fix: Update title in new ladder ticket when sec received

The old name was unnecessarily vague

.vscode/launch.json

@@ -213,7 +213,7 @@
       "type": "coreclr",
       "request": "launch",
       "program": "",
-      "preLaunchTask": "Build Api Server (Debug)",
+      "preLaunchTask": "Build Spark Sdk (Debug)",
       "windows": {
         "program": "Bts.Spark.Sdk.Demo.exe",
       },
@@ -285,7 +285,7 @@
       "windows": {
         "program": "Spark.exe",
         "args": [
-          "--sparkd",
+          "--Spark:ConfigServer",
           "${input:sparkConfigServer}"
         ],
         "cwd": "build/Debug/bin/net8.0-windows",

compose.yaml

@@ -81,6 +81,8 @@ services:
         limits:
           memory: "${SPARKD__MEMORY:-4gb}"
   sparkd-multicast:
+    environment:
+      - TZ=America/Chicago
     volumes:
       - ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
       - ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
@@ -93,7 +95,7 @@ services:
         - CONFIG_DIR=${SPARKD__CONFIG_DIR}
         - PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
         - SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
-    shm_size: "${SPARKD__SHM_SIZE:-2048mb}"
+    shm_size: "${SPARKD__SHM_SIZE:-8192mb}"
     env_file:
       - .env
       - ${SPARKD__CONFIG_DIR}/.env
@@ -105,7 +107,38 @@ services:
         delay: 3s
       resources:
         limits:
-          memory: "${SPARKD__MEMORY:-4gb}"
+          memory: "${SPARKD__MEMORY:-16gb}"
+  
+  
+  sparkd-multicast-cert:
+    environment:
+      - TZ=America/Chicago
+    volumes:
+      - ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
+      - ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
+      - ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/.local/share/bts/sparkd/conf
+    build:
+      dockerfile: src/app_sparkd/Dockerfile
+      args:
+        - IMAGE=${SPARKD__IMAGE}
+        - SOURCE_DIR=${SPARKD__SOURCE_DIR}
+        - CONFIG_DIR=${SPARKD__CONFIG_DIR}
+        - PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
+        - SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
+    shm_size: "${SPARKD__SHM_SIZE:-8192mb}"
+    env_file:
+      - .env
+      - ${SPARKD__CONFIG_DIR}/.env
+    network_mode: "host"
+    entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
+    deploy:
+      restart_policy:
+        condition: any
+        delay: 3s
+      resources:
+        limits:
+          memory: "${SPARKD__MEMORY:-16gb}"
+  
   sparkd-tail:
     image: bluetradingsystems/linux_dotnet8
     volumes:

docker/images/bluetradingsystems/linux_dotnet8/Dockerfile

@@ -19,6 +19,11 @@ RUN add-apt-repository ppa:ubuntu-toolchain-r/test \
 RUN apt-get update \
   && apt-get install -y dotnet8
 
+RUN apt-get update && apt-get install -y gdb
+RUN apt-get update && apt-get install -y fish
+RUN apt-get update && apt-get install -y vim
+RUN apt-get update && apt-get install -y less
+
 RUN locale-gen en_US.UTF-8
 
 ARG docker_user="bts"

src/Directory.Build.targets

@@ -187,32 +187,24 @@
       Name="Test"
       DependsOnTargets="Build"></Target>
 
-  <ItemGroup Condition="Exists('@(NativeWindowsAsset)')">
-    <Content Include="@(NativeWindowsAsset)">
-      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
-      <TargetPath>%(FileName)%(Extension)</TargetPath>
-      <Pack>false</Pack>
-    </Content>
-    <Content Include="@(NativeWindowsAsset)">
-      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
-      <TargetPath>runtimes/win-x64/native/%(FileName)%(Extension)</TargetPath>
-      <Pack>true</Pack>
-      <PackagePath>runtimes/win-x64/native</PackagePath>
-    </Content>
-  </ItemGroup>
+  <Target Name="CopyNativeAssetsToOutput" AfterTargets="Build">
+    <Copy SourceFiles="@(NativeWindowsAsset)" DestinationFolder="$(OutDir)" SkipUnchangedFiles="True" Condition="Exists('%(NativeWindowsAsset.FullPath)')" />
+    <Copy SourceFiles="@(NativeLinuxAsset)" DestinationFolder="$(OutDir)" SkipUnchangedFiles="True" Condition="Exists('%(NativeLinuxAsset.FullPath)')" />
+  </Target>
 
-  <ItemGroup Condition="Exists('@(NativeLinuxAsset)')">
-    <Content Include="@(NativeLinuxAsset)">
-      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
-      <TargetPath>%(FileName)%(Extension)</TargetPath>
-      <Pack>false</Pack>
-    </Content>
-    <Content Include="@(NativeLinuxAsset)">
-      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
-      <TargetPath>runtimes/linux-x64/native/%(FileName)%(Extension)</TargetPath>
-      <Pack>true</Pack>
-      <PackagePath>runtimes/linux-x64/native</PackagePath>
-    </Content>
+  <ItemGroup>
+    <Content Include="@(NativeWindowsAsset)"
+             Condition="Exists('@(NativeWindowsAsset)')"
+             Link="%(NativeWindowsAsset.FileName)%(NativeWindowsAsset.Extension)"
+             CopyToOutputDirectory="PreserveNewest"
+             Pack="true"
+             PackagePath="runtimes/win-x64/native/" />
+    <Content Include="@(NativeLinuxAsset)"
+             Condition="Exists('@(NativeLinuxAsset)')"
+             Link="%(NativeLinuxAsset.FileName)%(NativeLinuxAsset.Extension)"
+             CopyToOutputDirectory="PreserveNewest"
+             Pack="true"
+             PackagePath="runtimes/linux-x64/native/" />
   </ItemGroup>
 
 </Project>

src/app_sparkd/configurations/all_crypto/.env

@@ -0,0 +1,5 @@
+SPARKD__CONFIG_DIR=src/app_sparkd/configurations/all_crypto
+SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/gateio_dev/requirements.txt
+SPARKD__DATA_DIR=/home/ubuntu/8000/sparkdata/data
+SPARKD__IMAGE=sparkd_symbols
+SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf

src/app_sparkd/configurations/all_crypto/gateio_overrides.json

@@ -0,0 +1,11 @@
+{
+  "currencies": [
+    "USDT"
+  ],
+  "futures": [
+    "BTC",
+    "ETH",
+    "SOL",
+    "XRP"
+  ]
+}

src/app_sparkd/configurations/all_crypto/py_bybit_md_provider.json

@@ -0,0 +1,16 @@
+{
+  "currencies": [
+    "USDT"
+  ],
+  "futures": [
+    "BTC",
+    "ETH",
+    "SOL",
+    "XRP"
+  ],
+  "use_testnet": false,
+  "logging": {
+    "console_level": "WARNING",
+    "file_level": "INFO"
+  }
+}

src/app_sparkd/configurations/all_crypto/spark.conf

@@ -0,0 +1,71 @@
+PublisherOptions {
+  value {
+    network_interface: "0.0.0.0"
+    heartbeat_ms: 5000
+    heartbeat_boot_seconds: 60
+    skip_options: true
+    hot_initial: 1024
+    hot_growth: 1024
+    cold_initial: 8192
+    cold_growth: 2048
+    channel_prefix: ""
+    disable_heartbeat: true
+  }
+}
+
+Logging {
+  value {
+    initial_queue_size: 120001
+    max_queue_growth: 4
+    file {
+      default_level: "Info"
+      subsystem {
+        name: "md"
+        level: "Diag"
+      }
+    }
+  }
+}
+
+MarketDataConfig {
+  value {
+    # python_md_providers {
+    #   venue: VENUE_GATEIO
+    #   module_path: "python_md_providers"
+    #   provider_type: "gateio_md_provider.GateIoMdProvider"
+    # }
+    python_md_providers {
+      venue: VENUE_BYBIT
+      module_path: "python_interop_plugins"
+      provider_type: "bybit_md_provider.BybitMdProvider"
+    }
+    binance_usds_futures {
+      num_depth_levels: 5
+      url_rest_base: "https://fapi.binance.com"
+      url_ws_base: "wss://fstream.binance.com"
+      security_criteria {
+        clauses {
+          security_types: SECURITY_TYPE_FUTURE
+          symbols: @SymbolLists.list[Gateio].symbol
+        }
+      }
+    }
+     okx {
+       num_depth_levels: 5
+       url_rest_base: "https://www.okx.com"
+       url_ws_base: "wss://ws.okx.com:8443"
+       security_criteria {
+         clauses {
+           security_types: SECURITY_TYPE_FUTURE
+           symbols: @SymbolLists.list[Gateio].symbol
+         }
+       }
+       is_application_ping_pong_enabled: true
+       application_ping_interval_ms: 20000
+       application_pong_timeout_ms: 10000
+       is_protocol_ping_pong_enabled: true
+       protocol_ping_interval_ms: 60000
+       protocol_pong_timeout_ms: 30000
+     }
+  }
+}

src/app_sparkd/configurations/all_crypto/symbols.conf

@@ -0,0 +1,32 @@
+  SymbolLists {
+  value {
+    list {
+      key: "Gateio"
+      symbol: "SOL"
+      symbol: "BTC"
+      symbol: "ETH"
+      symbol: "XRP"
+    }
+  }
+}
+
+Symbols {
+  value {
+    venues {
+      name: "VENUE_GATEIO"
+      spot: @SymbolLists.list[Gateio].symbol
+    }
+    venues {
+      name: "VENUE_BYBIT"
+      future: @SymbolLists.list[Gateio].symbol
+    }
+    venues {
+      name: "VENUE_BINANCE_USDS_FUTURES"
+      future: @SymbolLists.list[Gateio].symbol
+    }
+    venues {
+      name: "VENUE_OKX"
+      future: @SymbolLists.list[Gateio].symbol
+    }
+  }
+}

src/app_sparkd/configurations/ophir_cert_live_wb/.env

@@ -0,0 +1,10 @@
+SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_cert_live_wb
+SPARKD__DATA_DIR=/home/wedbushprod/9000/sparkdata/data
+SPARKD__IMAGE=sparkd_symbols
+SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_cert_live_wb/requirements.txt
+SPARKD__RUNTIME_CONF_DIR=/home/wedbushprod/9000/sparkdata/conf
+SPARKD__SHM_SIZE=8g
+SPARKD__MEMORY=16g
+SPARKD__CONFIG_PORT=9000
+SPARKD__QUICKBUS_PORT=9001
+SPARKD__SIM_FIX_PORT=9002

src/app_sparkd/configurations/ophir_cert_live_wb/spark.conf

@@ -0,0 +1,140 @@
+DeploymentType {
+  value {
+    type: "dev"
+  }
+}
+PublisherOptions {
+   value {
+      network_interface_a: 'ens65f1'
+      network_interface_b: 'ens65f0'
+      #these get overriden if not entered here
+      heartbeat_ms: 5000
+      heartbeat_boot_seconds: 60
+      skip_options: false
+      hot_initial: 1024
+      hot_growth: 1024
+      cold_initial: 8192
+      cold_growth: 2048
+      channel_prefix: ""
+      disable_heartbeat: false
+   }
+}
+
+CMEOptions {
+  value {
+    feed_engine {
+      name: "mdp3feed"
+      spin_time: 0
+      channels_per_thread: 3
+      data_wait: 10
+      udp_socket_buffer_size: 268435456
+    }
+    channel {
+      id: "*"
+      feed_engine: "mdp3feed"
+      use_tcp_replay: false
+      recovery_queue_size: 640000
+      lost_packet_wait_timeout_ms: 10
+      onixs_log_mode: CME_ONIXS_LOG_MODE_UNSPECIFIED
+      #max_gap_recovery_cache_size: 4
+      use_natural_refresh: false
+      join_snapshot_on_gap: false
+    }
+  }
+}
+
+Logging {
+  value {
+    initial_queue_size: 120001
+    max_queue_growth: 4
+    console {
+      default_level: "Info"
+      subsystem {
+        name: "md"
+        level: "Info"
+      }
+      subsystem {
+        name: "OrderMan"
+        level: "Info"
+      }
+    }
+  }
+}
+
+MarketDataConfig {
+  value {
+    glbx {
+       unique_check_value: 15
+       use_databento: false
+    }
+   # recording {
+   #    venue: VENUE_GLBX
+   #    num_of_seconds_to_run_file_writer: 300
+   #    num_of_seconds_to_run_db_writer : 0
+   #    n_book_levels: 10 
+   #    batch_size: 100 #for the db writer
+   #    enable_book_recording: true
+   #    enable_trade_recording:  true
+   #    enable_bbo_recording: false
+   #    enable_tbbo_recording:  false
+   #    enable_misc_recording: true
+   #}
+ }
+}
+
+JetFIX {
+  value {
+    connection {
+      name: "maw_004_64"
+      venue: VENUE_GLBX
+      socket_connect_host_ip: "69.50.112.177"
+      socket_connect_port: 44040
+      sender_compid: "MAW004"
+      target_compid: "CME"
+      target_subid: "64"
+      cme_market_segment_id: 64
+      start_time: "00:10:00"
+      end_time: "23:55:00"
+      start_day: "sunday"
+      end_day: "friday"
+      seconds_between_hbs: 15
+      sender_subid: "BTS"
+      seconds_to_pause: 2
+      max_connection_attempts: 100
+      use_ilink3: true
+    }
+  }
+}
+OrdermanCfg {
+  value {
+    executor {
+      thread_name: "oman_orders"
+      poll: true 
+      hosted_actor: "MDSource"
+      hosted_actor: "OrderManager"
+      hosted_actor: "ExecutionGateway"
+    }
+    executor {
+      thread_name: "oman_slow"
+            poll: false 
+      hosted_actor: "*"
+    }
+    fallback_cust_order_handling_inst: "Y"
+  }
+}
+NotSimExecution {
+  value {
+    entries {
+      venue: VENUE_GLBX
+    }
+  }
+}
+Ports {
+   value {
+      config_port: 9000
+      qbus_port: 9001
+      glbx_sim_fix_port: 9002
+      ice_sim_fix_port: 9003
+      replicator_port: 9080
+   }
+}

src/app_sparkd/configurations/ophir_demo/.env

@@ -1,5 +0,0 @@
-SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_demo
-SPARKD__DATA_DIR=/home/ubuntu/8000/sparkdata/data
-SPARKD__IMAGE=sparkd_symbols
-SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_demo/requirements.txt
-SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf

src/app_sparkd/configurations/ophir_demo/spark.conf

@@ -1,62 +0,0 @@
-JetFIX {
-  value {
-    connection {
-      name: "glbx_1"
-      venue: VENUE_GLBX
-      max_order_msgs_per_window: 300
-      window_duration_msecs: 1000
-    }
-  }
-}
-
-PublisherOptions {
-  value {
-    network_interface: "0.0.0.0"
-    heartbeat_ms: 5000
-    heartbeat_boot_seconds: 60
-    skip_options: true
-    hot_initial: 1024
-    hot_growth: 1024
-    cold_initial: 8192
-    cold_growth: 2048
-    channel_prefix: ""
-    disable_heartbeat: true
-  }
-}
-
-Logging {
-  value {
-    initial_queue_size: 120001
-    max_queue_growth: 4
-    console {
-      default_level: "Info"
-      subsystem {
-        name: "md"
-        level: "Warn"
-      }
-      subsystem {
-        name: "OrderMan"
-        level: "Info"
-      }
-    }
-    file {
-      default_level: "Info"
-      subsystem {
-        name: "OrderMan"
-        level: "Diag"
-      }
-      subsystem {
-        name: "Http"
-        level: "Diag"
-      }
-    }
-  }
-}
-
-MarketDataConfig {
-  value {
-    replay {
-      venue: VENUE_GLBX
-    }
-  }
-}

src/app_sparkd/configurations/ophir_demo/symbols.conf

@@ -1,8 +0,0 @@
-Symbols {
-  value {
-    venues {
-      name: "VENUE_GLBX"
-      future: "ES"
-    }
-  }
-}

src/app_sparkd/configurations/ophir_prod_live_wb/.env

@@ -1,5 +1,7 @@
-SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_sim_live_wb
+SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_prod_live_wb
 SPARKD__DATA_DIR=/home/wedbushprod/8000/sparkdata/data
 SPARKD__IMAGE=sparkd_symbols
-SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_sim_live_wb/requirements.txt
+SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_prod_live_wb/requirements.txt
 SPARKD__RUNTIME_CONF_DIR=/home/wedbushprod/8000/sparkdata/conf
+SPARKD__SHM_SIZE=8g
+SPARKD__MEMORY=16g

src/app_sparkd/configurations/ophir_prod_live_wb/spark.conf

@@ -0,0 +1,152 @@
+DeploymentType {
+  value {
+    type: "prod"
+  }
+}
+PublisherOptions {
+   value {
+      network_interface_a: 'enp193s0f0np0'
+      network_interface_b: 'enp193s0f1np1'
+      #these get overriden if not entered here
+      heartbeat_ms: 5000
+      heartbeat_boot_seconds: 60
+      skip_options: false
+      hot_initial: 1024
+      hot_growth: 1024
+      cold_initial: 8192
+      cold_growth: 2048
+      channel_prefix: ""
+      disable_heartbeat: false
+   }
+}
+
+CMEOptions {
+  value {
+    feed_engine {
+      name: "mdp3feed"
+      spin_time: 0
+      channels_per_thread: 3
+      data_wait: 10
+      udp_socket_buffer_size: 268435456
+    }
+    channel {
+      id: "*"
+      feed_engine: "mdp3feed"
+      use_tcp_replay: false
+      recovery_queue_size: 640000
+      lost_packet_wait_timeout_ms: 10
+      onixs_log_mode: CME_ONIXS_LOG_MODE_UNSPECIFIED
+      #max_gap_recovery_cache_size: 4
+      use_natural_refresh: false
+      join_snapshot_on_gap: false
+    }
+  }
+}
+
+Logging {
+  value {
+    initial_queue_size: 120001
+    max_queue_growth: 4
+    console {
+      default_level: "Info"
+      subsystem {
+        name: "md"
+        level: "Info"
+      }
+      subsystem {
+        name: "OrderMan"
+        level: "Info"
+      }
+    }
+  }
+}
+
+MarketDataConfig {
+  value {
+    glbx {
+       unique_check_value: 15
+       use_databento: false
+    }
+   # recording {
+   #    venue: VENUE_GLBX
+   #    num_of_seconds_to_run_file_writer: 300
+   #    num_of_seconds_to_run_db_writer : 0
+   #    n_book_levels: 10 
+   #    batch_size: 100 #for the db writer
+   #    enable_book_recording: true
+   #    enable_trade_recording:  true
+   #    enable_bbo_recording: false
+   #    enable_tbbo_recording:  false
+   #    enable_misc_recording: true
+   #}
+ }
+}
+
+JetFIX {
+  value {
+    connection {
+      name: "u6p_7qb_54"
+      venue: VENUE_GLBX
+      socket_connect_host_ip: "205.209.201.97"
+      socket_connect_port: 10979
+      sender_compid: "U6P7QB"
+      target_compid: "CME"
+      target_subid: "54"
+      cme_market_segment_id: 54
+      start_time: "00:10:00"
+      end_time: "23:55:00"
+      start_day: "sunday"
+      end_day: "friday"
+      seconds_between_hbs: 15
+      sender_subid: "BTS"
+      seconds_to_pause: 1
+      max_order_msgs_per_window: 300
+      max_connection_attempts: 2
+      use_ilink3: true
+    }
+   connection {
+      name: "u6p_7qb_64"
+      venue: VENUE_GLBX
+      socket_connect_host_ip: "205.209.201.1"
+      socket_connect_port: 10979
+      sender_compid: "U6P7QB"
+      target_compid: "CME"
+      target_subid: "64"
+      cme_market_segment_id: 64
+      start_time: "00:10:00"
+      end_time: "23:55:00"
+      start_day: "sunday"
+      end_day: "friday"
+      seconds_between_hbs: 15
+      sender_subid: "BTS"
+      seconds_to_pause: 1
+      max_connection_attempts: 2
+      max_order_msgs_per_window: 300
+      use_ilink3: true
+    }
+  }
+}
+OrdermanCfg {
+  value {
+    executor {
+      thread_name: "oman_orders"
+      poll: true 
+      hosted_actor: "MDSource"
+      hosted_actor: "OrderManager"
+      hosted_actor: "ExecutionGateway"
+    }
+    executor {
+      thread_name: "oman_slow"
+            poll: false 
+      hosted_actor: "*"
+    }
+    fallback_cust_order_handling_inst: "Y"
+  }
+}
+NotSimExecution {
+  value {
+    entries {
+      venue: VENUE_GLBX
+    }
+  }
+}

src/app_sparkd/configurations/ophir_sim/.env

@@ -1,5 +0,0 @@
-SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_sim
-SPARKD__DATA_DIR=/home/tns/8000/sparkdata/data
-SPARKD__IMAGE=sparkd_symbols
-SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_sim/requirements.txt
-SPARKD__RUNTIME_CONF_DIR=/home/tns/8000/sparkdata/conf

src/app_sparkd/configurations/ophir_sim/spark.conf

@@ -1,104 +0,0 @@
-JetFIX {
-  value {
-    connection {
-      name: "glbx_1"
-      venue: VENUE_GLBX
-      max_order_msgs_per_window: 300
-      window_duration_msecs: 1000
-    }
-  }
-}
-
-PublisherOptions {
-   value {
-      network_interface_a: 'ens3f0np0'
-      network_interface_b: 'ens3f1np1'
-      #these get overriden if not entered here
-      heartbeat_ms: 5000
-      heartbeat_boot_seconds: 60
-      skip_options: false
-      hot_initial: 1024
-      hot_growth: 1024
-      cold_initial: 8192
-      cold_growth: 2048
-      channel_prefix: ""
-      disable_heartbeat: false
-   }
-}
-
-CMEOptions {
-  value {
-    feed_engine {
-      name: "mdp3feed"
-      spin_time: 0
-      channels_per_thread: 3
-      data_wait: 10
-      udp_socket_buffer_size: 268435456
-    }
-    channel {
-      id: "*"
-      feed_engine: "mdp3feed"
-      use_tcp_replay: false
-      recovery_queue_size: 640000
-      lost_packet_wait_timeout_ms: 10
-      onixs_log_mode: CME_ONIXS_LOG_MODE_REGULAR
-      #max_gap_recovery_cache_size: 4
-      use_natural_refresh: false
-      join_snapshot_on_gap: false
-    }
-  }
-}
-
-Logging {
-  value {
-    initial_queue_size: 120001
-    max_queue_growth: 4
-    console {
-      default_level: "Info"
-      subsystem {
-        name: "md"
-        level: "Info"
-      }
-      subsystem {
-        name: "OrderMan"
-        level: "Info"
-      }
-    }
-  }
-}
-
-MarketDataConfig {
-  value {
-    glbx {
-       unique_check_value: 15
-       use_databento: false
-    }
-  }
-}
-
-# JetFIX {
-#    value {
-#     #connection: @JetFIXSimConnection.sim
-#     connection {
-#     name: "mlx_004_54"
-#     venue: VENUE_GLBX
-#     socket_connect_host_ip: "69.50.112.191"
-#     socket_connect_port: 42876
-#     sender_compid: "MLX004"
-#     target_compid: "CME"
-#     target_subid: "54"
-#     cme_market_segment_id: 54
-#     start_time: "00:10:00"
-#     end_time: "23:55:00"
-#     start_day: "sunday"
-#     end_day: "friday"
-#     seconds_between_hbs: 30
-#     sender_subid: "BTS"
-#     use_ilink3: true
-#   #   raw_data: "S4PMA"
-#   #   auto_fix_seq_num: true
-#   }
-#    }
-# }
-
-

src/app_sparkd/configurations/ophir_sim_live_wb/spark.conf

@@ -1,116 +0,0 @@
-JetFIX {
-  value {
-    connection {
-      name: "glbx_1"
-      venue: VENUE_GLBX
-      max_order_msgs_per_window: 300
-      window_duration_msecs: 1000
-    }
-  }
-}
-
-PublisherOptions {
-   value {
-      network_interface_a: 'enp193s0f0np0'
-      network_interface_b: 'enp193s0f0np0'
-      #these get overriden if not entered here
-      heartbeat_ms: 5000
-      heartbeat_boot_seconds: 60
-      skip_options: false
-      hot_initial: 1024
-      hot_growth: 1024
-      cold_initial: 8192
-      cold_growth: 2048
-      channel_prefix: ""
-      disable_heartbeat: false
-   }
-}
-
-CMEOptions {
-  value {
-    feed_engine {
-      name: "mdp3feed"
-      spin_time: 0
-      channels_per_thread: 3
-      data_wait: 10
-      udp_socket_buffer_size: 268435456
-    }
-    channel {
-      id: "*"
-      feed_engine: "mdp3feed"
-      use_tcp_replay: false
-      recovery_queue_size: 640000
-      lost_packet_wait_timeout_ms: 10
-      onixs_log_mode: CME_ONIXS_LOG_MODE_UNSPECIFIED:q
-      #max_gap_recovery_cache_size: 4
-      use_natural_refresh: false
-      join_snapshot_on_gap: false
-    }
-  }
-}
-
-Logging {
-  value {
-    initial_queue_size: 120001
-    max_queue_growth: 4
-    console {
-      default_level: "Info"
-      subsystem {
-        name: "md"
-        level: "Info"
-      }
-      subsystem {
-        name: "OrderMan"
-        level: "Info"
-      }
-    }
-  }
-}
-
-MarketDataConfig {
-  value {
-    glbx {
-       unique_check_value: 15
-       use_databento: false
-    }
-    recording{
-       venue: VENUE_GLBX
-       num_of_seconds_to_run_file_writer: 300
-       num_of_seconds_to_run_db_writer : 0
-       n_book_levels: 10 
-       batch_size: 100 #for the db writer
-       enable_book_recording: true
-       enable_trade_recording:  true
-       enable_bbo_recording: false
-       enable_tbbo_recording:  false
-       enable_misc_recording: true
-   }
-  }
-}
-
-# JetFIX {
-#    value {
-#     #connection: @JetFIXSimConnection.sim
-#     connection {
-#     name: "mlx_004_54"
-#     venue: VENUE_GLBX
-#     socket_connect_host_ip: "69.50.112.191"
-#     socket_connect_port: 42876
-#     sender_compid: "MLX004"
-#     target_compid: "CME"
-#     target_subid: "54"
-#     cme_market_segment_id: 54
-#     start_time: "00:10:00"
-#     end_time: "23:55:00"
-#     start_day: "sunday"
-#     end_day: "friday"
-#     seconds_between_hbs: 30
-#     sender_subid: "BTS"
-#     use_ilink3: true
-#   #   raw_data: "S4PMA"
-#   #   auto_fix_seq_num: true
-#   }
-#    }
-# }
-
-

src/app_sparkd/sparkd/execution/execution_gateway_provider.cpp

@@ -109,7 +109,8 @@ struct ExecutionGatewayProvider::PImpl {
          return make_gw<ICEExecutionGateway>(conn, conn, *l, o);
       case api::VENUE_GLBX:
          if (conn.use_ilink3()) {
-            make_gw<ilink3::GLBXiLink3ExecutionGateway>(conn, conn, *l, o);
+            return make_gw<ilink3::GLBXiLink3ExecutionGateway>(
+                conn, conn, *l, o);
          }
          return make_gw<GLBXExecutionGateway>(conn, conn, *l, o);
       case api::VENUE_DERIBIT:

src/app_sparkd/sparkd/md/platforms/mdp3_onixs/MDP3Listener.cpp

@@ -1,4 +1,5 @@
 #include "MDP3Listener.h"
+#include "spark/md/log_messages/trade_latency_log.h"
 #include "spark/config/protos/market_data.pb.h"
 #include "spark/md/protos/co2.pb.h"
 #include "spark/utils/datetime.h"
@@ -189,6 +190,9 @@ void on_trade(
    PriceSize ps = pricesize_of_price_size(
        price, data->handle.security().display_factor, size);
    auto date = ll_of_timestamp(onixs_date);
+   log_trade_latency(
+       TradeLatencyStage::MDP3_RECEIVED, data->handle.security(), date, ps,
+       map_aggressor(agside), data->electronic_volume + size, false);
    data->handle.add_trade(
        ts, ps, date, map_aggressor(agside), data->electronic_volume + size);
 }
@@ -287,6 +291,19 @@ void MDP3Listener::heartbeat() {
 void MDP3Listener::add_security(
     const FixedSecurity &security, co2::TradingStatus status) {
    bts_assert(security.numeric_id != 0);
+   if (security.type == api::SECURITYTYPE_OPTION) {
+      const auto &option = static_cast<const FixedOptionSecurity &>(security);
+      const datetime::Date expiration(
+          option.expiration_year, option.expiration_month,
+          option.expiration_day);
+      if (!option_expiration_is_allowed(expiration)) {
+         LOG(md, Info,
+             "Skipping MDP3 option {} because it expires beyond the configured "
+             "cutoff.",
+             std::string(security.symbol()));
+         return;
+      }
+   }
    // Set up the shared memory for this security
    auto handle = _producer.add_security(security);
    // Add it to the index so it can receive messages

src/app_sparkd/sparkd/md/platforms/mdp3_onixs/MDP3Listener.h

@@ -1,6 +1,8 @@
 #pragma once
 
 #include "CMESecurityIndex.h"
+#include "spark/config/config.h"
+#include "spark/config/protos/toggles.pb.h"
 #include "spark/io/JsonDumper.h"
 #include "spark/io/json_formatter.h"
 #include "spark/md/MBOProcessor.h"
@@ -21,6 +23,28 @@
 namespace bts {
 namespace md {
 
+inline bool option_expiration_is_allowed(const datetime::Date &expiration) {
+   const auto max_days =
+       config::get<config::toggles::Mdp3OptionExpirationCutoff>()
+           .max_days_until_expiration();
+   if (expiration.year == 0) {
+      return true;
+   }
+   if (max_days == 0) {
+      return true;
+   }
+   const auto cutoff = core::TimeStamp::now().date() +
+                       core::TimeSpan::from_days(max_days);
+   const auto expiration_timestamp =
+       core::TimeStamp(expiration.year, expiration.month, expiration.day);
+   const bool allowed = expiration_timestamp <= cutoff;
+   uint32_t cutoff_year;
+   uint32_t cutoff_month;
+   uint32_t cutoff_day;
+   cutoff.to_date(cutoff_year, cutoff_month, cutoff_day);
+   return allowed;
+}
+
 inline co2::AggressorSide map_aggressor(onixs::AggressorSide::Enum agside) {
    switch (agside) {
    default:
@@ -781,6 +805,11 @@ void MDP3Listener::onOption(
           exchange_id, sec_name, Mdp3SecuritySkipReason::ALREADY_ADDED);
       return;
    }
+   if (!option_expiration_is_allowed(date_of_maturity(sec))) {
+      LOG_MDP3_ON_OPTION_SKIP(
+          exchange_id, sec_name, Mdp3SecuritySkipReason::EXPIRED);
+      return;
+   }
 
    LOG_MDP3_ON_OPTION_BEGIN(exchange_id, std::string(sec.symbol().items()));
    FixedOptionSecurity fsec;

src/client/spark/AW2/LiveTheoPublisher.cs

@@ -160,7 +160,7 @@ namespace mbts.spark {
 
       private bool _compute_midmarket {
          get {
-            return true;
+            return false;
          }
       }
 

src/client/spark/Daemons/OrderTicketDaemon.cs

@@ -26,6 +26,8 @@ using LadderSettings = mbts.spark.LadderSettings;
 namespace bts.shell {
    [Export(typeof(IShellDaemon))]
    class OrderTicketDaemon : IShellDaemon {
+      static readonly bool useTicketLadder = true;
+
       readonly IBus _bus;
       readonly OrdersModel _model;
       readonly UserSettingsHub _settings_hub;
@@ -71,13 +73,23 @@ namespace bts.shell {
 
       void _show_order_ticket(SecurityMD smd) {
          var settings_src = _settings_hub.subscribe_default_settings()
-            .Select(s => s.get_ladder_profile(smd.security)?.value ?? LadderSettings.Default);
+            .Select(s => s.GetLadderProfile(smd.security)?.value ?? LadderSettings.Default);
          var accounts_src = _bus.subscribe(SparkTags.AccountsTag);
-         _show_order_window(new OrderTicket {
-            DataContext = new NewOrderTicketVM(_model, smd, accounts_src, settings_src) {
-               close_on_send = _close_on_send
-            }
-         });
+         _show_order_window(useTicketLadder ? OrderTicketLadderWindow() : OrderTicketWindow());
+
+         Window OrderTicketWindow() =>
+            new OrderTicket {
+               DataContext = new NewOrderTicketVM(_model, smd, accounts_src, settings_src) {
+                  close_on_send = _close_on_send
+               }
+            };
+
+         Window OrderTicketLadderWindow() =>
+            new OrderTicketLadder() {
+               DataContext = new NewOrderTicketLadderVM(
+                  _model, smd, accounts_src, settings_src,
+                  ladderSecurity => _bus.post(SparkTags.ShowLadderTag, ladderSecurity))
+            };
       }
 
       void _show_order_ticket(OrderTicketParams ot_params) {
@@ -114,13 +126,23 @@ namespace bts.shell {
                return;
          }
          var md = _md_map.TryGetValue(ori.order.security_key());
-         _show_order_window(new OrderModificationDialog {
-            DataContext = new ExistingOrderTicketVM(_model,
-               Observable.Return((md, ori.order)),
-               _bus.subscribe(SparkTags.AccountsTag),
-               Observable.Return(LadderSettings.Default.calculator_buttons),
-               md?.quantity_display)
-         });
+         var accountsSrc = _bus.subscribe(SparkTags.AccountsTag);
+         var orderSrc = Observable.Return((md, ori.order));
+         var calcBnsSrc = Observable.Return(LadderSettings.Default.calculator_buttons);
+         _show_order_window(useTicketLadder ? OrderTicketLadderWindow() : OrderTicketWindow());
+
+         Window OrderTicketWindow() =>
+            new OrderModificationDialog {
+               DataContext = new ExistingOrderTicketVM(_model, orderSrc, accountsSrc, calcBnsSrc, md?.quantity_display)
+            };
+
+         Window OrderTicketLadderWindow() =>
+            new OrderModificationDialog {
+               DataContext = new ExistingOrderTicketLadderVM(
+                  _model, orderSrc, accountsSrc, calcBnsSrc,
+                  ladderSecurity => _bus.post(SparkTags.ShowLadderTag, ladderSecurity),
+                  md?.quantity_display)
+            };
       }
    }
 }

src/client/spark/Model/Settings/UserSettingsExtensions.cs

@@ -14,16 +14,11 @@ namespace mbts.spark {
       /// <summary>
       /// Gets the ladder settings profile for a particular security
       /// </summary>
-      public static LadderSettingsProfile? get_ladder_profile(
+      public static LadderSettingsProfile? GetLadderProfile(
          this UserSettings settings, SecurityImmutable security) =>
          settings.ladder_profiles.FirstOrDefault(lsp =>
             lsp?.security_criteria?.includes(security) ?? false);
 
-      public static IObservable<LadderSettingsProfile?> subscribe_ladder_profile(
-         this UserSettingsHub settings_hub, SecurityImmutable security) =>
-         settings_hub.subscribe_default_settings().Select(s =>
-            s.get_ladder_profile(security));
-
       /// <summary>
       /// Gets the default account for a particular security (from the
       /// <see cref="LadderSettingsProfile"/> associated with that security)
@@ -31,7 +26,7 @@ namespace mbts.spark {
       public static IObservable<AccountTuple?> subscribe_default_account(
          this UserSettingsHub settings_hub, IBus bus, SecurityImmutable security) {
          var acc_id_src = settings_hub.subscribe_default_settings().Select(s =>
-            s.get_ladder_profile(security)?.value?.default_account);
+            s.GetLadderProfile(security)?.value?.default_account);
          return acc_id_src.CombineLatest(
             bus.subscribe(SparkTags.AccountsTag),
             (acc_id, accs) => acc_id.HasValue && accs.TryGetValue(acc_id.Value, out var acc_tup) ?

src/client/spark/Modules/Market/MarketView/MarketViewView.xaml.cs

@@ -1,10 +1,10 @@
-using bts;
 using bts.api;
 
 using mbts.spark;
 using mbts.ui.controls;
 using mbts.ui.converters;
 using mbts.ui.extensions;
+using mbts.ui.shell;
 
 using System;
 using System.Collections.Generic;
@@ -23,6 +23,7 @@ namespace mbts.ui.spark {
    /// </summary>
    partial class MarketViewView : UserControl {
       public static readonly RoutedCommand CellClickCommand = new RoutedCommand();
+      static readonly bool useTicketLadder = true;
 
       MarketViewVM _vm;
       DIYGridPopupManager _popup_man_backing;
@@ -92,7 +93,7 @@ namespace mbts.ui.spark {
 
       void _show_mini_orderbook(IReadOnlyList<SecurityImmutable> securities, Columns col) {
          var (vm, context, title, fg) = _vm.orderbook_params(securities, col);
-         _show_popup(vm, new AuxiliaryDataHeader {
+         _show_popup(vm, new OrderAuxiliaryPopupHeader {
             context = context,
             title = title,
             title_foreground = fg
@@ -104,7 +105,7 @@ namespace mbts.ui.spark {
 
       void _show_mini_fills(IEnumerable<SecurityImmutable> securities, Columns col) {
          var (vm, context, title, fg) = _vm.fills_params(securities, col);
-         _show_popup(vm, new AuxiliaryDataHeader {
+         _show_popup(vm, new OrderAuxiliaryPopupHeader {
             context = context,
             title = title,
             title_foreground = fg
@@ -114,29 +115,40 @@ namespace mbts.ui.spark {
       async void _show_order_ticket(
          SecurityMD security_md, double price = double.NaN, double size = 0) {
          var resources = new OrderTicketResources();
-         resources.MergedDictionaries.Add(new AuxiliaryDataResources());
+         resources.MergedDictionaries.Add(new OrderAuxiliaryPopupResources());
 
          var account = await _vm.get_default_account(security_md.security);
          var def = _model.factory.order(security_md.security, account);
          var calc_buttons = LadderSettings.Default.calculator_buttons;
-         var ticket_vm = new NewOrderTicketVM(
-            _model,
-            security_md,
-            _bus.subscribe(SparkTags.AccountsTag),
-            new(def),
-            price,
-            size,
-            Observable.Return(calc_buttons));
+         var accounts = _bus.subscribe(SparkTags.AccountsTag);
+         var (vm, header) = OrderTicketFactory();
 
          _show_popup(
-            ticket_vm,
-            new OrderTicketHeader { bbo = ticket_vm.bbo },
+            vm,
+            header,
             resources,
             view => Behavior.SetAutoFocusTargetProvider(view, AutoFocusTargetProvider.TypeProvider(typeof(TextBox), view)));
+
+         (ViewModelBase, object) OrderTicketFactory() {
+            if (useTicketLadder) {
+               var vm = new NewOrderTicketLadderVM(
+                  _vm.orders_model, security_md, accounts, new(def), price, size,
+                  Observable.Return(calc_buttons),
+                  ladderSecurity => _bus.post(SparkTags.ShowLadderTag, ladderSecurity));
+               var header = new OrderTicketLadderHeader() {
+                  Title = security_md.security.ToString()
+               };
+               return (vm, header);
+            } else {
+               var vm = new NewOrderTicketVM(_model, security_md, accounts, new(def), price, size, Observable.Return(calc_buttons));
+               var header = new OrderTicketHeader { bbo = vm.bbo };
+               return (vm, header);
+            }
+         }
       }
 
       void _show_popup(object content, object header) {
-         var resources = new AuxiliaryDataResources();
+         var resources = new OrderAuxiliaryPopupResources();
          resources.MergedDictionaries.Add(new AutoHideScrollbarResources());
          _show_popup(content, header, resources);
       }
@@ -148,9 +160,9 @@ namespace mbts.ui.spark {
             Header = header,
             HorizontalAlignment = HorizontalAlignment.Left,
             VerticalAlignment = VerticalAlignment.Top,
-            Resources = resources ?? new AuxiliaryDataResources()
+            Resources = resources ?? new OrderAuxiliaryPopupResources()
          };
-         view.Style = view.Resources[AuxiliaryDataResources.PopupChildStyleKey] as Style;
+         view.Style = view.Resources[OrderAuxiliaryPopupResources.PopupChildStyleKey] as Style;
          init_view?.Invoke(view);
          _popup_man.show(view);
       }

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

@@ -78,6 +78,9 @@ namespace mbts.spark {
       public Fill.Types.FillStatus fill_status => _fill.FillStatus;
       public string fill_key => _fill.FillKey;
       public string order_key => _order.Key.ToString();
+      // public bool is_aggressor => fill_tuple.is_aggressor;
+      public string display_aggressor_flag_text =>
+         display_aggressor_flag(_fill.FillAggressorFlag);
       public bool is_selected {
          get => _is_selected;
          set {
@@ -105,6 +108,13 @@ namespace mbts.spark {
       AlgoData? _root_algo => fill_tuple.root_algo;
       AlgoDefinitionMetadata? _root_algo_meta => fill_tuple.root_algo_meta;
 
+      public static string display_aggressor_flag(FillAggressorFlag flag) =>
+         flag switch {
+            FillAggressorFlag.Aggressor => "A",
+            FillAggressorFlag.Passive => "P",
+            _ => string.Empty
+         };
+
       public static FillsRowVM update(FillsRowVM r, FillTuple ft) {
          using var _ = _change_detector.detect_changes(r);
          r._badge_fill = null;

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

@@ -254,7 +254,7 @@ namespace mbts.spark {
          add_col(
             Columns.Price,
             DefaultColumnHeaders.Price,
-            r => _get_row(r).security.spec_or_default().format(r.fill.AvgPrice),
+            r => _get_row(r).security.spec_or_default().format(r.fill.LastPrice),
             new DoubleMinMax<FillTuple>(r => r.fill.LastPrice),
             DataGridFilterKnownTemplates.DoubleMinMax,
             fs => fs.price,
@@ -295,7 +295,7 @@ namespace mbts.spark {
          add_col(
             Columns.IsAggressor,
             DefaultColumnHeaders.IsAggressor,
-            r => r.is_aggressor ? SpecialCharacters.CheckMark : string.Empty,
+            r => FillsRowVM.display_aggressor_flag(r.fill.FillAggressorFlag),
             dv_filter(new[] { false, true }, r => r.is_aggressor),
             DataGridFilterKnownTemplates.YesNo,
             fs => fs.is_aggressor,

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

@@ -27,13 +27,13 @@ namespace Spark.Trading {
          _sec_greeks_in = sec_greeks_in;
       }
 
-      public IObservable<double> get_price_source(FairValueKey key) {
+      public IObservable<double> get_price_source(FairValueKey key, double? errorPrice = double.NaN) {
          return key.type switch {
             FairValueLine.PriceType.Bid => bid_source(),
             FairValueLine.PriceType.Ask => ask_source(),
             FairValueLine.PriceType.Mid => mid_source(),
             FairValueLine.PriceType.Theo => theo_source(),
-            _ => throw new NotImplementedException()
+            _ => errorPrice.HasValue ? Observable.Return(errorPrice.Value) : throw new NotImplementedException()
          };
 
          IObservable<double> bid_source() =>

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

@@ -1,4 +1,4 @@
-using bts;
+using bts;
 using bts.api;
 using bts.api.md.auxiliary;
 using bts.collections;
@@ -15,7 +15,6 @@ using mbts.utils;
 
 using Spark.Core.Collections;
 using Spark.Core.Disposables;
-using Spark.Core.Math;
 
 using System;
 using System.Collections.Generic;
@@ -36,8 +35,9 @@ namespace mbts.spark {
    using RegionalTickFactors = user.settings.RegionalTickFactors;
 
    partial class LadderGridHost : Control {
-      static readonly int _initial_row_count;
-      static readonly bool _show_scrollbar;
+      const int _min_row_count = 501;
+      const int _max_row_count = 2001;
+      static readonly bool _show_scrollbar = true;
 
       readonly VisualHost _visual_host = new();
       readonly LadderOrdersHost _ordershost;
@@ -80,13 +80,11 @@ namespace mbts.spark {
       LadderVM _vm;
       LadderTactileAdorner _tactile_adorner;
       ulong _prices_updated;
+      ulong lastTradeTime;
       NativePriceSize[] _bids = new NativePriceSize[NativePriceHelpers.COCONUT_MAX_DEPTH], _asks = new NativePriceSize[NativePriceHelpers.COCONUT_MAX_DEPTH];
       SecurityMDExtensions.Book _depth = SecurityMDExtensions.Book.Empty;
       bool _price_dirty = false, _piq_dirty = false;
-      LadderPriceList _price_list = new() {
-         length = _initial_row_count,
-      };
-      LadderPriceList _pending_price_list = null;
+      IList<double> _price_list;
       IComparer<double> _price_comparer;
       double _last_origin_price;
       readonly MarketBreakLines _mkt_break_lines;
@@ -107,7 +105,6 @@ namespace mbts.spark {
       static LadderGridHost() {
          var knobs = config.Configuration.get<bts.config.LadderKnobs>();
          _show_scrollbar = knobs.ShowScrollbar;
-         _initial_row_count = (int)knobs.ScrollableTickWindowSize;
       }
 
       public LadderGridHost() {
@@ -132,33 +129,7 @@ namespace mbts.spark {
                _render_grid_background();
                _init_tactile_adorner();
             }
-            IDisposable scroll_viewer_hook = null;
-            loaded_hook = Disposable.Create(
-               () => {
-                  _scroll_viewer_source.value_changed -= on_scroll_viewer;
-                  Disposable.dispose(ref scroll_viewer_hook);
-               });
-            on_scroll_viewer(_scroll_viewer);
-
-            void on_scroll_viewer(ScrollViewer new_value) {
-               Disposable.dispose(ref scroll_viewer_hook);
-               if (new_value is null) {
-                  return;
-               }
-               scroll_viewer_hook = _connect_scroll_viewer(new_value);
-               delayed_init();
-               // This is a bit of a hack: the scroll viewer drifts away from the intended VerticalOffset
-               // unless it is done after a delay.
-               async void delayed_init() {
-                  await Task.Delay(100);
-                  await Dispatcher.InvokeAsync(() => {
-                     _pending_scroll_to_origin = true;
-                     _refresh_prices();
-                     _refresh_all_visuals();
-                     scroll_to_pending_target();
-                  });
-               }
-            }
+            _scroll_to_center();
          };
          recenter_command = new DelegateCommand(_scroll_to_center);
          DataContextChanged += (s, e) => _connect_vm();
@@ -282,26 +253,6 @@ namespace mbts.spark {
          set => SetValue(PIQColumnWidthProperty, value);
       }
 
-      #region TopTick
-      public static readonly DependencyProperty TopTickProperty =
-         WPFHelper.create_dp<int, LadderGridHost>(
-            nameof(TopTick),
-            FrameworkPropertyMetadataOptions.AffectsRender,
-            (o, v) => {
-               if (o._price_list is null) {
-                  return;
-               }
-               o._set_scrollbar_range(high_tick: v);
-               o._refresh_prices();
-               o._refresh_all_visuals();
-               o._ordershost.refresh_orders();
-            });
-
-      public int? TopTick {
-         get => GetValue(TopTickProperty) as int?;
-         set => SetValue(TopTickProperty, value);
-      }
-      #endregion
 
       #region CanUserSendOrders
       public static readonly DependencyProperty CanUserSendOrdersProperty =
@@ -392,7 +343,7 @@ namespace mbts.spark {
          }
       }
 
-      int _row_count => _price_list?.Count ?? 0;
+      int _row_count = _min_row_count;
 
       bts.api.domain.TickDisplaySettingsImmutable _qty_display =>
          _vm is null ?
@@ -425,64 +376,17 @@ namespace mbts.spark {
          scroll_to_price(_mkt_break_lines.origin);
 
       public bool scroll_to_price(double price) {
-         if (price.is_nan()) {
+         if (_scroll_viewer == null || _price_list.is_null_or_empty())
             return false;
-         }
-         var tick = _spec.tickdiff(price, 0);
-         if (tick.HasValue) {
-            return scroll_to_tick(tick.Value);
-         }
-         return false;
-      }
-
-      double _get_target_top_tick(int mid_viewport_tick) {
-         var curr_rel_off = _scroll_viewer.VerticalOffset + (_scroll_viewer.ViewportHeight / 2.0);
-         var tgt_rel_off = (_price_list.high_tick - mid_viewport_tick) * _settings.row_height;
-         var tick_diff = (curr_rel_off - tgt_rel_off) / _settings.row_height;
-         return _price_list.high_tick + tick_diff;
-      }
-
-      public bool scroll_to_tick(long tick) {
-         if (tick > int.MaxValue) {
-            _scroll_to_tick_log_throttle.Execute(() =>
-               Log.Ui.error($"Unable to scroll to tick {tick} because it exceeds int.MaxValue"));
-            return false;
-         }
-         return scroll_to_tick((int)tick);
-      }
-
-      public bool scroll_to_tick(int tick) {
-         if (_vm is null || _settings is null || _scroll_viewer is null) {
-            return false;
-         }
-         // var center_offset_ticks = (int)(_scrollViewer.ScrollableHeight / (2.0 * _settings.row_height));
-         // The scrollbar's vertical offset won't change.  Find the 'top tick' that will put the
-         // target `tick` in the center of the viewport.
-         // var center_offset_diff = _scrollViewer.VerticalOffset - (_scrollViewer.ScrollableHeight / 2.0);
-         // var tick_offset = center_offset_ticks 
-         // var tick_offset = (int)(_scrollViewer.ViewportHeight / (2.0 * _settings.row_height));
-
-         // The scrollbar's vertical offset won't change.  Find the 'top tick' that will put the
-         // target `tick` in the center of the viewport.
-         checked {
-            var top_tick = (int)_get_target_top_tick(tick);
-            if (_settings.animate_recenter) {
-               var anim = new Int32Animation {
-                  From = (int)_price_list.high_tick,
-                  To = top_tick,
-                  Duration = TimeSpan.FromSeconds(0.15)
-               };
-               var sb = new Storyboard();
-               sb.Children.Add(anim);
-               Storyboard.SetTarget(anim, this);
-               Storyboard.SetTargetProperty(anim, new PropertyPath(TopTickProperty));
-               sb.Begin();
-            } else {
-               _set_scrollbar_range(high_tick: top_tick);
-               _refresh_prices();
+         if (_spec.tickdiff(_price_list[0], price) is long target_row) {
+            int visible_row_count = (int)(_scroll_viewer.ActualHeight / _settings.row_height);
+            int curr_row = visible_row_count + (int)(_scroll_viewer.VerticalOffset / _settings.row_height);
+            if ((target_row > curr_row && target_row < _row_count) || (target_row < (curr_row - visible_row_count) && target_row >= 0)) {
+               _scroll_to_row((int)target_row);
+               return true;
             }
          }
-         return true;
+         return false;
       }
 
       public IObservable<ColumnType> subscribe_hover_column() =>
@@ -564,67 +468,6 @@ namespace mbts.spark {
          }
       }
 
-      IDisposable _connect_scroll_viewer(ScrollViewer scroll_viewer) {
-         if (scroll_viewer is null) {
-            return null;
-         }
-         const int scroll_tick_padding = 10;
-         // const double scroll_epsilon = 1E-8;
-         var dispatcher = Dispatcher.CurrentDispatcher;
-         bool busy = false;
-         return scroll_viewer.SubscribeScrollChanged(on_scroll_changed);
-
-         async void on_scroll_changed(object sender, ScrollChangedEventArgs e) {
-            if (e.ExtentHeight == e.ViewportHeight || busy) {
-               return;
-            }
-            busy = true;
-            await dispatcher.InvokeAsync(ensure_tick_padding, DispatcherPriority.Background);
-            busy = false;
-
-            void ensure_tick_padding() {
-               if (_price_list is null || _settings is null) {
-                  return;
-               }
-               var pct = _scroll_viewer.VerticalOffset / _scroll_viewer.ScrollableHeight;
-               var new_pl = new LadderPriceList(_price_list);
-               var stp = scroll_tick_padding * _settings.row_height;
-               if (pct == 0) {
-                  if (_scroll_viewer.ExtentHeight - _scroll_viewer.ViewportHeight < stp) {
-                     new_pl.extend_up(scroll_tick_padding);
-                  } else {
-                     new_pl.shift_up(scroll_tick_padding);
-                  }
-                  _price_dirty = true;
-               }
-               if (pct == 1) {
-                  if (_scroll_viewer.ExtentHeight - _scroll_viewer.ViewportHeight < stp) {
-                     new_pl.extend_down(scroll_tick_padding);
-                  } else {
-                     new_pl.shift_down(scroll_tick_padding);
-                  }
-                  _price_dirty = true;
-               }
-               if (new_pl != _price_list) {
-                  _pending_price_list = new_pl;
-               }
-               _ordershost.refresh_orders();
-            }
-         }
-      }
-
-      void _set_scrollbar_range(int? high_tick = null, int? length = null) {
-         if (high_tick.HasValue) {
-            _price_list.high_tick = high_tick.Value;
-         }
-         if (length.HasValue) {
-            _price_list.length = length.Value;
-         }
-         _mkt_break_lines.invalidate_indices();
-         _mkt_break_lines.refresh();
-         _refresh_all_visuals();
-      }
-
       void _send_parameterized_order(Point point, Side side) {
          Disposable.dispose(ref _parameterized_order_popup);
          void on_cannot_send(string reason) {
@@ -762,10 +605,7 @@ namespace mbts.spark {
                Keyboard.IsKeyDown(Key.LeftAlt) || Keyboard.IsKeyDown(Key.RightAlt)) {
                _vm?.recenter_all_ladders();
             } else {
-               var tgt = _spec.tickdiff(_mkt_break_lines.origin, 0.0);
-               if (tgt.HasValue) {
-                  scroll_to_tick(tgt.Value);
-               }
+               _scroll_to_center();
             }
          }
       }
@@ -842,9 +682,14 @@ namespace mbts.spark {
       }
 
 
-      internal int _row_for_price(double price) => LadderRender.index_of(_price_list, price, _price_comparer);
+      internal int _row_for_price(double price) {
+         if ((_price_list?.Count ?? 0) == 0 || !price.is_real()) {
+            return -1;
+         }
+         return LadderRender.index_of(_price_list, price, _price_comparer);
+      }
 
-      public double y_for_price(double price) => _row_for_price(price) * (_settings?.row_height ?? double.NaN);
+      // public double y_for_price(double price) => _row_for_price(price) * (_settings?.row_height ?? double.NaN);
       #endregion
 
       #region Column Utility Methods
@@ -889,11 +734,30 @@ namespace mbts.spark {
                   render_market_col(_depth.Bids);
                   break;
                case ColumnType.Price:
-                  _refresh_prices(column);
-                  break;
-               case ColumnType.Ask:
-                  render_market_col(_depth.Asks);
+                  if (_settings.net_change != LadderSettings.NetChangeTerms.None) {
+                     LadderRender.render_prices(
+                        column.visual_tup.visual,
+                        column.visual_tup.glyph_context,
+                        _row_count,
+                        _settings.row_height,
+                        _price_list,
+                        _vm.md.settlement_price,
+                        _settings.net_change == LadderSettings.NetChangeTerms.Ticks,
+                        column.settings,
+                        _spec);
+                  } else {
+                     LadderRender.render_prices(
+                        column.visual_tup.visual,
+                        column.visual_tup.glyph_context,
+                        _row_count,
+                        _settings.row_height,
+                        _price_list,
+                        column.settings,
+                        _spec,
+                        _settings.price_display_format);
+                  }
                   break;
+               case ColumnType.Ask: render_market_col(_depth.Asks); break;
                case ColumnType.Volume:
                   _volume_container.mark_dirty();
                   _refresh_volume_at_price();
@@ -1086,9 +950,8 @@ namespace mbts.spark {
                Storyboard.SetTargetProperty(anim, new PropertyPath(Behavior.AnimatedScrollViewerVerticalOffsetProperty));
                sb.Begin();
             } else {
-               _scroll_to_row(_price_list.Count / 2);
+               _scroll_to_row(_row_count / 2);
             }
-            _refresh_frozen_mkt_lines();
          }
       }
 
@@ -1102,76 +965,23 @@ namespace mbts.spark {
             return Disposable.Create(() => _can_user_send_orders_changed -= o.OnNext);
          });
 
-      LadderPriceList _create_price_list() {
-         if (_settings is not null) {
-            switch (_settings.net_change) {
-               case LadderSettings.NetChangeTerms.BasisPoints:
-               case LadderSettings.NetChangeTerms.NetBasisPoints:
-                  return new() {
-                     length = _initial_row_count,
-                     regional_tick = new RegionalTickFactors(new user.settings.TickFactors(10000, 1)),
-                  };
-            }
-         }
-         return new() {
-            length = _initial_row_count,
-            regional_tick = _spec
-         };
-      }
-
       #region Timer.Tick, Refresh Methods
       void _tick() {
          if (_settings != null) {
-            ulong unused = 0;
-            bool last_trade_changed = _vm.md.get_last_trade(ref unused, out _last_trade, out DateTime _, out ulong __);
+            bool last_trade_changed = _vm.md.get_last_trade(ref lastTradeTime, out _last_trade, out DateTime _, out ulong __);
             bool depth_changed = _vm.md.get_depth(ref _prices_updated, ref _bids, ref _asks, NativePriceHelpers.COCONUT_MAX_DEPTH);
-            _depth = _vm.security_md.Depth(_bids, _asks, _vm.securities);
             _mkt_break_lines.refresh();
-            if (_price_list is null) {
-               Log.assert(_price_dirty);
-               _price_list = _create_price_list();
-               var mid_tick = security.tickdiff(_mkt_break_lines.origin, 0) ?? 0;
-               if (mid_tick > int.MaxValue) {
-                  Log.Ui.error(
-                     $"Unable to set scrollbar range about mid_tick {mid_tick}: " +
-                     $"tick count exceeds int.MaxValue");
-               } else {
-                  _set_scrollbar_range(high_tick: (int)mid_tick + (_price_list.Count << 1));
-               }
-               _price_dirty = true;
+            bool prices_changed =
+               _price_dirty ||
+               (double.IsNaN(_last_origin_price) && !double.IsNaN(_mkt_break_lines.origin)) ||
+               _mkt_break_lines.origin >= _price_list[0] || _mkt_break_lines.origin <= _price_list[_price_list.Count - 1];
+            if (!prices_changed && _prices_out_of_range(out double low, out double high)) {
+               prices_changed = _refresh_price_range(low, high);
             }
-            if (_price_dirty) {
-               if (_pending_price_list != null && !_pending_price_list.Equals(_price_list)) {
-                  var prev_price_list = _price_list;
-                  _price_list = _pending_price_list;
-                  _pending_price_list = null;
-                  if (prev_price_list.Count != _price_list.Count) {
-                     _reset_height();
-                  }
-                  // maintain previous visible price range if possible
-                  double percent_scroll_offset = _scroll_viewer.VerticalOffset / _scroll_viewer.ScrollableHeight;
-                  var n_visible_rowsd = _scroll_viewer.ViewportHeight / _settings.row_height;
-                  var n_visible_rows = (int)n_visible_rowsd;
-                  var offset = n_visible_rowsd - n_visible_rows;
-                  var n_rows_to_scroll = _price_list.Count - n_visible_rows - 1;
-                  int prev_target_index = (int)(percent_scroll_offset * n_rows_to_scroll);
-                  // int prev_target_index = (int)(percent_scroll_offset * prev_price_list.Count - 1);
-                  if (prev_price_list.TryGetAt(prev_target_index, out double prev_target_price)) {
-                     int new_target_index = LadderRender.index_of(_price_list, prev_target_price, _price_comparer);
-                     if (_price_list.within_range(new_target_index)) {
-                        // force _scrollViewer to re-calculate ScrollableHeight
-                        _scroll_viewer.UpdateLayout();
-                        double new_vertical_offset = new_target_index * _settings.row_height;
-                        // double new_vertical_offset = ((double)new_target_index / _price_list.Count) * _scrollViewer.ScrollableHeight;
-                        _scroll_viewer.ScrollToVerticalOffset(new_vertical_offset);
-                     }
-                  }
-               }
-               _refresh_prices();
-               scroll_to_pending_target();
+            if (prices_changed) {
+               _refresh_price_list();
                _refresh_all_visuals();
             } else {
-               scroll_to_pending_target();
                if (_mkt_break_lines.bid_dirty)
                   _refresh_bid_mkt_break();
                if (_mkt_break_lines.ask_dirty)
@@ -1243,6 +1053,75 @@ namespace mbts.spark {
             _settings.price_display_format);
       }
 
+      static readonly TimeSpan _price_out_of_range_render_interval = TimeSpan.FromSeconds(5);
+      DateTime _last_price_range_calc_time = DateTime.MinValue;
+
+      void _refresh_price_list() {
+         if (_settings is null || _spec is null || !_mkt_break_lines.origin.is_real()) {
+            return;
+         }
+         var prev_price_list = _price_list;
+         _price_list = (!(_settings.net_change == LadderSettings.NetChangeTerms.None)) ?
+            LadderRender.render_prices(_price_vis_tup.visual, _price_vis_tup.glyph_context, _mkt_break_lines.origin, _vm.md.settlement_price, _settings.net_change == LadderSettings.NetChangeTerms.Ticks, _row_count, _settings.row_height, _settings.price_column, _spec) :
+            LadderRender.render_prices(_price_vis_tup.visual, _price_vis_tup.glyph_context, _mkt_break_lines.origin, _row_count, _settings.row_height, _settings.price_column, _spec, _settings.price_display_format);
+         _ordershost.update_settings(_settings.row_height, _settings.orders_column);
+         if (prev_price_list != null) {
+            // maintain previous visible price range if possible
+            double percent_scroll_offset = _scroll_viewer.VerticalOffset / _scroll_viewer.ScrollableHeight;
+            int prev_target_index = (int)(percent_scroll_offset * prev_price_list.Count);
+            if (prev_price_list.TryGetAt(prev_target_index, out double prev_target_price)) {
+               int new_target_index = LadderRender.index_of(_price_list, prev_target_price, _price_comparer);
+               if (_price_list.within_range(new_target_index)) {
+                  // force _scroll_viewer to re-calculate ScrollableHeight
+                  _scroll_viewer.UpdateLayout();
+                  double new_vertical_offset = ((double)new_target_index / _price_list.Count) * _scroll_viewer.ScrollableHeight;
+                  _scroll_viewer.ScrollToVerticalOffset(new_vertical_offset);
+               }
+            }
+         }
+      }
+
+      bool _refresh_price_range(double low, double high) {
+         bool prices_changed = false;
+         // The market can be wider than the 1001 rows (ticks) we [initially] allot.
+         // Rendering prices is expensive, and will lock up the ui if done continuously.
+         // Therefore, ensure a minimum time interval has elapsed before rendering prices again.
+         var now = DateTime.Now;
+         if ((now - _last_price_range_calc_time) > _price_out_of_range_render_interval) {
+            SparkUtils.lazy_warn(!double.IsNaN(_mkt_break_lines.origin) && _mkt_break_lines.origin >= low && _mkt_break_lines.origin <= high,
+               () => fmt_log_msg($"market break ({_mkt_break_lines.origin}) is unacceptable for the market range ({low} - {high})"));
+            int prev_row_count = _row_count;
+            var n_ticks_to_low = (int)(_spec.tickdiff(_mkt_break_lines.origin, low) ?? 0).within_range(int.MinValue, int.MaxValue);
+            var n_ticks_to_high = (int)(_spec.tickdiff(high, _mkt_break_lines.origin) ?? 0).within_range(int.MinValue, int.MaxValue);
+            int desired_row_count = Math.Max(n_ticks_to_low, n_ticks_to_high) * 2 + 1;
+            desired_row_count = Math.Max(desired_row_count, _min_row_count);
+            _row_count = Math.Min(_max_row_count, desired_row_count);
+            if (_row_count != prev_row_count) {
+               if (desired_row_count > _max_row_count)
+                  Log.Ui.warn(fmt_log_msg($"ticks between market range ({low} - {high}) exceeds the maximum number of rows allowed ({_max_row_count})"));
+               else
+                  Log.Ui.info(fmt_log_msg($"increase row count to {_row_count} to accomodate market range ({low} - {high})"));
+               prices_changed = true;
+               _reset_height();
+            } else {
+               prices_changed = _mkt_break_lines.origin != _last_origin_price;
+            }
+            _last_price_range_calc_time = now;
+            //
+            string fmt_log_msg(string msg) =>
+               $"Ladder {security} (id:{security.Id}, low/high tick:{security.ContractSpec.LowTick}/{security.ContractSpec.HighTick}): {msg}.";
+         }
+         return prices_changed;
+      }
+
+      bool _prices_out_of_range(out double low, out double high) {
+         low = _bids == null ? double.NaN : TickUtils.low_tick(_bids, _asks);
+         high = _asks == null ? double.NaN : TickUtils.high_tick(_bids, _asks);
+         return
+            (!double.IsNaN(low) && _price_list[_price_list.Count - 1] > low) ||
+            (!double.IsNaN(high) && _price_list[0] < high);
+      }
+
       void _refresh_all_visuals() {
          if (_scroll_viewer is null || _settings is null) {
             return;
@@ -1296,50 +1175,36 @@ namespace mbts.spark {
       }
 
       void _refresh_session_low_line() {
-         if (_settings.session_low_line.show) {
-            _render_session_line(_session_low_vis, _mkt_break_lines.low_render_index ?? -1, _settings.session_low_line.color);
-         }
+         if (_settings.session_low_line.show && _mkt_break_lines.low_render_index.HasValue)
+            _render_session_line(_session_low_vis, _mkt_break_lines.low_render_index.Value, _settings.session_low_line.color);
       }
 
       void _refresh_session_high_line() {
-         if (_settings.session_high_line.show) {
-            _render_session_line(_session_high_vis, _mkt_break_lines.high_render_index ?? -1, _settings.session_high_line.color);
-         }
+         if (_settings.session_high_line.show && _mkt_break_lines.high_render_index.HasValue)
+            _render_session_line(_session_high_vis, _mkt_break_lines.high_render_index.Value, _settings.session_high_line.color);
       }
 
       void _refresh_last_trade() {
          var last_index = LadderRender.index_of(_price_list, _last_trade.price, _price_comparer);
          if (last_index > 0)
-            LadderRender.render_last(
-               _last_vis_tup.visual,
-               _last_vis_tup.glyph_context,
-               _last_trade,
-               last_index,
-               _settings.row_height,
-               _settings.last_column,
-               _fmt_mkt_depth_item);
+            LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column, _fmt_mkt_quantity);
       }
 
       void _refresh_piq() {
          if (!_settings.piq_column.show)
             return;
          int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
-         LadderRender.render_piqs(
-            _piq_vis_tup.visual,
-            _last_vis_tup.glyph_context,
-            _price_list,
-            _vm.price_vs_piq,
-            _settings.row_height,
-            _spec,
-            _settings.piq_column,
-            _fmt_mkt_quantity);
+         LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, _price_list, _vm.price_vs_piq, _settings.row_height, _spec, _settings.piq_column, _fmt_mkt_quantity);
+         LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, _price_list, _vm.price_vs_piq, _settings.row_height, _spec, _settings.piq_column, _fmt_mkt_quantity);
       }
 
       void _refresh_sizes() {
          Log.assert_d(_price_list != null);
          int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
-         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, _depth.Bids, _settings.row_height, _spec, _settings.bid_column, _fmt_price_level);
-         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, _depth.Asks, _settings.row_height, _spec, _settings.ask_column, _fmt_price_level);
+         var bidItems = _bids.Select(nps => (nps.price, (double)nps.size, nps.price * nps.size));
+         var askItems = _asks.Select(nps => (nps.price, (double)nps.size, nps.price * nps.size));
+         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, bidItems, _settings.row_height, _spec, _settings.bid_column, _fmt_price_level);
+         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, askItems, _settings.row_height, _spec, _settings.ask_column, _fmt_price_level);
       }
 
       /// <summary>
@@ -1408,12 +1273,9 @@ namespace mbts.spark {
       void _clear_visuals() {
          if (_settings == null)
             return;
-         if (_price_list is null) {
-            _price_list = new LadderPriceList {
-               regional_tick = _spec
-            };
-         }
-         _price_list.reset(null, null, _initial_row_count);
+         _price_list = new double[_row_count];
+         for (int i = 0; i < _price_list.Count; i++)
+            _price_list[i] = double.NaN;
          Array.Clear(_bids, 0, _bids.Length);
          Array.Clear(_asks, 0, _asks.Length);
          _price_dirty = true;
@@ -1421,7 +1283,6 @@ namespace mbts.spark {
          _refresh_bid_mkt_break();
          _refresh_ask_mkt_break();
          _refresh_mid_mkt_break();
-         _refresh_fair_value_lines(true);
          _refresh_session_low_line();
          _refresh_session_high_line();
          _refresh_session_range();
@@ -1431,58 +1292,38 @@ namespace mbts.spark {
       #endregion
 
       #region Market Break, Session Low/High Utils
-      static double _get_top_price(NativePriceSize[] prices) {
-         if (prices == null) {
-            return double.NaN;
-         }
-         if (prices.Length == 0) {
-            return double.NaN;
-         }
-         if (prices[0].size == 0) {
-            return double.NaN;
-         }
-         return prices[0].price;
-      }
+      static double _get_top_price(NativePriceSize[] prices) =>
+         prices != null && prices.Length > 0 ? prices[0].price : double.NaN;
 
       double _get_bid_market_break() {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
-         var v = best_bid
-            .if_nan(_spec.tickdown(best_ask))
-            .if_nan(_vm?.settlement ?? double.NaN);
-         return _spec.round_to_tick(v, RoundingMode.AbsDown);
+         return double.IsNaN(best_bid) ?
+            double.IsNaN(best_ask) ? _vm.settlement : _spec.tickdown(best_ask) :
+            best_bid;
       }
 
       double _normalize_price(double price) =>
          TickUtils.normalize_price(_spec, price);
 
       double _get_ask_market_break() {
-         if (_vm is null) {
-            return double.NaN;
-         }
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
-         var v = _spec.tickdown(best_ask)
-            .if_nan(best_bid)
-            .if_nan(_vm?.settlement ?? double.NaN);
-         return _spec.round_to_tick(v, RoundingMode.AbsDown);
+         return double.IsNaN(best_ask) ?
+            double.IsNaN(best_bid) ? _vm.settlement : best_bid :
+            _spec.tickdown(best_ask);
       }
 
       double _get_mid_market_break() {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
-         var v = TickUtils.mid_tick(_spec, best_bid, best_ask)
-            .if_nan(best_bid)
-            .if_nan(_spec?.tickdown(best_ask) ?? double.NaN)
-            .if_nan(_vm?.settlement ?? double.NaN);
-         return _spec.round_to_tick(v, RoundingMode.AbsDown);
+         return double.IsNaN(best_bid) ?
+            double.IsNaN(best_ask) ? _vm.settlement : _spec.tickdown(best_ask) :
+            double.IsNaN(best_ask) ? best_bid : TickUtils.mid_tick(_spec, best_bid, best_ask);
       }
 
-      double _get_session_low() => _normalize_price(_get_session_low_raw());
-      double _get_session_high() => _normalize_price(_get_session_high_raw());
-
-      double _get_session_low_raw() => _vm?.md?.session_low ?? double.NaN;
-      double _get_session_high_raw() => _vm?.md?.session_high ?? double.NaN;
+      double _get_session_low() => _vm.md.session_low;
+      double _get_session_high() => _vm.md.session_high;
 
       void _render_mkt_break(DrawingVisual vis, double price, uint color) =>
          LadderRender.render_mkt_break(vis, _row_for_price(price), _settings.row_height, color);
@@ -1506,15 +1347,6 @@ namespace mbts.spark {
          _settings = _vm?.get_save_state() ?? s;
          _pending_scroll_to_origin |= _settings == null;
          _invalidate_spec();
-         if (_price_list != null) {
-            _pending_price_list = null;
-            if (_price_list.Count > 0) {
-               var high_price = _price_list.First();
-               var new_tickdiff = _spec.count_ticks(high_price);
-               _price_list.high_tick = (long)new_tickdiff;
-            }
-            _price_list.regional_tick = _spec;
-         }
          _bid_vis_tup.glyph_context = glyph_context(s.bid_column);
          _ask_vis_tup.glyph_context = glyph_context(s.ask_column);
          _price_vis_tup.glyph_context = glyph_context(s.price_column);
@@ -1598,9 +1430,22 @@ namespace mbts.spark {
          // if (_scroll_viewer != null) {
          //    _scroll_viewer.Background = s.last_column.background.rgb_brush();
          // }
-         scroll_to_pending_target();
          visible_columns_changed?.Invoke();
-         _refresh_all_visuals();
+         if (_scroll_viewer is not null && _settings is not null) {
+            _vm.md.get_last_trade(ref lastTradeTime, out _last_trade, out DateTime _, out ulong __);
+            _vm.md.get_depth(ref _prices_updated, ref _bids, ref _asks, NativePriceHelpers.COCONUT_MAX_DEPTH);
+            _mkt_break_lines.refresh();
+            double low = _bids == null ? double.NaN : TickUtils.low_tick(_bids, _asks);
+            double high = _asks == null ? double.NaN : TickUtils.high_tick(_bids, _asks);
+            _refresh_price_range(low, high);
+            _refresh_price_list();
+            _refresh_all_visuals();
+            _refresh_piq();
+            _piq_dirty = false;
+            _refresh_volume_at_price();
+            _last_origin_price = _mkt_break_lines.origin;
+            _price_dirty = false;
+         }
       }
 
       // This is designed to be a redundant null check for _fmt_mkt_depth_item_impl.
@@ -1631,6 +1476,9 @@ namespace mbts.spark {
          return impl is null ? value.ToString() : impl(value, price);
       }
 
+      string _fmt_mkt_quantity(NativePriceSize nps) =>
+         _fmt_mkt_quantity(nps.size, nps.price);
+
       void _init_tactile_adorner() {
          Disposable.dispose(ref _tactile_adorner);
          if (_scroll_viewer != null)
@@ -1745,7 +1593,7 @@ namespace mbts.spark {
                   return null;
                }
                if (!double.IsNaN(_session_low)) {
-                  _low_index = _owner._price_list.IndexOf(_session_low);
+                  _low_index = LadderRender.index_of(_owner._price_list, _session_low, _owner._price_comparer);
                   if (_session_low < _owner._price_list.Last()) {
                      _low_index = _owner._price_list.Count - 1;
                   }

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

@@ -1,6 +1,7 @@
 using bts.api;
 using bts.utils;
 
+using Spark.Core;
 using Spark.Core.Diagnostics;
 
 using System;
@@ -30,6 +31,16 @@ namespace mbts.spark {
          regional_tick = other.regional_tick;
       }
 
+      public LadderPriceList(RegionalTickFactors regionalTick, IList<double> prices) {
+         regional_tick = regionalTick;
+         _length = prices.Count;
+         checked {
+            _high_tick = prices.Count > 0
+               ? (int)regionalTick.tickdiff(prices[0], 0).assert_value()
+               : 0;
+         }
+      }
+
       public event NotifyCollectionChangedEventHandler CollectionChanged;
 
       RegionalTickFactors _regional_tick;

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

@@ -1,4 +1,4 @@
-using bts;
+using bts;
 using bts.api;
 using bts.api.md.auxiliary;
 using bts.collections;
@@ -101,6 +101,24 @@ namespace mbts.spark {
             settings.font_size, settings.width, row_height, HorizontalAlignment.Right,
             -4, VerticalAlignment.Center, row * row_height, true);
 
+      public static double[] gen_prices(double mid, int row_count, RegionalTickFactors spec) {
+         // require odd number
+         Log.assert(row_count % 2 == 1);
+         var result = new double[row_count];
+         int range = row_count / 2;
+         int middle = row_count / 2;
+         result[middle] = mid;
+         double up = mid, down = mid;
+         // Starting from the middle iterate out to the edges
+         for (int x = 1; x <= range; ++x) {
+            up = spec.tickup(up);
+            down = spec.tickdown(down);
+            result[middle - x] = up;
+            result[middle + x] = down;
+         }
+         return result;
+      }
+
       public static GlyphRun[] format_prices(
          IList<double> prices,
          double reference_price,
@@ -196,6 +214,45 @@ namespace mbts.spark {
          }
       }
 
+      public static double[] render_prices(DrawingVisual price, GlyphContext glyph_context, double mid, double wrt_price, bool format_in_tick_terms, int row_count, double row_height,
+         LadderColumnSettings settings, RegionalTickFactors spec) {
+         var dprices = gen_prices(mid, row_count, spec);
+         render_prices(price, glyph_context, row_count, row_height, dprices, wrt_price, format_in_tick_terms, settings, spec);
+         return dprices;
+      }
+
+      public static double[] render_prices(DrawingVisual price, GlyphContext glyph_context, double mid, int row_count, double row_height,
+         LadderColumnSettings settings, RegionalTickFactors spec, LadderSettings.PriceDisplayFormat price_display_format) {
+         var dprices = gen_prices(mid, row_count, spec);
+         render_prices(price, glyph_context, row_count, row_height, dprices, settings, spec, price_display_format);
+         return dprices;
+      }
+
+      public static void render_prices(DrawingVisual price, GlyphContext glyph_context, int row_count, double row_height, IList<double> dprices, double wrt_price, bool format_in_tick_terms, LadderColumnSettings settings, RegionalTickFactors spec) {
+         var foreground = settings.foreground.rgb_brush();
+         //var background = new SolidColorBrush(settings.background.rgb_color());
+         var terms = format_in_tick_terms ? LadderSettings.NetChangeTerms.Ticks : LadderSettings.NetChangeTerms.Dollars;
+         var fprices = format_prices(dprices, wrt_price, terms, row_height, settings, glyph_context, spec);
+         using (var dc = price.RenderOpen())
+         using (_draw_with_clip(dc, settings, row_height, row_count)) {
+            //dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, row_count * row_height));
+            for (int x = 0; x < row_count; ++x)
+               dc.DrawGlyphRun(foreground, fprices[x]);
+         }
+      }
+
+      public static void render_prices(DrawingVisual price, GlyphContext glyph_context, int row_count, double row_height, IList<double> dprices, LadderColumnSettings settings, RegionalTickFactors spec, LadderSettings.PriceDisplayFormat price_display_format) {
+         var foreground = settings.foreground.rgb_brush();
+         //var background = new SolidColorBrush(settings.background.rgb_color());
+         var fprices = format_prices(dprices, double.NaN, LadderSettings.NetChangeTerms.Dollars, row_height, settings, glyph_context, spec, price_display_format);
+         using (var dc = price.RenderOpen())
+         using (_draw_with_clip(dc, settings, row_height, row_count)) {
+            //dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, row_count * row_height));
+            for (int x = 0; x < row_count; ++x)
+               dc.DrawGlyphRun(foreground, fprices[x]);
+         }
+      }
+
       public static void render_grid(DrawingVisual dv, IEnumerable<LadderGridHost.IColumn> columns, int rowcount, double row_height, UInt32 line_color) {
          var height = rowcount * row_height;
          var brush = line_color.rgb_brush();

src/client/spark/Modules/Trading/OrderBook/Settings/OrderBookFilterStates.cs

@@ -26,7 +26,7 @@ namespace bts.shell.orderbook {
       [ProtoMember(5)]
       public string[] accounts;
 
-      [ProtoMember(5)]
+      [ProtoMember(28)]
       public string Tag { get; set; }
 
       [ProtoMember(6)]

src/client/spark/Modules/Trading/PNL/View/PNLView.xaml.cs

@@ -407,16 +407,16 @@ namespace bts.shell.pnl {
       void _show_auxiliary_popup<T>(T content, string context_desc, string title_desc, Color fg) {
          var view = new HeaderedContentControl {
             Content = content,
-            Header = new AuxiliaryDataHeader {
+            Header = new OrderAuxiliaryPopupHeader {
                context = context_desc,
                title = title_desc,
                title_foreground = fg
             },
             HorizontalAlignment = HorizontalAlignment.Left,
             VerticalAlignment = VerticalAlignment.Top,
-            Resources = new AuxiliaryDataResources()
+            Resources = new OrderAuxiliaryPopupResources()
          };
-         view.Style = view.Resources[AuxiliaryDataResources.PopupChildStyleKey] as Style;
+         view.Style = view.Resources[OrderAuxiliaryPopupResources.PopupChildStyleKey] as Style;
          _popup_man.show(view);
       }
 

src/client/spark/NMSheets/DataProviders/NMSheetSingleOptionMainDataSource.cs

@@ -8,13 +8,15 @@ using bts.api;
 using mbts.analytics;
 using mbts;
 
-namespace BCG {
+namespace BCG
+{
    /// For each NMSheetSymbol in an NMSheet gets all the 
    /// data together (theos, position, vol change etc) 
    /// and fires a callback.
    /// This is where all the data is gathered, the rest
    /// is all access to this
-   public class NMSheetSingleOptionMainDataSource : IDisposable {
+   public class NMSheetSingleOptionMainDataSource : IDisposable
+   {
       private ThreadedBlackboard _threaded_bb;
       private readonly ITag<NMSheetDataRequest> _in_bb_main_sheet_request_tag;
       private readonly ITag<ExchangeSecurityMap> _in_bb_secmap_tag =
@@ -24,6 +26,7 @@ namespace BCG {
       private readonly ITag<OptionTheoInterpolationData> _in_bb_precomputed_sparse_theos_tag;
       private readonly ITag<IDictionary<NMSheetExpiration, double>> _in_bb_vol_shift_tag;
       private readonly ITag<NMSheetSettings> _in_bb_sheet_settings_tag;
+      private readonly ITag<IEnumerable<ITradeLogRow>> _in_bb_trade_log_tag = SparkTags.TradeLogTag;
       private readonly ITag<VolSurfaceNonVolInput> _in_exp_param_tag = SparkTags.VolSurfaceNonVolInputTag;
       private readonly ITag<bool> _in_bb_main_sheet_visibility_tag;
       private ITag<SparkTags.Nothing> _in_bb_onefive_value_tag = SparkTags.TC2Tags.VoidTag,
@@ -31,7 +34,6 @@ namespace BCG {
                                        _in_bb_symbol_theo_shift_tag = SparkTags.TC2Tags.VoidTag,
                                        _in_bb_rollover_data_tag = SparkTags.TC2Tags.VoidTag,
                                        _in_bb_presaved_aw2_theos_tag = SparkTags.TC2Tags.VoidTag,
-                                       _in_bb_position_tag = SparkTags.TC2Tags.VoidTag,
                                        _in_bb_option_driver_detailed_price_tag = SparkTags.TC2Tags.VoidTag;
       private readonly NMSheetSymbol _nmsheet_symbol;
       private Action<Pair<NMSheetSymbol, NMSheetSingleOptionData>> _cb;
@@ -40,7 +42,8 @@ namespace BCG {
       private string _electronic_equivelant_symbol;
       private NMSheetArchivedVolProvider _archived_vol_provider;
 
-      public NMSheetSingleOptionMainDataSource(object req_id, ThreadedBlackboard threaded_bb, NMSheetSymbol option, Action<Pair<NMSheetSymbol, NMSheetSingleOptionData>> callback) {
+      public NMSheetSingleOptionMainDataSource(object req_id, ThreadedBlackboard threaded_bb, NMSheetSymbol option, Action<Pair<NMSheetSymbol, NMSheetSingleOptionData>> callback)
+      {
          _threaded_bb = threaded_bb;
          _nmsheet_symbol = option;
          _electronic_equivelant_symbol = option.option_name;
@@ -56,7 +59,8 @@ namespace BCG {
          _in_bb_sheet_settings_tag = SparkTags.TC2Tags.NMSheetSettingsTag(req_id.ToString());
          _in_bb_main_sheet_visibility_tag = SparkTags.TC2Tags.NMSheetVisibilityTag(req_id.ToString());
          _archived_vol_provider = new NMSheetArchivedVolProvider(req_id.ToString(), _threaded_bb, option,
-            () => {
+            () =>
+            {
                _rollover_data = null;
                _compute_and_fire();
             });
@@ -76,7 +80,7 @@ namespace BCG {
          _threaded_bb.subscribe(_in_bb_rollover_data_tag);
          _threaded_bb.subscribe(_in_bb_presaved_aw2_theos_tag);
          _threaded_bb.subscribe(_in_exp_param_tag);
-         _threaded_bb.subscribe(_in_bb_position_tag);
+         _threaded_bb.subscribe(_in_bb_trade_log_tag);
          _threaded_bb.subscribe(_in_bb_sheet_settings_tag);
          _threaded_bb.subscribe(_in_bb_onefive_value_tag);
          _threaded_bb.subscribe(_in_bb_qs_tag);
@@ -84,15 +88,17 @@ namespace BCG {
          _threaded_bb.subscribe(_in_bb_option_driver_detailed_price_tag);
       }
 
-      private void _react_to_bb(object tag, object value) {
+      private void _react_to_bb(object tag, object value)
+      {
          if (_in_bb_main_sheet_request_tag.Equals(tag) || _in_bb_secmap_tag.Equals(tag) || _in_bb_live_theos_tag.Equals(tag) || /*_in_bb_live_driver_bbo_tag.Equals(tag) ||*/ _in_bb_precomputed_sparse_theos_tag.Equals(tag) ||
             _in_bb_vol_shift_tag.Equals(tag) || _in_bb_symbol_theo_shift_tag.Equals(tag) || _in_exp_param_tag.Equals(tag) || _in_bb_presaved_aw2_theos_tag.Equals(tag) ||
-            _in_bb_position_tag.Equals(tag) || _in_bb_rollover_data_tag.Equals(tag) || _in_bb_sheet_settings_tag.Equals(tag) || _in_bb_qs_tag.Equals(tag) ||
+            _in_bb_trade_log_tag.Equals(tag) || _in_bb_rollover_data_tag.Equals(tag) || _in_bb_sheet_settings_tag.Equals(tag) || _in_bb_qs_tag.Equals(tag) ||
             _in_bb_main_sheet_visibility_tag.Equals(tag))
             _compute_and_fire();
       }
 
-      private NMSheetDriverData _get_driver(DriverMD d) {
+      private NMSheetDriverData _get_driver(DriverMD d)
+      {
          double dr_pr = d.get_driver();
          if (d.driver_security.HasValue)
             return new NMSheetDriverData(d.driver_security.symbol_or_default(),
@@ -102,8 +108,10 @@ namespace BCG {
          return new NMSheetDriverData(String.Empty, Venue.Unset, DateTime.MinValue, dr_pr, dr_pr, false);
       }
 
-      private void _compute_and_fire() {
-         if (_is_main_sheet_active()) {
+      private void _compute_and_fire()
+      {
+         if (_is_main_sheet_active())
+         {
             var timer = Stopwatch.StartNew();
             NMSheetDataRequest data_request = _threaded_bb.read_state(_in_bb_main_sheet_request_tag) ?? new NMSheetDataRequest(new List<Triplet<NMSheetExpiration, bool, double>>());
             data_request = NMSheetDataRequest.restrict_for_symbol(data_request, _nmsheet_symbol);
@@ -112,7 +120,8 @@ namespace BCG {
             NMSheetSettings sheet_settings = _threaded_bb.read_state(_in_bb_sheet_settings_tag) ?? new NMSheetSettings();
             ExpStrikeKeyedData<mbts.spark.TheoPoint> shared_live_theo_data_map = _threaded_bb.read_state(_in_bb_live_theos_tag);
 
-            if (data_request != null && live_driver_map != null && shared_live_theo_data_map != null) {
+            if (data_request != null && live_driver_map != null && shared_live_theo_data_map != null)
+            {
                ExpStrikeKeyedData<mbts.spark.TheoPoint> output_theo_data_map = _limit_to_requested_securities(shared_live_theo_data_map, data_request, sheet_settings);
                output_theo_data_map = _adjust_for_freezes(output_theo_data_map, data_request);
                _add_vol_shift(output_theo_data_map);
@@ -138,14 +147,17 @@ namespace BCG {
          }
       }
 
-      private bool _is_main_sheet_active() {
+      private bool _is_main_sheet_active()
+      {
          return _threaded_bb.read_state(_in_bb_main_sheet_visibility_tag, true);
       }
 
-      private ExpStrikeKeyedData<mbts.spark.TheoPoint> _limit_to_requested_securities(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data, NMSheetDataRequest data_request, NMSheetSettings sheet_settings) {
+      private ExpStrikeKeyedData<mbts.spark.TheoPoint> _limit_to_requested_securities(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data, NMSheetDataRequest data_request, NMSheetSettings sheet_settings)
+      {
          HashSet<DateTime> selected_exp_map = new HashSet<DateTime>();
          HashSet<double> selected_strike_map = new HashSet<double>(sheet_settings.setting_unselected_strikes);
-         foreach (Triplet<NMSheetExpiration, bool, double> t in data_request.expiration_request_list) {
+         foreach (Triplet<NMSheetExpiration, bool, double> t in data_request.expiration_request_list)
+         {
             NMSheetExpiration nm_exp = t.first;
             if (nm_exp != null && nm_exp.option_name == _nmsheet_symbol.option_name)
                selected_exp_map.Add(nm_exp.option_expiration);
@@ -153,12 +165,14 @@ namespace BCG {
          return theo_data.clone_filtered_set(selected_exp_map, true, selected_strike_map, false);
       }
 
-      private ExpStrikeKeyedData<Triplet<mbts.spark.TheoPoint, uint, uint>> _attach_sec_keys(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_map) {
+      private ExpStrikeKeyedData<Triplet<mbts.spark.TheoPoint, uint, uint>> _attach_sec_keys(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_map)
+      {
          theo_map = theo_map ?? new ExpStrikeKeyedData<mbts.spark.TheoPoint>();
          ExchangeSecurityMap sec_map = _threaded_bb.read_state(_in_bb_secmap_tag);
          if (sec_map != null)
             return sec_map.attach_sec_keys(theo_map, _electronic_equivelant_symbol, _nmsheet_symbol.option_exchange);
-         else {
+         else
+         {
             ExpStrikeKeyedData<Triplet<mbts.spark.TheoPoint, uint, uint>> rv = new ExpStrikeKeyedData<Triplet<mbts.spark.TheoPoint, uint, uint>>();
             foreach (Triplet<DateTime, double, mbts.spark.TheoPoint> t in theo_map.get_data_linearly())
                rv.set_data(t.first, t.second, new Triplet<mbts.spark.TheoPoint, uint, uint>(t.third, 0, 0));
@@ -166,7 +180,8 @@ namespace BCG {
          }
       }
 
-      private ExpStrikeKeyedData<mbts.spark.TheoPoint> _adjust_for_freezes(ExpStrikeKeyedData<mbts.spark.TheoPoint> live_theo_map, NMSheetDataRequest data_request) {
+      private ExpStrikeKeyedData<mbts.spark.TheoPoint> _adjust_for_freezes(ExpStrikeKeyedData<mbts.spark.TheoPoint> live_theo_map, NMSheetDataRequest data_request)
+      {
          return live_theo_map;
          // TODO
          // ExpStrikeKeyedData<mbts.spark.TheoPoint> rv = new ExpStrikeKeyedData<mbts.spark.TheoPoint>();
@@ -192,9 +207,11 @@ namespace BCG {
 
       private Dictionary<DateTime, NMSheetDriverData> _get_option_exp_driver_data_map(NMSheetDataRequest data_request,
                                                                                       ExpStrikeKeyedData<mbts.spark.TheoPoint> output_theo_data_map, ExpStrikeKeyedData<mbts.spark.TheoPoint> shared_live_theo_data_map,
-                                                                                      Dictionary<DateTime, Triplet<(string, Venue), DateTime, double>> live_driver_map) {
+                                                                                      Dictionary<DateTime, Triplet<(string, Venue), DateTime, double>> live_driver_map)
+      {
          Dictionary<DateTime, NMSheetDriverData> rv = new Dictionary<DateTime, NMSheetDriverData>();
-         foreach (Triplet<NMSheetExpiration, bool, double> theo_request in data_request.expiration_request_list) {
+         foreach (Triplet<NMSheetExpiration, bool, double> theo_request in data_request.expiration_request_list)
+         {
             DateTime option_expiration = theo_request.first.option_expiration;
             /// live driver
             var live_driver_info = live_driver_map.GetValueOrDefault(option_expiration)
@@ -208,9 +225,11 @@ namespace BCG {
 
       private Dictionary<DateTime, NMSheetDriverData>
          _get_option_exp_driver_data_map(NMSheetDataRequest data_request,
-                                         OptionDriverPriceMap drivers) {
+                                         OptionDriverPriceMap drivers)
+      {
          var rv = new Dictionary<DateTime, NMSheetDriverData>();
-         foreach (var tr in data_request.expiration_request_list) {
+         foreach (var tr in data_request.expiration_request_list)
+         {
             NMSheetExpiration nm_exp = tr.first;
             SecurityExpiration exp = tr.first.to_sec_exp();
             drivers.exp_price_map.TryGetValue(exp, out DriverMD dr_md);
@@ -222,7 +241,8 @@ namespace BCG {
          return rv;
       }
 
-      private static double _get_driverprice_for_expiration(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data_map, DateTime option_expiration) {
+      private static double _get_driverprice_for_expiration(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data_map, DateTime option_expiration)
+      {
          IDictionary<double, mbts.spark.TheoPoint> exp_data = theo_data_map.get_data_for_single_exp(option_expiration);
          if (exp_data != null)
             foreach (mbts.spark.TheoPoint tp in exp_data.Values)
@@ -230,7 +250,21 @@ namespace BCG {
          return Double.NaN;
       }
 
-      private IDictionary<DateTime, ATMData> _get_atm_data(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data) {
+       private double _get_rep_driver() {
+         var map =
+            _threaded_bb.read_state(SparkTags.OptionDriverBBOTag((_nmsheet_symbol.option_name, _nmsheet_symbol.option_exchange)));
+         if (map == null)
+            return Double.NaN;
+         var price_map = map.get_price_map();
+         if (price_map == null || price_map.Count == 0)
+            return Double.NaN;
+         var md = price_map.ElementAt(0).Value;
+         double pr = md.get_driver();
+         return pr;
+      }
+
+      private IDictionary<DateTime, ATMData> _get_atm_data(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data)
+      {
          NMSheetSettings sheet_settings = _threaded_bb.read_state(_in_bb_sheet_settings_tag) ?? new NMSheetSettings();
          VolSurfaceNonVolInput vs_nvinp = _threaded_bb.read_state(_in_exp_param_tag);
          var option_exp_roll_data = vs_nvinp
@@ -240,7 +274,7 @@ namespace BCG {
                exp.security_type == SecurityType.Option)
             ?.ToDictionaryCrushed(kv => kv.Key.expiration, kv => kv.Value)
             ?? new();
-         IDictionary<DateTime, ATMData> atm_data = OptionATMDataSource.compute_atm_data(_get_onefive(), theo_data, option_exp_roll_data);
+         IDictionary<DateTime, ATMData> atm_data = OptionATMDataSource.compute_atm_data(_get_onefive(), theo_data, option_exp_roll_data, _get_rep_driver());
          if (sheet_settings.setting_atm.select_atm_nearest_strike_only)
             foreach (ATMData exp_atm_data in atm_data.Values)
                exp_atm_data.reduce_to_nearest_expiration();
@@ -248,17 +282,43 @@ namespace BCG {
       }
 
       OptionContractKeyedData<PNLRollOverDataUnit> _rollover_data = null;
-      private OptionContractKeyedData<PNLRollOverDataUnit> _get_rollover_data() {
+      private OptionContractKeyedData<PNLRollOverDataUnit> _get_rollover_data()
+      {
          if (_rollover_data == null)
             _rollover_data = _archived_vol_provider.get_all_data();
          return _rollover_data;
       }
 
-      private ExpStrikeKeyedData<Tuple<double, double>> _get_position_map() {
-         return new ExpStrikeKeyedData<Tuple<double, double>>();
+      private ExpStrikeKeyedData<Tuple<double, double>> _get_position_map()
+      {
+         var sheet_settings = _threaded_bb.read_state(_in_bb_sheet_settings_tag);
+         var risk_account_text = sheet_settings?.setting_layout?.risk_account ?? string.Empty;
+         var risk_accounts = risk_account_text
+            .Split(new[] { ',' }, StringSplitOptions.RemoveEmptyEntries)
+            .Select(a => a.Trim())
+            .Where(a => !string.IsNullOrEmpty(a))
+            .ToHashSet(StringComparer.OrdinalIgnoreCase);
+         var trades = _threaded_bb.read_state(_in_bb_trade_log_tag) ?? Enumerable.Empty<ITradeLogRow>();
+         var option_trades = trades.Where(t =>
+            t.is_active &&
+            t.security_type == SecurityType.Option &&
+            t.symbol == _nmsheet_symbol.option_name &&
+            t.venue == _nmsheet_symbol.option_exchange &&
+            (risk_accounts.Count == 0 || risk_accounts.Contains(t.account)));
+         var pos_data = SecurityPositionData.from_trades(option_trades);
+         var rv = new ExpStrikeKeyedData<Tuple<double, double>>();
+         foreach (var (sec_exp, strike_map) in pos_data.option_pos_map)
+         {
+            foreach (var (strike, strike_pos) in strike_map)
+            {
+               rv.set_data(sec_exp.expiration, strike, Tuple.Create(strike_pos.call, strike_pos.put));
+            }
+         }
+         return rv;
       }
 
-      private double _get_onefive() {
+      private double _get_onefive()
+      {
          // object dp_obj = _threaded_bb.sec_thread_retrieve_from_cache(_in_bb_onefive_value_tag);
          // if (dp_obj != null) {
          //    DataPacket dp = dp_obj as DataPacket;
@@ -270,22 +330,29 @@ namespace BCG {
 
       #region Vol Shift
 
-      private void _add_vol_shift(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data) {
+      private void _add_vol_shift(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data)
+      {
          var vshift_map = _threaded_bb.read_state(_in_bb_vol_shift_tag);
          if (vshift_map != null)
             add_vol_shift(_nmsheet_symbol, theo_data, vshift_map);
       }
 
-      internal static void add_vol_shift(NMSheetSymbol apply_to_symbol, ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data, IDictionary<NMSheetExpiration, double> exp_shift_map) {
-         foreach (KeyValuePair<NMSheetExpiration, double> p in exp_shift_map) {
-            if (p.Key.nmsheet_symbol.Equals(apply_to_symbol)) {
+      internal static void add_vol_shift(NMSheetSymbol apply_to_symbol, ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data, IDictionary<NMSheetExpiration, double> exp_shift_map)
+      {
+         foreach (KeyValuePair<NMSheetExpiration, double> p in exp_shift_map)
+         {
+            if (p.Key.nmsheet_symbol.Equals(apply_to_symbol))
+            {
                DateTime option_expiration = p.Key.option_expiration;
                double shift = p.Value;
-               if (shift != 0) {
+               if (shift != 0)
+               {
                   IDictionary<double, mbts.spark.TheoPoint> exp_theos = theo_data.get_data_for_single_exp(option_expiration);
-                  if (exp_theos != null) {
+                  if (exp_theos != null)
+                  {
                      Dictionary<double, mbts.spark.TheoPoint> shifted_exp_theos = new Dictionary<double, mbts.spark.TheoPoint>();
-                     foreach (KeyValuePair<double, mbts.spark.TheoPoint> strike_tp in exp_theos) {
+                     foreach (KeyValuePair<double, mbts.spark.TheoPoint> strike_tp in exp_theos)
+                     {
                         mbts.spark.TheoPoint new_tp = (mbts.spark.TheoPoint)strike_tp.Value.Clone();
                         add_vol_shift(new_tp, shift);
                         shifted_exp_theos[strike_tp.Key] = new_tp;
@@ -297,7 +364,8 @@ namespace BCG {
          }
       }
 
-      internal static void add_vol_shift(mbts.spark.TheoPoint v, double shift) {
+      internal static void add_vol_shift(mbts.spark.TheoPoint v, double shift)
+      {
          v.call += v.cvega * shift;
          v.put += v.pvega * shift;
       }
@@ -305,7 +373,8 @@ namespace BCG {
       #endregion
 
       #region IDisposable
-      public void Dispose() {
+      public void Dispose()
+      {
          _threaded_bb.data_callback -= _react_to_bb;
       }
       #endregion

src/client/spark/NMSheets/Outside/tc2/Calculator2/MainForm/ATM/OptionATMDataSource.cs

@@ -5,6 +5,7 @@ using mbts.ui;
 using mbts;
 using BCG.Utilities;
 using mbts.spark;
+using mbts.ui.converters;
 
 namespace BCG {
    /// <summary>
@@ -34,8 +35,10 @@ namespace BCG {
       }
 
       internal static IDictionary<DateTime, ATMData> compute_atm_data(
-         double one_five, ExpStrikeKeyedData<TheoPoint> theo_data, IDictionary<DateTime, double> opt_exp_rolls) {
+         double one_five, ExpStrikeKeyedData<TheoPoint> theo_data, IDictionary<DateTime, double> opt_exp_rolls,
+         double rep_driver) {
          IDictionary<DateTime, double> exp_vs_drivers = _get_computed_drivers(theo_data);
+         exp_vs_drivers = exp_vs_drivers.ToDictionary(kv => kv.Key, kv => rep_driver);
          IDictionary<DateTime, ATMData> rv = new Dictionary<DateTime, ATMData>();
          if (one_five != 0)
             foreach (DateTime exp in new List<DateTime>(exp_vs_drivers.Keys))

src/client/spark/Orders/ExistingOrderTicketLadderVM.cs

@@ -0,0 +1,236 @@
+#nullable enable
+namespace mbts.spark;
+
+using bts;
+using bts.api;
+using bts.api.domain;
+using bts.api.orderman;
+
+using mbts.co2;
+using mbts.ui;
+using mbts.ui.shell;
+
+using Spark.Core.Disposables;
+
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows.Input;
+using System.Windows.Threading;
+
+class ExistingOrderTicketLadderVM : DisposableViewModelBase, IRequestViewClose {
+   const ushort numPriceLevels = 5;
+
+   readonly Property<SecurityImmutable> security;
+   readonly Property<TickDisplaySettingsImmutable> priceDisplay;
+   readonly Property<TickDisplaySettingsImmutable> quantityDisplay;
+   readonly Property<user.settings.RegionalTickFactors> priceTick;
+   readonly ObservableCollection<OrderTicketLadderPriceLevelVM> bids = [];
+   readonly ObservableCollection<OrderTicketLadderPriceLevelVM> asks = [];
+
+   readonly Property<double> price, currentPrice;
+   readonly Property<uint> currentQuantity;
+   readonly Property<AccountTuple> currentAccount;
+   readonly Property<TimeInForce> currentTimeInForce;
+   readonly Property<CustomOrderDefinition.CustomOneofCase> currentOrderType;
+   readonly Property<bool> priceDirty, quantityDirty, accountDirty, timeInForceDirty, orderTypeDirty;
+
+   Side side = Side.Buy;
+
+   public ExistingOrderTicketLadderVM(
+      OrdersModel model,
+      IObservable<(SecurityMD? SecurityMd, OrderRecordImmutable Order)> orderSource,
+      IObservable<IReadOnlyDictionary<uint, AccountTuple>> accountsSource,
+      IObservable<double[]?> calculatorButtons,
+      Action<SecurityMD> showLadder,
+      TickDisplaySettingsImmutable? quantityDisplay = null
+   ) {
+      SecurityMD? currentSecurityMd = null;
+      uint? key = null;
+      DispatcherTimer? mdPollTimer = null;
+      var nativeBids = new NativePriceSize[numPriceLevels];
+      var nativeAsks = new NativePriceSize[numPriceLevels];
+      for (int i = 0; i < numPriceLevels; i++) {
+         nativeBids[i] = NativePriceSize.NO_MARKET;
+         nativeAsks[i] = NativePriceSize.NO_MARKET;
+         Bids.Add(new(Side.Buy));
+         Asks.Add(new(Side.Sell));
+      }
+
+      var secMdSrc = orderSource.Where(ot => ot.SecurityMd.HasValue).Select(ot => ot.SecurityMd!.Value);
+      security = backing(nameof(Security), secMdSrc.Select(smd => smd.security), bts.api.Security.Defaults.SecurityImmutable);
+      priceTick = backing(nameof(PriceTick), user.settings.RegionalTickFactors.Default);
+      PropertiesVm = new OrderPropertiesEditorVM(
+         model,
+         secMdSrc,
+         accountsSource,
+         orderSource.Select(ot => new InlineOrderProperties(model, ot.Order.Def)));
+      this.quantityDisplay = backing(nameof(QuantityDisplay), quantityDisplay ?? bts.api.Security.Defaults.quantity_display_settingsi);
+      priceDisplay = backing(nameof(PriceDisplay), bts.api.Security.Defaults.price_display_settingsi);
+      SizeCalculator = new(0, calculatorButtons);
+      SetPriceCmd = new DelegateCommand<double>(SetPrice);
+      ShowLadderCmd = new DelegateCommand(() => {
+         if (currentSecurityMd.HasValue)
+            showLadder(currentSecurityMd.Value);
+      });
+
+      price = backing(nameof(Price), double.NaN);
+      currentPrice = backing(nameof(CurrentPrice), orderSource.Select(ort => ort.Order.State.Price));
+      currentQuantity = backing(nameof(CurrentQuantity), orderSource.Select(ort => ort.Order.State.Quantity));
+      currentAccount = backing(nameof(CurrentAccount), orderSource.Select(ort => new AccountTuple(ort.Order.Def.AccountId, ort.Order.Def.Account)));
+      currentTimeInForce = backing(nameof(CurrentTimeInForce), orderSource.Select(ort => ort.Order.Def.TimeInForce));
+      currentOrderType = backing(nameof(CurrentOrderType), orderSource.Select(ort => ort.Order.Def.CustomDef.CustomCase));
+      //
+      priceDirty = backing(
+         nameof(PriceDirty),
+         price.observe_current(true).CombineLatest(
+         currentPrice.observe_current(true),
+         (val, curr) => !double.IsNaN(val) && val != curr));
+      quantityDirty = backing(
+         nameof(QuantityDirty),
+         SizeCalculator.observe_actual_value()
+         .CombineLatest(currentQuantity.observe_current(true),
+         (val, curr) => val.HasValue && val.Value != curr));
+      accountDirty = backing(
+         nameof(AccountDirty),
+         PropertiesVm.observe_account(true)
+         .CombineLatest(currentAccount.observe_current(true),
+         (val, curr) => val != curr));
+      timeInForceDirty = backing(
+         nameof(TimeInForceDirty),
+         PropertiesVm.observe_time_in_force(true)
+         .CombineLatest(currentTimeInForce.observe_current(true),
+         (val, curr) => val != curr));
+      orderTypeDirty = backing(
+         nameof(OrderTypeDirty),
+         PropertiesVm.observe_order_type(true)
+         .CombineLatest(currentOrderType.observe_current(true),
+         (val, curr) => val != null && val.order_type != curr));
+      //
+      var priceDirtySrc = priceDirty.Select(vals => vals.newval).StartWith(false);
+      var quantityDirtySrc = quantityDirty.Select(vals => vals.newval).StartWith(false);
+      var sendOrderCmd = new ObservantCommand(SendOrder);
+      SendOrderCmd = sendOrderCmd;
+      var canSendOrderSrc = priceDirty.observe_current(true)
+         .CombineLatest(quantityDirty.observe_current(true), (pd, sd) => pd || sd)
+         .DistinctUntilChanged();
+      var isDirtySrc = Observable.Merge(priceDirty, quantityDirty, accountDirty, timeInForceDirty, orderTypeDirty);
+      _dispose = Disposable.Create(
+         SizeCalculator,
+         PropertiesVm,
+         secMdSrc.OnDispatcher().Subscribe(OnSecurityMd),
+         orderSource.OnDispatcher().Subscribe(ort => {
+            key = ort.Order.Key;
+            if (DoubleHelper.IsNaNOrInfinity(Price))
+               Price = ort.Order.State.Price;
+            if (!SizeCalculator.value.HasValue || !SizeCalculator.value_setter_called)
+               SizeCalculator.bypass_value_setter(ort.Order.State.Quantity, true);
+         }),
+         isDirtySrc.OnDispatcher().Subscribe(_ => RaisePropertyChanged(nameof(DirtyItemsText))),
+         canSendOrderSrc.OnDispatcher().Subscribe(sendOrderCmd));
+
+      void SetPrice(double price) {
+         Price = price;
+         RaisePropertyChanged(nameof(Price));
+      }
+
+      void SendOrder() {
+         if (!key.HasValue) {
+            return;
+         }
+         if (priceDirty.Value) {
+            if (quantityDirty.Value) {
+               model.update_order(key.Value, Price, SizeCalculator.value!.Value).ignore();
+            } else {
+               model.update_order_price(key.Value, Price).ignore();
+            }
+         } else if (quantityDirty.Value) {
+            model.update_order_size(key.Value, SizeCalculator.value!.Value).ignore();
+         } else {
+            SizeCalculator.flash_error();
+            flash_error(nameof(Price)).ignore();
+            return;
+         }
+         RequestClose?.Invoke(this, new EventArgs());
+      }
+
+      void OnSecurityMd(SecurityMD smd) {
+         currentSecurityMd = smd;
+         priceTick.set(smd.security.regional_ticks());
+         priceDisplay.set(smd.price_display);
+         this.quantityDisplay.set(smd.quantity_display);
+         SizeCalculator.display_settings = smd.quantity_display;
+         ulong lastMdPollTime = 0;
+         mdPollTimer?.Stop();
+         mdPollTimer = new DispatcherTimer(TimeSpan.FromSeconds(0.1), DispatcherPriority.DataBind, PollMd, Dispatcher.CurrentDispatcher);
+
+         void PollMd(object? sender, EventArgs e) {
+            if (smd.md.get_depth(ref lastMdPollTime, ref nativeBids, ref nativeAsks, numPriceLevels)) {
+               for (int i = 0; i < numPriceLevels; i++) {
+                  asks[numPriceLevels - i - 1].Price = nativeAsks[i].price;
+                  asks[numPriceLevels - i - 1].Quantity = nativeAsks[i].size;
+               }
+               for (int i = 0; i < numPriceLevels; i++) {
+                  bids[i].Price = nativeBids[i].price;
+                  bids[i].Quantity = nativeBids[i].size;
+               }
+            }
+         }
+      }
+   }
+
+   public event EventHandler? RequestClose;
+
+   public SecurityImmutable Security => security.Value;
+   public string Title => Security.ToString() ?? string.Empty;
+   public double Price { get; set; }
+   public user.settings.RegionalTickFactors PriceTick => priceTick.Value;
+   public TickDisplaySettingsImmutable PriceDisplay => priceDisplay.Value;
+   public TickDisplaySettingsImmutable QuantityDisplay => quantityDisplay.Value;
+   public CalculatorLogic<double> SizeCalculator { get; }
+   public Side Side {
+      get => side;
+      set => Set(ref side, value);
+   }
+
+   public OrderPropertiesEditorVM PropertiesVm { get; }
+   public ObservableCollection<OrderTicketLadderPriceLevelVM> Bids => bids;
+   public ObservableCollection<OrderTicketLadderPriceLevelVM> Asks => asks;
+
+   public double CurrentPrice => currentPrice.Value;
+   public uint CurrentQuantity => currentQuantity.Value;
+   public AccountTuple CurrentAccount => currentAccount.Value;
+   public TimeInForce CurrentTimeInForce => currentTimeInForce.Value;
+   public CustomOrderDefinition.CustomOneofCase CurrentOrderType => currentOrderType.Value;
+   public bool PriceDirty => priceDirty.Value;
+   public bool QuantityDirty => quantityDirty.Value;
+   public bool AccountDirty => accountDirty.Value;
+   public bool TimeInForceDirty => timeInForceDirty.Value;
+   public bool OrderTypeDirty => orderTypeDirty.Value;
+   public bool CanChangeAccount { get; } = false;
+   public bool CanChangeTimeInForce { get; } = false;
+   public bool CanChangeOrderType { get; } = false;
+   public string DirtyItemsText {
+      get {
+         var dirty_items = dirtyItems().ToList();
+         if (dirty_items.Count == 0) {
+            return "(no changes)";
+         }
+         return "change " + string.Join(", ", dirty_items);
+      }
+   }
+   public bool CloseOnSend { get; set; }
+   public ICommand SendOrderCmd { get; }
+   public ICommand SetPriceCmd { get; }
+   public ICommand ShowLadderCmd { get; }
+
+   IEnumerable<string> dirtyItems() {
+      if (priceDirty.Value) yield return "price";
+      if (quantityDirty.Value) yield return "quantity";
+      if (accountDirty.Value) yield return "account";
+      if (timeInForceDirty.Value) yield return "tif";
+      if (orderTypeDirty.Value) yield return "type";
+   }
+}

src/client/spark/Orders/NewOrderTicketLadderVM.cs

@@ -0,0 +1,298 @@
+#nullable enable
+namespace mbts.spark;
+
+using bts;
+using bts.api;
+using bts.api.domain;
+using bts.api.orderman;
+using bts.collections;
+using bts.utils;
+
+using mbts.co2;
+using mbts.ui;
+using mbts.ui.shell;
+using mbts.ui.spark;
+
+using Spark.Core.Disposables;
+
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows.Input;
+using System.Windows.Media;
+using System.Windows.Threading;
+
+class NewOrderTicketLadderVM : DisposableViewModelBase, IOrderModificationLadderVM  {
+   const ushort numPriceLevels = 5;
+   const uint numPriceRowsPerSide = 500;
+
+   readonly Property<SecurityImmutable> security;
+   readonly Property<string> title;
+   readonly Property<TickDisplaySettingsImmutable> priceDisplay;
+   readonly Property<TickDisplaySettingsImmutable> quantityDisplay;
+   readonly Property<user.settings.RegionalTickFactors> priceTick;
+   readonly ObservableCollection<OrderTicketLadderPriceLevelVM> priceLevels = [];
+   Side side = Side.Buy;
+
+   public NewOrderTicketLadderVM(
+      OrdersModel model,
+      SecurityMD securityMd,
+      IObservable<IReadOnlyDictionary<uint, AccountTuple>> accountsSource,
+      OrderDefinitionImmutable def,
+      double price,
+      double size,
+      IObservable<double[]> calculatorButtons,
+      Action<SecurityMD> showLadder)
+      : this(
+           model,
+           Observable.Return(securityMd),
+           accountsSource,
+           Observable.Return(new InlineOrderTicketProperties(model, def, price, size)),
+           calculatorButtons,
+           showLadder) { }
+
+   public NewOrderTicketLadderVM(
+      OrdersModel model,
+      SecurityMD securityMd,
+      IObservable<IReadOnlyDictionary<uint, AccountTuple>> accountsSource,
+      IObservable<LadderSettings> settings,
+      Action<SecurityMD> showLadder)
+      : this(
+           model,
+           Observable.Return(securityMd),
+           accountsSource,
+           settings.Select(s => new InlineOrderTicketProperties(model, s)),
+           settings.Select(s => s.calculator_buttons),
+           showLadder) { }
+
+   public NewOrderTicketLadderVM(
+      OrdersModel model,
+      IObservable<SecurityMD> securityMdSource,
+      IObservable<IReadOnlyDictionary<uint, AccountTuple>> accountsSource,
+      IObservable<InlineOrderTicketProperties> propsSource,
+      IObservable<double[]?> calculatorButtons,
+      Action<SecurityMD> showLadder,
+      TickDisplaySettingsImmutable? quantityDisplay = null
+   ) {
+      SecurityMD? currentSecurityMd = null;
+      DispatcherTimer? mdPollTimer = null;
+      var nativeBids = new NativePriceSize[numPriceLevels];
+      var nativeAsks = new NativePriceSize[numPriceLevels];
+      for (int i = 0; i < numPriceLevels; i++) {
+         nativeBids[i] = NativePriceSize.NO_MARKET;
+         nativeAsks[i] = NativePriceSize.NO_MARKET;
+      }
+      for (int i = 0; i < numPriceRowsPerSide; i++) {
+         priceLevels.Add(new(Side.Sell));
+      }
+      for (int i = 0; i < numPriceRowsPerSide; i++) {
+         priceLevels.Add(new(Side.Buy));
+      }
+
+      security = backing(nameof(Security), bts.api.Security.Defaults.SecurityImmutable);
+      title = backing(nameof(Title), security.observe_current(true), s => s.ToString() ?? string.Empty, string.Empty);
+      priceTick = backing(nameof(PriceTick), user.settings.RegionalTickFactors.Default);
+      PropertiesVm = new(model, securityMdSource, accountsSource, propsSource.Select(p => p.order_props));
+      this.quantityDisplay = backing(nameof(QuantityDisplay), quantityDisplay ?? bts.api.Security.Defaults.quantity_display_settingsi);
+      priceDisplay = backing(nameof(PriceDisplay), bts.api.Security.Defaults.price_display_settingsi);
+      SizeCalculator = new(0, calculatorButtons);
+      SendOrderCmd = new DelegateCommand(SendOrder);
+      SetPriceCmd = new DelegateCommand<double>(SetPrice);
+      ShowLadderCmd = new DelegateCommand(() => {
+         if (currentSecurityMd.HasValue)
+            showLadder(currentSecurityMd.Value);
+      });
+      RecenterCmd = new DelegateCommand(Recenter);
+      _dispose = Disposable.Create(
+         securityMdSource.OnDispatcher().Subscribe(OnSecurityMd),
+         SizeCalculator,
+         propsSource.OnDispatcher().Subscribe(p => OnProps(p.price, p.size)));
+
+      void OnProps(
+         InlineUserProperty<double> priceProp, InlineUserProperty<double> sizeProp) {
+         if (priceProp.has_value && (priceProp.force_override || DoubleHelper.IsNaNOrInfinity(Price)))
+            SetPrice(priceProp.value);
+         if (sizeProp.has_value && (sizeProp.force_override || SizeCalculator.value == 0))
+            SizeCalculator.value = sizeProp.value;
+      }
+
+      void SetPrice(double price) {
+         Price = price;
+         RaisePropertyChanged(nameof(Price));
+      }
+
+      void SendOrder() {
+         bool priceValid = validatePrice();
+         bool quantityValid = SizeCalculator.validate();
+         if (priceValid && quantityValid && !HasErrors && !PropertiesVm.HasErrors) {
+            model.send_order(Security, PropertiesVm.create(side), Price, SizeCalculator.value!.Value).ignore();
+         }
+      }
+
+      void Recenter() =>
+         RequestRecenter?.Invoke();
+
+      void OnSecurityMd(SecurityMD smd) {
+         currentSecurityMd = smd;
+         var spec = TickUtils.multiply_tick_size(smd.security.regional_ticks(), 1);
+         security.set(smd.security);
+         priceTick.set(smd.security.regional_ticks());
+         priceDisplay.set(smd.price_display);
+         this.quantityDisplay.set(smd.quantity_display);
+         SizeCalculator.display_settings = smd.quantity_display;
+         ulong lastMdPollTime = 0;
+         mdPollTimer?.Stop();
+         mdPollTimer = new DispatcherTimer(TimeSpan.FromSeconds(0.1), DispatcherPriority.DataBind, PollMd, Dispatcher.CurrentDispatcher);
+
+         void PollMd(object? sender, EventArgs e) {
+            if (smd.md.get_depth(ref lastMdPollTime, ref nativeBids, ref nativeAsks, numPriceLevels)) {
+               if (double.IsNaN(priceLevels[0].Price)) {
+                  // Initialize prices and recenter
+                  if (!TryGetOrigin(out var origin)) {
+                     return;
+                  }
+                  double price = spec.tickdown(origin, numPriceRowsPerSide - 1);
+                  for (int i = priceLevels.Count - 1; i >= 0; i--) {
+                     priceLevels[i].Price = price;
+                     price = spec.tickup(price);
+                  }
+                  Recenter();
+               }
+
+               var hi = priceLevels[0].Price;
+               var lo = priceLevels[^1].Price;
+               Log.assert(hi.is_real() && lo.is_real() && hi > lo);
+               var wrappedPrices = priceLevels.WrapSelector(p => p.Price, null);
+               var rPriceComp = spec.price_comparer().reverse();
+
+               // Clear old prices
+               for (int i = 0; i < numPriceLevels; i++) {
+                  // asks
+                  var px = nativeAsks[i].price;
+                  if (!double.IsNaN(px) && px.is_within_range(lo, hi)) {
+                     int idx = CollectionHelper.binary_search(wrappedPrices, px, rPriceComp);
+                     if (idx < 0)
+                        idx = ~idx;
+                     priceLevels[idx].Quantity = 0;
+                  }
+                  // bids
+                  px = nativeBids[i].price;
+                  if (!double.IsNaN(px) && px.is_within_range(lo, hi)) {
+                     int idx = CollectionHelper.binary_search(wrappedPrices, px, rPriceComp);
+                     if (idx < 0)
+                        idx = ~idx;
+                     priceLevels[idx].Quantity = 0;
+                  }
+               }
+
+               // Set new prices
+               for (int i = 0; i < numPriceLevels; i++) {
+                  // asks
+                  var px = nativeAsks[i].price;
+                  if (!double.IsNaN(px) && px.is_within_range(lo, hi)) {
+                     int idx = CollectionHelper.binary_search(wrappedPrices, px, rPriceComp);
+                     if (idx < 0)
+                        idx = ~idx;
+                     priceLevels[idx].Quantity = nativeAsks[i].size;
+                     priceLevels[idx].Side = Side.Sell;
+                  }
+                  // bids
+                  px = nativeBids[i].price;
+                  if (!double.IsNaN(px) && px.is_within_range(lo, hi)) {
+                     int idx = CollectionHelper.binary_search(wrappedPrices, px, rPriceComp);
+                     if (idx < 0)
+                        idx = ~idx;
+                     priceLevels[idx].Quantity = nativeBids[i].size;
+                     priceLevels[idx].Side = Side.Buy;
+                  }
+               }
+            }
+         }
+
+         bool TryGetOrigin(out double origin) {
+            if (!nativeBids[0].is_nan) {
+               origin = nativeBids[0].price;
+            } else if (!nativeAsks[0].is_nan) {
+               origin = nativeAsks[0].price;
+            } else {
+               origin = double.NaN;
+               return false;
+            }
+            return true;
+         }
+      }
+   }
+
+   public event Action? RequestRecenter;
+
+   public SecurityImmutable Security => security.Value;
+   public string Title => title.Value;
+   public double Price { get; set; }
+   public user.settings.RegionalTickFactors PriceTick => priceTick.Value;
+   public TickDisplaySettingsImmutable PriceDisplay => priceDisplay.Value;
+   public TickDisplaySettingsImmutable QuantityDisplay => quantityDisplay.Value;
+   public CalculatorLogic<double> SizeCalculator { get; }
+   public Side Side {
+      get => side;
+      set => Set(ref side, value);
+   }
+
+   public OrderPropertiesEditorVM PropertiesVm { get; }
+   public ObservableCollection<OrderTicketLadderPriceLevelVM> PriceLevels => priceLevels;
+   public ICommand SendOrderCmd { get; }
+   public ICommand SetPriceCmd { get; }
+   public ICommand ShowLadderCmd { get; }
+   public ICommand RecenterCmd { get; }
+
+   bool validatePrice() {
+      if (!Price.is_real()) {
+         flash_error(nameof(Price)).ignore();
+         return false;
+      }
+      return true;
+   }
+}
+
+class OrderTicketLadderPriceLevelVM : ViewModelBase {
+   Color background = Colors.Transparent;
+   Color priceForeground = BTSColors.Control.normal_foreground;
+   Side side;
+   double price = double.NaN;
+   double quantity = double.NaN;
+
+   public OrderTicketLadderPriceLevelVM(Side side) {
+      this.side = side;
+      background = BTSColors.Ladder.price_column_background;
+      priceForeground = BTSColors.Ladder.price_column_foreground;
+   }
+
+   public Side Side {
+      get => side;
+      set => Set(ref side, value, dependent_props: nameof(QuantityForeground));
+   }
+   public double Price {
+      get => price;
+      set => Set(ref price, value);
+   }
+   public double Quantity {
+      get => quantity;
+      set => Set(ref quantity, value);
+   }
+
+   public Color Background {
+      get => background;
+      set => Set(ref background, value);
+   }
+   public Color PriceForeground {
+      get => priceForeground;
+      set => Set(ref priceForeground, value);
+   }
+   public Color QuantityForeground =>
+      side switch {
+         Side.Buy => BTSColors.Ladder.bid_column_foreground,
+         Side.Sell => BTSColors.Ladder.ask_column_foreground,
+         _ => BTSColors.UI.default_foreground,
+      };
+}

src/client/spark/Orders/OrderModificationLadderControl.xaml

@@ -0,0 +1,415 @@
+<UserControl
+  x:Class="mbts.ui.spark.OrderModificationLadderControl"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:api="clr-namespace:bts.api;assembly=Bts.Spark.Api"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:c="clr-namespace:mbts.ui.controls"
+  xmlns:cv="clr-namespace:mbts.ui.converters"
+  xmlns:usp="clr-namespace:mbts.ui.spark"
+  xmlns:uag="clr-namespace:mbts.ui.spark.algo"
+  xmlns:sys="clr-namespace:System;assembly=mscorlib"
+  u:AttachedCommands.MiddleClick="{Binding RecenterCmd}" >
+  <UserControl.Resources>
+    <ResourceDictionary>
+      <ResourceDictionary.MergedDictionaries>
+        <ResourceDictionary Source="/view/Colors.xaml"/>
+        <ResourceDictionary Source="/view/Resources/Converters.xaml"/>
+        <ResourceDictionary Source="/view/Controls/Order/OrderDetailsPopupControl.xaml"/>
+      </ResourceDictionary.MergedDictionaries>
+
+      <!-- Consts -->
+      <sys:Double x:Key="HorizontalSpacing">8.0</sys:Double>
+      <sys:Double x:Key="VerticalSpacing">8.0</sys:Double>
+      <sys:Double x:Key="ButtonHeight">22.0</sys:Double>
+
+      <!-- Converters -->
+      <cv:NullableDoubleConverter x:Key="TickDefaultPriceConverter" DefaultValue="0"/>
+      <cv:ValueMap x:Key="SideToBrushConverter" Default="{x:Static Brushes.Transparent}">
+        <cv:KeyValue Key="{u:Enum Buy, Type=api:Side}" Value="{u:BTSBrush MarketData.bid, Opacity=0.33}" />
+        <cv:KeyValue Key="{u:Enum Sell, Type=api:Side}" Value="{u:BTSBrush MarketData.ask, Opacity=0.33}" />
+      </cv:ValueMap>
+      <cv:ValueMap x:Key="SideToIsBuyConverter" Default="{u:False}">
+        <cv:KeyValue Key="{u:Enum Buy, Type=api:Side}" Value="{u:True}" />
+      </cv:ValueMap>
+      <cv:ValueMap x:Key="SideToIsSellConverter" Default="{u:False}">
+        <cv:KeyValue Key="{u:Enum Sell, Type=api:Side}" Value="{u:True}" />
+      </cv:ValueMap>
+      <cv:ValueMap x:Key="SideToBidVisibilityConverter" Default="{u:Visibility Collapsed}">
+        <cv:KeyValue Key="{u:Enum Buy, Type=api:Side}" Value="{u:Visibility Visible}" />
+      </cv:ValueMap>
+      <cv:ValueMap x:Key="SideToAskVisibilityConverter" Default="{u:Visibility Collapsed}">
+        <cv:KeyValue Key="{u:Enum Sell, Type=api:Side}" Value="{u:Visibility Visible}" />
+      </cv:ValueMap>
+
+      <!-- Styles -->
+      <Style TargetType="Button" BasedOn="{StaticResource DefaultButton}">
+        <Setter Property="Height" Value="{StaticResource ButtonHeight}"/>
+        <Setter Property="HorizontalAlignment" Value="Stretch"/>
+      </Style>
+      <Style TargetType="ComboBox" BasedOn="{StaticResource {x:Type ComboBox}}">
+        <Setter Property="Height" Value="{StaticResource ButtonHeight}"/>
+        <Style.Triggers>
+          <Trigger Property="usp:OrderModificationLadderControl.IsDirty" Value="True">
+            <Setter Property="BorderBrush" Value="{u:BTSColor UI.input_dirty_border}"/>
+          </Trigger>
+        </Style.Triggers>
+      </Style>
+      <Style TargetType="usp:PriceEntryControl" BasedOn="{StaticResource {x:Type usp:PriceEntryControl}}">
+        <Style.Triggers>
+          <Trigger  Property="usp:OrderModificationLadderControl.IsDirty" Value="True">
+            <Setter Property="BorderBrush" Value="{u:BTSColor UI.input_dirty_border}"/>
+          </Trigger>
+        </Style.Triggers>
+      </Style>
+      <Style TargetType="c:TickUpDownNullableUInt32" BasedOn="{StaticResource {x:Type c:TickUpDownNullableUInt32}}">
+        <Style.Triggers>
+          <Trigger Property="usp:OrderModificationLadderControl.IsDirty" Value="True">
+            <Setter Property="BorderBrush" Value="{u:BTSColor UI.input_dirty_border}"/>
+          </Trigger>
+        </Style.Triggers>
+      </Style>
+
+      <DataTemplate x:Key="PriceLevelItemTemplate">
+        <Button
+          Background="{Binding Background, Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+          HorizontalAlignment="Stretch"
+          HorizontalContentAlignment="Stretch"
+          MinWidth="96"
+          Padding="4,2"
+          Command="{Binding DataContext.SetPriceCmd, RelativeSource={RelativeSource AncestorType=usp:OrderModificationLadderControl}}"
+          CommandParameter="{Binding Price}">
+          <Grid>
+            <Grid.ColumnDefinitions>
+              <ColumnDefinition Width="Auto" MinWidth="40" SharedSizeGroup="Orders" />
+              <ColumnDefinition Width="*" MinWidth="40" SharedSizeGroup="BidSize" />
+              <ColumnDefinition Width="Auto" MinWidth="56" SharedSizeGroup="Price" />
+              <ColumnDefinition Width="*" MinWidth="40" SharedSizeGroup="AskSize" />
+            </Grid.ColumnDefinitions>
+            <TextBlock
+              Grid.Column="1"
+              HorizontalAlignment="Right"
+              Foreground="{Binding QuantityForeground, Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+              FontSize="{x:Static u:FontSizes.Small}"
+              Visibility="{Binding Side, Converter={StaticResource SideToBidVisibilityConverter}}">
+              <TextBlock.Text>
+                <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}">
+                  <Binding Path="Quantity" Mode="OneWay"/>
+                  <Binding Path="DataContext.QuantityDisplay" RelativeSource="{RelativeSource AncestorType=usp:OrderModificationLadderControl}"/>
+                </MultiBinding>
+              </TextBlock.Text>
+            </TextBlock>
+            <TextBlock
+              Grid.Column="2"
+              HorizontalAlignment="Center"
+              Foreground="{Binding PriceForeground, Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+              FontSize="{x:Static u:FontSizes.Small}">
+              <TextBlock.Text>
+                <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}">
+                  <Binding Path="Price" Mode="OneWay"/>
+                  <Binding Path="DataContext.PriceDisplay" RelativeSource="{RelativeSource AncestorType=usp:OrderModificationLadderControl}"/>
+                </MultiBinding>
+              </TextBlock.Text>
+            </TextBlock>
+            <TextBlock
+              Grid.Column="3"
+              HorizontalAlignment="Left"
+              Foreground="{Binding QuantityForeground, Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+              FontSize="{x:Static u:FontSizes.Small}"
+              Visibility="{Binding Side, Converter={StaticResource SideToAskVisibilityConverter}}">
+              <TextBlock.Text>
+                <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}">
+                  <Binding Path="Quantity" Mode="OneWay"/>
+                  <Binding Path="DataContext.QuantityDisplay" RelativeSource="{RelativeSource AncestorType=usp:OrderModificationLadderControl}"/>
+                </MultiBinding>
+              </TextBlock.Text>
+            </TextBlock>
+          </Grid>
+        </Button>
+      </DataTemplate>
+
+      <ControlTemplate x:Key="BuyRadioButtonTemplate" TargetType="RadioButton">
+        <Grid>
+          <VisualStateManager.VisualStateGroups>
+            <VisualStateGroup x:Name="CommonStates">
+              <VisualState x:Name="Normal" />
+              <VisualState x:Name="MouseOver">
+                <Storyboard>
+                  <DoubleAnimation Storyboard.TargetName="hoverOverlay" Storyboard.TargetProperty="Opacity" To="0.3" BeginTime="0" Duration="0" />
+                </Storyboard>
+              </VisualState>
+              <VisualState x:Name="Pressed" />
+              <VisualState x:Name="Disabled">
+                <Storyboard>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="Background.Color" To="#555" Duration="0" />
+                </Storyboard>
+              </VisualState>
+            </VisualStateGroup>
+            <VisualStateGroup x:Name="CheckStates">
+              <VisualState x:Name="Checked">
+                <Storyboard>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="Background.Color" To="{u:BTSColor MarketData.bid}" BeginTime="0" Duration="0"/>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="BorderBrush.Color" To="{u:BTSColor MarketData.bid}" BeginTime="0" Duration="0"/>
+                </Storyboard>
+              </VisualState>
+              <VisualState x:Name="Unchecked" />
+              <VisualState x:Name="Indeterminate" />
+            </VisualStateGroup>
+          </VisualStateManager.VisualStateGroups>
+          <Border
+            x:Name="background"
+            BorderThickness="{TemplateBinding BorderThickness}"
+            VerticalAlignment="{TemplateBinding VerticalAlignment}"
+            HorizontalAlignment="{TemplateBinding HorizontalAlignment}"
+            Padding="{TemplateBinding Padding}"
+            CornerRadius="2">
+            <Border.Background>
+              <SolidColorBrush Color="Transparent" />
+            </Border.Background>
+            <Border.BorderBrush>
+              <SolidColorBrush Color="Black"/>
+            </Border.BorderBrush>
+          </Border>
+          <ContentPresenter
+            Name="presenter"
+            HorizontalAlignment="{TemplateBinding HorizontalContentAlignment}"
+            VerticalAlignment="{TemplateBinding HorizontalContentAlignment}" />
+          <Border Name="hoverOverlay" HorizontalAlignment="Stretch" VerticalAlignment="Stretch" Background="Black" Opacity="0" IsHitTestVisible="False" />
+        </Grid>
+      </ControlTemplate>
+
+      <ControlTemplate x:Key="SellRadioButtonTemplate" TargetType="RadioButton">
+        <Grid>
+          <VisualStateManager.VisualStateGroups>
+            <VisualStateGroup x:Name="CommonStates">
+              <VisualState x:Name="Normal" />
+              <VisualState x:Name="MouseOver">
+                <Storyboard>
+                  <DoubleAnimation Storyboard.TargetName="hoverOverlay" Storyboard.TargetProperty="Opacity" To="0.3" BeginTime="0" Duration="0" />
+                </Storyboard>
+              </VisualState>
+              <VisualState x:Name="Pressed" />
+              <VisualState x:Name="Disabled">
+                <Storyboard>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="Background.Color" To="#555" Duration="0" />
+                </Storyboard>
+              </VisualState>
+            </VisualStateGroup>
+            <VisualStateGroup x:Name="CheckStates">
+              <VisualState x:Name="Checked">
+                <Storyboard>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="Background.Color" To="{u:BTSColor MarketData.ask}" BeginTime="0" Duration="0"/>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="BorderBrush.Color" To="{u:BTSColor MarketData.ask}" BeginTime="0" Duration="0"/>
+                </Storyboard>
+              </VisualState>
+              <VisualState x:Name="Unchecked" />
+              <VisualState x:Name="Indeterminate" />
+            </VisualStateGroup>
+          </VisualStateManager.VisualStateGroups>
+          <Border
+            x:Name="background"
+            BorderThickness="{TemplateBinding BorderThickness}"
+            VerticalAlignment="{TemplateBinding VerticalAlignment}"
+            HorizontalAlignment="{TemplateBinding HorizontalAlignment}"
+            Padding="{TemplateBinding Padding}"
+            CornerRadius="2">
+            <Border.Background>
+              <SolidColorBrush Color="Transparent" />
+            </Border.Background>
+            <Border.BorderBrush>
+              <SolidColorBrush Color="Black"/>
+            </Border.BorderBrush>
+          </Border>
+          <ContentPresenter
+            Name="presenter"
+            HorizontalAlignment="{TemplateBinding HorizontalContentAlignment}"
+            VerticalAlignment="{TemplateBinding VerticalContentAlignment}" />
+          <Border Name="hoverOverlay" HorizontalAlignment="Stretch" VerticalAlignment="Stretch" Background="Black" Opacity="0" IsHitTestVisible="False" />
+        </Grid>
+      </ControlTemplate>
+
+      <Style x:Key="BuyRadioButtonStyle" TargetType="RadioButton">
+        <Setter Property="Padding" Value="2" />
+        <Setter Property="HorizontalContentAlignment" Value="Center" />
+        <Setter Property="VerticalContentAlignment" Value="Center" />
+        <Setter Property="Foreground" Value="{u:BTSBrush UI.default_text}" />
+        <Setter Property="Template" Value="{StaticResource BuyRadioButtonTemplate}" />
+      </Style>
+
+      <Style x:Key="SellRadioButtonStyle" TargetType="RadioButton">
+        <Setter Property="Padding" Value="2" />
+        <Setter Property="HorizontalContentAlignment" Value="Center" />
+        <Setter Property="VerticalContentAlignment" Value="Center" />
+        <Setter Property="Foreground" Value="{u:BTSBrush UI.default_text}" />
+        <Setter Property="Template" Value="{StaticResource SellRadioButtonTemplate}" />
+      </Style>
+
+    </ResourceDictionary>
+  </UserControl.Resources>
+
+  <Grid>
+    <Grid.ColumnDefinitions>
+      <ColumnDefinition />
+      <ColumnDefinition Width="{Binding Source={StaticResource HorizontalSpacing}}" />
+      <ColumnDefinition />
+    </Grid.ColumnDefinitions>
+
+    <!-- Ladder (market depth) -->
+    <Grid Grid.Column="2" Grid.IsSharedSizeScope="True">
+      <Grid.RowDefinitions>
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="Auto" />
+      </Grid.RowDefinitions>
+      <Grid
+        Grid.Row="0"
+        Background="{u:BTSBrush header}"
+        TextElement.Foreground="{u:BTSBrush header_text}"
+        TextElement.FontSize="{x:Static u:FontSizes.Small}"
+        TextElement.FontWeight="SemiBold">
+        <Grid.ColumnDefinitions>
+          <ColumnDefinition Width="Auto" MinWidth="40" SharedSizeGroup="Orders" />
+          <ColumnDefinition Width="*" MinWidth="40" SharedSizeGroup="BidSize" />
+          <ColumnDefinition Width="Auto" MinWidth="56" SharedSizeGroup="Price" />
+          <ColumnDefinition Width="*" MinWidth="40" SharedSizeGroup="AskSize" />
+        </Grid.ColumnDefinitions>
+        <TextBlock Grid.Column="0" HorizontalAlignment="Center" Text="Orders" />
+        <TextBlock Grid.Column="1" HorizontalAlignment="Center" Text="Bid" />
+        <TextBlock Grid.Column="2" HorizontalAlignment="Center" Text="Price" />
+        <TextBlock Grid.Column="3" HorizontalAlignment="Center" Text="Ask" />
+      </Grid>
+      <ScrollViewer Grid.Row="1" x:Name="priceLevelsScrollViewer" MaxHeight="240">
+        <ItemsControl ItemsSource="{Binding PriceLevels}" ItemTemplate="{StaticResource PriceLevelItemTemplate}" />
+      </ScrollViewer>
+    </Grid>
+
+    <!-- Order Inputs -->
+    <Grid Grid.Column="0">
+      <Grid.RowDefinitions>
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="*" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+      </Grid.RowDefinitions>
+
+      <!-- Buy/Sell toggle -->
+      <Grid HorizontalAlignment="Stretch" VerticalAlignment="Top">
+        <Grid.ColumnDefinitions>
+          <ColumnDefinition Width="1*" MinWidth="72" />
+          <ColumnDefinition Width="1*" MinWidth="72" />
+        </Grid.ColumnDefinitions>
+        <RadioButton
+          Grid.Column="0"
+          GroupName="Side"
+          IsChecked="{Binding Side, Converter={StaticResource SideToIsBuyConverter}}"
+          Style="{StaticResource BuyRadioButtonStyle}">
+          <TextBlock FontWeight="Bold" Foreground="{u:BTSBrush UI.default_text}">
+            Buy
+          </TextBlock>
+        </RadioButton>
+        <RadioButton
+          Grid.Column="1"
+          GroupName="Side"
+          IsChecked="{Binding Side, Converter={StaticResource SideToIsSellConverter}}"
+          Style="{StaticResource SellRadioButtonStyle}">
+          <TextBlock FontWeight="Bold" Foreground="{u:BTSBrush UI.default_text}">
+            Sell
+          </TextBlock>
+        </RadioButton>
+      </Grid>
+
+      <usp:PriceEntryControl
+        Grid.Row="2"
+        usp:OrderModificationControl.IsDirty="{Binding PriceDirty, FallbackValue={x:Null}}"
+        RegionalTick="{Binding PriceTick}"
+        Focusable="False"
+        TickDefaultValue="{Binding CurrentPrice, Converter={StaticResource TickDefaultPriceConverter}, FallbackValue={u:Double 0}}"
+        ToolTip="Price"
+        Value="{Binding Price}" />
+
+      <c:TickUpDownNullableDouble
+        Grid.Row="4"
+        usp:OrderModificationControl.IsDirty="{Binding QuantityDirty, FallbackValue={x:Null}}"
+        CommitOnEnter="True"
+        Focusable="False"
+        Increment="{Binding SizeCalculator.unit_quantity}"
+        Minimum="0"
+        TickDisplaySettings="{Binding SizeCalculator.display_settings}"
+        ToolTip="Quantity"
+        Value="{Binding SizeCalculator.display_value}" />
+
+      <uag:OrderDetailsPopupControl
+        Grid.Row="6"
+        DataContext="{Binding PropertiesVm}"
+        usp:OrderModificationControl.IsDirty="{Binding DataContext.order_type_dirty, RelativeSource={RelativeSource AncestorType=usp:OrderModificationControl}, FallbackValue={u:False}}"
+        HasEditableProperties="{Binding can_expand, FallbackValue={u:False}}"
+        IsAlgoTemplateToolBarReadOnly="True"
+        IsEnabled="{Binding DataContext.can_change_order_type, RelativeSource={RelativeSource AncestorType=usp:OrderModificationControl}, FallbackValue={u:True}}"
+        IsOpen="{Binding is_expanded, FallbackValue={u:False}}"
+        ItemsSource="{Binding algo_definitions_view}"
+        SelectedItem="{Binding selected_algo_definition}"
+        ToolTip="Order/Algo Type">
+        <uag:OrderDetailsPopupControl.Style>
+          <Style TargetType="uag:OrderDetailsPopupControl" BasedOn="{StaticResource {x:Type uag:OrderDetailsPopupControl}}">
+            <Style.Triggers>
+              <Trigger  Property="usp:OrderModificationControl.IsDirty" Value="True">
+                <Setter Property="BorderBrush" Value="{u:BTSColor UI.input_dirty_border}"/>
+              </Trigger>
+            </Style.Triggers>
+          </Style>
+        </uag:OrderDetailsPopupControl.Style>
+      </uag:OrderDetailsPopupControl>
+
+      <ComboBox
+        Grid.Row="8"
+        usp:OrderModificationControl.IsDirty="{Binding AccountDirty, FallbackValue={u:False}}"
+        IsEnabled="{Binding CanChangeAccount, FallbackValue={u:True}}"
+        ItemsSource="{Binding PropertiesVm.accounts}"
+        SelectedItem="{Binding PropertiesVm.selected_account}"
+        ToolTip="Account" />
+
+      <ComboBox
+        Grid.Row="10"
+        usp:OrderModificationControl.IsDirty="{Binding TimeInForceDirty, FallbackValue={u:False}}"
+        IsEnabled="{Binding CanChangeTimeInForce, FallbackValue={u:True}}"
+        ItemsSource="{Binding PropertiesVm.time_in_forces}" 
+        SelectedItem="{Binding PropertiesVm.selected_time_in_force}"
+        ToolTip="Time In Force" />
+
+      <Button
+        Grid.Row="12"
+        Height="NaN"
+        HorizontalAlignment="Stretch"
+        VerticalAlignment="Stretch"
+        HorizontalContentAlignment="Center"
+        VerticalContentAlignment="Center"
+        Background="Green"
+        Foreground="{u:BTSBrush UI.default_text}"
+        FontSize="{x:Static u:FontSizes.Largest}"
+        FontWeight="Bold"
+        Command="{Binding SendOrderCmd}"
+        ToolTip="{Binding Side, StringFormat='Send {0} Order'}">
+        Send
+      </Button>
+
+      <TextBlock
+        Grid.Row="14"
+        HorizontalAlignment="Center"
+        FontSize="{x:Static u:FontSizes.Small}">
+        <Hyperlink
+          Command="{Binding ShowLadderCmd}"
+          ToolTip="Open the original ladder for this security">Open full ladder</Hyperlink>
+      </TextBlock>
+    </Grid>
+  </Grid>
+</UserControl>

src/client/spark/Orders/OrderModificationLadderControl.xaml.cs

@@ -0,0 +1,51 @@
+#nullable enable
+
+using System;
+using System.Windows;
+using System.Windows.Controls;
+using System.Windows.Media.Animation;
+
+namespace mbts.ui.spark {
+   interface IOrderModificationLadderVM {
+      event Action? RequestRecenter;
+   }
+
+   /// <summary>
+   /// Interaction logic for OrderModificationLadderControl.xaml
+   /// </summary>
+   public partial class OrderModificationLadderControl : UserControl {
+      public static readonly DependencyProperty IsDirtyProperty = DependencyProperty.RegisterAttached(
+         "IsDirty", typeof(bool?), typeof(OrderModificationLadderControl), new PropertyMetadata(null));
+
+      public static bool? GetIsDirty(DependencyObject d) => d.GetValue(IsDirtyProperty) as bool?;
+      public static void SetIsDirty(DependencyObject d, bool? value) => d.SetValue(IsDirtyProperty, value);
+
+      public OrderModificationLadderControl() {
+         InitializeComponent();
+         DataContextChanged += onDataContextChanged;
+      }
+
+      void onDataContextChanged(object sender, DependencyPropertyChangedEventArgs e) {
+         if (e.OldValue is IOrderModificationLadderVM oldVm) {
+            oldVm.RequestRecenter -= recenter;
+         }
+         if (e.NewValue is IOrderModificationLadderVM newVm) {
+            newVm.RequestRecenter += recenter;
+         }
+      }
+
+      void recenter() {
+         var targetOffset = priceLevelsScrollViewer.ScrollableHeight / 2;
+         DoubleAnimation anim = new() {
+            From = priceLevelsScrollViewer.VerticalOffset,
+            To = targetOffset,
+            Duration = TimeSpan.FromSeconds(0.15)
+         };
+         Storyboard sb = new();
+         sb.Children.Add(anim);
+         Storyboard.SetTarget(anim, priceLevelsScrollViewer);
+         Storyboard.SetTargetProperty(anim, new PropertyPath(Behavior.AnimatedScrollViewerVerticalOffsetProperty));
+         sb.Begin();
+      }
+   }
+}

src/client/spark/Orders/OrderTicketLadder.xaml

@@ -0,0 +1,120 @@
+<Window
+  x:Class="mbts.ui.spark.OrderTicketLadder"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:msys="clr-namespace:bts.api;assembly=Bts.Spark.Api"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:cv="clr-namespace:mbts.ui.converters"
+  xmlns:usp="clr-namespace:mbts.ui.spark"
+  xmlns:sys="clr-namespace:System;assembly=mscorlib"
+  u:WindowStyle.SizeToContent="WidthAndHeight"
+  u:WindowStyle.TitleContent="{Binding Title, Mode=OneWay}"
+  BorderBrush="#00C000"
+  BorderThickness="1"
+  Style="{StaticResource BTSWindowTitleTemplate}">
+  <Window.Resources>
+    <ResourceDictionary>
+      <ResourceDictionary.MergedDictionaries>
+        <ResourceDictionary Source="/view/Resources/Converters.xaml"/>
+      </ResourceDictionary.MergedDictionaries>
+      <sys:Double x:Key="HorizontalSpacing">8.0</sys:Double>
+      <sys:Double x:Key="VerticalSpacing">4.0</sys:Double>
+      <sys:Double x:Key="ButtonHeight">22.0</sys:Double>
+
+      <Style x:Key="SellButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
+        <Setter Property="Background" Value="{u:BTSColor MarketData.ask_dark}" />
+        <Setter Property="Foreground" Value="White" />
+        <Setter Property="MinHeight" Value="40" />
+        <Setter Property="FontWeight" Value="Bold" />
+        <Setter Property="HorizontalAlignment" Value="Stretch" />
+        <Setter Property="VerticalAlignment" Value="Stretch" />
+        <Setter Property="Content">
+          <Setter.Value>
+            <TextBlock VerticalAlignment="Center" Text="Sell" />
+          </Setter.Value>
+        </Setter>
+        <Setter Property="Template">
+          <Setter.Value>
+            <ControlTemplate TargetType="Button">
+              <Border 
+                x:Name="Border"
+                CornerRadius="0" 
+                BorderThickness="1"
+                BorderBrush="{u:BTSColor UI.Button.normal_border}"
+                Background="{u:BTSColor MarketData.ask}"
+                Padding="2"
+                Height="Auto"
+                SnapsToDevicePixels="True">
+                  <ContentPresenter 
+                    HorizontalAlignment="Center"
+                    VerticalAlignment="Center"
+                    RecognizesAccessKey="True"
+                    Name="button_content" 
+                  />
+                </Border>
+              <ControlTemplate.Triggers>
+                <Trigger Property="IsMouseOver" Value="True">
+                  <Setter TargetName="Border" Property="Background" Value="#99c00000" />
+                  <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
+                </Trigger>
+              </ControlTemplate.Triggers>
+            </ControlTemplate>
+          </Setter.Value>
+        </Setter>
+      </Style>
+
+      <Style x:Key="BuyButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
+        <Setter Property="Background" Value="{u:BTSColor MarketData.bid_dark}" />
+        <Setter Property="Foreground" Value="White" />
+        <Setter Property="MinHeight" Value="40" />
+        <Setter Property="FontWeight" Value="Bold" />
+        <Setter Property="HorizontalAlignment" Value="Stretch" />
+        <Setter Property="VerticalAlignment" Value="Stretch" />
+        <Setter Property="Content">
+          <Setter.Value>
+            <TextBlock VerticalAlignment="Center" Text="Buy" />
+          </Setter.Value>
+        </Setter>
+        <Setter Property="Template">
+          <Setter.Value>
+            <ControlTemplate TargetType="Button">
+              <Border 
+                x:Name="Border"
+                CornerRadius="0" 
+                BorderThickness="1"
+                BorderBrush="{u:BTSColor UI.Button.normal_border}"
+                Background="{u:BTSColor MarketData.bid}"
+                Padding="2"
+                Height="Auto"
+                SnapsToDevicePixels="True">
+                <ContentPresenter 
+                  HorizontalAlignment="Center"
+                  VerticalAlignment="Center"
+                  RecognizesAccessKey="True"
+                  Name="button_content" 
+                />
+              </Border>
+              <ControlTemplate.Triggers>
+                <Trigger Property="IsMouseOver" Value="True">
+                  <Setter TargetName="Border" Property="Background" Value="#99167ed3" />
+                  <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
+                </Trigger>
+              </ControlTemplate.Triggers>
+            </ControlTemplate>
+          </Setter.Value>
+        </Setter>
+      </Style>
+    </ResourceDictionary>
+  </Window.Resources>
+  <Window.InputBindings>
+    <KeyBinding Key="Esc" Command="{x:Static SystemCommands.CloseWindowCommand}"/>
+  </Window.InputBindings>
+
+  <usp:OrderModificationLadderControl Margin="10,4" />
+
+  <u:WindowStyle.TitleContentTemplate>
+    <DataTemplate>
+      <TextBlock HorizontalAlignment="Center" FontWeight="Bold" Text="{Binding}" Style="{StaticResource TextBlock.Dark}" />
+    </DataTemplate>
+  </u:WindowStyle.TitleContentTemplate>
+</Window>

src/client/spark/Orders/OrderTicketLadder.xaml.cs

@@ -0,0 +1,15 @@
+using mbts.ui.utility;
+
+using System.Windows;
+
+namespace mbts.ui.spark {
+   /// <summary>
+   /// Interaction logic for OrderTicketLadder.xaml
+   /// </summary>
+   public partial class OrderTicketLadder : Window {
+      public OrderTicketLadder() {
+         InitializeComponent();
+         WindowUtilities.listen_for_close_requests(this);
+      }
+   }
+}

src/client/spark/core/FontsAndColors/BTSColorExtension.cs

@@ -1,117 +1,119 @@
-#nullable enable
-namespace mbts.ui {
-   using bts.utils;
-
-   using Spark.Core.Reflection;
-
-   using System;
-   using System.Collections.Generic;
-   using System.Linq;
-   using System.Reflection;
-   using System.Windows;
-   using System.Windows.Markup;
-   using System.Windows.Media;
-
-   [MarkupExtensionReturnType]
-   class BTSColorExtension : MarkupExtension {
-      static readonly Dictionary<string, Func<BTSColor>>
-         _color_map = _normalized_color_props(typeof(BTSColors), null).ToDictionary();
-
-      public BTSColorExtension() { }
-
-      public BTSColorExtension(string? name) =>
-         Name = name;
-
-      public BTSColorExtension(string? name, string? mixture) {
-         Name = name;
-         Mixture = mixture;
-      }
-
-      [ConstructorArgument("name")]
-      public string? Name { get; set; }
-
-      [ConstructorArgument("mixture")]
-      public string? Mixture { get; set; }
-
-      public ColorMixtureMode MixtureMode { get; set; } = ColorMixtureMode.Default;
-
-      public Type? Type { get; set; }
-
-      public double Opacity { get; set; } = double.NaN;
-
-      public static BTSColor get_color(string name) =>
-         _color_map.TryGetValue(name, out var color) ?
-            color() : throw new ColorNotFoundException(name);
-
-      public override object? ProvideValue(IServiceProvider service_provider) {
-         if (service_provider is null) {
-            return null;
-         }
-         if (Name is null) {
-            throw new InvalidOperationException("Name is null");
-         }
-         if (!Opacity.is_nan() && !Opacity.is_within_range(0, 1)) {
-            throw new InvalidOperationException("Opacity (pct) must between 0 and 1 (if not NaN)");
-         }
-
-         if (Name.Contains("Launcher.Button")) {
-         }
-         var pvt = service_provider.GetValueTargetProvider() ??
-            throw new InvalidOperationException("IProvideValueTarget is null");
-         var tgt_type = Type ?? _deduce_target_type(pvt);
-         var names = Name.Split(',');
-         var mixtures = Mixture?.Split(',');
-         var color = _get_color_blend(names, mixtures, MixtureMode);
-         if (!Opacity.is_nan()) {
-            color = color.with((byte)(Opacity * byte.MaxValue));
-         }
-         return tgt_type == typeof(Color) ? (Color)color : (Brush)color;
-      }
-
-      static Type _deduce_target_type(IProvideValueTarget pvt) {
-         if (pvt.TargetProperty is null) {
-            return typeof(Color);
-         }
-         if (pvt.TargetProperty is DependencyProperty dp) {
-            return dp.PropertyType ?? throw new InvalidOperationException();
-         }
-         if (pvt.TargetObject is Setter setter) {
-            return setter.Property?.PropertyType ?? typeof(Brush);
-         }
-         return typeof(Brush);
-      }
-
-      /// <summary>
-      /// Creates a (potentially weighted) blend of colors
-      /// </summary>
-      static BTSColor _get_color_blend(string[] names, string[]? mixture, ColorMixtureMode mode) {
-         if (mixture is null || mixture.Length == 0) {
-            // create a uniform blend
-            return names.Select(get_color).blend(mode);
-         }
-         if (names.Length != mixture.Length) {
-            throw new InvalidOperationException(
-               "Names and Mixture must provide same number of elements");
-         }
-         return names.Select(get_color).Zip(mixture.Select(double.Parse)).blend();
-      }
-
-      static IEnumerable<(string, Func<BTSColor>)> _normalized_color_props(
-         Type type, string? prefix) {
-         var bts_colors = ReflectionHelper.static_property_getters<BTSColor>(type)
-            .Select(tup => (full_name(tup.name), tup.get));
-         var media_colors = ReflectionHelper.static_property_getters<Color>(type)
-            .Select(tup => (full_name(tup.name), new Func<BTSColor>(() => tup.get())));
-         var nested_types = type.GetNestedTypes(BindingFlags.Public | BindingFlags.Static);
-         var nested_colors = nested_types.SelectMany(
-            t => _normalized_color_props(t, full_name(t.Name))).ToList();
-
-         return bts_colors
-            .Concat(media_colors)
-            .Concat(nested_colors);
-
-         string full_name(string prop) =>
-            prefix is null ? prop : $"{prefix}.{prop}";
-      }
-   }
-}
+#nullable enable
+namespace mbts.ui {
+   using bts.utils;
+
+   using Spark.Core.Reflection;
+
+   using System;
+   using System.Collections.Generic;
+   using System.Linq;
+   using System.Reflection;
+   using System.Windows;
+   using System.Windows.Markup;
+   using System.Windows.Media;
+
+   [MarkupExtensionReturnType]
+   class BTSColorExtension : MarkupExtension {
+      static readonly Dictionary<string, Func<BTSColor>>
+         _color_map = _normalized_color_props(typeof(BTSColors), null).ToDictionary();
+
+      public BTSColorExtension() { }
+
+      public BTSColorExtension(string? name) =>
+         Name = name;
+
+      public BTSColorExtension(string? name, string? mixture) {
+         Name = name;
+         Mixture = mixture;
+      }
+
+      [ConstructorArgument("name")]
+      public string? Name { get; set; }
+
+      [ConstructorArgument("mixture")]
+      public string? Mixture { get; set; }
+
+      public ColorMixtureMode MixtureMode { get; set; } = ColorMixtureMode.Default;
+
+      public Type? Type { get; set; }
+
+      public double Opacity { get; set; } = double.NaN;
+
+      public static BTSColor get_color(string name) =>
+         _color_map.TryGetValue(name, out var color) ?
+            color() : throw new ColorNotFoundException(name);
+
+      public override object? ProvideValue(IServiceProvider service_provider) {
+         if (service_provider is null) {
+            return null;
+         }
+         if (Name is null) {
+            throw new InvalidOperationException("Name is null");
+         }
+         if (!Opacity.is_nan() && !Opacity.is_within_range(0, 1)) {
+            throw new InvalidOperationException("Opacity (pct) must between 0 and 1 (if not NaN)");
+         }
+
+         if (Name.Contains("Launcher.Button")) {
+         }
+         var pvt = service_provider.GetValueTargetProvider() ??
+            throw new InvalidOperationException("IProvideValueTarget is null");
+         var tgt_type = Type ?? _deduce_target_type(pvt);
+         var names = Name.Split(',');
+         var mixtures = Mixture?.Split(',');
+         var color = _get_color_blend(names, mixtures, MixtureMode);
+         if (!Opacity.is_nan()) {
+            color = color.with((byte)(Opacity * byte.MaxValue));
+         }
+         return tgt_type == typeof(Color) || tgt_type == typeof(Color?)
+            ? (Color)color
+            : (Brush)color;
+      }
+
+      static Type _deduce_target_type(IProvideValueTarget pvt) {
+         if (pvt.TargetProperty is null) {
+            return typeof(Color);
+         }
+         if (pvt.TargetProperty is DependencyProperty dp) {
+            return dp.PropertyType ?? throw new InvalidOperationException();
+         }
+         if (pvt.TargetObject is Setter setter) {
+            return setter.Property?.PropertyType ?? typeof(Brush);
+         }
+         return typeof(Brush);
+      }
+
+      /// <summary>
+      /// Creates a (potentially weighted) blend of colors
+      /// </summary>
+      static BTSColor _get_color_blend(string[] names, string[]? mixture, ColorMixtureMode mode) {
+         if (mixture is null || mixture.Length == 0) {
+            // create a uniform blend
+            return names.Select(get_color).blend(mode);
+         }
+         if (names.Length != mixture.Length) {
+            throw new InvalidOperationException(
+               "Names and Mixture must provide same number of elements");
+         }
+         return names.Select(get_color).Zip(mixture.Select(double.Parse)).blend();
+      }
+
+      static IEnumerable<(string, Func<BTSColor>)> _normalized_color_props(
+         Type type, string? prefix) {
+         var bts_colors = ReflectionHelper.static_property_getters<BTSColor>(type)
+            .Select(tup => (full_name(tup.name), tup.get));
+         var media_colors = ReflectionHelper.static_property_getters<Color>(type)
+            .Select(tup => (full_name(tup.name), new Func<BTSColor>(() => tup.get())));
+         var nested_types = type.GetNestedTypes(BindingFlags.Public | BindingFlags.Static);
+         var nested_colors = nested_types.SelectMany(
+            t => _normalized_color_props(t, full_name(t.Name))).ToList();
+
+         return bts_colors
+            .Concat(media_colors)
+            .Concat(nested_colors);
+
+         string full_name(string prop) =>
+            prefix is null ? prop : $"{prefix}.{prop}";
+      }
+   }
+}

src/client/spark/view/Controls/AutoHideScrollBar/AutoHideScrollBar.xaml

@@ -380,7 +380,7 @@
                 <VisualState Name="Normal"/>
                 <VisualState Name="MouseOver">
                   <Storyboard>
-                    <ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{StaticResource u:BTSColor UI.ScrollBar.thumb_mouse_over}"/>
+                    <ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor UI.ScrollBar.thumb_mouse_over}"/>
                   </Storyboard>
                 </VisualState>
                 <VisualState Name="Pressed">

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

@@ -1,5 +1,5 @@
 <ResourceDictionary
-  x:Class="mbts.ui.spark.AuxiliaryDataResources"
+  x:Class="mbts.ui.spark.OrderAuxiliaryPopupResources"
   x:ClassModifier="internal"
   xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
   xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
@@ -17,7 +17,7 @@
     <sp:MiniOrderBookView/>
   </DataTemplate>
   <!--Header (Title Bar)-->
-  <DataTemplate DataType="{x:Type usp:AuxiliaryDataHeader}">
+  <DataTemplate DataType="{x:Type usp:OrderAuxiliaryPopupHeader}">
     <Grid MaxWidth="{Binding ActualWidth, RelativeSource={RelativeSource AncestorType=ContentPresenter}}">
       <Grid.ColumnDefinitions>
         <ColumnDefinition Width="Auto"/>
@@ -101,6 +101,20 @@
     </Grid>
   </DataTemplate>
 
+  <DataTemplate DataType="{x:Type usp:OrderTicketLadderHeader}">
+    <Grid>
+      <Grid.ColumnDefinitions>
+        <ColumnDefinition Width="Auto"/>
+        <ColumnDefinition Width="*"/>
+        <ColumnDefinition Width="Auto"/>
+        <ColumnDefinition Width="Auto"/>
+      </Grid.ColumnDefinitions>
+      <TextBlock FontWeight="Bold" Text="{Binding Title}" Style="{StaticResource TextBlock.Dark}" />
+      <CheckBox Grid.Column="2" VerticalAlignment="Center" Margin="4,0,0,0" Focusable="False" IsChecked="{Binding StaysOpen, RelativeSource={RelativeSource AncestorType=Popup}}">Keep Open</CheckBox>
+      <Button Grid.Column="3" HorizontalAlignment="Right" Margin="4" Command="{x:Static ApplicationCommands.Close}" CommandTarget="{Binding RelativeSource={RelativeSource AncestorType=HeaderedContentControl}}" Style="{StaticResource RoundCloseButton}"/>
+    </Grid>
+  </DataTemplate>
+
   <ControlTemplate x:Key="PopupChildTemplate" TargetType="HeaderedContentControl">
     <Border
       Background="{TemplateBinding Background}"

src/client/spark/view/Controls/Order/OrderAuxiliaryPopupResources.xaml.cs

@@ -0,0 +1,49 @@
+#nullable enable
+using mbts.spark;
+using mbts.ui.shell;
+
+using System.Windows;
+using System.Windows.Media;
+
+namespace mbts.ui.spark {
+   partial class OrderAuxiliaryPopupResources : ResourceDictionary {
+      public OrderAuxiliaryPopupResources() =>
+         InitializeComponent();
+
+      public static string PopupChildStyleKey => nameof(PopupChildStyleKey);
+   }
+
+   class OrderAuxiliaryPopupHeader : ViewModelBase {
+      string?
+         _title,
+         _context;
+      Color _title_foreground;
+      bool _keep_open;
+
+      public Color title_foreground { get => _title_foreground; set => Set(ref _title_foreground, value); }
+      public string? title { get => _title; set => Set(ref _title, value); }
+      public string? context { get => _context; set => Set(ref _context, value); }
+      public bool keep_open { get => _keep_open; set => Set(ref _keep_open, value); }
+   }
+
+   class OrderTicketHeader : ViewModelBase {
+      bool _keep_open;
+      public BBOVM? bbo { get; set; }
+      public bool keep_open { get => _keep_open; set => Set(ref _keep_open, value); }
+   }
+
+   class OrderTicketLadderHeader : ViewModelBase {
+      bool keepOpen;
+      string? title;
+
+      public string? Title {
+         get => title;
+         set => Set(ref title, value);
+      }
+
+      public bool KeepOpen {
+         get => keepOpen;
+         set => Set(ref keepOpen, value);
+      }
+   }
+}

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

@@ -102,6 +102,10 @@
     </Grid>
   </DataTemplate>
 
+  <DataTemplate DataType="{x:Type sp:NewOrderTicketLadderVM}">
+    <usp:OrderModificationLadderControl />
+  </DataTemplate>
+
   <DataTemplate DataType="{x:Type sp:ExistingOrderTicketVM}">
     <Grid Margin="10">
       <Grid.RowDefinitions>

src/client/spark/view/Controls/Popup/AuxiliaryDataView.xaml.cs

@@ -1,36 +0,0 @@
-using mbts.spark;
-using mbts.ui.shell;
-using System.Windows;
-using System.Windows.Controls;
-using System.Windows.Media;
-
-namespace mbts.ui.spark {
-   partial class AuxiliaryDataResources : ResourceDictionary {
-      public AuxiliaryDataResources() =>
-         InitializeComponent();
-
-      public static string PopupChildStyleKey => nameof(PopupChildStyleKey);
-   }
-
-   class AuxiliaryDataHeader : ViewModelBase {
-      string
-         _title,
-         _context;
-      Color _title_foreground;
-      bool _keep_open;
-
-      public Color title_foreground { get => _title_foreground; set => Set(ref _title_foreground, value); }
-      public string title { get => _title; set => Set(ref _title, value); }
-      public string context { get => _context; set => Set(ref _context, value); }
-      public bool keep_open { get => _keep_open; set => Set(ref _keep_open, value); }
-   }
-
-   class OrderTicketHeader : ViewModelBase {
-      bool _keep_open;
-      public BBOVM bbo { get; set; }
-      public bool keep_open { get => _keep_open; set => Set(ref _keep_open, value); }
-   }
-
-   class ConstrainedTextBlock : TextBlock {
-   }
-}

src/client/spark/view/Extensions/Command/AttachedCommands.cs

@@ -26,6 +26,39 @@ namespace mbts.ui {
       public static void SetDoubleClickParameter(DependencyObject target, object value) { target.SetValue(DoubleClickParameterProperty, value); }
       #endregion
 
+      #region MiddleClick
+      public static readonly DependencyProperty MiddleClickProperty =
+         DependencyProperty.RegisterAttached("MiddleClick", typeof(ICommand), typeof(AttachedCommands), new PropertyMetadata(onMiddleClickChanged));
+
+      static void onMiddleClickChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         var el = (UIElement)d;
+         el.ClearMouseBindings(MouseAction.MiddleClick);
+         if (e.NewValue is ICommand cmd) {
+            var mb = new MouseBinding(cmd, new MouseGesture(MouseAction.MiddleClick));
+            var bd = new Binding { Path = new PropertyPath(MiddleClickParameterProperty), Source = d };
+            BindingOperations.SetBinding(mb, InputBinding.CommandParameterProperty, bd);
+            el.InputBindings.Add(mb);
+         }
+      }
+
+      public static ICommand GetMiddleClick(DependencyObject target) =>
+         target.GetValue(MiddleClickProperty) as ICommand;
+
+      public static void SetMiddleClick(DependencyObject target, ICommand value) =>
+         target.SetValue(MiddleClickProperty, value);
+      #endregion
+
+      #region MiddleClickParameter
+      public static readonly DependencyProperty MiddleClickParameterProperty =
+         DependencyProperty.RegisterAttached("MiddleClickParameter", typeof(object), typeof(AttachedCommands));
+
+      public static object GetMiddleClickParameter(DependencyObject target) =>
+         target.GetValue(MiddleClickParameterProperty);
+
+      public static void SetMiddleClickParameter(DependencyObject target, object value) =>
+         target.SetValue(MiddleClickParameterProperty, value);
+      #endregion
+
       #region Enter
       public static readonly DependencyProperty EnterProperty = DependencyProperty.RegisterAttached("Enter", typeof(ICommand), typeof(AttachedCommands), new PropertyMetadata(OnEnterChanged));
       static void OnEnterChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {

src/cs/Bts.Spark.Api/Orders/OrdersClient.cs

@@ -11,6 +11,7 @@ namespace Spark.Api.Orders {
 
    using Spark.Api.Admin;
    using Spark.Api.MarketData;
+   using Spark.Api.Position;
    using Spark.Api.Reactive;
    using Spark.Core.Disposables;
    using Spark.Core.Reactive;
@@ -40,10 +41,12 @@ namespace Spark.Api.Orders {
       ) {
          _order_service = order_service;
          var scheduler = ThreadPoolScheduler.Instance;
-         interval ??= TimeSpan.FromSeconds(0.1);
+         if(interval is not null)
+            Log.Api.info($"originally OrdersClient polling interval {interval}");
+         interval = TimeSpan.FromMilliseconds(1);
+         Log.Api.info($"OrdersClient polling interval {interval}");
          var bootstraps = new DisposableBuilder();
 
-         positions = position_service.subscribei_position_data().Table().Cache();
          _orders = bootstraps.emplace(
             admin_client
                .permission_filter(
@@ -73,6 +76,11 @@ namespace Spark.Api.Orders {
                .Cache()
                .ToObservable());
 
+         var raw_fills = admin_client.permission_filter(
+            order_service.subscribei_fills().Naggle(interval.Value, scheduler),
+            f => f.Account)
+            .Table();
+
          var fill_order_tuples_join = fills.LeftJoin(
             _orders,
             f => f.val.FillKey,
@@ -94,6 +102,12 @@ namespace Spark.Api.Orders {
                .Cache()
                .ToObservable());
 
+         var raw_manual_fills = admin_client
+            .permission_filter(
+               position_service.subscribei_manual_fills().Naggle(interval.Value, scheduler),
+               f => f.AccountId)
+            .Table();
+
          var manual_fill_tuples_account_join = manual_fills_securities.LeftJoin(
             admin_client.Accounts,
             mf => mf.val.RecordId,
@@ -117,6 +131,11 @@ namespace Spark.Api.Orders {
                .Cache()
                .ToObservable());
 
+         positions = bootstraps.emplace(
+            ComputedPositionsDataSource.create(raw_fills, raw_manual_fills)
+               .Cache()
+               .ToObservable());
+
          _dispose = bootstraps;
       }
       public async Task<Response> EnterOrderAsync(

src/cs/Bts.Spark.Api/Position/ComputedPositionsDataSource.cs

@@ -0,0 +1,194 @@
+#nullable enable
+namespace Spark.Api.Position {
+   using bts;
+   using bts.api;
+   using bts.api.core;
+   using bts.api.orderman;
+   using bts.api.position;
+
+   using System;
+   using System.Collections.Generic;
+   using System.Linq;
+   using System.Reactive.Linq;
+
+   public static class ComputedPositionsDataSource {
+      public static IObservable<TableUpdate<PositionUnitImmutable, int>> create(
+         IObservable<TableUpdate<FillImmutable, string>> fills,
+         IObservable<TableUpdate<ManualFillImmutable, int>> manual_fills) {
+         var record_ids = new Dictionary<AccountSecurityKey, int>();
+         int next_record_id = 1;
+
+         return Observable.CombineLatest(
+            fills,
+            manual_fills,
+            (fill_update, manual_fill_update) => build_snapshot(
+               fill_update.Index.Values,
+               manual_fill_update.Index.Values)
+               .ToDictionary(PositionUnitImmutable.key_fn))
+            .Table(PositionUnitImmutable.key_fn);
+
+         IEnumerable<PositionUnitImmutable> build_snapshot(
+            IEnumerable<FillImmutable> electronic_fills,
+            IEnumerable<ManualFillImmutable> manual_fill_rows) {
+            var positions = new SortedDictionary<AccountSecurityKey, PositionAccumulator>();
+
+            foreach (var fill in electronic_fills) {
+               if (fill.FillStatus == Fill.Types.FillStatus.Busted ||
+                  fill.SecurityKey == 0 ||
+                  fill.InternalAccountId == 0) {
+                  continue;
+               }
+               var key = new AccountSecurityKey(fill.InternalAccountId, fill.SecurityKey);
+               var acc = get_or_create(positions, key, fill.Account);
+               acc.add_electronic_fill(fill);
+               positions[key] = acc;
+            }
+
+            foreach (var fill in manual_fill_rows) {
+               if (fill.SecurityKey == 0 || fill.AccountId == 0) {
+                  continue;
+               }
+               var key = new AccountSecurityKey(fill.AccountId, fill.SecurityKey);
+               var acc = get_or_create(positions, key, fill.AccountName);
+               acc.add_manual_fill(fill);
+               positions[key] = acc;
+            }
+
+            foreach (var (key, acc) in positions) {
+               if (!record_ids.TryGetValue(key, out var record_id)) {
+                  record_id = next_record_id++;
+                  record_ids[key] = record_id;
+               }
+               yield return acc.to_position(record_id);
+            }
+         }
+
+         static PositionAccumulator get_or_create(
+            IDictionary<AccountSecurityKey, PositionAccumulator> positions,
+            AccountSecurityKey key,
+            string account_name) {
+            if (!positions.TryGetValue(key, out var acc)) {
+               return new PositionAccumulator(key.account_id, key.security_id, account_name);
+            } else if (string.IsNullOrEmpty(acc.account) && !string.IsNullOrEmpty(account_name)) {
+               acc.account = account_name;
+            }
+            return acc;
+         }
+      }
+
+      struct PositionAccumulator {
+         public PositionAccumulator(uint account_id, uint security_id, string account) {
+            this.account_id = account_id;
+            this.security_id = security_id;
+            this.account = account;
+            day = default;
+            sod = default;
+            local = default;
+            admin_day = default;
+            admin_sod = default;
+            raw_day = default;
+         }
+
+         public readonly uint account_id;
+         public readonly uint security_id;
+         public string account;
+         PositionEntryAccumulator day;
+         PositionEntryAccumulator sod;
+         PositionEntryAccumulator local;
+         PositionEntryAccumulator admin_day;
+         PositionEntryAccumulator admin_sod;
+         PositionEntryAccumulator raw_day;
+
+         public void add_electronic_fill(FillImmutable fill) {
+            var qty = fill.Side == Side.Sell ? -fill.LastShares : fill.LastShares;
+            if (is_sod(fill.FillKind)) {
+               sod.add(qty, fill.LastPrice);
+               return;
+            }
+            day.add(qty, fill.LastPrice);
+            raw_day.add(qty, fill.LastPrice);
+         }
+
+         public void add_manual_fill(ManualFillImmutable fill) {
+            var qty = fill.Side == Side.Sell ? -fill.Quantity : fill.Quantity;
+            switch (fill.FillType) {
+               case ManualFill.Types.FillType.AdminSod:
+                  sod.add(qty, fill.Price);
+                  admin_sod.add(qty, fill.Price);
+                  break;
+               case ManualFill.Types.FillType.AdminDay:
+                  day.add(qty, fill.Price);
+                  raw_day.add(qty, fill.Price);
+                  admin_day.add(qty, fill.Price);
+                  break;
+               default:
+                  day.add(qty, fill.Price);
+                  raw_day.add(qty, fill.Price);
+                  local.add(qty, fill.Price);
+                  break;
+            }
+         }
+
+         public PositionUnitImmutable to_position(int record_id) {
+            var sod_entry = sod.to_entry();
+            var day_entry = day.to_entry();
+            var raw_day_entry = raw_day.to_entry();
+            var local_entry = local.to_entry();
+            var admin_sod_entry = admin_sod.to_entry();
+            var admin_day_entry = admin_day.to_entry();
+
+            return new PositionUnitImmutable(new PositionUnit {
+               RecordId = record_id,
+               Account = account,
+               AccountId = account_id,
+               SecurityId = security_id,
+               SodLongPos = sod_entry.LongPos,
+               SodLongAvgPrice = sod_entry.LongAvgPrice,
+               SodShortPos = sod_entry.ShortPos,
+               SodShortAvgPrice = sod_entry.ShortAvgPrice,
+               DayLongPos = day_entry.LongPos,
+               DayLongAvgPrice = day_entry.LongAvgPrice,
+               DayShortPos = day_entry.ShortPos,
+               DayShortAvgPrice = day_entry.ShortAvgPrice,
+               Sod = sod_entry,
+               Day = day_entry,
+               RawDay = raw_day_entry,
+               Local = local_entry,
+               AdminSod = admin_sod_entry,
+               AdminDay = admin_day_entry
+            });
+         }
+
+         static bool is_sod(Fill.Types.FillKind kind) =>
+            kind == Fill.Types.FillKind.Sod ||
+            kind == Fill.Types.FillKind.SodSpreadLeg ||
+            kind == Fill.Types.FillKind.SodStripLeg;
+      }
+
+      struct PositionEntryAccumulator {
+         double long_qty;
+         double long_cost;
+         double short_qty;
+         double short_cost;
+
+         public void add(double signed_qty, double price) {
+            if (signed_qty > 0) {
+               long_qty += signed_qty;
+               long_cost += signed_qty * price;
+            } else if (signed_qty < 0) {
+               var abs_qty = Math.Abs(signed_qty);
+               short_qty += abs_qty;
+               short_cost += abs_qty * price;
+            }
+         }
+
+         public PositionEntry to_entry() =>
+            new() {
+               LongPos = long_qty,
+               LongAvgPrice = long_qty == 0 ? 0 : long_cost / long_qty,
+               ShortPos = short_qty,
+               ShortAvgPrice = short_qty == 0 ? 0 : short_cost / short_qty
+            };
+      }
+   }
+}

src/cs/Bts.Spark.Api/Position/PositionModel.cs

@@ -15,6 +15,7 @@ namespace Spark.Trading {
    using Spark.Api.Data;
    using Spark.Api.MarketData;
    using Spark.Api.Orders;
+   using Spark.Api.Position;
    using Spark.Api.Reactive;
    using Spark.Core;
    using Spark.Core.Data;
@@ -60,13 +61,21 @@ namespace Spark.Trading {
                .Cache()
                .ToObservable());
 
+         var raw_fills = admin_model
+            .permission_filter(
+               order_service.subscribei_fills().Naggle(interval, scheduler),
+               f => f.Account)
+            .Table();
+
+         var raw_manual_fills = admin_model
+            .permission_filter(
+               _position_service.subscribei_manual_fills().Naggle(interval, scheduler),
+               f => f.AccountId)
+            .Table();
+
          on_positions = bootstraps.emplace(
-            admin_model
-               .permission_filter(
-                  _position_service.subscribei_position_data().Naggle(interval, scheduler),
-                  p => p.AccountId)
-               .join(sec_resolver, pos => pos.SecurityId)
-               .Table()
+            ComputedPositionsDataSource.create(raw_fills, raw_manual_fills)
+               .join_table(sec_resolver, pos => pos.SecurityId)
                .Cache()
                .ToObservable());
          var users = admin_model.Users

src/cs/Bts.Spark.Api/Services/SparkApiServices.cs

@@ -8,6 +8,7 @@ using bts.api.core;
 using bts.api.orderman;
 using bts.api.position;
 using bts.co2;
+using bts.metrics;
 using bts.md;
 
 using Microsoft.Extensions.Configuration;
@@ -86,6 +87,7 @@ public static class SparkApiServices {
          services.AddSparkdService<OrderService>();
          services.AddSingleton<IOrdersClient, OrdersClient>();
       }
+      services.AddSparkdService<ShellLatencyService>();
       if (configurationSection.GetValue("EnablePosition", true)) {
          services.TryAddSingleton<ISecurityResolver>(ActivatorUtilities.GetServiceOrCreateInstance<PassiveSecurityResolver>);
          services.AddSparkdService<PositionService>()
@@ -176,6 +178,7 @@ public static class SparkApiServices {
          services.AddSparkdService<OrderService>();
          services.AddSingleton<IOrdersClient, OrdersClient>();
       }
+      services.AddSparkdService<ShellLatencyService>();
       if (isPositionsEnabled) {
          services.AddSparkdService<PositionService>();
       }

src/cs/Bts.Spark.Api/data/ticks/TickUtils.cs

@@ -3,6 +3,7 @@ using bts.api;
 using bts.data.ticks;
 using bts.utils;
 
+using mbts.co2;
 using mbts.user.settings;
 
 using Spark.Core;
@@ -113,6 +114,24 @@ namespace mbts.spark {
          return rv;
       }
 
+      public static double low_tick(NativePriceSize[] bids, NativePriceSize[] asks) {
+         double low = bids[bids.Length - 1].price;
+         if (double.IsNaN(low))
+            low = bids.LastOrDefault(nps => nps.price, p => !double.IsNaN(p), double.NaN);
+         if (double.IsNaN(low))
+            low = asks[0].price;
+         return low;
+      }
+
+      public static double high_tick(NativePriceSize[] bids, NativePriceSize[] asks) {
+         double high = asks[asks.Length - 1].price;
+         if (double.IsNaN(high))
+            high = asks.LastOrDefault(nps => nps.price, p => !double.IsNaN(p), double.NaN);
+         if (double.IsNaN(high))
+            high = bids[0].price;
+         return high;
+      }
+
       public static long? tickdiff(this ContractSpecificationImmutable spec, double x, double y) =>
          get_regional_ticks(spec).tickdiff(x, y);
 

src/cs/Bts.Spark.Sdk.Demo/TopOfBookQuoter.cs

@@ -41,8 +41,8 @@ class TopOfBookQuoter : IHostedService {
          throw new ArgumentException("Failed to parse venue", nameof(config));
       }
       var quantity = config.Quantity;
-      if (!(quantity > 0)) {
-         throw new ArgumentException("Quantity is not positive", nameof(config));
+      if (quantity == 0 || !double.IsRealNumber(quantity)) {
+         throw new ArgumentException("Quantity must be real and non-zero", nameof(config));
       }
       this.config = new(venue, contract, account, config.OffsetTicks, quantity);
    }
@@ -86,11 +86,12 @@ class TopOfBookQuoter : IHostedService {
       if (!bk.Security.HasValue) {
          return;
       }
-      var bidPrice = bk[Side.Buy, 0].Price;
-      var orderPrice = bidPrice;
       var orderQty = config.Quantity;
+      var bidPrice = bk[orderQty < 0 ? Side.Sell : Side.Buy, 0].Price;
+      orderQty = Math.Abs(orderQty);
+      var orderPrice = bidPrice;
       if (config.OffsetTicks != 0) {
-         orderPrice = bk.Security.Value.tick_factors().tickdown(orderPrice, config.OffsetTicks);
+         orderPrice = bk.Security.Value.tick_factors().tick(orderPrice, config.OffsetTicks);
       }
       if (securityToOrderId.TryGetValue(bk.SecurityId, out var orderId)
          && orders.TryGetValue(orderId, out var orderTree)

src/cs/Bts.Spark.Sdk.Demo/VenueParser.cs

@@ -4,7 +4,7 @@ using bts.api;
 
 public static class VenueParser {
    public static bool TryParse(string? venueStr, out Venue venue) {
-      if (venueStr is null || (!Enum.TryParse(venueStr, false, out venue) && !Enum.TryParse("VENUE_" + venueStr, false, out venue))) {
+      if (venueStr is null || (!Enum.TryParse(venueStr, true, out venue) && !Enum.TryParse("VENUE_" + venueStr, true, out venue))) {
          venue = Venue.Unset;
          return false;
       }

src/cs/Bts.Spark.Sdk/AuthenticatedSimpleSparkClient.cs

@@ -3,6 +3,7 @@ namespace Bts.Spark.Sdk;
 using bts.api;
 using bts.api.core;
 using bts.api.orderman;
+using bts.metrics;
 
 using global::Spark.Api.Admin;
 using global::Spark.Api.MarketData;
@@ -28,6 +29,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
    readonly IOrdersClient ordersClient;
    readonly IAdminClient adminClient;
    readonly ISecurityResolver securityResolver;
+   readonly ShellLatencyService shellLatencyService;
    readonly ISparkLoginService loginService;
    readonly SimpleSparkClientConfig config;
    readonly ILogger<AuthenticatedSimpleSparkClient> logger;
@@ -39,6 +41,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
       IOrdersClient ordersClient,
       IAdminClient adminClient,
       ISecurityResolver securityResolver,
+      ShellLatencyService shellLatencyService,
       ISparkLoginService loginService,
       IOptions<SimpleSparkClientConfig> config,
       ILogger<AuthenticatedSimpleSparkClient> logger) {
@@ -46,6 +49,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
       this.ordersClient = ordersClient;
       this.adminClient = adminClient;
       this.securityResolver = securityResolver;
+      this.shellLatencyService = shellLatencyService;
       this.loginService = loginService;
       this.config = config.Value;
       this.logger = logger;
@@ -61,7 +65,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
       }
       cancellationToken.ThrowIfCancellationRequested();
       var user = loginRes.user.Value;
-      simpleClient = new(user.name, user.id, mdClient, ordersClient, adminClient, securityResolver, config.OrderPoolCapacity, config.OrderPoolReplenishInterval);
+      simpleClient = new(user.name, user.id, mdClient, ordersClient, shellLatencyService, adminClient, securityResolver, config.OrderPoolCapacity, config.OrderPoolReplenishInterval);
       simpleClientSubject.OnNext(simpleClient);
       logger.LogInformation("SimpleSparkClient started");
    }
@@ -97,6 +101,9 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
    public IObservable<TableUpdate<PriceTicker, uint>> PriceTicker(SecurityCriteria? securityCriteria) =>
       simpleClient?.PriceTicker(securityCriteria) ?? simpleClientSubject.Take(1).Select(c => c.PriceTicker(securityCriteria)).FlattenSeries();
 
+   public Task<bool> PingAsync() =>
+      simpleClient?.PingAsync() ?? pingBeforeStartAsync();
+
    public Task<Response> CreateOrder(OrderDefinition orderDef, double quantity, double price) =>
       orderOp(cli => cli.CreateOrder(orderDef, quantity, price));
 
@@ -134,4 +141,15 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
       async Task<T> LateImpl() =>
          await op(await simpleClientSubject.FirstAsync());
    }
+
+   async Task<bool> pingBeforeStartAsync() {
+      var request = new BufferMessage() {
+         Sequence = (ulong)DateTimeOffset.UtcNow.ToUnixTimeMilliseconds(),
+         Data = "spark-sdk-ping"
+      };
+      var result = await shellLatencyService.ping_async(request);
+      return result.success &&
+         result.value.Sequence == request.Sequence &&
+         result.value.Data == request.Data;
+   }
 }

src/cs/Bts.Spark.Sdk/ExecutionFacadeSimpleSparkClient.cs

@@ -48,6 +48,9 @@ public class ExecutionFacadeSimpleSparkClient : ISimpleSparkClient {
    public IObservable<TableUpdate<PriceTicker, uint>> PriceTicker(SecurityCriteria? securityCriteria) =>
       sparkClient.PriceTicker(securityCriteria);
 
+   public Task<bool> PingAsync() =>
+      sparkClient.PingAsync();
+
    public Task<Response> CreateOrder(OrderDefinition orderDef, double quantity, double price) {
       logger.LogInformation("CreateOrder {account} {tag} {securityId} {side} {quantity} @ {price}", orderDef.Account, orderDef.Tag, orderDef.SecurityKey, orderDef.Side, quantity, price);
       return Task.FromResult(facadeResponse());

src/cs/Bts.Spark.Sdk/ISimpleSparkClient.cs

@@ -12,6 +12,8 @@ using mbts.spark;
 using System;
 
 public interface ISimpleSparkClient {
+   Task<bool> PingAsync();
+
    // Market Data
    IObservable<TableUpdate<SecurityImmutable, uint>> Securities(SecurityCriteria? securityCriteria);
    IObservable<TableUpdate<BookRecord, uint>> Books(SecurityCriteria? securityCriteria);

src/cs/Bts.Spark.Sdk/SimpleSparkClient.cs

@@ -16,12 +16,14 @@ using global::Spark.Core.Disposables;
 using global::Spark.Core.Reactive;
 
 using mbts.spark;
+using bts.metrics;
 
 using System.Reactive.Linq;
 
 public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
    readonly IMarketDataClient mdClient;
    readonly IOrdersClient ordersClient;
+   readonly ShellLatencyService shellLatencyService;
    readonly OrderPool limitOrderPool;
    readonly OrderPool marketOrderPool;
    readonly TableUpdateDemuxer<OrderRecordTupleWithRoot, uint, uint> orderSecurityDmx;
@@ -46,6 +48,7 @@ public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
       uint userId,
       IMarketDataClient mdClient,
       IOrdersClient ordersClient,
+      ShellLatencyService shellLatencyService,
       IAdminClient adminClient,
       ISecurityResolver securityResolver,
       int orderPoolCapacity,
@@ -53,6 +56,7 @@ public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
    ) {
       this.mdClient = mdClient;
       this.ordersClient = ordersClient;
+      this.shellLatencyService = shellLatencyService;
       limitOrderPool = new(orderPoolCapacity, () => new() { User = userName, UserId = userId, TimeInForce = TimeInForce.Gtc, CustomDef = new() { Limit = new() } });
       marketOrderPool = new(orderPoolCapacity, () => new() { User = userName, UserId = userId, TimeInForce = TimeInForce.Gtc, CustomDef = new() { Market = new() } });
       orderSecurityDmx = new TableUpdateDemuxer<OrderRecordTupleWithRoot, uint, uint>(o => o.order.order.Key, o => o.security_id);
@@ -140,6 +144,17 @@ public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
       }
    }
 
+   public async Task<bool> PingAsync() {
+      var request = new BufferMessage() {
+         Sequence = (ulong)DateTimeOffset.UtcNow.ToUnixTimeMilliseconds(),
+         Data = "spark-sdk-ping"
+      };
+      var result = await shellLatencyService.ping_async(request);
+      return result.success &&
+         result.value.Sequence == request.Sequence &&
+         result.value.Data == request.Data;
+   }
+
    public IObservable<TableUpdate<BookRecord, uint>> Books(SecurityCriteria? securityCriteria) {
       var booksSource = this.booksSource;
       var secFilter = securityCriteria?.ToPredicate();
@@ -271,28 +286,32 @@ public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
    public Task<Response> CreateLimitOrder(string account, Venue venue, string contract, Side side, double quantity, double price, string? tag) {
       var def = buildOrder(account, venue, contract, limitOrderPool);
       def.Side = side;
-      def.Tag = tag;
+      if (tag is not null)
+         def.Tag = tag;
       return ordersClient.TryEnterOrderAsync(def, price, quantity);
    }
 
    public Task<Response> CreateLimitOrder(string account, uint securityId, Side side, double quantity, double price, string? tag) {
       var def = buildOrder(account, securityId, limitOrderPool);
       def.Side = side;
-      def.Tag = tag;
+      if (tag is not null)
+         def.Tag = tag;
       return ordersClient.TryEnterOrderAsync(def, price, quantity);
    }
 
    public Task<Response> CreateMarketOrder(string account, Venue venue, string contract, Side side, double quantity, string? tag) {
       var def = buildOrder(account, venue, contract, marketOrderPool);
       def.Side = side;
-      def.Tag = tag;
+      if (tag is not null)
+         def.Tag = tag;
       return ordersClient.TryEnterOrderAsync(def, double.NaN, quantity);
    }
 
    public Task<Response> CreateMarketOrder(string account, uint securityId, Side side, double quantity, string? tag) {
       var def = buildOrder(account, securityId, marketOrderPool);
       def.Side = side;
-      def.Tag = tag;
+      if (tag is not null)
+         def.Tag = tag;
       return ordersClient.TryEnterOrderAsync(def, double.NaN, quantity);
    }
 

src/lib_spark/spark/config/profiles/default/cme_reference_data.conf

@@ -3,9 +3,9 @@
 # source: tools/cpp_helper/generate-cpps.ps1
 #
 
-CppConfig
-{
-	value
+CppConfig
+{
+	value
 	{
 		cpp_entry { key: "0A" value: 100 }
 		cpp_entry { key: "0B" value: 100 }
@@ -537,6 +537,31 @@ CppConfig
 		cpp_entry { key: "EQ1" value: 50 }
 		cpp_entry { key: "ERL" value: 5 }
 		cpp_entry { key: "ES" value: 50 }
+		cpp_entry { key: "E1A" value: 50}
+		cpp_entry { key: "E1B" value: 50}
+		cpp_entry { key: "E1C" value: 50}
+		cpp_entry { key: "E1D" value: 50}
+		cpp_entry { key: "E2A" value: 50}
+		cpp_entry { key: "E2B" value: 50}
+		cpp_entry { key: "E2C" value: 50}
+		cpp_entry { key: "E2D" value: 50}
+		cpp_entry { key: "E3A" value: 50}
+		cpp_entry { key: "E3B" value: 50}
+		cpp_entry { key: "E3C" value: 50}
+		cpp_entry { key: "E3D" value: 50}
+		cpp_entry { key: "E4A" value: 50}
+		cpp_entry { key: "E4B" value: 50}
+		cpp_entry { key: "E4C" value: 50}
+		cpp_entry { key: "E4D" value: 50}
+		cpp_entry { key: "E5A" value: 50}
+		cpp_entry { key: "E5B" value: 50}
+		cpp_entry { key: "E5C" value: 50}
+		cpp_entry { key: "E5D" value: 50}
+		cpp_entry { key: "EW" value: 50}		
+		cpp_entry { key: "EW1" value: 50}
+		cpp_entry { key: "EW2" value: 50}
+		cpp_entry { key: "EW3" value: 50}
+		cpp_entry { key: "EW4" value: 50}
 		cpp_entry { key: "ES1" value: 50 }
 		cpp_entry { key: "ES2" value: 50 }
 		cpp_entry { key: "ESB" value: 1000 }
@@ -1001,6 +1026,31 @@ CppConfig
 		cpp_entry { key: "NOO" value: 8900 }
 		cpp_entry { key: "NPG" value: 2500 }
 		cpp_entry { key: "NQ" value: 20 }
+      	cpp_entry {key: "Q1A" value: 20}
+      	cpp_entry {key: "Q1B" value: 20}
+      	cpp_entry {key: "Q1C" value: 20}
+      	cpp_entry {key: "Q1D" value: 20}
+      	cpp_entry {key: "Q2A" value: 20}
+      	cpp_entry {key: "Q2B" value: 20}
+      	cpp_entry {key: "Q2C" value: 20}
+      	cpp_entry {key: "Q2D" value: 20}
+      	cpp_entry {key: "Q3A" value: 20}
+      	cpp_entry {key: "Q3B" value: 20}
+      	cpp_entry {key: "Q3C" value: 20}
+      	cpp_entry {key: "Q3D" value: 20}
+      	cpp_entry {key: "Q4A" value: 20}
+      	cpp_entry {key: "Q4B" value: 20}
+      	cpp_entry {key: "Q4C" value: 20}
+      	cpp_entry {key: "Q4D" value: 20}
+      	cpp_entry {key: "Q5A" value: 20}
+      	cpp_entry {key: "Q5B" value: 20}
+      	cpp_entry {key: "Q5C" value: 20}
+      	cpp_entry {key: "Q5D" value: 20}
+      	cpp_entry {key: "QNE" value: 20}
+      	cpp_entry {key: "QN1" value: 20}
+      	cpp_entry {key: "QN2" value: 20}
+      	cpp_entry {key: "QN3" value: 20}
+      	cpp_entry {key: "QN4" value: 20}
 		cpp_entry { key: "NQQ" value: 20 }
 		cpp_entry { key: "NQT" value: 20 }
 		cpp_entry { key: "NR" value: 2500 }
@@ -1506,12 +1556,12 @@ CppConfig
 		cpp_entry { key: "ZT" value: 2000 }
 		cpp_entry { key: "ZW" value: 50 }
 		cpp_entry { key: "ZWT" value: 50 }
-	}
-}
+	}
+}
 
-CmeSymbolMics
-{
-	value
+CmeSymbolMics
+{
+	value
 	{
 		cme_mic { key: "0A" value: NYMEX }
 		cme_mic { key: "0B" value: NYMEX }
@@ -3012,5 +3062,5 @@ CmeSymbolMics
 		cme_mic { key: "ZT" value: CBT }
 		cme_mic { key: "ZW" value: CBT }
 		cme_mic { key: "ZWT" value: CBT }
-	}
+	}
 }

src/lib_spark/spark/config/profiles/default/orderman_cfg.conf

@@ -30,5 +30,6 @@ OrdermanCfg {
 	    poll: false 
       hosted_actor: "*"
     }
+    fallback_cust_order_handling_inst: "Y"
   }
 }

src/lib_spark/spark/config/profiles/default/toggles.conf

@@ -5,9 +5,15 @@ FillsSoftCleanup {
 }
 
 OrdersSoftCleanup {
-   value {
-      enabled: true
-   }
+  value {
+     enabled: true
+  }
+}
+
+Mdp3OptionExpirationCutoff {
+  value {
+    max_days_until_expiration: 14
+  }
 }
 PlacementInQueue {
   value{

src/lib_spark/spark/config/protos/toggles.proto

@@ -32,11 +32,17 @@ message SoundNotifications {
   bool enabled = 1;
 }
 
-message FilterExpiredFills {
-  bool enabled = 1;
-}
-
-message VolumeAtPrice {
+message FilterExpiredFills {
+  bool enabled = 1;
+}
+
+// MDP3 will not publish CME options whose maturity is beyond this many days.
+// A value of zero disables this cutoff.
+message Mdp3OptionExpirationCutoff {
+  uint32 max_days_until_expiration = 1;
+}
+
+message VolumeAtPrice {
   bool enabled = 1;
 }
 
@@ -124,3 +130,8 @@ message VolSurfaceUsageUnit{
 message VolSurfaceUsage{
   repeated VolSurfaceUsageUnit items = 1;
 }
+
+message LogTrades{
+  string sec_name = 1;
+  bool log = 2;
+}

src/lib_spark/spark/jetfix/gateway/CoreGateway.cpp

@@ -10,6 +10,7 @@
 #include "spark/orderman/orderman_utils/orderman_common.h"
 #include "spark/tracing/bts_trace.h"
 #include "spark/utils/TimeStamp.h"
+#include "spark/utils/bts_assert.h"
 #include "spark/utils/bts_chrono.h"
 #include "spark/utils/datetime.h"
 #include "spark/utils/thread_manager.h"
@@ -97,7 +98,8 @@ struct CoreGateway::PImpl {
        : cfg(cfg), observer(observer), make_connection(conn_factory),
          make_store(store_factory), state(State::OFF), start_of_pause(),
          session_info(), event_queue(), timer_thread(), destroy(false),
-         is_on(false), has_replayed(false), send_batch(), recv_batch(),
+         is_on(false), has_replayed(false), gave_up_permanently(false),
+         send_batch(), recv_batch(),
          connection_attempts(0), perf_log(l) {
       send_batch.reserve(1024);
       recv_batch.reserve(1024);
@@ -116,6 +118,7 @@ struct CoreGateway::PImpl {
    std::atomic<bool> destroy;
    bool is_on;
    bool has_replayed;
+   bool gave_up_permanently;
    std::vector<EventData> send_batch;
    std::vector<EventData> recv_batch;
    uint32_t connection_attempts;
@@ -329,6 +332,11 @@ void CoreGateway::sync_session_ready(EventData const &) {
    case State::WSESSION_TERMINATE:
       break;
    case State::CONNECTING:
+      LOG(Jetfix, Info,
+          "Jetfix session {} is now READY after socket connect. attempts={} "
+          "max_attempts={}",
+          me->cfg.name(), me->connection_attempts,
+          me->cfg.max_connection_attempts());
       transition(State::READY);
       me->observer.ready();
       break;
@@ -346,10 +354,18 @@ void CoreGateway::sync_session_terminated(EventData const &) {
       break;
 
    case State::WSESSION_TERMINATE:
+      LOG(Jetfix, Warn,
+          "Session terminated callback received for {} while waiting for "
+          "reader disconnect. attempts_so_far={}",
+          me->cfg.name(), me->connection_attempts);
       pause_or_shutdown();
       break;
 
    case State::READY:
+      LOG(Jetfix, Warn,
+          "Session terminated for {} from READY. Closing socket and waiting "
+          "for reader disconnect.",
+          me->cfg.name());
       me->session_info->session.reset();
       me->session_info->connection->shutdown();
       transition(State::WREADER_DISCONNECT);
@@ -357,6 +373,10 @@ void CoreGateway::sync_session_terminated(EventData const &) {
       break;
 
    case State::CONNECTING:
+      LOG(Jetfix, Warn,
+          "Session terminated for {} during CONNECTING before READY. "
+          "Closing socket and waiting for reader disconnect.",
+          me->cfg.name());
       me->session_info->session.reset();
       me->session_info->connection->shutdown();
       transition(State::WREADER_DISCONNECT);
@@ -376,17 +396,28 @@ void CoreGateway::sync_reader_disconnected(EventData const &) {
       break;
 
    case State::READY:
+      LOG(Jetfix, Warn,
+          "Socket reader disconnected for {} from READY. "
+          "The exchange or network closed the TCP session.",
+          me->cfg.name());
       me->session_info->session.reset();
       me->observer.disconnect();
       transition(State::WSESSION_TERMINATE);
       break;
 
    case State::CONNECTING:
+      LOG(Jetfix, Warn,
+          "Socket reader disconnected for {} during CONNECTING before READY. "
+          "The TCP socket connected, but the session never completed logon.",
+          me->cfg.name());
       me->session_info->session.reset();
       transition(State::WSESSION_TERMINATE);
       break;
 
    case State::WREADER_DISCONNECT:
+      LOG(Jetfix, Info,
+          "Reader disconnect completed for {} after session shutdown.",
+          me->cfg.name());
       pause_or_shutdown();
       break;
 
@@ -430,27 +461,46 @@ void CoreGateway::sync_in_msg_sequenced(EventData const &ev) {
       bts_assert(false);
    }
 }
-
 void CoreGateway::sync_time(EventData const &ev) {
    switch (me->state) {
    case State::OFF:
       break;
    case State::PAUSED:
+      if (me->gave_up_permanently)
+         break;
+
       if (datetime::is_at_least_secs_old(
               me->start_of_pause, me->cfg.seconds_to_pause())) {
-         LOG(Jetfix, Info, "Pause period ended for jetfix connection {}",
-             me->cfg.name());
+         LOG(Jetfix, Info,
+             "Pause ended for jetfix connection {}. pause_secs={} "
+             "attempts_so_far={} max_attempts={} host={}:{} segment={} "
+             "session_window={}-{} {}-{} replayed={}",
+             me->cfg.name(), me->cfg.seconds_to_pause(),
+             me->connection_attempts, me->cfg.max_connection_attempts(),
+             me->cfg.socket_connect_host_ip(), me->cfg.socket_connect_port(),
+             me->cfg.cme_market_segment_id(), me->cfg.start_time(),
+             me->cfg.end_time(), me->cfg.start_day(), me->cfg.end_day(),
+             me->has_replayed);
          me->session_info = std::make_unique<SessionInfo>();
-
          me->session_info->store.reset(me->make_store(me->cfg));
-
-         if (me->session_info->store->session_active()) {
+         auto const session_active = me->session_info->store->session_active();
+         LOG(Jetfix, Info,
+             "Loaded FIX store for {}. session_active={} next_attempt={} "
+             "max_attempts={}",
+             me->cfg.name(), session_active, me->connection_attempts + 1,
+             me->cfg.max_connection_attempts());
+         if (session_active) {
             me->connection_attempts++;
-
+            LOG(Jetfix, Info,
+                "Attempting socket connect for jetfix connection {}. "
+                "attempt={} max_attempts={}",
+                me->cfg.name(), me->connection_attempts,
+                me->cfg.max_connection_attempts());
             if (!me->has_replayed) {
                auto msgs_to_replay = me->session_info->store->replay();
-               LOG(Jetfix, Warn, "Replaying {} FIX msgs",
-                   msgs_to_replay.size());
+               LOG(Jetfix, Warn,
+                   "Replaying {} FIX msgs for {} before reconnect",
+                   msgs_to_replay.size(), me->cfg.name());
                me->observer.replay(msgs_to_replay);
                me->has_replayed = true;
             }
@@ -458,14 +508,20 @@ void CoreGateway::sync_time(EventData const &ev) {
             if (me->connection_attempts > me->cfg.max_connection_attempts()) {
                me->session_info.reset();
                me->start_of_pause = datetime::now();
+               me->gave_up_permanently = true;
                LOG(Jetfix, Error,
                    "Failed to connect to exchange gateway {} too many "
-                   "times. Giving up permanently. You must bounce "
-                   "the server to recover.",
-                   me->cfg.name());
+                   "times. Giving up permanently. attempts={} "
+                   "max_attempts={} pause_secs={} host={}:{} segment={}. "
+                   "You must bounce the server to recover.",
+                   me->cfg.name(), me->connection_attempts,
+                   me->cfg.max_connection_attempts(),
+                   me->cfg.seconds_to_pause(),
+                   me->cfg.socket_connect_host_ip(),
+                   me->cfg.socket_connect_port(),
+                   me->cfg.cme_market_segment_id());
                break;
             }
-
             me->session_info->connection.reset(me->make_connection(me->cfg));
             LOG(Jetfix, Warn, "Trying to connect to exchange for {} ({}/{})",
                 me->cfg.name(), me->connection_attempts,
@@ -489,11 +545,18 @@ void CoreGateway::sync_time(EventData const &ev) {
                me->session_info.reset();
                me->start_of_pause = datetime::now();
                LOG(Jetfix, Warn,
-                   "Failed to connect to exchange for {}. ({}/{}) ",
+                   "Failed to connect to exchange for {}. ({}/{}) "
+                   "Will retry after {} seconds.",
                    me->cfg.name(), me->connection_attempts,
-                   me->cfg.max_connection_attempts());
+                   me->cfg.max_connection_attempts(),
+                   me->cfg.seconds_to_pause());
             }
          } else {
+            LOG(Jetfix, Warn,
+                "FIX store for {} is not active yet. Deferring reconnect. "
+                "session_window={}-{} {}-{}",
+                me->cfg.name(), me->cfg.start_time(), me->cfg.end_time(),
+                me->cfg.start_day(), me->cfg.end_day());
             me->session_info.reset();
             me->start_of_pause = datetime::now();
          }
@@ -516,6 +579,12 @@ void CoreGateway::pause_or_shutdown() {
 
    if (me->is_on) {
       me->start_of_pause = datetime::now();
+      LOG(Jetfix, Info,
+          "Pausing jetfix gateway {}. pause_secs={} attempts_so_far={} "
+          "max_attempts={} gave_up_permanently={}",
+          me->cfg.name(), me->cfg.seconds_to_pause(),
+          me->connection_attempts, me->cfg.max_connection_attempts(),
+          me->gave_up_permanently);
       transition(State::PAUSED);
    } else
       transition(State::OFF);

src/lib_spark/spark/jetfix/gateway/Session.cpp

@@ -114,6 +114,15 @@ void Session::start() {
    me->start_of_logon = me->now();
    me->last_seq_num = me->begin_of_this_session;
    me->last_seq_num_processed = me->store.last_seq_num_processed();
+   LOG(Jetfix, Info,
+       "Starting jetfix session {}. sender_compid={} sender_subid={} "
+       "target_compid={} target_subid={} secure_logon={} raw_data_len={} "
+       "user_name_present={} seq_num={} last_processed={}",
+       me->cfg.name(), me->cfg.sender_compid(), me->cfg.sender_subid(),
+       me->cfg.target_compid(), me->cfg.target_subid(),
+       me->cfg.use_cme_secure_logon(), me->cfg.raw_data().size(),
+       !me->cfg.user_name().empty(), me->last_seq_num + 1,
+       me->last_seq_num_processed);
    transition(State::WLOGON);
    internal_send(make_logon(
        me->last_seq_num + 1, me->last_seq_num_processed, *me->current_time,

src/lib_spark/spark/md/MDProducerHandle.cpp

@@ -1,4 +1,5 @@
 #include "spark/logging/logging.h"
+#include "spark/md/log_messages/trade_latency_log.h"
 #ifndef NO_CPP0X
 #include "MDProducerHandle.h"
 #include "common.h"
@@ -133,6 +134,10 @@ void MDProducerHandle::add_trade(
       trade.set_key(key());
       _channel.add_trade(trade);
    }
+
+   log_trade_latency(
+       TradeLatencyStage::SHM_WRITTEN, security(), tradetime, price, agside,
+       volume, from_spread);
 }
 void MDProducerHandle::set_last_trade(
     TimeStamp time,

src/lib_spark/spark/md/log_messages/trade_latency_log.h

@@ -0,0 +1,124 @@
+#pragma once
+
+#include "spark/config/config.h"
+#include "spark/config/protos/toggles.pb.h"
+#include "spark/core/FMT_IMPL.h"
+#include "spark/core/time_stamp.h"
+#include "spark/logging/logging.h"
+#include "spark/md/PriceSize.h"
+#include "spark/md/Shm/FixedSecurity.h"
+#include "spark/md/protos/aggressor_side.h"
+#include "spark/utils/datetime.h"
+
+#include <string>
+#include <cstdint>
+#include <utility>
+
+namespace bts::md {
+
+enum class TradeLatencyStage {
+   MDP3_RECEIVED,
+   SHM_WRITTEN,
+};
+
+inline const char *TradeLatencyStage_Name(TradeLatencyStage stage) {
+   switch (stage) {
+   case TradeLatencyStage::MDP3_RECEIVED:
+      return "mdp3_received";
+   case TradeLatencyStage::SHM_WRITTEN:
+      return "shm_written";
+   }
+   return "unknown";
+}
+
+inline std::string format_ll_datetime(datetime::LLDateTime ts) {
+   return datetime::iso_date_time_string(datetime::ll_to_ptime(ts));
+}
+
+inline bool should_log_trade_latency(const FixedSecurity &security) {
+   const auto &cfg = config::get<config::toggles::LogTrades>();
+   if (!cfg.log() || cfg.sec_name().empty()) {
+      return false;
+   }
+   return cfg.sec_name() == security.security_desc() ||
+          cfg.sec_name() == security.symbol();
+}
+
+struct TradeLatencyLog {
+   TradeLatencyStage stage;
+   std::string sec_name;
+   uint32_t security_key;
+   int64_t trade_ts_unix_ns;
+   std::string trade_ts_iso;
+   int64_t log_ts_unix_ns;
+   std::string log_ts_iso;
+   uint64_t monotonic_log_ts_ns;
+   int64_t exchange_to_log_us;
+   double price;
+   double quantity;
+   std::string aggressor_side;
+   uint32_t total_volume;
+   bool from_spread;
+
+   TradeLatencyLog(
+       TradeLatencyStage stage,
+       const FixedSecurity &security,
+       datetime::LLDateTime trade_ts,
+       core::TimeStamp log_ts,
+       utils::TimeStamp monotonic_log_ts,
+       const PriceSize &price_size,
+       co2::AggressorSide aggressor_side,
+       uint32_t total_volume,
+       bool from_spread)
+       : stage(stage), sec_name(security.security_desc()),
+         security_key(security.key), trade_ts_unix_ns(trade_ts),
+         trade_ts_iso(format_ll_datetime(trade_ts)),
+         log_ts_unix_ns(log_ts.nanos()), log_ts_iso(log_ts.to_iso_string()),
+         monotonic_log_ts_ns(monotonic_log_ts.to_uint64()),
+         exchange_to_log_us(
+             (log_ts - core::TimeStamp::from_ptime(datetime::ll_to_ptime(trade_ts)))
+                 .total_micros()),
+         price(price_size.price()), quantity(price_size.size()),
+         aggressor_side(co2::AggressorSide_Name(aggressor_side)),
+         total_volume(total_volume), from_spread(from_spread) {}
+};
+
+inline void log_trade_latency(
+    TradeLatencyStage stage,
+    const FixedSecurity &security,
+    datetime::LLDateTime trade_ts,
+    const PriceSize &price_size,
+    co2::AggressorSide aggressor_side,
+    uint32_t total_volume,
+    bool from_spread) {
+   if (!should_log_trade_latency(security)) {
+      return;
+   }
+   const auto log_ts = core::TimeStamp::now();
+   const auto monotonic_log_ts = utils::TimeStamp::now();
+   LOG(md, Info, "[trade_latency.json]{}",
+       TradeLatencyLog(
+           stage, security, trade_ts, log_ts, monotonic_log_ts, price_size,
+           aggressor_side, total_volume, from_spread));
+}
+
+} // namespace bts::md
+
+FMT_IMPL(
+    bts::md::TradeLatencyLog,
+    l,
+    R"({{ "stage": "{}", "sec": "{}", "key": {}, "tradeTsUnixNs": {}, "tradeTsIso": "{}", "logTsUnixNs": {}, "logTsIso": "{}", "logMonoNs": {}, "exchangeToLogUs": {}, "price": {}, "qty": {}, "agg": "{}", "totalVolume": {}, "fromSpread": {} }})",
+    bts::md::TradeLatencyStage_Name(l.stage),
+    l.sec_name,
+    l.security_key,
+    l.trade_ts_unix_ns,
+    l.trade_ts_iso,
+    l.log_ts_unix_ns,
+    l.log_ts_iso,
+    l.monotonic_log_ts_ns,
+    l.exchange_to_log_us,
+    l.price,
+    l.quantity,
+    l.aggressor_side,
+    l.total_volume,
+    l.from_spread);

src/lib_spark/spark/orderman/actors/FillStore.cpp

@@ -23,6 +23,7 @@
 #include "spark/utils/overloaded.h"
 
 #include <boost/date_time/posix_time/posix_time.hpp>
+#include <cctype>
 #include <google/protobuf/timestamp.pb.h>
 #include <string>
 #include <sys/time.h>
@@ -308,15 +309,60 @@ void FillStore::on_execution_report(
 
                auto exchange_ts = std::visit(
                    overloaded{
-                       [](const orderman::ExchangeTimeStampStr &ts) {
-                          return utils::pb::to_timestamp(
+                       [&](const orderman::ExchangeTimeStampStr &ts) {
+                          auto gts = utils::pb::to_timestamp(
                               datetime::parse_FIX_timestamp(to_str(ts)));
+                          const std::string ts_str = to_str(ts);
+                          try {
+                             const auto dot_pos = ts_str.find('.');
+                             if (dot_pos != std::string::npos) {
+                                std::string frac_digits;
+                                for (std::size_t i = dot_pos + 1;
+                                     i < ts_str.size() &&
+                                     std::isdigit(static_cast<unsigned char>(
+                                         ts_str[i]));
+                                     ++i) {
+                                   frac_digits.push_back(ts_str[i]);
+                                }
+
+                                if (!frac_digits.empty()) {
+                                   if (frac_digits.size() > 9) {
+                                      frac_digits.resize(9);
+                                   }
+                                   while (frac_digits.size() < 9) {
+                                      frac_digits.push_back('0');
+                                   }
+                                   gts.set_nanos(
+                                       static_cast<int32_t>(
+                                           std::stoul(frac_digits)));
+                                }
+                             }
+                          } catch (const std::exception &e) {
+                             WARN_FN(
+                                 "on_execution_report",
+                                 "fill {} transact_time(str) raw='{}' "
+                                 "failed to inspect fractional nanos: {}",
+                                 fk, ts_str, std::string(e.what()));
+                          }
+                          INFO_FN(
+                              "on_execution_report",
+                              "fill {} transact_time(str) raw='{}' "
+                              "converted_seconds={} converted_nanos={}",
+                              fk, ts_str, gts.seconds(), gts.nanos());
+                          return gts;
                        },
-                       [](ExchangeTimeStamp64 ts) {
+                       [&](ExchangeTimeStamp64 ts) {
                           google::protobuf::Timestamp gts;
-                          auto seconds = ts.value() / 1E9;
+                          static constexpr std::uint64_t nanos_per_second =
+                              1'000'000'000ULL;
+                          auto seconds = ts.value() / nanos_per_second;
                           gts.set_seconds(seconds);
-                          gts.set_nanos(ts.value() - (seconds * 1E9));
+                          gts.set_nanos(ts.value() % nanos_per_second);
+                          INFO_FN(
+                              "on_execution_report",
+                              "fill {} transact_time(u64) raw_ns={} "
+                              "converted_seconds={} converted_nanos={}",
+                              fk, ts.value(), gts.seconds(), gts.nanos());
                           return gts;
                        }},
                    er.transact_time);

src/lib_spark/spark/orderman/ilink3/IL3GW.cpp

@@ -47,7 +47,7 @@ IL3GW::IL3GW(
     : _config(conf), _x_state(State::INIT), _buffer(buffer),
       _on_state_change([](auto) {}), _on_exe_report([](auto) {}),
       _on_session_change([](auto) {}), _connection(con), _session(session),
-      _msg_count(0), _time(), _pool(), _exe_parser(cfg, db), _retransmit() {
+      _msg_count(0), _time(), _pool("IL3GW_rprts", 1024*2, 100), _exe_parser(cfg, db), _retransmit() {
    LOG(OrderMan, Info,
        "IL3GW::IL3GW cme_session: {} uuid: {} to_cme: {} from_cme: {}",
        _config.cme_session, _session.uuid, _session.to_cme, _session.from_cme);
@@ -179,15 +179,10 @@ uint64_t IL3GW::send_party_details(const api::orderman::RoutingRecord &route) {
    using namespace iLinkBinary;
 
    auto msg = _buffer.frame<PartyDetailsDefinitionRequest518>(
-       // 2 repeating group header.
-       // 1 for party details and 1 for trade reg
-       // This seems unsafe but the api doesn't seem to want you to know how to
-       // size buffers ahead of time
-       2 * PartyDetailsDefinitionRequest518::NoPartyDetails::sbeHeaderSize() +
-       // N * size of each block
-       3 * PartyDetailsDefinitionRequest518::NoPartyDetails::sbeBlockLength() +
-       0 * PartyDetailsDefinitionRequest518::NoTrdRegPublications::
-               sbeBlockLength());
+       // Use the generated helper so group sizing stays in sync with the
+       // active schema when CME updates the template layout.
+       PartyDetailsDefinitionRequest518::computeLength(3, 0) -
+       PartyDetailsDefinitionRequest518::sbeBlockLength());
    msg.partyDetailsListReqID(0);
    msg.sendingTimeEpoch(_time.now());
    msg.listUpdateAction(ListUpdAct::Add);
@@ -637,8 +632,13 @@ void IL3GW::handle(
    handle_common(msg);
 }
 void IL3GW::handle(const iLinkBinary::BusinessReject521 &msg) {
-   LOG(iLink3, Error, "Business Reject: {} '{}'.", msg.businessRejectReason(),
-       string{translate_business_reject_reason(msg.businessRejectReason())});
+   LOG(iLink3, Error,
+       "Business Reject: reason={} '{}' ref_seq={} ref_tag={} ref_msg_type='{}' "
+       "ref_id={} text='{}'",
+       msg.businessRejectReason(),
+       string{translate_business_reject_reason(msg.businessRejectReason())},
+       msg.refSeqNum(), msg.refTagID(), msg.getRefMsgTypeAsStringView(),
+       msg.businessRejectRefID(), msg.getTextAsStringView());
    handle_common(msg);
    // A business reject can de-sync the sequence number because it rejects
    // the sequence number of the rejected message. Send a sequence message

src/lib_spark/spark/orderman/ilink3/IL3Parser.cpp

@@ -70,9 +70,35 @@ bool IL3Parser::parse_common(const T &msg, ExecutionReport *data) {
    data->ice_cl_ord_id = 0;
    data->ice_company_id = 0;
    data->cfg = cfg;
+   data->fill_agg_flag = api::orderman::PASSIVE;
    return true;
 }
 
+template <class T>
+void IL3Parser::parse_fill_aggressor(const T &, ExecutionReport *data) {
+   data->fill_agg_flag = api::orderman::PASSIVE;
+}
+
+template <>
+void IL3Parser::parse_fill_aggressor(
+    const iLinkBinary::ExecutionReportTradeOutright525 &msg,
+    ExecutionReport *data) {
+   data->fill_agg_flag =
+       msg.aggressorIndicator() == iLinkBinary::BooleanFlag::True
+           ? api::orderman::AGGRESSOR
+           : api::orderman::PASSIVE;
+}
+
+template <>
+void IL3Parser::parse_fill_aggressor(
+    const iLinkBinary::ExecutionReportTradeSpread526 &msg,
+    ExecutionReport *data) {
+   data->fill_agg_flag =
+       msg.aggressorIndicator() == iLinkBinary::BooleanFlag::True
+           ? api::orderman::AGGRESSOR
+           : api::orderman::PASSIVE;
+}
+
 template <class T>
 void IL3Parser::parse_trade(const T &msg, ExecutionReport *data) {
    data->exchange_fill_id->copy_from(msg.getExecIDAsStringView());
@@ -103,6 +129,7 @@ void IL3Parser::parse_trade(const T &msg, ExecutionReport *data) {
           Price{price.mantissa() * md::pow10(price.exponent())});
    }
    data->filled_quantity = Quantity{msg.cumQty()};
+   parse_fill_aggressor(msg, data);
 }
 
 bool IL3Parser::has_account() const {

src/lib_spark/spark/orderman/ilink3/IL3Parser.h

@@ -47,6 +47,8 @@ class IL3Parser {
  private:
    template <class T> bool parse_common(const T &, ExecutionReport *);
    template <class T> void parse_trade(const T &, ExecutionReport *);
+   template <class T>
+   void parse_fill_aggressor(const T &, ExecutionReport *);
 };
 
 bool parse_report(const std::string &, IL3Parser &, ExecutionReport *);

src/lib_spark/spark/orderman/ilink3/generated/BusinessReject521.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -168,7 +170,7 @@ public:
     static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(330);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(521);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/CmtaGiveUpCD.h

@@ -32,7 +32,7 @@ public:
     {
         GiveUp = static_cast<char>(71),
         SGXoffset = static_cast<char>(83),
-        NULL_VALUE = static_cast<char>(0x00)
+        NULL_VALUE = static_cast<char>(0)
     };
 
     static CmtaGiveUpCD::Value get(const char value)
@@ -41,7 +41,7 @@ public:
         {
             case static_cast<char>(71): return GiveUp;
             case static_cast<char>(83): return SGXoffset;
-            case static_cast<char>(0x00): return NULL_VALUE;
+            case static_cast<char>(0): return NULL_VALUE;
         }
 
         throw std::runtime_error("unknown value for enum CmtaGiveUpCD [E103]");

src/lib_spark/spark/orderman/ilink3/generated/CrossTypeEnum.h

@@ -0,0 +1,75 @@
+/* Generated SBE (Simple Binary Encoding) message codec */
+#ifndef _ILINKBINARY_CROSSTYPEENUM_H_
+#define _ILINKBINARY_CROSSTYPEENUM_H_
+
+#if !defined(__STDC_LIMIT_MACROS)
+#  define __STDC_LIMIT_MACROS 1
+#endif
+
+#include <cstdint>
+#include <iomanip>
+#include <limits>
+#include <ostream>
+#include <stdexcept>
+#include <sstream>
+#include <string>
+
+#define SBE_NULLVALUE_INT8 (std::numeric_limits<std::int8_t>::min)()
+#define SBE_NULLVALUE_INT16 (std::numeric_limits<std::int16_t>::min)()
+#define SBE_NULLVALUE_INT32 (std::numeric_limits<std::int32_t>::min)()
+#define SBE_NULLVALUE_INT64 (std::numeric_limits<std::int64_t>::min)()
+#define SBE_NULLVALUE_UINT8 (std::numeric_limits<std::uint8_t>::max)()
+#define SBE_NULLVALUE_UINT16 (std::numeric_limits<std::uint16_t>::max)()
+#define SBE_NULLVALUE_UINT32 (std::numeric_limits<std::uint32_t>::max)()
+#define SBE_NULLVALUE_UINT64 (std::numeric_limits<std::uint64_t>::max)()
+
+namespace iLinkBinary {
+
+class CrossTypeEnum
+{
+public:
+    enum Value
+    {
+        Cross = static_cast<std::uint8_t>(3),
+        RCross = static_cast<std::uint8_t>(20),
+        CCross = static_cast<std::uint8_t>(21),
+        NULL_VALUE = static_cast<std::uint8_t>(255)
+    };
+
+    static CrossTypeEnum::Value get(const std::uint8_t value)
+    {
+        switch (value)
+        {
+            case static_cast<std::uint8_t>(3): return Cross;
+            case static_cast<std::uint8_t>(20): return RCross;
+            case static_cast<std::uint8_t>(21): return CCross;
+            case static_cast<std::uint8_t>(255): return NULL_VALUE;
+        }
+
+        throw std::runtime_error("unknown value for enum CrossTypeEnum [E103]");
+    }
+
+    static const char *c_str(const CrossTypeEnum::Value value)
+    {
+        switch (value)
+        {
+            case Cross: return "Cross";
+            case RCross: return "RCross";
+            case CCross: return "CCross";
+            case NULL_VALUE: return "NULL_VALUE";
+        }
+
+        throw std::runtime_error("unknown value for enum CrossTypeEnum [E103]:");
+    }
+
+    template<typename CharT, typename Traits>
+    friend std::basic_ostream<CharT, Traits> & operator << (
+        std::basic_ostream<CharT, Traits> &os, CrossTypeEnum::Value m)
+    {
+        return os << CrossTypeEnum::c_str(m);
+    }
+};
+
+}
+
+#endif

src/lib_spark/spark/orderman/ilink3/generated/CustOrdHandlInst.h

@@ -36,7 +36,7 @@ public:
         AlgoEngine = static_cast<char>(72),
         DeskElectronic = static_cast<char>(87),
         ClientElectronic = static_cast<char>(89),
-        NULL_VALUE = static_cast<char>(48)
+        NULL_VALUE = static_cast<char>(0)
     };
 
     static CustOrdHandlInst::Value get(const char value)
@@ -49,7 +49,7 @@ public:
             case static_cast<char>(72): return AlgoEngine;
             case static_cast<char>(87): return DeskElectronic;
             case static_cast<char>(89): return ClientElectronic;
-            case static_cast<char>(48): return NULL_VALUE;
+            case static_cast<char>(0): return NULL_VALUE;
         }
 
         throw std::runtime_error("unknown value for enum CustOrdHandlInst [E103]");

src/lib_spark/spark/orderman/ilink3/generated/DATA.h

@@ -194,7 +194,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static const char *lengthMetaAttribute(const MetaAttribute metaAttribute) SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/DKReason.h

@@ -38,7 +38,7 @@ public:
         CalculationDifference = static_cast<char>(70),
         NoMatchingExecutionReport = static_cast<char>(71),
         Other = static_cast<char>(90),
-        NULL_VALUE = static_cast<char>(48)
+        NULL_VALUE = static_cast<char>(0)
     };
 
     static DKReason::Value get(const char value)
@@ -53,7 +53,7 @@ public:
             case static_cast<char>(70): return CalculationDifference;
             case static_cast<char>(71): return NoMatchingExecutionReport;
             case static_cast<char>(90): return Other;
-            case static_cast<char>(48): return NULL_VALUE;
+            case static_cast<char>(0): return NULL_VALUE;
         }
 
         throw std::runtime_error("unknown value for enum DKReason [E103]");

src/lib_spark/spark/orderman/ilink3/generated/Decimal32NULL.h

@@ -194,7 +194,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static const char *mantissaMetaAttribute(const MetaAttribute metaAttribute) SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/Decimal64NULL.h

@@ -194,7 +194,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static const char *mantissaMetaAttribute(const MetaAttribute metaAttribute) SBE_NOEXCEPT
@@ -213,7 +213,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint64_t mantissaSinceVersion() SBE_NOEXCEPT
     {
-        return 6;
+        return 9;
     }
 
     SBE_NODISCARD bool mantissaInActingVersion() SBE_NOEXCEPT
@@ -255,7 +255,7 @@ public:
 
     SBE_NODISCARD std::int64_t mantissa() const SBE_NOEXCEPT
     {
-        if (m_actingVersion < 6)
+        if (m_actingVersion < 9)
         {
             return INT64_C(9223372036854775807);
         }
@@ -288,7 +288,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint64_t exponentSinceVersion() SBE_NOEXCEPT
     {
-        return 6;
+        return 9;
     }
 
     SBE_NODISCARD bool exponentInActingVersion() SBE_NOEXCEPT
@@ -330,7 +330,7 @@ public:
 
     SBE_NODISCARD std::int8_t exponent() const SBE_NOEXCEPT
     {
-        if (m_actingVersion < 6)
+        if (m_actingVersion < 9)
         {
             return static_cast<std::int8_t>(127);
         }

src/lib_spark/spark/orderman/ilink3/generated/Establish503.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -168,7 +170,7 @@ public:
     static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(132);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(503);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/EstablishmentAck504.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -165,10 +167,10 @@ private:
     }
 
 public:
-    static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(38);
+    static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(39);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(504);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -222,7 +224,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeBlockLength() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(38);
+        return static_cast<std::uint16_t>(39);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint64_t sbeBlockAndHeaderLength() SBE_NOEXCEPT
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT
@@ -968,6 +970,82 @@ public:
         return *this;
     }
 
+    SBE_NODISCARD static const char *EnvironmentIndicatorMetaAttribute(const MetaAttribute metaAttribute) SBE_NOEXCEPT
+    {
+        switch (metaAttribute)
+        {
+            case MetaAttribute::SEMANTIC_TYPE: return "int";
+            case MetaAttribute::PRESENCE: return "optional";
+            default: return "";
+        }
+    }
+
+    static SBE_CONSTEXPR std::uint16_t environmentIndicatorId() SBE_NOEXCEPT
+    {
+        return 39032;
+    }
+
+    SBE_NODISCARD static SBE_CONSTEXPR std::uint64_t environmentIndicatorSinceVersion() SBE_NOEXCEPT
+    {
+        return 9;
+    }
+
+    SBE_NODISCARD bool environmentIndicatorInActingVersion() SBE_NOEXCEPT
+    {
+#if defined(__clang__)
+#pragma clang diagnostic push
+#pragma clang diagnostic ignored "-Wtautological-compare"
+#endif
+        return m_actingVersion >= environmentIndicatorSinceVersion();
+#if defined(__clang__)
+#pragma clang diagnostic pop
+#endif
+    }
+
+    SBE_NODISCARD static SBE_CONSTEXPR std::size_t environmentIndicatorEncodingOffset() SBE_NOEXCEPT
+    {
+        return 38;
+    }
+
+    static SBE_CONSTEXPR std::uint8_t environmentIndicatorNullValue() SBE_NOEXCEPT
+    {
+        return static_cast<std::uint8_t>(255);
+    }
+
+    static SBE_CONSTEXPR std::uint8_t environmentIndicatorMinValue() SBE_NOEXCEPT
+    {
+        return static_cast<std::uint8_t>(0);
+    }
+
+    static SBE_CONSTEXPR std::uint8_t environmentIndicatorMaxValue() SBE_NOEXCEPT
+    {
+        return static_cast<std::uint8_t>(254);
+    }
+
+    static SBE_CONSTEXPR std::size_t environmentIndicatorEncodingLength() SBE_NOEXCEPT
+    {
+        return 1;
+    }
+
+    SBE_NODISCARD std::uint8_t environmentIndicator() const SBE_NOEXCEPT
+    {
+        if (m_actingVersion < 9)
+        {
+            return static_cast<std::uint8_t>(255);
+        }
+
+        std::uint8_t val;
+        std::memcpy(&val, m_buffer + m_offset + 38, sizeof(std::uint8_t));
+        return (val);
+    }
+
+    EstablishmentAck504 &environmentIndicator(const std::uint8_t value) SBE_NOEXCEPT
+    {
+        std::uint8_t val = (value);
+        std::memcpy(m_buffer + m_offset + 38, &val, sizeof(std::uint8_t));
+        return *this;
+    }
+
 template<typename CharT, typename Traits>
 friend std::basic_ostream<CharT, Traits> & operator << (
     std::basic_ostream<CharT, Traits> &builder, EstablishmentAck504 _writer)
@@ -1020,6 +1098,10 @@ friend std::basic_ostream<CharT, Traits> & operator << (
     builder << R"("SplitMsg": )";
     builder << '"' << writer.splitMsg() << '"';
 
+    builder << ", ";
+    builder << R"("EnvironmentIndicator": )";
+    builder << +writer.environmentIndicator();
+
     builder << '}';
 
     return builder;

src/lib_spark/spark/orderman/ilink3/generated/EstablishmentReject505.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -165,10 +167,10 @@ private:
     }
 
 public:
-    static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(72);
+    static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(73);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(505);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -222,7 +224,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeBlockLength() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(72);
+        return static_cast<std::uint16_t>(73);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint64_t sbeBlockAndHeaderLength() SBE_NOEXCEPT
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT
@@ -961,6 +963,82 @@ public:
         return *this;
     }
 
+    SBE_NODISCARD static const char *EnvironmentIndicatorMetaAttribute(const MetaAttribute metaAttribute) SBE_NOEXCEPT
+    {
+        switch (metaAttribute)
+        {
+            case MetaAttribute::SEMANTIC_TYPE: return "int";
+            case MetaAttribute::PRESENCE: return "optional";
+            default: return "";
+        }
+    }
+
+    static SBE_CONSTEXPR std::uint16_t environmentIndicatorId() SBE_NOEXCEPT
+    {
+        return 39032;
+    }
+
+    SBE_NODISCARD static SBE_CONSTEXPR std::uint64_t environmentIndicatorSinceVersion() SBE_NOEXCEPT
+    {
+        return 9;
+    }
+
+    SBE_NODISCARD bool environmentIndicatorInActingVersion() SBE_NOEXCEPT
+    {
+#if defined(__clang__)
+#pragma clang diagnostic push
+#pragma clang diagnostic ignored "-Wtautological-compare"
+#endif
+        return m_actingVersion >= environmentIndicatorSinceVersion();
+#if defined(__clang__)
+#pragma clang diagnostic pop
+#endif
+    }
+
+    SBE_NODISCARD static SBE_CONSTEXPR std::size_t environmentIndicatorEncodingOffset() SBE_NOEXCEPT
+    {
+        return 72;
+    }
+
+    static SBE_CONSTEXPR std::uint8_t environmentIndicatorNullValue() SBE_NOEXCEPT
+    {
+        return static_cast<std::uint8_t>(255);
+    }
+
+    static SBE_CONSTEXPR std::uint8_t environmentIndicatorMinValue() SBE_NOEXCEPT
+    {
+        return static_cast<std::uint8_t>(0);
+    }
+
+    static SBE_CONSTEXPR std::uint8_t environmentIndicatorMaxValue() SBE_NOEXCEPT
+    {
+        return static_cast<std::uint8_t>(254);
+    }
+
+    static SBE_CONSTEXPR std::size_t environmentIndicatorEncodingLength() SBE_NOEXCEPT
+    {
+        return 1;
+    }
+
+    SBE_NODISCARD std::uint8_t environmentIndicator() const SBE_NOEXCEPT
+    {
+        if (m_actingVersion < 9)
+        {
+            return static_cast<std::uint8_t>(255);
+        }
+
+        std::uint8_t val;
+        std::memcpy(&val, m_buffer + m_offset + 72, sizeof(std::uint8_t));
+        return (val);
+    }
+
+    EstablishmentReject505 &environmentIndicator(const std::uint8_t value) SBE_NOEXCEPT
+    {
+        std::uint8_t val = (value);
+        std::memcpy(m_buffer + m_offset + 72, &val, sizeof(std::uint8_t));
+        return *this;
+    }
+
 template<typename CharT, typename Traits>
 friend std::basic_ostream<CharT, Traits> & operator << (
     std::basic_ostream<CharT, Traits> &builder, EstablishmentReject505 _writer)
@@ -1006,6 +1084,10 @@ friend std::basic_ostream<CharT, Traits> & operator << (
     builder << R"("SplitMsg": )";
     builder << '"' << writer.splitMsg() << '"';
 
+    builder << ", ";
+    builder << R"("EnvironmentIndicator": )";
+    builder << +writer.environmentIndicator();
+
     builder << '}';
 
     return builder;

src/lib_spark/spark/orderman/ilink3/generated/ExecInst.h

@@ -194,7 +194,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     ExecInst &clear()

src/lib_spark/spark/orderman/ilink3/generated/ExecMode.h

@@ -32,7 +32,7 @@ public:
     {
         Aggressive = static_cast<char>(65),
         Passive = static_cast<char>(80),
-        NULL_VALUE = static_cast<char>(0x00)
+        NULL_VALUE = static_cast<char>(0)
     };
 
     static ExecMode::Value get(const char value)
@@ -41,7 +41,7 @@ public:
         {
             case static_cast<char>(65): return Aggressive;
             case static_cast<char>(80): return Passive;
-            case static_cast<char>(0x00): return NULL_VALUE;
+            case static_cast<char>(0): return NULL_VALUE;
         }
 
         throw std::runtime_error("unknown value for enum ExecMode [E103]");

src/lib_spark/spark/orderman/ilink3/generated/ExecutionAck539.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -168,7 +170,7 @@ public:
     static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(101);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(539);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/ExecutionReportCancel534.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -168,7 +170,7 @@ public:
     static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(247);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(534);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/ExecutionReportElimination524.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -168,7 +170,7 @@ public:
     static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(219);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(524);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/ExecutionReportModify531.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -168,7 +170,7 @@ public:
     static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(226);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(531);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/ExecutionReportNew522.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -168,7 +170,7 @@ public:
     static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(226);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(522);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/ExecutionReportPendingCancel564.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -168,7 +170,7 @@ public:
     static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(219);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(564);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/ExecutionReportPendingReplace565.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -168,7 +170,7 @@ public:
     static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(196);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(565);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/ExecutionReportReject523.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -168,7 +170,7 @@ public:
     static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(483);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(523);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/ExecutionReportStatus532.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -168,7 +170,7 @@ public:
     static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(513);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(532);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT

src/lib_spark/spark/orderman/ilink3/generated/ExecutionReportTradeAddendumOutright548.h

@@ -127,7 +127,9 @@
 #include "QuoteAckStatus.h"
 #include "ExpCycle.h"
 #include "MassCancelTIF.h"
+#include "Side.h"
 #include "OrderStatus.h"
+#include "CrossTypeEnum.h"
 #include "ShortSaleType.h"
 #include "PartyDetailRole.h"
 #include "MassActionScope.h"
@@ -165,10 +167,10 @@ private:
     }
 
 public:
-    static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(222);
+    static const std::uint16_t SBE_BLOCK_LENGTH = static_cast<std::uint16_t>(266);
     static const std::uint16_t SBE_TEMPLATE_ID = static_cast<std::uint16_t>(548);
     static const std::uint16_t SBE_SCHEMA_ID = static_cast<std::uint16_t>(8);
-    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(8);
+    static const std::uint16_t SBE_SCHEMA_VERSION = static_cast<std::uint16_t>(9);
 
     enum MetaAttribute
     {
@@ -222,7 +224,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeBlockLength() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(222);
+        return static_cast<std::uint16_t>(266);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint64_t sbeBlockAndHeaderLength() SBE_NOEXCEPT
@@ -242,7 +244,7 @@ public:
 
     SBE_NODISCARD static SBE_CONSTEXPR std::uint16_t sbeSchemaVersion() SBE_NOEXCEPT
     {
-        return static_cast<std::uint16_t>(8);
+        return static_cast<std::uint16_t>(9);
     }
 
     SBE_NODISCARD static SBE_CONSTEXPR const char *sbeSemanticType() SBE_NOEXCEPT
@@ -3110,7 +3112,7 @@ public:
     {
         switch (metaAttribute)
         {
-            case MetaAttribute::SEMANTIC_TYPE: return "int";
+            case MetaAttribute::SEMANTIC_TYPE: return "Qty";
             case MetaAttribute::PRESENCE: return "required";
             default: return "";
         }
@@ -3157,7 +3159,7 @@ public:
     {
         switch (metaAttribute)
         {
-            case MetaAttribute::SEMANTIC_TYPE: return "int";
+            case MetaAttribute::SEMANTIC_TYPE: return "Qty";
             case MetaAttribute::PRESENCE: return "required";
             default: return "";
         }
@@ -3247,6 +3249,313 @@ public:
         return m_benchmarkPrice;
     }
 
+    SBE_NODISCARD static const char *MDTradeEntryIDMetaAttribute(const MetaAttribute metaAttribute) SBE_NOEXCEPT
+    {
+        switch (metaAttribute)
+        {
+            case MetaAttribute::SEMANTIC_TYPE: return "int";
+            case MetaAttribute::PRESENCE: return "required";
+            default: return "";
+        }
+    }
+
+    static SBE_CONSTEXPR std::uint16_t mDTradeEntryIDId() SBE_NOEXCEPT
+    {
+        return 37711;
+    }
+
+    SBE_NODISCARD static SBE_CONSTEXPR std::uint64_t mDTradeEntryIDSinceVersion() SBE_NOEXCEPT
+    {
+        return 9;
+    }
+
+    SBE_NODISCARD bool mDTradeEntryIDInActingVersion() SBE_NOEXCEPT
+    {
+#if defined(__clang__)
+#pragma clang diagnostic push
+#pragma clang diagnostic ignored "-Wtautological-compare"
+#endif
+        return m_actingVersion >= mDTradeEntryIDSinceVersion();
+#if defined(__clang__)
+#pragma clang diagnostic pop
+#endif
+    }
+
+    SBE_NODISCARD static SBE_CONSTEXPR std::size_t mDTradeEntryIDEncodingOffset() SBE_NOEXCEPT
+    {
+        return 222;
+    }
+
+    static SBE_CONSTEXPR std::uint32_t mDTradeEntryIDNullValue() SBE_NOEXCEPT
+    {
+        return SBE_NULLVALUE_UINT32;
+    }
+
+    static SBE_CONSTEXPR std::uint32_t mDTradeEntryIDMinValue() SBE_NOEXCEPT
+    {
+        return UINT32_C(0x0);
+    }
+
+    static SBE_CONSTEXPR std::uint32_t mDTradeEntryIDMaxValue() SBE_NOEXCEPT
+    {
+        return UINT32_C(0xfffffffe);
+    }
+
+    static SBE_CONSTEXPR std::size_t mDTradeEntryIDEncodingLength() SBE_NOEXCEPT
+    {
+        return 4;
+    }
+
+    SBE_NODISCARD std::uint32_t mDTradeEntryID() const SBE_NOEXCEPT
+    {
+        if (m_actingVersion < 9)
+        {
+            return UINT32_C(0xffffffff);
+        }
+
+        std::uint32_t val;
+        std::memcpy(&val, m_buffer + m_offset + 222, sizeof(std::uint32_t));
+        return SBE_LITTLE_ENDIAN_ENCODE_32(val);
+    }
+
+    ExecutionReportTradeAddendumOutright548 &mDTradeEntryID(const std::uint32_t value) SBE_NOEXCEPT
+    {
+        std::uint32_t val = SBE_LITTLE_ENDIAN_ENCODE_32(value);
+        std::memcpy(m_buffer + m_offset + 222, &val, sizeof(std::uint32_t));
+        return *this;
+    }
+
+    SBE_NODISCARD static const char *ExecRefIDMetaAttribute(const MetaAttribute metaAttribute) SBE_NOEXCEPT
+    {
+        switch (metaAttribute)
+        {
+            case MetaAttribute::SEMANTIC_TYPE: return "String";
+            case MetaAttribute::PRESENCE: return "required";
+            default: return "";
+        }
+    }
+
+    static SBE_CONSTEXPR std::uint16_t execRefIDId() SBE_NOEXCEPT
+    {
+        return 19;
+    }
+
+    SBE_NODISCARD static SBE_CONSTEXPR std::uint64_t execRefIDSinceVersion() SBE_NOEXCEPT
+    {
+        return 9;
+    }
+
+    SBE_NODISCARD bool execRefIDInActingVersion() SBE_NOEXCEPT
+    {
+#if defined(__clang__)
+#pragma clang diagnostic push
+#pragma clang diagnostic ignored "-Wtautological-compare"
+#endif
+        return m_actingVersion >= execRefIDSinceVersion();
+#if defined(__clang__)
+#pragma clang diagnostic pop
+#endif
+    }
+
+    SBE_NODISCARD static SBE_CONSTEXPR std::size_t execRefIDEncodingOffset() SBE_NOEXCEPT
+    {
+        return 226;
+    }
+
+    static SBE_CONSTEXPR char execRefIDNullValue() SBE_NOEXCEPT
+    {
+        return static_cast<char>(0);
+    }
+
+    static SBE_CONSTEXPR char execRefIDMinValue() SBE_NOEXCEPT
+    {
+        return static_cast<char>(32);
+    }
+
+    static SBE_CONSTEXPR char execRefIDMaxValue() SBE_NOEXCEPT
+    {
+        return static_cast<char>(126);
+    }
+
+    static SBE_CONSTEXPR std::size_t execRefIDEncodingLength() SBE_NOEXCEPT
+    {
+        return 40;
+    }
+
+    static SBE_CONSTEXPR std::uint64_t execRefIDLength() SBE_NOEXCEPT
+    {
+        return 40;
+    }
+
+    SBE_NODISCARD const char *execRefID() const SBE_NOEXCEPT
+    {
+        if (m_actingVersion < 9)
+        {
+            return nullptr;
+        }
+
+        return m_buffer + m_offset + 226;
+    }
+
+    SBE_NODISCARD char *execRefID() SBE_NOEXCEPT
+    {
+        if (m_actingVersion < 9)
+        {
+            return nullptr;
+        }
+
+        return m_buffer + m_offset + 226;
+    }
+
+    SBE_NODISCARD char execRefID(const std::uint64_t index) const
+    {
+        if (index >= 40)
+        {
+            throw std::runtime_error("index out of range for execRefID [E104]");
+        }
+
+        if (m_actingVersion < 9)
+        {
+            return static_cast<char>(0);
+        }
+
+        char val;
+        std::memcpy(&val, m_buffer + m_offset + 226 + (index * 1), sizeof(char));
+        return (val);
+    }
+
+    ExecutionReportTradeAddendumOutright548 &execRefID(const std::uint64_t index, const char value)
+    {
+        if (index >= 40)
+        {
+            throw std::runtime_error("index out of range for execRefID [E105]");
+        }
+
+        char val = (value);
+        std::memcpy(m_buffer + m_offset + 226 + (index * 1), &val, sizeof(char));
+        return *this;
+    }
+
+    std::uint64_t getExecRefID(char *const dst, const std::uint64_t length) const
+    {
+        if (length > 40)
+        {
+            throw std::runtime_error("length too large for getExecRefID [E106]");
+        }
+
+        if (m_actingVersion < 9)
+        {
+            return 0;
+        }
+
+        std::memcpy(dst, m_buffer + m_offset + 226, sizeof(char) * static_cast<std::size_t>(length));
+        return length;
+    }
+
+    ExecutionReportTradeAddendumOutright548 &putExecRefID(const char *const src) SBE_NOEXCEPT
+    {
+        std::memcpy(m_buffer + m_offset + 226, src, sizeof(char) * 40);
+        return *this;
+    }
+
+    SBE_NODISCARD std::string getExecRefIDAsString() const
+    {
+        const char *buffer = m_buffer + m_offset + 226;
+        std::size_t length = 0;
+
+        for (; length < 40 && *(buffer + length) != '\0'; ++length);
+        std::string result(buffer, length);
+
+        return result;
+    }
+
+    std::string getExecRefIDAsJsonEscapedString()
+    {
+        if (m_actingVersion < 9)
+        {
+            return std::string("");
+        }
+
+        std::ostringstream oss;
+        std::string s = getExecRefIDAsString();
+
+        for (const auto c : s)
+        {
+            switch (c)
+            {
+                case '"': oss << "\\\""; break;
+                case '\\': oss << "\\\\"; break;
+                case '\b': oss << "\\b"; break;
+                case '\f': oss << "\\f"; break;
+                case '\n': oss << "\\n"; break;
+                case '\r': oss << "\\r"; break;
+                case '\t': oss << "\\t"; break;
+
+                default:
+                    if ('\x00' <= c && c <= '\x1f')
+                    {
+                        oss << "\\u" << std::hex << std::setw(4)
+                            << std::setfill('0') << (int)(c);
+                    }
+                    else
+                    {
+                        oss << c;
+                    }
+            }
+        }
+
+        return oss.str();
+    }
+
+    #if __cplusplus >= 201703L
+    SBE_NODISCARD std::string_view getExecRefIDAsStringView() const SBE_NOEXCEPT
+    {
+        const char *buffer = m_buffer + m_offset + 226;
+        std::size_t length = 0;
+
+        for (; length < 40 && *(buffer + length) != '\0'; ++length);
+        std::string_view result(buffer, length);
+
+        return result;
+    }
+    #endif
+
+    #if __cplusplus >= 201703L
+    ExecutionReportTradeAddendumOutright548 &putExecRefID(const std::string_view str)
+    {
+        const std::size_t srcLength = str.length();
+        if (srcLength > 40)
+        {
+            throw std::runtime_error("string too large for putExecRefID [E106]");
+        }
+
+        std::memcpy(m_buffer + m_offset + 226, str.data(), srcLength);
+        for (std::size_t start = srcLength; start < 40; ++start)
+        {
+            m_buffer[m_offset + 226 + start] = 0;
+        }
+
+        return *this;
+    }
+    #else
+    ExecutionReportTradeAddendumOutright548 &putExecRefID(const std::string &str)
+    {
+        const std::size_t srcLength = str.length();
+        if (srcLength > 40)
+        {
+            throw std::runtime_error("string too large for putExecRefID [E106]");
+        }
+
+        std::memcpy(m_buffer + m_offset + 226, str.c_str(), srcLength);
+        for (std::size_t start = srcLength; start < 40; ++start)
+        {
+            m_buffer[m_offset + 226 + start] = 0;
+        }
+
+        return *this;
+    }
+    #endif
+
     class NoFills
     {
     private:
@@ -4639,7 +4948,7 @@ public:
         {
             switch (metaAttribute)
             {
-                case MetaAttribute::SEMANTIC_TYPE: return "int";
+                case MetaAttribute::SEMANTIC_TYPE: return "Qty";
                 case MetaAttribute::PRESENCE: return "required";
                 default: return "";
             }
@@ -4686,7 +4995,7 @@ public:
         {
             switch (metaAttribute)
             {
-                case MetaAttribute::SEMANTIC_TYPE: return "int";
+                case MetaAttribute::SEMANTIC_TYPE: return "Qty";
                 case MetaAttribute::PRESENCE: return "required";
                 default: return "";
             }
@@ -5043,6 +5352,15 @@ friend std::basic_ostream<CharT, Traits> & operator << (
         builder << "{}";
     }
 
+    builder << ", ";
+    builder << R"("MDTradeEntryID": )";
+    builder << +writer.mDTradeEntryID();
+
+    builder << ", ";
+    builder << R"("ExecRefID": )";
+    builder << '"' <<
+        writer.getExecRefIDAsJsonEscapedString().c_str() << '"';
+
     builder << ", ";
     {
         bool atLeastOne = false;