonly HighPerformanceTimer _timer = new HighPerformanceTimer();
+      private bool _is_dirty = true;
+      private static readonly IDictionary<VolSurfaceExpiration, IEnumerable<Theos>>
+       _empty_theos = new Dictionary<VolSurfaceExpiration, IEnumerable<Theos>>();
+      private VolSurfaceTheoData _last_data =
+         new VolSurfaceTheoData(new Dictionary<VolSurfaceExpiration, HashSet<double>>(),
+                                 _empty_theos, _empty_theos, false);
+      private uint _n_comps = 0;
+
+      public SingleVolSurfaceTheoSource(int vs_id, ThreadedBlackboard threaded_bb) {
+         bts.Log.Gen.info($"SingleVolSurfaceTheoSource cons vs_id:{vs_id}");
+         _vs_id = vs_id;
+         _bb = threaded_bb;
+         _in_committed_vol_output_tag = SparkTags.VolSurfaceCommittedOutputTag(_vs_id);
+         _in_candidate_vol_output_tag = SparkTags.VolSurfaceCalculationResponseTag(_vs_id);
+         _in_input_dirty_tag = SparkTags.VolSurfaceDirtyStateTag(_vs_id);
+         _in_window_state_tag = SparkTags.VolSurfaceTheoWindowStateTag(_vs_id);
+         _bb.subscribe(_in_committed_vol_output_tag);
+         _bb.subscribe(_in_candidate_vol_output_tag);
+         _bb.subscribe(_in_input_dirty_tag);
+         _bb.subscribe(_in_window_state_tag);
+         _bb.data_callback += _on_data;
+         _bb.timer_callback += _on_timer;
+         // (TODO) forcing computing of theos by publishing an 
+         // active theos window tag, remove it
+         _bb.post(_in_window_state_tag, true);
+      }
+
+      #region Blackboard
+      private void _on_data(object tag, object data) {
+         if (_in_candidate_vol_output_tag.Equals(tag) ||
+             _in_committed_vol_output_tag.Equals(tag) ||
+             _in_input_dirty_tag.Equals(tag) || _in_window_state_tag.Equals(tag)) {
+            _is_dirty = true;
+         }
+      }
+
+      private void _on_timer() {
+         if (_is_dirty) {
+            // publishes new values when there is an
+            // 1. theos window up
+            // 2. waiting candidate change
+            _compute_and_publish(_is_active_candidate(), _is_active_theos_window());
+            _is_dirty = false;
+         }
+      }
+      #endregion
+
+      private void _compute_and_publish(bool is_active_candidate,
+                                        bool is_active_theos_window) {
+         VolSurfaceCalculationResponse calc_resp =
+            _bb.read_state(_in_candidate_vol_output_tag);
+         VolSurfaceOutput candidate_output =
+            calc_resp != null ? calc_resp.volsurface_calculation_output : null,
+            committed_output = _bb.read_state(_in_committed_vol_output_tag);
+         IDictionary<VolSurfaceExpiration, HashSet<double>> secs =
+            _get_securities(committed_output, candidate_output);
+         IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> comm_theo_map =
+            _empty_theos, cand_theo_map = _empty_theos;
+         if (is_active_theos_window) {
+            comm_theo_map = _compute_theos(committed_output, secs);
+            if (is_active_candidate)
+               cand_theo_map = _compute_theos(candidate_output, secs);
+         } else {
+            if (is_active_candidate)
+               cand_theo_map = _compute_theos(candidate_output, secs);
+         }
+         var new_data = new VolSurfaceTheoData(secs, comm_theo_map,
+            cand_theo_map, is_active_candidate);
+         if (_is_valid_update(new_data))
+            _bb.post(SparkTags.VolSurfaceTheoOutputTag(_vs_id), new_data);
+      }
+
+      private bool _is_valid_update(VolSurfaceTheoData new_data) {
+         bool is_spurious = _last_data.committed_theo_map.Count == 0 &&
+                            _last_data.candidate_theo_map.Count == 0 &&
+                            new_data.committed_theo_map.Count == 0 &&
+                            new_data.candidate_theo_map.Count == 0;
+         _last_data = new_data;
+         return !is_spurious;
+      }
+
+      private IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> _compute_theos(
+         VolSurfaceOutput vs_output,
+         IDictionary<VolSurfaceExpiration, HashSet<double>> exp_strikes) {
+         if (vs_output != null) {
+            _timer.start();
+            var exp_volmat_map = VolSurfaceVolMatrixCalculator.generate_volmatrix(
+                  vs_output.volsurface_input,
+                  exp_strikes.ToDictionary(kv => kv.Key,
+                                           kv => kv.Value as IEnumerable<double>),
+                  vs_output.aux_data_map,
+                  new double[] { 0.0 }, false, true, false, false, false);
+            _timer.stop();
+            _n_comps++;
+            Log.Gen.info($"SingleVolSurfaceTheoSource._compute_theos vs_id:{_vs_id} " +
+                         $"vol time:{ _timer.lastIntervalTime} msecs n_comps: {_n_comps}");
+            _timer.start();
+            var theo_map = VolSurfaceTheoCalculator.compute_standard_greeks(
+               vs_output.volsurface_input.surface_settings, exp_volmat_map, true);
+            _timer.stop();
+            Log.Gen.info($"SingleVolSurfaceTheoSource._compute_theos vs_id:{_vs_id} " +
+                         $"theo time:{ _timer.lastIntervalTime} msecs n_comps: {_n_comps}");
+            return theo_map;
+         }
+         return new Dictionary<VolSurfaceExpiration, IEnumerable<Theos>>();
+      }
+
+      // plucks the data off the bus, computes the theos and returns it
+      public static IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> compute_cand_theos(
+         int vs_id, ThreadedBlackboard bb) {
+         VolSurfaceCalculationResponse calc_resp =
+            bb.read_state(SparkTags.VolSurfaceCalculationResponseTag(vs_id));
+         VolSurfaceOutput vs_output =
+            calc_resp != null ? calc_resp.volsurface_calculation_output : null;
+         IDictionary<VolSurfaceExpiration, HashSet<double>> exp_strikes =
+              VolSurfaceUtilityFunctions.get_contracts(vs_output);
+         if (vs_output != null && exp_strikes != null) {
+            var exp_volmat_map = VolSurfaceVolMatrixCalculator.generate_volmatrix(
+                  vs_output.volsurface_input,
+                  exp_strikes.ToDictionary(kv => kv.Key,
+                                           kv => kv.Value as IEnumerable<double>),
+                  vs_output.aux_data_map,
+                  new double[] { 0.0 }, false, true, false, false, false);
+            var theo_map = VolSurfaceTheoCalculator.compute_standard_greeks(
+               vs_output.volsurface_input.surface_settings, exp_volmat_map, true);
+            return theo_map;
+         }
+         return new Dictionary<VolSurfaceExpiration, IEnumerable<Theos>>();
+      }
+
+      public static IEnumerable<bts.api.SecurityTuple> get_vs_sectups(
+         int vs_id, ThreadedBlackboard bb) {
+         VolSurfaceUsageListImmutable vs_usage_list = bb.read_state(SparkTags.VolSurfaceUsageTag);
+         return vs_usage_list.get_sectups(vs_id);
+      }
+
+
+      // old -> new transformation, this is slow ! transforms data from one
+      // form to another
+      public static ArchivedTheoList
+         convert_to_id_map(IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> theos,
+                           SystemContractData sc_data) {
+         Func<Theos, PutOrCall, uint, ArchivedSecurityTheo> mk_theo = (t, cp, id) => {
+            ArchivedSecurityTheo rv = new ArchivedSecurityTheo();
+            rv.Id = id;
+            rv.Driver = t.driver;
+            rv.Vol = t.vol;
+            if (cp == PutOrCall.Call) {
+               rv.Theo = t.call;
+               rv.Theo = t.cdelta;
+            } else {
+               rv.Theo = t.put;
+               rv.Theo = t.pdelta;
+            }
+            return rv;
+         };
+         Func<string, DateTime, double, Tuple<uint?, uint?>> get_id = (s, e, k) => {
+            foreach (Venue v in Enum.GetValues(typeof(Venue))) {
+               var rv = sc_data.get_option_sec_id(v, s, e, k);
+               if (rv != null)
+                  return rv;
+            }
+            return null;
+         };
+         var rv = new List<ArchivedSecurityTheo>();
+         foreach (var exp_kv in theos) {
+            var exp = exp_kv.Key;
+            foreach (var t in exp_kv.Value) {
+               var strike = t.strike;
+               var cp_id = get_id(exp.symbol, exp.expiration, strike);
+               if (cp_id != null) {
+                  if (cp_id.Item1.HasValue) {
+                     var c_theo = mk_theo(t, PutOrCall.Call, cp_id.Item1.Value);
+                     rv.Add(c_theo);
+                  }
+                  if (cp_id.Item2.HasValue) {
+                     var p_theo = mk_theo(t, PutOrCall.Call, cp_id.Item2.Value);
+                     rv.Add(p_theo);
+                  }
+               }
+            }
+         }
+         ArchivedTheoList rv_list = new ArchivedTheoList();
+         rv_list.SecTheo.AddRange(rv);
+         return rv_list;
+      }
+
+      private IDictionary<VolSurfaceExpiration, HashSet<double>> _get_securities(
+         VolSurfaceOutput commited_output, VolSurfaceOutput candidate_output) {
+         if (candidate_output != null)
+            /// candidate output wins if its active
+            return VolSurfaceUtilityFunctions.get_contracts(candidate_output);
+         else if (commited_output != null)
+            return VolSurfaceUtilityFunctions.get_contracts(commited_output);
+         else
+            return new Dictionary<VolSurfaceExpiration, HashSet<double>>();
+      }
+
+      /// If the details window is not active, the calculations are suspended
+      private bool _is_active_theos_window() {
+         return _bb.read_state(_in_window_state_tag, false);
+      }
+
+      private bool _is_active_candidate() {
+         return _bb.read_state(_in_input_dirty_tag, false);
+      }
+
+      #region IDisposable
+      public void Dispose() {
+         _bb.data_callback -= _on_data;
+         _bb.timer_callback -= _on_timer;
+      }
+      #endregion
+   }
+}

src/client/spark/AW2/Bus/SingleVolSurfaceTimeSource.cs

@@ -0,0 +1,34 @@
+using System;
+
+using mbts.analytics;
+
+namespace mbts.spark {
+   public class SingleVolSurfaceTimeSource : IDisposable {
+      private readonly int _vs_id;
+      private readonly ThreadedBlackboard _bb;
+      private readonly TimeSpan _publish_period = TimeSpan.FromMinutes(VolSurfaceConstants.vol_time_sample_mins);
+      private DateTime _last_publish_time = DateTime.MinValue;
+
+      public SingleVolSurfaceTimeSource(int vs_id, ThreadedBlackboard bb) {
+         bts.Log.Gen.info($"SingleVolSurfaceTimeSource cons vs_id:{vs_id}");
+         _vs_id = vs_id;
+         _bb = bb;
+         _bb.timer_callback += _on_timer;
+      }
+
+      private void _on_timer() {
+         if (DateTime.Now - _last_publish_time >= _publish_period) {
+            _last_publish_time = DateTime.Now;
+            VolSurfaceStandardTime time = VolSurfaceStandardTime.get_local_default();
+            bts.Log.Gen.info($"SingleVolSurfaceTimeSource vs_id:{_vs_id} posting time:{time.ToString()}");
+            _bb.post(SparkTags.VolSurfaceStandardTimeTag(_vs_id), time);
+         }
+      }
+
+      #region IDisposable
+      public void Dispose() {
+         _bb.timer_callback -= _on_timer;
+      }
+      #endregion
+   }
+}

src/client/spark/AW2/Bus/SymbolAggregationPublisher.cs

@@ -0,0 +1,86 @@
+using mbts.spark;
+
+using System;
+using System.Collections.Generic;
+using bts.api;
+using System.Linq;
+
+namespace mbts.analytics {
+
+   // Thin class that assembles all symbol based data published on different
+   // tags,  into IReadOnlyDictionary of symbol vs data publsihed under one tag
+   public class SymbolAggregationPublisher<TData> : IDisposable {
+      private readonly ThreadedBlackboard _bb;
+      private readonly ITag<SystemContractData> _sc_data_tag;
+      Func<string, ITag<TData>> _get_tag;
+      ITag<IReadOnlyDictionary<string, TData>> _out_tag;
+      private Dictionary<string, ITag<TData>> _tag_map =
+         new Dictionary<string, ITag<TData>>();
+      private HashSet<object> _obj_tags = new HashSet<object>();
+      private bool _dirty = true;
+      public SymbolAggregationPublisher(
+                              ThreadedBlackboard bb,
+                              Func<string, ITag<TData>> get_tag,
+                              ITag<IReadOnlyDictionary<string, TData>> out_tag) {
+         _bb = bb;
+         _get_tag = get_tag;
+         _out_tag = out_tag;
+         _sc_data_tag = SparkTags.SystemContractsTag;
+         _bb.subscribe(SparkTags.SystemContractsTag);
+         _bb.data_callback += _on_bb_data;
+         _bb.timer_callback += _on_timer;
+         _handle_sc_data();
+      }
+
+      private void _on_bb_data(object tag, object data) {
+         if (_sc_data_tag.Equals(tag)) {
+            _handle_sc_data();
+         } else {
+            if (_obj_tags.Contains(tag)) {
+               _dirty = true;
+            }
+         }
+      }
+
+      private void _handle_sc_data() {
+         var sc_data = _bb.read_state(_sc_data_tag);
+         if (sc_data == null) {
+            return;
+         }
+         foreach (var st in sc_data.sectup_map) {
+            // this is not correct since it is assuming symbol/name is 
+            // unique across securty_tuples
+            string symbol = st.security_name;
+            if (!_tag_map.ContainsKey(symbol)) {
+               var symbol_tag = _get_tag(symbol);
+               _tag_map.Add(symbol, symbol_tag);
+               _obj_tags.Add(symbol_tag);
+               _bb.subscribe(symbol_tag);
+               _dirty = true;
+            }
+         }
+      }
+
+      private void _on_timer() {
+         if (_dirty) {
+            _dirty = false;
+            Dictionary<string, TData> output = new Dictionary<string, TData>();
+            foreach (var kv in _tag_map) {
+               var symbol = kv.Key;
+               var symbol_tag = kv.Value;
+               TData symbol_data = _bb.read_state(symbol_tag);
+               output.Add(symbol, symbol_data);
+            }
+            IReadOnlyDictionary<string, TData> ro_output = output;
+            bts.Log.Gen.info($"SymbolAggregationPublisher._on_timer publishing " +
+                             $"tag: {_out_tag} sz: {ro_output.Count}");
+            _bb.post(_out_tag, ro_output);
+         }
+      }
+
+      public void Dispose() {
+         _bb.data_callback -= _on_bb_data;
+         _bb.timer_callback -= _on_timer;
+      }
+   }
+}

src/client/spark/AW2/Bus/VolSurfaceBlackboardManager.cs

@@ -0,0 +1,257 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using System.Threading;
+using mbts.analytics;
+using bts.api;
+using bts;
+using bts.api.analytics;
+using bts.api.core;
+using bts.api.position;
+using mbts;
+using System.Reactive.Linq;
+using System.Collections;
+using mbts.spark;
+using System.DirectoryServices.ActiveDirectory;
+// using mbts.bb;
+
+namespace mbts.spark {
+   internal class ResourceAllocator : IDisposable {
+      private List<IDisposable> _disps = new List<IDisposable>();
+      private Dictionary<SecurityTuple, SingleOptionDriverPricePublisher> _option_driver_map =
+         new Dictionary<SecurityTuple, SingleOptionDriverPricePublisher>();
+      ThreadedBlackboard _bb;
+      public ResourceAllocator(IBus bus, ThreadedBlackboard bb) {
+         bts.Log.Gen.info("ResourceAllocator started");
+         _bb = bb;
+         var s = bus.subscribe(SparkTags.SystemContractsTag).OnDispatcher().Subscribe(_on_data);
+         _disps.Add(s);
+      }
+      private void _on_data(SystemContractData d) {
+         bts.Log.Gen.info(String.Format("ResourceAllocator._on_data sz: {0}", d.sec_md_map.Count()));
+         foreach (SecurityTuple sec_tup in d.get_options()) {
+            if (!_option_driver_map.ContainsKey(sec_tup)) {
+               bts.Log.Gen.info($"ResourceAllocator._on_data allocating SingleOptionDriverPricePublisher for '{sec_tup}'");
+               _option_driver_map.Add(sec_tup, new SingleOptionDriverPricePublisher(sec_tup, _bb));
+            }
+         }
+      }
+      public void Dispose() {
+         _disps.ForEach(d => d.Dispose());
+      }
+   }
+   // This is the anologous to the QuoteSetBlackboardManager. There
+   // is only instance of this per running app and it does the folliwing
+   // 1. Publishes
+   //  - SystemContractsData 
+   //  - Vol Surface symbol usage tag (VolSurfaceUsageTag)
+   //  - Vol Surface List tag (VolSurfaceListTag)
+   //  - Vol Surface Non Vol Input (config + exp_params) (VolSurfaceNonVolInputTag)
+   //  - Activation Tag for newly created VS's (VolSurfaceActivationTag) (retired)
+   // 2. Listens to the activation tag (also published by the UI) and
+   //    creates the SingleVolSurfaceManager for the VS   
+   public class VolSurfaceBusManager : IDisposable {
+      private ThreadedBlackboard _bb;
+      private bts.api.analytics.AnalyticsService _analytics_service;
+      // in tags
+      private readonly ITag<SystemContractData> _in_scdata_tag =
+         SparkTags.SystemContractsTag;
+      private readonly ITag<VolSurfaceSettings> _in_bb_create_tag = SparkTags.VolSurfaceCreateTag;
+      private readonly ITag<int> _in_bb_delete_tag = SparkTags.VolSurfaceDeleteTag;
+      private readonly ITag<AnalyticsExpirationParametersMap> _in_bb_exp_params_tag =
+         SparkTags.ExpirationParametersInputTag;
+      private readonly ITag<ClientArchivedVolRequest> _in_bb_req_vol = SparkTags.RequestArchivedVols;
+      // state
+      private SystemContractData _contract_data = null;
+      private IDictionary<int, SingleVolSurfaceManager> _vs_manager_map =
+         new Dictionary<int, SingleVolSurfaceManager>();
+      private Queue<mbts.analytics.VolSurfaceSettings> _waiting_creations =
+         new Queue<mbts.analytics.VolSurfaceSettings>();
+      private bts.api.IBus _bus;
+      private List<IDisposable> _subs = new List<IDisposable>();
+      private HighPerformanceTimer _timer = new HighPerformanceTimer();
+
+      public VolSurfaceBusManager(bts.api.IBus bus,
+                                         bts.api.analytics.AnalyticsService analytics_service) {
+         bts.Log.Ui.info("VSBusManager cons tid:{VolSurfaceTroubleshootingFunctions.tid()}");
+         _bus = bus;
+         _bb = new ThreadedBlackboard(bus);
+         _analytics_service = analytics_service;
+         // subs to bb
+         _bb.subscribe(_in_scdata_tag);
+         _bb.subscribe(_in_bb_create_tag);
+         _bb.subscribe(_in_bb_delete_tag);
+         _bb.subscribe(_in_bb_exp_params_tag);
+         _bb.subscribe(_in_bb_req_vol);
+         _bb.data_callback += _on_bb_update;
+         _bb.timer_callback += _on_timer;
+         // sub to service
+         var vs_sub = _analytics_service.subscribei_volsurfaces()
+            .ObserveOn(SynchronizationContext.Current)
+            .Subscribe(_on_vss);
+         var vs_usage_sub = _analytics_service.subscribei_volsurface_usage()
+            .ObserveOn(SynchronizationContext.Current)
+            .Subscribe(_on_vs_usage_update);
+         _subs.Add(vs_sub);
+         _subs.Add(vs_usage_sub);
+         _subs.Add(new AnalyticsParametersManager(_bb, _analytics_service));
+         _subs.Add(new ResourceAllocator(bus, _bb));
+         _subs.Add(new SymbolAggregationPublisher<OptionDriverPriceMap>(
+            _bb, (sym) => SparkTags.OptionDriverBBOTag(sym),
+            SparkTags.AllOptionDriverBBOTag));
+         _subs.Add(new SymbolAggregationPublisher<OptionTheoInterpolationData>(
+            _bb, (sym) => SparkTags.SymbolInterpGreeksTag(sym),
+            SparkTags.AllInterpGreeks));
+         _subs.Add(new LiveTheoPublisher(_bb));
+         _subs.Add(new VolSurfaceInterpGreeksMultiplexer(_bb));
+         //_subs.Add(new AnalyticsServiceTester(_bb));
+         // TODO: temporatily publish values
+         VolSurfaceUsageList ulist = new VolSurfaceUsageList();
+         ulist.UsageList.Add(new VolSurfaceUsageEntry() {
+            VsId = 6,
+            SecTup = new bts.api.SecurityTuple() {
+               Type = SecurityType.Option,
+               Venue = VolSurfaceTemp.get_default_venue(SecurityType.Option, "BTC"),
+               Symbol = "BTC"
+            }
+         });
+         ulist.UsageList.Add(new VolSurfaceUsageEntry() {
+            VsId = 7,
+            SecTup = new bts.api.SecurityTuple() {
+               Type = SecurityType.Option,
+               Venue = VolSurfaceTemp.get_default_venue(SecurityType.Option, "ETH"),
+               Symbol = "ETH"
+            }
+         });
+         _bb.post(SparkTags.VolSurfaceUsageTag, new VolSurfaceUsageListImmutable(ulist));
+      }
+
+      void _on_vs_usage_update(Update<VolSurfaceUsageListImmutable, int> update) {
+         // TODO
+         return;
+         // int vs_count = update.all.Count();
+         // Log.Gen.info($"VSBusManager._on_vs_usage_update " +
+         //              $"tid:{Thread.CurrentThread.ManagedThreadId} count:{update.all.Count()}");
+         // Log.assert(vs_count <= 1);
+         // if (update.all.TryGetSingle(out var to_write)) {
+         //    _bb.post(SparkTags.VolSurfaceUsageTag, to_write);
+         // }
+      }
+
+      void _on_vss(bts.api.core.Update<VolSurfaceEntryImmutable, UInt64> update) {
+         bts.Log.Gen.info(String.Format("VSBusManager._on_vss tid:{0} count:{1}",
+                          System.Threading.Thread.CurrentThread.ManagedThreadId, update.all.Count()));
+         IDictionary<int, string> to_publish = new Dictionary<int, string>();
+         // publish a dictionary of vs id vs vs names
+         foreach (VolSurfaceEntryImmutable vs in update.all) {
+            to_publish[vs.VsId] = vs.VsName;
+         }
+         _bb.post(SparkTags.VolSurfaceListTag, to_publish);
+         _init_vss(to_publish.Keys);
+      }
+
+      private void _init_vss(IEnumerable<int> vs_ids) {
+         // we consider every vs in the db as "activated" which might prove to be expensive
+         // (will take care of it later)
+         foreach (var vs_id in vs_ids) {
+            if (!_vs_manager_map.ContainsKey(vs_id)) {
+               _vs_manager_map.Add(vs_id, new SingleVolSurfaceManager(
+                  vs_id, _bb, _analytics_service));
+            }
+         }
+      }
+
+      private void _on_bb_update(object tag, object data) {
+         if (_in_scdata_tag.Equals(tag)) {
+            _contract_data = _bb.read_state(_in_scdata_tag);
+         }
+         if (_in_bb_create_tag.Equals(tag)) {
+            // creations are written in a queue and handled later in the timer
+            // callback
+            mbts.analytics.VolSurfaceSettings vs_settings = data as mbts.analytics.VolSurfaceSettings;
+            bts.Log.Gen.info(String.Format("VSBusManager._on_bb_update received vs creation tag vs:{0}",
+                              VolSurfaceUtilityFunctions.serialize_proto_to_text(vs_settings)));
+            _waiting_creations.Enqueue(vs_settings);
+         } else if (_in_bb_delete_tag.Equals(tag)) {
+            int vs_id = (int)data;
+            try {
+               IntWrapper vs_id_w = new IntWrapper();
+               vs_id_w.Data = vs_id;
+               _analytics_service.delete_volsurface(vs_id_w);
+            } catch (Exception ex) {
+               Log.Gen.error(String.Format("Vol Surface deletion failed with exception:{0}", ex.Message));
+               _bb.post(SparkTags.MessageDisplayTag,
+                        new MessageDisplayData("Vol Surface Deletion",
+                                 String.Format("Could not delete Vol Surface, Error : {0}", ex.Message)));
+            }
+         } else if (_in_bb_exp_params_tag.Equals(tag)) {
+            AnalyticsExpirationParametersMap exp_param_map = data as AnalyticsExpirationParametersMap;
+            // TODO, add whatever else is needed to AnalyticsExpirationParametersMap -> VolSurfaceNonVolInputTag
+            _bb.post(SparkTags.VolSurfaceNonVolInputTag,
+                                          new mbts.analytics.VolSurfaceNonVolInput(exp_param_map.exp_map.ToDictionary()));
+         } else if (_in_bb_req_vol.Equals(tag)) {
+            ClientArchivedVolRequest client_req = _bb.read_state(_in_bb_req_vol);
+            ArchivedTheoRetrieval ret = client_req.ret;
+            if (ret == null || ret.SecTup == null) {
+               bts.Log.Ui.warn($"VolSurfaceBusManager malformed ArchivedTheoRetrieval");
+               ArchivedTheoList empty = new ArchivedTheoList();
+               _bb.post(SparkTags.ResponseArchivedVols, Tuple.Create(client_req, empty));
+               return;
+            }
+            bts.Log.Ui.info($"VolSurfaceBusManager ArchivedTheoRetrieval id: {client_req.id} save_time: {ret.SaveTime} " +
+                           $"sec_tup: {ret.SecTup.Venue}_{ret.SecTup.Type}_{ret.SecTup.Symbol}");
+            _timer.start();
+            ArchivedTheoList arch_theos = _analytics_service.get_archived_theos(ret);
+            _timer.stop();
+            bts.Log.Ui.info($"VolSurfaceBusManager ArchivedTheoRetrieval time: {_timer.lastIntervalTime} " +
+                            $"n_entries: {arch_theos.SecTheo.Count}");
+            _bb.post(SparkTags.ResponseArchivedVols, Tuple.Create(client_req, arch_theos));
+         }
+      }
+
+      private int _timer_count = 0;
+      private void _on_timer() {
+         Action<string> report_err = (string err_txt) => {
+            Log.Gen.error(String.Format("VSBusManager, creation failed with message:{0}", err_txt));
+            _bb.post(SparkTags.MessageDisplayTag, new MessageDisplayData("Vol Surface Addition",
+                                          String.Format("Could not create Vol Surface, Error : {0}", err_txt)));
+         };
+         bts.Log.Gen.diag(String.Format("VSBusManager._on_timer tid:{0} count:{1}",
+                         System.Threading.Thread.CurrentThread.ManagedThreadId, _timer_count++));
+         if (_waiting_creations.Count == 0) {
+            return;
+         }
+         if (_contract_data == null) {
+            return;
+         }
+         mbts.analytics.VolSurfaceSettings vs_settings = _waiting_creations.Dequeue();
+         IDictionary<string, IEnumerable<DateTime>> exp_map = _contract_data.get_option_expirations(VolSurfaceDataFunctions.get_symbols(vs_settings), false);
+         VolSurfaceInput vs_input = mbts.analytics.VolSurfaceDataFunctions.get_default_vs_input(vs_settings, exp_map);
+         var reply = _analytics_service.get_new_volsurface_id(new VoidMessage());
+         if (!reply.Ok) {
+            report_err("Could not obtain new ID");
+            return;
+         }
+         bts.Log.Gen.info(String.Format("VSBusManager, successfully obtained new vs_id:{0}", reply.NewId));
+         vs_input.surface_settings.core_settings.vol_surface_id = reply.NewId;
+         _timer.start();
+         ResultMessage res = VolSurfaceUtilityFunctions.save_volsurface(vs_input, _analytics_service);
+         _timer.stop();
+         if (!res.Success) {
+            report_err(res.ErrorMessage);
+            return;
+         }
+         Log.Gen.info(String.Format("VSBusManager, successfully created vol surface, vs_id:{0} ts:{1} msecs",
+                                 vs_input.surface_settings.core_settings.vol_surface_id,
+                                 _timer.lastIntervalTime.ToString()));
+         _bb.post(SparkTags.VolSurfaceActivationTag(reply.NewId), true, false);
+      }
+
+      public void Dispose() {
+         _subs.ForEach(s => s.Dispose());
+      }
+
+   }
+}

src/client/spark/AW2/Bus/VolSurfaceInputSnapshot.cs

@@ -0,0 +1,30 @@
+using bts.api.analytics;
+
+using mbts.analytics;
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace mbts.spark {
+   /// Conveniance wrapper around the VolSurfaceInputSnapshotListStream rows
+   public class VolSurfaceInputSnapshot {
+      public readonly int volsurface_id;
+      public readonly int transaction_id;
+      public readonly DateTime save_time_utc;
+      public readonly string save_marker;
+      public readonly byte[] data;
+
+      public VolSurfaceInputSnapshot(bts.api.analytics.VolSurfaceEntryImmutable vs) {
+         volsurface_id = vs.VsId;
+         transaction_id = 0;
+         save_time_utc = VolSurfaceUtilityFunctions.from_unix_epoch_msecs(vs.SaveTime);
+         data = vs.Volsurface.ToByteArray();
+         save_marker = save_time_utc.ToShortDateString() + " " +
+                        save_time_utc.ToLocalTime().ToLongTimeString();
+
+      }
+   }
+}

src/client/spark/AW2/Bus/VolSurfaceTheoAlertData.cs

@@ -0,0 +1,26 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using mbts.analytics;
+
+namespace mbts.spark
+{
+   public class VolSurfaceTheoAlertData
+   {
+      public readonly string guid;
+      public readonly int vs_id;
+      public readonly IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> theos;
+
+      public VolSurfaceTheoAlertData(string guid,
+                                     int vs_id,  
+                                     IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> theos)
+      {
+         this.guid = guid;
+         this.vs_id = vs_id;
+         this.theos = theos;
+      }
+                                 
+   }
+}

src/client/spark/AW2/Bus/VolSurfaceTheoData.cs

@@ -0,0 +1,69 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using mbts.analytics;
+
+namespace mbts.spark
+{
+   public class VolSurfaceTheoData
+   {
+      /// This is the set of all contracts in the 
+      public readonly IDictionary<VolSurfaceExpiration, HashSet<double>> all_contracts;
+      public readonly Dictionary<VolSurfaceExpiration, Dictionary<double, Theos>> committed_theo_map, candidate_theo_map;
+      private readonly bool _is_dirty;
+
+      public VolSurfaceTheoData(IDictionary<VolSurfaceExpiration, HashSet<double>> this_all_contracts,
+                                IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> this_committed_theo_map,
+                                IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> this_candidate_theo_map,
+                                bool this_is_dirty)
+      {
+         all_contracts = this_all_contracts;
+         committed_theo_map = this_committed_theo_map.ToDictionary(kv => kv.Key, kv => kv.Value.ToDictionary(i => i.strike, i => i));
+         candidate_theo_map = this_candidate_theo_map.ToDictionary(kv => kv.Key, kv => kv.Value.ToDictionary(i => i.strike, i => i));
+         _is_dirty = this_is_dirty;
+      }
+
+      // TODO
+      // public IBlueRowCollection get_rows()
+      // {
+      //    List<IBlueRow> rows = new List<IBlueRow>();
+      //    IBlueTableSchema schema = new VolSurfaceTheoPointRow(-1, String.Empty, true, null, null, _is_dirty).schema;
+      //    foreach (KeyValuePair<VolSurfaceExpiration, HashSet<double>> kvp in all_contracts)
+      //    {
+      //       VolSurfaceExpiration exp = kvp.Key;
+      //       Dictionary<double, Theos> exp_comm_map, exp_cand_map;
+      //       committed_theo_map.TryGetValue(exp, out exp_comm_map);
+      //       candidate_theo_map.TryGetValue(exp, out exp_cand_map);
+      //       foreach (double k in kvp.Value)
+      //       {
+      //          Theos committed_tp = null, candidate_tp = null;
+      //          committed_tp = (exp_comm_map != null && exp_comm_map.TryGetValue(k, out committed_tp)) ? committed_tp : null;
+      //          if (_is_dirty)
+      //             candidate_tp = (exp_cand_map != null && exp_cand_map.TryGetValue(k, out candidate_tp)) ? candidate_tp : null;
+      //          rows.Add(new VolSurfaceTheoPointRow(rows.Count, exp.symbol, true, committed_tp, candidate_tp, _is_dirty));
+      //          rows.Add(new VolSurfaceTheoPointRow(rows.Count, exp.symbol, false, committed_tp, candidate_tp, _is_dirty));
+      //       }
+      //    }
+      //    return new SequentialIDBlueTable(schema, rows.ToArray());
+      // }
+
+      public IEnumerable<VolSurfaceExpiration> get_all_expirations() { return all_contracts.Keys; }
+
+      // TODO
+      // public ExpStrikeKeyedData<Theos> get_exp_mapped_data(string option_sym, bool is_cand)
+      // {
+      //    ExpStrikeKeyedData<Theos> rv = new ExpStrikeKeyedData<Theos>();
+      //    IDictionary<VolSurfaceExpiration, Dictionary<double, Theos>> map = is_cand ? candidate_theo_map : committed_theo_map;
+      //    if (map != null)
+      //    foreach (KeyValuePair<VolSurfaceExpiration, Dictionary<double, Theos>> kv in map)
+      //    {
+      //       VolSurfaceExpiration exp = kv.Key;
+      //       if (exp.symbol == option_sym)
+      //          rv.set_data_for_expiration(exp.expiration, kv.Value);
+      //    }
+      //    return rv;
+      // }
+   }
+}

src/client/spark/AW2/Graph/AxisPosition.cs

@@ -0,0 +1,13 @@
+namespace mbts.spark {
+   enum AxisPosition {
+      None,
+      TopLeftToRight,
+      TopRightToLeft,
+      BottomLeftToRight,
+      BottomRightToLeft,
+      LeftTopToBottom,
+      LeftBottomToTop,
+      RightTopToBottom,
+      RightBottomToTop
+   }
+}

src/client/spark/AW2/Graph/DateTimeIntervalType.cs

@@ -0,0 +1,12 @@
+namespace mbts.spark {
+   enum DateTimeIntervalType {
+      Auto,
+      Seconds,
+      Minutes,
+      Hours,
+      Days,
+      Weeks,
+      Months,
+      Years
+   }
+}