Merge branch 'development.activ_md' of bitbucket.org:bluetradesys/spark into development.activ_md

WARNING: This breaks the sparkd clang build (only works with gcc)

.devcontainer/Dockerfile

@@ -1,122 +0,0 @@
-FROM ubuntu:22.04
-
-ARG DEBIAN_FRONTEND=noninteractive
-
-# Note installations that take a while (more than 10s)
-
-RUN apt-get update
-RUN apt-get install -y ca-certificates
-RUN apt-get install -y ccache
-RUN apt-get install -y curl
-RUN apt-get install -y fish
-RUN apt-get install -y gdb
-# git-all: ~250s
-RUN apt-get install -y git-all
-RUN apt-get install -y gnupg
-# liblttng-ust-dev: ~30s
-RUN apt-get install -y liblttng-ust-dev
-RUN apt-get install -y libssh2-1-dev
-RUN apt-get install -y locales
-RUN apt-get install -y ninja-build
-# openssh-server: ~40s
-RUN apt-get install -y openssh-server
-RUN apt-get install -y pkg-config
-RUN apt-get install -y software-properties-common
-RUN apt-get install -y sudo
-RUN apt-get install -y tzdata
-RUN apt-get install -y vim
-RUN apt-get install -y zip
-
-# Python: ~30s
-RUN apt-get install -y \
-   python3-pip \
-   python3-venv \
-   && python3 -m pip install --upgrade pip
-
-# GCC
-ARG gcc_major=13
-RUN \
-   add-apt-repository ppa:ubuntu-toolchain-r/test \
-   && apt-get update \
-   && apt-get install -y g++-$gcc_major
-
-# Clang
-ARG clang_major=17
-RUN \
-   curl -fsSL https://apt.llvm.org/llvm-snapshot.gpg.key 2> /dev/null \
-   | gpg --dearmor - \
-   | tee /usr/share/keyrings/llvm-snapshot.gpg > /dev/null \
-   && echo "deb [signed-by=/usr/share/keyrings/llvm-snapshot.gpg] http://apt.llvm.org/$(lsb_release -cs)/ llvm-toolchain-$(lsb_release -cs)-$clang_major main" \
-   | tee -a "/etc/apt/sources.list.d/llvm.list" \
-   && apt-get update \
-   && apt-get install -y \
-   clang-$clang_major \
-   clang-format-$clang_major \
-   clangd-$clang_major
-
-# CMake
-RUN \
-   curl -fsSL https://apt.kitware.com/keys/kitware-archive-latest.asc 2> /dev/null \
-   | gpg --dearmor - \
-   | tee /usr/share/keyrings/kitware-archive-keyring.gpg > /dev/null \
-   && echo "deb [signed-by=/usr/share/keyrings/kitware-archive-keyring.gpg] https://apt.kitware.com/ubuntu/ $(lsb_release -cs) main" \
-   | tee /etc/apt/sources.list.d/kitware.list > /dev/null \
-   && apt-get update \
-   && apt-get install -y cmake
-
-# Dotnet
-RUN apt-get update && apt-get install -y dotnet7
-
-# Node
-ARG node_major=18
-RUN mkdir -p /etc/apt/keyrings \
-   && curl -fsSL https://deb.nodesource.com/gpgkey/nodesource-repo.gpg.key \
-   | gpg --dearmor -o /etc/apt/keyrings/nodesource.gpg \
-   && echo "deb [signed-by=/etc/apt/keyrings/nodesource.gpg] https://deb.nodesource.com/node_$node_major.x nodistro main" \
-   | tee /etc/apt/sources.list.d/nodesource.list \
-   && apt-get update \
-   && apt-get install -y nodejs
-
-# Emumba (deps)
-RUN apt-get update && apt-get -y install rapidjson-dev
-# Emumba
-COPY emumba /emumba
-RUN dpkg -i /emumba/emumba-deribit-connector-3.3.1-Linux.LICENSE_DISABLED.deb \
-    && rm -r /emumba
-
-# Pcap
-RUN apt-get update && apt-get install -y libpcap0.8-dev
-
-# Set up default executables (update-alternatives)
-RUN \
-   update-alternatives --install /usr/bin/clang clang /usr/bin/clang-$clang_major 100; \
-   update-alternatives --install /usr/bin/clang++ clang++ /usr/bin/clang++-$clang_major 100; \
-   update-alternatives --install /usr/bin/clang-format clang-format /usr/bin/clang-format-$clang_major 100; \
-   update-alternatives --install /usr/bin/clangd clangd /usr/bin/clangd-$clang_major 100; \
-   update-alternatives --install /usr/bin/gcc gcc /usr/bin/gcc-$gcc_major 100; \
-   update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-$gcc_major 100
-
-# Add compiler symlinks for ccache 
-RUN \
-   ln -s /usr/bin/ccache /usr/local/bin/clang; \
-   ln -s /usr/bin/ccache /usr/local/bin/clang++; \
-   ln -s /usr/bin/ccache /usr/local/bin/clang-$clang_major; \
-   ln -s /usr/bin/ccache /usr/local/bin/clang++-$clang_major; \
-   ln -s /usr/bin/ccache /usr/local/bin/gcc; \
-   ln -s /usr/bin/ccache /usr/local/bin/g++
-
-RUN locale-gen en_US.UTF-8
-
-ARG docker_user="bts"
-ARG docker_uid="1000"
-ARG docker_pass="bts"
-
-RUN \
-   groupadd -g "$docker_uid" "$docker_user" \
-   && useradd \
-   -m \
-   -u "$docker_uid" \
-   -g "$docker_uid" \
-   -G sudo \
-   --password "$(openssl passwd -1 "$docker_pass")" \
-   "$docker_user"

.devcontainer/devcontainer.json

@@ -1,48 +0,0 @@
-{
-  "dockerFile": "Dockerfile",
-  // Creates local dir to mount to HOME in docker 
-  "initializeCommand": "mkdir -p ${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId}",
-  "hostRequirements": {
-    "memory": "4gb",
-    "storage": "6gb"
-  },
-  "postCreateCommand": "/home/bts/spark/docker/sparkd/dev/devcontainer_post_create.sh",
-  "containerUser": "bts",
-  "workspaceMount": "source=${localWorkspaceFolder},target=/home/bts/spark,type=bind",
-  "workspaceFolder": "/home/bts/spark",
-  "updateRemoteUserUID": true,
-  "shutdownAction": "none",
-  // Note: If running multiple containers on the same host, each must use a
-  // unique set of ports. Usually we just add 1000 to each port as needed. For
-  // example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
-  "runArgs": [
-    "--shm-size",
-    "2gb",
-    "-p",
-    "8000:8000",
-    "-p",
-    "8001:8001",
-    "-p",
-    "8002:8002",
-    "-p",
-    "8003:8003"
-  ],
-  "mounts": [
-    "source=${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId},target=/home/bts,type=bind"
-  ],
-  "customizations": {
-    "vscode": {
-      "settings": {
-        "clangd.arguments": [
-          "--compile-commands-dir=${workspaceFolder}/build/clang/debug"
-        ]
-      },
-      "extensions": [
-        "eamodio.gitlens",
-        "llvm-vs-code-extensions.vscode-clangd",
-        "ms-vscode.cmake-tools",
-        "ms-vscode.cpptools"
-      ]
-    }
-  }
-}

.devcontainer/emumba/install_emumba-deribit-connector.sh

@@ -1,4 +0,0 @@
-#!/usr/bin/env bash
-
-this_dir="$(realpath "$(dirname "$(readlink -f "${BASH_SOURCE[0]}")")")"
-sudo dpkg -i "$this_dir/emumba-deribit-connector-3.3.1-Linux.LICENSE_DISABLED.deb"

.gitignore

@@ -54,6 +54,6 @@ trace_data/
 /src/Spark.Admin.WebApp/src/bin/
 **/CMakeDeps.cmake
 **/CMakeDeps_win.cmake
-.devcontainer/
+**/.devcontainer
 *.Generated.cs
 *.lst

CMakePresets.json

@@ -143,7 +143,7 @@
       "cacheVariables": {
         "CMAKE_C_COMPILER": "gcc",
         "CMAKE_CXX_COMPILER": "g++",
-        "CMAKE_CXX_FLAGS_RELEASE": "-fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers -Wno-stringop-overflow --std=c++20 -fdiagnostics-color -Wno-stringop-overread -Wno-maybe-uninitialized -fno-omit-frame-pointer -DNDEBUG -O3",
+        "CMAKE_CXX_FLAGS_RELEASE": "-fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -Wno-stringop-overread -Wno-maybe-uninitialized -fno-omit-frame-pointer -DNDEBUG -O3",
         "CMAKE_INSTALL_PREFIX": "${sourceDir}/install/gcc/release/sparkd"
       }
     },

playground-1.mongodb.js

@@ -0,0 +1,45 @@
+/* global use, db */
+// MongoDB Playground
+// To disable this template go to Settings | MongoDB | Use Default Template For Playground.
+// Make sure you are connected to enable completions and to be able to run a playground.
+// Use Ctrl+Space inside a snippet or a string literal to trigger completions.
+// The result of the last command run in a playground is shown on the results panel.
+// By default the first 20 documents will be returned with a cursor.
+// Use 'console.log()' to print to the debug output.
+// For more documentation on playgrounds please refer to
+// https://www.mongodb.com/docs/mongodb-vscode/playgrounds/
+
+// Select the database to use.
+use('mongodbVSCodePlaygroundDB');
+
+// Insert a few documents into the sales collection.
+db.getCollection('sales').insertMany([
+    { 'item': 'abc', 'price': 10, 'quantity': 2, 'date': new Date('2014-03-01T08:00:00Z') },
+    { 'item': 'jkl', 'price': 20, 'quantity': 1, 'date': new Date('2014-03-01T09:00:00Z') },
+    { 'item': 'xyz', 'price': 5, 'quantity': 10, 'date': new Date('2014-03-15T09:00:00Z') },
+    { 'item': 'xyz', 'price': 5, 'quantity': 20, 'date': new Date('2014-04-04T11:21:39.736Z') },
+    { 'item': 'abc', 'price': 10, 'quantity': 10, 'date': new Date('2014-04-04T21:23:13.331Z') },
+    { 'item': 'def', 'price': 7.5, 'quantity': 5, 'date': new Date('2015-06-04T05:08:13Z') },
+    { 'item': 'def', 'price': 7.5, 'quantity': 10, 'date': new Date('2015-09-10T08:43:00Z') },
+    { 'item': 'abc', 'price': 10, 'quantity': 5, 'date': new Date('2016-02-06T20:20:13Z') },
+]);
+
+// Run a find command to view items sold on April 4th, 2014.
+const salesOnApril4th = db.getCollection('sales').find({
+    date: { $gte: new Date('2014-04-04'), $lt: new Date('2014-04-05') }
+}).count();
+
+// Print a message to the output window.
+console.log(`${salesOnApril4th} sales occurred in 2014.`);
+
+// Here we run an aggregation and open a cursor to the results.
+// Use '.toArray()' to exhaust the cursor to return the whole result set.
+// You can use '.hasNext()/.next()' to iterate through the cursor page by page.
+db.getCollection('sales').aggregate([
+    // Find all of the sales that occurred in 2014.
+    { $match: { date: { $gte: new Date('2014-01-01'), $lt: new Date('2015-01-01') } } },
+    // Group the total sales for each product.
+    { $group: { _id: '$item', totalSaleAmount: { $sum: { $multiply: ['$price', '$quantity'] } } } }
+]);
+
+

src/Spark.Admin.WebApp/src/Accounts/Types.fs

@@ -17,9 +17,9 @@ type Tab =
   | PositionManagementTab
   | MarginTab
 
-let venues = [| Venue.BINANCE; Venue.BinanceUs; Venue.BinanceUsdsFutures; Venue.COINBASE; Venue.DERIBIT; Venue.GLBX; Venue.ICE; Venue.SIM; |]
+let venues = [| Venue.DERIBIT; Venue.GLBX; Venue.ICE; Venue.SIM; |]
 
-let securityTypes = [| SecurityType.SPOT; SecurityType.FUTURE; SecurityType.OPTION; SecurityType.SPREAD; |]
+let securityTypes = [| SecurityType.FUTURE; SecurityType.OPTION; SecurityType.SPREAD; |]
 
 let emptyAccount = Access.Accounts.empty
 
@@ -35,26 +35,6 @@ type CMEExchangeField =
   | ClearingAccount of string
   | MiscTagMapping of JSMap<string>
 
-type BINANCEExchangeField =
-  | CTI of CTICode
-  | Origin of CustomerOrFirm
-  | ClearingAccount of string
-
-type BinanceUsExchangeField =
-  | CTI of CTICode
-  | Origin of CustomerOrFirm
-  | ClearingAccount of string
-
-type BinanceUsdsFUTURESExchangeField =
-  | CTI of CTICode
-  | Origin of CustomerOrFirm
-  | ClearingAccount of string
-
-type COINBASEExchangeField =
-  | CTI of CTICode
-  | Origin of CustomerOrFirm
-  | ClearingAccount of string
-
 type DERIBITExchangeField =
   | CTI of CTICode
   | Origin of CustomerOrFirm

src/Spark.Admin.WebApp/src/Accounts/View.fs

@@ -797,7 +797,6 @@ let venueToString (venue:bts.api.Venue) =
     | bts.api.Venue.BINANCE -> "BINANCE"
     | bts.api.Venue.BinanceUs -> "BinanceUs"
     | bts.api.Venue.BinanceUsdsFutures -> "BinanceUsdsFutures"
-    | bts.api.Venue.COINBASE -> "COINBASE"
     | bts.api.Venue.FTX -> "FTX"
     | bts.api.Venue.OKX -> "OKX"
 

src/client/spark_api/Orders/OrdersClient.cs

@@ -1,8 +1,6 @@
 #nullable enable
 namespace Spark.Api.Orders {
    using bts;
-   using bts.api;
-
    using bts.api.core;
    using bts.api.orderman;
    using bts.api.position;
@@ -16,8 +14,6 @@ namespace Spark.Api.Orders {
    using Spark.Core.Reactive;
 
    using System;
-   using System.Collections.Generic;
-
    using System.Reactive.Concurrency;
    using System.Reactive.Linq;
    using System.Threading.Tasks;
@@ -59,7 +55,7 @@ namespace Spark.Api.Orders {
                o => o.order.ParentKey,
                (o, r) => new OrderRecordTupleWithRoot(o, r),
                o => new OrderRecordTupleWithRoot(o),
-               o => o.key)
+               o => o.root.order.Key)
                .Cache()
                .ToObservable());
 
@@ -131,29 +127,11 @@ namespace Spark.Api.Orders {
             });
             return r.value;
          } catch {
-            var r = new Response {
-               ErrorCode = OrderError.Undefined
-            };
+            var r = new Response();
+            r.ErrorCode = OrderError.Undefined;
             return r;
          }
       }
-      public async Task<Response> TrySetPrecomputedTheosAsync(
-         List<PrecomputedTheoPoint> ptp_list
-      ) {
-         bts.api.orderman.PrecomputedTheos server_theos = new();
-         server_theos.Theos.AddRange(ptp_list);
-         var r = await _order_service.set_precomputed_theos_async(server_theos);
-         var r2 = new Response {
-            ErrorCode = OrderError.Ok,
-            Msg = r.ToString()
-         };
-         return r2;
-      }
-
-      public async Task<RegisteredDynamicOrderTypes> GetRegisteredDynamicOrderTypesAsync(){
-         Result<RegisteredDynamicOrderTypes> r = await _order_service.get_registered_dynamic_order_types_async(new bts.api.VoidMessage());
-         return r.value;
-      }
       public async Task<Response> TryUpdateOrderAsync(
          CustomOrderDefinition custom,
          double price, double quantity, uint order_id
@@ -168,9 +146,8 @@ namespace Spark.Api.Orders {
             });
             return r.value;
          } catch {
-            var r = new Response {
-               ErrorCode = OrderError.Undefined
-            };
+            var r = new Response();
+            r.ErrorCode = OrderError.Undefined;
             return r;
          }
       }
@@ -182,9 +159,8 @@ namespace Spark.Api.Orders {
             });
             return r.value;
          } catch {
-            var r = new Response {
-               ErrorCode = OrderError.Undefined
-            };
+            var r = new Response();
+            r.ErrorCode = OrderError.Undefined;
             return r;
          }
       }

src/client/spark_api_server/Program.cs

@@ -38,13 +38,13 @@
          var gwy = new bts.websocket_core.WebsocketConnectionGateway();
          var prms = new WebsocketServerConfig {
             DefaultEndPoint = "/",
-            Host = "titan",
+            Host = "0.0.0.0",
             Scheme = "http",
-            Port = "8080",
+            Port = "3000",
             KeepAliveIntervalSecs = 0.1,
          };
          gwy.init(sync);
-         await sync.initAsync(gwy);
+         sync.init(gwy);
          var errors = Errors.None;
          Log.Api.info("Starting websocket server...");
          // try {

src/client/spark_websocket/Core/WebsocketConnectionGateway.cs

@@ -424,6 +424,7 @@ namespace bts.websocket_core {
       /// </summary>
       /// <param name="server_params">The parameters for the websocket server includind the URL and endpoint,</param>
       public Task start_listening(WebsocketServerConfig server_params) {
+         LoggerContext logger = new(Log.Gen, $"WebsocketGateway.start_listening ", "");
          // start listening, assert that init has been called already
          bts.Log.notnull(_sync);
          bts.Log.isnull(_server_params);
@@ -433,6 +434,7 @@ namespace bts.websocket_core {
          _server_params = server_params;
          var builder = WebApplication.CreateBuilder();
          builder.WebHost.UseUrls(_server_params.Uri());
+         logger.warn(_server_params.Uri());
          // var MyAllowSpecificOrigins = "_myAllowSpecificOrigins";
          builder.Services.AddLogging(builder => {
             builder.AddFilter("Microsoft", Microsoft.Extensions.Logging.LogLevel.Warning)

src/client/spark_websocket/Core/WebsocketDataSync.cs

@@ -151,15 +151,6 @@ namespace bts.websocket_core {
             _orders_client = value;
          }
       }
-      
-      IReadOnlyDictionary<string, DynamicOrderDescriptor>? _dynamic_descriptors;
-      IReadOnlyDictionary<string, DynamicOrderDescriptor> Dynamic_Descriptors{
-         get => Log.notnull<IReadOnlyDictionary<string, DynamicOrderDescriptor>>(_dynamic_descriptors);
-         set {
-            Log.isnull<IReadOnlyDictionary<string, DynamicOrderDescriptor>>(_dynamic_descriptors);
-            _dynamic_descriptors=value.ToDictionary(k=>k.Key.ToLower(),v => v.Value);
-         }
-      }
       WebsocketConnectionGateway? gateway;
       WebsocketConnectionGateway Gateway {
          get => Log.notnull<WebsocketConnectionGateway>(gateway);
@@ -187,7 +178,7 @@ namespace bts.websocket_core {
       /// Should be called in the start, stores pointer for gtwy and creates dictionary for clients, starts broadcast thread
       /// </summary>
       /// <param name="gtwy"></param>
-      public async Task initAsync(WebsocketConnectionGateway gtwy) {
+      public void init(WebsocketConnectionGateway gtwy) {
          Gateway = gtwy;
          clients = new ClientsStore();
          TimeSpan md_throttle = TimeSpan.FromSeconds(0.1);
@@ -206,10 +197,6 @@ namespace bts.websocket_core {
          var sec_table_src = MD_Source.subscribe_securities()
             .Table(s => s.security.Id)
             .Select(s => s.security, s => s.Id);
-         var r  = await Orders_Client.GetRegisteredDynamicOrderTypesAsync();
-         Dynamic_Descriptors = r
-         .DynamicOrderDesc
-         .ToDictionary(d => d.DynamicOrderType);
          Synth_Sec_Client = new(synth_sec_service, sec_table_src);
 
 
@@ -283,10 +270,6 @@ namespace bts.websocket_core {
                   handle_update_order(req);
                   break;
                }
-            case WebsocketRequest.REQUEST_TYPES.SET_PRECOMPUTED_THEOS: {
-                  handle_set_theos(req);
-                  break;
-               }
             case WebsocketRequest.REQUEST_TYPES.UNKOWN: {
                   ///send error
                   break;
@@ -301,21 +284,30 @@ namespace bts.websocket_core {
             System.Console.WriteLine("error for req", client_id, ex.ToString());
          }
       }
-      public async Task HandleRestRequest(WebsocketRequest req, Func<WebsocketRequest, OrdersClient, Task<(bool success, uint? id, string status)>> handlerAsync) {
-         (bool success, uint? id, string status) = await handlerAsync(req, Orders_Client);
-         if (!success){
+      public async void handle_delete_order(WebsocketRequest req) {
+         (bool suc, string status) = await WebsocketRestHandler.DeleteOrderAsync(req, Orders_Client);
+         if (!suc) {
             handle_incorrect_request(req, status);
             return;
          }
-         handle_correct_request(req.id, status, id != null ? new { order_key = id } : null, req.client_id);
+         handle_correct_request(req.id, status, null, req.client_id);
+      }
+      public async void handle_enter_order(WebsocketRequest req) {
+         (bool suc, uint? id, string status) = await WebsocketRestHandler.EnterOrderAsync(req, Orders_Client, _securities);
+         if (!suc) {
+            handle_incorrect_request(req, status);
+            return;
+         }
+         handle_correct_request(req.id, status, new { order_key = id }, req.client_id);
+      }
+      public async void handle_update_order(WebsocketRequest req) {
+         (bool suc, string status) = await WebsocketRestHandler.UpdateOrderAsync(req, Orders_Client);
+         if (!suc) {
+            handle_incorrect_request(req, status);
+            return;
+         }
+         handle_correct_request(req.id, status, null, req.client_id);
       }
-      public async void handle_delete_order(WebsocketRequest req) { await HandleRestRequest(req,WebsocketRestHandler.DeleteOrderAsync);} 
-      public async void handle_set_theos(WebsocketRequest req) { await HandleRestRequest(req,(req, Orders_Client) => WebsocketRestHandler.SetTheosAsync(req, Orders_Client, _securities));}
-      public async void handle_enter_order(WebsocketRequest req) { await HandleRestRequest(req,(req, Orders_Client) => WebsocketRestHandler.EnterOrderAsync(
-         req, Orders_Client, _securities,Dynamic_Descriptors  
-      ));} 
-      public async void handle_update_order(WebsocketRequest req) { await HandleRestRequest(req,(req, Orders_Client) => WebsocketRestHandler.UpdateOrderAsync(req,Orders_Client,Dynamic_Descriptors));}
-      
       public void handle_subscription(WebsocketRequest req) {
          WebsocketSubscriptionHandler? hdlr;
          string status;

src/client/spark_websocket/Core/WebsocketJsonParsers.cs

@@ -1,10 +1,6 @@
 namespace bts.websocket_core {
    using bts.api;
    using bts.api.core;
-   using bts.api.orderman;
-
-   using bts.md;
-
 
    using Newtonsoft.Json;
    using Newtonsoft.Json.Linq;
@@ -31,67 +27,9 @@ namespace bts.websocket_core {
       public static Object to_json<T>(IList<T> list)
           where T : IJsonFormatter<T> =>
           to_json(list, T.ToJsonObj);
-      public struct PrecomputedTheoPointWrapper {
-         UInt32 SecId{get;init;}
-         public double driver{get;init;}
-         UInt32 DriverSecId{get;init;}
-         public double theo{get;init;}
-         public double delta{get;init;}
-         public double gamma{get;init;}
-         public double vega{get;init;}
-         public double theta{get;init;}
-         public double rho{get;init;}
-         public double vol{get;init;}
-         public Venue venue{get;init;}
-         public String exchange_security_name{get;init;}
-         public String driver_exchange_security_name{get;init;}
-         public static bool GetTheoPoint(PrecomputedTheoPointWrapper inp, [NotNullWhen(true)] out PrecomputedTheoPoint? p, IReadOnlyDictionary<uint, mbts.SecurityMD> _securites){
-            p = null;
-            if (!_securites.Values.TryGetFirst(sc_md =>
-            (
-               sc_md.security.Exchange == inp.venue &&
-               sc_md.security.ToString() == inp.exchange_security_name),
-            out mbts.SecurityMD sec
-            )) {
-            return false;
-            }
-            if (!_securites.Values.TryGetFirst(sc_md =>
-            (
-               sc_md.security.Exchange == inp.venue &&
-               sc_md.security.ToString() == inp.driver_exchange_security_name),
-            out mbts.SecurityMD driver_sec
-            )) {
-            return false;
-            }
-            p = new(){
-               SecId = sec.id,
-               Driver=inp.driver,
-               DriverSecId=driver_sec.id,
-               Theo=inp.theo,
-               Delta=inp.delta,
-               Gamma=inp.gamma,
-               Vega=inp.vega,
-               Theta=inp.theta,
-               Rho=inp.rho,
-               Vol=inp.vol,
-            };
-            return true;
-
-         }
-         public static bool TryParse(string input, [NotNullWhen(true)] out PrecomputedTheoPointWrapper? P) {
-            P = null;
-            try {
-               var temp = JsonConvert.DeserializeObject<PrecomputedTheoPointWrapper>(input);
-               P = temp;
-               return true;
-            } catch {
-               return false;
-            }
-         }
-      }
-      public struct StringListWrapper : IEnumerable<string> {
+      public struct ListWrapper : IEnumerable<string> {
          public List<string> Lis { get; set; }
-         public StringListWrapper(List<string> l) {
+         public ListWrapper(List<string> l) {
             Lis = l;
          }
 
@@ -111,24 +49,14 @@ namespace bts.websocket_core {
          public string[] getlwrarr() {
             return Lis.Select(v => v.ToLower()).ToArray();
          }
-         public static bool TryParse(string input, [NotNullWhen(true)] out StringListWrapper? l) {
+         public static bool TryParse(string input, [NotNullWhen(true)] out ListWrapper? l) {
             l = null;
             try {
-               var temp = JsonConvert.DeserializeObject<List<Object>>(input);
+               var temp = JsonConvert.DeserializeObject<List<string>>(input);
                if (temp == null) {
                   return false;
                }
-                List<string> stringList = new List<string>();
-
-               foreach (object obj in temp)
-               {
-                  string? val = obj.ToString();
-                  if(val==null){
-                     return false;
-                  }
-                  stringList.Add(val);
-               }
-               l = new StringListWrapper(stringList);
+               l = new ListWrapper(temp);
                return true;
             } catch {
                return false;
@@ -143,33 +71,26 @@ namespace bts.websocket_core {
 
       }
       public static bool TryParse<T>(JObject filter, string key, out T[]? list, out string error) where T : struct {
+         T[] values = new T[] { };
          list = null;
-         if (TryParse<StringListWrapper>(filter, key, out StringListWrapper? wrap, out error)) {
+         ListWrapper? wrap;
+         if (TryParse<ListWrapper>(filter, key, out wrap, out error)) {
             if (wrap != null) {
-                var values = new List<T>();
                foreach (var item in wrap) {
-                  if (TryParse<T>(item, key, out T? obj, out error) && obj != null) {
-                     values.Add(obj.Value);
+                  T? obj;
+                  if (TryParse<T>(item, key, out obj, out error) && obj != null) {
+                     values = values.ToList().Append<T>((T)obj).ToArray();
                   } else {
                      return false;
                   }
                }
-               list = values.ToArray();
+               list = values;
             }
             return true;
          }
          return false;
       }
-      public static bool TryParse<T>(JObject filter, string key, out T? obj, [NotNullWhen(false)] out string error) where T : struct {
-         obj = null;
-         var value = filter.GetValueOrDefault(key)?.ToString();
-         if (value == null) {
-            error = $"{key} not present";
-            return true;
-         }
-         return TryParse<T>(value, key, out obj, out error);
 
-      }
       public static bool TryParse<T>(string value, string key, [NotNullWhen(true)] out T? obj, [NotNull] out string error) where T : struct {
          error = "";
          if (typeof(T).IsEnum && Enum.TryParse<T>(value, true, out var result)) {
@@ -179,10 +100,7 @@ namespace bts.websocket_core {
          if (typeof(T) == typeof(double) && double.TryParse(value, out var d)) {
             obj = (T)(object)d;
             return true;
-         }
-         if (typeof(T) == typeof(bool) && bool.TryParse(value, out var b)) {
-            obj = (T)(object)b;
-            return true;
+
          }
          if (typeof(T) == typeof(uint) && uint.TryParse(value, out var uin)) {
             obj = (T)(object)uin;
@@ -200,14 +118,10 @@ namespace bts.websocket_core {
             obj = (T)(object)new StringWrapper(value);
             return true;
          }
-         if (typeof(T) == typeof(StringListWrapper) && StringListWrapper.TryParse(value, out var l)) {
+         if (typeof(T) == typeof(ListWrapper) && ListWrapper.TryParse(value, out var l)) {
             obj = (T)(object)l;
             return true;
          }
-         if (typeof(T)==typeof(PrecomputedTheoPointWrapper) && PrecomputedTheoPointWrapper.TryParse(value, out var p)){
-            obj=(T)(object)p;
-            return true;
-         }
          if (typeof(T) == typeof(DateTime) && DateTime.TryParseExact(value, "yyyy/MM/dd", CultureInfo.InvariantCulture,
                             DateTimeStyles.None, out var dt)) {
             obj = (T)(object)dt;
@@ -218,7 +132,16 @@ namespace bts.websocket_core {
          obj = null;
          return false;
       }
-      
+      public static bool TryParse<T>(JObject filter, string key, out T? obj, [NotNullWhen(false)] out string error) where T : struct {
+         obj = null;
+         var value = filter.GetValueOrDefault(key)?.ToString();
+         if (value == null) {
+            error = $"{key} not present";
+            return true;
+         }
+         return TryParse<T>(value, key, out obj, out error);
+
+      }
 
    }
 }

src/client/spark_websocket/Core/WebsocketRequest.cs

@@ -12,8 +12,8 @@ namespace bts.websocket_core {
          UNSUBSCRIBE,
          ENTER_ORDER,
          DELETE_ORDER,
+
          UPDATE_ORDER,
-         SET_PRECOMPUTED_THEOS,
          DELETE,
          PATCH,
          UNKOWN = 0

src/client/spark_websocket/Core/WebsocketRestHandler.cs

@@ -6,352 +6,109 @@ namespace bts.websocket_core {
 
    using mbts;
 
-   using Microsoft.VisualBasic;
-
-   using mbts.spark;
    using Newtonsoft.Json.Linq;
 
    using Spark.Api.Orders;
 
    using System;
-   using System.Diagnostics.CodeAnalysis;
-   using bts.spark;
-   using bts.utils;
 
    public class WebsocketRestHandler {
-   public static (bool,DynamicOrderParam?,string) TryGetDynamicParam(JObject custom,string key, DynamicOrderParamDescriptor descriptor, IReadOnlyDictionary<string, DynamicOrderDescriptor> Dynamic_Descriptors) {
-         var rv = new DynamicOrderParam();
-         string error = "";
-         switch (descriptor.ParamType.DescriptorCase) {
-            case DynamicOrderTypeDescriptor.DescriptorOneofCase.Array:
-               if (custom[key] is not JArray arr_obj) {
-                  return (false, null, key + " not correct");
-               }
-               rv.AsArray = new DynamicOrderArray();
-               foreach (var p in arr_obj.ToList()){
-                  var child_key = key+"_child";
-                  DynamicOrderParamDescriptor child_descriptor=new() {
-                     ParamName = child_key,
-                     ParamType = descriptor.ParamType.Array.ElementType
-                  };
-
-                  JObject child = new() {
-                     [child_key] = p
-                  };
-
-                  (bool suc, DynamicOrderParam? param, error) = TryGetDynamicParam(child,child_key,child_descriptor,Dynamic_Descriptors);
-                  if(!suc){
-                     return (suc,null,error);
-                  }
-                  rv.AsArray.Element.Add(param);
-               }
-               return (true,rv,error);
-            case DynamicOrderTypeDescriptor.DescriptorOneofCase.Enumerated:
-               return (false,null,key+"Enumerated DynamicOrderTypeDescriptors not enabled on api");
-            case DynamicOrderTypeDescriptor.DescriptorOneofCase.Primitive:
-               switch (descriptor.ParamType.Primitive) {
-                  case DynamicOrderPrimitiveDescriptor.DynamicOrderPrimitiveBool:
-                     if (!WebsocketJsonParsers.TryParse<bool>(custom, key, out bool? b, out error) || b == null) {
-                        return (false, null, error);
-                     }
-                     rv.AsBool = (bool)b; 
-                     return (true,rv,error);
-                  case DynamicOrderPrimitiveDescriptor.DynamicOrderPrimitiveDouble:
-                     if (!WebsocketJsonParsers.TryParse<double>(custom, key, out double? d, out error) || d == null) {
-                        return (false, null, error);
-                     }
-                     rv.AsDouble = (double)d; 
-                     return (true,rv,error);
-                  case DynamicOrderPrimitiveDescriptor.DynamicOrderPrimitiveInt: 
-                  if (!WebsocketJsonParsers.TryParse<int>(custom, key, out int? i, out error) || i == null) {
-                        return (false, null, error);
-                     }
-                     rv.AsInt32 = (int)i; 
-                     return (true,rv,error);
-                  case DynamicOrderPrimitiveDescriptor.DynamicOrderPrimitiveOrderDef: 
-                     if (custom[key] is not JObject child_custom) {
-                        return (false, null, key + " not correct");
-                     }
-                     (bool suc,var child_custom_def,error) = TryGetCustomDef(child_custom,Dynamic_Descriptors);
-                  if(!suc || child_custom_def==null){
-                     return (false,null,error);
-                  }
-                  rv.AsOrderDef = child_custom_def;
-                  return(true,rv,error);
-                  case DynamicOrderPrimitiveDescriptor.DynamicOrderPrimitiveString: 
-                  if (!WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringWrapper>(custom,key,out WebsocketJsonParsers.StringWrapper? s,out error)|| s == null) {
-                     return (false, null, error);
-                  }
-                  rv.AsString = s.Value.Val; 
-                  return (true,rv,error);
-                  case DynamicOrderPrimitiveDescriptor.DynamicOrderPrimitiveSecurityKey:
-                  case DynamicOrderPrimitiveDescriptor.DynamicOrderPrimitiveUint: 
-                  if (!WebsocketJsonParsers.TryParse<uint>(custom, key, out uint? u, out error) || u == null) {
-                        return (false, null, error);
-                     }
-                     rv.AsUint32 = (uint)u; 
-                     return (true,rv,error);
-                  case DynamicOrderPrimitiveDescriptor.DynamicOrderPrimitiveQuantity:
-                  if (WebsocketJsonParsers.TryParse<uint>(custom, key, out uint? q, out error) && q != null) {
-                        rv.AsQuantity = new QuantityMeasure() {
-                           Absolute = (uint)q
-                        };
-                        return (true, rv, error);
-                  } else if (WebsocketJsonParsers.TryParse<double>(custom, key, out double? qd, out error) && qd != null){
-                     rv.AsQuantity = new QuantityMeasure() {
-                           Ratio = (double)qd
-                        };
-                        return (true, rv, error);
-                  }
-                  else{
-                     return (false,null,key+" not correct");
-                  }
-               }
-               return (false,null,key+" not correct");
-            case DynamicOrderTypeDescriptor.DescriptorOneofCase.Structure:
-                if (custom[key] is not JObject obj) {
-                  return (false, null, key + " not correct");
-               }
-               rv.AsStruct = new DynamicOrderStruct();
-               
-               foreach (var prop in obj.Properties()) {
-                  var child_key = prop.Name;
-                  var check = descriptor.ParamType.Structure.Field.TryGetFirst(v => v?.ParamName == child_key,out DynamicOrderParamDescriptor? p);
-                  if(!check || p == null){
-                     return (false,null,key+" "+child_key+" not correct");
-                  }
-                  var child_descriptor = new DynamicOrderParamDescriptor {
-                        ParamName = child_key,
-                        ParamType = p.ParamType
-                  };
-
-                  (bool success, DynamicOrderParam? param, error) = TryGetDynamicParam(obj, child_key, child_descriptor, Dynamic_Descriptors);
-                  if (!success) {
-                        return (success, null, error);
-                  }
-                  rv.AsStruct.Field[child_key] = param;
-               }
-               return (true,rv,error);
-         }
-         return (false,null,key+" not correct");
-      }
       readonly static Lazy<AdminService> _admin = new Lazy<AdminService>(() => Locator.locate<AdminService>(), true);
-      
-      private static (bool, CustomOrderDefinition?, string) TryGetCustomDef(WebsocketRequest req, IReadOnlyDictionary<string, DynamicOrderDescriptor> Dynamic_Descriptors){
-         if (req.parameters["options"] is not JObject custom) {
-            return (false, null, "options not correct");
-         }
-         return TryGetCustomDef(custom,Dynamic_Descriptors);
-      }
-      private static (bool, CustomOrderDefinition?, string) TryGetCustomDef(JObject custom, IReadOnlyDictionary<string, DynamicOrderDescriptor> Dynamic_Descriptors) {
+      private static (bool, CustomOrderDefinition?, string) TryGetCustomDef(WebsocketRequest req) {
+         string status = "";
          CustomOrderDefinition customdef;
-
-         if (!WebsocketJsonParsers.TryParse<CustomOrderDefinition.CustomOneofCase>(custom, "order_type", out CustomOrderDefinition.CustomOneofCase? order_type, out string status) || order_type == null) {
+         JObject? custom = req.parameters["custom"] as JObject;
+         if (!WebsocketJsonParsers.TryParse<CustomOrderDefinition.CustomOneofCase>(
+            req.parameters,
+            "order_type",
+            out CustomOrderDefinition.CustomOneofCase? order_type,
+            out status)
+            || order_type == null) {
             return (false, null, status);
          }
          switch (order_type) {
-            case CustomOrderDefinition.CustomOneofCase.Stop:{
-               customdef = new CustomOrderDefinition() {
-                     Stop = new StopOrderDefinition()
-                  };
-                  break;
-            }
-            case CustomOrderDefinition.CustomOneofCase.StopLimit:{
-               if (!WebsocketJsonParsers.TryParse<double>(custom, "stop_price", out double? sp, out status) || sp == null) {
-                     return (false, null, status);
-                  }
-               customdef = new CustomOrderDefinition() {
-                     StopLimit = new StopLimitOrderDefinition(){
-                        StopPrice=(double)sp
-                     }
-                  };
-                  break;
-            }
-            case CustomOrderDefinition.CustomOneofCase.Iceberg: {
-                  if (!WebsocketJsonParsers.TryParse<double>(custom, "show_quantity", out double? sq, out status) || sq == null) {
-                     return (false, null, status);
-                  }
-                  if (custom["child"] is not JObject child) {
-                     return (false, null, "Iceberg child not correct");
-                  }
-                  (var check, var childdef, status) = TryGetCustomDef(child,Dynamic_Descriptors);
-                  if(!check){
-                     return (false, null, status);
-                  }
-                  // mbts.spark.utilities.OrderDataHelper 
-                  customdef = new CustomOrderDefinition() {
-                     Iceberg = new IcebergOrderDefinition() {
-                        ShowQuantity = (double)sq,
-                        Child = childdef
-                     }
-                  };
-                  break;
-               }
-            case CustomOrderDefinition.CustomOneofCase.TimeBox:{
-               return (false,null,"timebox not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.Spreader: {
-                  // if (custom == null) {
-                  //    message = "custom not present";
-                  //    return false;
-                  // }
-                  return (false,null,"spreaders not enabled on api");
-               }
-            case CustomOrderDefinition.CustomOneofCase.Tick:{
-               return (false,null,"Ticks not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.Lean:{
-               return (false,null,"Lean not enabled on api");
-               // if (!WebsocketJsonParsers.TryParse<double>(custom, "", out double? sq, out status) || sq == null) {
-               //       return (false, null, status);
-               //    }
-               // if (custom["child"] is not JObject child) {
-               //       return (false, null, "Lean child not correct");
-               //    }
-               //    (var check, var childdef, status) = TryGetCustomDef(child,Dynamic_Descriptors);
-               //    if(!check){
-               //       return (false, null, status);
-               //    }
-               
-               // customdef = new CustomOrderDefinition() {
-               //       Lean = new LeanOrderDefinition(){
-               //          DetachOnToward = false,
-               //          CrossThreshold = 0,
-               //          MaxChaseTicks = 0,
-               //          Child = childdef
-
-               //       }
-               //    };
-
-            }
-            case CustomOrderDefinition.CustomOneofCase.Join:{
-               return (false,null,"join not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.Top:{
-               return (false,null,"top not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.Trigger:{
-               return (false,null,"trigger not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.Cover: {
-               if (
-                  !WebsocketJsonParsers.TryParse<uint>( custom, "hedge_ticks", out uint? ht, out status) || ht == null || 
-                  !WebsocketJsonParsers.TryParse<bool>(custom, "cancel_on_external_hedge_cancel", out bool? coehc, out status) || coehc == null ||
-                  !WebsocketJsonParsers.TryParse<bool>(custom, "cancel_hedges_on_cancel", out bool? choc, out status) || choc == null ||
-                  !WebsocketJsonParsers.TryParse<bool>(custom, "detach_hedges", out bool? dh, out status) || dh == null
-                  ) {
-                  return (false, null, status);
-               }
-               if (custom["child"] is not JObject child) {
-                  return (false, null, "Cover child not correct");
-               }
-               (var check, var childdef, status) = TryGetCustomDef(child,Dynamic_Descriptors);
-               if(!check){
-                  return (false, null, status);
-               }
-               if (custom["hedge"] is not JObject hedge) {
-                  return (false, null, "Cover hedge not correct");
-               }
-               (check, var hedgedef, status) = TryGetCustomDef(hedge,Dynamic_Descriptors);
-               if(!check){
-                  return (false, null, status);
-               }
-               customdef = new CustomOrderDefinition() {
-                  Cover = new CoverOrderDefinition() {
-                     HedgeTicks = (uint)ht,
-                     CancelOnExternalHedgeCancel = (bool)coehc,
-                     CancelHedgesOnCancel = (bool)choc,
-                     DetachHedges = (bool)dh,
-                     Hedge = hedgedef,
-                     Child = childdef
-                  }
-               };
-               break;
-            }
-            case CustomOrderDefinition.CustomOneofCase.Offset:{
-               if (!WebsocketJsonParsers.TryParse<uint>(custom, "tick_offset", out uint? to, out status) || to == null) {
-                     return (false, null, status);
-                  }
-                  if (custom["child"] is not JObject child) {
-                     return (false, null, "offset child not correct");
-                  }
-                  (var check, var childdef, status) = TryGetCustomDef(child,Dynamic_Descriptors);
-                  if(!check){
-                     return (false, null, status);
-                  }
-                  // mbts.spark.utilities.OrderDataHelper 
-                  customdef = new CustomOrderDefinition() {
-                     Offset = new OffsetOrderDefinition() {
-                        TickOffsetOnDeploy = (uint)to,
-                        Child = childdef
-                     }
-                  };
-                  break;
-            }
-            case CustomOrderDefinition.CustomOneofCase.Oco:{
-               return (false,null,"Oco not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.Pricer:{
-               return (false,null,"pricer not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.Composite:{
-               return (false,null,"Composite not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.GlbxIceberg:{
-               if (!WebsocketJsonParsers.TryParse<uint>(custom, "max_show_quantity", out uint? msq, out status) || msq == null) {
-                     return (false, null, status);
-                  }
-                  // mbts.spark.utilities.OrderDataHelper 
-                  customdef = new CustomOrderDefinition() {
-                     GlbxIceberg = new GLBXIcebergOrderDefinition() {
-                        MaxShowQuantity = (uint)msq,
-                     }
-                  };
-                  break;
-            }
-            case CustomOrderDefinition.CustomOneofCase.Splitter:{
-               return (false,null,"splitter not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.QueueHolder:{
-               return (false,null,"QueueHolder not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.Scratch:{
-               return (false,null,"Scratch not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.Prorata:{
-               return (false,null,"Prorata not enabled on api");
-            }
-            case CustomOrderDefinition.CustomOneofCase.DeleteAndCover:{
-               return (false,null,"DeleteAndCover not enabled on api");
-            }
             case CustomOrderDefinition.CustomOneofCase.Limit: {
                   customdef = new CustomOrderDefinition() {
                      Limit = new LimitOrderDefinition()
                   };
                   break;
-               }       
-            case CustomOrderDefinition.CustomOneofCase.Dynamic: {
+               }
+
+            // case CustomOrderDefinition.CustomOneofCase.Spreader: {
+            //       // if (custom == null) {
+            //       //    message = "custom not present";
+            //       //    return false;
+            //       // }
+            //       //ENTER SPREADER CODE HERE
+            //       break;
+            //    }
+            case CustomOrderDefinition.CustomOneofCase.Iceberg: {
                   if (custom == null) {
                      return (false, null, "custom not present");
                   }
-                  if(!WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringWrapper>(custom, "dynamic_order_type", out WebsocketJsonParsers.StringWrapper? dynamic_order_type, out status) || dynamic_order_type == null ||
-                     !Dynamic_Descriptors.TryGetValue(dynamic_order_type.Value.Val, out var desc)){
+                  double? sq;
+                  if (!WebsocketJsonParsers.TryParse<double>(custom, "show_quantity", out sq, out status) || sq == null) {
                      return (false, null, status);
                   }
-                  var def = new DynamicOrderDefinition() {
-                        DynamicOrderType = desc.DynamicOrderType
-                     };
-
-                  foreach (var p in desc.ParamDesc) {
-                     (bool suc, var d, var error)=TryGetDynamicParam(custom,p.ParamName,p,Dynamic_Descriptors);
-                     if(!suc){
-                        return (suc,null,error);
-                     }
-                     def.OrderParams[p.ParamName] = d;
-                  }
-
                   customdef = new CustomOrderDefinition() {
-                     Dynamic = def
+                     Iceberg = new IcebergOrderDefinition() {
+                        ShowQuantity = (double)sq,
+                        Child = new CustomOrderDefinition() {
+                           Limit = new LimitOrderDefinition()
+                        }
+                     }
+                  };
+                  break;
+               }
+            case CustomOrderDefinition.CustomOneofCase.Cover: {
+                  if (custom == null) {
+                     return (false, null, "custom not present");
+                  }
+                  if (!WebsocketJsonParsers.TryParse<uint>(
+                     custom,
+                     "hedge_ticks",
+                     out uint? ht,
+                     out status)
+                     || ht == null) {
+                     return (false, null, status);
+                  }
+                  if (!WebsocketJsonParsers.TryParse<bool>(
+                     custom,
+                     "cancel_on_external_hedge_cancel",
+                     out bool? coehc,
+                     out status)
+                     || coehc == null) {
+                     return (false, null, status);
+                  }
+                  if (!WebsocketJsonParsers.TryParse<bool>(
+                     custom,
+                     "cancel_hedges_on_cancel",
+                     out bool? choc,
+                     out status)
+                     || choc == null) {
+                     return (false, null, status);
+                  }
+                  if (!WebsocketJsonParsers.TryParse<bool>(
+                     custom,
+                     "detach_hedges",
+                     out bool? dh,
+                     out status)
+                     || dh == null) {
+                     return (false, null, status);
+                  }
+                  customdef = new CustomOrderDefinition() {
+                     Cover = new CoverOrderDefinition() {
+                        Hedge = new CustomOrderDefinition() {
+                           Limit = new LimitOrderDefinition()
+                        },
+                        HedgeTicks = (uint)ht,
+                        CancelOnExternalHedgeCancel = (bool)coehc,
+                        CancelHedgesOnCancel = (bool)choc,
+                        DetachHedges = (bool)dh,
+                        Child = new CustomOrderDefinition() {
+                           Limit = new LimitOrderDefinition()
+                        }
+                     }
                   };
                   break;
                }
@@ -367,20 +124,26 @@ namespace bts.websocket_core {
          };
          return (true, customdef, status);
       }
-      private async static Task<(bool, OrderDefinition?, string)> TryGetOrderDefAsync(WebsocketRequest req, IReadOnlyDictionary<uint, SecurityMD> securities, IReadOnlyDictionary<string, DynamicOrderDescriptor> Dynamic_Descriptors) {
+      private async static Task<(bool, OrderDefinition?, string)> TryGetOrderDefAsync(WebsocketRequest req, IReadOnlyDictionary<uint, SecurityMD> securities) {
          if (req.parameters == null) {
             return (false, null, "parameters not present");
          }
-         if (
-            !WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringWrapper>(req.parameters,"user",out WebsocketJsonParsers.StringWrapper? usr,out string status) || usr == null ||
-            !WebsocketJsonParsers.TryParse<Venue>(req.parameters, "venue", out Venue? exchange, out status) || exchange == null || 
-            !WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringWrapper>(req.parameters, "account", out WebsocketJsonParsers.StringWrapper? act, out status) || act == null ||
-            !WebsocketJsonParsers.TryParse<Side>(req.parameters, "side", out Side? side, out status) || side == null || 
-            !WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringWrapper>(req.parameters, "exchange_security_name", out WebsocketJsonParsers.StringWrapper? exchange_securty_name, out status) || exchange_securty_name == null
-            ) {
+         if (!WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringWrapper>(
+            req.parameters,
+            "user",
+            out WebsocketJsonParsers.StringWrapper? usr,
+            out string status)
+            || usr == null) {
+            return (false, null, status);
+         }
+         if (!WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringWrapper>(
+            req.parameters,
+            "account",
+            out WebsocketJsonParsers.StringWrapper? act,
+            out status)
+            || act == null) {
             return (false, null, status);
          }
-
          Result<AdminData> adminResult = await _admin.Value.get_admin_data_async(new VoidMessage());
          uint user_id;
          uint account_id;
@@ -400,8 +163,20 @@ namespace bts.websocket_core {
             return (false, null, "account not correct");
          }
          account_id = (uint)account.Id;
-         
-
+         if (!WebsocketJsonParsers.TryParse<Side>(
+            req.parameters,
+            "side",
+            out Side? side,
+            out status)
+            || side == null) {
+            return (false, null, status);
+         }
+         if (!WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringWrapper>(req.parameters, "exchange_securty_name", out WebsocketJsonParsers.StringWrapper? exchange_securty_name, out status) || exchange_securty_name == null) {
+            return (false, null, status);
+         }
+         if (!WebsocketJsonParsers.TryParse<Venue>(req.parameters, "venue", out Venue? exchange, out status) || exchange == null) {
+            return (false, null, status);
+         }
          var _securites = securities;
          if (!_securites.Values.TryGetFirst(sc_md =>
             (
@@ -412,100 +187,73 @@ namespace bts.websocket_core {
             return (false, null, "security not found");
          }
 
-         (var check, var customdef, status) = TryGetCustomDef(req, Dynamic_Descriptors);
+         (var check, var customdef, status) = TryGetCustomDef(req);
          if (check == false) {
             return (false, null, status);
          }
-
-
          return (true, new OrderDefinition {
-            TimeInForce = TimeInForce.Day,
+            TimeInForce = TimeInForce.Gtc,
             SecurityKey = sc_md.id,
             Side = (Side)side,
             UserId = user_id,
             AccountId = account_id,
-            CustomDef = customdef,
-            Account = account.Name,
-            User = user.Name
+            CustomDef = customdef
          }, status);
       }
-      static bool TryGetPoints(WebsocketRequest req, [NotNullWhen(true)] out List<PrecomputedTheoPoint>? theos, out string message, IReadOnlyDictionary<uint, SecurityMD> securities) {
-         theos = null;
-         if (!WebsocketJsonParsers.TryParse<WebsocketJsonParsers.PrecomputedTheoPointWrapper>(req.parameters, "points", out WebsocketJsonParsers.PrecomputedTheoPointWrapper[]? wrapper_theos, out message) || wrapper_theos == null) {
-            return false;
-         }
-         theos = wrapper_theos.Select(wrapper => {
-            if (WebsocketJsonParsers.PrecomputedTheoPointWrapper.GetTheoPoint(wrapper, out PrecomputedTheoPoint? point, securities)) {
-               return point;
-            }
-            return null;
-         })
-        .Where(p => p != null)
-        .Cast<PrecomputedTheoPoint>()
-        .ToList();
-         return true;
-
-      }
-      public static async Task<(bool success, uint? id, string status)> SetTheosAsync(WebsocketRequest req, OrdersClient oc, IReadOnlyDictionary<uint, SecurityMD> securities) {
+      public static async Task<(bool success, string status)> DeleteOrderAsync(WebsocketRequest req, OrdersClient oc) {
          if (req.parameters == null) {
-            return (false, null, "parameters not present");
+            return (false, "parameters not present");
          }
-         var log_txt = $"SetTheosAsync req {req.ToString()}";
-         bts.Log.Gen.warn(log_txt);
-
-         var _securites = securities;
-         if (!TryGetPoints(req, out List<PrecomputedTheoPoint>? theos, out string message, _securites)) {
-            return (false, null, message);
-         }
-         Response res = await oc.TrySetPrecomputedTheosAsync(theos);
-         return (res.ErrorCode != OrderError.Ok, null, res.Msg);
-      }
-      public static async Task<(bool success, uint? id, string status)> DeleteOrderAsync(WebsocketRequest req, OrdersClient oc) {
-         if (req.parameters == null) {
-            return (false, null, "parameters not present");
-         }
-         if (!WebsocketJsonParsers.TryParse<uint>(req.parameters, "order_key", out uint? key, out string status) || key == null) {
-            return (false, null, status);
+         if (!WebsocketJsonParsers.TryParse<uint>(req.parameters, "order_id", out uint? key, out string status) || key == null) {
+            return (false, status);
          }
          Response res = await oc.TryDeleteOrderAsync((uint)key);
          status = res.ErrorCode.ToString();
-         return (res.ErrorCode != OrderError.Ok, null, status);
+         return (res.ErrorCode != OrderError.Ok, status);
       }
-      public static async Task<(bool success, uint? id, string status)> UpdateOrderAsync(WebsocketRequest request, OrdersClient oc, IReadOnlyDictionary<string, DynamicOrderDescriptor> Dynamic_Descriptors) {
+      public static async Task<(bool success, string status)> UpdateOrderAsync(WebsocketRequest request, OrdersClient oc) {
          if (request.parameters == null) {
-            return (false, null, "parameters not present");
+            return (false, "parameters not present");
          }
-         if (
-            !WebsocketJsonParsers.TryParse<uint>(request.parameters, "order_key", out uint? key, out string status) || key == null ||
-            !WebsocketJsonParsers.TryParse(request.parameters, "quantity", out double? quantity, out status) || quantity == null ||
-            !WebsocketJsonParsers.TryParse(request.parameters, "price", out double? price, out status) || price == null
-            ) {
-            return (false, null, status);
+         if (!WebsocketJsonParsers.TryParse<uint>(request.parameters, "order_id", out uint? key, out string status) || key == null) {
+            return (false, status);
+         }
+         if (!WebsocketJsonParsers.TryParse(request.parameters, "quantity", out double? quantity, out status) || quantity == null) {
+            return (false, status);
          }
 
-         (var check, var customdef, status) = TryGetCustomDef(request, Dynamic_Descriptors);
+         if (!WebsocketJsonParsers.TryParse(request.parameters, "price", out double? price, out status) || price == null) {
+            return (false, status);
+         }
+         (var check, var customdef, status) = TryGetCustomDef(request);
          if (check == false || customdef == null) {
-            return (false, null, status);
+            return (false, status);
          }
          Response res = await oc.TryUpdateOrderAsync(customdef, (double)price, (double)quantity, (uint)key);
          status = res.ErrorCode.ToString();
-         return (res.ErrorCode != OrderError.Ok, null, status);
+         return (res.ErrorCode != OrderError.Ok, status);
       }
       public static async Task<(bool success, uint? orderId, string status)> EnterOrderAsync(
-        WebsocketRequest request, OrdersClient ordersClient, IReadOnlyDictionary<uint, SecurityMD> securities, IReadOnlyDictionary<string, DynamicOrderDescriptor> Dynamic_Descriptors) {
+        WebsocketRequest request, OrdersClient ordersClient, IReadOnlyDictionary<uint, SecurityMD> securities) {
+         double? quantity = null;
+         double? price = null;
          OrderDefinition? orderDefinition = null;
          uint? orderId = null;
          string status = string.Empty;
 
-         (bool success, orderDefinition, status) = await TryGetOrderDefAsync(request, securities, Dynamic_Descriptors);
-         
-         if (
-            !success || orderDefinition == null ||
-            !WebsocketJsonParsers.TryParse(request.parameters, "quantity", out double? quantity, out status) || quantity == null ||
-            !WebsocketJsonParsers.TryParse(request.parameters, "price", out double? price, out status) || price == null ) {
+         if (!WebsocketJsonParsers.TryParse(request.parameters, "quantity", out quantity, out status) || quantity == null) {
             return (false, null, status);
          }
 
+         if (!WebsocketJsonParsers.TryParse(request.parameters, "price", out price, out status) || price == null) {
+            return (false, null, status);
+         }
+
+         (bool success, orderDefinition, status) = await TryGetOrderDefAsync(request, securities);
+         if (!success || orderDefinition == null) {
+            return (success, null, status);
+         }
+
          var result = await ordersClient.TryEnterOrderAsync(orderDefinition, (uint)price, (double)quantity);
 
          if (result.ErrorCode != OrderError.Ok) {

src/client/spark_websocket/Core/WebsocketSubscriptionHandler.cs

@@ -100,28 +100,36 @@ namespace bts.websocket_core {
       }
 
       static bool TryGetTradesFilter(WebsocketRequest req, [NotNullWhen(true)] out TradesSubscriptionFilter? trades_filter, out string message) {
+         SecurityCriteria? cri;
          trades_filter = null;
          JObject? filter = req.parameters?["filter"] as JObject;
          if (filter == null) {
             message = "filter not present";
             return false;
          }
-         if (!TryGetFilter(req, out SecurityCriteria? cri, out message)) {
+         if (!TryGetFilter(req, out cri, out message)) {
             return false;
          }
          trades_filter = new TradesSubscriptionFilter(cri);
          return true;
       }
       static bool TryGetFillsFilter(WebsocketRequest req, [NotNullWhen(true)] out FillsSubscriptionFilter? order_filter, out string message) {
+         SecurityCriteria? cri;
          order_filter = null;
-         if (req.parameters?["filter"] is not JObject filter) {
+         JObject? filter = req.parameters?["filter"] as JObject;
+         if (filter == null) {
             message = "filter not present";
             return false;
          }
-         if (!TryGetFilter(req, out SecurityCriteria? cri, out message) ||
-            !WebsocketJsonParsers.TryParse<uint>(filter, "accounts", out uint[]? accounts, out message) ||
-            !WebsocketJsonParsers.TryParse<OrderStatus>(filter, "statuses", out OrderStatus[]? statuses, out message)
-            ) {
+         if (!TryGetFilter(req, out cri, out message)) {
+            return false;
+         }
+         uint[]? accounts;
+         if (!WebsocketJsonParsers.TryParse<uint>(filter, "accounts", out accounts, out message)) {
+            return false;
+         }
+         OrderStatus[]? statuses;
+         if (!WebsocketJsonParsers.TryParse<OrderStatus>(filter, "statuses", out statuses, out message)) {
             return false;
          }
          order_filter = new FillsSubscriptionFilter(
@@ -130,16 +138,22 @@ namespace bts.websocket_core {
          return true;
       }
       static bool TryGetOrdersFilter(WebsocketRequest req, [NotNullWhen(true)] out OrdersSubscriptionFilter? order_filter, out string message) {
+         SecurityCriteria? cri;
          order_filter = null;
-         if (req.parameters?["filter"] is not JObject filter) {
+         JObject? filter = req.parameters?["filter"] as JObject;
+         if (filter == null) {
             message = "filter not present";
             return false;
          }
-         if (
-            !TryGetFilter(req, out SecurityCriteria? cri, out message) ||
-            !WebsocketJsonParsers.TryParse<uint>(filter, "accounts", out uint[]? accounts, out message) ||
-            !WebsocketJsonParsers.TryParse<OrderStatus>(filter, "statuses", out OrderStatus[]? statuses, out message)
-            ) {
+         if (!TryGetFilter(req, out cri, out message)) {
+            return false;
+         }
+         uint[]? accounts;
+         if (!WebsocketJsonParsers.TryParse<uint>(filter, "accounts", out accounts, out message)) {
+            return false;
+         }
+         OrderStatus[]? statuses;
+         if (!WebsocketJsonParsers.TryParse<OrderStatus>(filter, "statuses", out statuses, out message)) {
             return false;
          }
          order_filter = new OrdersSubscriptionFilter(
@@ -151,19 +165,39 @@ namespace bts.websocket_core {
 
       static bool TryGetFilter(WebsocketRequest req, [NotNullWhen(true)] out SecurityCriteria? cri, out string message) {
          cri = null;
-         if (req.parameters?["filter"] is not JObject filter) {
+         JObject? filter = req.parameters?["filter"] as JObject;
+         if (filter == null) {
             message = "filter not present";
             return false;
          }
-         if (
-            !WebsocketJsonParsers.TryParse<Venue>(filter, "venue", out Venue[]? exchanges, out message) ||
-            !WebsocketJsonParsers.TryParse<SecurityType>(filter, "kind", out SecurityType[]? types, out message) ||
-            !WebsocketJsonParsers.TryParse<PutOrCall>(filter, "call_or_put", out PutOrCall[]? callputs, out message) ||
-            !WebsocketJsonParsers.TryParse<DateTime>(filter, "expiration", out DateTime[]? expiration, out message) || 
-            !WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringListWrapper>(filter, "symbol", out WebsocketJsonParsers.StringListWrapper? symbols, out message) ||
-            !WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringListWrapper>(filter, "name", out WebsocketJsonParsers.StringListWrapper? names, out message) ||
-            !WebsocketJsonParsers.TryParse<double>(filter, "strikes", out double[]? strikes, out message)
-         ) {
+         Venue[]? exchanges;
+         if (!WebsocketJsonParsers.TryParse<Venue>(filter, "venue", out exchanges, out message)) {
+            return false;
+         }
+         SecurityType[]? types;
+         if (!WebsocketJsonParsers.TryParse<SecurityType>(filter, "kind", out types, out message)) {
+            return false;
+         }
+         PutOrCall[]? callputs;
+         if (!WebsocketJsonParsers.TryParse<PutOrCall>(filter, "call_or_put", out callputs, out message)) {
+            return false;
+         }
+         DateTime[]? expiration;
+         if (!WebsocketJsonParsers.TryParse<DateTime>(filter, "expiration", out expiration, out message)) {
+            return false;
+         }
+         // string[]? symbols = (string[]?)(filter.GetValueOrDefault("symbol")?.ToString()?.Split(",").Select(s => s.ToUpper()));
+         WebsocketJsonParsers.ListWrapper? symbols;
+         if (!WebsocketJsonParsers.TryParse<WebsocketJsonParsers.ListWrapper>(filter, "symbol", out symbols, out message)) {
+            return false;
+         }
+         WebsocketJsonParsers.ListWrapper? names;
+         if (!WebsocketJsonParsers.TryParse<WebsocketJsonParsers.ListWrapper>(filter, "name", out names, out message)) {
+            return false;
+         }
+         // filter.GetValueOrDefault("symbol")?.ToString()?.Split(",");
+         double[]? strikes;
+         if (!WebsocketJsonParsers.TryParse<double>(filter, "strikes", out strikes, out message)) {
             return false;
          }
          var clause = new SecurityCriteriaClause(
@@ -189,12 +223,13 @@ namespace bts.websocket_core {
          out string status) {
          hdlr = null;
 
-         if (
-            !WebsocketJsonParsers.TryParse<SUBSCRIPTION_TYPE>(req.parameters, "type", out SUBSCRIPTION_TYPE? type, out status) || status != "" ||
-            !WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringWrapper>(req.parameters, "subscription_id", out WebsocketJsonParsers.StringWrapper? id, out status) || id == null) {
+         SUBSCRIPTION_TYPE? type;
+         if (!WebsocketJsonParsers.TryParse<SUBSCRIPTION_TYPE>(req.parameters, "type", out type, out status) || status != "") {
+            return false;
+         }
+         if (!WebsocketJsonParsers.TryParse<WebsocketJsonParsers.StringWrapper>(req.parameters, "subscription_id", out WebsocketJsonParsers.StringWrapper? id, out status) || id == null) {
             return false;
          }
-        
          Action<WebsocketSubscriptionHandler> sub;
          switch (type) {
             case SUBSCRIPTION_TYPE.BOOKS: {

src/lib/cmake/GetLinuxClientSources.cmake

@@ -93,6 +93,10 @@ function(get_cpp_sources dest)
     md/MDConsumerInterop.cpp
     md/MDProducer.cpp
     md/MDProducerHandle.cpp
+    md/MarketDataError.cpp
+    md/MarketDataGateway.cpp
+    md/MarketDataRegistrationFactory.cpp
+    md/MarketDataSubscription.cpp
     md/MemorySegmentUtils.cpp
     md/PriceSize.cpp
     md/Product.cpp
@@ -109,6 +113,8 @@ function(get_cpp_sources dest)
     md/cme/MDP3Utils.cpp
     md/common.cpp
     md/ice/ICEUtils.cpp
+    md/recording/MDRecorder.cpp
+    md/recording/MDReplayer.cpp
     md/relay/QueryServer.cpp
     md/relay/RelayClient.cpp
     md/relay/RelayRecorder.cpp

src/lib/cmake/GetWindowsClientSources.cmake

@@ -87,6 +87,10 @@ function(get_cpp_sources dest)
     md/MDConsumerInterop.cpp
     md/MDProducer.cpp
     md/MDProducerHandle.cpp
+    md/MarketDataError.cpp
+    md/MarketDataGateway.cpp
+    md/MarketDataRegistrationFactory.cpp
+    md/MarketDataSubscription.cpp
     md/MemorySegmentUtils.cpp
     md/PriceSize.cpp
     md/Product.cpp

src/lib/config/profiles/default/jetfix.conf

@@ -17,9 +17,7 @@ JetFIXSimConnection {
         raw_data: "1JE9X"
         use_cme_secure_logon: false
         seconds_to_pause : 1
-        max_order_msgs_per_window: 300
-        window_duration_msecs: 1000
-	     max_connection_attempts: 9999999
+	max_connection_attempts: 9999999
       }
       sim_ice {
         name: "sim_ice"

src/lib/core/EnumMacros.h

@@ -1,7 +1,5 @@
 #pragma once
 
-#include <ostream>
-
 #define ENUM_BASIC_MEMBERS(type)                                               \
    Value value;                                                                \
                                                                                \

src/lib/domain_model/SecurityKey.h

@@ -1,14 +1,5 @@
 #pragma once
-
-#include "lib/core/FMT_IMPL.h"
 #include "lib/utils/ValueWrapper.h"
-
-#include <cstdint>
-
 namespace bts {
-
-using SecurityKey = utils::ValueWrapper<struct SecurityKeyTag, std::uint32_t>;
-
-} // namespace bts
-
-FMT_IMPL(bts::SecurityKey, k, "{}", k.value());
+using SecurityKey = utils::ValueWrapper<struct SecurityKeyTag, uint32_t>;
+}

src/lib/io/websocket/JsonRpcRequest.h

@@ -69,6 +69,8 @@ inline void from_json(const nlohmann::json &j, JsonRpcRequestT<ParamsT> &req) {
    j.at("method").get_to(req.method);
    j.at("params").get_to(req.params);
    std::vector<std::string> vec;
+   *vec.begin();
+   vec.begin()->size();
    auto id_j = j.find("id");
    if (id_j == j.end()) {
       req.id = std::nullopt;

src/lib/io/websocket/WebsocketMessage.h

@@ -1,7 +1,6 @@
 #pragma once
-
-#include <cstdint>
 #include <ostream>
+#include <string>
 #include <vector>
 
 namespace bts::io::websocket {

src/lib/logging/ccapi_logger.h

@@ -1,87 +0,0 @@
-#include "logging.h"
-
-#include "LoggerHub.h"
-#include "lib/core/LockGuard.h"
-#include "lib/utils/bts_assert.h"
-
-#include <boost/circular_buffer.hpp>
-#include <boost/container/flat_set.hpp>
-#include <boost/filesystem.hpp>
-#include <boost/filesystem/operations.hpp>
-#include <boost/filesystem/path.hpp>
-#include <ccapi_cpp/ccapi_logger.h>
-#include <ccapi_cpp/service/ccapi_market_data_service_deribit.h>
-#include <fmt/format.h>
-#include <google/protobuf/io/gzip_stream.h>
-#include <google/protobuf/io/zero_copy_stream_impl.h>
-#include <google/protobuf/text_format.h>
-#include <mutex>
-#include <string>
-
-namespace ccapi {
-
-class CcapiLogger final : public Logger {
- public:
-   void logMessage(
-       const std::string &severity,
-       const std::string & /*thread_id*/,
-       const std::string & /*time_iso*/,
-       const std::string &file_name,
-       const std::string &line_num,
-       const std::string &msg) override {
-      auto level = to_bts_level_(severity);
-      if (!bts::log::_thread_logger.logger->is_loggable(bts::log::md, level)) {
-         return;
-      }
-
-      // Add file name to cache to preserve it in memory until the log is
-      // [asynchronously] committed
-      const auto &cached_file_name = store_file_name_(file_name);
-      bts::log::_thread_logger.logger->enqueue(
-          bts::log::log_ts(), bts::log::md, level, cached_file_name.c_str(),
-          stoi(line_num), "{}", msg);
-   }
-
-   static bts::log::Level to_bts_level_(const std::string &ccapi_severity) {
-      bts_assert(!ccapi_severity.empty());
-      // TRACE and DEBUG translate to Diag; all other levels have identical
-      // names in ccapi and spark
-      if (ccapi_severity[0] == 'T' || ccapi_severity[0] == 'D') {
-         return bts::Diag;
-      }
-      if (ccapi_severity[0] == 'I') {
-         return bts::Info;
-      }
-      if (ccapi_severity[0] == 'W') {
-         return bts::Warn;
-      }
-      if (ccapi_severity[0] == 'E') {
-         return bts::Error;
-      }
-      if (ccapi_severity[0] == 'F') {
-         return bts::Fatal;
-      }
-      bts_assert(false);
-      return bts::Fatal;
-   }
-
- private:
-   std::mutex instance_mx_;
-   std::unordered_set<std::string> file_name_store_;
-   // This buffer is intended to keep file name strings in memory until the log
-   // is [asynchronously] committed. There is no mechanism for determining when
-   // the log is actually committed; we just hope that the log system won't be
-   // flooded to the point that file names are pushed out of the buffer before
-   // their corresponding logs are committed.
-   //
-   // Note: Another implementation, which would guarentee file names are
-   // preserved, is to maintain a set of unique file names. Naturally, it's
-   // size would be limited, but not without cost in additional overhead for
-   // lookups.
-   const std::string &store_file_name_(const std::string &file_name) {
-      LOCK_GUARD(instance_mx_);
-      return *file_name_store_.insert(file_name).first;
-   }
-};
-
-} // namespace ccapi

src/lib/logging/logging.cpp

@@ -1,16 +1,17 @@
 #include "logging.h"
+
 #include "LoggerHub.h"
 #include "lib/config/config.h"
 #include "lib/config/protos/deployment_type.pb.h"
 #include "lib/config/protos/logging.pb.h"
 #include "lib/config/protos/system_config.pb.h"
+#include "lib/core/LockGuard.h"
 #include "lib/os/os.h"
 #include "lib/utils/Dispatcher.h"
 #include "lib/utils/bts_assert.h"
+#include "lib/utils/bts_chrono.h"
+#include "lib/utils/file_utils.h"
 #include "lib/utils/thread_manager.h"
-#ifdef SPARK_ENABLE_CCAPI
-#include "lib/logging/ccapi_logger.h"
-#endif
 
 #include <boost/circular_buffer.hpp>
 #include <boost/container/flat_set.hpp>
@@ -18,12 +19,16 @@
 #include <boost/filesystem/operations.hpp>
 #include <boost/filesystem/path.hpp>
 #include <fmt/format.h>
+#include <string>
+#ifdef SPARK_ENABLE_CCAPI
+#include <ccapi_cpp/ccapi_logger.h>
+#include <ccapi_cpp/service/ccapi_market_data_service_deribit.h>
+#endif
 #include <fstream>
 #include <google/protobuf/io/gzip_stream.h>
 #include <google/protobuf/io/zero_copy_stream_impl.h>
 #include <google/protobuf/text_format.h>
 #include <mutex>
-#include <string>
 
 namespace bts {
 namespace log {
@@ -218,9 +223,72 @@ extern "C" BTS_EXPORT void Logger_log(
 
 #ifdef SPARK_ENABLE_CCAPI
 namespace ccapi {
+class SparkLoggerAdaptor final : public Logger {
+ public:
+   void logMessage(
+       const std::string &severity,
+       const std::string & /*thread_id*/,
+       const std::string & /*time_iso*/,
+       const std::string &file_name,
+       const std::string &line_num,
+       const std::string &msg) override {
+      auto level = to_bts_level_(severity);
+      if (!bts::log::_thread_logger.logger->is_loggable(bts::log::md, level)) {
+         return;
+      }
 
-CcapiLogger ccapi_logger;
-Logger *Logger::logger = &ccapi_logger;
+      // Add file name to cache to preserve it in memory until the log is
+      // [asynchronously] committed
+      const auto &cached_file_name = store_file_name_(file_name);
+      bts::log::_thread_logger.logger->enqueue(
+          bts::log::log_ts(), bts::log::md, level, cached_file_name.c_str(),
+          stoi(line_num), "{}", msg);
+   }
+
+   static bts::log::Level to_bts_level_(const std::string &ccapi_severity) {
+      bts_assert(!ccapi_severity.empty());
+      // TRACE and DEBUG translate to Diag; all other levels have identical
+      // names in ccapi and spark
+      if (ccapi_severity[0] == 'T' || ccapi_severity[0] == 'D') {
+         return bts::Diag;
+      }
+      if (ccapi_severity[0] == 'I') {
+         return bts::Info;
+      }
+      if (ccapi_severity[0] == 'W') {
+         return bts::Warn;
+      }
+      if (ccapi_severity[0] == 'E') {
+         return bts::Error;
+      }
+      if (ccapi_severity[0] == 'F') {
+         return bts::Fatal;
+      }
+      bts_assert(false);
+      return bts::Fatal;
+   }
+
+ private:
+   std::mutex instance_mx_;
+   std::unordered_set<std::string> file_name_store_;
+   // This buffer is intended to keep file name strings in memory until the log
+   // is [asynchronously] committed. There is no mechanism for determining when
+   // the log is actually committed; we just hope that the log system won't be
+   // flooded to the point that file names are pushed out of the buffer before
+   // their corresponding logs are committed.
+   //
+   // Note: Another implementation, which would guarentee file names are
+   // preserved, is to maintain a set of unique file names. Naturally, it's
+   // size would be limited, but not without cost in additional overhead for
+   // lookups.
+   const std::string &store_file_name_(const std::string &file_name) {
+      LOCK_GUARD(instance_mx_);
+      return *file_name_store_.insert(file_name).first;
+   }
+};
+
+SparkLoggerAdaptor spark_logger_adaptor;
+Logger *Logger::logger = &spark_logger_adaptor;
 
 } // namespace ccapi
 #endif

src/lib/md/CCApiCompositeMessageHandler.cpp

@@ -1,3 +1,4 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "CCApiCompositeMessageHandler.h"
 #include "lib/collections/Remove.h"
 
@@ -36,3 +37,4 @@ void CCApiCompositeMessageHandler::on_messages(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiCompositeMessageHandler.h

@@ -1,7 +1,6 @@
 #pragma once
-
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
-
+#ifdef SPARK_ENABLE_CCAPI
+#include "lib/md/ICCApiMessageHandler.h"
 #include <memory>
 #include <vector>
 
@@ -39,3 +38,4 @@ T &CCApiCompositeMessageHandler::emplace(Args... args) {
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiCorrelationID.h

@@ -1,10 +1,9 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/core/FMT_IMPL.h"
 #include "lib/core/StringFinder.h"
 #include "lib/core/StringJoiner.h"
 #include "lib/utils/bts_assert.h"
-
 #include <boost/algorithm/string/split.hpp>
 #include <cstddef>
 #include <string>
@@ -270,3 +269,4 @@ struct std::hash<bts::md::CCApiCorrelationID> {
 };
 
 FMT_IMPL(bts::md::CCApiCorrelationID, cid, "{}", cid.to_string());
+#endif

src/lib/md/CCApiDepthWalker.cpp

@@ -1,6 +1,6 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "CCApiDepthWalker.h"
 #include "lib/utils/bts_assert.h"
-
 #include <limits>
 
 namespace bts::md {
@@ -37,3 +37,4 @@ bool CCApiDepthWalker::parse_field(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiDepthWalker.h

@@ -1,8 +1,7 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/domain/BookSide.h"
-
-#include <cstddef>
+#include <cstdint>
 #include <string>
 
 namespace bts::md {
@@ -19,3 +18,4 @@ class CCApiDepthWalker {
 };
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiEventDemuxer.cpp

@@ -1,8 +1,9 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "CCApiEventDemuxer.h"
 #include "lib/collections/DiscreteValuesFilter.h"
 #include "lib/collections/Find.h"
-#include "server/sparkd/md/ccapi/CCApiCorrelationID.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
+#include "lib/md/CCApiCorrelationID.h"
+#include "lib/md/ICCApiMessageHandler.h"
 
 #include "lib/utils/helper_macros.h"
 #include <ccapi_cpp/ccapi_event_handler.h>
@@ -165,3 +166,4 @@ bool CCApiEventDemuxer::remove_handler(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiEventDemuxer.h

@@ -1,7 +1,6 @@
 #pragma once
-
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
-
+#ifdef SPARK_ENABLE_CCAPI
+#include "lib/md/ICCApiMessageHandler.h"
 #include <ccapi_cpp/ccapi_event_handler.h>
 #include <cstdint>
 #include <memory>
@@ -80,3 +79,4 @@ class CCApiEventDemuxer : public ccapi::EventHandler,
 };
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiEventLogger.h

@@ -1,7 +1,6 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/logging/logging.h"
-
 #include <ccapi_cpp/ccapi_event_handler.h>
 
 namespace bts::md {
@@ -16,3 +15,4 @@ class CCApiRequestor_Handler : public ccapi::EventHandler {
 };
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiHttpParams.cpp

@@ -1,3 +1,5 @@
+#ifdef SPARK_ENABLE_CCAPI
+
 #include "CCApiHttpParams.h"
 #include "lib/algorithm/StringCaseConverter.h"
 
@@ -45,3 +47,4 @@ map<string, string> CCApiHttpParams::to_map() const {
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiHttpParams.h

@@ -1,4 +1,5 @@
 #pragma once
+#ifdef SPARK_ENABLE_CCAPI
 
 #include "lib/io/QueryParams.h"
 #include "lib/io/http/HttpMethod.h"
@@ -24,3 +25,4 @@ class CCApiHttpParams {
 };
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiJsonRpcRequest.h

@@ -1,7 +1,8 @@
 #pragma once
+#ifdef SPARK_ENABLE_CCAPI
 
 #include "lib/io/websocket/JsonRpcRequest.h"
-#include "server/sparkd/md/ccapi/CCApiCorrelationID.h"
+#include "lib/md/CCApiCorrelationID.h"
 
 #include <ccapi_cpp/ccapi_subscription.h>
 
@@ -54,3 +55,4 @@ inline const io::websocket::JsonRpcId &CCApiJsonRpcRequest::id() const {
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiJsonRpcRouter.cpp

@@ -1,8 +1,10 @@
+#ifdef SPARK_ENABLE_CCAPI
+
 #include "CCApiJsonRpcRouter.h"
 #include "lib/algorithm/TryCatch.h"
 #include "lib/io/websocket/JsonRpcHandler.h"
+#include "lib/md/CCApiReader.h"
 #include "lib/utils/bts_fatal.h"
-#include "server/sparkd/md/ccapi/CCApiReader.h"
 
 #include <ccapi_cpp/ccapi_event.h>
 #include <ccapi_cpp/ccapi_message.h>
@@ -43,3 +45,4 @@ void CCApiJsonRpcRouter::on_messages(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiJsonRpcRouter.h

@@ -1,8 +1,9 @@
 #pragma once
+#ifdef SPARK_ENABLE_CCAPI
 
 #include "lib/io/websocket/JsonRpcHandler.h"
 #include "lib/io/websocket/JsonRpcRouter.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
+#include "lib/md/ICCApiMessageHandler.h"
 
 #include <memory>
 #include <nlohmann/json.hpp>
@@ -73,3 +74,4 @@ CCApiJsonRpcRouter::notification_handler(const std::string &method) {
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiMarketDepthAdaptor.cpp

@@ -1,9 +1,10 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "CCApiMarketDepthAdaptor.h"
 #include "lib/domain/BUY_SELL.h"
 #include "lib/domain/Book.h"
-#include "server/sparkd/md/ccapi/CCApiCorrelationID.h"
-#include "server/sparkd/md/ccapi/CCApiDepthWalker.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
+#include "lib/md/CCApiCorrelationID.h"
+#include "lib/md/CCApiDepthWalker.h"
+#include "lib/md/ICCApiMessageHandler.h"
 
 #include <ccapi_cpp/ccapi_event.h>
 #include <ccapi_cpp/ccapi_macro.h>
@@ -73,3 +74,4 @@ void CCApiMarketDepthAdaptor::on_messages(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiMarketDepthAdaptor.h

@@ -1,9 +1,8 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/domain/Book.h"
+#include "lib/md/ICCApiMessageHandler.h"
 #include "lib/md/IMarketDataListener.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
-
 #include <vector>
 
 namespace ccapi {
@@ -42,3 +41,4 @@ class CCApiMarketDepthAdaptor : public ICCApiMessageHandler {
 };
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiMessageHandler.h

@@ -1,9 +1,8 @@
 #pragma once
-
-#include "server/sparkd/md/ccapi/CCApiCorrelationID.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
+#ifdef SPARK_ENABLE_CCAPI
+#include "lib/md/CCApiCorrelationID.h"
+#include "lib/md/ICCApiMessageHandler.h"
 #include "lib/utils/Delegate.h"
-
 #include <ccapi_cpp/ccapi_event.h>
 #include <ccapi_cpp/ccapi_message.h>
 #include <ccapi_cpp/ccapi_session.h>
@@ -44,3 +43,4 @@ class CCApiMessageHandler : public ICCApiMessageHandler {
 };
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiMessageLogger.cpp

@@ -1,7 +1,7 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "CCApiMessageLogger.h"
 #include "lib/core/StringJoiner.h"
 #include "lib/core/TimeStamp.h"
-
 #include <fmt/format.h>
 #include <range/v3/view.hpp>
 #include <range/v3/view/transform.hpp>
@@ -30,3 +30,4 @@ void CCApiMessageLogger::on_messages(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiMessageLogger.h

@@ -1,7 +1,8 @@
 #pragma once
-
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
-
+#ifdef SPARK_ENABLE_CCAPI
+#include "lib/domain/Book.h"
+#include "lib/md/ICCApiMessageHandler.h"
+#include "lib/md/IMarketDataListener.h"
 #include <vector>
 
 namespace ccapi {
@@ -30,3 +31,4 @@ class CCApiMessageLogger : public ICCApiMessageHandler {
 };
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiReader.cpp

@@ -1,3 +1,4 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "CCApiReader.h"
 
 #include <ccapi_cpp/ccapi_macro.h>
@@ -110,3 +111,4 @@ vector<json> CCApiReader::read_http_jsons(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiReader.h

@@ -1,7 +1,6 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/utils/bts_assert.h"
-
 #include <map>
 #include <nlohmann/json.hpp>
 #include <sstream>
@@ -193,3 +192,4 @@ inline bool CCApiReader::parse_(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiSession.cpp

@@ -1,8 +1,9 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "CCApiSession.h"
 #include "lib/logging/logging.h"
-#include "server/sparkd/md/ccapi/CCApiCorrelationID.h"
-#include "server/sparkd/md/ccapi/CCApiEventDemuxer.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
+#include "lib/md/CCApiCorrelationID.h"
+#include "lib/md/CCApiEventDemuxer.h"
+#include "lib/md/ICCApiMessageHandler.h"
 
 #include <ccapi_cpp/ccapi_event.h>
 #include <ccapi_cpp/ccapi_event_dispatcher.h>
@@ -146,3 +147,4 @@ void CCApiSession::subscribe(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiSession.h

@@ -1,9 +1,8 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
+#include "lib/md/CCApiCorrelationID.h"
+#include "lib/md/ICCApiMessageHandler.h"
 #include "lib/utils/Delegate.h"
-#include "server/sparkd/md/ccapi/CCApiCorrelationID.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
-
 #include <cstdint>
 #include <map>
 #include <memory>
@@ -99,3 +98,4 @@ class CCApiSession {
 };
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiTradeAdaptor.cpp

@@ -1,11 +1,12 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "CCApiTradeAdaptor.h"
 #include "lib/core/TimeStamp.h"
 #include "lib/domain/SecurityID.h"
 #include "lib/domain/TradeRecord.h"
+#include "lib/md/CCApiCorrelationID.h"
+#include "lib/md/CCApiTradeRecord.h"
+#include "lib/md/ICCApiMessageHandler.h"
 #include "lib/utils/bts_fatal.h"
-#include "server/sparkd/md/ccapi/CCApiCorrelationID.h"
-#include "server/sparkd/md/ccapi/CCApiTradeRecord.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
 
 #include <ccapi_cpp/ccapi_event.h>
 #include <ccapi_cpp/ccapi_message.h>
@@ -66,3 +67,4 @@ void CCApiTradeAdaptor::on_messages(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiTradeAdaptor.h

@@ -1,10 +1,9 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/domain/SecurityID.h"
-#include "server/sparkd/md/ccapi/CCApiTradeRecord.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
+#include "lib/md/CCApiTradeRecord.h"
+#include "lib/md/ICCApiMessageHandler.h"
 #include "lib/md/IMarketDataListener.h"
-
 #include <vector>
 
 namespace ccapi {
@@ -37,3 +36,4 @@ class CCApiTradeAdaptor : public ICCApiMessageHandler {
 };
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiTradeRecord.cpp

@@ -1,3 +1,4 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "CCApiTradeRecord.h"
 #include "lib/domain/AggressorSide.h"
 #include "lib/domain/Price.h"
@@ -5,10 +6,9 @@
 #include "lib/domain/TradeRecord.h"
 #include "lib/io/JsonDumper.h"
 #include "lib/io/JsonReader.h"
+#include "lib/md/CCApiReader.h"
 #include "lib/utils/bts_chrono.h"
 #include "lib/utils/datetime.h"
-#include "server/sparkd/md/ccapi/CCApiReader.h"
-
 #include <ccapi_cpp/ccapi_element.h>
 #include <ccapi_cpp/ccapi_macro.h>
 #include <ccapi_cpp/ccapi_message.h>
@@ -109,3 +109,4 @@ std::ostream &operator<<(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/CCApiTradeRecord.h

@@ -1,7 +1,7 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/core/NaN.h"
-
+#include "lib/core/TimeStamp.h"
 #include <cstdint>
 #include <nlohmann/json.hpp>
 #include <vector>
@@ -47,3 +47,4 @@ void to_json(nlohmann::json &j, const CCApiTradeRecord &r);
 std::ostream &operator<<(std::ostream &out, const CCApiTradeRecord &r) noexcept;
 
 } // namespace bts::md
+#endif

src/lib/md/ExchangeOrderKey.h

@@ -1,15 +1,9 @@
 #pragma once
-
 #include "lib/utils/ValueWrapper.h"
-
-#include <cstdint>
-
-namespace bts::md {
-
+namespace bts {
+namespace md {
 using ExchangeOrderKey =
-    utils::ValueWrapper<struct ExchangeOrderKeyTag, std::uint64_t>;
-
-using SparkOrderKey =
-    utils::ValueWrapper<struct SparkOrderKeyTag, std::uint64_t>;
-
-} // namespace bts::md
+    utils::ValueWrapper<struct ExchangeOrderKeyTag, uint64_t>;
+using SparkOrderKey = utils::ValueWrapper<struct SparkOrderKeyTag, uint64_t>;
+} // namespace md
+} // namespace bts

src/lib/md/ExchangeSecurityKey.h

@@ -1,12 +1,6 @@
 #pragma once
-
 #include "lib/utils/ValueWrapper.h"
-
-#include <cstdint>
-
 namespace bts {
-
 using ExchangeSecurityKey =
-    utils::ValueWrapper<struct ExchangeSecurityKeyTag, std::uint64_t>;
-
-} // namespace bts
+    utils::ValueWrapper<struct ExchangeSecurityKeyTag, uint64_t>;
+}

src/lib/md/GeneralMarketDataListener.cpp

@@ -1,4 +1,4 @@
-//#ifdef SPARK_ENABLE_CCAPI
+#ifdef SPARK_ENABLE_CCAPI
 #include "GeneralMarketDataListener.h"
 #include "lib/api/domain/Currency.pb.h"
 #include "lib/api/domain/SecurityType.pb.h"
@@ -464,4 +464,4 @@ void GeneralMarketDataListener::_possibly_match_with_sim_orders(
 }
 
 } // namespace bts::md
-//#endif
+#endif

src/lib/md/ICCApiMessageHandler.cpp

@@ -1,8 +1,10 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "ICCApiMessageHandler.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
+#include "lib/md/ICCApiMessageHandler.h"
 
 namespace bts::md {
 
 ICCApiMessageHandler::~ICCApiMessageHandler() = default;
 
 } // namespace bts::md
+#endif

src/lib/md/ICCApiMessageHandler.h

@@ -1,6 +1,6 @@
 #pragma once
-
-#include "server/sparkd/md/ccapi/CCApiCorrelationID.h"
+#ifdef SPARK_ENABLE_CCAPI
+#include "lib/md/CCApiCorrelationID.h"
 
 #include <ccapi_cpp/ccapi_message.h>
 #include <vector>
@@ -29,3 +29,4 @@ class ICCApiMessageHandler {
 };
 
 } // namespace bts::md
+#endif

src/lib/md/MDConsumer.cpp

@@ -537,7 +537,7 @@ class SyntheticConsumerInst {
    IncompleteStrategy to_strategy(const shared_ptr<api::Security> &security) {
       IncompleteStrategy res;
       res.security = security;
-      auto meta = _ss->get_metadata(bts::SecurityKey(security->id()));
+      auto meta = _ss->get_metadata(SecurityKey(security->id()));
       // If metadata is set copy it otherwise we use the default proto
       if (meta) {
          res.strategy.CopyFrom(meta->strategy());

src/lib/md/MarketDataGateway.cpp

@@ -1,38 +1,48 @@
+#include "lib/api/md/GlbxMarketDataConfig.pb.h"
+#if !defined(_WIN32) && defined(SPARK_ENABLE_CCAPI)
 #include "MarketDataGateway.h"
 #include "lib/api/md/EmumbaDeribitMarketDataConfig.pb.h"
+#include "lib/api/md/GlbxMarketDataConfig.pb.h"
 #include "lib/api/md/MarketDataConfig.pb.h"
 #include "lib/api/md/MarketDataConfigUtils.h"
 #include "lib/api/md/MarketDataReplayConfig.pb.h"
 #include "lib/collections/Contains.h"
 #include "lib/config/protos/system_config.pb.h"
 #include "lib/core/FMT.h"
+#include "lib/domain/FutureSecurity.h"
+#include "lib/domain/OptionSecurity.h"
+#include "lib/domain/Security.h"
 #include "lib/domain/SecurityID.h"
+#include "lib/domain/SpotSecurity.h"
 #include "lib/domain_model/Security.pb.h"
 #include "lib/io/ProtoPrinter.h"
 #include "lib/logging/logging.h"
 #include "lib/md/GeneralMarketDataListener.h"
 #include "lib/md/GeneralSecurityIndex.h"
+#include "lib/md/IMarketDataListener.h"
 #include "lib/md/MDProducer.h"
+#include "lib/md/MarketDataListenerID.h"
+#include "lib/md/MarketDataRegistration.h"
+#include "lib/md/MarketDataRegistrationError.h"
+#include "lib/md/MarketDataRegistrationFactory.h"
+#include "lib/md/MarketDataSubscription.h"
+#include "lib/md/binance/BinanceSubscription.h"
+#include "lib/md/binance_us/BinanceUsSubscription.h"
+#include "lib/md/binance_usds_futures/BinanceUsdsFuturesSubscription.h"
+#include "lib/md/coinbase/CoinbaseSubscription.h"
+#include "lib/md/deribit/DeribitSubscription.h"
+#include "lib/md/ftx/FTXSubscription.h"
+#include "lib/md/okx/OkxSubscription.h"
+#include "lib/md/recording/MDReplayer.h"
+#include "lib/md/vendor/emumba/EmumbaDeribitData.h"
 #include "lib/persistence/IDGenerator.h"
+#include "lib/utils/PBUtils.h"
 #include "lib/utils/bts_assert.h"
 #include "lib/utils/bts_fatal.h"
 #include "lib/utils/thread_manager.h"
-#include "server/sparkd/md/MarketDataListenerID.h"
-#include "server/sparkd/md/MarketDataRegistration.h"
-#include "server/sparkd/md/MarketDataRegistrationError.h"
-#include "server/sparkd/md/MarketDataRegistrationFactory.h"
-#include "server/sparkd/md/MarketDataSubscription.h"
-#include "server/sparkd/md/binance/BinanceSubscription.h"
-#include "server/sparkd/md/binance_us/BinanceUsSubscription.h"
-#include "server/sparkd/md/binance_usds_futures/BinanceUsdsFuturesSubscription.h"
-#include "server/sparkd/md/coinbase/CoinbaseSubscription.h"
-#include "server/sparkd/md/deribit/DeribitSubscription.h"
-#include "server/sparkd/md/emumba/EmumbaDeribitData.h"
-#include "server/sparkd/md/ftx/FTXSubscription.h"
-#include "server/sparkd/md/okx/OkxSubscription.h"
+#include "server/sparkd/md/platforms/emumba/EmumbaMain.h"
 #include "server/sparkd/md/platforms/mdp3_onixs/MDP3Main.h"
-#include "server/sparkd/md/recording/MDReplayer.h"
-#include "server/sparkd/md/cme/CMEActivSession.h"
+#include "lib/md/cme/CMEActivSession.h"
 
 #include <bits/stdint-uintn.h>
 #include <boost/filesystem.hpp>
@@ -40,6 +50,7 @@
 #include <memory>
 #include <optional>
 #include <unordered_map>
+#include <utility>
 #include <vector>
 
 namespace bts::md {
@@ -387,3 +398,4 @@ void MarketDataGateway::_start_replays(
 }
 
 } // namespace bts::md
+#endif

src/lib/md/MarketDataGateway.h

@@ -1,8 +1,8 @@
 #pragma once
 
+#if !defined(_WIN32) && defined(SPARK_ENABLE_CCAPI)
 #include "lib/api/md/GlbxMarketDataConfig.pb.h"
-#include "server/sparkd/md/MarketDataListenerID.h"
-
+#include "MarketDataListenerID.h"
 #include <memory>
 
 namespace bts::api::md {
@@ -43,3 +43,4 @@ class MarketDataGateway {
 };
 
 } // namespace bts::md
+#endif

src/lib/md/MarketDataListener.h

@@ -1,12 +1,12 @@
 #pragma once
-
-#include "lib/md/IMarketDataListener.h"
+#ifndef _WIN32
+#include "IMarketDataListener.h"
 #include "lib/domain/Book.h"
 #include "lib/domain/Security.h"
 #include "lib/domain/SecurityMarketDataStatistics.h"
 #include "lib/domain/SecurityState.h"
 #include "lib/domain/TradeRecord.h"
-#include "server/sparkd/md/MarketDataError.h"
+#include "lib/md/MarketDataError.h"
 
 namespace bts::md {
 
@@ -29,23 +29,24 @@ class MarketDataListener : public IMarketDataListener {
 // Definition
 //////////////////////////////////////////////////
 
-inline void MarketDataListener::on_securities(
+void MarketDataListener::on_securities(
     const std::vector<const domain::Security *> & /*complete_security_list*/) {}
 
-inline void MarketDataListener::on_security_state(
+void MarketDataListener::on_security_state(
     const domain::SecurityState & /*security_state*/) {}
 
-inline void MarketDataListener::on_security_statistics(
+void MarketDataListener::on_security_statistics(
     const domain::SecurityMarketDataStatistics & /*security_stats*/) {}
 
-inline void MarketDataListener::on_book(const domain::Book & /*book*/) {}
+void MarketDataListener::on_book(const domain::Book & /*book*/) {}
 
-inline void MarketDataListener::on_trades(
+void MarketDataListener::on_trades(
     const std::vector<const domain::TradeRecord *> & /*trades*/) {}
 
-inline void MarketDataListener::on_rfqs(
+void MarketDataListener::on_rfqs(
     const std::vector<const domain::RFQ *> & /*rfqs*/) {}
 
-inline void MarketDataListener::on_error(const MarketDataError & /*error*/) {}
+void MarketDataListener::on_error(const MarketDataError & /*error*/) {}
 
 } // namespace bts::md
+#endif

src/lib/md/MarketDataSubscription.cpp

@@ -1,12 +1,14 @@
+#if !defined(_WIN32) && defined(SPARK_ENABLE_CCAPI)
 #include "MarketDataSubscription.h"
-#include "server/sparkd/md/binance/BinanceSubscription.h"
-#include "server/sparkd/md/binance_us/BinanceUsSubscription.h"
-#include "server/sparkd/md/binance_usds_futures/BinanceUsdsFuturesSubscription.h"
-#include "server/sparkd/md/coinbase/CoinbaseSubscription.h"
-#include "server/sparkd/md/deribit/DeribitSubscription.h"
-#include "server/sparkd/md/ftx/FTXSubscription.h"
-#include "server/sparkd/md/okx/OkxSubscription.h"
-
+#include "lib/api/md/MarketDataConfig.pb.h"
+#include "lib/md/binance/BinanceSubscription.h"
+#include "lib/md/binance_us/BinanceUsSubscription.h"
+#include "lib/md/binance_usds_futures/BinanceUsdsFuturesSubscription.h"
+#include "lib/md/coinbase/CoinbaseSubscription.h"
+#include "lib/md/deribit/DeribitSubscription.h"
+#include "lib/md/ftx/FTXSubscription.h"
+#include "lib/md/okx/OkxSubscription.h"
+#include <variant>
 #include <vector>
 
 namespace bts::md {
@@ -58,3 +60,4 @@ void MarketDataSubscription::add(okx::OkxSubscription sub) {
 }
 
 } // namespace bts::md
+#endif

src/lib/md/MarketDataSubscription.h

@@ -1,5 +1,5 @@
 #pragma once
-
+#if !defined(_WIN32) && defined(SPARK_ENABLE_CCAPI)
 #include <memory>
 
 namespace bts::md::binance {
@@ -57,3 +57,4 @@ class MarketDataSubscription {
 };
 
 } // namespace bts::md
+#endif

src/lib/md/Shm/FixedSecurity.h

@@ -2,7 +2,6 @@
 
 #include "../common.h"
 #include "lib/core/FMT_IMPL.h"
-#include "lib/core/TimeStamp.h"
 #include "lib/io/JsonDumper.h"
 #include "lib/io/JsonReader.h"
 #include "lib/utils/ValueWrapper.h"
@@ -10,8 +9,8 @@
 #include "lib/utils/bts_assert.h"
 #include "lib/utils/bts_export.h"
 #include "lib/utils/bts_no_copy.h"
+#include "lib/core/TimeStamp.h"
 #include "lib/utils/warn_ctrl.h"
-#include "lib/domain_model/SecurityKey.h"
 
 #include <nlohmann/json.hpp>
 #include <sstream>
@@ -20,13 +19,10 @@
 namespace bts {
 namespace md {
 
-using SecurityKey = bts::SecurityKey;
+using SecurityKey = utils::ValueWrapper<struct SecurityKeyTag, uint32_t>;
 using ExchangeKey = utils::ValueWrapper<struct ExchangeKeyTag, uint64_t>;
 
 GCC_DIAG_OFF("-Weffc++") // No Virtual Destructors by design
-#ifndef __clang__
-GCC_DIAG_OFF("-Wstringop-truncation")
-#endif
 
 #define STRING_PROPERTY(NAME)                                                  \
    const char *NAME() const { return _##NAME; }                                \
@@ -133,7 +129,7 @@ struct BTS_EXPORT FixedSpreadLeg {
    double leg_delta;
 };
 
-template <int LEGCOUNT = 64>
+template <int LEGCOUNT = 16>
 class FixedSpreadSecurity : public FixedSecurity {
    char _summary[128];
 
@@ -220,6 +216,7 @@ SecurityType securitytype_of(const Security &);
 size_t num_legs(const Security &);
 uint64_t exchange_id(const Security &security);
 
+
 void to_json(nlohmann::json &j, const FixedSpreadLeg &f);
 
 void to_json(nlohmann::json &j, const FixedSecurity &f);
@@ -389,3 +386,5 @@ void with_security_like(const api::Security &security, C cb) {
 
 } // namespace md
 } // namespace bts
+
+FMT_IMPL(bts::md::SecurityKey, k, "{}", *k);

src/lib/md/binance/BinanceContractType.h

@@ -1,10 +1,10 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/core/EnumMacros.h"
 #include "lib/core/FMT_IMPL.h"
-
 #include <fmt/format.h>
 #include <nlohmann/json.hpp>
+#include <ostream>
 
 namespace bts::md::binance {
 
@@ -23,3 +23,5 @@ ENUM_CLASS_DEF(BinanceContractType, FOR_ALL_VALUES)
 } // namespace bts::md::binance
 
 FMT_IMPL(bts::md::binance::BinanceContractType, t, "{}", t.name());
+
+#endif

src/lib/md/binance/BinanceFilterTuple.h

@@ -1,20 +1,20 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/io/JsonDumper.h"
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
-#include "server/sparkd/md/binance/BinanceIcebergPartsFilter.h"
-#include "server/sparkd/md/binance/BinanceLotSizeFilter.h"
-#include "server/sparkd/md/binance/BinanceMarketLotSizeFilter.h"
-#include "server/sparkd/md/binance/BinanceMaxNumAlgoOrdersFilter.h"
-#include "server/sparkd/md/binance/BinanceMaxNumOrdersFilter.h"
-#include "server/sparkd/md/binance/BinanceMaxPositionFilter.h"
-#include "server/sparkd/md/binance/BinanceMinNotionalFilter.h"
-#include "server/sparkd/md/binance/BinanceNotionalFilter.h"
-#include "server/sparkd/md/binance/BinancePercentPriceBySideFilter.h"
-#include "server/sparkd/md/binance/BinancePercentPriceFilter.h"
-#include "server/sparkd/md/binance/BinancePriceFilter.h"
-#include "server/sparkd/md/binance/BinanceTrailingDeltaFilter.h"
+#include "lib/md/binance/BinanceFilterType.h"
+#include "lib/md/binance/BinanceIcebergPartsFilter.h"
+#include "lib/md/binance/BinanceLotSizeFilter.h"
+#include "lib/md/binance/BinanceMarketLotSizeFilter.h"
+#include "lib/md/binance/BinanceMaxNumAlgoOrdersFilter.h"
+#include "lib/md/binance/BinanceMaxNumOrdersFilter.h"
+#include "lib/md/binance/BinanceMaxPositionFilter.h"
+#include "lib/md/binance/BinanceMinNotionalFilter.h"
+#include "lib/md/binance/BinanceNotionalFilter.h"
+#include "lib/md/binance/BinancePercentPriceBySideFilter.h"
+#include "lib/md/binance/BinancePercentPriceFilter.h"
+#include "lib/md/binance/BinancePriceFilter.h"
+#include "lib/md/binance/BinanceTrailingDeltaFilter.h"
 
 #include <nlohmann/json.hpp>
 #include <string>
@@ -125,3 +125,4 @@ inline std::ostream &operator<<(
 }
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceFilterType.h

@@ -1,10 +1,10 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/core/EnumMacros.h"
 #include "lib/core/FMT_IMPL.h"
-
 #include <fmt/format.h>
 #include <nlohmann/json.hpp>
+#include <ostream>
 
 namespace bts::md::binance {
 
@@ -40,3 +40,5 @@ ENUM_CLASS_DEF(BinanceFilterType, FOR_ALL_VALUES)
 } // namespace bts::md::binance
 
 FMT_IMPL(bts::md::binance::BinanceFilterType, t, "{}", t.name());
+
+#endif

src/lib/md/binance/BinanceIcebergPartsFilter.h

@@ -1,8 +1,9 @@
 #pragma once
+#ifdef SPARK_ENABLE_CCAPI
 
 #include "lib/io/JsonMacros.h"
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
+#include "lib/md/binance/BinanceFilterType.h"
 
 #include <iostream>
 #include <nlohmann/json.hpp>
@@ -33,3 +34,4 @@ OSTREAM_JSON_IMPL(BinanceIcebergPartsFilter);
 #undef FOR_EACH
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceInstrumentStatus.h

@@ -1,10 +1,10 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/core/EnumMacros.h"
 #include "lib/core/FMT_IMPL.h"
-
 #include <fmt/format.h>
 #include <nlohmann/json.hpp>
+#include <ostream>
 
 namespace bts::md::binance {
 
@@ -25,3 +25,5 @@ ENUM_CLASS_DEF(BinanceInstrumentStatus, FOR_ALL_VALUES)
 } // namespace bts::md::binance
 
 FMT_IMPL(bts::md::binance::BinanceInstrumentStatus, s, "{}", s.name());
+
+#endif

src/lib/md/binance/BinanceLotSizeFilter.h

@@ -1,8 +1,7 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
-
+#include "lib/md/binance/BinanceFilterType.h"
 #include <nlohmann/json.hpp>
 #include <string>
 
@@ -53,3 +52,4 @@ inline std::ostream &operator<<(
 }
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceMarketLotSizeFilter.h

@@ -1,8 +1,7 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
-
+#include "lib/md/binance/BinanceFilterType.h"
 #include <nlohmann/json.hpp>
 
 namespace bts::md::binance {
@@ -57,5 +56,5 @@ inline std::ostream &operator<<(
    out << f.min_qty << " <==> " << f.max_qty << "by " << f.step_size;
    return out;
 }
-
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceMaxNumAlgoOrdersFilter.h

@@ -1,8 +1,7 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
-
+#include "lib/md/binance/BinanceFilterType.h"
 #include <nlohmann/json.hpp>
 #include <string>
 
@@ -62,3 +61,4 @@ inline std::ostream &operator<<(
 }
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceMaxNumOrdersFilter.h

@@ -1,8 +1,7 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
-
+#include "lib/md/binance/BinanceFilterType.h"
 #include <nlohmann/json.hpp>
 #include <string>
 
@@ -56,3 +55,4 @@ inline std::ostream &operator<<(
 }
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceMaxPositionFilter.h

@@ -1,8 +1,7 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
-
+#include "lib/md/binance/BinanceFilterType.h"
 #include <nlohmann/json.hpp>
 
 namespace bts::md::binance {
@@ -54,3 +53,4 @@ inline std::ostream &operator<<(
 }
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceMessageType.h

@@ -1,10 +1,10 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/core/EnumMacros.h"
 #include "lib/core/FMT_IMPL.h"
-
 #include <fmt/format.h>
 #include <nlohmann/json.hpp>
+#include <ostream>
 
 namespace bts::md::binance {
 
@@ -33,3 +33,5 @@ ENUM_CLASS_DEF(BinanceMessageType, FOR_ALL_VALUES)
 } // namespace bts::md::binance
 
 FMT_IMPL(bts::md::binance::BinanceMessageType, t, "{}", t.name());
+
+#endif

src/lib/md/binance/BinanceMinNotionalFilter.h

@@ -1,8 +1,9 @@
 #pragma once
+#ifdef SPARK_ENABLE_CCAPI
 
 #include "lib/io/JsonMacros.h"
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
+#include "lib/md/binance/BinanceFilterType.h"
 
 #include <iostream>
 #include <nlohmann/json.hpp>
@@ -50,3 +51,4 @@ OSTREAM_JSON_IMPL(BinanceMinNotionalFilter);
 #undef FOR_EACH
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceMiniTickerAdaptor.cpp

@@ -1,7 +1,11 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "BinanceMiniTickerAdaptor.h"
+#include "lib/domain/Security.h"
+#include "lib/domain/SecurityMarketDataStatistics.h"
 #include "lib/md/IMarketDataListener.h"
-#include "server/sparkd/md/binance/BinanceMiniTickerUpdate.h"
+#include "lib/md/binance/BinanceMiniTickerUpdate.h"
 
+#include <algorithm>
 #include <ccapi_cpp/ccapi_event.h>
 #include <ccapi_cpp/ccapi_message.h>
 
@@ -44,3 +48,4 @@ void BinanceMiniTickerAdaptor::on_messages(
 }
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceMiniTickerAdaptor.h

@@ -1,7 +1,7 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/domain/SecurityID.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
+#include "lib/md/ICCApiMessageHandler.h"
 
 namespace bts::md {
 class IMarketDataListener;
@@ -28,3 +28,4 @@ class BinanceMiniTickerAdaptor : public ICCApiMessageHandler {
 };
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceMiniTickerUpdate.cpp

@@ -6,7 +6,7 @@
 #include "lib/domain/SecurityMarketDataStatistics.h"
 #include "lib/io/JsonDumper.h"
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/ccapi/CCApiReader.h"
+#include "lib/md/CCApiReader.h"
 
 #include <ccapi_cpp/ccapi_message.h>
 #include <type_traits>

src/lib/md/binance/BinanceMiniTickerUpdate.h

@@ -1,9 +1,10 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/core/TimeStamp.h"
 #include "lib/domain/SecurityMarketDataStatistics.h"
-#include "server/sparkd/md/binance/BinanceMiniTickerEventType.h"
+#include "lib/md/binance/BinanceMiniTickerEventType.h"
 
+#include <cstdint>
 #include <nlohmann/json.hpp>
 #include <string>
 #include <vector>
@@ -44,3 +45,4 @@ std::ostream &operator<<(
     std::ostream &out, const BinanceMiniTickerUpdate &upd) noexcept;
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceNotionalFilter.h

@@ -1,9 +1,11 @@
 #pragma once
+#ifdef SPARK_ENABLE_CCAPI
 
 #include "lib/io/JsonMacros.h"
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
+#include "lib/md/binance/BinanceFilterType.h"
 
+#include <nlohmann/detail/macro_scope.hpp>
 #include <nlohmann/json.hpp>
 #include <string>
 
@@ -49,3 +51,4 @@ OSTREAM_JSON_IMPL(BinanceNotionalFilter);
 #undef FOR_EACH
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinanceOrderType.h

@@ -1,10 +1,10 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/core/EnumMacros.h"
 #include "lib/core/FMT_IMPL.h"
-
 #include <fmt/format.h>
 #include <nlohmann/json.hpp>
+#include <ostream>
 
 namespace bts::md::binance {
 
@@ -29,3 +29,5 @@ ENUM_CLASS_DEF(BinanceOrderType, FOR_ALL_VALUES)
 } // namespace bts::md::binance
 
 FMT_IMPL(bts::md::binance::BinanceOrderType, t, "{}", t.name());
+
+#endif

src/lib/md/binance/BinancePercentPriceBySideFilter.h

@@ -1,9 +1,8 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/io/JsonDumper.h"
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
-
+#include "lib/md/binance/BinanceFilterType.h"
 #include <nlohmann/json.hpp>
 #include <string>
 
@@ -73,3 +72,4 @@ inline std::ostream &operator<<(
 }
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinancePercentPriceFilter.h

@@ -1,8 +1,7 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
-
+#include "lib/md/binance/BinanceFilterType.h"
 #include <nlohmann/json.hpp>
 #include <string>
 
@@ -63,3 +62,4 @@ inline std::ostream &operator<<(
 }
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinancePermission.h

@@ -1,10 +1,10 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/core/EnumMacros.h"
 #include "lib/core/FMT_IMPL.h"
-
 #include <fmt/format.h>
 #include <nlohmann/json.hpp>
+#include <ostream>
 
 namespace bts::md::binance {
 
@@ -29,3 +29,5 @@ ENUM_CLASS_DEF(BinancePermission, FOR_ALL_VALUES)
 } // namespace bts::md::binance
 
 FMT_IMPL(bts::md::binance::BinancePermission, p, "{}", p.name());
+
+#endif

src/lib/md/binance/BinancePriceFilter.h

@@ -1,9 +1,8 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/io/JsonDumper.h"
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/binance/BinanceFilterType.h"
-
+#include "lib/md/binance/BinanceFilterType.h"
 #include <nlohmann/json.hpp>
 #include <string>
 
@@ -62,3 +61,4 @@ inline std::ostream &operator<<(
    return out;
 }
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinancePriceStatistics.cpp

@@ -1,3 +1,4 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "BinancePriceStatistics.h"
 #include "lib/core/TimeStamp.h"
 #include "lib/domain/Price.h"
@@ -5,7 +6,7 @@
 #include "lib/domain/SecurityMarketDataStatistics.h"
 #include "lib/io/JsonDumper.h"
 #include "lib/io/JsonReader.h"
-#include "server/sparkd/md/ccapi/CCApiReader.h"
+#include "lib/md/CCApiReader.h"
 
 #include <ccapi_cpp/ccapi_macro.h>
 #include <ccapi_cpp/ccapi_message.h>
@@ -120,3 +121,4 @@ std::ostream &operator<<(
 }
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinancePriceStatistics.h

@@ -1,5 +1,5 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/core/TimeStamp.h"
 
 #include <cstdint>
@@ -61,3 +61,4 @@ std::ostream &operator<<(
     std::ostream &out, const BinancePriceStatistics &p) noexcept;
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinancePriceStatisticsAdaptor.cpp

@@ -1,10 +1,13 @@
+#ifdef SPARK_ENABLE_CCAPI
 #include "BinancePriceStatisticsAdaptor.h"
+#include "lib/domain/Security.h"
 #include "lib/domain/SecurityID.h"
 #include "lib/domain/SecurityMarketDataStatistics.h"
 #include "lib/md/IMarketDataListener.h"
+#include "lib/md/binance/BinancePriceStatistics.h"
 #include "lib/utils/bts_fatal.h"
-#include "server/sparkd/md/binance/BinancePriceStatistics.h"
 
+#include <algorithm>
 #include <ccapi_cpp/ccapi_event.h>
 #include <ccapi_cpp/ccapi_message.h>
 
@@ -69,3 +72,4 @@ void BinancePriceStatisticsAdaptor::on_messages(
 }
 
 } // namespace bts::md::binance
+#endif

src/lib/md/binance/BinancePriceStatisticsAdaptor.h

@@ -1,8 +1,7 @@
 #pragma once
-
+#ifdef SPARK_ENABLE_CCAPI
 #include "lib/domain/SecurityID.h"
-#include "server/sparkd/md/ccapi/ICCApiMessageHandler.h"
-
+#include "lib/md/ICCApiMessageHandler.h"
 #include <string>
 #include <utility>
 #include <vector>
@@ -37,3 +36,4 @@ class BinancePriceStatisticsAdaptor : public ICCApiMessageHandler {
 };
 
 } // namespace bts::md::binance
+#endif