Change: Updated version to v2.2.3

This config was leftover from custom DJ work. We no longer need it.

.vscode/launch.json

@@ -55,6 +55,21 @@
       "externalConsole": false,
       "MIMode": "gdb",
     },
+    {
+      "name": "spreader tests",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "/home/bts/spark/build/sparkd-debug-clang/server/sparkd",
+      "args": [
+        "test",
+        "[spreader]"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/sparkd-debug-clang/server",
+      "environment": [],
+      "externalConsole": false,
+      "MIMode": "gdb",
+    },
     {
       "name": "DataStreamQueryAnalyzer",
       "type": "coreclr",
@@ -108,6 +123,18 @@
       "stopAtEntry": false,
       "console": "integratedTerminal"
     },
+    {
+      "name": "Spark (Skip Build)",
+      "type": "coreclr",
+      "request": "launch",
+      "program": "",
+      "windows": {
+        "program": "Spark.exe",
+        "cwd": "build/Debug/bin/net7.0-windows",
+      },
+      "stopAtEntry": false,
+      "console": "integratedTerminal"
+    },
     {
       "name": "Spark (Parameterized)",
       "type": "coreclr",
@@ -125,6 +152,39 @@
       "stopAtEntry": false,
       "console": "integratedTerminal"
     },
+    {
+      "name": "Spark Test",
+      "type": "coreclr",
+      "request": "launch",
+      "program": "",
+      "windows": {
+        "preLaunchTask": "Build Spark (Debug)",
+        "program": "Spark.Console.exe",
+        "cwd": "build/Debug/bin/net7.0",
+        "args": [
+          "test",
+          "${input:sparkTest}"
+        ]
+      },
+      "stopAtEntry": false,
+      "console": "integratedTerminal"
+    },
+    {
+      "name": "Spark Test (Skip Build)",
+      "type": "coreclr",
+      "request": "launch",
+      "program": "",
+      "windows": {
+        "program": "Spark.Console.exe",
+        "cwd": "build/Debug/bin/net7.0",
+        "args": [
+          "test",
+          "${input:sparkTest}"
+        ]
+      },
+      "stopAtEntry": false,
+      "console": "integratedTerminal"
+    },
     {
       "name": "Sparkd",
       "type": "cppdbg",
@@ -255,6 +315,11 @@
       "description": "Config Server URL",
       "default": "http://localhost:8000/config",
     },
+    {
+      "id": "sparkTest",
+      "type": "promptString",
+      "description": "Test to run",
+    },
     {
       "id": "sparkdTest",
       "type": "promptString",

.vscode/tasks.json

@@ -641,6 +641,21 @@
         "color": "terminal.ansiGreen",
       }
     },
+    {
+      "label": "Run Spark (Skip Build)",
+      "type": "process",
+      "command": "",
+      "windows": {
+        "command": "Spark.exe",
+        "options": {
+          "cwd": "${workspaceFolder}/build/${input:buildConfiguration}/bin/net7.0-windows"
+        },
+      },
+      "icon": {
+        "id": "run",
+        "color": "terminal.ansiGreen",
+      }
+    },
     {
       "label": "Run Spark Config Query",
       "dependsOn": "Build Spark",
@@ -684,6 +699,24 @@
         "color": "terminal.ansiGreen",
       },
     },
+    {
+      "label": "Run Sparkd (Skip Build)",
+      "type": "process",
+      "command": "",
+      "linux": {
+        "command": "sparkd",
+      },
+      "args": [
+        "run"
+      ],
+      "options": {
+        "cwd": "${workspaceFolder}/build/${input:sparkdCmakePreset}/server"
+      },
+      "icon": {
+        "id": "run",
+        "color": "terminal.ansiGreen",
+      },
+    },
     {
       "label": "Run Sparkd Config Query",
       "dependsOn": "Build Sparkd",
@@ -705,6 +738,65 @@
         "color": "terminal.ansiGreen",
       },
     },
+    {
+      "label": "Test Spark (Debug)",
+      "dependsOn": "Build Spark (Debug)",
+      "type": "process",
+      "icon": {
+        "id": "coverage",
+        "color": "terminal.ansiYellow",
+      },
+      "command": "",
+      "windows": {
+        "command": "Spark.Console.exe",
+        "args": [
+          "test",
+          "${input:sparkTest}"
+        ],
+        "options": {
+          "cwd": "${workspaceFolder}/build/Debug/bin/net7.0",
+        }
+      },
+    },
+    {
+      "label": "Test Sparkd",
+      "dependsOn": "Build Sparkd",
+      "type": "process",
+      "command": "",
+      "linux": {
+        "command": "sparkd",
+      },
+      "args": [
+        "test",
+        "${input:sparkdTest}",
+      ],
+      "options": {
+        "cwd": "${workspaceFolder}/build/${input:sparkdCmakePreset}/server"
+      },
+      "icon": {
+        "id": "coverage",
+        "color": "terminal.ansiYellow",
+      },
+    },
+    {
+      "label": "Test Sparkd (Skip Build)",
+      "type": "process",
+      "command": "",
+      "linux": {
+        "command": "sparkd",
+      },
+      "args": [
+        "test",
+        "${input:sparkdTest}",
+      ],
+      "options": {
+        "cwd": "${workspaceFolder}/build/${input:sparkdCmakePreset}/server"
+      },
+      "icon": {
+        "id": "coverage",
+        "color": "terminal.ansiYellow",
+      },
+    },
     {
       "label": "View DataStreamQueryAnalyzer Logs (Last Run)",
       "type": "process",
@@ -823,6 +915,16 @@
       "id": "sparkdConfigQuery",
       "type": "promptString",
       "description": "Config Type(s)"
-    }
+    },
+    {
+      "id": "sparkTest",
+      "type": "promptString",
+      "description": "Test to run",
+    },
+    {
+      "id": "sparkdTest",
+      "type": "promptString",
+      "description": "Test to run",
+    },
   ]
 }

CMakeLists.txt

@@ -117,7 +117,6 @@ else()
   # subdirs
   if (BUILD_SPARKD)
     add_subdirectory(src/lib_binance_execution)
-    add_subdirectory(src/lib_deribit_emumba)
     add_subdirectory(src/server/sparkd)
     add_subdirectory(src/data_files)
   endif()

CMakePresets.json

@@ -26,6 +26,7 @@
         "CMAKE_CXX_FLAGS_DEBUG": "$env{SPARK_CMAKE_CXX_FLAGS} /MTd",
         "CMAKE_CXX_FLAGS_RELEASE": "$env{SPARK_CMAKE_CXX_FLAGS} /MT",
         "CMAKE_CXX_STANDARD": "20",
+        "CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}",
         "CMAKE_SHARED_LINKER_FLAGS_DEBUG": "/DEBUG",
         "CMAKE_SHARED_LINKER_FLAGS_RELEASE": "/OPT:REF /OPT:ICF /LTCG",
         "CMAKE_TOOLCHAIN_FILE": "${sourceDir}/vcpkg/scripts/buildsystems/vcpkg.cmake",

cmake_modules/websocket-libraryConfig.cmake

@@ -1,25 +0,0 @@
-include(ExternalProject)
-
-if(NOT TARGET websocket-library_project)
-ExternalProject_Add(websocket-library_project 
-    GIT_REPOSITORY https://fintech.websocket:h_ubh-4dsWRB569wwKyg@gitlab.com/cryptoexchanges1/websocket-client-using-epoll.git
-    GIT_TAG enhancement/config-ssl
-    CMAKE_ARGS 
-              -DCMAKE_INSTALL_PREFIX=${CMAKE_CURRENT_BINARY_DIR}/websocket-library 
-              -DCMAKE_BUILD_TYPE=Release
-              -DLOG_LEVEL=INFO
-              -DENABLE_ENCRYPTION=True
-)
-endif()
-
-ExternalProject_Get_Property(websocket-library_project BINARY_DIR)
-ExternalProject_Get_Property(websocket-library_project SOURCE_DIR)
-
-set(websocket-library_INCLUDE_DIR ${SOURCE_DIR}/include) 
-set(websocket-library_LIB_DIR ${BINARY_DIR}/src) 
-
-add_library(websocket-library STATIC IMPORTED)
-
-set_property(TARGET websocket-library PROPERTY IMPORTED_LOCATION ${websocket-library_LIB_DIR}/libemumba-websocket-library.a)
-add_dependencies(websocket-library websocket-library_project)
-install(FILES ${websocket-library_LIB_DIR}/libemumba-websocket-library.a DESTINATION ${CMAKE_INSTALL_LIBDIR})

src/DataStreamSuite/DataStream/Primitives/Time/DateTimeExpanstionStream.cs

@@ -4,7 +4,7 @@ namespace bts.SilverPine {
    using BCG;
 
    using System;
-
+   [DataStreamUserRespresentation("DateTimeExpanderStream")]
    public class DateTimeExpanstionStream : ViewStream {
       public DateTimeExpanstionStream(ViewStream parent_stream, string inp_col) {
          Func<IBlueTableSchema, IBlueTableSchema> get_schema = (s) => {
@@ -24,11 +24,11 @@ namespace bts.SilverPine {
             IBlueTableSchema s = get_schema(r.schema);
             MutableBlueRow rv = new MutableBlueRow(s, r);
             rv.setValue($"{inp_col}_date", dt.Date);
-            rv.setValue($"{inp_col}_day", dt.DayOfWeek.ToString());
+            rv.setValue($"{inp_col}_day_of_week", dt.DayOfWeek.ToString());
             rv.setValue($"{inp_col}_day_of_month", dt.Day);
             rv.setValue($"{inp_col}_month", dt.Date.Month);
             rv.setValue($"{inp_col}_hour", dt.Hour);
-            rv.setValue($"{inp_col}_min", dt.Minute);
+            rv.setValue($"{inp_col}_minute", dt.Minute);
             rv.setValue($"{inp_col}_seconds_of_day", (dt - dt.Date).TotalSeconds);
             return rv;
          });

src/DataStreamSuite/DataStreamSuite.sln

@@ -36,6 +36,8 @@ Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.ColumnExpressions", "Bt
 EndProject
 Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.ColumnSortExpressions", "Bts.ColumnSortExpressions\Bts.ColumnSortExpressions.csproj", "{B038CB72-4E81-4AF1-976F-ED8655C2C3D6}"
 EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "DataStreamQueryAnalyzer", "DataStreamQueryAnalyzer\DataStreamQueryAnalyzer.csproj", "{BFA5BA5C-927A-41A9-A696-1E2F4B5FFD15}"
+EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
 		Debug|Any CPU = Debug|Any CPU
@@ -113,5 +115,9 @@ Global
 		{B038CB72-4E81-4AF1-976F-ED8655C2C3D6}.Debug|Any CPU.Build.0 = Debug|Any CPU
 		{B038CB72-4E81-4AF1-976F-ED8655C2C3D6}.Release|Any CPU.ActiveCfg = Release|Any CPU
 		{B038CB72-4E81-4AF1-976F-ED8655C2C3D6}.Release|Any CPU.Build.0 = Release|Any CPU
+		{BFA5BA5C-927A-41A9-A696-1E2F4B5FFD15}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{BFA5BA5C-927A-41A9-A696-1E2F4B5FFD15}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{BFA5BA5C-927A-41A9-A696-1E2F4B5FFD15}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{BFA5BA5C-927A-41A9-A696-1E2F4B5FFD15}.Release|Any CPU.Build.0 = Release|Any CPU
 	EndGlobalSection
 EndGlobal

src/DataStreamSuite/SharedStreams/Business/MarketData/Bars/HistoricalBarsStream.cs

@@ -156,6 +156,14 @@ namespace bts.SilverPine {
          ViewStream rs = new FutureHistoricalBarsStream(fut_contract, bar_size.ToString(), dt_range_beg, dt_range_end);
          mySetRealSource(rs);
       }
+      public FutureHistoricalBarsStream(string fut_contract, string bar_size)
+      : this(fut_contract, bar_size, DateTime.MinValue, DateTime.MaxValue) { }
+
+      public FutureHistoricalBarsStream(string fut_contract, string bar_size,
+                                        string dt_range_beg, string dt_range_end)
+                                        : this(fut_contract, bar_size, DateTime.Parse(dt_range_beg),
+                                        DateTime.Parse(dt_range_end)) { }
+
       public FutureHistoricalBarsStream(string fut_contract, string bar_size,
                                         DateTime dt_range_beg, DateTime dt_range_end)
                                         :

src/client/spark/Analytics/Pricing/VolSurfaceInterpGreeksProducer.cs

@@ -13,7 +13,7 @@ namespace mbts.analytics {
    // prices (specified in the vs settings).
    // It has public setters that get
    // 1. contracts
-   // 2. vs inout
+   // 2. vs input
    // 3. exp params(drivers, interst rate etc)
    // 4. driver prices
    // 5. vol time

src/client/spark/Modules/Market/MarketView/MarketViewColumnType.cs

@@ -1,6 +1,7 @@
 namespace mbts.spark {
    public enum MarketViewColumnType {
       None,
+      Venue,
       Security,
       Volume,
       Last,

src/client/spark/Modules/Market/MarketView/MarketViewFilterStates.cs

@@ -1,4 +1,6 @@
 namespace bts.shell.market_view {
+   using bts.api;
+
    using mbts.spark;
    using mbts.spark.filters;
 
@@ -8,6 +10,8 @@ namespace bts.shell.market_view {
 
    [ProtoContract]
    class MarketViewFilterStates {
+      [ProtoMember(37)]
+      public Venue[] venue { get; set; }
       [ProtoMember(1)]
       public string security { get; set; }
       [ProtoMember(2)]
@@ -123,6 +127,7 @@ namespace bts.shell.market_view {
       public Func<MarketViewVM.Row, bool> build_predicate() {
          var pb = new ColumnPredicateBuilder<MarketViewVM.Row>();
          // security
+         pb.add_discrete_values(venue, r => r.venue);
          pb.add_regex(security, r => r.security.ToString());
          pb.add_regex(security_key, r => r.security_key.ToString());
 

src/client/spark/Modules/Market/MarketView/MarketViewRow.cs

@@ -206,6 +206,7 @@
          // security
          public SecurityMD security_md { get; }
          public SecurityImmutable security => security_md.security;
+         public bts.api.Venue venue => security_md.security.Exchange;
          public uint security_key => security_md.security.Id;
          public string currency => security_md.security.Currency;
 

src/client/spark/Modules/Market/MarketView/MarketViewSettings.cs

@@ -92,6 +92,7 @@ namespace bts.shell.market_view {
       }
 
       static class DefaultColumns {
+         public static GridColumnSettings venue => _mk(Columns.Venue, ColHeader.Exchange, ColWidth.Exchange, h_align: HorizontalAlignment.Left);
          public static GridColumnSettings security => _mk(Columns.Security, ColHeader.Security, ColWidth.Security, h_align: HorizontalAlignment.Left);
          public static GridColumnSettings currency => _mk(Columns.Currency, ColHeader.Currency, ColWidth.Currency, h_align: HorizontalAlignment.Left, is_visible: false);
          public static GridColumnSettings volume => _mk(Columns.Volume, ColHeader.Volume, ColWidth.Volume, h_align: HorizontalAlignment.Left);

src/client/spark/Modules/Market/MarketView/MarketViewVM.cs

@@ -122,6 +122,7 @@ namespace mbts.spark {
          const double working_orders_col_width = 105;
          var price_converter = new TickDisplayConverter();
 
+         add_col(ColKey.Venue, r => r.venue.ToString(), nameof(Row.venue), venue_filter, FilterType.DiscreteValues, ColWidth.Exchange);
          add_col(ColKey.Security, r => r.security.ToString(), nameof(Row.security), security_filter, FilterType.Regex, ColWidth.Security);
          add_col(ColKey.Currency, r => r.currency, nameof(Row.currency), currency_filter, FilterType.Regex, ColWidth.Currency);
          add_col(ColKey.Volume, r => r.volume_text, nameof(Row.volume), volume_filter, FilterType.ULongMinMax, ColWidth.Volume);
@@ -388,6 +389,7 @@ namespace mbts.spark {
       internal IBus bus => _bus;
       internal OrdersModel orders_model => _orders_model;
 
+      public IDataGridColumnPersistentFilter<Row, Venue[]> venue_filter { get; } = DiscreteValuesFilterVM.Common.exchange<Row>(r => r.venue, nameof(Row.venue));
       public IDataGridColumnPersistentFilter<Row, string> security_filter { get; }
       public IDataGridColumnPersistentFilter<Row, string> currency_filter { get; }
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> bid_price_filter { get; } = new DoubleMinMax<Row>(r => r.bid_price, nameof(Row.bid_price));
@@ -535,6 +537,7 @@ namespace mbts.spark {
 
       public MarketViewFilterStates get_filter_states() =>
          new() {
+            venue = venue_filter.get_state(),
             security = security_filter.get_state(),
             bid_price = bid_price_filter.get_state(),
             bid_merged_size = bid_qty_filter.get_state(),
@@ -580,6 +583,7 @@ namespace mbts.spark {
          }
 
          using var _ = rows_view.DeferRefresh();
+         venue_filter.load_state(filters.venue);
          security_filter.load_state(filters.security);
          bid_price_filter.load_state(filters.bid_price);
          bid_qty_filter.load_state(filters.bid_merged_size);

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

@@ -237,6 +237,17 @@ namespace mbts.spark {
             DefaultColumnWidths.Qty,
             get_fg: r => r.side == Side.Buy ? BTSColors.MarketData.bid : BTSColors.MarketData.ask);
 
+         add_col(
+            Columns.NotionalValue,
+            DefaultColumnHeaders.NotionalValue,
+            r => _get_row(r).security.spec_or_default().format(r.fill.notional_value()),
+            new DoubleMinMax<FillTuple>(r => r.fill.notional_value()),
+            DataGridFilterKnownTemplates.DoubleMinMax,
+            fs => fs.notional_value,
+            (fs, cf) => fs.notional_value = cf,
+            DefaultColumnWidths.NotionalValue,
+            get_fg: r => r.side == Side.Buy ? BTSColors.MarketData.bid : BTSColors.MarketData.ask);
+
          add_col(
             Columns.Price,
             DefaultColumnHeaders.Price,

src/client/spark/Modules/Trading/Fills/FillsView.xaml.cs

@@ -21,6 +21,7 @@ namespace mbts.ui.spark {
          Side,
          Price,
          Size,
+         NotionalValue,
          FillKind,
          FillStatus,
          FillKey,

src/client/spark/Modules/Trading/Fills/Settings/FillsFilterStates.cs

@@ -61,6 +61,10 @@ namespace bts.shell.fills {
       [DIYGridColumnID(nameof(Columns.Size))]
       public DoubleMinMaxState size { get; set; }
 
+      [ProtoMember(18)]
+      [DIYGridColumnID(nameof(Columns.NotionalValue))]
+      public DoubleMinMaxState notional_value { get; set; }
+
       [ProtoMember(11)]
       [DIYGridColumnID(nameof(Columns.FillKey))]
       public string fill_key { get; set; }
@@ -113,6 +117,7 @@ namespace bts.shell.fills {
          pb.add_discrete_values(fs.fill_status, ft => ft.fill.FillStatus);
          // numeric
          pb.add_numeric(fs.size, ft => ft.fill.LastShares);
+         pb.add_numeric(fs.notional_value, ft => ft.fill.notional_value());
          pb.add_numeric(fs.price, ft => ft.fill.LastPrice);
 
          if (fs.exp_date.HasValue) {

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

@@ -66,8 +66,12 @@ namespace mbts.spark {
          _orders = orders;
          _real_price = real_price;
          _text_lines = backing(nameof(text_lines), () => {
-            var fmt = MDDisplayHelper.get_value_formatter(_owner.model.security_md.quantity_display);
-            return BadgeRender.format(side, _quantity, _filled, _current_badge_style, fmt);
+            var tf = _owner.model.security.tick_factors();
+            var fmt = MDDisplayHelper.get_value_formatter(
+               owner.current_settings.size_display,
+               _owner.model.security_md.quantity_display,
+               tf.to_api_tick_display_settingsi());
+            return BadgeRender.format(side, _quantity, _filled, price, _current_badge_style, fmt);
          });
          _clear_phantom_price = new(() => {
             _phantom_price = double.NaN;

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

@@ -100,6 +100,9 @@ namespace mbts.spark {
       readonly OrderEntryPanelItemVisibilityVM _cancel_all_visibility = new("Cancel All");
       readonly OrderEntryPanelItemVisibilityVM _status_message_visibility = new("Status Message");
 
+      readonly PanelPricePointVM _bid_price = new("Bid");
+      readonly PanelPricePointVM _ask_price = new("Ask");
+      readonly PanelPricePointVM _mid_price = new("Mid");
       readonly PanelRelativePricePointVM _day_change = new("Day Change");
       readonly PanelPricePointVM _session_high = new("High");
       readonly PanelPricePointVM _session_low = new("Low");
@@ -139,9 +142,6 @@ namespace mbts.spark {
          accounts_view = new ListCollectionView<AccountTuple?>(_accounts) {
             CustomSort = NullCheckComparer<AccountTuple>.Default
          };
-         // cmds
-         tick_up_ticks_per_row_cmd = new DelegateCommand(increment_ticks_per_row);
-         tick_down_ticks_per_row_cmd = new DelegateCommand(decrement_ticks_per_row);
          // update
          _update = new DeferrableAction(() => result_changed?.Invoke());
          mini_ob.result_changed += _update.Invoke;
@@ -191,26 +191,6 @@ namespace mbts.spark {
          }
 
          AlgoDefinitionVM algo_factory(AlgoData data) => AlgoDefinitionVM.create(_model, data);
-         void increment_ticks_per_row() {
-            var tpr = ticks_per_row;
-            for (uint i = 1; i < 100; i++) {
-               var new_tpr = TickUtils.fit_ticks_per_row_to_dollars(security, ticks_per_row + i);
-               if (new_tpr != tpr) {
-                  ticks_per_row = new_tpr;
-                  break;
-               }
-            }
-         }
-         void decrement_ticks_per_row() {
-            var tpr = ticks_per_row;
-            for (uint i = 1; i < tpr; i++) {
-               var new_tpr = TickUtils.fit_ticks_per_row_to_dollars(security, tpr - i);
-               if (new_tpr != tpr) {
-                  ticks_per_row = new_tpr;
-                  break;
-               }
-            }
-         }
       }
 
       public event Action result_changed;
@@ -235,15 +215,8 @@ namespace mbts.spark {
       }
       public uint ticks_per_row {
          get => _ticks_per_row;
-         set => Set(ref _ticks_per_row, value, dependent_props: nameof(rounded_ticks_per_row));
+         set => Set(ref _ticks_per_row, value);
       }
-      public ICommand tick_up_ticks_per_row_cmd { get; }
-      public ICommand tick_down_ticks_per_row_cmd { get; }
-      // since settings profiles may be shared among ladders
-      // of different securities/tick sizes, the ticks per row setting
-      // may need to be rounded to a number that is a factor of $1.00
-      public uint? rounded_ticks_per_row =>
-         TickUtils.fit_ticks_per_row_to_dollars(_security, ticks_per_row);
 
       public MarketSizeDisplayVM size_display { get; } = new MarketSizeDisplayVM();
       public SimpleGridSettingsVM mini_ob { get; } = new SimpleGridSettingsVM(OrderBookGridSettingsManager.hard_column_flags);
@@ -327,7 +300,12 @@ namespace mbts.spark {
 
       public IEnumerable order_entry_panel_items {
          get {
+            // Order these items according to their display order in the actual ladder (from top to
+            // bottom). There are a lot of them, so this is a simple convenience for the user.
             yield return _zoom_slider_visbility;
+            yield return _ask_price;
+            yield return _mid_price;
+            yield return _bid_price;
             yield return _day_change;
             yield return _session_high;
             yield return _session_low;
@@ -450,6 +428,12 @@ namespace mbts.spark {
             zoom_factor = settings.zoom_factor;
             // left-panel (show/hide)
             _zoom_slider_visbility.show = settings.zoom_slider_visible;
+            _bid_price.show = settings.bid_price_visible;
+            _bid_price.load_from(settings.panel_price_point_settings.bid_price);
+            _ask_price.show = settings.ask_price_visible;
+            _ask_price.load_from(settings.panel_price_point_settings.ask_price);
+            _mid_price.show = settings.mid_price_visible;
+            _mid_price.load_from(settings.panel_price_point_settings.mid_price);
             _day_change.show = settings.day_visible;
             _day_change.load_from(settings.panel_price_point_settings.day_change);
             _session_high.show = settings.high_visible;
@@ -537,6 +521,9 @@ namespace mbts.spark {
             .ToList();
          // left-panel price items
          clone.panel_price_point_settings = new LadderPanelPricePointSettings {
+            bid_price = _bid_price.create(),
+            ask_price = _ask_price.create(),
+            mid_price = _mid_price.create(),
             day_change = _day_change.create(),
             open = _open.create(),
             session_low = _session_low.create(),
@@ -561,6 +548,9 @@ namespace mbts.spark {
          clone.order_entry_panel_initial_width = _order_entry_panel_width;
          clone.zoom_factor = zoom_factor;
          // left-panel (components)
+         clone.bid_price_visible = _bid_price.show;
+         clone.ask_price_visible = _ask_price.show;
+         clone.mid_price_visible = _mid_price.show;
          clone.day_visible = _day_change.show;
          clone.high_visible = _session_high.show;
          clone.low_visible = _session_low.show;
@@ -715,6 +705,7 @@ namespace mbts.spark {
 
          public uint sample_quantity { get; } = 50;
          public uint sample_filled { get; } = 12;
+         public double sample_price => 2175.50;
          public Side sample_side { get; } = Side.Buy;
          public Brush badge_border { get; } = new SolidColorBrush(BTSColors.MarketData.ask);
          public Brush badge_background { get; } = Brushes.White;

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

@@ -14,9 +14,9 @@ using mbts.ui.utility.text;
 using mbts.utils;
 
 using Spark.Core.Disposables;
+using Spark.Core.Math;
 
 using System;
-using System.Collections;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
 using System.Collections.Specialized;
@@ -37,9 +37,6 @@ namespace mbts.spark {
    partial class LadderGridHost : Control {
       static readonly int _initial_row_count;
       static readonly bool _show_scrollbar;
-      static readonly bool _lighten_market_cells;
-      static readonly Color? _bid_market_cell_background;
-      static readonly Color? _ask_market_cell_background;
 
       readonly VisualHost _visual_host = new();
       readonly LadderOrdersHost _ordershost;
@@ -83,6 +80,7 @@ namespace mbts.spark {
       LadderTactileAdorner _tactile_adorner;
       ulong _prices_updated;
       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,
@@ -93,8 +91,10 @@ namespace mbts.spark {
       readonly MarketBreakLines _mkt_break_lines;
       NativePriceSize _last_trade;
       Func<NativePriceSize, string> _fmt_mkt_depth_item_impl = MDDisplayHelper.get_formatter_nps(
-         MarketSizeDisplay.get_default(), Security.Defaults.quantity_display_settingsi);
-      Func<double, string> _fmt_mkt_quantity_impl = v => v.ToString();
+         MarketSizeDisplay.get_default(), Security.Defaults.quantity_display_settingsi, Security.Defaults.price_display_settingsi);
+      Func<double, double, string> _fmt_mkt_quantity_impl = (v, p) => v.ToString();
+      Func<LadderPriceLevel, string> _fmt_price_level_impl = MDDisplayHelper.get_formatter_lpl(
+         MarketSizeDisplay.get_default(), Security.Defaults.quantity_display_settingsi, Security.Defaults.price_display_settingsi);
       int _old_tooltip_row = int.MaxValue;
       NativePriceSize? _old_last_trade;
       string _direction_arrow = string.Empty;
@@ -106,17 +106,7 @@ namespace mbts.spark {
       static LadderGridHost() {
          var knobs = config.Configuration.get<bts.config.LadderKnobs>();
          _show_scrollbar = knobs.ShowScrollbar;
-         _lighten_market_cells = knobs.LightenMarketCells;
          _initial_row_count = (int)knobs.ScrollableTickWindowSize;
-         // For market cell backgrounds, 0 means null.  Note that the full
-         // range of colors can still be expressed, as zero is merely one of
-         // 2^24 possible representations of 'transparent.'
-         if (knobs.BidMarketCellBackground != 0) {
-            _bid_market_cell_background = BTSColors.Ladder.bid_column_background;
-         }
-         if (knobs.AskMarketCellBackground != 0) {
-            _ask_market_cell_background = BTSColors.Ladder.ask_column_background;
-         }
       }
 
       public LadderGridHost() {
@@ -736,8 +726,8 @@ namespace mbts.spark {
             };
             view.RequestClose += (o, _) => popup.IsOpen = false;
          }
-         string fmt_mbo_qty(int value) =>
-            value < 0 ? $"-{_fmt_mkt_quantity((uint)value)}" : _fmt_mkt_quantity((uint)value);
+         string fmt_mbo_qty(double value, double price) =>
+            value < 0 ? $"-{_fmt_mkt_quantity(value, price)}" : _fmt_mkt_quantity(value, price);
       }
 
       protected override void OnMouseDoubleClick(MouseButtonEventArgs e) {
@@ -871,32 +861,13 @@ namespace mbts.spark {
             switch (column.column_type) {
                case ColumnType.Order: _ordershost.set_col_width(column.settings.width); break;
                case ColumnType.Bid:
-                  render_market_col(_bids, _bid_market_cell_background);
+                  render_market_col(_depth.Bids);
                   break;
                case ColumnType.Price:
-                  if (_settings.net_change != LadderSettings.NetChangeTerms.None) {
-                     LadderRender.render_prices(
-                        column.visual_tup.visual,
-                        column.visual_tup.glyph_context,
-                        _price_list,
-                        _settings.row_height,
-                        column.settings,
-                        _spec,
-                        _vm.md.settlement_price,
-                        _settings.net_change == LadderSettings.NetChangeTerms.Ticks);
-                  } else {
-                     LadderRender.render_prices(
-                        column.visual_tup.visual,
-                        column.visual_tup.glyph_context,
-                        _price_list,
-                        _settings.row_height,
-                        column.settings,
-                        _spec,
-                        _settings.price_display_format);
-                  }
+                  _refresh_prices(column);
                   break;
                case ColumnType.Ask:
-                  render_market_col(_asks, _ask_market_cell_background);
+                  render_market_col(_depth.Asks);
                   break;
                case ColumnType.Volume:
                   _volume_container.mark_dirty();
@@ -909,9 +880,9 @@ namespace mbts.spark {
                if (_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 render_market_col(NativePriceSize[] depth, Color? market_cell_background) {
+            void render_market_col(IEnumerable<(double Price, double Volume, double NotionalValue)> depth) {
                var mid = LadderRender.index_of(_price_list, _last_origin_price, _price_comparer);
-               LadderRender.render_sizes(column.visual_tup.visual, column.visual_tup.glyph_context, mid, _price_list, depth, _settings.row_height, _spec, column.settings, _fmt_mkt_depth_item, _lighten_market_cells, market_cell_background);
+               LadderRender.render_sizes(column.visual_tup.visual, column.visual_tup.glyph_context, mid, _price_list, depth, _settings.row_height, _spec, column.settings, _fmt_price_level);
             }
          }
          _apply_column_visual_offset();
@@ -957,6 +928,7 @@ namespace mbts.spark {
             // **use local vm to protect against re-assignment,
             // so the events are unhooked from the same instance to which they were added
             // when the subs are disposed.
+            Disposable.dispose(ref _vm_sub);
             var local_vm = _vm;
             local_vm.on_tick += _tick;
             local_vm.request_recenter += on_request_recenter;
@@ -1015,8 +987,10 @@ namespace mbts.spark {
                   //System.Diagnostics.Debug.WriteLine("   Tooltip - Previous tooltip is visible, but we've changed rows");
                   _hide_tool_tip();
                }
-
-               _tooltip_view.Content = _fmt_mkt_quantity(volume);
+               double price = row < 0 || row >= (_price_list?.Count ?? 0)
+                  ? double.NaN
+                  : _price_for_row(row);
+               _tooltip_view.Content = _fmt_mkt_quantity(volume, price);
                _tooltip_view.IsOpen = true;
                ToolTip = _tooltip_view;
             } else {
@@ -1103,19 +1077,34 @@ 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 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 = new LadderPriceList {
-                  length = _initial_row_count,
-                  security = security
-               };
+               _price_list = _create_price_list();
                var mid_tick = security.tickdiff(_mkt_break_lines.origin, 0) ?? 0;
                if (mid_tick > int.MaxValue) {
                   Log.Ui.error(
@@ -1152,10 +1141,8 @@ namespace mbts.spark {
                         _scroll_viewer.ScrollToVerticalOffset(new_vertical_offset);
                      }
                   }
-                  _refresh_prices();
-               } else {
-                  _refresh_prices();
                }
+               _refresh_prices();
                scroll_to_pending_target();
                _refresh_all_visuals();
             } else {
@@ -1164,8 +1151,17 @@ namespace mbts.spark {
                   _refresh_bid_mkt_break();
                if (_mkt_break_lines.ask_dirty)
                   _refresh_ask_mkt_break();
-               if (_mkt_break_lines.mid_dirty)
+               if (_mkt_break_lines.mid_dirty) {
+                  switch (_settings.net_change) {
+                     case LadderSettings.NetChangeTerms.BasisPoints:
+                     case LadderSettings.NetChangeTerms.NetBasisPoints:
+                        _refresh_prices();
+                        break;
+                     default:
+                        break;
+                  }
                   _refresh_mid_mkt_break();
+               }
                _refresh_fair_value_lines(false);
                if (_mkt_break_lines.session_low_dirty)
                   _refresh_session_low_line();
@@ -1175,8 +1171,16 @@ namespace mbts.spark {
                   _refresh_session_range();
                if (last_trade_changed) {
                   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_quantity);
+                  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);
+                  }
                }
                if (depth_changed)
                   _refresh_sizes();
@@ -1191,25 +1195,27 @@ namespace mbts.spark {
          }
       }
 
-      void _refresh_prices() {
+      void _refresh_prices(Column column = null) {
          if (_settings is null) {
             return;
          }
-
-         if (_settings.net_change != LadderSettings.NetChangeTerms.None) {
-            LadderRender.render_prices(
-               _price_vis_tup.visual, _price_vis_tup.glyph_context,
-               _price_list, _vm.md.settlement_price,
-               _settings.net_change == LadderSettings.NetChangeTerms.Ticks,
-               _settings.row_height, _settings.price_column,
-               _spec);
-         } else {
-            LadderRender.render_prices(
-               _price_vis_tup.visual, _price_vis_tup.glyph_context,
-               _price_list, _settings.row_height,
-               _settings.price_column, _spec,
-               _settings.price_display_format);
-         }
+         column ??= _price_column;
+         var ref_price = _settings.net_change switch {
+            LadderSettings.NetChangeTerms.BasisPoints or
+            LadderSettings.NetChangeTerms.NetBasisPoints or
+            LadderSettings.NetChangeTerms.Ticks => _get_mid_market_break(),
+            _ => 0.0
+         };
+         LadderRender.render_prices(
+            column.visual_tup.visual,
+            column.visual_tup.glyph_context,
+            _price_list,
+            ref_price,
+            _settings.net_change,
+            _settings.row_height,
+            column.settings,
+            _spec,
+            _settings.price_display_format);
       }
 
       void _refresh_all_visuals() {
@@ -1265,33 +1271,50 @@ namespace mbts.spark {
       }
 
       void _refresh_session_low_line() {
-         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);
+         if (_settings.session_low_line.show) {
+            _render_session_line(_session_low_vis, _mkt_break_lines.low_render_index ?? -1, _settings.session_low_line.color);
+         }
       }
 
       void _refresh_session_high_line() {
-         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);
+         if (_settings.session_high_line.show) {
+            _render_session_line(_session_high_vis, _mkt_break_lines.high_render_index ?? -1, _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_quantity);
+            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);
       }
 
       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);
       }
 
       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, _bids, _settings.row_height, _spec, _settings.bid_column, _fmt_mkt_depth_item, _lighten_market_cells, _bid_market_cell_background);
-         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, _asks, _settings.row_height, _spec, _settings.ask_column, _fmt_mkt_depth_item, _lighten_market_cells, _ask_market_cell_background);
+         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);
       }
 
       /// <summary>
@@ -1346,7 +1369,7 @@ namespace mbts.spark {
             }
             // regardless of if we've arrived here via a new Last (and new direction arrow)
             // or we're reusing the old one, this format bit is the same
-            return $"{_direction_arrow} {_fmt_mkt_quantity(_last_trade.size)} ";
+            return $"{_direction_arrow} {_fmt_mkt_quantity(_last_trade.size, _last_trade.price)} ";
          }
       }
 
@@ -1362,7 +1385,7 @@ namespace mbts.spark {
             return;
          if (_price_list is null) {
             _price_list = new LadderPriceList {
-               security = security
+               regional_tick = _spec
             };
          }
          _price_list.reset(null, null, _initial_row_count);
@@ -1399,7 +1422,10 @@ namespace mbts.spark {
       double _get_bid_market_break() {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
-         return LadderPriceLineViewAdapter.bid_line(best_bid, best_ask, _vm.settlement, _spec);
+         var v = best_bid
+            .if_nan(_spec.tickdown(best_ask))
+            .if_nan(_vm.settlement);
+         return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
       double _normalize_price(double price) =>
@@ -1408,13 +1434,20 @@ namespace mbts.spark {
       double _get_ask_market_break() {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
-         return LadderPriceLineViewAdapter.ask_line(best_bid, best_ask, _vm.settlement, _spec);
+         var v = _spec.tickdown(best_ask)
+            .if_nan(best_bid)
+            .if_nan(_vm.settlement);
+         return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
       double _get_mid_market_break() {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
-         return LadderPriceLineViewAdapter.mid_line(best_bid, best_ask, _vm.settlement, _spec);
+         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);
+         return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
       double _get_session_low() => _normalize_price(_get_session_low_raw());
@@ -1446,7 +1479,13 @@ namespace mbts.spark {
          _pending_scroll_to_origin |= _settings == null;
          _invalidate_spec();
          if (_price_list != null) {
-            _price_list.security = security;
+            _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);
@@ -1458,9 +1497,13 @@ namespace mbts.spark {
          static GlyphContext glyph_context(LadderColumnSettings cs) =>
             GlyphContext.create(cs.font_family, cs.font_weight);
 
+         var price_display = security.regional_ticks().tick_factors(0).to_api_tick_display_settingsi();
          _fmt_mkt_depth_item_impl = MDDisplayHelper.get_formatter_nps(
-            _settings.size_display, _qty_display);
-         _fmt_mkt_quantity_impl = MDDisplayHelper.get_value_formatter(_qty_display);
+            _settings.size_display, _qty_display, price_display);
+         _fmt_mkt_quantity_impl = MDDisplayHelper.get_value_formatter(
+            _settings.size_display, _qty_display, price_display);
+         _fmt_price_level_impl = MDDisplayHelper.get_formatter_lpl(
+            _settings.size_display, _qty_display, price_display);
          _set_columns();
          _apply_column_visual_offset();
          if (prev_row_height != _settings.row_height)
@@ -1470,18 +1513,16 @@ namespace mbts.spark {
          _mkt_break_lines.fair_value_line_views.Clear();
          // Clear and re-add the columns to the viewer to ensure offset/visibility is correct
          _visual_host.Clear();
-         if (LadderSettings.mimic_tt) {
-            // The session_range_vis sits beneath the grid backgrounds (on the
-            // z-axis) to avoid obfuscating the font color (dj wants it to be
-            // pure white).  Historically, it sat atop the price column, with a
-            // low opacity to slightly darken the range of prices inside of the
-            // session range (i.e., the price-band of the day's trades).  In
-            // conjuction with this change, the price column's background
-            // opacity is made slightly less than 1 (in the default settings),
-            // while the font color remains fully opaque, so this layer will
-            // darken the background without affecting the font color.
-            _visual_host.AddVisualChild(_session_range_vis);
-         }
+         // The session_range_vis sits beneath the grid backgrounds (on the
+         // z-axis) to avoid obfuscating the font color (dj wants it to be
+         // pure white).  Historically, it sat atop the price column, with a
+         // low opacity to slightly darken the range of prices inside of the
+         // session range (i.e., the price-band of the day's trades).  In
+         // conjuction with this change, the price column's background
+         // opacity is made slightly less than 1 (in the default settings),
+         // while the font color remains fully opaque, so this layer will
+         // darken the background without affecting the font color.
+         _visual_host.AddVisualChild(_session_range_vis);
          // Renders the grid lines and column backgrounds
          _visual_host.AddVisualChild(_gridvis);
          // Orders column
@@ -1521,8 +1562,6 @@ namespace mbts.spark {
             with_vis => _visual_host.RemoveVisualChild(with_vis.vis));
          _visual_host.AddVisualChild(_session_low_vis);
          _visual_host.AddVisualChild(_session_high_vis);
-         if (!LadderSettings.mimic_tt)
-            _visual_host.AddVisualChild(_session_range_vis);
          _render_grid_background();
          _init_tactile_adorner();
          // this effectively sets the background of the "Last" column //deleted to fix color
@@ -1531,6 +1570,7 @@ namespace mbts.spark {
          // }
          scroll_to_pending_target();
          visible_columns_changed?.Invoke();
+         _refresh_all_visuals();
       }
 
       // This is designed to be a redundant null check for _fmt_mkt_depth_item_impl.
@@ -1538,16 +1578,27 @@ namespace mbts.spark {
          // Assign the impl delegate to a local variable, just in case it is reassigned on another thread.
          // This shouldn't happen, but better to avoid the potential null ref just in case it does. Expect the unexpected.
          var impl = _fmt_mkt_depth_item_impl;
-         impl ??= MDDisplayHelper.get_formatter_nps(MarketSizeDisplay.get_default(), _qty_display);
+         impl ??= MDDisplayHelper.get_formatter_nps(
+            MarketSizeDisplay.get_default(), _qty_display, _spec.tick_factors(0).to_api_tick_display_settingsi());
+         return impl(value);
+      }
+
+      // This is designed to be a redundant null check for _fmt_mkt_depth_item_impl.
+      string _fmt_price_level(LadderPriceLevel value) {
+         // Assign the impl delegate to a local variable, just in case it is reassigned on another thread.
+         // This shouldn't happen, but better to avoid the potential null ref just in case it does. Expect the unexpected.
+         var impl = _fmt_price_level_impl;
+         impl ??= MDDisplayHelper.get_formatter_lpl(
+            MarketSizeDisplay.get_default(), _qty_display, security.regional_ticks().tick_factors(0).to_api_tick_display_settingsi());
          return impl(value);
       }
 
       // This is designed to be a redundant null check for _fmt_mkt_quantity_impl.
-      string _fmt_mkt_quantity(double value) {
+      string _fmt_mkt_quantity(double value, double price) {
          // Assign the impl delegate to a local variable, just in case it is reassigned on another thread.
          // This shouldn't happen, but better to avoid the potential null ref just in case it does. Expect the unexpected.
          var impl = _fmt_mkt_quantity_impl;
-         return impl is null ? value.ToString() : impl(value);
+         return impl is null ? value.ToString() : impl(value, price);
       }
 
       void _init_tactile_adorner() {

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

@@ -0,0 +1,98 @@
+namespace mbts.spark;
+
+using bts;
+using bts.utils;
+
+using System;
+using System.Collections.Generic;
+using System.Diagnostics.CodeAnalysis;
+using System.Linq;
+
+readonly struct LadderPriceLevel : IEquatable<LadderPriceLevel> {
+   public LadderPriceLevel(double price = double.NaN, double volume = 0, double notionalValue = double.NaN) {
+      Price = price;
+      Volume = volume;
+      NotionalValue = notionalValue.is_nan() ? volume * price : notionalValue;
+   }
+
+   public static LadderPriceLevel Empty => new();
+
+   public double Price { get; }
+   public double Volume { get; }
+   public double NotionalValue { get; }
+
+   public LadderPriceLevel Add(double price, double volume) {
+      if (!(volume > 0)) {
+         return this;
+      }
+      if (!(Volume > 0)) {
+         return new(price, volume);
+      }
+      Log.assert(Price.is_real());
+      Log.assert(price.is_real());
+      var newVolume = Volume + volume;
+      var newPrice = (Price * Volume + price * volume) / newVolume;
+      return new(newPrice, newVolume);
+   }
+
+   public LadderPriceLevel Add(IEnumerable<(double Price, double Volume)> items) {
+      var (totalPrice, totalVolume) = items.Sum();
+      return totalVolume > 0
+         ? Add(totalPrice / totalVolume, totalVolume)
+         : this;
+   }
+
+   public Builder ToBuilder() =>
+      new() { Cost = Price, Volume = Volume };
+
+   public LadderPriceLevel With(double price = double.NaN, double volume = double.NaN, double notionalValue = double.NaN) =>
+      new(price.if_nan(Price), volume.if_nan(Volume), notionalValue.if_nan(NotionalValue));
+
+   public bool Equals(LadderPriceLevel other) =>
+      MathUtils.epsilon_eq_comparer.Equals(Price, other.Price)
+      && MathUtils.epsilon_eq_comparer.Equals(Volume, other.Volume);
+
+   public override bool Equals([NotNullWhen(true)] object obj) =>
+      obj is LadderPriceLevel other && Equals(other);
+
+   public override int GetHashCode() =>
+      HashCode.Combine(
+         MathUtils.epsilon_eq_comparer.GetHashCode(Price),
+         MathUtils.epsilon_eq_comparer.GetHashCode(Volume));
+
+   public class Builder {
+      double notionalValue = double.NaN;
+
+      public double Cost { get; set; } = double.NaN;
+      public double Volume { get; set; } = 0;
+      public double NotionalValue => notionalValue.is_nan() ? Volume * Cost : notionalValue;
+
+      public void Add(double price, double volume) {
+         if (!(volume > 0)) {
+            return;
+         }
+         Log.assert(price.is_real());
+         Cost += price * volume;
+         Volume += volume;
+      }
+
+      public void Add(double price, double volume, double notionalValue) {
+         if (!(volume > 0)) {
+            return;
+         }
+         Log.assert(price.is_real());
+         Cost += price * volume;
+         Volume += volume;
+         if (this.notionalValue.is_nan()) {
+            this.notionalValue = notionalValue;
+         } else{
+            this.notionalValue += notionalValue;
+         }
+      }
+
+      public LadderPriceLevel ToImmutable() =>
+         Volume > 0
+            ? new(Cost / Volume, Volume, NotionalValue)
+            : Empty;
+   }
+}

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

@@ -1,62 +0,0 @@
-using bts.api;
-
-namespace mbts.spark {
-   using RegionalTickFactors = user.settings.RegionalTickFactors;
-
-   class LadderPriceLineViewAdapter {
-      public static double bid_line(
-         double bid, double ask, double settlement, RegionalTickFactors spec) {
-         return TickUtils.normalize_price(spec, impl());
-         double impl() {
-            if (!double.IsNaN(bid)) {
-               return bid;
-            }
-            if (!double.IsNaN(ask)) {
-               return _try_tick_down(spec, ask);
-            }
-            return settlement;
-         }
-      }
-
-      public static double ask_line(
-         double bid, double ask, double settlement, RegionalTickFactors spec) {
-         return TickUtils.normalize_price(spec, impl());
-         double impl() {
-            if (!double.IsNaN(ask)) {
-               return _try_tick_down(spec, ask);
-            }
-            if (!double.IsNaN(bid)) {
-               return bid;
-            }
-            return settlement;
-         }
-      }
-
-      public static double mid_line(
-         double bid, double ask, double settlement, RegionalTickFactors spec) {
-         return TickUtils.normalize_price(spec, impl());
-         double impl() {
-            if (double.IsNaN(bid)) {
-               if (double.IsNaN(ask)) {
-                  return settlement;
-               }
-               return _try_tick_down(spec, ask);
-            }
-            if (double.IsNaN(ask)) {
-               return bid;
-            }
-            if (spec is not null) {
-               return TickUtils.mid_tick(spec, bid, ask);
-            }
-            return bid;
-         }
-      }
-
-      static double _try_tick_down(RegionalTickFactors spec, double value) {
-         if (spec is not null) {
-            return spec.tickdown(value);
-         }
-         return value;
-      }
-   }
-}

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

@@ -16,33 +16,34 @@ namespace mbts.spark {
       long _length;
       long _high_tick;
       SecurityImmutable? _security;
-      RegionalTickFactors _regional_tick_backing;
-      RegionalTickFactors _regional_tick =>
-         _regional_tick_backing ??= TickUtils.get_regional_ticks(_security);
 
-      public LadderPriceList() { }
+      public LadderPriceList()
+         : this(RegionalTickFactors.Default) { }
+
+      public LadderPriceList(RegionalTickFactors regional_tick) =>
+         this.regional_tick = regional_tick;
 
       public LadderPriceList(LadderPriceList other) {
          _length = other._length;
          _high_tick = other._high_tick;
          _security = other._security;
+         regional_tick = other.regional_tick;
       }
 
       public event NotifyCollectionChangedEventHandler CollectionChanged;
 
-      public SecurityImmutable? security {
-         get => _security;
+      RegionalTickFactors _regional_tick;
+      public RegionalTickFactors regional_tick {
+         get => _regional_tick;
          set {
-            if (value == _security) {
-               return;
+            if (value is null) {
+               _regional_tick = RegionalTickFactors.Default;
+            } else {
+               _regional_tick = value;
             }
-            _security = value;
-            _regional_tick_backing = null;
          }
       }
 
-      public ContractSpecificationImmutable spec { get; set; }
-
       public long high_tick {
          get => _high_tick;
          set => _high_tick = value;
@@ -54,8 +55,8 @@ namespace mbts.spark {
       }
 
       public double start {
-         get => _regional_tick.tickup<double>(0, (uint)high_tick);
-         set => high_tick = _regional_tick.tickdiff(value, 0) ?? high_tick;
+         get => regional_tick.tickup<double>(0, (uint)high_tick);
+         set => high_tick = regional_tick.tickdiff(value, 0) ?? high_tick;
       }
 
       public long length {
@@ -80,7 +81,7 @@ namespace mbts.spark {
       public bool IsReadOnly => false;
 
       public double this[int idx] {
-         get => _regional_tick.tick<double>(0, high_tick - idx);
+         get => regional_tick.tick<double>(0, high_tick - idx);
          set => throw new NotSupportedException();
       }
 
@@ -94,7 +95,7 @@ namespace mbts.spark {
          GetEnumerator();
 
       public int IndexOf(double item) {
-         var idx = _regional_tick.tickdiff(start, item) ?? -1;
+         var idx = regional_tick.tickdiff(start, item) ?? -1;
          if (idx < 0 || idx >= length) {
             return -1;
          }
@@ -209,7 +210,7 @@ namespace mbts.spark {
          other != null &&
          _high_tick == other._high_tick &&
          _length == other._length &&
-         _regional_tick.safe_equals(other._regional_tick);
+         regional_tick.safe_equals(other.regional_tick);
 
       public override bool Equals(object obj) =>
          Equals(obj as LadderPriceList);
@@ -218,7 +219,7 @@ namespace mbts.spark {
          HashCode.Combine(_high_tick, _length);
 
       double _tick_to_price(long tick) =>
-         _regional_tick.tick<double>(0, tick);
+         regional_tick.tick<double>(0, tick);
 
       void _add_tick(long tick) {
          int idx;

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

@@ -31,19 +31,19 @@ namespace mbts.spark {
          Side side,
          double quantity,
          double filled,
+         double price,
          LadderSettings.BadgeStyle style,
-         Func<double, string> fmt_value = null
+         Func<double, double, string> fmt_value = null
       ) {
-         if (fmt_value is null)
-            fmt_value = FormattingDelegates.default_string<double>();
+         fmt_value ??= (v, p) => v.ToString();
          switch (style) {
             case LadderSettings.BadgeStyle.Alternate:
                var working_qty = quantity > filled ? quantity - filled : 0;
                return new[] {
-                  $"{side.abbreviate()}:{fmt_value(filled)}",
-                  $"W:{fmt_value(working_qty)}"
+                  $"{side.abbreviate()}:{fmt_value(filled, price)}",
+                  $"W:{fmt_value(working_qty, price)}"
                };
-            default: return new[] { $"{fmt_value(filled)}/{fmt_value(quantity)}" };
+            default: return new[] { $"{fmt_value(filled, price)}/{fmt_value(quantity, price)}" };
          }
       }
 
@@ -57,8 +57,7 @@ namespace mbts.spark {
    static class LadderRender {
       // Note: the orders-column has a separate "row_padding" value: Badge.DefaultMargin
       // (see how it is incorporated in measure_row_height() below)
-      public static Thickness row_padding => LadderSettings.mimic_tt ?
-         new Thickness(4, 2, 4, 2) : new Thickness(6);
+      public static Thickness row_padding => new Thickness(4, 2, 4, 2);
 
       const string tick_separator_period = ".";
       const string tick_separator_dash = "-";
@@ -102,17 +101,64 @@ namespace mbts.spark {
             settings.font_size, settings.width, row_height, HorizontalAlignment.Right,
             -4, VerticalAlignment.Center, row * row_height, true);
 
-      public static GlyphRun[] format_prices(IList<double> prices, double reference_price, bool format_in_tick_terms, double row_height, LadderColumnSettings settings, GlyphContext glyph_context, RegionalTickFactors spec) {
+      public static GlyphRun[] format_prices(
+         IList<double> prices,
+         double reference_price,
+         LadderSettings.NetChangeTerms terms,
+         double row_height,
+         LadderColumnSettings settings,
+         GlyphContext glyph_context,
+         RegionalTickFactors spec,
+         LadderSettings.PriceDisplayFormat price_display_format = LadderSettings.PriceDisplayFormat.Default
+      ) {
          var result = new GlyphRun[prices.Count];
+         string basis_pts_fmt = terms switch {
+            LadderSettings.NetChangeTerms.BasisPoints or
+            LadderSettings.NetChangeTerms.NetBasisPoints => get_basis_pts_fmt(),
+            _ => null
+         };
          Parallel.For(0, prices.Count, i =>
-            result[i] = format_text(spec.format(prices[i] - reference_price, format_in_tick_terms), i, row_height, settings, glyph_context));
-         return result;
-      }
-      public static GlyphRun[] format_prices(IList<double> prices, double row_height, LadderColumnSettings settings, GlyphContext glyph_context, RegionalTickFactors spec, LadderSettings.PriceDisplayFormat price_display_format) {
-         var result = new GlyphRun[prices.Count];
-         Parallel.For(0, prices.Count, i =>
-            result[i] = format_text(spec.format(prices[i]), i, row_height, settings, glyph_context, price_display_format));
+            result[i] = format_text(fmt(i), i, row_height, settings, glyph_context, price_display_format));
          return result;
+
+         string fmt(int i) {
+            switch (terms) {
+               case LadderSettings.NetChangeTerms.Dollars:
+                  return prices[i].ToString("0.00");
+               case LadderSettings.NetChangeTerms.BasisPoints: {
+                     if (!reference_price.is_real_non_zero()) {
+                        return spec.format(double.NaN);
+                     }
+                     var basis_pts = prices[i] * 10000.0 / reference_price;
+                     return basis_pts.ToString(basis_pts_fmt);
+                  }
+               case LadderSettings.NetChangeTerms.NetBasisPoints: {
+                     if (!reference_price.is_real_non_zero()) {
+                        return spec.format(double.NaN);
+                     }
+                     var net_basis_pts = prices[i] * 10000.0 / reference_price - 10000.0;
+                     return net_basis_pts.ToString(basis_pts_fmt);
+                  }
+               default:
+                  return spec.format(prices[i]);
+            }
+         }
+
+         string get_basis_pts_fmt() {
+            if (!reference_price.is_real_non_zero()) {
+               return "0.000";
+            }
+            var tick_sz = spec.ticksize(reference_price);
+            var basis_pt = reference_price.abs() / 10000.0;
+            var precision_log10 = Math.Log10(tick_sz / basis_pt);
+            int n = 0;
+            if (precision_log10 < 0) {
+               n = (int)Math.Ceiling(-precision_log10);
+            }
+            return n < 1
+               ? "0"
+               : "0." + new string('0', n);
+         }
       }
 
       public static void clear_prices(DrawingVisual price, int row_count, double row_height, LadderColumnSettings settings, GlyphContext glyph_context) {
@@ -128,51 +174,20 @@ namespace mbts.spark {
       public static void render_prices(
          DrawingVisual price,
          GlyphContext glyph_context,
-         IList<double> price_list,
+         IList<double> dprices,
          double wrt_price,
-         bool format_in_tick_terms,
+         LadderSettings.NetChangeTerms terms,
          double row_height,
          LadderColumnSettings settings,
-         RegionalTickFactors tick) {
-         if (price_list.IsNullOrEmpty()) {
+         RegionalTickFactors tick,
+         LadderSettings.PriceDisplayFormat price_display_format = LadderSettings.PriceDisplayFormat.Default) {
+         if (dprices.IsNullOrEmpty()) {
             return;
          }
-         render_prices(
-            price, glyph_context, price_list, row_height, settings, tick,
-            wrt_price, format_in_tick_terms);
-      }
-
-      public static void render_prices(
-         DrawingVisual price,
-         GlyphContext glyph_context,
-         IList<double> dprices,
-         double row_height,
-         LadderColumnSettings settings,
-         RegionalTickFactors tick,
-         double wrt_price,
-         bool format_in_tick_terms) {
          var foreground = settings.foreground.rgb_brush();
          //var background = new SolidColorBrush(settings.background.rgb_color());
-         var fprices = format_prices(dprices, wrt_price, format_in_tick_terms, row_height, settings, glyph_context, tick);
-         using (var dc = price.RenderOpen())
-         using (_draw_with_clip(dc, settings, row_height, dprices.Count)) {
-            //dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, row_count * row_height));
-            for (int x = 0; x < dprices.Count; ++x)
-               dc.DrawGlyphRun(foreground, fprices[x]);
-         }
-      }
-
-      public static void render_prices(
-         DrawingVisual price,
-         GlyphContext glyph_context,
-         IList<double> dprices,
-         double row_height,
-         LadderColumnSettings settings,
-         RegionalTickFactors tick,
-         LadderSettings.PriceDisplayFormat price_display_format) {
-         var foreground = settings.foreground.rgb_brush();
-         //var background = new SolidColorBrush(settings.background.rgb_color());
-         var fprices = format_prices(dprices, row_height, settings, glyph_context, tick, price_display_format);
+         var fprices = format_prices(
+            dprices, wrt_price, terms, row_height, settings, glyph_context, tick, price_display_format);
          using (var dc = price.RenderOpen())
          using (_draw_with_clip(dc, settings, row_height, dprices.Count)) {
             //dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, row_count * row_height));
@@ -198,69 +213,78 @@ namespace mbts.spark {
          }
       }
 
+      public static void RenderSizes(
+         DrawingVisual dv,
+         GlyphContext glyphContext,
+         int originIndex,
+         IList<double> prices,
+         IEnumerable<LadderPriceLevel> levels,
+         double rowHeight,
+         RegionalTickFactors spec,
+         LadderColumnSettings settings,
+         Func<LadderPriceLevel, string> fmt) {
+         var bg = settings.background.rgb_color().blend((BTSColor)0x2AFFFFFF).to_brush();
+         using (var dc = dv.RenderOpen())
+         using (_draw_with_clip(dc, settings, rowHeight, prices.Count))
+         using (var levelsEn = (levels ?? Enumerable.Empty<LadderPriceLevel>()).GetEnumerator()) {
+            var fg = settings.foreground.rgb_brush();
+            var currIdx = originIndex;
+            var currPrice = prices[currIdx];
+            while (levelsEn.MoveNext()) {
+               var level = levelsEn.Current;
+               var ticks = spec.count_ticks(level.Price);
+               var price = ticks.HasValue ? spec.tickup(0, ticks.Value) : level.Price;
+               // prices are in descending order, so get diff from curr_price - price
+               var tickDiff = spec.tickdiff(currPrice, price).assert_value();
+               if (!MathUtils.try_increment(ref currIdx, tickDiff) || currIdx < 0 || currIdx >= prices.Count) {
+                  continue;
+               }
+               currPrice = price;
+               if (bg is not null) {
+                  var y = currIdx * rowHeight + GRID_LINE_HEIGHT;
+                  var height = rowHeight - GRID_LINE_HEIGHT;
+                  dc.DrawRectangle(bg, null, new Rect(0, y, settings.width, height));
+               }
+               var gr = format_text(fmt(level), currIdx, rowHeight, settings, glyphContext);
+               dc.DrawGlyphRun(fg, gr);
+            }
+         }
+      }
+
+      public static IEnumerable<LadderPriceLevel> GetLevels(IEnumerable<(double Price, double Volume, double NotionalValue)> depth, RegionalTickFactors spec) =>
+          depth.TakeWhile(nps => nps.Volume > 0 && nps.Price.is_real())
+            .AggregateConsecutiveGroups(
+               LadderPriceLevel.Empty.ToBuilder,
+               (bd, rung) => {
+                  bd.Add(rung.Price, rung.Volume, rung.NotionalValue);
+                  return bd;
+               },
+               rung => {
+                  var ticks = spec.count_ticks(rung.Price);
+                  return ticks.HasValue ? spec.tickup(0, ticks.Value) : rung.Price;
+               })
+            .Select(bd => bd.ToImmutable());
+
       public static void render_sizes(
          DrawingVisual dv,
          GlyphContext glyph_context,
          int origin_index,
          IList<double> prices,
-         NativePriceSize[] rungs,
+         IEnumerable<(double Price, double Volume, double NotionalValue)> rungs,
          double row_height,
          RegionalTickFactors spec,
          LadderColumnSettings settings,
-         Func<NativePriceSize, string> fmt,
-         bool lighten_market_cells,
-         Color? market_cell_background) {
-         //var background = new SolidColorBrush(settings.background.rgb_color());
-         Brush market_cell_background_brush;
-         if (market_cell_background.HasValue) {
-            market_cell_background_brush = new SolidColorBrush(market_cell_background.Value);
-         } else if (lighten_market_cells) {
-            market_cell_background_brush = settings.background.rgb_color()
-            .blend((BTSColor)0x2AFFFFFF)
-            .to_brush();
-         } else {
-            market_cell_background_brush = null;
-         }
-         // market_cell_background_brush = settings.background.rgb_color().blend((BTSColor)0xFF000000).to_brush();
-         using (var dc = dv.RenderOpen())
-         using (_draw_with_clip(dc, settings, row_height, prices.Count)) {
-            //dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, prices.Count * row_height));
-            if (!prices.within_range(origin_index) || rungs.is_null_or_empty())
-               return;
-            var foreground = settings.foreground.rgb_brush();
-            int curr_index = origin_index;
-            double curr_price = prices[curr_index];
-            NativePriceSize curr_size = NativePriceSize.NO_MARKET;
-            var row_tick_groups = rungs
-               .TakeWhile(nps => !nps.is_nan)
-               .AggregateConsecutiveGroups(() => NativePriceSize.NO_MARKET,
-                  (aggr, rung) => rung.with(
-                     direct_size: aggr.direct_size + rung.direct_size,
-                     implied_size: aggr.implied_size + rung.implied_size),
-                  rung => {
-                     var ticks = spec.count_ticks(rung.price);
-                     return ticks.HasValue ? spec.tickup(0, ticks.Value) : rung.price;
-                  });
-            foreach (var rung in row_tick_groups) {
-               //double price = spec.round_to_tick(rung.price);
-               var ticks = spec.count_ticks(rung.price);
-               var price = ticks.HasValue ? spec.tickup(0, ticks.Value) : rung.price;
-               // prices are in descending order, so get diff from curr_price - price
-               var tick_diff = spec.tickdiff(curr_price, price).assert_value();
-               if (!MathUtils.try_increment(ref curr_index, tick_diff)) {
-                  continue;
-               }
-               curr_price = price;
-               if (curr_index >= 0 && curr_index < prices.Count) {
-                  if (market_cell_background_brush != null)
-                     dc.DrawRectangle(market_cell_background_brush, null,
-                        new Rect(0, curr_index * row_height + GRID_LINE_HEIGHT,
-                           settings.width, row_height - GRID_LINE_HEIGHT));
-                  var gr = format_text(fmt(rung), curr_index, row_height, settings, glyph_context);
-                  dc.DrawGlyphRun(foreground, gr);
-               } else break;
-            }
-         }
+         Func<LadderPriceLevel, string> fmt) {
+         RenderSizes(
+            dv,
+            glyph_context,
+            origin_index,
+            prices,
+            GetLevels(rungs, spec),
+            row_height,
+            spec,
+            settings,
+            fmt);
       }
 
       public static void render_volumes(
@@ -273,7 +297,7 @@ namespace mbts.spark {
          VolumeColumnSettings settings,
          int last_index,
          string last_size_and_direction,
-         Func<double, string> fmt_value) {
+         Func<double, double, string> fmt_value) {
          //
          if (!data.Any()) {
             _clear_visual(dv);
@@ -296,12 +320,12 @@ namespace mbts.spark {
             _clear_visual(dv);
             return;
          }
-         fmt_value ??= FormattingDelegates.default_string<double>();
+         fmt_value ??= (v, p) => v.ToString();
          // inflate the max so that the graph never fills the available space
          double max = data.Max(v => v.Volume) * 1.1;
          _render_cells(dv, row_height, data.Select(d => (d.Price, d)), settings.general, prices, spec, render_cell);
          /// local methods
-         void render_cell(DrawingContext dc, int r, VolumeAtPriceLevelImmutable vap) {
+         void render_cell(DrawingContext dc, int r, double price, VolumeAtPriceLevelImmutable vap) {
             Brush text_brush = settings.general.foreground.rgb_brush();
             double y = row_height * r;
             var last_trade_here = r == last_index;
@@ -328,11 +352,11 @@ namespace mbts.spark {
                }
                x_bar += width;
                if (show_numbers)
-                  numbers_text.Add(fmt_value(v));
+                  numbers_text.Add(fmt_value(v, vap.Price));
             }
 
             if (settings.total.show_numbers) {
-               numbers_text.Add(fmt_value(vap.Volume));
+               numbers_text.Add(fmt_value(vap.Volume, vap.Price));
             }
             if (settings.show_ltq && last_trade_here) {
                numbers_text.Clear();
@@ -359,9 +383,17 @@ namespace mbts.spark {
          }
       }
 
-      public delegate void RenderCell<T>(DrawingContext dc, int row, T data_item);
+      public delegate void RenderCell<T>(DrawingContext dc, int row, double price, T data_item);
 
-      static void _render_cells<T>(DrawingVisual dv, double row_height, IEnumerable<(double price, T value)> cells, LadderColumnSettings settings, IList<double> prices, RegionalTickFactors spec, RenderCell<T> render_cell) {
+      static void _render_cells<T>(
+         DrawingVisual dv,
+         double row_height,
+         IEnumerable<(double price, T value)> cells,
+         LadderColumnSettings settings,
+         IList<double> prices,
+         RegionalTickFactors spec,
+         RenderCell<T> render_cell
+      ) {
          using (var dc = dv.RenderOpen())
          using (_draw_with_clip(dc, settings, row_height, prices.Count)) {
             if (prices.is_null_or_empty() || cells.is_null_or_empty()) {
@@ -381,7 +413,7 @@ namespace mbts.spark {
                var check_price = spec.tickdown(max_price, idx);
                Log.assert(spec.tick_equals(price, check_price));
                Log.assert(idx >= 0 && idx < prices.Count);
-               render_cell(dc, idx, value);
+               render_cell(dc, idx, price, value);
             }
          }
       }
@@ -393,10 +425,10 @@ namespace mbts.spark {
          int index,
          double row_height,
          LadderColumnSettings settings,
-         Func<double, string> fmt_value) {
-         fmt_value ??= FormattingDelegates.default_string<double>();
+         Func<NativePriceSize, string> fmt_value) {
+         fmt_value ??= nps => nps.size.ToString();
          using (var dc = dv.RenderOpen()) {
-            var gr = format_text(fmt_value(last.size), index, row_height, settings, glyph_context);
+            var gr = format_text(fmt_value(last), index, row_height, settings, glyph_context);
             dc.DrawGlyphRun(settings.foreground.rgb_brush(), gr);
          }
       }
@@ -410,13 +442,13 @@ namespace mbts.spark {
          double row_height,
          RegionalTickFactors spec,
          LadderColumnSettings settings,
-         Func<double, string> fmt_value
+         Func<double, double, string> fmt_value
       ) {
-         fmt_value ??= FormattingDelegates.default_string<double>();
+         fmt_value ??= (v, p) => v.ToString();
          var fg = settings.foreground.rgb_brush();
-         _render_cells(dv, row_height, pvp, settings, prices, spec, (dc, row, piq) =>
+         _render_cells(dv, row_height, pvp, settings, prices, spec, (dc, row, price, piq) =>
             dc.DrawGlyphRun(
-               fg, format_text(fmt_value(piq), row, row_height, settings, glyph_context)));
+               fg, format_text(fmt_value(piq, price), row, row_height, settings, glyph_context)));
       }
 
       public static void render_mkt_break(DrawingVisual dv, int index, double row_height, uint color) =>

src/client/spark/Modules/Trading/Ladder/View/LadderView.xaml

@@ -39,6 +39,9 @@
 
       <cv:EnumCharacterCasingConverter x:Key="casing_converter"/>
       <cv:GridLengthConverter x:Key="GridLengthPixelConverter" UnitType="Pixel" />
+      <cv:ResponsiveTextConverter x:Key="BidPriceTextConverter" LongText="Bid:" ShortText="B:" Threshold="99" />
+      <cv:ResponsiveTextConverter x:Key="AskPriceTextConverter" LongText="Ask:" ShortText="A:" Threshold="99" />
+      <cv:ResponsiveTextConverter x:Key="MidPriceTextConverter" LongText="Mid:" ShortText="M:" Threshold="99" />
       <cv:ResponsiveTextConverter x:Key="DayTextConverter" LongText="Day:" ShortText="D:" Threshold="99" />
       <cv:ResponsiveTextConverter x:Key="HighTextConverter" LongText="High:" ShortText="H:" Threshold="99"  />
       <cv:ResponsiveTextConverter x:Key="LowTextConverter" LongText="Low:" ShortText="L:" Threshold="99" />
@@ -179,7 +182,7 @@
       </Style>
 
       <Style x:Key="CancelAll" TargetType="Button" BasedOn="{StaticResource LadderMenuButton}">
-        <Setter Property="Grid.Row" Value="2" />
+        <Setter Property="Grid.Row" Value="0"/>
         <Setter Property="Content">
           <Setter.Value>
             <TextBlock VerticalAlignment="Center">Cancel All</TextBlock>
@@ -217,10 +220,7 @@
           </Setter.Value>
         </Setter>
       </Style>
-      <Style x:Key="TT_CancelAll" TargetType="Button" BasedOn="{StaticResource CancelAll}">
-        <Setter Property="Grid.Row" Value="0"/>
-      </Style>
-      <Style x:Key="TT_CancelBuys" TargetType="Button" BasedOn="{StaticResource CancelAll}">
+      <Style x:Key="CancelBuys" TargetType="Button" BasedOn="{StaticResource CancelAll}">
         <Setter Property="Grid.Row" Value="1" />
         <Setter Property="Content">
           <Setter.Value>
@@ -228,7 +228,7 @@
           </Setter.Value>
         </Setter>
       </Style>
-      <Style x:Key="TT_CancelSells" TargetType="Button" BasedOn="{StaticResource CancelAll}">
+      <Style x:Key="CancelSells" TargetType="Button" BasedOn="{StaticResource CancelAll}">
         <Setter Property="Grid.Row" Value="2" />
         <Setter Property="Content">
           <Setter.Value>
@@ -236,83 +236,6 @@
           </Setter.Value>
         </Setter>
       </Style>
-      <Style x:Key="CancelBuys" TargetType="Button" BasedOn="{StaticResource LadderMenuButton}">
-        <Setter Property="Grid.Row" Value="0" />
-        <Setter Property="Content">
-          <Setter.Value>
-            <TextBlock VerticalAlignment="Center" Foreground="{Binding bid_foreground}">
-              Cancel Buys
-            </TextBlock>
-          </Setter.Value>
-        </Setter>
-        <Setter Property="Template">
-          <Setter.Value>
-            <ControlTemplate TargetType="Button">
-              <Border
-                x:Name="Border"
-                BorderThickness="{TemplateBinding BorderThickness}"
-                BorderBrush="{u:BTSColor UI.Button.normal_border}"
-                Background="{Binding bid_background}"
-                Padding="{TemplateBinding Padding}"
-                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>
-      <Style x:Key="CancelSells" TargetType="Button" BasedOn="{StaticResource LadderMenuButton}">
-        <Setter Property="Background" Value="{u:BTSColor MarketData.ask}" />
-        <Setter Property="Grid.Row" Value="1" />
-        <Setter Property="Content">
-          <Setter.Value>
-            <TextBlock VerticalAlignment="Center" Foreground="{Binding ask_foreground}">
-              Cancel Sells
-            </TextBlock>
-          </Setter.Value>
-        </Setter>
-        <Setter Property="Template">
-          <Setter.Value>
-            <ControlTemplate TargetType="Button">
-              <Border
-                x:Name="Border"
-                BorderThickness="{TemplateBinding BorderThickness}"
-                BorderBrush="{u:BTSColor UI.Button.normal_border}"
-                Background="{Binding ask_background}"
-                Padding="{TemplateBinding Padding}"
-                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="SettingsButton" TargetType="Button" BasedOn="{StaticResource LadderMenuButton}">
         <Setter Property="Content">
           <Setter.Value>
@@ -363,13 +286,103 @@
         <Setter Property="Grid.Column" Value="2"/>
         <Setter Property="HorizontalAlignment" Value="Stretch"/>
         <Setter Property="Margin" Value="0,0,0,2"/>
-        <Setter Property="Padding" Value="1"/>
+        <Setter Property="Padding" Value="4,1"/>
       </Style>
       <Style x:Key="LeftPanelPricePointText" TargetType="TextBlock">
+        <Setter Property="HorizontalAlignment" Value="Right" />
         <Setter Property="FontWeight" Value="Bold"/>
         <Setter Property="Foreground" Value="{u:BTSColor UI.default_text}"/>
       </Style>
 
+      <Style x:Key="LeftPanelPricePointButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
+        <Setter Property="Grid.Column" Value="2" />
+        <Setter Property="BorderThickness" Value="0" />
+        <Setter Property="HorizontalAlignment" Value="Stretch" />
+        <Setter Property="HorizontalContentAlignment" Value="Right" />
+        <Setter Property="Margin" Value="0,0,0,2" />
+        <Setter Property="Padding" Value="4,1" />
+        <Setter Property="Cursor" Value="Hand" />
+        <Setter Property="Template">
+          <Setter.Value>
+            <ControlTemplate TargetType="Button">
+              <Border
+                x:Name="Border"
+                Background="{TemplateBinding Background}"
+                BorderThickness="{TemplateBinding BorderThickness}"
+                CornerRadius="0"
+                Height="Auto"
+                Padding="0"
+                SnapsToDevicePixels="True">
+                <VisualStateManager.VisualStateGroups>
+                  <VisualStateGroup Name="CommonStates">
+                    <VisualState Name="Normal" />
+
+                    <VisualState Name="MouseOver">
+                      <Storyboard>
+                        <DoubleAnimation Storyboard.TargetName="HoverRect" Storyboard.TargetProperty="Fill.Opacity" BeginTime="0" Duration="00:00:00.15" To="0.20">
+                          <DoubleAnimation.EasingFunction>
+                            <QuadraticEase />
+                          </DoubleAnimation.EasingFunction>
+                        </DoubleAnimation>
+                        <ObjectAnimationUsingKeyFrames Storyboard.TargetName="Border" Storyboard.TargetProperty="BorderBrush">
+                          <DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSBrush UI.Button.mouseover_border}" />
+                        </ObjectAnimationUsingKeyFrames>
+                      </Storyboard>
+                    </VisualState>
+
+                    <VisualState Name="Pressed">
+                      <Storyboard>
+                        <ObjectAnimationUsingKeyFrames Storyboard.TargetName="Border" Storyboard.TargetProperty="Background">
+                          <DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSBrush UI.Button.pressed_background}" />
+                        </ObjectAnimationUsingKeyFrames>
+                        <ObjectAnimationUsingKeyFrames Storyboard.TargetName="Border" Storyboard.TargetProperty="BorderBrush">
+                          <DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSBrush UI.Button.pressed_border}" />
+                        </ObjectAnimationUsingKeyFrames>
+                      </Storyboard>
+                    </VisualState>
+
+                    <VisualState Name="Disabled">
+                      <Storyboard>
+                        <ObjectAnimationUsingKeyFrames Storyboard.TargetName="Border" Storyboard.TargetProperty="Background">
+                          <DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSBrush UI.Button.disabled_background}" />
+                        </ObjectAnimationUsingKeyFrames>
+                        <ObjectAnimationUsingKeyFrames Storyboard.TargetName="Border" Storyboard.TargetProperty="BorderBrush">
+                          <DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSBrush UI.Button.disabled_border}" />
+                        </ObjectAnimationUsingKeyFrames>
+                      </Storyboard>
+                    </VisualState>
+                  </VisualStateGroup>
+
+                  <VisualStateGroup Name="FocusStates">
+                    <VisualState Name="Unfocused" />
+
+                    <VisualState Name="Focused">
+                      <Storyboard>
+                        <ObjectAnimationUsingKeyFrames Storyboard.TargetName="Border" Storyboard.TargetProperty="BorderBrush">
+                          <DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSBrush UI.Button.focused_border}" />
+                        </ObjectAnimationUsingKeyFrames>
+                      </Storyboard>
+                    </VisualState>
+                  </VisualStateGroup>
+                </VisualStateManager.VisualStateGroups>
+                <Grid>
+                <Rectangle Name="HoverRect" HorizontalAlignment="Stretch" VerticalAlignment="Stretch" IsHitTestVisible="False">
+                  <Rectangle.Fill>
+                    <SolidColorBrush Color="White" Opacity="0" />
+                  </Rectangle.Fill>
+                </Rectangle>
+                <ContentPresenter
+                  Margin="{TemplateBinding Padding}"
+                  HorizontalAlignment="{TemplateBinding HorizontalContentAlignment}"
+                  VerticalAlignment="{TemplateBinding VerticalContentAlignment}"
+                  RecognizesAccessKey="True" />
+                </Grid>
+              </Border>
+            </ControlTemplate>
+          </Setter.Value>
+        </Setter>
+      </Style>
+
       <sys:Double x:Key="MaxZoomFactor">1.5</sys:Double>
       <sys:Double x:Key="MinZoomFactor">0.5</sys:Double>
     </ResourceDictionary>
@@ -434,6 +447,9 @@
                 <RowDefinition Height="Auto"/>
                 <RowDefinition Height="Auto"/>
                 <RowDefinition Height="Auto"/>
+                <RowDefinition Height="Auto"/>
+                <RowDefinition Height="Auto"/>
+                <RowDefinition Height="Auto"/>
               </Grid.RowDefinitions>
               <Grid.ColumnDefinitions>
                 <ColumnDefinition Width="Auto"/>
@@ -441,9 +457,123 @@
                 <ColumnDefinition Width="Auto"/>
               </Grid.ColumnDefinitions>
 
-              <!-- Day Change (label) -->
+              <!-- Ask Price (label) -->
               <TextBlock
                 Grid.Row="0"
+                Text="{Binding left_panel_width, Converter={StaticResource AskPriceTextConverter}}"
+                Visibility="{Binding
+                  ask_price_style.actual_show_label,
+                  Converter={StaticResource BooleanToVisibilityConverter}}"
+                Style="{StaticResource LeftPanelPricePointLabel}" />
+
+              <!-- Ask Price (value) -->
+              <Button
+                Grid.Row="0"
+                Visibility="{Binding
+                  ask_price_style.show, Converter={StaticResource BooleanToVisibilityConverter}}"
+                ToolTip="Ask"
+                Command="{Binding go_to_price_cmd}"
+                CommandParameter="{Binding ask_price}"
+                Style="{StaticResource LeftPanelPricePointButton}">
+                <Button.Background>
+                  <SolidColorBrush Color="{Binding ask_price_style.background_color}" Opacity="1" />
+                </Button.Background>
+                <TextBlock
+                  FontFamily="{Binding ask_price_style.font_family}"
+                  FontSize="{Binding ask_price_style.font_size}"
+                  FontWeight="{Binding ask_price_style.font_weight}"
+                  Foreground="{Binding
+                    ask_price_style.font_color,
+                    Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+                  Style="{StaticResource LeftPanelPricePointText}">
+                  <TextBlock.Text>
+                    <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                      <Binding Path="ask_price"/>
+                      <Binding Path="security.ContractSpec"/>
+                    </MultiBinding>
+                  </TextBlock.Text>
+                </TextBlock>
+              </Button>
+
+              <!-- Mid Price (label) -->
+              <TextBlock
+                Grid.Row="1"
+                Text="{Binding left_panel_width, Converter={StaticResource MidPriceTextConverter}}"
+                Visibility="{Binding
+                  mid_price_style.actual_show_label,
+                  Converter={StaticResource BooleanToVisibilityConverter}}"
+                Style="{StaticResource LeftPanelPricePointLabel}" />
+
+              <!-- Mid Price (value) -->
+              <Button
+                Grid.Row="1"
+                Command="{Binding go_to_price_cmd}"
+                CommandParameter="{Binding mid_price}"
+                Visibility="{Binding
+                  mid_price_style.show, Converter={StaticResource BooleanToVisibilityConverter}}"
+                ToolTip="Mid"
+                Style="{StaticResource LeftPanelPricePointButton}">
+                <Button.Background>
+                  <SolidColorBrush Color="{Binding mid_price_style.background_color}" Opacity="1" />
+                </Button.Background>
+                <TextBlock
+                  FontFamily="{Binding mid_price_style.font_family}"
+                  FontSize="{Binding mid_price_style.font_size}"
+                  FontWeight="{Binding mid_price_style.font_weight}"
+                  Foreground="{Binding
+                    mid_price_style.font_color,
+                    Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+                  Style="{StaticResource LeftPanelPricePointText}">
+                  <TextBlock.Text>
+                    <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                      <Binding Path="mid_price"/>
+                      <Binding Path="security.ContractSpec"/>
+                    </MultiBinding>
+                  </TextBlock.Text>
+                </TextBlock>
+              </Button>
+
+              <!-- Bid Price (label) -->
+              <TextBlock
+                Grid.Row="2"
+                Text="{Binding left_panel_width, Converter={StaticResource BidPriceTextConverter}}"
+                Visibility="{Binding
+                  bid_price_style.actual_show_label,
+                  Converter={StaticResource BooleanToVisibilityConverter}}"
+                Style="{StaticResource LeftPanelPricePointLabel}" />
+
+              <!-- Bid Price (value) -->
+              <Button
+                Grid.Row="2"
+                Command="{Binding go_to_price_cmd}"
+                CommandParameter="{Binding bid_price}"
+                Visibility="{Binding
+                  bid_price_style.show, Converter={StaticResource BooleanToVisibilityConverter}}"
+                ToolTip="Bid"
+                Style="{StaticResource LeftPanelPricePointButton}">
+                <Button.Background>
+                  <SolidColorBrush Color="{Binding bid_price_style.background_color}" Opacity="1" />
+                </Button.Background>
+                <TextBlock
+                  FontFamily="{Binding bid_price_style.font_family}"
+                  FontSize="{Binding bid_price_style.font_size}"
+                  FontWeight="{Binding bid_price_style.font_weight}"
+                  Foreground="{Binding
+                    bid_price_style.font_color,
+                    Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+                  Style="{StaticResource LeftPanelPricePointText}">
+                  <TextBlock.Text>
+                    <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                      <Binding Path="bid_price"/>
+                      <Binding Path="security.ContractSpec"/>
+                    </MultiBinding>
+                  </TextBlock.Text>
+                </TextBlock>
+              </Button>
+
+              <!-- Day Change (label) -->
+              <TextBlock
+                Grid.Row="3"
                 Text="{Binding left_panel_width, Converter={StaticResource DayTextConverter}}"
                 Visibility="{Binding
                   day_change_style.actual_show_label,
@@ -452,7 +582,7 @@
 
               <!-- Day Change (value) -->
               <Border
-                Grid.Row="0"
+                Grid.Row="3"
                 Background="{Binding
                   day_change_background_color,
                   Converter={x:Static cv:ColorToBrushConverter.Instance}}"
@@ -479,7 +609,7 @@
 
               <!-- High (label) -->
               <TextBlock
-                Grid.Row="1"
+                Grid.Row="4"
                 Text="{Binding left_panel_width, Converter={StaticResource HighTextConverter}}"
                 Visibility="{Binding
                   session_high_style.actual_show_label,
@@ -487,15 +617,17 @@
                 Style="{StaticResource LeftPanelPricePointLabel}" />
 
               <!-- High (value) -->
-              <Border
-                Grid.Row="1"
+              <Button
+                Grid.Row="4"
                 Background="{Binding
                   session_high_style.background_color,
                   Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+                Command="{Binding go_to_price_cmd}"
+                CommandParameter="{Binding session_high}"
                 Visibility="{Binding
                   session_high_style.show, Converter={StaticResource BooleanToVisibilityConverter}}"
                 ToolTip="Session High"
-                Style="{StaticResource LeftPanelPricePointBorder}">
+                Style="{StaticResource LeftPanelPricePointButton}">
                 <TextBlock
                   FontFamily="{Binding session_high_style.font_family}"
                   FontSize="{Binding session_high_style.font_size}"
@@ -504,24 +636,19 @@
                     session_high_style.font_color,
                     Converter={x:Static cv:ColorToBrushConverter.Instance}}"
                   Style="{StaticResource LeftPanelPricePointText}">
-                  <Hyperlink
-                    Command="{Binding go_to_price_cmd}" CommandParameter="{Binding session_high}">
-                    <TextBlock>
-                      <TextBlock.Text>
-                        <MultiBinding
-                          Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
-                          <Binding Path="session_high"/>
-                          <Binding Path="security.ContractSpec"/>
-                        </MultiBinding>
-                      </TextBlock.Text>
-                    </TextBlock>
-                  </Hyperlink>
+                  <TextBlock.Text>
+                    <MultiBinding
+                      Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                      <Binding Path="session_high"/>
+                      <Binding Path="security.ContractSpec"/>
+                    </MultiBinding>
+                  </TextBlock.Text>
                 </TextBlock>
-              </Border>
+              </Button>
 
               <!-- Low (label) -->
               <TextBlock
-                Grid.Row="2"
+                Grid.Row="5"
                 Text="{Binding left_panel_width, Converter={StaticResource LowTextConverter}}"
                 Visibility="{Binding
                   session_low_style.actual_show_label,
@@ -529,15 +656,17 @@
                 Style="{StaticResource LeftPanelPricePointLabel}" />
 
               <!-- Low (value) -->
-              <Border
-                Grid.Row="2"
+              <Button
+                Grid.Row="5"
                 Background="{Binding
                   session_low_style.background_color,
                   Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+                Command="{Binding go_to_price_cmd}"
+                CommandParameter="{Binding session_low}"
                 Visibility="{Binding
                   session_low_style.show, Converter={StaticResource BooleanToVisibilityConverter}}"
                 ToolTip="Session Low"
-                Style="{StaticResource LeftPanelPricePointBorder}">
+                Style="{StaticResource LeftPanelPricePointButton}">
                 <TextBlock
                   FontFamily="{Binding session_low_style.font_family}"
                   FontSize="{Binding session_low_style.font_size}"
@@ -546,24 +675,19 @@
                     session_low_style.font_color,
                     Converter={x:Static cv:ColorToBrushConverter.Instance}}"
                   Style="{StaticResource LeftPanelPricePointText}">
-                  <Hyperlink
-                    Command="{Binding go_to_price_cmd}" CommandParameter="{Binding session_low}">
-                    <TextBlock>
-                      <TextBlock.Text>
-                        <MultiBinding
-                          Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
-                          <Binding Path="session_low"/>
-                          <Binding Path="security.ContractSpec"/>
-                        </MultiBinding>
-                      </TextBlock.Text>
-                    </TextBlock>
-                  </Hyperlink>
+                  <TextBlock.Text>
+                    <MultiBinding
+                      Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                      <Binding Path="session_low"/>
+                      <Binding Path="security.ContractSpec"/>
+                    </MultiBinding>
+                  </TextBlock.Text>
                 </TextBlock>
-              </Border>
+              </Button>
 
               <!-- Open (label) -->
               <TextBlock
-                Grid.Row="3"
+                Grid.Row="6"
                 Text="{Binding left_panel_width, Converter={StaticResource OpenTextConverter}}"
                 Visibility="{Binding
                   open_style.actual_show_label,
@@ -571,15 +695,17 @@
                 Style="{StaticResource LeftPanelPricePointLabel}" />
 
               <!-- Open (value) -->
-              <Border
-                Grid.Row="3"
+              <Button
+                Grid.Row="6"
                 Background="{Binding
                   open_style.background_color,
                   Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+                Command="{Binding go_to_price_cmd}"
+                CommandParameter="{Binding open}"
                 Visibility="{Binding
                   open_style.show, Converter={StaticResource BooleanToVisibilityConverter}}"
                 ToolTip="Open"
-                Style="{StaticResource LeftPanelPricePointBorder}">
+                Style="{StaticResource LeftPanelPricePointButton}">
                 <TextBlock
                   FontFamily="{Binding open_style.font_family}"
                   FontSize="{Binding open_style.font_size}"
@@ -587,23 +713,19 @@
                   Foreground="{Binding
                     open_style.font_color, Converter={x:Static cv:ColorToBrushConverter.Instance}}"
                   Style="{StaticResource LeftPanelPricePointText}">
-                  <Hyperlink Command="{Binding go_to_price_cmd}" CommandParameter="{Binding open}">
-                    <TextBlock>
-                      <TextBlock.Text>
-                        <MultiBinding
-                          Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
-                          <Binding Path="open"/>
-                          <Binding Path="security.ContractSpec"/>
-                        </MultiBinding>
-                      </TextBlock.Text>
-                    </TextBlock>
-                  </Hyperlink>
+                  <TextBlock.Text>
+                    <MultiBinding
+                      Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                      <Binding Path="open"/>
+                      <Binding Path="security.ContractSpec"/>
+                    </MultiBinding>
+                  </TextBlock.Text>
                 </TextBlock>
-              </Border>
+              </Button>
 
               <!-- Settlement (label) -->
               <TextBlock
-                Grid.Row="4"
+                Grid.Row="7"
                 Text="{Binding
                   left_panel_width, Converter={StaticResource SettlementTextConverter}}"
                 Visibility="{Binding
@@ -612,15 +734,17 @@
                 Style="{StaticResource LeftPanelPricePointLabel}" />
 
               <!-- Settlement (value) -->
-              <Border
-                Grid.Row="4"
+              <Button
+                Grid.Row="7"
                 Background="{Binding
                   settlement_style.background_color,
                   Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+                Command="{Binding go_to_price_cmd}"
+                CommandParameter="{Binding settlement}"
                 Visibility="{Binding
                   settlement_style.show, Converter={StaticResource BooleanToVisibilityConverter}}"
                 ToolTip="Settlement"
-                Style="{StaticResource LeftPanelPricePointBorder}">
+                Style="{StaticResource LeftPanelPricePointButton}">
                 <TextBlock
                   FontFamily="{Binding settlement_style.font_family}"
                   FontSize="{Binding settlement_style.font_size}"
@@ -629,23 +753,18 @@
                     settlement_style.font_color,
                     Converter={x:Static cv:ColorToBrushConverter.Instance}}"
                   Style="{StaticResource LeftPanelPricePointText}">
-                  <Hyperlink
-                    Command="{Binding go_to_price_cmd}" CommandParameter="{Binding settlement}">
-                    <TextBlock>
-                      <TextBlock.Text>
-                        <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
-                          <Binding Path="settlement"/>
-                          <Binding Path="security.ContractSpec"/>
-                        </MultiBinding>
-                      </TextBlock.Text>
-                    </TextBlock>
-                  </Hyperlink>
+                  <TextBlock.Text>
+                    <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                      <Binding Path="settlement"/>
+                      <Binding Path="security.ContractSpec"/>
+                    </MultiBinding>
+                  </TextBlock.Text>
                 </TextBlock>
-              </Border>
+              </Button>
 
               <!-- Theo (label) -->
               <TextBlock
-                Grid.Row="5"
+                Grid.Row="8"
                 Text="{Binding left_panel_width, Converter={StaticResource TheoTextConverter}}"
                 Visibility="{Binding
                   theo_style.actual_show_label,
@@ -653,15 +772,17 @@
                 Style="{StaticResource LeftPanelPricePointLabel}" />
 
               <!-- Theo (value) -->
-              <Border
-                Grid.Row="5"
+              <Button
+                Grid.Row="8"
                 Background="{Binding
                   theo_style.background_color,
                   Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+                Command="{Binding go_to_price_cmd}"
+                CommandParameter="{Binding theo}"
                 Visibility="{Binding
                   theo_style.show, Converter={StaticResource BooleanToVisibilityConverter}}"
                 ToolTip="Theo"
-                Style="{StaticResource LeftPanelPricePointBorder}">
+                Style="{StaticResource LeftPanelPricePointButton}">
                 <TextBlock
                   FontFamily="{Binding theo_style.font_family}"
                   FontSize="{Binding theo_style.font_size}"
@@ -669,23 +790,19 @@
                   Foreground="{Binding
                     theo_style.font_color, Converter={x:Static cv:ColorToBrushConverter.Instance}}"
                   Style="{StaticResource LeftPanelPricePointText}">
-                  <Hyperlink Command="{Binding go_to_price_cmd}" CommandParameter="{Binding theo}">
-                    <TextBlock>
-                      <TextBlock.Text>
-                        <MultiBinding
-                          Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
-                          <Binding Path="theo"/>
-                          <Binding Path="security.ContractSpec"/>
-                        </MultiBinding>
-                      </TextBlock.Text>
-                    </TextBlock>
-                  </Hyperlink>
+                  <TextBlock.Text>
+                    <MultiBinding
+                      Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                      <Binding Path="theo"/>
+                      <Binding Path="security.ContractSpec"/>
+                    </MultiBinding>
+                  </TextBlock.Text>
                 </TextBlock>
-              </Border>
+              </Button>
 
               <!-- Delta -->
               <TextBlock
-                Grid.Row="6"
+                Grid.Row="9"
                 Text="{Binding left_panel_width, Converter={StaticResource DeltaTextConverter}}"
                 Visibility="{Binding
                   delta_style.actual_show_label,
@@ -693,7 +810,7 @@
                 Style="{StaticResource LeftPanelPricePointLabel}" />
 
               <Border
-                Grid.Row="6"
+                Grid.Row="9"
                 Background="{Binding
                   delta_style.background_color,
                   Converter={x:Static cv:ColorToBrushConverter.Instance}}"
@@ -714,7 +831,7 @@
 
               <!-- Vega -->
               <TextBlock
-                Grid.Row="7"
+                Grid.Row="10"
                 Text="{Binding left_panel_width, Converter={StaticResource VegaTextConverter}}"
                 Visibility="{Binding
                   vega_style.actual_show_label,
@@ -722,7 +839,7 @@
                 Style="{StaticResource LeftPanelPricePointLabel}" />
 
               <Border
-                Grid.Row="7"
+                Grid.Row="10"
                 Background="{Binding
                   vega_style.background_color,
                   Converter={x:Static cv:ColorToBrushConverter.Instance}}"
@@ -743,7 +860,7 @@
               <!-- Volume (label) -->
               <TextBlock
                 Grid.Column="0"
-                Grid.Row="8"
+                Grid.Row="11"
                 Text="{Binding left_panel_width, Converter={StaticResource VolumeTextConverter}}"
                 Visibility="{Binding
                   volume_style.actual_show_label,
@@ -752,7 +869,7 @@
 
               <!-- Volume (price) -->
               <Border
-                Grid.Row="8"
+                Grid.Row="11"
                 Background="{Binding
                   volume_style.background_color,
                   Converter={x:Static cv:ColorToBrushConverter.Instance}}"
@@ -793,6 +910,7 @@
               Margin="2,10,2,2"
               ItemsSource="{Binding accounts}"
               SelectedItem="{Binding selected_account}"
+              ToolTip="Account"
               Visibility="{Binding
                 DataContext.show_account,
                 RelativeSource={RelativeSource AncestorType=UserControl},
@@ -802,6 +920,7 @@
             <ComboBox
               DataContext="{Binding order_properties_vm}" ItemsSource="{Binding time_in_forces}"
               SelectedItem="{Binding selected_time_in_force}" Margin="2"
+              ToolTip="Time In Force"
               Visibility="{Binding
                 DataContext.show_tif,
                 RelativeSource={RelativeSource AncestorType=UserControl},
@@ -824,6 +943,7 @@
               IsOpen="{Binding is_expanded}"
               ItemsSource="{Binding algo_definitions_view}"
               SelectedItem="{Binding selected_algo_definition}"
+              ToolTip="Order/Algo Type"
               Visibility="{Binding
                 DataContext.show_order_type,
                 RelativeSource={RelativeSource AncestorType=UserControl},
@@ -879,6 +999,7 @@
               Increment="{Binding size_calculator.unit_quantity}"
               Minimum="0"
               TickDisplaySettings="{Binding size_calculator.display_settings}"
+              ToolTip="Size"
               Value="{Binding size_calculator.display_value, Mode=TwoWay}" />
 
             <!-- Qty quick buttons -->
@@ -901,7 +1022,8 @@
                       RelativeSource={RelativeSource AncestorType=ItemsControl}}"
                     Content="{Binding}"
                     Focusable="False"
-                    Foreground="{u:BTSColor UI.Button.normal_foreground}">
+                    Foreground="{u:BTSColor UI.Button.normal_foreground}"
+                    ToolTip="Add to Size">
                     <Button.CommandParameter>
                       <MultiBinding
                         Converter="{x:Static cv:DynamicDoubleMultiplierConverter.Instance}">
@@ -921,6 +1043,7 @@
               Margin="2"
               HorizontalAlignment="Stretch"
               Command="{Binding size_calculator.clear}"
+              ToolTip="Clear Size"
               Visibility="{Binding
                 show_clear, Converter={StaticResource BooleanToVisibilityConverter}}"
               Style="{StaticResource CommonButton}">
@@ -931,6 +1054,7 @@
             <CheckBox
               Margin="2"
               IsChecked="{Binding auto_clear}"
+              ToolTip="Clear Size after order"
               Visibility="{Binding
                 show_auto_clear, Converter={StaticResource BooleanToVisibilityConverter}}">
               Auto Clear
@@ -973,19 +1097,19 @@
               <Button
                 Command="{Binding cancel_cmd}"
                 CommandParameter="Bids"
-                Style="{StaticResource {x:Static sp:LadderView.CancelBuysButtonStyleKey}}"
+                Style="{StaticResource CancelBuys}"
                 Visibility="{Binding
                   show_cancel_buys, Converter={StaticResource BooleanToVisibilityConverter}}" />
               <Button
                 Command="{Binding cancel_cmd}"
                 CommandParameter="Asks"
-                Style="{StaticResource {x:Static sp:LadderView.CancelSellsButtonStyleKey}}"
+                Style="{StaticResource CancelSells}"
                 Visibility="{Binding
                   show_cancel_sells, Converter={StaticResource BooleanToVisibilityConverter}}" />
               <Button
                 Command="{Binding cancel_cmd}"
                 CommandParameter="All"
-                Style="{StaticResource {x:Static sp:LadderView.CancelAllButtonStyleKey}}"
+                Style="{StaticResource CancelAll}"
                 Visibility="{Binding
                   show_cancel_all, Converter={StaticResource BooleanToVisibilityConverter}}" />
             </Grid>

src/client/spark/Modules/Trading/Ladder/View/LadderView.xaml.cs

@@ -27,22 +27,6 @@ namespace mbts.spark {
          MinZoomFactor = 0.5,
          MaxZoomFactor = 1.5;
 
-      static LadderView() {
-         var knobs = config.Configuration.get<bts.config.LadderKnobs>();
-         MimicTT = knobs.MimicTt;
-      }
-
-      public static bool MimicTT { get; }
-
-      public static string CancelBuysButtonStyleKey =>
-         MimicTT ? "TT_CancelBuys" : "CancelBuys";
-
-      public static string CancelSellsButtonStyleKey =>
-         MimicTT ? "TT_CancelSells" : "CancelSells";
-
-      public static string CancelAllButtonStyleKey =>
-         MimicTT ? "TT_CancelAll" : "CancelAll";
-
       public static IMultiValueConverter PositionToolTipConverter =
          ValueConverter.create<AccountTuple?, bool, bool, bool, string>((account, show_day_pos, show_raw_day_pos, show_total_pos) => {
             const string day_pos_text = "day", raw_day_pos_text = "raw day", total_pos_text = "total";
@@ -76,14 +60,8 @@ namespace mbts.spark {
             if (show_total_pos) add_part(total_pos_text, " (", ")");
             //
             if (part_count > 1) {
-               // This is a complex expression (showing more than 1 value) - wrap it in single quotes.
-               // Explicitly state which value will be copied to the size input.
-               sb.Insert(0, "'");
-               sb.Add("'");
                sb.Add(" position\n(click to copy ", primary_pos, " to size)");
             } else {
-               // Only showing 1 value, no need for single quotes,
-               // nor an explicit statement that indicates which value will be copied to the size input.
                sb.Add(" position\n(click to copy to size)");
             }
             return sb.ToString();

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

@@ -1,4 +1,4 @@
-using bts;
+using bts;
 using bts.api;
 using bts.api.core;
 using bts.api.orderman;
@@ -223,6 +223,10 @@ namespace mbts.spark {
             Add(qty_column = new SizeColumn(
                new DoubleMinMax<OrderRecordTupleWithRoot>(
                   ort => ort.order.order.quantity(), nameof(OrderBookRowVM.quantity))));
+            // notional value
+            Add(notional_value_column = new NotionalValueColumn(
+               new DoubleMinMax<OrderRecordTupleWithRoot>(
+                  ort => ort.order.order.notional_value(), nameof(OrderBookRowVM.notional_value))));
             // edit quantity column
             // not usually part of the main order book, but it's useful to add it
             // rather than debugging the popup window
@@ -363,6 +367,7 @@ namespace mbts.spark {
          public SimpleTextColumn<OrderSubType[]> sub_type_column { get; }
          public SideColumn side_column { get; }
          public SizeColumn qty_column { get; }
+         public NotionalValueColumn notional_value_column { get; }
          public EditableQtyColumn edit_qty_column { get; }
          public SimpleTextColumn<DoubleMinMaxState> price_column { get; }
          public FilledColumn filled_qty_column { get; }
@@ -391,6 +396,7 @@ namespace mbts.spark {
                order_sub_types = sub_type_column.filter.get_state(),
                sides = side_column.filter.get_state(),
                qty = qty_column.filter.get_state(),
+               notional_value = notional_value_column.filter.get_state(),
                price = price_column.filter.get_state(),
                qty_filled = filled_qty_column.filter.get_state(),
                avg_price = avg_price_column.filter.get_state(),
@@ -415,6 +421,7 @@ namespace mbts.spark {
                account_column.filter.load_state(fs.accounts);
                price_column.filter.load_state(fs.price);
                qty_column.filter.load_state(fs.qty);
+               notional_value_column.filter.load_state(fs.notional_value);
                filled_qty_column.filter.load_state(fs.qty_filled);
                side_column.filter.load_state(fs.sides);
                order_type_column.filter.load_state(fs.order_types);
@@ -645,6 +652,25 @@ namespace mbts.spark {
                DefaultCellPadding);
       }
 
+      public class NotionalValueColumn : OrderbookColumnBase<DoubleMinMaxState>, IRenderColumn<OrderBookRowVM> {
+         public NotionalValueColumn(IDataGridColumnPersistentFilter<OrderRecordTupleWithRoot, DoubleMinMaxState> filter)
+            : base(Columns.NotionalValue, DefaultColumnHeaders.NotionalValue, r => r.notional_value_text, DefaultColumnWidths.Qty, filter, DataGridFilterKnownTemplates.UIntMinMax, _wrap_comparer(r => r.quantity)) { }
+
+         public void draw(OrderBookRowVM row, DrawingContext dc, ColumnGeometry position, double row_height) =>
+            CellRender.draw_text(
+               dc,
+               _get_glyph_context(row),
+               font_size,
+               row.notional_value_text,
+               position,
+               row_height,
+               RenderUtils.get_side_brush(row),
+               background_brush,
+               horizontal_alignment,
+               VerticalAlignment.Center,
+               DefaultCellPadding);
+      }
+
       public class FilledColumn : OrderbookColumnBase<DoubleMinMaxState>, IRenderColumn<OrderBookRowVM> {
          public FilledColumn(IDataGridColumnPersistentFilter<OrderRecordTupleWithRoot, DoubleMinMaxState> filter)
             : base(Columns.Filled, "Filled Qty", r => r.display_filled_quantity.ToString(), DefaultColumnWidths.Qty, filter, DataGridFilterKnownTemplates.DoubleMinMax, _wrap_comparer(r => r.filled_quantity)) { }

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

@@ -1,4 +1,4 @@
-using bts;
+using bts;
 using bts.api;
 using bts.api.orderman;
 using bts.collections;
@@ -108,6 +108,8 @@ namespace mbts.spark {
       public double display_quantity => quantity.safe_divide(_display_qty_divisor);
       public string display_quantity_text =>
          quantity_display_settings.to_tick_display_settings().format(display_quantity);
+      public double notional_value => order.notional_value();
+      public string notional_value_text => _fmt_price(notional_value);
       public TickDisplaySettingsImmutable quantity_display_settings {
          get => _quantity_display_settings;
          set {

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

@@ -389,7 +389,7 @@ namespace mbts.spark {
          }
 
          void refresh_quantity_display() {
-            foreach (var row in _row_collection.all_rows) {
+            foreach (var row in _row_collection.GetAllRows()) {
                if (_cached_securities.TryGetValue(row.security_key, out var smd)) {
                   row.quantity_display_settings = smd.quantity_display;
                }

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

@@ -41,6 +41,8 @@ namespace bts.shell.orderbook {
       public Side[] sides;
       [ProtoMember(10)]
       public DoubleMinMaxState qty;
+      [ProtoMember(26)]
+      public DoubleMinMaxState notional_value;
       [ProtoMember(11)]
       public DoubleMinMaxState price;
       [ProtoMember(12)]
@@ -83,6 +85,7 @@ namespace bts.shell.orderbook {
          EqualityComparer.safe_sequence_equals(root_algo_types, other.root_algo_types) &&
          EqualityComparer.safe_sequence_equals(sides, other.sides) &&
          qty.safe_equals(other.qty) &&
+         notional_value.safe_equals(other.notional_value) &&
          price.safe_equals(other.price) &&
          qty_filled.safe_equals(other.qty_filled) &&
          avg_price.safe_equals(other.avg_price) &&
@@ -111,6 +114,7 @@ namespace bts.shell.orderbook {
             EqualityComparer.safe_aggregate_hash(root_algo_types),
             EqualityComparer.safe_aggregate_hash(sides),
             qty?.GetHashCode() ?? 0,
+            notional_value?.GetHashCode() ?? 0,
             price?.GetHashCode() ?? 0,
             qty_filled?.GetHashCode() ?? 0,
             avg_price?.GetHashCode() ?? 0,
@@ -149,6 +153,7 @@ namespace bts.shell.orderbook {
          pb.add_discrete_values(fs.symbols, o => o.order.security?.Symbol);
          // numeric
          pb.add_numeric(fs.qty, o => o.order.order.quantity());
+         pb.add_numeric(fs.notional_value, o => o.order.order.notional_value());
          pb.add_price(fs.price, o => o.order.order.ui_price(), o => o.order.security);
          pb.add_numeric(fs.qty_filled, o => o.order.order.filled_quantity());
          pb.add_numeric(fs.avg_price, o => o.order.order.avg_price());

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

@@ -172,6 +172,7 @@ namespace bts.shell.orderbook {
             horizontal_alignment: HorizontalAlignment.Left);
 
          public static GridColumnSettings quantity => new GridColumnSettings(Columns.Size.ToString(), "Qty", width: DIYGrid.DefaultColumnWidths.Qty, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings notional_value => new GridColumnSettings(Columns.Size.ToString(), DIYGrid.DefaultColumnHeaders.NotionalValue, width: DIYGrid.DefaultColumnWidths.NotionalValue, horizontal_alignment: HorizontalAlignment.Right);
          public static GridColumnSettings price => new GridColumnSettings(Columns.Price.ToString(), DIYGrid.DefaultColumnHeaders.Price, width: DIYGrid.DefaultColumnWidths.Price, horizontal_alignment: HorizontalAlignment.Right);
 
          public static GridColumnSettings filled_quantity => new(

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

@@ -53,7 +53,8 @@ namespace mbts.spark {
          Commit = 1 << 28,
          RootAlgoType = 1 << 29,
          Piq = 1 << 30,
-         Check = 1 << 31
+         Check = 1 << 31,
+         NotionalValue = 1 & (1 << 1),
       }
 
       public OrderBookGridView() {

src/client/spark/Orders/OrderModificationControl.xaml

@@ -18,7 +18,7 @@
       <sys:Double x:Key="VerticalSpacing">4.0</sys:Double>
       <sys:Double x:Key="ButtonHeight">22.0</sys:Double>
       <cv:NullableDoubleConverter x:Key="TickDefaultPriceConverter" DefaultValue="0"/>
-      <Style TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
+      <Style TargetType="Button" BasedOn="{StaticResource DefaultButton}">
         <Setter Property="Height" Value="{StaticResource ButtonHeight}"/>
         <Setter Property="HorizontalAlignment" Value="Stretch"/>
       </Style>
@@ -53,8 +53,6 @@
       <RowDefinition Height="Auto"/>
       <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}"/>
       <RowDefinition Height="Auto"/>
-      <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}"/>
-      <RowDefinition Height="Auto"/>
     </Grid.RowDefinitions>
     <Grid.ColumnDefinitions>
       <ColumnDefinition Width="140"/>
@@ -77,6 +75,7 @@
         RegionalTick="{Binding price_tick}"
         Focusable="false"
         TickDefaultValue="{Binding current_price, Converter={StaticResource TickDefaultPriceConverter}, FallbackValue={u:Double 0}}"
+        ToolTip="Price"
         Value="{Binding price}"
       />
       <c:TickUpDownNullableDouble
@@ -88,6 +87,7 @@
         Increment="{Binding size_calculator.unit_quantity}"
         Minimum="0"
         TickDisplaySettings="{Binding size_calculator.display_settings}"
+        ToolTip="Size"
         Value="{Binding size_calculator.display_value}"
       />
     </Grid>
@@ -97,13 +97,24 @@
         <ColumnDefinition Width="{Binding Source={StaticResource HorizontalSpacing}}"/>
         <ColumnDefinition/>
       </Grid.ColumnDefinitions>
-      <Button Command="{Binding set_price_command}" CommandParameter="{Binding bbo.bid}" Foreground="{u:BTSColor MarketData.bid}" FontWeight="Bold">
+      <Button
+        Command="{Binding set_price_command}"
+        CommandParameter="{Binding bbo.bid}"
+        Foreground="{u:BTSColor MarketData.bid}"
+        FontWeight="Bold"
+        ToolTip="Bid Price">
         <MultiBinding Converter="{StaticResource TickDisplayConverter}">
           <Binding Path="bbo.bid"/>
           <Binding Path="security.ContractSpec"/>
         </MultiBinding>
       </Button>
-      <Button Grid.Column="2" Command="{Binding set_price_command}" CommandParameter="{Binding bbo.ask}" Foreground="{u:BTSColor MarketData.ask}" FontWeight="Bold">
+      <Button
+        Grid.Column="2"
+        Command="{Binding set_price_command}"
+        CommandParameter="{Binding bbo.ask}"
+        Foreground="{u:BTSColor MarketData.ask}"
+        FontWeight="Bold"
+        ToolTip="Ask Price">
         <MultiBinding Converter="{StaticResource TickDisplayConverter}">
           <Binding Path="bbo.ask"/>
           <Binding Path="security.ContractSpec"/>
@@ -120,7 +131,7 @@
         Command="{Binding size_calculator.set_actual_value_command}"
         CommandParameter="{Binding bbo.bid_size}"
         Foreground="{u:BTSColor MarketData.bid}"
-      >
+        ToolTip="Bid Size">
         <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}">
           <Binding Path="bbo.bid_size" />
           <Binding Path="qty_display" />
@@ -131,20 +142,20 @@
         Command="{Binding size_calculator.set_actual_value_command}"
         CommandParameter="{Binding bbo.ask_size}"
         Foreground="{u:BTSColor MarketData.ask}"
-      >
+        ToolTip="Ask Size">
         <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}">
           <Binding Path="bbo.ask_size" />
           <Binding Path="qty_display" />
         </MultiBinding>
       </Button>
     </Grid>
-    <Grid Grid.Row="4" Grid.RowSpan="3">
+    <Grid Grid.Row="4">
       <Grid.RowDefinitions>
         <RowDefinition Height="Auto"/>
         <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}"/>
         <RowDefinition/>
       </Grid.RowDefinitions>
-      <ItemsControl Margin="-2,-2,-2,0" DataContext="{Binding size_calculator}" ItemsSource="{Binding buttons}" Focusable="False">
+      <ItemsControl Margin="0,0,-4,-4" DataContext="{Binding size_calculator}" ItemsSource="{Binding buttons}" Focusable="False">
         <ItemsControl.ItemsPanel>
           <ItemsPanelTemplate>
             <UniformGrid Columns="3" Focusable="False"/>
@@ -153,11 +164,11 @@
         <ItemsControl.ItemTemplate>
           <DataTemplate>
             <Button
-              Margin="2,4,2,0"
+              Margin="0,0,4,4"
               Content="{Binding}"
               Focusable="False"
               Command="{Binding Path=DataContext.click, RelativeSource={RelativeSource AncestorType=ItemsControl}}"
-            >
+              ToolTip="Add to Size">
               <Button.CommandParameter>
                 <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}">
                   <Binding />
@@ -170,35 +181,35 @@
           </DataTemplate>
         </ItemsControl.ItemTemplate>
       </ItemsControl>
-      <Button Grid.Row="2" Command="{Binding size_calculator.clear}">Clear</Button>
+      <Button
+        Grid.Row="2"
+        Command="{Binding size_calculator.clear}"
+        Content="Clear"
+        ToolTip="Clear Size" />
     </Grid>
-    <Grid Grid.Row="4" Grid.Column="2" Grid.RowSpan="3">
+    <Grid Grid.Row="4" Grid.Column="2">
       <Grid.RowDefinitions>
         <RowDefinition/>
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}"/>
         <RowDefinition/>
-        <RowDefinition/>
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}"/>
         <RowDefinition/>
       </Grid.RowDefinitions>
       <ComboBox
-        Grid.ColumnSpan="2"
         usp:OrderModificationControl.IsDirty="{Binding account_dirty, FallbackValue={u:False}}"
         IsEnabled="{Binding can_change_account, FallbackValue={u:True}}"
         ItemsSource="{Binding properties_vm.accounts}"
-        Margin="0,2"
         SelectedItem="{Binding properties_vm.selected_account}"
-      />
+        ToolTip="Account" />
       <ComboBox
-        Grid.Row="1"
-        Grid.ColumnSpan="2"
+        Grid.Row="2"
         usp:OrderModificationControl.IsDirty="{Binding time_in_force_dirty, FallbackValue={u:False}}"
         IsEnabled="{Binding can_change_time_in_force, FallbackValue={u:True}}"
         ItemsSource="{Binding properties_vm.time_in_forces}" 
-        Margin="0,2"
         SelectedItem="{Binding properties_vm.selected_time_in_force}"
-      />
+        ToolTip="Time In Force" />
       <uag:OrderDetailsPopupControl
-        Grid.Row="2"
-        Margin="0,2"
+        Grid.Row="4"
         DataContext="{Binding properties_vm}"
         usp:OrderModificationControl.IsDirty="{Binding DataContext.order_type_dirty, RelativeSource={RelativeSource AncestorType=usp:OrderModificationControl}, FallbackValue={u:False}}"
         HasEditableProperties="{Binding can_expand, FallbackValue={u:False}}"
@@ -207,7 +218,7 @@
         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>

src/client/spark/Orders/OrderPropertiesEditorVM.cs

@@ -128,7 +128,7 @@ namespace mbts.spark {
                new PropertyValidation<AccountTuple?>(
                   a => (a.HasValue && !string.IsNullOrWhiteSpace(a.Value.name) && accounts.Contains(a.Value), "Please select an account"))
             });
-         attach(_accounts, accounts_src.Select(accs => accs.Values.ToList()), inline_account_src);
+         attach(_accounts, accounts_src.Select(accs => accs.Values.ToListSorted()), inline_account_src);
 
          // time in force
          _time_in_force = new SelectorProperty<TimeInForce>(

src/client/spark/SpreadBox/Calculators/StatelessSpreadCalculator.cs

@@ -58,9 +58,10 @@ namespace BCG {
             }
             // TODO: put it as a setting
             bts.Log.assert(theos.Length == drivers.Length);
-            for (int i = 0; i < theos.Length; i++) {
-               theos[i] /= drivers[i];
-            }
+            // only do this when its deribit crypto option, TODO
+            // for (int i = 0; i < theos.Length; i++) {
+            //    theos[i] /= drivers[i];
+            // }
             return new SpreadValue(spread_spec, theos, deltas, gammas, vegas, adj_vegas, oevs, thetas, slope_vegas, drivers, qs_midpoint_theos, pos, additional_delta);
          }
       }

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

@@ -227,7 +227,7 @@ namespace mbts.ui {
 
          public static BTSColor atm_background => BTSCoreColors.gray_dark;
 
-         public static BTSColor session_low => 0xff59596b;
+         public static BTSColor session_low => 0xff8f5924;
          public static BTSColor session_high => 0xff239b00;
          public static BTSColor session_range_fill => 0x1a000000;
 
@@ -984,7 +984,7 @@ namespace mbts.ui {
          public static BTSColor alternate_column_foreground => UI.foreground_standout;
          public static BTSColor bid_line => BTSCoreColors.blue_light_dark_saturated;
          public static BTSColor ask_line => BTSCoreColors.red_light_dark_saturated;
-         public static BTSColor mid_line => 0x40000000;
+         public static BTSColor mid_line => 0xffa4a4a4;
 
          public static BTSColor default_column_background => 0xff141420;//0xff28283b;
          public static BTSColor alternate_column_background => 0xff141420;// 0xff494957;

src/client/spark/core/data/Proto/FontParamsProto.cs

@@ -5,7 +5,8 @@ using mbts.ui.utility.text;
 
 using ProtoBuf;
 
-using System;
+using Spark.Core.Protobuf;
+
 using System.Windows;
 using System.Windows.Media;
 
@@ -13,7 +14,7 @@ using FontFamily = System.Windows.Media.FontFamily;
 
 namespace bts.proto {
    [ProtoContract]
-   class FontParamsProto : IEquatable<FontParamsProto> {
+   class FontParamsProto : IProtobuf<FontParamsProto> {
       [ProtoMember(1)]
       public TypefaceProto typeface { get; set; }
       [ProtoMember(2)]
@@ -24,6 +25,27 @@ namespace bts.proto {
       public string font_family => typeface.font_family;
       public int font_weight => typeface.font_weight;
 
+      public FontParamsProto With(TypefaceProto? typeface = null, double? font_size = null, uint? font_color = null, bool in_place = false) {
+         var rv = in_place ? this : Clone();
+         if (typeface.HasValue) {
+            rv.typeface = typeface.Value;
+         }
+         if (font_size.HasValue) {
+            rv.font_size = font_size.Value;
+         }
+         if (font_color.HasValue) {
+            rv.font_color = font_color.Value;
+         }
+         return rv;
+      }
+
+      public FontParamsProto Clone() =>
+         new() {
+            typeface = typeface.Clone(),
+            font_size = font_size,
+            font_color = font_color,
+         };
+
       public bool Equals(FontParamsProto other) =>
          other != null &&
          typeface == other.typeface &&

src/client/spark/core/data/Proto/TypefaceProto.cs

@@ -4,14 +4,15 @@ using mbts.ui.utility.text;
 
 using ProtoBuf;
 
-using System;
+using Spark.Core.Protobuf;
+
 using System.Windows;
 
 using FontFamily = System.Windows.Media.FontFamily;
 
 namespace bts.proto {
    [ProtoContract]
-   readonly struct TypefaceProto : IEquatable<TypefaceProto> {
+   readonly struct TypefaceProto : IProtobuf<TypefaceProto> {
       static readonly int _type_hash = typeof(TypefaceProto).GetHashCode();
 
       [ProtoMember(1)]
@@ -30,6 +31,9 @@ namespace bts.proto {
             font_family ?? this.font_family,
             font_weight ?? this.font_weight);
 
+      public TypefaceProto Clone() =>
+         new(font_family.ToString(), font_weight);
+
       public bool Equals(TypefaceProto other) =>
          font_family == other.font_family &&
          font_weight == other.font_weight;

src/client/spark/view/Controls/Badge.cs

@@ -379,8 +379,15 @@ namespace mbts.ui.controls {
 
    class BadgeTextLinesConverter : IMultiValueConverter {
       public object Convert(object[] values, Type targetType, object parameter, CultureInfo culture) {
-         if (ConvertUtils.try_convert_args(values, out Side side, out uint quantity, out uint filled, out mbts.spark.LadderSettings.BadgeStyle style))
-            return BadgeRender.format(side, quantity, filled, style);
+         if (ConvertUtils.TryConvertArgs(
+            values,
+            out Side side,
+            out uint quantity,
+            out uint filled,
+            out double price,
+            out LadderSettings.BadgeStyle style)) {
+            return BadgeRender.format(side, quantity, filled, price, style);
+            }
          else return new string[0];
       }
 

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

@@ -1,4 +1,4 @@
-namespace mbts.ui.controls {
+namespace mbts.ui.controls {
    using bts;
    using bts.utils;
 
@@ -43,6 +43,7 @@
             Side = 47,
             Qty = 48,
             MergedQty = 68,
+            NotionalValue = 68,
             Filled = 56,
             Symbol = 60,
             Time = 112,
@@ -122,6 +123,7 @@
             SecurityType = "Security Type",
             Side = "B/S",
             Qty = "Qty",
+            NotionalValue = "Notional",
             MergedQty = "Qty",
             DirectQty = "Qty (D)",
             ImpliedQty = "Qty (I)",

src/client/spark/view/Controls/DataGridEx/Filters/VM/DiscreteValuesFilterVM.cs

@@ -473,7 +473,7 @@ namespace mbts.spark.filters {
          // Exchange
          public static IDataGridColumnPersistentFilter<TRow, Venue[]> exchange<TRow>(
             Func<TRow, Venue> get_row_exchange, string? prop_name = null) =>
-            Create(EnumHelper.get_values_except(Venue.Unset).ToList(), get_row_exchange, prop_name);
+            Create(EnumHelper.get_values_except(Venue.Unset).ToListSorted(e => e.ToString()), get_row_exchange, prop_name);
 
          // Symbol
          public static IDataGridColumnPersistentFilter<TRow, string[]> symbol<TRow>(

src/client/spark/view/Controls/DataGridEx/Filters/VM/RegexFilterVM.cs

@@ -12,7 +12,10 @@ namespace mbts.spark.filters {
          str = str.Trim();
          if (str == string.Empty)
             return null;
-         return new Regex(str, RegexOptions.IgnoreCase | RegexOptions.IgnorePatternWhitespace);
+         try {
+            return new Regex(str, RegexOptions.IgnoreCase | RegexOptions.IgnorePatternWhitespace);
+         } catch (RegexParseException) { }
+         return null;
       }
    }
    class RegexFilterVM<TRow> : FilterVMBase<TRow, string, string> {

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

@@ -3,6 +3,7 @@
   x:ClassModifier="internal"
   xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
   xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:u="clr-namespace:mbts.ui"
   xmlns:c="clr-namespace:mbts.ui.controls"
  >
   <UserControl.Resources>
@@ -21,7 +22,7 @@
     <GroupBox Header="Font Family" Height="{Binding ActualHeight, ElementName=_panel_right}">
       <ListBox
         x:Name="_font_family_list_box"
-        Background="White"
+        Background="{u:BTSBrush UI.ListBox.normal_background}"
         ItemsSource="{Binding FontFamilies, RelativeSource={RelativeSource AncestorType=c:FontPicker}}"
         SelectedItem="{Binding SelectedFontFamily, RelativeSource={RelativeSource AncestorType=c:FontPicker}}"
       >
@@ -40,7 +41,7 @@
       </Grid.RowDefinitions>
       <GroupBox Header="Font Weight">
         <ListBox
-          Background="White"
+          Background="{u:BTSBrush UI.ListBox.normal_background}"
           ItemsSource="{Binding FontWeights, RelativeSource={RelativeSource AncestorType=c:FontPicker}}"
           SelectedItem="{Binding SelectedFontWeight, RelativeSource={RelativeSource AncestorType=c:FontPicker}}"
         >
@@ -73,7 +74,7 @@
           FontFamily="{Binding SelectedFontFamily, Mode=OneWay, RelativeSource={RelativeSource AncestorType=c:FontPicker}}"
           FontSize="{Binding SelectedFontSize, Mode=OneWay, RelativeSource={RelativeSource AncestorType=c:FontPicker}}"
           FontWeight="{Binding SelectedFontWeight, Mode=OneWay, RelativeSource={RelativeSource AncestorType=c:FontPicker}}"
-          Foreground="{Binding SelectedFontColor, Mode=OneWay, RelativeSource={RelativeSource AncestorType=c:FontPicker}, Converter={StaticResource ColorToBrushConverter}}"
+          Foreground="{u:BTSBrush UI.default_text}"
           TextWrapping="Wrap"
         >
           <TextBlock.Inlines>

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

@@ -12,8 +12,12 @@
         x:Name="order_type"
         Text="{Binding algo_root.order_type, Converter={StaticResource OrderTypeDisplayTextConverter}, StringFormat='{}{0}: ', Mode=OneWay}"
         FontWeight="Bold"
-      />
-      <TextBlock x:Name="display_name" Text="{Binding name, Mode=OneWay}" FontWeight="Normal"/>
+        Foreground="{u:BTSBrush UI.default_text}" />
+      <TextBlock
+        x:Name="display_name"
+        Text="{Binding name, Mode=OneWay}"
+        FontWeight="Normal"
+        Foreground="{u:BTSBrush UI.default_text}" />
     </StackPanel>
     <DataTemplate.Triggers>
       <DataTrigger Value="{u:True}">

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

@@ -87,10 +87,10 @@
     </c:TickUpDown>
   </ControlTemplate>
   <Style TargetType="usp:PriceEntryControl">
-    <Setter Property="Background" Value="{u:BTSColor UI.input_background}" />
+    <Setter Property="Background" Value="{u:BTSBrush UI.Button.normal_background}" />
     <Setter Property="Foreground" Value="{u:BTSColor UI.input_text}" />
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1" />
+    <Setter Property="BorderThickness" Value="0" />
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="Template" Value="{StaticResource PriceEntryTemplate}"/>
   </Style>

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

@@ -14,7 +14,7 @@
   <Style TargetType="{x:Type c:TickUpDown}">
     <Setter Property="Background" Value="{StaticResource TextBox.Static.Background.Brush}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="HorizontalAlignment" Value="Stretch"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="Height" Value="20" />
@@ -75,7 +75,8 @@
           </Border>
           <ControlTemplate.Triggers>
             <Trigger Property="IsMouseOver" Value="True">
-              <Setter TargetName="Bd" Property="BorderBrush" Value="{StaticResource TextBox.MouseOver.Border.Brush}"/>
+              <Setter TargetName="Bd" Property="Background" Value="{u:BTSBrush UI.Button.mouseover_background}"/>
+              <Setter TargetName="Bd" Property="BorderBrush" Value="{u:BTSBrush UI.Button.mouseover_border}"/>
             </Trigger>
           </ControlTemplate.Triggers>
         </ControlTemplate>
@@ -133,7 +134,8 @@
           </Border>
           <ControlTemplate.Triggers>
             <Trigger Property="IsMouseOver" Value="True">
-              <Setter TargetName="Bd" Property="BorderBrush" Value="{StaticResource TextBox.MouseOver.Border.Brush}"/>
+              <Setter TargetName="Bd" Property="Background" Value="{u:BTSBrush UI.Button.mouseover_background}"/>
+              <Setter TargetName="Bd" Property="BorderBrush" Value="{u:BTSBrush UI.Button.mouseover_border}"/>
             </Trigger>
           </ControlTemplate.Triggers>
         </ControlTemplate>
@@ -145,7 +147,7 @@
     <Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="VerticalContentAlignment" Value="Stretch"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="IsTabStop" Value="False"/>
@@ -188,7 +190,7 @@
     <Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="VerticalContentAlignment" Value="Stretch"/>
     <Setter Property="IsTabStop" Value="False"/>
@@ -230,7 +232,7 @@
     <Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="VerticalContentAlignment" Value="Stretch"/>
     <Setter Property="IsTabStop" Value="False"/>
@@ -272,7 +274,7 @@
     <Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="VerticalContentAlignment" Value="Stretch"/>
     <Setter Property="IsTabStop" Value="False"/>
@@ -310,7 +312,7 @@
     <Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="VerticalContentAlignment" Value="Stretch"/>
     <Setter Property="IsTabStop" Value="False"/>
@@ -348,7 +350,7 @@
     <Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="VerticalContentAlignment" Value="Stretch"/>
     <Setter Property="IsTabStop" Value="False"/>
@@ -384,7 +386,7 @@
     <Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="VerticalContentAlignment" Value="Stretch"/>
     <Setter Property="IsTabStop" Value="False"/>
@@ -428,7 +430,7 @@
     <Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="VerticalContentAlignment" Value="Stretch"/>
     <Setter Property="IsTabStop" Value="False"/>
@@ -466,7 +468,7 @@
     <Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="VerticalContentAlignment" Value="Stretch"/>
     <Setter Property="IsTabStop" Value="False"/>
@@ -548,7 +550,7 @@
     <Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="VerticalContentAlignment" Value="Stretch"/>
     <Setter Property="IsTabStop" Value="False"/>
@@ -586,7 +588,7 @@
     <Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}"/>
     <Setter Property="BorderBrush" Value="{StaticResource TextBox.Static.Border.Brush}"/>
-    <Setter Property="BorderThickness" Value="1"/>
+    <Setter Property="BorderThickness" Value="0"/>
     <Setter Property="HorizontalContentAlignment" Value="Stretch"/>
     <Setter Property="VerticalContentAlignment" Value="Stretch"/>
     <Setter Property="IsTabStop" Value="False"/>

src/client/spark/view/Resources/Buttons.xaml

@@ -557,6 +557,8 @@
     </Style.Triggers>
   </Style>
 
+  <Style x:Key="DefaultButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}" />
+
   <Style TargetType="RepeatButton">
     <Setter Property="Foreground" Value="{u:BTSBrush UI.Button.normal_foreground}" />
     <Setter Property="Background" Value="{u:BTSBrush UI.Button.normal_background}" />

src/client/spark/view/Shell/ShellModel.cs

@@ -100,7 +100,7 @@
       }
 
       void PerformMEFComposition(string config_source) {
-         Log.Ui.info($"Generating MEF dependencies for the shell " +
+         Log.Ui.info($"this is v2.2.3 Generating MEF dependencies for the shell" +
                $"({typeof(IInitializable)}s, {typeof(IShellModule)}s, " +
                $"{typeof(IShellDaemon)}s, etc.)");
          try {

src/client/spark/view/Spark/Ladder/MBO/MBOPopupModel.cs

@@ -47,16 +47,16 @@ namespace mbts.spark {
       readonly SecurityImmutable _security;
       readonly MBOSecurityQueryImmutable _query;
       readonly Dictionary<(string, bool), FormattedText> _cache;
-      readonly Func<int, string> _fmt_mbo_qty;
+      readonly Func<double, double, string> _fmt_mbo_qty;
       int _max_order_size = 1;
       double _height = 0;
       double _number_width = 0;
 
-      public MBOPopupModel(MBOService mbo, SecurityImmutable security, MBOSecurityQueryImmutable query, Func<int, string> fmt_mbo_qty) {
+      public MBOPopupModel(MBOService mbo, SecurityImmutable security, MBOSecurityQueryImmutable query, Func<double, double, string> fmt_mbo_qty) {
          _mbo = mbo;
          _security = security;
          _query = query;
-         _fmt_mbo_qty = fmt_mbo_qty ?? new Func<int, string>(v => v.ToString());
+         _fmt_mbo_qty = fmt_mbo_qty ?? new Func<double, double, string>((v, p) => v.ToString());
 
          // prime the cache with numbers on the left hand side
          _cache =
@@ -112,7 +112,7 @@ namespace mbts.spark {
 
          pdp.row_numbers = p.orders.Select((o, i) => format_text((i + 1).ToString(), ismine(o))).ToList();
          pdp.numbers_width = _number_width = Math.Max(_number_width, (int)pdp.row_numbers.Max(r => r.Width) + text_margin);
-         pdp.row_labels = p.orders.Select(o => format_text(_fmt_mbo_qty(o.Size) + (ismine(o) ? "*" : ""), ismine(o))).ToList();
+         pdp.row_labels = p.orders.Select(o => format_text(_fmt_mbo_qty(o.Size, o.Price) + (ismine(o) ? "*" : ""), ismine(o))).ToList();
          var max_label_width = pdp.row_labels.Max(l => l.Width) + text_margin;
 
          var available_width = pdp.width - pdp.numbers_width - max_label_width;

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

@@ -1,335 +1,401 @@
-using bts.api;
-using bts.api.domain;
-using bts.utils;
-
-using mbts.co2;
-using mbts.spark;
-using mbts.ui.shell;
-using mbts.utils;
-
-using ProtoBuf;
-
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
-
-namespace mbts.ui.spark {
-   [ProtoContract]
-   class MarketSizeDisplay : IEquatable<MarketSizeDisplay> {
-      [ProtoMember(1)]
-      public readonly SizeFormattingElement[] normal;
-      [ProtoMember(2)]
-      public readonly SizeFormattingElement[] implied_present;
-
-      public MarketSizeDisplay() { }
-      public MarketSizeDisplay(SizeFormattingElement[] normal, SizeFormattingElement[] implied_present) {
-         this.normal = normal;
-         this.implied_present = implied_present;
-      }
-
-      public enum SizeFormattingElementType {
-         Merged,
-         Direct,
-         Implied,
-         Const
-      }
-
-      public static MarketSizeDisplay get_default() =>
-         new MarketSizeDisplay(SizeFormattingElement.merged, SizeFormattingElement.merged_asterisk);
-
-      public MarketSizeDisplay with(SizeFormattingElement[] normal = null, SizeFormattingElement[] implied_present = null) =>
-         new MarketSizeDisplay(normal ?? this.normal, implied_present ?? this.implied_present);
-
-      public bool Equals(MarketSizeDisplay other) =>
-         other != null &&
-         EqualityComparer.safe_sequence_equals(normal, other.normal) &&
-         EqualityComparer.safe_sequence_equals(implied_present, other.implied_present);
-
-      public override bool Equals(object obj) =>
-         Equals(obj as MarketSizeDisplay);
-
-      public override int GetHashCode() =>
-         EqualityComparer.aggregate_hash(implied_present.GetHashCode(), normal.GetHashCode());
-
-      [ProtoContract]
-      public struct SizeFormattingElement : IEquatable<SizeFormattingElement> {
-         [ProtoMember(1)]
-         public readonly SizeFormattingElementType type;
-         [ProtoMember(2)]
-         public readonly string data;
-
-         SizeFormattingElement(SizeFormattingElementType type, string data = null) {
-            this.type = type;
-            this.data = data;
-         }
-
-         public bool Equals(SizeFormattingElement other) => other.type == type && string.Equals(data, other.data);
-         public override bool Equals(object obj) => obj is SizeFormattingElement other && Equals(other);
-         public override int GetHashCode() => EqualityComparer.aggregate_hash(type.GetHashCode(), EqualityComparer.safe_get_hash_code(data));
-         public override string ToString() => type == SizeFormattingElementType.Const ? data ?? string.Empty : type.ToString();
-
-         public static bool operator ==(SizeFormattingElement a, SizeFormattingElement b) => a.Equals(b);
-         public static bool operator !=(SizeFormattingElement a, SizeFormattingElement b) => !a.Equals(b);
-
-         public static SizeFormattingElement[] direct => new[] { new SizeFormattingElement(SizeFormattingElementType.Direct) };
-         public static SizeFormattingElement[] implied => new[] { new SizeFormattingElement(SizeFormattingElementType.Implied) };
-         public static SizeFormattingElement[] direct_implied => new[] {
-            new SizeFormattingElement(SizeFormattingElementType.Direct),
-            new SizeFormattingElement(SizeFormattingElementType.Const, " ("),
-            new SizeFormattingElement(SizeFormattingElementType.Implied),
-            new SizeFormattingElement(SizeFormattingElementType.Const, ")")
-         };
-         public static SizeFormattingElement[] merged => new[] { new SizeFormattingElement(SizeFormattingElementType.Merged) };
-         public static SizeFormattingElement[] merged_asterisk => new[] { new SizeFormattingElement(SizeFormattingElementType.Merged), new SizeFormattingElement(SizeFormattingElementType.Const, "*") };
-         public static SizeFormattingElement[] merged_implied => new[] {
-            new SizeFormattingElement(SizeFormattingElementType.Merged),
-            new SizeFormattingElement(SizeFormattingElementType.Const, " ("),
-            new SizeFormattingElement(SizeFormattingElementType.Implied),
-            new SizeFormattingElement(SizeFormattingElementType.Const, ")")
-         };
-         public static SizeFormattingElement[] merged_direct => new[] {
-            new SizeFormattingElement(SizeFormattingElementType.Merged),
-            new SizeFormattingElement(SizeFormattingElementType.Const, " ("),
-            new SizeFormattingElement(SizeFormattingElementType.Direct),
-            new SizeFormattingElement(SizeFormattingElementType.Const, ")")
-         };
-         public static SizeFormattingElement[] merged_direct_implied => new[] {
-            new SizeFormattingElement(SizeFormattingElementType.Merged),
-            new SizeFormattingElement(SizeFormattingElementType.Const, " ("),
-            new SizeFormattingElement(SizeFormattingElementType.Direct),
-            new SizeFormattingElement(SizeFormattingElementType.Const, ":"),
-            new SizeFormattingElement(SizeFormattingElementType.Implied),
-            new SizeFormattingElement(SizeFormattingElementType.Const, ")")
-         };
-      }
-   }
-
-   static class MDDisplayHelper {
-      /// This delegate should be created by calling <see cref="get_formatter(MarketSizeDisplay)"/>
-      public delegate string SizeFormatter(double merged, double implied);
-      /// The private delegates below use refs bc the <see cref="SizeFormatter"/> returned by <see cref="get_formatter(MarketSizeDisplay)"/>
-      /// internally uses several <see cref="_SizeFormatter"/>s to add different text components to the resultant string.
-      /// The refs, therefor, avoid making extra copies of the variables.
-      /// These are private members, so any code-readability cost is confined to a limited scope.
-      delegate void _SizeFormatter(ref double merged, ref double implied, ref StringBuilder sb);
-      delegate void _SizeFormatterNPS(ref NativePriceSize nps, ref StringBuilder sb);
-
-      public static Func<double, string> get_value_formatter(double divisor) =>
-         value => (value / divisor).ToString();
-
-      public static Func<double, string> get_value_formatter(
-         TickDisplaySettingsImmutable display) =>
-         v => display.format(v);
-
-      public static Func<NativePriceSize, string> get_formatter_nps(
-         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display) {
-         var raw_fmt_size = get_formatter(size_display, display);
-         return nps => raw_fmt_size(
-            nps.implied_size + nps.direct_size,
-            nps.implied_size);
-      }
-
-      public static SizeFormatter get_formatter(MarketSizeDisplay size_display, TickDisplaySettingsImmutable display) {
-         _SizeFormatter implied_absent = _get_formatter(size_display.normal, display);
-         _SizeFormatter implied_present = _get_formatter(
-            size_display.implied_present ?? size_display.normal, display);
-         return (merged, implied) => {
-            StringBuilder sb = new StringBuilder();
-            (implied > 0 ? implied_present : implied_absent)(ref merged, ref implied, ref sb);
-            return sb.ToString();
-         };
-      }
-
-      static _SizeFormatterNPS _get_formatter_nps(
-         MarketSizeDisplay.SizeFormattingElement[] fmt_elements,
-         TickDisplaySettingsImmutable display) {
-         var formatters = fmt_elements.is_null_or_empty() ?
-            Array.Empty<_SizeFormatterNPS>() :
-            CollectionHelper.convert_array(fmt_elements, sfe => _get_formatter_nps(sfe, display));
-         return new _SizeFormatterNPS((ref NativePriceSize nps, ref StringBuilder sb) => {
-            foreach (var f in formatters)
-               f(ref nps, ref sb);
-         });
-      }
-
-      static _SizeFormatter _get_formatter(
-         MarketSizeDisplay.SizeFormattingElement[] fmt_elements,
-         TickDisplaySettingsImmutable display) {
-         _SizeFormatter[] formatters = fmt_elements.is_null_or_empty() ?
-            Array.Empty<_SizeFormatter>() :
-            CollectionHelper.convert_array(fmt_elements, sfe => _get_formatter(sfe, display));
-         return new _SizeFormatter((ref double m, ref double i, ref StringBuilder sb) => {
-            foreach (var f in formatters)
-               f(ref m, ref i, ref sb);
-         });
-      }
-
-      static _SizeFormatterNPS _get_formatter_nps(
-         MarketSizeDisplay.SizeFormattingElement fmt_element,
-         TickDisplaySettingsImmutable display) =>
-         fmt_element.type switch {
-            MarketSizeDisplay.SizeFormattingElementType.Const =>
-               SizeTokenFormatters.char_formatter_nps(fmt_element.data ?? string.Empty),
-            MarketSizeDisplay.SizeFormattingElementType.Direct =>
-               SizeTokenFormatters.direct_formatter_nps(display),
-            MarketSizeDisplay.SizeFormattingElementType.Implied =>
-               SizeTokenFormatters.implied_formatter_nps(display),
-            MarketSizeDisplay.SizeFormattingElementType.Merged =>
-               SizeTokenFormatters.merged_formatter_nps(display),
-            _ => throw ExceptionBuilder.Argument.unexpected_case(
-               fmt_element.type, nameof(fmt_element.type)),
-         };
-
-      static _SizeFormatter _get_formatter(
-         MarketSizeDisplay.SizeFormattingElement fmt_element,
-         TickDisplaySettingsImmutable display) =>
-         fmt_element.type switch {
-            MarketSizeDisplay.SizeFormattingElementType.Const =>
-               SizeTokenFormatters.char_formatter(fmt_element.data ?? string.Empty),
-            MarketSizeDisplay.SizeFormattingElementType.Direct =>
-               SizeTokenFormatters.direct_formatter(display),
-            MarketSizeDisplay.SizeFormattingElementType.Implied =>
-               SizeTokenFormatters.implied_formatter(display),
-            MarketSizeDisplay.SizeFormattingElementType.Merged =>
-               SizeTokenFormatters.merged_formatter(display),
-            _ => throw ExceptionBuilder.Argument.unexpected_case(
-               fmt_element.type, nameof(fmt_element.type)),
-         };
-
-      static class SizeTokenFormatters {
-         public static _SizeFormatter char_formatter(string data) {
-            string local = data.ToString();
-            return new _SizeFormatter((ref double m, ref double i, ref StringBuilder sb) => sb.Append(local));
-         }
-         public static _SizeFormatter merged_formatter(TickDisplaySettingsImmutable display) =>
-            (ref double m, ref double i, ref StringBuilder sb) => sb.Append(display.format(m));
-
-         public static _SizeFormatter direct_formatter(TickDisplaySettingsImmutable display) =>
-            (ref double m, ref double i, ref StringBuilder sb) => sb.Append(display.format(m - i));
-
-         public static _SizeFormatter implied_formatter(TickDisplaySettingsImmutable display) =>
-            (ref double m, ref double i, ref StringBuilder sb) => sb.Append(display.format(i));
-
-         public static _SizeFormatterNPS char_formatter_nps(string data) {
-            string local = data.ToString();
-            return new _SizeFormatterNPS((ref NativePriceSize _, ref StringBuilder sb) => sb.Append(local));
-         }
-
-         public static _SizeFormatterNPS merged_formatter_nps(TickDisplaySettingsImmutable display) =>
-            (ref NativePriceSize nps, ref StringBuilder sb) =>
-               sb.Append(display.format((double)nps.size));
-
-         public static _SizeFormatterNPS direct_formatter_nps(TickDisplaySettingsImmutable display) =>
-            (ref NativePriceSize nps, ref StringBuilder sb) =>
-               sb.Append(display.format((double)nps.direct_size));
-
-         public static _SizeFormatterNPS implied_formatter_nps(TickDisplaySettingsImmutable display) =>
-            (ref NativePriceSize nps, ref StringBuilder sb) =>
-               sb.Append(display.format((double)nps.implied_size));
-      }
-   }
-
-   class MarketSizeDisplayVM : ViewModelBase, IValueFactory<MarketSizeDisplay> {
-      readonly IEqualityComparer<MarketSizeDisplay.SizeFormattingElement[]> _comp = EqualityComparer.Create<MarketSizeDisplay.SizeFormattingElement[]>((a, b) => EqualityComparer.safe_sequence_equals(a, b));
-      readonly Property<FormattingVM> _selected_format, _selected_alternate_implied_format;
-      readonly DelegateProperty<bool> _can_choose_alternate_implied_format;
-
-      public MarketSizeDisplayVM() {
-         _selected_format = backing<FormattingVM>(nameof(selected_format));
-         _selected_alternate_implied_format = backing<FormattingVM>(nameof(selected_alternate_implied_format));
-         _can_choose_alternate_implied_format = backing(nameof(can_choose_alternate_implied_format), () =>
-            _comp.Equals(MarketSizeDisplay.SizeFormattingElement.merged, selected_format?.value));
-         sample_items = new[] {
-            new SampleItem(90, 0, this),
-            new SampleItem(75, 25, this)
-         };
-         _selected_format.Changed += refresh_sample_items;
-         _selected_alternate_implied_format.Changed += refresh_sample_items;
-         void refresh_sample_items(FormattingVM oldval, FormattingVM newval) {
-            _can_choose_alternate_implied_format.refresh();
-            foreach (var si in sample_items)
-               si.refresh();
-         }
-      }
-
-      public IEnumerable<FormattingVM> format_options { get; } = new[] {
-         MarketSizeDisplay.SizeFormattingElement.direct,
-         MarketSizeDisplay.SizeFormattingElement.implied,
-         MarketSizeDisplay.SizeFormattingElement.direct_implied,
-         MarketSizeDisplay.SizeFormattingElement.merged_implied,
-         MarketSizeDisplay.SizeFormattingElement.merged_direct_implied,
-         MarketSizeDisplay.SizeFormattingElement.merged
-      }.Select(ts => new FormattingVM(ts)).ToArray();
-
-      public IEnumerable<FormattingVM> alternate_implied_format_options { get; } = new[] {
-         MarketSizeDisplay.SizeFormattingElement.merged,
-         MarketSizeDisplay.SizeFormattingElement.merged_asterisk,
-         MarketSizeDisplay.SizeFormattingElement.merged_implied,
-         MarketSizeDisplay.SizeFormattingElement.merged_direct,
-         MarketSizeDisplay.SizeFormattingElement.merged_direct_implied
-      }.Select(ts => new FormattingVM(ts)).ToArray();
-
-      public FormattingVM selected_format {
-         get => _selected_format.Value;
-         set => _selected_format.Value = value;
-      }
-      public FormattingVM selected_alternate_implied_format {
-         get => _selected_alternate_implied_format.Value;
-         set => _selected_alternate_implied_format.Value = value;
-      }
-
-      public bool can_choose_alternate_implied_format => _can_choose_alternate_implied_format.Value;
-
-      public IEnumerable<SampleItem> sample_items { get; }
-
-      public MarketSizeDisplay create() {
-         var normal_fmt = selected_format?.value;
-         var alt_implied_fmt = can_choose_alternate_implied_format ? selected_alternate_implied_format?.value : normal_fmt;
-         return new MarketSizeDisplay(normal_fmt, alt_implied_fmt);
-      }
-
-      public void load_from(MarketSizeDisplay msd) {
-         selected_format = format_options.FirstOrDefault(f => _comp.Equals(f.value, msd.normal));
-         if (can_choose_alternate_implied_format)
-            selected_alternate_implied_format = alternate_implied_format_options.FirstOrDefault(f => _comp.Equals(f.value, msd.implied_present));
-      }
-
-      public class FormattingVM : ViewModelBase, IEquatable<FormattingVM> {
-         public FormattingVM(MarketSizeDisplay.SizeFormattingElement[] tokens) =>
-            value = tokens;
-
-         public MarketSizeDisplay.SizeFormattingElement[] value { get; }
-
-         public bool Equals(FormattingVM other) =>
-            other != null &&
-            EqualityComparer.safe_sequence_equals(value, other.value);
-
-         public override bool Equals(object obj) => Equals(obj as FormattingVM);
-         public override int GetHashCode() => EqualityComparer.safe_aggregate_hash(value);
-         public override string ToString() => string.Join(string.Empty, value);
-      }
-
-      public class SampleItem : ViewModelBase {
-         readonly DelegateProperty<string> _display;
-
-         public SampleItem(uint direct, uint implied, MarketSizeDisplayVM owner) {
-            this.direct = direct;
-            this.implied = implied;
-            _display = backing(nameof(display), fmt);
-
-            string fmt() {
-               var impl = MDDisplayHelper.get_formatter(
-                  owner.create(), Security.Defaults.quantity_display_settingsi);
-               return impl(merged, implied);
-            }
-         }
-
-         public uint direct { get; }
-         public uint implied { get; }
-         public uint merged => direct + implied;
-         public string display => _display.Value;
-         public void refresh() => _display.refresh();
-      }
-   }
-}
+using bts.api;
+using bts.api.domain;
+using bts.utils;
+
+using mbts.co2;
+using mbts.spark;
+using mbts.ui.shell;
+using mbts.utils;
+
+using ProtoBuf;
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+
+namespace mbts.ui.spark {
+   [ProtoContract]
+   class MarketSizeDisplay : IEquatable<MarketSizeDisplay> {
+      [ProtoMember(1)]
+      public readonly SizeFormattingElement[] normal;
+      [ProtoMember(2)]
+      public readonly SizeFormattingElement[] implied_present;
+
+      public MarketSizeDisplay() { }
+      public MarketSizeDisplay(SizeFormattingElement[] normal, SizeFormattingElement[] implied_present) {
+         this.normal = normal;
+         this.implied_present = implied_present;
+      }
+
+      public enum SizeFormattingElementType {
+         Merged,
+         Direct,
+         Implied,
+         Const,
+         MergedNotional,
+      }
+
+      public static MarketSizeDisplay get_default() =>
+         new MarketSizeDisplay(SizeFormattingElement.merged, SizeFormattingElement.merged_asterisk);
+
+      public static bool TryParse(string expression, out List<SizeFormattingElement> elements) {
+         elements = new List<SizeFormattingElement>();
+         if (expression is null) {
+            return false;
+         }
+         int tokenStart = 0;
+         for (int i = 0; i < expression.Length - 3; i++) {
+            if (expression[i] != '$' || expression[i + 1] != '{') {
+               continue;
+            }
+            if (i > tokenStart) {
+               elements.Add(SizeFormattingElement.Create(expression.Substring(tokenStart, i - tokenStart)));
+            }
+            i += 2;
+            tokenStart = i;
+            while (i < expression.Length && expression[i] != '}') {
+               i++;
+            }
+            if (i == expression.Length
+               || !Enum.TryParse(expression.Substring(tokenStart, i - tokenStart), out SizeFormattingElementType typ)
+               || typ == SizeFormattingElementType.Const) {
+               elements = null;
+               return false;
+            }
+            elements.Add(SizeFormattingElement.Create(typ));
+            tokenStart = i + 1;
+         }
+         if (tokenStart < expression.Length) {
+            elements.Add(SizeFormattingElement.Create(expression.Substring(tokenStart)));
+         }
+         return true;
+      }
+
+      public MarketSizeDisplay with(SizeFormattingElement[] normal = null, SizeFormattingElement[] implied_present = null) =>
+         new MarketSizeDisplay(normal ?? this.normal, implied_present ?? this.implied_present);
+
+      public bool Equals(MarketSizeDisplay other) =>
+         other != null &&
+         EqualityComparer.safe_sequence_equals(normal, other.normal) &&
+         EqualityComparer.safe_sequence_equals(implied_present, other.implied_present);
+
+      public override bool Equals(object obj) =>
+         Equals(obj as MarketSizeDisplay);
+
+      public override int GetHashCode() =>
+         EqualityComparer.aggregate_hash(implied_present.GetHashCode(), normal.GetHashCode());
+
+      [ProtoContract]
+      public struct SizeFormattingElement : IEquatable<SizeFormattingElement> {
+         [ProtoMember(1)]
+         public readonly SizeFormattingElementType type;
+         [ProtoMember(2)]
+         public readonly string data;
+
+         SizeFormattingElement(SizeFormattingElementType type, string data = null) {
+            this.type = type;
+            this.data = data;
+         }
+
+         internal static SizeFormattingElement Create(string str) =>
+            new(SizeFormattingElementType.Const, str);
+
+         internal static SizeFormattingElement Create(SizeFormattingElementType type) =>
+            new(type);
+
+         public bool Equals(SizeFormattingElement other) => other.type == type && string.Equals(data, other.data);
+         public override bool Equals(object obj) => obj is SizeFormattingElement other && Equals(other);
+         public override int GetHashCode() => EqualityComparer.aggregate_hash(type.GetHashCode(), EqualityComparer.safe_get_hash_code(data));
+
+         public override string ToString() =>
+            type == SizeFormattingElementType.Const
+               ? data ?? string.Empty
+               : "${" + type.ToString() + "}";
+
+         public static bool operator ==(SizeFormattingElement a, SizeFormattingElement b) => a.Equals(b);
+         public static bool operator !=(SizeFormattingElement a, SizeFormattingElement b) => !a.Equals(b);
+
+         public static SizeFormattingElement[] direct => new[] { new SizeFormattingElement(SizeFormattingElementType.Direct) };
+         public static SizeFormattingElement[] implied => new[] { new SizeFormattingElement(SizeFormattingElementType.Implied) };
+         public static SizeFormattingElement[] direct_implied => new[] {
+            new SizeFormattingElement(SizeFormattingElementType.Direct),
+            new SizeFormattingElement(SizeFormattingElementType.Const, " ("),
+            new SizeFormattingElement(SizeFormattingElementType.Implied),
+            new SizeFormattingElement(SizeFormattingElementType.Const, ")")
+         };
+         public static SizeFormattingElement[] merged => new[] { new SizeFormattingElement(SizeFormattingElementType.Merged) };
+         public static SizeFormattingElement[] merged_asterisk => new[] { new SizeFormattingElement(SizeFormattingElementType.Merged), new SizeFormattingElement(SizeFormattingElementType.Const, "*") };
+         public static SizeFormattingElement[] merged_implied => new[] {
+            new SizeFormattingElement(SizeFormattingElementType.Merged),
+            new SizeFormattingElement(SizeFormattingElementType.Const, " ("),
+            new SizeFormattingElement(SizeFormattingElementType.Implied),
+            new SizeFormattingElement(SizeFormattingElementType.Const, ")")
+         };
+         public static SizeFormattingElement[] merged_direct => new[] {
+            new SizeFormattingElement(SizeFormattingElementType.Merged),
+            new SizeFormattingElement(SizeFormattingElementType.Const, " ("),
+            new SizeFormattingElement(SizeFormattingElementType.Direct),
+            new SizeFormattingElement(SizeFormattingElementType.Const, ")")
+         };
+         public static SizeFormattingElement[] merged_direct_implied => new[] {
+            new SizeFormattingElement(SizeFormattingElementType.Merged),
+            new SizeFormattingElement(SizeFormattingElementType.Const, " ("),
+            new SizeFormattingElement(SizeFormattingElementType.Direct),
+            new SizeFormattingElement(SizeFormattingElementType.Const, ":"),
+            new SizeFormattingElement(SizeFormattingElementType.Implied),
+            new SizeFormattingElement(SizeFormattingElementType.Const, ")")
+         };
+         public static SizeFormattingElement[] merged_notional => new SizeFormattingElement[] {
+            new(SizeFormattingElementType.MergedNotional)
+         };
+      }
+   }
+
+   static class MDDisplayHelper {
+      /// This delegate should be created by calling <see cref="get_formatter(MarketSizeDisplay)"/>
+      public delegate string SizeFormatter(double merged, double implied, double price, double notional);
+      /// The private delegates below use refs bc the <see cref="SizeFormatter"/> returned by <see cref="get_formatter(MarketSizeDisplay)"/>
+      /// internally uses several <see cref="_SizeFormatter"/>s to add different text components to the resultant string.
+      /// The refs, therefor, avoid making extra copies of the variables.
+      /// These are private members, so any code-readability cost is confined to a limited scope.
+      delegate void _SizeFormatter(ref double merged, ref double implied, ref double price, ref double notional, ref StringBuilder sb);
+      delegate void _SizeFormatterNPS(ref NativePriceSize nps, ref StringBuilder sb);
+
+      public static Func<double, double, string> get_value_formatter(
+         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display, TickDisplaySettingsImmutable notional_value_display) {
+         var raw_fmt_size = get_formatter(size_display, display, notional_value_display);
+         return (q, p) => raw_fmt_size(q, 0, p, double.NaN);
+      }
+
+      public static Func<LadderPriceLevel, string> get_formatter_lpl(
+         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display, TickDisplaySettingsImmutable notional_value_display) {
+         var raw_fmt_size = get_formatter(size_display, display, notional_value_display);
+         return nps => raw_fmt_size(
+            nps.Volume,
+            0,
+            nps.Price,
+            nps.NotionalValue);
+      }
+
+      public static Func<NativePriceSize, string> get_formatter_nps(
+         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display, TickDisplaySettingsImmutable notional_value_display) {
+         var raw_fmt_size = get_formatter(size_display, display, notional_value_display);
+         return nps => raw_fmt_size(
+            nps.implied_size + nps.direct_size,
+            nps.implied_size,
+            nps.price,
+            nps.notional_size);
+      }
+
+      public static SizeFormatter get_formatter(
+         MarketSizeDisplay size_display, TickDisplaySettingsImmutable display, TickDisplaySettingsImmutable notional_value_display) {
+         _SizeFormatter implied_absent = _get_formatter(size_display.normal, display, notional_value_display);
+         _SizeFormatter implied_present = _get_formatter(
+            size_display.implied_present ?? size_display.normal, display, notional_value_display);
+         return (merged, implied, price, notional) => {
+            StringBuilder sb = new StringBuilder();
+            (implied > 0 ? implied_present : implied_absent)(ref merged, ref implied, ref price, ref notional, ref sb);
+            return sb.ToString();
+         };
+      }
+
+      static _SizeFormatterNPS _get_formatter_nps(
+         MarketSizeDisplay.SizeFormattingElement[] fmt_elements,
+         TickDisplaySettingsImmutable display,
+         TickDisplaySettingsImmutable price_display) {
+         var formatters = fmt_elements.is_null_or_empty() ?
+            Array.Empty<_SizeFormatterNPS>() :
+            CollectionHelper.convert_array(fmt_elements, sfe => _get_formatter_nps(sfe, display, price_display));
+         return new _SizeFormatterNPS((ref NativePriceSize nps, ref StringBuilder sb) => {
+            foreach (var f in formatters)
+               f(ref nps, ref sb);
+         });
+      }
+
+      static _SizeFormatter _get_formatter(
+         MarketSizeDisplay.SizeFormattingElement[] fmt_elements,
+         TickDisplaySettingsImmutable display,
+         TickDisplaySettingsImmutable notional_value_display) {
+         _SizeFormatter[] formatters = fmt_elements.is_null_or_empty() ?
+            Array.Empty<_SizeFormatter>() :
+            CollectionHelper.convert_array(fmt_elements, sfe => _get_formatter(sfe, display, notional_value_display));
+         return new _SizeFormatter((ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) => {
+            foreach (var f in formatters)
+               f(ref m, ref i, ref p, ref n, ref sb);
+         });
+      }
+
+      static _SizeFormatterNPS _get_formatter_nps(
+         MarketSizeDisplay.SizeFormattingElement fmt_element,
+         TickDisplaySettingsImmutable display,
+         TickDisplaySettingsImmutable price_display) =>
+         fmt_element.type switch {
+            MarketSizeDisplay.SizeFormattingElementType.Const =>
+               SizeTokenFormatters.char_formatter_nps(fmt_element.data ?? string.Empty),
+            MarketSizeDisplay.SizeFormattingElementType.Direct =>
+               SizeTokenFormatters.direct_formatter_nps(display),
+            MarketSizeDisplay.SizeFormattingElementType.Implied =>
+               SizeTokenFormatters.implied_formatter_nps(display),
+            MarketSizeDisplay.SizeFormattingElementType.Merged =>
+               SizeTokenFormatters.merged_formatter_nps(display),
+            MarketSizeDisplay.SizeFormattingElementType.MergedNotional =>
+               SizeTokenFormatters.merged_notional_formatter_nps(price_display),
+            _ => throw ExceptionBuilder.Argument.unexpected_case(
+               fmt_element.type, nameof(fmt_element.type)),
+         };
+
+      static _SizeFormatter _get_formatter(
+         MarketSizeDisplay.SizeFormattingElement fmt_element,
+         TickDisplaySettingsImmutable display,
+         TickDisplaySettingsImmutable notional_value_display) =>
+         fmt_element.type switch {
+            MarketSizeDisplay.SizeFormattingElementType.Const =>
+               SizeTokenFormatters.char_formatter(fmt_element.data ?? string.Empty),
+            MarketSizeDisplay.SizeFormattingElementType.Direct =>
+               SizeTokenFormatters.direct_formatter(display),
+            MarketSizeDisplay.SizeFormattingElementType.Implied =>
+               SizeTokenFormatters.implied_formatter(display),
+            MarketSizeDisplay.SizeFormattingElementType.Merged =>
+               SizeTokenFormatters.merged_formatter(display),
+            MarketSizeDisplay.SizeFormattingElementType.MergedNotional =>
+               SizeTokenFormatters.merged_notional_formatter(notional_value_display),
+            _ => throw ExceptionBuilder.Argument.unexpected_case(
+               fmt_element.type, nameof(fmt_element.type)),
+         };
+
+      static class SizeTokenFormatters {
+         public static _SizeFormatter char_formatter(string data) {
+            string local = data.ToString();
+            return (ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) =>
+               sb.Append(local);
+         }
+         public static _SizeFormatter merged_formatter(TickDisplaySettingsImmutable display) =>
+            (ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) =>
+               sb.Append(display.format(m));
+
+         public static _SizeFormatter direct_formatter(TickDisplaySettingsImmutable display) =>
+            (ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) =>
+               sb.Append(display.format(m - i));
+
+         public static _SizeFormatter implied_formatter(TickDisplaySettingsImmutable display) =>
+            (ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) =>
+               sb.Append(display.format(i));
+
+         public static _SizeFormatter merged_notional_formatter(TickDisplaySettingsImmutable display) =>
+            (ref double m, ref double i, ref double p, ref double n, ref StringBuilder sb) =>
+               sb.Append(display.format(n));
+
+         public static _SizeFormatterNPS char_formatter_nps(string data) {
+            string local = data.ToString();
+            return new _SizeFormatterNPS((ref NativePriceSize _, ref StringBuilder sb) => sb.Append(local));
+         }
+
+         public static _SizeFormatterNPS merged_formatter_nps(TickDisplaySettingsImmutable display) =>
+            (ref NativePriceSize nps, ref StringBuilder sb) =>
+               sb.Append(display.format((double)nps.size));
+
+         public static _SizeFormatterNPS direct_formatter_nps(TickDisplaySettingsImmutable display) =>
+            (ref NativePriceSize nps, ref StringBuilder sb) =>
+               sb.Append(display.format((double)nps.direct_size));
+
+         public static _SizeFormatterNPS implied_formatter_nps(TickDisplaySettingsImmutable display) =>
+            (ref NativePriceSize nps, ref StringBuilder sb) =>
+               sb.Append(display.format((double)nps.implied_size));
+
+         public static _SizeFormatterNPS merged_notional_formatter_nps(TickDisplaySettingsImmutable display) =>
+            (ref NativePriceSize nps, ref StringBuilder sb) =>
+               sb.Append(display.format(nps.notional_size));
+      }
+   }
+
+   class MarketSizeDisplayVM : ViewModelBase, IValueFactory<MarketSizeDisplay> {
+      readonly IEqualityComparer<MarketSizeDisplay.SizeFormattingElement[]> _comp = EqualityComparer.Create<MarketSizeDisplay.SizeFormattingElement[]>((a, b) => EqualityComparer.safe_sequence_equals(a, b));
+      readonly Property<string> _selected_format, _selected_alternate_implied_format;
+
+      public MarketSizeDisplayVM() {
+         _selected_format = backing<string>(nameof(selected_format));
+         _selected_alternate_implied_format = backing<string>(nameof(selected_alternate_implied_format));
+         sample_items = new[] {
+            new SampleItem(90, 0, this),
+            new SampleItem(75, 25, this)
+         };
+         _selected_format.Changed += refresh_sample_items;
+         _selected_alternate_implied_format.Changed += refresh_sample_items;
+         void refresh_sample_items(string oldval, string newval) {
+            foreach (var si in sample_items)
+               si.refresh();
+         }
+      }
+
+      public IEnumerable<string> format_options { get; } = new[] {
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.direct),
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.implied),
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.direct_implied),
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.merged_implied),
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.merged_direct_implied),
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.merged),
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.merged_notional),
+      };
+
+      public IEnumerable<string> alternate_implied_format_options { get; } = new[] {
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.merged),
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.merged_asterisk),
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.merged_implied),
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.merged_direct),
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.merged_direct_implied),
+         string.Concat(MarketSizeDisplay.SizeFormattingElement.merged_notional),
+      };
+
+      public string selected_format {
+         get => _selected_format.Value;
+         set => _selected_format.Value = value;
+      }
+      public string selected_alternate_implied_format {
+         get => _selected_alternate_implied_format.Value;
+         set => _selected_alternate_implied_format.Value = value;
+      }
+
+      public IEnumerable<SampleItem> sample_items { get; }
+
+      public MarketSizeDisplay create() {
+         var normal_fmt = selected_format;
+         var alt_implied_fmt = selected_alternate_implied_format;
+         if (!MarketSizeDisplay.TryParse(normal_fmt, out var normal_els)) {
+            normal_els = new(MarketSizeDisplay.SizeFormattingElement.merged);
+         }
+         if (!MarketSizeDisplay.TryParse(alt_implied_fmt, out var alt_implied_els)) {
+            alt_implied_els = new(normal_els);
+         }
+         return new MarketSizeDisplay(normal_els.ToArray(), alt_implied_els.ToArray());
+      }
+
+      public void load_from(MarketSizeDisplay msd) {
+         selected_format = string.Concat(msd.normal.empty_if_null());
+         selected_alternate_implied_format = string.Concat(msd.implied_present.empty_if_null());
+      }
+
+      public class SampleItem : ViewModelBase {
+         readonly DelegateProperty<string> _display;
+
+         public SampleItem(uint direct, uint implied, MarketSizeDisplayVM owner) {
+            this.direct = direct;
+            this.implied = implied;
+            _display = backing(nameof(display), fmt);
+
+            string fmt() {
+               const double SAMPLE_PRICE = 25.0;
+               var impl = MDDisplayHelper.get_formatter(
+                  owner.create(), Security.Defaults.quantity_display_settingsi, Security.Defaults.price_display_settingsi);
+               return impl(merged, implied, 1, merged * SAMPLE_PRICE);
+            }
+         }
+
+         public uint direct { get; }
+         public uint implied { get; }
+         public uint merged => direct + implied;
+         public string display => _display.Value;
+         public void refresh() => _display.refresh();
+      }
+   }
+}

src/client/spark_api/MarketData/NativePriceSize.cs

@@ -41,6 +41,7 @@ namespace mbts.co2 {
       public Size size => _size;
       public Size direct_size => _direct_size;
       public Size implied_size => _size - _direct_size;
+      public double notional_size => price * size;
       public double price => _price.price();
       public bool is_nan => _price.is_nan;
 

src/client/spark_api/MarketData/SecurityMD.cs

@@ -11,6 +11,7 @@ namespace mbts {
    using System.Collections.Generic;
    using System.Collections.Immutable;
    using System.Linq;
+   using System.Threading;
 
    public readonly struct SecurityMD : IEquatable<SecurityMD> {
       public static readonly Func<SecurityMD, uint> key_fn = smd => smd.security.Id;
@@ -60,4 +61,128 @@ namespace mbts {
       public static bool operator !=(SecurityMD left, SecurityMD right) =>
          !(left == right);
    }
+
+   static class SecurityMDExtensions {
+      const uint DEPTH_COUNT = 10;
+      [ThreadStatic]
+      static NativePriceSize[] leg1Bids;
+
+      [ThreadStatic]
+      static NativePriceSize[] leg1Asks;
+
+      static SecurityMDExtensions() {
+         leg1Bids = new NativePriceSize[DEPTH_COUNT];
+         leg1Asks = new NativePriceSize[DEPTH_COUNT];
+      }
+
+      public static Book Depth(this SecurityMD security, IReadOnlyDictionary<uint, SecurityMD> securities, ref ulong time) {
+         var bids = new NativePriceSize[DEPTH_COUNT];
+         var asks = new NativePriceSize[DEPTH_COUNT];
+         var bidsOut = new (double, double, double)[(int)DEPTH_COUNT];
+         var asksOut = new (double, double, double)[(int)DEPTH_COUNT];
+         if (!security.security.HasSynthetic) {
+            security.md.get_depth(ref time, ref bids, ref asks, DEPTH_COUNT);
+            for (int i = 0; i < DEPTH_COUNT; i++) {
+               bidsOut[i] = (bids[i].price, bids[i].size, bids[i].notional_size);
+               asksOut[i] = (asks[i].price, asks[i].size, asks[i].notional_size);
+            }
+            return new(bidsOut, asksOut);
+         }
+         Log.assert(security.security.Synthetic.Legs.TryGetFirst(out var leg1));
+         if (!securities.TryGetValue(leg1.Security.Id, out var sec1)) {
+            return Book.Empty;
+         }
+         ulong sec1Time = 0;
+         if (!sec1.md.get_depth(ref sec1Time, ref leg1Bids, ref leg1Asks, DEPTH_COUNT)) {
+            return Book.Empty;
+         }
+         security.md.get_depth(ref time, ref bids, ref asks, DEPTH_COUNT);
+         int leg1BidsLevel = 0;
+         int leg1AsksLevel = 0;
+         double leg1BidsConsumed = 0;
+         double leg1AsksConsumed = 0;
+         double takeQuantity;
+         double notional;
+         for (int i = 0; i < DEPTH_COUNT && !bids[i].is_nan; i++) {
+            takeQuantity = bids[i].size * leg1.Quantity;
+            notional = getNotionalValue(ref leg1Bids, ref leg1BidsLevel, ref leg1BidsConsumed, ref takeQuantity);
+            bidsOut[i] = (bids[i].price, bids[i].size, notional);
+            takeQuantity = asks[i].size * leg1.Quantity;
+            notional = getNotionalValue(ref leg1Asks, ref leg1AsksLevel, ref leg1AsksConsumed, ref takeQuantity);
+            asksOut[i] = (asks[i].price, asks[i].size, notional);
+         }
+         return new(bidsOut, asksOut);
+      }
+
+      public static Book Depth(this SecurityMD security, NativePriceSize[] bids, NativePriceSize[] asks, IReadOnlyDictionary<uint, SecurityMD> securities) {
+         bids ??= new NativePriceSize[NativePriceHelpers.COCONUT_MAX_DEPTH];
+         asks ??= new NativePriceSize[NativePriceHelpers.COCONUT_MAX_DEPTH];
+         var bidsOut = new (double, double, double)[bids.Length];
+         var asksOut = new (double, double, double)[asks.Length];
+         var depthCount = (uint)Math.Min(bids.Length, asks.Length);
+         if (!security.security.HasSynthetic) {
+            for (int i = 0; i < depthCount; i++) {
+               bidsOut[i] = (bids[i].price, bids[i].size, bids[i].notional_size);
+               asksOut[i] = (asks[i].price, asks[i].size, asks[i].notional_size);
+            }
+            return new(bidsOut, asksOut);
+         }
+         Log.assert(security.security.Synthetic.Legs.TryGetFirst(out var leg1));
+         if (!securities.TryGetValue(leg1.Security.Id, out var sec1)) {
+            return Book.Empty;
+         }
+         ulong sec1Time = 0;
+         if (!sec1.md.get_depth(ref sec1Time, ref leg1Bids, ref leg1Asks, depthCount)) {
+            return Book.Empty;
+         }
+         int leg1BidsLevel = 0;
+         int leg1AsksLevel = 0;
+         double leg1BidsConsumed = 0;
+         double leg1AsksConsumed = 0;
+         double takeQuantity;
+         double notional;
+         for (int i = 0; i < depthCount && !bids[i].is_nan; i++) {
+            takeQuantity = bids[i].size;
+            notional = getNotionalValue(ref leg1Bids, ref leg1BidsLevel, ref leg1BidsConsumed, ref takeQuantity);
+            bidsOut[i] = (bids[i].price, bids[i].size, notional);
+            takeQuantity = asks[i].size;
+            notional = getNotionalValue(ref leg1Asks, ref leg1AsksLevel, ref leg1AsksConsumed, ref takeQuantity);
+            asksOut[i] = (asks[i].price, asks[i].size, notional);
+         }
+         return new(bidsOut, asksOut);
+      }
+
+      static double getNotionalValue(ref NativePriceSize[] depth, ref int level, ref double levelConsumed, ref double takeQuantity) {
+         if (level >= depth.Length) {
+            return double.NaN;
+         }
+         double notionalValue = 0;
+         while (takeQuantity > MathUtils.epsilon<double>() && level < depth.Length && !depth[level].is_nan) {
+            var lvlDepth = (double)depth[level].size - levelConsumed;
+            if (lvlDepth <= 0) {
+               level++;
+               levelConsumed = 0;
+               continue;
+            }
+            var lvlTake = Math.Min(takeQuantity, lvlDepth);
+            notionalValue += lvlTake * depth[level].price;
+            levelConsumed += lvlTake;
+            takeQuantity -= lvlDepth;
+         }
+         return notionalValue;
+      }
+
+      public class Book {
+         public Book(IEnumerable<(double Price, double Volume, double NotionalValue)> bids, IEnumerable<(double Price, double Quantity, double NotionalValue)> asks) {
+            Bids = bids;
+            Asks = asks;
+         }
+
+         public static Book Empty =>
+            new(Array.Empty<(double, double, double)>(), Array.Empty<(double, double, double)>());
+
+         public IEnumerable<(double Price, double Volume, double NotionalValue)> Bids { get; }
+         public IEnumerable<(double Price, double Volume, double NotionalValue)> Asks { get; }
+      }
+   }
 }

src/client/spark_api/Orders/OrdersExtensions.cs

@@ -48,6 +48,9 @@ namespace Spark.Api.Orders {
       public static double quantity(this OrderRecordImmutable order) =>
          order.HasState ? order.State.quantity() : 0;
 
+      public static double notional_value(this OrderRecordImmutable order) =>
+         order.quantity() * order.ui_price();
+
       public static double working_quantity(this OrderRecordImmutable order) =>
          order.HasState ? order.State.working_quantity() : 0;
 
@@ -487,5 +490,8 @@ namespace Spark.Api.Orders {
             CustomOrderDefinition.CustomOneofCase.Composite => "COMP",
             _ => algo_type.ToString(),
          };
+
+      public static double notional_value(this FillImmutable fill) =>
+         fill.LastShares * fill.LastPrice;
    }
 }

src/client/spark_api/api/Channels/QuickBusClientChannel.cs

@@ -10,58 +10,64 @@ using System.IO;
 using System.Reactive.Disposables;
 using mbts;
 using System.Threading;
+using System.Runtime.InteropServices;
+
 
 namespace bts.api.core {
 
-   internal class QuickbusClientChannel : ClientChannel {
-      IntPtr _client;
+ internal class QuickbusClientChannel : ClientChannel {
+        IntPtr _client;
 
-      public QuickbusClientChannel(ServiceContext context, string type_name, string qualifier) : base(context) {
-         _client = ApiNativeMethods.api_client_create(context.native_context, type_name, qualifier);
-         System.Diagnostics.Trace.Assert(_client != IntPtr.Zero);
-      }
+        public QuickbusClientChannel(ServiceContext context, string type_name, string qualifier) : base(context) {
+            Log.QBus.diag($"Created QuickbusClientChannel");
+            _client = ApiNativeMethods.api_client_create(context.native_context, type_name, qualifier);
+            System.Diagnostics.Trace.Assert(_client != IntPtr.Zero);
+        }
 
-      public override void Dispose() {
-         ApiNativeMethods.api_client_destroy(_client);
-         _client = IntPtr.Zero;
-      }
+        public override void Dispose() {
+            Log.QBus.diag($"Disposed QuickbusClientChannel");
+            ApiNativeMethods.api_client_destroy(_client);
+            _client = IntPtr.Zero;
+        }
 
 
       int _req_id = 0;
       Dictionary<int, PBCallbackWrapper> _keepalive_cache = new();
 
       unsafe public override Task<Result<Response>> send<Request, Response>(int method_id, Request request) {
-         var id = Interlocked.Increment(ref _req_id);
-         var header = new RequestHeader() {
-            Method = method_id,
-            RequestId = id,
-            Token = _context.token.HasValue ? new AuthToken() { Token = _context.token?.Token } : null
-         };
-         var buffer = header.serialize(request);
-         var tcs = new TaskCompletionSource<Result<Response>>();
-         //ApiNativeMethods.api_client_log_error($"Call {id}");
-         ApiNativeMethods.raw_pb_callback callback = (rbuffer, rlength, _) => {
-            //ApiNativeMethods.api_client_log_error($"Reply {id}");
-            var res = ApiUtils.deserialize<ResponseHeader, Response>(rbuffer, (long)rlength);
-            if (res.header.Code == ApiError.Success) {
-               tcs.TrySetResult(new Result<Response>(res.body));
-            }
-            else {
-               tcs.TrySetResult(new Result<Response>(res.header.Code));
-            }
+            var id = Interlocked.Increment(ref _req_id);
+    var header = new RequestHeader() {
+                Method = method_id,
+                RequestId = id,
+                Token = _context.token.HasValue ? new AuthToken() { Token = _context.token?.Token } : null
+            };
+            var buffer = header.serialize(request);
+            var tcs = new TaskCompletionSource<Result<Response>>();
+    ApiNativeMethods.raw_pb_callback callback = (rbuffer, rlength, _) => {
+                var res = ApiUtils.deserialize<ResponseHeader, Response>(rbuffer, (long)rlength);
+        if (res.header.Code == ApiError.Success) {
+                    tcs.TrySetResult(new Result<Response>(res.body));
+                }
+        else {
+                    tcs.TrySetResult(new Result<Response>(res.header.Code));
+                }
+        lock (_keepalive_cache) {
+                    _keepalive_cache.Remove(id);
+                }
+            };
+            System.Diagnostics.Trace.Assert(_client != IntPtr.Zero, "Channel may have been disposed");
+            var cb_wrapper = new PBCallbackWrapper(callback);
             lock (_keepalive_cache) {
-               _keepalive_cache.Remove(id);
+                _keepalive_cache.Add(id, cb_wrapper);
             }
-         };
-         System.Diagnostics.Trace.Assert(_client != IntPtr.Zero, "Channel may have been disposed");
-         var cb_wrapper = new PBCallbackWrapper(callback);
-         lock (_keepalive_cache) {
-            _keepalive_cache.Add(id, cb_wrapper);
-         }
-         ApiNativeMethods.api_client_send(
-            _client, buffer, buffer.Length, cb_wrapper.callback, IntPtr.Zero);
-         return tcs.Task;
-      }
+            ApiNativeMethods.api_client_send(
+               _client, buffer, buffer.Length, cb_wrapper.Callback, IntPtr.Zero);
+            // Return a task that will free the handle once the task is completed
+            return tcs.Task.ContinueWith(task => {
+                cb_wrapper.Free(); // Ensure the GCHandle is freed when the callback is done
+                return task.Result;
+            });
+        }
 
       public override IObservable<RawUpdate<TOut>> subscribe<TParse,TOut>(int method_id, string method, string qualifier, MessageParser<TParse> parser, Func<TParse,TOut> converter) {
          var result = Observable.Create<RawUpdate<TOut>>(async observer => {
@@ -206,11 +212,29 @@ namespace bts.api.core {
       /// garbage-collector race may yield the infamous error, "A callback was made on a garbage
       /// collected delegate of type...").
       /// </remarks>
-      class PBCallbackWrapper {
-         public readonly ApiNativeMethods.raw_pb_callback callback;
+      class PBCallbackWrapper
+        {
+            public readonly ApiNativeMethods.raw_pb_callback Callback;
+            private GCHandle _handle;
 
-         public PBCallbackWrapper(ApiNativeMethods.raw_pb_callback callback) =>
-            this.callback = callback;
-      }
+            public PBCallbackWrapper(ApiNativeMethods.raw_pb_callback callback)
+            {
+                // Pin the callback to prevent garbage collection
+                Log.QBus.diag($"Created PBCallbackWrapper");
+                _handle = GCHandle.Alloc(callback);
+                Callback = callback;
+            }
+
+            public void Free()
+            {  
+                // Free the GCHandle when the delegate is no longer needed
+                Log.QBus.diag($"Deleting PBCallbackWrapper");
+                
+                if (_handle.IsAllocated)
+                {
+                    _handle.Free();
+                }
+            }
+        }
    }
 }

src/client/spark_api/data/ticks/RegionalTickFactors.cs

@@ -16,6 +16,9 @@ namespace mbts.user.settings {
       public RegionalTickFactors()
          : this(new TickFactors(), new TickFactors(), double.MinValue) { }
 
+      public RegionalTickFactors(TickFactors tick)
+         : this(tick, tick, double.PositiveInfinity) { }
+
       public RegionalTickFactors(TickFactors low_tick, TickFactors high_tick, double low_tick_inclusive_end) {
          _low_tick = low_tick;
          _high_tick = high_tick;

src/client/spark_api/data/ticks/TickDisplaySettings.cs

@@ -78,14 +78,16 @@ namespace mbts.user.settings {
          bool? show_commas = null,
          string? nan_text = null,
          bool? show_decimal_part = null,
-         bool? show_zero_integer = null) =>
+         bool? show_zero_integer = null,
+         TickFactors? tick_factors = null) =>
          new() {
             pad_with_leading_zeros = pad_with_leading_zeros ?? settings.pad_with_leading_zeros,
             display_multiplier = display_multiplier ?? settings.display_multiplier,
             show_commas = show_commas ?? settings.show_commas,
             nan_text = nan_text ?? settings.nan_text,
             show_decimal_part = show_decimal_part ?? settings.show_decimal_part,
-            show_zero_integer = show_zero_integer ?? settings.show_zero_integer
+            show_zero_integer = show_zero_integer ?? settings.show_zero_integer,
+            tick_factors = tick_factors ?? settings.tick_factors,
          };
 
       public static double to_display_value(this TickDisplaySettings settings, double value) =>

src/client/spark_api/data/ticks/TickExtensions.cs

@@ -7,6 +7,7 @@ namespace mbts {
    using mbts.user.settings;
 
    using Spark.Core;
+   using Spark.Core.Math;
 
    using System;
    using System.Collections.Generic;
@@ -63,7 +64,7 @@ namespace mbts {
          if (ticks_per_base.is_int()) {
             return true;
          }
-         return tick.tick_unit > tick.tick_base && tick.tick_base == 1;
+         return tick.tick_unit > tick.tick_base && tick.tick_unit_frac().is_int();
       }
 
       public static bool is_valid(this RegionalTickFactors regional_tick) =>
@@ -95,7 +96,7 @@ namespace mbts {
 
       public static double reduced_base(this TickFactors tick) => MathUtils.factor_out(tick.tick_base, 10);
 
-      public static bool tick_equals(this RegionalTickFactors regional_tick, double x, double y) {
+      public static bool tick_equals(this RegionalTickFactors regional_tick, double x, double y, RoundingMode rounding_mode = RoundingMode.Closest) {
          if (x.is_nan()) {
             return y.is_nan();
          }
@@ -107,15 +108,15 @@ namespace mbts {
          return xtick is not null
             && ytick is not null
             && xtick.Equals(ytick)
-            && xtick.tick_equals(x, y);
+            && xtick.tick_equals(x, y, rounding_mode);
       }
 
-      public static bool tick_equals(this TickFactors tick, double x, double y) {
+      public static bool tick_equals(this TickFactors tick, double x, double y, RoundingMode rounding_mode = RoundingMode.Closest) {
          if (x.is_nan()) {
             return y.is_nan();
          }
-         var x_units = MathUtils.round_fractional_units(x, tick.tick_unit_frac());
-         var y_units = MathUtils.round_fractional_units(y, tick.tick_unit_frac());
+         var x_units = MathUtils.round_fractional_units(x, tick.tick_unit_frac(), rounding_mode, TickUtils.precision_const<double>());
+         var y_units = MathUtils.round_fractional_units(y, tick.tick_unit_frac(), rounding_mode, TickUtils.precision_const<double>());
          return x_units == y_units;
       }
 
@@ -137,10 +138,10 @@ namespace mbts {
             x => NumericCastConverter<T, int>.convert(
                MathUtils.round_fractional_units(x, tick.tick_unit_frac<T>())));
 
-      public static IEqualityComparer<double> tick_equality_comparer(this TickFactors tick) =>
+      public static IEqualityComparer<double> tick_equality_comparer(this TickFactors tick, RoundingMode rounding_mode = RoundingMode.Closest) =>
          EqualityComparer.Create<double>(
-            (a, b) => tick_equals(tick, a, b),
-            x => (int)MathUtils.round_fractional_units(x, tick.tick_unit_frac()));
+            (a, b) => tick_equals(tick, a, b, rounding_mode),
+            x => (int)MathUtils.round_fractional_units(x, tick.tick_unit_frac(), rounding_mode));
 
       public static TickFactors get_tick_for(this RegionalTickFactors rtick, double value) =>
          value > rtick.low_tick_inclusive_end ? rtick.high_tick : rtick.low_tick;
@@ -179,10 +180,7 @@ namespace mbts {
          if (T.IsInfinity(value)) {
             return value.ToString();
          }
-         return tick?.is_valid() ?? false ?
-            _format_tick(tick, value, settings) :
-            _format_no_tick(
-               value, settings.display_multiplier.as_type<double, T>(), settings.show_commas);
+         return _format_tick(tick, value, settings);
       }
 
       public static string format<T>(

src/client/spark_api/data/ticks/TickUtils.cs

@@ -6,6 +6,7 @@ using bts.utils;
 using mbts.user.settings;
 
 using Spark.Core;
+using Spark.Core.Math;
 
 using System;
 using System.Collections.Generic;
@@ -189,52 +190,58 @@ namespace mbts.spark {
       public static int compare_tick_fallback_to_double(this ContractSpecificationImmutable contract, double x, double y) =>
          tick_equals(contract, x, y) ? 0 : x.CompareTo(y);
 
-      public static double round_to_tick(this ContractSpecificationImmutable spec, double value) =>
-         round_to_tick(spec.ticksize(value), value);
+      public static double round_to_tick(this ContractSpecificationImmutable spec, double value, RoundingMode rounding_mode = RoundingMode.Closest) =>
+         round_to_tick(spec.ticksize(value), value, rounding_mode);
 
-      public static decimal round_to_tick(this ContractSpecificationImmutable spec, decimal value) =>
-         round_to_tick((decimal)spec.ticksize((double)value), value);
+      public static decimal round_to_tick(this ContractSpecificationImmutable spec, decimal value, RoundingMode rounding_mode = RoundingMode.Closest) =>
+         round_to_tick((decimal)spec.ticksize((double)value), value, rounding_mode);
 
-      public static double round_to_tick(this RegionalTickFactors rtick, double value) =>
-         round_to_tick(rtick.ticksize(value), value);
+      public static double round_to_tick(this RegionalTickFactors rtick, double value, RoundingMode rounding_mode = RoundingMode.Closest) =>
+         round_to_tick(rtick.ticksize(value), value, rounding_mode);
 
-      public static decimal round_to_tick(this RegionalTickFactors rtick, decimal value) =>
-         round_to_tick((decimal)rtick.ticksize((double)value), value);
+      public static decimal round_to_tick(this RegionalTickFactors rtick, decimal value, RoundingMode rounding_mode = RoundingMode.Closest) =>
+         round_to_tick((decimal)rtick.ticksize((double)value), value, rounding_mode);
 
-      public static double round_to_tick(double tick_size, double value) {
-         double intpart = (long)value;
-         double floatpart = value % 1;
-         floatpart = ((int)Math.Round(floatpart / tick_size)) * tick_size;
-         return intpart + floatpart;
+      public static double round_to_tick(double tick_size, double value, RoundingMode rounding_mode = RoundingMode.Closest) {
+         double n = rounding_mode switch {
+            RoundingMode.Closest => Math.Round(value / tick_size),
+            RoundingMode.Up => Math.Ceiling((value - _precision_const) / tick_size),
+            RoundingMode.Down => Math.Floor((value + _precision_const) / tick_size),
+            RoundingMode.AbsUp => value < 0
+               ? Math.Floor((value + _precision_const) / tick_size)
+               : Math.Ceiling((value - _precision_const) / tick_size),
+            RoundingMode.AbsDown => value < 0
+               ? Math.Ceiling((value - _precision_const) / tick_size)
+               : Math.Floor((value + _precision_const) / tick_size),
+            _ => double.NaN,
+         };
+         return n * tick_size;
       }
 
-      public static decimal round_to_tick(decimal tick_size, decimal value) {
-         decimal intpart = (long)value;
-         decimal floatpart = value % 1;
-         floatpart = ((int)(floatpart / tick_size)) * tick_size;
-         return intpart + floatpart;
+      public static decimal round_to_tick(decimal tick_size, decimal value, RoundingMode rounding_mode = RoundingMode.Closest) {
+         decimal n = rounding_mode switch {
+            RoundingMode.Closest => Math.Round(value / tick_size),
+            RoundingMode.Up => Math.Ceiling(value / tick_size),
+            RoundingMode.Down => Math.Floor(value / tick_size),
+            RoundingMode.AbsUp => value < 0
+               ? Math.Floor(value / tick_size)
+               : Math.Ceiling(value / tick_size),
+            RoundingMode.AbsDown => value < 0
+               ? Math.Ceiling(value / tick_size)
+               : Math.Floor(value / tick_size),
+            _ => throw new ArgumentException("Invalid rounding mode", nameof(rounding_mode)),
+         };
+         return n * tick_size;
       }
 
-      public static long? count_ticks(this RegionalTickFactors rtick, double value) {
-         if (!rtick.is_valid()) {
-            return null;
-         }
+      public static long? count_ticks(this RegionalTickFactors rtick, double value, RoundingMode rounding_mode = RoundingMode.AbsDown) {
+         var rounded_value = rtick.round_to_tick(value, rounding_mode);
          var n = _count_ticks(
             rtick.low_tick.tick_unit_frac(),
             rtick.low_tick_inclusive_end,
             rtick.high_tick.tick_unit_frac(),
             0,
-            value);
-         var orig_n = n;
-         // Enforce proper rounding
-         var rounded_val = rtick.round_to_tick(value);
-         var half_tick = rtick.get_tick_for(value).tick_unit_frac() / 2;
-         if (n < 0 && (value - rounded_val) > half_tick) {
-            ++n;
-         } else if (n > 0 && (rounded_val - value) > half_tick) {
-            --n;
-         }
-         Log.assert(n == orig_n);
+            rounded_value);
          return n;
       }
 
@@ -253,71 +260,19 @@ namespace mbts.spark {
          return tick;
       }
 
-      public static RegionalTickFactors multiply_tick_size(RegionalTickFactors spec, uint factor) {
-         factor = _fit_ticks_per_row_to_dollars(spec, factor) ?? 1;
-         return new(
+      public static RegionalTickFactors multiply_tick_size(RegionalTickFactors spec, uint factor) =>
+         new(
             new(spec.low_tick.tick_base, spec.low_tick.tick_unit * factor),
             new(spec.high_tick.tick_base, spec.high_tick.tick_unit * factor),
             spec.low_tick_inclusive_end);
-      }
 
       public static double normalize_price(RegionalTickFactors rtick, double price) {
-         if (!price.is_real()) {
+         var maybe_ticks = rtick.count_ticks(price);
+         if (!maybe_ticks.HasValue) {
             return price;
          }
-         var ticks = rtick.count_ticks(price);
-         if (!ticks.HasValue) {
-            return price;
-         }
-         var normalized = rtick.tick(0, ticks.Value);
-         var tick = price > rtick.low_tick_inclusive_end ? rtick.high_tick : rtick.low_tick;
-         // Diff should always be < 1/2 tick
-         Log.assert((normalized - price).abs() < tick.tick_unit_frac() * 0.5);
-         return normalized;
-      }
-
-      public static uint fit_ticks_per_row_to_dollars(SecurityImmutable sec, uint ticks_per_row) =>
-         _fit_ticks_per_row_to_dollars(sec, ticks_per_row) ?? 1;
-
-      public static uint fit_ticks_per_row_to_dollars(RegionalTickFactors rtick, uint ticks_per_row) =>
-         _fit_ticks_per_row_to_dollars(rtick, ticks_per_row) ?? 1;
-
-      static uint? _fit_ticks_per_row_to_dollars(SecurityImmutable sec, uint ticks_per_row) =>
-         _fit_ticks_per_row_to_dollars(sec.regional_ticks(), ticks_per_row);
-
-      static uint? _fit_ticks_per_row_to_dollars(RegionalTickFactors tf, uint ticks_per_row) {
-         if (ticks_per_row == 0)
-            return null;
-         // it is assumed that low tick will be the same as high tick;
-         // however, best to double check - return null if this isn't the case (let the caller decide what to do).
-         if (!tf.low_tick.Equals(tf.high_tick) || !tf.is_valid() || tf.low_tick.is_integer())
-            return null;
-         var ticks_per_dollar = (uint)(tf.low_tick.tick_base / tf.low_tick.tick_unit);
-         // if ticks_per_row is greater than ticks_per_dollar, round to a multiple of ticks_per_dollar
-         if (ticks_per_row > ticks_per_dollar) {
-            if (ticks_per_dollar == 0) {
-               return null;
-            }
-            return (uint)(ticks_per_dollar * Math.Floor((double)(ticks_per_row / ticks_per_dollar)));
-         } else if (ticks_per_row == ticks_per_dollar) {
-            return ticks_per_row;
-         } else {
-            uint max_decrease_adj = ticks_per_row;
-            uint max_increase_adj = ticks_per_dollar - ticks_per_row - 1;
-            for (uint adj = 0; adj < Math.Max(max_decrease_adj, max_increase_adj); adj++) {
-               if (adj < max_decrease_adj) {
-                  var result = ticks_per_row - adj;
-                  if (ticks_per_dollar % result == 0)
-                     return result;
-               }
-               if (adj < max_increase_adj) {
-                  var result = ticks_per_row + adj;
-                  if (ticks_per_dollar % result == 0)
-                     return result;
-               }
-            }
-         }
-         return null;
+         var ticks = maybe_ticks.Value;
+         return rtick.tick(0, (long)ticks);
       }
 
       static long? _count_ticks(
@@ -367,8 +322,20 @@ namespace mbts.spark {
 
             static long count_single_tick_sz(
                double tick_sz, double from, double to) {
-               var from_n = (long)MathUtils.round_fractional_units(from, tick_sz);
-               var to_n = (long)MathUtils.round_fractional_units(to, tick_sz);
+               from = round_to_tick(tick_sz, from, RoundingMode.AbsDown);
+               to = round_to_tick(tick_sz, to, RoundingMode.AbsDown);
+               if (from < 0) {
+                  from -= _precision_const;
+               } else {
+                  from += _precision_const;
+               }
+               if (to < 0) {
+                  to -= _precision_const;
+               } else {
+                  to += _precision_const;
+               }
+               var from_n = (long)(from / tick_sz);
+               var to_n = (long)(to / tick_sz);
                return to_n - from_n;
             }
          }

src/client/spark_api/security/ContractLegEnumerable.cs

@@ -39,7 +39,6 @@
 
       static IEnumerable<ContractLegImmutable> _get_root_legs(
          ContractLegImmutable leg, double root_quantity) {
-         _validate_root_quantity(root_quantity);
          if (leg.HasSecurity) {
             return _get_root_legs(leg.Security, leg.signed_quantity() * root_quantity);
          }
@@ -54,10 +53,8 @@
          return new[] { new ContractLegImmutable(mleg) };
       }
 
-      static IEnumerable<ContractLegImmutable> _get_root_legs(
-         SecurityImmutable security, double root_quantity) {
-         _validate_root_quantity(root_quantity);
-         return security.ContractCase switch {
+      static IEnumerable<ContractLegImmutable> _get_root_legs(SecurityImmutable security, double root_quantity) =>
+         security.ContractCase switch {
             Security.ContractOneofCase.Spread => security.Spread.Legs.SelectMany(l => _get_root_legs(l.Security, root_quantity * l.signed_quantity())).ToArray(),
             Security.ContractOneofCase.Synthetic => security.Synthetic.Legs.SelectMany(l => _get_root_legs(l.Security, root_quantity * l.signed_quantity())).ToArray(),
             _ => new[] {
@@ -69,13 +66,5 @@
                   })
                },
          };
-      }
-
-      static void _validate_root_quantity(double root_quantity) {
-         if (!root_quantity.is_real_non_zero()) {
-            throw new ArgumentException(
-               $"Expected real non-zero value (actually {root_quantity})", nameof(root_quantity));
-         }
-      }
    }
 }

src/client/spark_core/Collections/Extensions/EnumerableExtensions.cs

@@ -640,6 +640,9 @@ namespace System.Collections.Generic {
       public static List<T> ToListSorted<T, TKey>(this IEnumerable<T> enumerable, Func<T, TKey> key_selector, IComparer<TKey> key_comparer) =>
          enumerable.ToListSorted(key_comparer.wrap(key_selector));
 
+      public static List<T> ToListSorted<T>(this IEnumerable<T> enumerable) where T : IComparable<T> =>
+         enumerable.ToListSorted(Comparer<T>.Default);
+
       public static List<T> ToListSorted<T>(this IEnumerable<T> enumerable, IComparer<T> comparer) {
          var list = new List<T>(enumerable);
          list.Sort(comparer);

src/client/spark_core/Collections/Operable/Hierarchical/OperableHierarchicalCollection.cs

@@ -73,7 +73,8 @@ namespace bts.collections {
       public IEnumerable<TRow> all_rows => _tree.all_rows;
       public int Count => _rows.Count;
       public int total_row_count => _tree.total_row_count;
-
+      public IEnumerable<TRow> GetAllRows(bool excludeFiltered = false) =>
+         _tree.GetAllRows(excludeFiltered);
       public IDisposable defer_refresh() =>
          _refresh.defer();
 

src/client/spark_core/Collections/Operable/Hierarchical/OperableHierarchicalCollectionModel.cs

@@ -61,6 +61,8 @@ namespace bts.collections {
       IEnumerable<INode<TRow>> _root_nodes =>
          _filter == null ? _tree.RootNodes : _cached_filtered ?? (_cached_filtered = _tree.RootNodes.filtered(_filter).sorted_hard(_comparer));
 
+      public IEnumerable<TRow> GetAllRows(bool excludeFiltered = false) =>
+         excludeFiltered ? all_rows : _tree;
       // collapse
       public void collapse_row(TKey key) => _toggle_is_expanded(key, false);
       public void collapse_all() => _toggle_is_expanded(false);

src/client/spark_core/Math/RoundingMode.cs

@@ -0,0 +1,17 @@
+#nullable enable
+
+namespace Spark.Core.Math;
+
+public enum RoundingMode {
+   None,
+   // Round to the closest integer (up if decimal part is >= 0.5, otherwise down)
+   Closest,
+   // Round up
+   Up,
+   // Round down
+   Down,
+   // Round positive numbers up, and negative numbers down
+   AbsUp,
+   // Round positive numbers down, and negative numbers up
+   AbsDown
+}

src/client/spark_core/utils/ConvertUtils.cs

@@ -1,143 +1,163 @@
-namespace System {
-   using bts;
-
-   using System.Diagnostics.CodeAnalysis;
-
-   public static class ConvertUtils {
-      public static object try_convert(Type type, object obj) {
-         try_convert(type, obj, out object result);
-         return result;
-      }
-
-      #nullable enable
-      public static bool try_convert<T>(
-         object obj,
-         [NotNullWhen(true)]out T? result,
-         LogLevel? log_level = null,
-         LogSubsystem log_subsystem = LogSubsystem.gen,
-         string? name = null) {
-         if (obj is T t) {
-            result = t;
-            return true;
-         }
-         if (try_convert(typeof(T), obj, out var result_obj)) {
-            result = (T)result_obj;
-            return true;
-         }
-         if (log_level.HasValue) {
-            name = name is null ? "obj" : $"'{name}'";
-            var msg = $"Expected {name} to be of type '{typeof(T)}', actually " +
-               $"'{obj?.GetType()?.ToString() ?? "null"}'.";
-            Log.log(new(log_subsystem, log_level.Value, msg));
-         }
-         result = default;
-         return false;
-      }
-      #nullable disable
-
-      public static bool try_convert(Type type, object obj, out object result) {
-         if (obj == null) {
-            result = get_default(type);
-            return false;
-         } else if (type.IsPrimitive && obj is IConvertible) {
-            result = Convert.ChangeType(obj, type);
-            return true;
-         } else if (type.IsAssignableFrom(obj.GetType())) {
-            result = obj;
-            return true;
-         } else if (type.IsEnum && obj is string) {
-            result = try_parse_enum(type, obj.ToString());
-            return true;
-         } else if (type.IsNullable()) {
-            if (try_convert(type.GetGenericArguments()[0], obj, out result)) {
-               return true;
-            }
-            result = null;
-            return false;
-         } else {
-            result = get_default(type);
-            return false;
-         }
-      }
-
-      public static T try_convert<T>(object obj) =>
-         (T)try_convert(typeof(T), obj);
-
-      public static T try_convert<T>(object obj, T default_value) =>
-         try_convert(obj, out T result) ? result : default_value;
-
-      public static bool try_convert<T>(object obj, out T result) {
-         bool rv = try_convert(typeof(T), obj, out object r_obj);
-         result = (T)r_obj;
-         return rv;
-      }
-
-      public static object get_default(Type type) =>
-         type.IsValueType ? Activator.CreateInstance(type) : null;
-
-      public static T ValueOrDefault<T>(T? nullable) where T : struct => nullable.HasValue ? nullable.Value : default;
-
-      public static bool is_compatible<T>(object obj) { return obj is T || (obj == null && default(T) == null); }
-
-      public static bool try_convert_args<T1, T2>(object[] args, out T1 arg1, out T2 arg2) {
-         if (args == null || args.Length != 2) {
-            arg1 = default;
-            arg2 = default;
-            return false;
-         }
-         bool rv = try_convert(args[0], out arg1);
-         rv |= try_convert(args[1], out arg2);
-         return rv;
-      }
-
-      public static bool try_convert_args<T1, T2, T3>(object[] args, out T1 arg1, out T2 arg2, out T3 arg3) {
-         if (args == null || args.Length != 3) {
-            arg1 = default;
-            arg2 = default;
-            arg3 = default;
-            return false;
-         }
-         bool rv = try_convert(args[0], out arg1);
-         rv |= try_convert(args[1], out arg2);
-         rv |= try_convert(args[2], out arg3);
-         return rv;
-      }
-
-      public static bool try_convert_args<T1, T2, T3, T4>(object[] args, out T1 arg1, out T2 arg2, out T3 arg3, out T4 arg4) {
-         if (args == null || args.Length != 4) {
-            arg1 = default;
-            arg2 = default;
-            arg3 = default;
-            arg4 = default;
-            return false;
-         }
-         bool rv = try_convert(args[0], out arg1);
-         rv |= try_convert(args[1], out arg2);
-         rv |= try_convert(args[2], out arg3);
-         rv |= try_convert(args[3], out arg4);
-         return rv;
-      }
-
-      public static object try_parse_enum(Type enum_type, string value, bool ignore_case = true) {
-         if (!enum_type.IsEnum) throw new ArgumentException("Must an enum type.", nameof(enum_type));
-         Array vals = Enum.GetValues(enum_type);
-         var str_comp = ignore_case ? StringComparison.CurrentCultureIgnoreCase : StringComparison.CurrentCulture;
-         foreach (object v in vals) {
-            if (string.Equals(v.ToString(), value, str_comp))
-               return v;
-         }
-         return Activator.CreateInstance(enum_type);
-      }
-
-      public static bool update_value_type<T>(ref T field, T newval) where T : struct, IEquatable<T> {
-         bool rv = !field.Equals(newval);
-         field = newval;
-         return rv;
-      }
-
-      public static class CastDelegate<T, TResult> {
-         public static readonly Func<T, TResult> value =
-            v => v is TResult r ? r : throw new InvalidCastException($"Failed to cast element in source collection from type {typeof(T)} to {typeof(TResult)}.");
-      }
-   }
-}
+namespace System {
+   using bts;
+
+   using System.Collections.Generic;
+   using System.Diagnostics.CodeAnalysis;
+
+   public static class ConvertUtils {
+      public static object try_convert(Type type, object obj) {
+         try_convert(type, obj, out object result);
+         return result;
+      }
+
+      #nullable enable
+      public static bool try_convert<T>(
+         object obj,
+         [NotNullWhen(true)]out T? result,
+         LogLevel? log_level = null,
+         LogSubsystem log_subsystem = LogSubsystem.gen,
+         string? name = null) {
+         if (obj is T t) {
+            result = t;
+            return true;
+         }
+         if (try_convert(typeof(T), obj, out var result_obj)) {
+            result = (T)result_obj;
+            return true;
+         }
+         if (log_level.HasValue) {
+            name = name is null ? "obj" : $"'{name}'";
+            var msg = $"Expected {name} to be of type '{typeof(T)}', actually " +
+               $"'{obj?.GetType()?.ToString() ?? "null"}'.";
+            Log.log(new(log_subsystem, log_level.Value, msg));
+         }
+         result = default;
+         return false;
+      }
+      #nullable disable
+
+      public static bool try_convert(Type type, object obj, out object result) {
+         if (obj == null) {
+            result = get_default(type);
+            return false;
+         } else if (type.IsPrimitive && obj is IConvertible) {
+            result = Convert.ChangeType(obj, type);
+            return true;
+         } else if (type.IsAssignableFrom(obj.GetType())) {
+            result = obj;
+            return true;
+         } else if (type.IsEnum && obj is string) {
+            result = try_parse_enum(type, obj.ToString());
+            return true;
+         } else if (type.IsNullable()) {
+            if (try_convert(type.GetGenericArguments()[0], obj, out result)) {
+               return true;
+            }
+            result = null;
+            return false;
+         } else {
+            result = get_default(type);
+            return false;
+         }
+      }
+
+      public static T try_convert<T>(object obj) =>
+         (T)try_convert(typeof(T), obj);
+
+      public static T try_convert<T>(object obj, T default_value) =>
+         try_convert(obj, out T result) ? result : default_value;
+
+      public static bool try_convert<T>(object obj, out T result) {
+         bool rv = try_convert(typeof(T), obj, out object r_obj);
+         result = (T)r_obj;
+         return rv;
+      }
+
+      public static object get_default(Type type) =>
+         type.IsValueType ? Activator.CreateInstance(type) : null;
+
+      public static T ValueOrDefault<T>(T? nullable) where T : struct => nullable.HasValue ? nullable.Value : default;
+
+      public static bool is_compatible<T>(object obj) { return obj is T || (obj == null && default(T) == null); }
+
+      public static bool try_convert_args<T1, T2>(object[] args, out T1 arg1, out T2 arg2) {
+         if (args == null || args.Length != 2) {
+            arg1 = default;
+            arg2 = default;
+            return false;
+         }
+         bool rv = try_convert(args[0], out arg1);
+         rv |= try_convert(args[1], out arg2);
+         return rv;
+      }
+
+      public static bool try_convert_args<T1, T2, T3>(object[] args, out T1 arg1, out T2 arg2, out T3 arg3) {
+         if (args == null || args.Length != 3) {
+            arg1 = default;
+            arg2 = default;
+            arg3 = default;
+            return false;
+         }
+         bool rv = try_convert(args[0], out arg1);
+         rv |= try_convert(args[1], out arg2);
+         rv |= try_convert(args[2], out arg3);
+         return rv;
+      }
+
+      public static bool try_convert_args<T1, T2, T3, T4>(object[] args, out T1 arg1, out T2 arg2, out T3 arg3, out T4 arg4) {
+         if (args == null || args.Length != 4) {
+            arg1 = default;
+            arg2 = default;
+            arg3 = default;
+            arg4 = default;
+            return false;
+         }
+         bool rv = try_convert(args[0], out arg1);
+         rv |= try_convert(args[1], out arg2);
+         rv |= try_convert(args[2], out arg3);
+         rv |= try_convert(args[3], out arg4);
+         return rv;
+      }
+
+      public static bool TryConvertArgs<T1, T2, T3, T4, T5>(IEnumerable<object> args, out T1 arg1, out T2 arg2, out T3 arg3, out T4 arg4, out T5 arg5) {
+         using var en = args.GetEnumerator();
+         bool success = true;
+         convertNext(en, ref success, out arg1);
+         convertNext(en, ref success, out arg2);
+         convertNext(en, ref success, out arg3);
+         convertNext(en, ref success, out arg4);
+         convertNext(en, ref success, out arg5);
+         return success;
+      }
+
+      public static object try_parse_enum(Type enum_type, string value, bool ignore_case = true) {
+         if (!enum_type.IsEnum) throw new ArgumentException("Must an enum type.", nameof(enum_type));
+         Array vals = Enum.GetValues(enum_type);
+         var str_comp = ignore_case ? StringComparison.CurrentCultureIgnoreCase : StringComparison.CurrentCulture;
+         foreach (object v in vals) {
+            if (string.Equals(v.ToString(), value, str_comp))
+               return v;
+         }
+         return Activator.CreateInstance(enum_type);
+      }
+
+      public static bool update_value_type<T>(ref T field, T newval) where T : struct, IEquatable<T> {
+         bool rv = !field.Equals(newval);
+         field = newval;
+         return rv;
+      }
+
+      static void convertNext<T>(IEnumerator<object> enumerator, ref bool success, out T arg) {
+         if (!success || !enumerator.MoveNext()) {
+            arg = default;
+            success = false;
+         }
+         success = try_convert(enumerator.Current, out arg);
+      }
+
+      public static class CastDelegate<T, TResult> {
+         public static readonly Func<T, TResult> value =
+            v => v is TResult r ? r : throw new InvalidCastException($"Failed to cast element in source collection from type {typeof(T)} to {typeof(TResult)}.");
+      }
+   }
+}

src/client/spark_core/utils_api/MathUtils.cs

@@ -1,5 +1,6 @@
 namespace bts.utils {
    using Spark.Core;
+   using Spark.Core.Math;
 
    using System;
    using System.Collections.Generic;
@@ -194,6 +195,22 @@ namespace bts.utils {
       public static T round_fractional_units<T>(T value, T fractional_unit) where T : IFloatingPoint<T> =>
          T.Round(value / fractional_unit);
 
+      public static T round_fractional_units<T>(T value, T fractional_unit, RoundingMode rounding_mode) where T : struct, IFloatingPoint<T> =>
+         round_fractional_units(value, fractional_unit, rounding_mode, T.Zero);
+
+      public static T round_fractional_units<T>(T value, T fractional_unit, RoundingMode rounding_mode, T epsilon) where T : IFloatingPoint<T> =>
+         rounding_mode switch {
+            RoundingMode.Up => T.Ceiling((value - epsilon) / fractional_unit),
+            RoundingMode.Down => T.Floor((value + epsilon) / fractional_unit),
+            RoundingMode.AbsUp => value < T.Zero
+               ? T.Floor((value + epsilon) / fractional_unit)
+               : T.Ceiling((value - epsilon) / fractional_unit),
+            RoundingMode.AbsDown => value < T.Zero
+               ? T.Ceiling((value - epsilon) / fractional_unit)
+               : T.Floor((value + epsilon) / fractional_unit),
+            _ => T.Round(value / fractional_unit),
+         };
+
       public static double round_down_abs(double value) =>
          round_down_abs(value, EPSILON);
 
@@ -473,10 +490,12 @@ namespace bts.utils {
             }
 
             static bool try_mk_floating_point_type([NotNullWhen(true)] out Type type) {
-               try {
-                  type = typeof(IFloatingPoint<>).MakeGenericType(typeof(T));
-                  return type.IsAssignableFrom(typeof(T));
-               } catch { }
+               if (typeof(T).GetInterfaces().Any(iface => iface.IsGenericType && iface.GetGenericTypeDefinition().Equals(typeof(IFloatingPoint<>)))) {
+                  try {
+                     type = typeof(IFloatingPoint<>).MakeGenericType(typeof(T));
+                     return type.IsAssignableFrom(typeof(T));
+                  } catch { }
+               }
                type = null;
                return false;
             }

src/client/spark_core/utils_api/NumericExtensions.cs

@@ -65,10 +65,10 @@ namespace bts.utils {
       public static bool epsilon_equals<T>(this T x, T y, T epsilon) where T : IFloatingPoint<T> =>
          MathUtils.epsilon_equals(x, y, epsilon);
 
-      public static bool marginal_equals<T>(T x, T y) where T : IFloatingPoint<T> =>
-         marginal_equals(x, y, MathUtils.epsilon<T>());
+      public static bool MarginalEquals<T>(this T x, T y) where T : IFloatingPoint<T> =>
+         MarginalEquals(x, y, MathUtils.epsilon<T>());
 
-      public static bool marginal_equals<T>(T x, T y, T margin) where T : IFloatingPoint<T> =>
+      public static bool MarginalEquals<T>(this T x, T y, T margin) where T : IFloatingPoint<T> =>
          MathUtils.marginal_equals(x, y, margin);
 
       public static bool is_within_range<T>(

src/client/spark_test/Security/TickTests.cs

@@ -6,6 +6,8 @@ using mbts;
 using mbts.spark;
 using mbts.user.settings;
 
+using Spark.Core.Math;
+
 using System;
 using System.Collections.Generic;
 using System.Linq;
@@ -159,7 +161,7 @@ namespace bts.tests.security {
          var price_break = tick.low_tick_inclusive_end;
          foreach (var p in prices) {
             var expected_ticks_from_zero = TickTestHelper.count_ticks(tick, p);
-            var actual_ticks_from_zero = TickUtils.count_ticks(tick, p);
+            var actual_ticks_from_zero = TickUtils.count_ticks(tick, p, RoundingMode.Closest);
             Assert.That(expected_ticks_from_zero == actual_ticks_from_zero,
                $"Expected ticks from zero to be '{expected_ticks_from_zero}', actually '{actual_ticks_from_zero}' " +
                $"(low/high/pricebreak: {tick.low_tick}/{tick.high_tick}/{price_break}, price: {p}).");
@@ -177,24 +179,6 @@ namespace bts.tests.security {
          }
       }
 
-      void _test_tick_increment(ContractSpecificationImmutable spec, double from, double to) {
-         if (!from.is_real() || !to.is_real())
-            return;
-         var (min, max) = MathUtils.get_outliers(from, to);
-         if (spec.PriceBreak.is_real()) {
-            if (min >= spec.PriceBreak) {
-               //_test_single_tick(spec.HighTick, min, max);
-            } else if (max <= spec.PriceBreak) {
-               _test_tick_increment(spec, spec.LowTick, min, max);
-            } else {
-               //if (round_ticks(spec.LowTick, min, out var ))
-               _test_tick_increment_across_break(spec, min, max);
-            }
-         } else {
-            _test_tick_increment(spec, spec.LowTick, min, max);
-         }
-      }
-
       void _test_tick_increment(RegionalTickFactors tick, double from, double to) {
          if (!from.is_real() || !to.is_real())
             return;
@@ -260,18 +244,6 @@ namespace bts.tests.security {
          Assert.That(MathUtils.marginal_equals(batch_tick_down_result, rounded_min, TickUtils.precision_const<double>()));
       }
 
-      void _test_tick_increment(ContractSpecificationImmutable spec, double tick_size, double min, double max) {
-         // min round/partial tick
-         Assert.That(TickTestHelper.round_ticks(tick_size, min, out var rounded_min, out var rounded_min_ticks));
-         var min_partial_tick = TickTestHelper.check_partial_tick(spec, min, rounded_min, true);
-         // max round/partial tick
-         Assert.That(TickTestHelper.round_ticks(tick_size, max, out var rounded_max, out var rounded_max_ticks));
-         var max_partial_tick = TickTestHelper.check_partial_tick(spec, max, rounded_max, false);
-         var full_ticks = rounded_max_ticks - rounded_min_ticks;
-         Assert.That(MathUtils.marginal_equals(rounded_max, spec.tickup(min, full_ticks + min_partial_tick), TickUtils.precision_const<double>()));
-         Assert.That(MathUtils.marginal_equals(rounded_min, spec.tickup(max, -(full_ticks + max_partial_tick)), TickUtils.precision_const<double>()));
-      }
-
       void _test_tick_increment(RegionalTickFactors tick, double tick_size, double min, double max) {
          // min round/partial tick
          Assert.That(TickTestHelper.round_ticks(tick_size, min, out var rounded_min, out var rounded_min_ticks));

src/lib/api/md/DatabentoMarketDataConfig.proto

@@ -13,6 +13,6 @@ message DatabentoMarketDataConfig {
   double replay_sleep_timer_sec = 50;
   string key = 60;
   string dataset = 70;
-  bool filter_securities_one_year= 80;
+  uint32 filter_securities_upto_n_months= 80;
   bool load_reference_data = 90;
 }

src/lib/api/md/MarketDataReplayConfig.proto

@@ -13,4 +13,6 @@ option cc_enable_arenas = true;
 message MarketDataReplayConfig {
    bts.api.Venue venue = 10;
    double replay_speed = 20;
+   // whether to replay books 
+   bool publish_boostrap_books_only = 30;
 }

src/lib/api/service_helpers/AdminServiceUtils.cpp

@@ -774,8 +774,14 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(
       out_result.set_is_success(true);
       return rv;
    }
+   case api::VENUE_BINANCE: {
+      rv.set_session("binance_1");
+      rv.set_account(account_ptr->name());
+      rv.set_account(user_ptr->name());
+      out_result.set_is_success(true);
+      return rv;
+   }
    case api::VENUE_FTX:     // TODO
-   case api::VENUE_BINANCE: // TODO
    case api::VENUE_BINANCE_COIN_FUTURES:
    case api::VENUE_BINANCE_US:
    case api::Venue::VENUE_COINBASE:

src/lib/api/service_helpers/AdminServiceUtils.h

@@ -4,16 +4,11 @@
 #include "lib/api/services/OrderService.server.pb.h"
 #include "lib/config/config.h"
 #include "lib/config/protos/toggles.pb.h"
-#include "lib/domain_model/Security.h"
 #include "lib/utils/PBUtils.h"
-#include <memory>
 
 namespace bts {
 namespace admin {
 
-using namespace bts::api::admin;
-using namespace bts::api::orderman;
-
 class AdminServiceUtils {
  public:
    struct ExchangeSubAccountResolver {
@@ -33,7 +28,7 @@ class AdminServiceUtils {
             return is_int_account ? entry.bts_account_name()
                                   : entry.exchange_subaccount();
          };
-         if(sec == nullptr)
+         if (sec == nullptr)
             return nullptr;
          for (const auto &u : exch_sub_accounts.accounts()) {
             if (get_account(u) == account)
@@ -59,224 +54,247 @@ class AdminServiceUtils {
    ////////////////////////////////////////////
    // finds the max id out of all the existing connections
    // (todo: deleted connections)
-   static uint32_t find_max_connection_id(const AdminData &data);
+   static uint32_t find_max_connection_id(const api::admin::AdminData &data);
    // finds a connection by name and returns a mutable pointer to it
-   static const ExchangeConnection *find_connection(
-       const AdminData &data, const std::string &connection_name);
+   static const api::admin::ExchangeConnection *find_connection(
+       const api::admin::AdminData &data, const std::string &connection_name);
    // finds the presence of an exchange in a connection
    static bool has_exchange(
-       const ExchangeConnection &conn, bts::api::Venue exchange);
+       const api::admin::ExchangeConnection &conn, api::Venue exchange);
    // finds the default connections for an exchange
    // in a given account
-   static const ExchangeConnection *find_default_account_connection(
-       const AdminData &data,
-       const BTSAccount &account,
-       bts::api::Venue exchange);
-   static const ExchangeConnection *resolve_cme_connection(
-       const AdminData &data,
-       const BTSAccount &account,
+   static const api::admin::ExchangeConnection *find_default_account_connection(
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
+       api::Venue exchange);
+   static const api::admin::ExchangeConnection *resolve_cme_connection(
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
        const api::Security &sec);
-   static const ExchangeConnection *resolve_ice_connection(
-       const AdminData &data,
-       const BTSAccount &account,
+   static const api::admin::ExchangeConnection *resolve_ice_connection(
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
        const api::Security &sec);
-   static const ExchangeConnection *resolve_sim_connection(
-       const AdminData &data,
-       const BTSAccount &account,
+   static const api::admin::ExchangeConnection *resolve_sim_connection(
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
        const api::Security &sec);
-   static const ExchangeConnection *resolve_connection(
-       const AdminData &data,
-       const BTSAccount &account,
-       const bts::api::Security &sec);
+   static const api::admin::ExchangeConnection *resolve_connection(
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
+       const api::Security &sec);
+
    ////////////////////////////////////////////
    // connection mutators /////////////////////
    ////////////////////////////////////////////
    // adds a new connection (does not check for name uniqueness)
-   static ExchangeConnection *add_connection(
-       AdminData &data, const ExchangeConnection &new_connection);
+   static api::admin::ExchangeConnection *add_connection(
+       api::admin::AdminData &data,
+       const api::admin::ExchangeConnection &new_connection);
    // reads the connections from config and fills in the
    // admin data (with names only)
-   static void fill_connections_from_config(AdminData &admin_data);
+   static void fill_connections_from_config(api::admin::AdminData &admin_data);
+
    ////////////////////////////////////////////
    // account accessors ///////////////////////
    ////////////////////////////////////////////
    // finds the account from the name and returns
    // a mutable pointer to the account
-   static BTSAccount *find_account(
-       AdminData &data,
+   static api::admin::BTSAccount *find_account(
+       api::admin::AdminData &data,
        const std::string &acct_name,
        bool include_deleted = false);
    static std::map<std::string, uint32_t> get_clearing_account_map(
-       const AdminData &);
+       const api::admin::AdminData &);
 
    // finds the account from a clearing account (and its venue)
-   static BTSAccount const *find_account(
-       const AdminData &data,
+   static api::admin::BTSAccount const *find_account(
+       const api::admin::AdminData &data,
        const std::string &clearing_account,
-       bts::api::Venue);
+       api::Venue);
    // same as above for const pointer
-   static const BTSAccount *find_account(
-       const AdminData &data,
+   static const api::admin::BTSAccount *find_account(
+       const api::admin::AdminData &data,
        const std::string &acct_name,
        bool include_deleted = false);
    // finds the account from the id and returns
    // a mutable pointer to the account
-   static BTSAccount *find_account(
-       AdminData &data, uint32_t id, bool include_deleted = false);
+   static api::admin::BTSAccount *find_account(
+       api::admin::AdminData &data, uint32_t id, bool include_deleted = false);
    // like above but returns a const pointer
-   static const BTSAccount *find_account(
-       const AdminData &data, uint32_t id, bool include_deleted = false);
+   static const api::admin::BTSAccount *find_account(
+       const api::admin::AdminData &data,
+       uint32_t id,
+       bool include_deleted = false);
    // this function is an indirection layer for account access
    // so deletions are dealt in a more deliberate manner
-   static std::vector<const BTSAccount *> accounts(
-       const AdminData &data, bool include_deleted);
-   static std::vector<BTSAccount *> accounts_mutable(
-       AdminData &data, bool include_deleted);
+   static std::vector<const api::admin::BTSAccount *> accounts(
+       const api::admin::AdminData &data, bool include_deleted);
+   static std::vector<api::admin::BTSAccount *> accounts_mutable(
+       api::admin::AdminData &data, bool include_deleted);
    // finds the max id amongts all the existing accounts
-   static uint32_t find_max_acct_id(const AdminData &data);
+   static uint32_t find_max_acct_id(const api::admin::AdminData &data);
    // gets the account data for cme (and goes up the hierarchy
    // if needed)
-   static const CMEAccountData *get_account_cme_data(
-       const BTSAccount &account, const AdminData &data);
-   static const ICEAccountData *get_account_ice_data(
-       const BTSAccount &account, const AdminData &data);
-   static const SIMAccountData *get_account_sim_data(
-       const BTSAccount &account, const AdminData &data);
+   static const api::admin::CMEAccountData *get_account_cme_data(
+       const api::admin::BTSAccount &account,
+       const api::admin::AdminData &data);
+   static const api::admin::ICEAccountData *get_account_ice_data(
+       const api::admin::BTSAccount &account,
+       const api::admin::AdminData &data);
+   static const api::admin::SIMAccountData *get_account_sim_data(
+       const api::admin::BTSAccount &account,
+       const api::admin::AdminData &data);
    // returns true if an account has a connection
    bool static account_has_connection(
-       const BTSAccount &account, const std::string &connection_name);
+       const api::admin::BTSAccount &account,
+       const std::string &connection_name);
    // finds the external/clearing account associated
    // with an account
    static std::string find_account_exchange_account(
-       const AdminData &data,
-       const BTSAccount &account,
+       const api::admin::AdminData &data,
+       const api::admin::BTSAccount &account,
        api::Venue exchange,
-       AdminServiceOperationResult &out_result);
+       api::admin::AdminServiceOperationResult &out_result);
    // returns a map of the accounts vs their 'is_active'
-   static std::map<uint32_t, bool> accounts_map(const AdminData &admin_data);
+   static std::map<uint32_t, bool> accounts_map(
+       const api::admin::AdminData &admin_data);
    // validates that the update to the account is valid
    static void validate_account_update(
-       const AdminData &admin_data,
-       const BTSAccount &updated_account,
-       AdminServiceOperationResult &result);
+       const api::admin::AdminData &admin_data,
+       const api::admin::BTSAccount &updated_account,
+       api::admin::AdminServiceOperationResult &result);
    // validates that the account exchange changes are valid
    // (ex > 12 characters for accounts at CME)
    static void validate_account_exchange_data(
-       const BTSAccount &account, AdminServiceOperationResult &out_result);
-   static RoutingRecord get_routing_record(
-       const AdminData &data,
+       const api::admin::BTSAccount &account,
+       api::admin::AdminServiceOperationResult &out_result);
+   static api::orderman::RoutingRecord get_routing_record(
+       const api::admin::AdminData &data,
        const std::string &account_name,
        const std::string &user_name,
-       const bts::api::Security &sec,
-       AdminServiceOperationResult &out_result);
-   static RoutingRecord get_routing_record(
-       const AdminData &data,
+       const api::Security &sec,
+       api::admin::AdminServiceOperationResult &out_result);
+   static api::orderman::RoutingRecord get_routing_record(
+       const api::admin::AdminData &data,
        uint32_t account_id,
        uint32_t user_id,
-       const bts::api::Security &sec,
-       AdminServiceOperationResult &out_result);
+       const api::Security &sec,
+       api::admin::AdminServiceOperationResult &out_result);
+
    ////////////////////////////////////////////
    // account mutators ////////////////////////
    ////////////////////////////////////////////
-   static BTSAccount *create_account(
-       AdminData &data,
+   static api::admin::BTSAccount *create_account(
+       api::admin::AdminData &data,
        uint32_t parent_account_id,
        const std::string &account_name,
        const std::string &description,
        bool is_active,
-       AdminServiceCreateAccountResult &result);
+       api::admin::AdminServiceCreateAccountResult &result);
    // writes over the account data completely
    static void update_account(
-       AdminData &data,
-       const BTSAccount &updated_account,
-       AdminServiceOperationResult &result);
+       api::admin::AdminData &data,
+       const api::admin::BTSAccount &updated_account,
+       api::admin::AdminServiceOperationResult &result);
    static void delete_account(
-       AdminData &admin_data,
-       const IDAPIArgument &id,
-       AdminServiceOperationResult &result);
+       api::admin::AdminData &admin_data,
+       const api::admin::IDAPIArgument &id,
+       api::admin::AdminServiceOperationResult &result);
    static void set_account_exchange_data(
-       BTSAccount *account, const ExchangeAccountData &exchange_data);
+       api::admin::BTSAccount *account,
+       const api::admin::ExchangeAccountData &exchange_data);
    // this is not a generally useful function but since
    // connection are in config, this cleans up the account's
-   // connections and syncs it with the list in AdminData
+   // connections and syncs it with the list in api::admin::AdminData
    static void sync_account_connections(
-       const AdminData &data, BTSAccount &account);
+       const api::admin::AdminData &data, api::admin::BTSAccount &account);
+
    ////////////////////////////////////////////
    // group accessors /////////////////////////
    ////////////////////////////////////////////
    // given an id, finds the mutable pointer to a group
-   static BTSUserGroup *find_group(AdminData &data, uint32_t id);
+   static api::admin::BTSUserGroup *find_group(
+       api::admin::AdminData &data, uint32_t id);
    // given an id, finds the const pointer to a group
-   static const BTSUserGroup *const find_group(
-       const AdminData &data, uint32_t id);
+   static const api::admin::BTSUserGroup *const find_group(
+       const api::admin::AdminData &data, uint32_t id);
    // given a name, finds the mutable pointer to a group
-   static BTSUserGroup *find_group(
-       AdminData &data, const std::string &group_name);
+   static api::admin::BTSUserGroup *find_group(
+       api::admin::AdminData &data, const std::string &group_name);
    // finds the max id out of all the groups
-   static uint32_t find_max_group_id(const AdminData &data);
+   static uint32_t find_max_group_id(const api::admin::AdminData &data);
    // travels up the group tree until it finds a populated cme data
-   static const CMEUserData *get_group_cme_data(
-       const BTSUserGroup &group, const AdminData &data);
-   static const ICEUserData *get_group_ice_data(
-       const BTSUserGroup &group, const AdminData &data);
-   static const SIMUserData *get_group_sim_data(
-       const BTSUserGroup &group, const AdminData &data);
-   static const UserAccountPermissions *const get_group_user_permissions(
-       const bts::api::admin::AdminData &admin_data, uint32_t group_id);
+   static const api::admin::CMEUserData *get_group_cme_data(
+       const api::admin::BTSUserGroup &group,
+       const api::admin::AdminData &data);
+   static const api::admin::ICEUserData *get_group_ice_data(
+       const api::admin::BTSUserGroup &group,
+       const api::admin::AdminData &data);
+   static const api::admin::SIMUserData *get_group_sim_data(
+       const api::admin::BTSUserGroup &group,
+       const api::admin::AdminData &data);
+   static const api::admin::UserAccountPermissions *const
+   get_group_user_permissions(
+       const api::admin::AdminData &admin_data, uint32_t group_id);
+
    ////////////////////////////////////////////
    // group mutators/ /////////////////////////
    ////////////////////////////////////////////
-   static BTSUserGroup *create_group(
-       AdminData &data,
+   static api::admin::BTSUserGroup *create_group(
+       api::admin::AdminData &data,
        uint32_t parent_group_id,
        const std::string &group_name,
-       AdminServiceOperationResult &result);
+       api::admin::AdminServiceOperationResult &result);
+
    ////////////////////////////////////////////
    // user accessors //////////////////////////
    ////////////////////////////////////////////
-   static BTSUser *find_user(
-       AdminData &data,
+   static api::admin::BTSUser *find_user(
+       api::admin::AdminData &data,
        const std::string &user_name,
        bool include_deleted = false);
-   static const BTSUser *find_user(
-       const AdminData &data,
+   static const api::admin::BTSUser *find_user(
+       const api::admin::AdminData &data,
        const std::string &user_name,
        bool include_deleted = false);
-   static BTSUser *find_user(
-       AdminData &data, uint32_t id, bool include_deleted = false);
-   static const BTSUser *const find_user(
-       const AdminData &data, uint32_t id, bool include_deleted = false);
-   static std::vector<const BTSUser *> users(
-       const AdminData &data, bool include_deleted);
-   static std::vector<BTSUser *> users_mutable(
-       AdminData &data, bool include_deleted);
-   static uint32_t find_max_user_id(const AdminData &data);
-   static const CMEUserData *get_user_cme_data(
-       const BTSUser &user, const AdminData &data);
-   static const ICEUserData *get_user_ice_data(
-       const BTSUser &user, const AdminData &data);
-   static const SIMUserData *get_user_sim_data(
-       const BTSUser &user, const AdminData &data);
+   static api::admin::BTSUser *find_user(
+       api::admin::AdminData &data, uint32_t id, bool include_deleted = false);
+   static const api::admin::BTSUser *const find_user(
+       const api::admin::AdminData &data,
+       uint32_t id,
+       bool include_deleted = false);
+   static std::vector<const api::admin::BTSUser *> users(
+       const api::admin::AdminData &data, bool include_deleted);
+   static std::vector<api::admin::BTSUser *> users_mutable(
+       api::admin::AdminData &data, bool include_deleted);
+   static uint32_t find_max_user_id(const api::admin::AdminData &data);
+   static const api::admin::CMEUserData *get_user_cme_data(
+       const api::admin::BTSUser &user, const api::admin::AdminData &data);
+   static const api::admin::ICEUserData *get_user_ice_data(
+       const api::admin::BTSUser &user, const api::admin::AdminData &data);
+   static const api::admin::SIMUserData *get_user_sim_data(
+       const api::admin::BTSUser &user, const api::admin::AdminData &data);
    // finds the "exchange user" (ex: "operator_id" at CME or "authorized_trader"
    // at ICE) for a user
    static std::string find_user_exchange_id(
-       const AdminData &data,
-       const BTSUser &user,
+       const api::admin::AdminData &data,
+       const api::admin::BTSUser &user,
        api::Venue exchange,
-       AdminServiceOperationResult &out_result);
+       api::admin::AdminServiceOperationResult &out_result);
    // i.   uses the exchange and exchange_user to reverse lookup the user(s)
    // ii.  uses the exchange, connection and exchange_account to reverse lookup
    // the account(s) iii. finds the first account from ii that a user from i is
    // authorized to trade
    static std::string find_user_company_id(
-       const AdminData &data,
-       const BTSUser &user,
+       const api::admin::AdminData &data,
+       const api::admin::BTSUser &user,
        api::Venue exchange,
-       AdminServiceOperationResult &out_result);
+       api::admin::AdminServiceOperationResult &out_result);
 
-   static std::pair<const BTSAccount *, const BTSUser *>
+   static std::pair<const api::admin::BTSAccount *, const api::admin::BTSUser *>
    find_user_account_matches(
-       const AdminData &admin_data,
+       const api::admin::AdminData &admin_data,
        const std::string &connection,
        const std::string &exchange_account,
        const std::string &exchange_user,
@@ -284,100 +302,108 @@ class AdminServiceUtils {
    // for a given user finds the account permissions (if permissions are
    // derived from the group, it traverses the group hierarcy to find the
    // correct permissions.
-   static const UserAccountPermissions *get_user_permissions(
-       const AdminData &admin_data, uint32_t user_id);
+   static const api::admin::UserAccountPermissions *get_user_permissions(
+       const api::admin::AdminData &admin_data, uint32_t user_id);
    // for a given user, fills in the associated_accounts ref arg
    // with the accounts the user has permission to trade in
    static void find_user_trading_accounts(
-       const AdminData &admin_data,
+       const api::admin::AdminData &admin_data,
        uint32_t user_id,
-       std::vector<const BTSAccount *> &associated_accounts);
+       std::vector<const api::admin::BTSAccount *> &associated_accounts);
    // for a given account, fills in the associated_users ref arg
    // with the users that can trade into the account
    static void find_users_for_trading_account(
-       const AdminData &admin_data,
+       const api::admin::AdminData &admin_data,
        uint32_t account_id,
-       std::vector<const BTSUser *> &associated_users);
+       std::vector<const api::admin::BTSUser *> &associated_users);
    // validates that changes in user data satisfy all the
    // constraints
    static void validate_user_update(
-       const AdminData &admin_data,
-       const BTSUser &updated_user,
-       AdminServiceOperationResult &result);
+       const api::admin::AdminData &admin_data,
+       const api::admin::BTSUser &updated_user,
+       api::admin::AdminServiceOperationResult &result);
    // vaidates the exchange part of user data updates
    static void validate_user_exchange_data(
-       const BTSUser &updated_user, AdminServiceOperationResult &out_result);
+       const api::admin::BTSUser &updated_user,
+       api::admin::AdminServiceOperationResult &out_result);
    static void get_md_entitlement_report(
-       const AdminData &admin_data,
-       std::vector<MDEntitlementReportUnit> &entitlements);
+       const api::admin::AdminData &admin_data,
+       std::vector<api::admin::MDEntitlementReportUnit> &entitlements);
    // Gets a reporting unit out of CMEMicData
-   static MDEntitlementReportUnit get_cme_md_entitlement_unit(
-       const BTSUser &user, const CMEMicData &cme_mic_data);
-   static MDEntitlementReportUnit get_ice_md_entitlement_unit(
-       const BTSUser &user, const ICEMicData &ice_mic_data);
+   static api::admin::MDEntitlementReportUnit get_cme_md_entitlement_unit(
+       const api::admin::BTSUser &user,
+       const api::admin::CMEMicData &cme_mic_data);
+   static api::admin::MDEntitlementReportUnit get_ice_md_entitlement_unit(
+       const api::admin::BTSUser &user,
+       const api::admin::ICEMicData &ice_mic_data);
    static void get_user_symbol_permissions(
-       const AdminData &data,
-       const BTSUser &user,
-       std::vector<UserSymbolMDPermissionUnit> &res);
+       const api::admin::AdminData &data,
+       const api::admin::BTSUser &user,
+       std::vector<api::admin::UserSymbolMDPermissionUnit> &res);
+
    ////////////////////////////////////////////
    // user mutators ///////////////////////////
    ////////////////////////////////////////////
-   static BTSUser *create_user(
-       AdminData &data,
+   static api::admin::BTSUser *create_user(
+       api::admin::AdminData &data,
        uint32_t parent_group_id,
        const std::string &name,
        const std::string &password,
        const std::string &full_name,
        const std::string &company,
        bool is_active,
-       const LicenseData &license_data,
-       const LicenseEntitlements &license_entitlements,
-       AdminServiceCreateEntityResult &result);
-   static BTSUser *update_user(
-       AdminData &admin_data,
-       const BTSUser &updated_user,
-       AdminServiceOperationResult &result);
+       const api::admin::LicenseData &license_data,
+       const api::admin::LicenseEntitlements &license_entitlements,
+       api::admin::AdminServiceCreateEntityResult &result);
+   static api::admin::BTSUser *update_user(
+       api::admin::AdminData &admin_data,
+       const api::admin::BTSUser &updated_user,
+       api::admin::AdminServiceOperationResult &result);
    static void delete_user(
-       AdminData &admin_data,
-       const IDAPIArgument &id,
-       AdminServiceOperationResult &result);
+       api::admin::AdminData &admin_data,
+       const api::admin::IDAPIArgument &id,
+       api::admin::AdminServiceOperationResult &result);
    static void set_user_exchange_data(
-       BTSUser *user, const ExchangeUserData &exchange_user_data);
-   static void clear_user_accounts(BTSUser *user);
+       api::admin::BTSUser *user,
+       const api::admin::ExchangeUserData &exchange_user_data);
+   static void clear_user_accounts(api::admin::BTSUser *user);
    static void set_user_accounts(
-       BTSUser *user, const UserAccountPermissions &user_account_permissions);
+       api::admin::BTSUser *user,
+       const api::admin::UserAccountPermissions &user_account_permissions);
+
    ////////////////////////////////////////////
    // risk limits //////////////////////////////
    ////////////////////////////////////////////
    // sorting function used by sort_limits to
    // sort SecurityScope's
    static bool _sort_security_scopes(
-       const SecurityScope &a, const SecurityScope &b);
+       const api::admin::SecurityScope &a, const api::admin::SecurityScope &b);
    // sorting function used by sort_limits to
    // sort ProductScope's
    static bool _sort_product_scopes(
-       const ProductScope &a, const ProductScope &);
+       const api::admin::ProductScope &a, const api::admin::ProductScope &);
    // this sorts the rules such that the most
    // specific ones are at the top. this makes it
    // easier to match rules with securities/products
-   static void sort_limits(BTSAccount &account);
-   // creates a copy of AdminData with sorted rules
-   static AdminData sort_limits(const AdminData &admin_data);
+   static void sort_limits(api::admin::BTSAccount &account);
+   // creates a copy of api::admin::AdminData with sorted rules
+   static api::admin::AdminData sort_limits(
+       const api::admin::AdminData &admin_data);
    // find the clip size for a security, account
    static const uint32_t find_account_security_clip_size(
-       const BTSAccount &account, const api::Security &security);
+       const api::admin::BTSAccount &account, const api::Security &security);
    // find the position limit for an account, security
-   static const AccountSecurityPositionLimitUnit *
+   static const api::admin::AccountSecurityPositionLimitUnit *
    find_account_security_position_limit(
-       const BTSAccount &account, const api::Security &security);
+       const api::admin::BTSAccount &account, const api::Security &security);
    // find the position limit for an account, product
-   static const AccountProductPositionLimitUnit *
+   static const api::admin::AccountProductPositionLimitUnit *
    find_account_product_position_limit(
-       const BTSAccount &account, const api::Product &product);
+       const api::admin::BTSAccount &account, const api::Product &product);
    static bool match_security_scope(
-       const SecurityScope &scope, const api::Security &security);
+       const api::admin::SecurityScope &scope, const api::Security &security);
    static bool match_product_scope(
-       const ProductScope &scope, const api::Product &product);
+       const api::admin::ProductScope &scope, const api::Product &product);
    static bool match_product(
        const api::Security &security, const api::Product &product);
    static bool _match_limit_rule_symbol(
@@ -388,13 +414,14 @@ class AdminServiceUtils {
    ////////////////////////////////////////////
    static bool has_id(uint32_t id);
    static bool is_symbol_set(const std::string &symbol);
-   static void bootstrap_data(bts::api::admin::AdminData &data);
+   static void bootstrap_data(api::admin::AdminData &data);
    static void get_spread_prod_qty(
        const api::Security &s,
        std::map<std::string, double> &out_map,
        double mult = 1.0);
    // returns true if this spread effects the position of any outrights
    static bool residual_pos_spread(const api::Security &s);
-}; 
+};
+
 } // namespace admin
 } // namespace bts

src/lib/cmake/GetLinuxClientSources.cmake

@@ -65,6 +65,7 @@ function(get_cpp_sources dest)
     domain/DomainSecurityUtils.cpp
     domain/SecurityCriteria.cpp
     domain/SecurityCriteriaClause.cpp
+    domain/synthetic_book_side.cpp
     domain_model/Security.cpp
     domain_model/SecurityTests.cpp
     domain_model/sod.cpp

src/lib/cmake/GetWindowsClientSources.cmake

@@ -64,6 +64,7 @@ function(get_cpp_sources dest)
     domain/DomainSecurityUtils.cpp
     domain/SecurityCriteria.cpp
     domain/SecurityCriteriaClause.cpp
+    domain/synthetic_book_side.cpp
     domain_model/Security.cpp
     domain_model/SecurityTests.cpp
     domain_model/sod.cpp

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

@@ -4026,12 +4026,34 @@ JetFIX {
       connection: @JetFIXSimConnection.sim
       connection {
          name: "deribit_1"
+         max_order_msgs_per_window: 300
          venue: VENUE_DERIBIT
       }
       connection {
          name: "okx_1"
+         max_order_msgs_per_window: 300
          venue: VENUE_OKX
       }
+      connection {
+         name: "binance_usds_futures_1"
+         max_order_msgs_per_window: 300
+         venue: VENUE_BINANCE_USDS_FUTURES
+      }
+      connection {
+         name: "binance_1"
+         max_order_msgs_per_window: 300
+         venue: VENUE_BINANCE
+      }
+      connection {
+         name: "cboe_1"
+         max_order_msgs_per_window: 300
+         venue: VENUE_CBOE
+      }
+      connection {
+         name: "taifex_1"
+         max_order_msgs_per_window: 300
+         venue: VENUE_TAIFEX
+      }
       # CME EXECUTION NEEDS TO BE UPDATED, probably below
       # connection {
       #    name: "onixs_sim"

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

@@ -1,5 +1,6 @@
 Spreader {
    value {
       n_failed_iocs: 20
+      qty_multiplier: 100000
    }
 }

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

@@ -37,6 +37,7 @@ SymbolLists {
     list {
       key: "CBOE"
       symbol:"SPX"
+      symbol:"SPXW"
     }
     list {
       key: "BINANCE_US"

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

@@ -39,8 +39,6 @@ LadderKnobs {
     security_timeout_secs: 60
     use_algo_param_grid: true
     max_mbo_orders: 200
-    lighten_market_cells: true
-    mimic_tt: true
     scrollable_tick_window_size: 256
   }
 }

src/lib/config/protos/spreader.proto

@@ -4,6 +4,7 @@ package bts.config;
 
 message Spreader {
   uint32 n_failed_iocs = 10;
+  uint32 qty_multiplier = 15;
 
   // if this is set to true, the spreader internally
   // generates fake fills to keep the cache (data and

src/lib/config/protos/ui.proto

@@ -82,7 +82,7 @@ message LadderKnobs {
   bool show_scrollbar = 9;
   // DJ wants bid/ask cells with markets (i.e., size > 0) to have a
   // lighter background than those without markets.
-  bool lighten_market_cells = 10;
+  // bool lighten_market_cells = 10;
 
   // For market cell backgrounds, 0 means 'ignore this color setting' (i.e.,
   // employ the ladder's default behavior instead).
@@ -97,9 +97,9 @@ message LadderKnobs {
   //   Pure Red   : 0xFFFF0000
   //   Pure Blue  : 0xFF00FF00
   //   Pure Green : 0xFF0000FF
-  uint32 bid_market_cell_background = 11;
-  uint32 ask_market_cell_background = 12;
-  bool mimic_tt = 13;
+  // uint32 bid_market_cell_background = 11;
+  // uint32 ask_market_cell_background = 12;
+  // bool mimic_tt = 13;
   // Defines the number of price rows rendered by the ladder. The smaller this
   // window is, the cheaper it is to render the ladder grid (redraw prices,
   // sizes, etc.).  However, if the window is too small, scrolling may appear

src/lib/domain/Book.h

@@ -1,10 +1,10 @@
 #pragma once
-#include "BookLevel.h"
-#include "BookLevelComp.h"
+
 #include "BookSide.h"
 #include "SecurityID.h"
 #include "Side.h"
 #include "lib/io/JsonReader.h"
+
 #include <boost/container/small_vector.hpp>
 #include <nlohmann/json.hpp>
 

src/lib/domain/BookLevel.h

@@ -33,6 +33,11 @@ class BookLevel {
 void from_json(const nlohmann::json &j, BookLevel &bl);
 void to_json(nlohmann::json &j, const BookLevel &bl);
 
+constexpr bool operator==(const BookLevel &lhs, const BookLevel &rhs);
+constexpr bool operator!=(const BookLevel &lhs, const BookLevel &rhs);
+
+std::ostream &operator<<(std::ostream &out, const BookLevel &lvl) noexcept;
+
 //////////////////////////////////////////////////
 // Definition
 //////////////////////////////////////////////////
@@ -70,4 +75,29 @@ inline void to_json(nlohmann::json &j, const BookLevel &bl) {
    };
 }
 
+constexpr bool operator==(const BookLevel &lhs, const BookLevel &rhs) {
+   return lhs.direct_quantity == rhs.direct_quantity &&
+          lhs.total_quantity == rhs.total_quantity &&
+          lhs.n_orders == rhs.n_orders &&
+          (lhs.price == rhs.price ||
+           (lhs.price.is_nan() && rhs.price.is_nan()));
+}
+
+constexpr bool operator!=(const BookLevel &lhs, const BookLevel &rhs) {
+   return !(lhs == rhs);
+}
+
+inline std::ostream &operator<<(
+    std::ostream &out, const BookLevel &lvl) noexcept {
+   out << lvl.price << " (" << lvl.direct_quantity;
+   if (lvl.direct_quantity != lvl.total_quantity) {
+      out << "/" << lvl.total_quantity;
+   }
+   if (lvl.n_orders != 0) {
+      out << ", " << lvl.n_orders;
+   }
+   out << ")";
+   return out;
+}
+
 } // namespace bts::domain

src/lib/domain/BookSide.h

@@ -1,18 +1,17 @@
 #pragma once
+
 #include "BookLevel.h"
 #include "BookLevelComp.h"
 #include "BookSide_PopulatedIterator.h"
 #include "PriceComp.h"
-#include "SecurityID.h"
 #include "Side.h"
 #include "lib/io/JsonReader.h"
+
 #include <algorithm>
 #include <boost/container/small_vector.hpp>
-#include <initializer_list>
 #include <iostream>
 #include <iterator>
 #include <limits>
-#include <random>
 #include <vector>
 
 namespace bts::domain {
@@ -37,6 +36,8 @@ class BookSideT {
    BookSideT &operator=(BookSideT &&) noexcept = default;
    ~BookSideT() = default;
 
+   constexpr BookLevel *data();
+   constexpr const BookLevel *data() const;
    [[nodiscard]] constexpr BookLevel const &top() const;
    constexpr BookLevel const &operator[](size_t i) const;
    constexpr BookLevel &operator[](size_t i);
@@ -196,6 +197,16 @@ constexpr size_t BookSideT<SZ>::max_depth() noexcept {
    return SZ;
 }
 
+template <std::size_t SZ>
+constexpr BookLevel *BookSideT<SZ>::data() {
+   return _book.data();
+}
+
+template <std::size_t SZ>
+constexpr const BookLevel *BookSideT<SZ>::data() const {
+   return _book.data();
+}
+
 template <std::size_t SZ>
 constexpr const BookLevel &BookSideT<SZ>::top() const {
    return _book[0];
@@ -234,12 +245,14 @@ BookSideT<SZ>::end() const noexcept {
 }
 
 template <std::size_t SZ>
-constexpr typename BookSideT<SZ>::ReverseIterator BookSideT<SZ>::rbegin() noexcept {
+constexpr typename BookSideT<SZ>::ReverseIterator
+BookSideT<SZ>::rbegin() noexcept {
    return _book.rbegin();
 }
 
 template <std::size_t SZ>
-constexpr typename BookSideT<SZ>::ReverseIterator BookSideT<SZ>::rend() noexcept {
+constexpr typename BookSideT<SZ>::ReverseIterator
+BookSideT<SZ>::rend() noexcept {
    return _book.rend();
 }
 
@@ -250,12 +263,23 @@ constexpr size_t BookSideT<SZ>::size() const noexcept {
 
 template <std::size_t SZ>
 constexpr bool BookSideT<SZ>::operator==(BookSideT const &rhs) const {
-   return _book == rhs._book;
+   std::size_t i = 0;
+   for (; i < size(); i++) {
+      const BookLevel &l = (*this)[i];
+      if (i == rhs.size()) {
+         return l.is_empty();
+      }
+      const BookLevel &r = rhs[i];
+      if (l != r) {
+         return l.is_empty() && r.is_empty();
+      }
+   }
+   return i == rhs.size() || rhs[i].is_empty();
 }
 
 template <std::size_t SZ>
 constexpr bool BookSideT<SZ>::operator!=(BookSideT const &rhs) const {
-   return _book != rhs._book;
+   return !(*this == rhs);
 }
 
 template <std::size_t SZ>

src/lib/domain/DomainSecurityUtils.cpp

@@ -1,16 +1,14 @@
 #include "DomainSecurityUtils.h"
 #include "FutureSecurity.h"
 #include "OptionSecurity.h"
-#include "SecurityCommon.h"
-#include "SpotSecurity.h"
 #include "SpreadSecurity.h"
 #include "lib/api/domain/Venue.pb.h"
+#include "lib/domain/TradeRecord.h"
 #include "lib/domain_model/Security.pb.h"
+#include "lib/md/IntPrice.h"
+#include "lib/md/PriceSize.h"
+#include "lib/md/protos/co2.pb.h"
 #include "lib/utils/bts_assert.h"
-// #include "lib/domain/SecurityID.h"
-// #include "lib/utils/overloaded.h"
-// #include <fmt/format.h>
-// #include <variant>
 
 namespace bts::domain {
 
@@ -62,7 +60,7 @@ bts::api::Venue DomainSecurityUtils::convert(api::domain::Venue venue) {
    case DOMAIN_VENUE(CBOE):
       return api::Venue::VENUE_CBOE;
    case DOMAIN_VENUE(TAIFEX):
-      return api::Venue::VENUE_TAIFEX;      
+      return api::Venue::VENUE_TAIFEX;
    case DOMAIN_VENUE(FTX):
       return api::Venue::VENUE_FTX;
    case DOMAIN_VENUE(BINANCE):
@@ -219,4 +217,76 @@ bool DomainSecurityUtils::get_security_desc(
    return true;
 }
 
+domain::Price DomainSecurityUtils::convert(md::IntPrice iprice) {
+   int64_t mantissa = iprice.mantissa();
+   int8_t exp_diff = iprice.exponent() - domain::Price::exponent();
+   if (exp_diff != 0) {
+      mantissa *= std::pow(10, exp_diff);
+   }
+   return domain::Price{mantissa};
+}
+
+BookLevel DomainSecurityUtils::convert(md::PriceSize ps) {
+   BookLevel rv;
+   convert(ps, rv);
+   return rv;
+}
+
+void DomainSecurityUtils::convert(md::PriceSize ps, BookLevel &res) {
+   res.price = convert(ps.int_price());
+   res.total_quantity.value() = ps.size();
+   res.direct_quantity.value() = ps.direct_size();
+   res.n_orders = 0;
+}
+
+void DomainSecurityUtils::convert(
+    const bts::domain::BookSide &book_side,
+    bts::md::PriceSize *res,
+    size_t res_size) {
+   convert(book_side.data(), book_side.size(), res, res_size);
+}
+
+void DomainSecurityUtils::convert(
+    const BookLevel *book_side,
+    size_t size,
+    md::PriceSize *res,
+    size_t res_size) {
+   size_t sz = std::min(size, res_size);
+   size_t i = 0;
+   for (; i < sz; i++) {
+      // WARNING: Implied size is discarded here. There would be data loss anyways, since
+      // bts::md::PriceSize's implied size is a uint, and domain::BookLevel's is a float.
+      res[i] = md::PriceSize{
+          md::IntPrice{
+              book_side[i].price.mantissa(), book_side[i].price.exponent()},
+          book_side[i].total_quantity.value()};
+   }
+   // Set remaining levels to empty.
+   for (; i < res_size; i++) {
+      res[i] = bts::md::PriceSize{};
+   }
+}
+
+void DomainSecurityUtils::convert(
+    const md::PriceSize *book_side, std::size_t len, BookSide &res) {
+   if (res.size() < len) {
+      len = res.size();
+   }
+   while (len-- != 0) {
+      convert(book_side[len], res[len]);
+   }
+}
+
+void DomainSecurityUtils::convert(
+    const co2::TradeMessage &tm, TradeRecord &tr) {
+   tr.sec_id.value() = tm.key();
+   tr.time_stamp = core::TimeStamp::from_nanos(tm.time());
+   tr.agg_side = tm.aggressor_side() == co2::AggressorSide::AGGRESSOR_SIDE_BUY
+                     ? AggressorSide::Buy
+                     : AggressorSide::Sell;
+   tr.trade_quantity.value() = tm.size();
+   tr.trade_price =
+       convert(md::IntPrice{tm.mantissa(), static_cast<int8_t>(tm.exponent())});
+}
+
 } // namespace bts::domain

src/lib/domain/DomainSecurityUtils.h

@@ -1,18 +1,28 @@
 #pragma once
+
 #include "FutureSecurity.h"
 #include "OptionSecurity.h"
-#include "SpotSecurity.h"
 #include "SpreadSecurity.h"
 #include "lib/api/domain/SecurityType.pb.h"
 #include "lib/api/domain/Venue.pb.h"
-#include "lib/domain/SecurityID.h"
+#include "lib/domain/BookSide.h"
 #include "lib/domain_model/Security.pb.h"
-#include "lib/utils/overloaded.h"
+
 #include <fmt/format.h>
-#include <variant>
+
+namespace bts::co2 {
+class TradeMessage;
+}
+
+namespace bts::md {
+class IntPrice;
+class PriceSize;
+} // namespace bts::md
 
 namespace bts::domain {
 
+class TradeRecord;
+
 class DomainSecurityUtils {
  public:
    static api::domain::Venue convert(bts::api::Venue venue);
@@ -29,6 +39,21 @@ class DomainSecurityUtils {
    static std::string get_exchange_id(const bts::api::Security &s);
    static bool get_security_desc(
        const bts::api::Security &security, std::string &desc);
+
+   static Price convert(md::IntPrice iprice);
+   static BookLevel convert(md::PriceSize ps);
+   static void convert(md::PriceSize ps, BookLevel &res);
+   static void convert(
+       const BookSide &book_side, md::PriceSize *res, std::size_t res_size);
+   static void convert(
+       const BookLevel *book_side,
+       std::size_t size,
+       md::PriceSize *res,
+       std::size_t res_size);
+   static void convert(
+       const md::PriceSize *book_side, std::size_t len, BookSide &res);
+
+   static void convert(const co2::TradeMessage &tm, TradeRecord &tr);
 };
 
 } // namespace bts::domain

src/lib/domain/OrderDefinition.h

@@ -1,13 +1,13 @@
 #pragma once
+
 #include "AccountID.h"
-#include "Price.h"
-#include "Quantity.h"
 #include "SecurityID.h"
 #include "Side.h"
 #include "TimeInForce.h"
 #include "UserID.h"
 #include "lib/domain/cme/GlbxOrderDefinition.h"
 #include "lib/domain/deribit/DeribitOrderDefinition.h"
+
 #include <string>
 #include <variant>
 

src/lib/domain/Quantity.h

@@ -5,7 +5,6 @@
 #include "lib/logging/logging.h"
 #include "lib/utils/ValueWrapper.h"
 
-#include <cstdint>
 #include <nlohmann/json.hpp>
 
 namespace bts::domain {
@@ -77,7 +76,7 @@ inline void to_json(nlohmann::json &j, const Quantity &sec_id) {
       return lhs;                                                              \
    }
 
-#define QTY_UINT32_BIN_OP(result_t, op)                                        \
+#define QTY_VALUE_BIN_OP(result_t, op)                                        \
    constexpr result_t operator op(Quantity lhs, Quantity::Value rhs) {         \
       return result_t(lhs.value() op rhs); /*NOLINT*/                          \
    }                                                                           \
@@ -85,7 +84,7 @@ inline void to_json(nlohmann::json &j, const Quantity &sec_id) {
       return result_t(lhs op rhs.value());                                     \
    }
 
-#define QTY_UINT32_BIN_REF_OP(op)                                              \
+#define QTY_VALUE_BIN_REF_OP(op)                                              \
    inline Quantity &operator op(Quantity &lhs, Quantity::Value rhs) {          \
       lhs.value() op rhs;                                                      \
       return lhs;                                                              \
@@ -107,29 +106,29 @@ QTY_QTY_BIN_REF_OP(*=)
 QTY_QTY_BIN_REF_OP(/=)
 // QTY_QTY_BIN_REF_OP(%=)
 
-QTY_UINT32_BIN_OP(bool, !=)
-QTY_UINT32_BIN_OP(bool, ==)
-QTY_UINT32_BIN_OP(bool, <)
-QTY_UINT32_BIN_OP(bool, <=)
-QTY_UINT32_BIN_OP(bool, >)
-QTY_UINT32_BIN_OP(bool, >=)
+QTY_VALUE_BIN_OP(bool, !=)
+QTY_VALUE_BIN_OP(bool, ==)
+QTY_VALUE_BIN_OP(bool, <)
+QTY_VALUE_BIN_OP(bool, <=)
+QTY_VALUE_BIN_OP(bool, >)
+QTY_VALUE_BIN_OP(bool, >=)
 
-QTY_UINT32_BIN_OP(Quantity, +)
-QTY_UINT32_BIN_OP(Quantity, -)
-QTY_UINT32_BIN_OP(Quantity, *)
-QTY_UINT32_BIN_OP(Quantity, /)
-// QTY_UINT32_BIN_OP(Quantity, %)
+QTY_VALUE_BIN_OP(Quantity, +)
+QTY_VALUE_BIN_OP(Quantity, -)
+QTY_VALUE_BIN_OP(Quantity, *)
+QTY_VALUE_BIN_OP(Quantity, /)
+// QTY_VALUE_BIN_OP(Quantity, %)
 
-QTY_UINT32_BIN_REF_OP(+=)
-QTY_UINT32_BIN_REF_OP(-=)
-QTY_UINT32_BIN_REF_OP(*=)
-QTY_UINT32_BIN_REF_OP(/=)
-// QTY_UINT32_BIN_REF_OP(%=)
+QTY_VALUE_BIN_REF_OP(+=)
+QTY_VALUE_BIN_REF_OP(-=)
+QTY_VALUE_BIN_REF_OP(*=)
+QTY_VALUE_BIN_REF_OP(/=)
+// QTY_VALUE_BIN_REF_OP(%=)
 
 #undef QTY_QTY_BIN_OP
 #undef QTY_QTY_BIN_REF_OP
-#undef QTY_UINT32_BIN_OP
-#undef QTY_UINT32_BIN_REF_OP
+#undef QTY_VALUE_BIN_OP
+#undef QTY_VALUE_BIN_REF_OP
 
 } // namespace bts::domain
 

src/lib/domain/Security.cpp

@@ -1,6 +1,5 @@
 #include "Security.h"
 #include "DomainSecurityUtils.h"
-#include "lib/core/TableFormatter.h"
 #include "lib/domain/FutureSecurity.h"
 #include "lib/domain/OptionSecurity.h"
 #include "lib/domain/SpotSecurity.h"

src/lib/domain/SecurityCommon.h

@@ -1,22 +1,12 @@
 #pragma once
-#include "DomainSecurityUtils.h"
 #include "Price.h"
 #include "SecurityID.h"
-#include "lib/api/domain/CallPut.pb.h"
-#include "lib/api/domain/SecurityType.pb.h"
 #include "lib/api/domain/Venue.h"
-#include "lib/api/domain/Venue.pb.h"
-#include "lib/core/TimeStamp.h"
-#include "lib/domain/FutureSecurity.h"
-#include "lib/domain/LegDefinition.h"
-#include "lib/domain/OptionSecurity.h"
-#include "lib/domain/Quantity.h"
-#include "lib/domain/Side.h"
-#include "lib/domain/SpreadSecurity.h"
+#include "lib/domain/DomainSecurityUtils.h"
 #include "lib/domain_model/Security.pb.h"
 #include "lib/io/JsonReader.h"
 #include "lib/logging/logging.h"
-#include "lib/utils/bts_assert.h"
+
 #include <limits>
 #include <nlohmann/json.hpp>
 #include <string>
@@ -40,7 +30,7 @@ class SecurityCommon {
    double min_quantity_increment = 0;
    double min_quantity = 0;
    double max_quantity = std::numeric_limits<double>::max();
-   double cash_per_point =1;
+   double cash_per_point = 1;
 
    SecurityCommon() {}
    SecurityCommon(const bts::api::Security &s)

src/lib/domain/SecurityCriteriaClause.cpp

@@ -21,9 +21,6 @@ using std::regex_search;
 using std::smatch;
 using std::string;
 
-#define CONTAINS(container, value)                                             \
-   (std::find(container.begin(), container.end(), value) != container.end())
-
 bool SecurityCriteriaClause::is_defined() const {
    return !venues.empty() || !types.empty() || !assets.empty() ||
           !groups.empty() || !ids.empty() || !names.empty() ||
@@ -104,7 +101,7 @@ SecurityCriteriaClause SecurityCriteriaClause::from_proto(
    // be cheap). These limits are somewhat arbitrary. Adjust them as needed.
    static const int MAX_VENUES_COUNT = 16;
    static const int MAX_TYPES_COUNT = 8;
-   static const int MAX_SYMBOLS_COUNT = 32;
+   static const int MAX_SYMBOLS_COUNT = 1024;
    static const int MAX_NAMES_COUNT = 64;
    static const int MAX_NAME_REGEXPS_COUNT = 16;
    bts_assert(api_clause.venues().size() <= MAX_VENUES_COUNT);

src/lib/domain/SecurityMarketDataStatistics.h

@@ -1,11 +1,13 @@
 #pragma once
+
 #include "Price.h"
 #include "Quantity.h"
-#include "Security.h"
 #include "lib/core/FMT_IMPL.h"
+#include "lib/domain/SecurityID.h"
 #include "lib/io/JsonReader.h"
 #include "lib/md/IntPrice.h"
 #include "lib/md/protos/co2.pb.h"
+
 #include <fmt/format.h>
 #include <nlohmann/json.hpp>
 #include <ostream>

src/lib/domain/Side.h

@@ -1,4 +1,7 @@
 #pragma once
+
+#include "lib/core/FMT_IMPL.h"
+
 #include <ostream>
 
 namespace bts::domain {
@@ -153,3 +156,5 @@ constexpr Side operator*(Side lhs, Side::Value rhs) noexcept {
 }
 
 } // namespace bts::domain
+
+FMT_IMPL(bts::domain::Side, s, "{}", s.name());

src/lib/domain/TradeRecord.h

@@ -1,12 +1,12 @@
 #pragma once
+
 #include "AggressorSide.h"
 #include "Price.h"
 #include "Quantity.h"
 #include "SecurityID.h"
 #include "lib/core/TimeStamp.h"
 #include "lib/logging/logging.h"
-#include "lib/md/IntPrice.h"
-#include "lib/md/protos/co2.pb.h"
+
 #include <nlohmann/json.hpp>
 
 namespace bts::domain {
@@ -18,8 +18,6 @@ class TradeRecord {
    AggressorSide agg_side = {};
    Quantity trade_quantity;
    Price trade_price;
-   TradeRecord() {}
-   inline TradeRecord(const bts::co2::TradeMessage &tm);
 };
 
 void from_json(const nlohmann::json &j, TradeRecord &tr);
@@ -29,16 +27,6 @@ void to_json(nlohmann::json &j, const TradeRecord &tr);
 // Definition
 //////////////////////////////////////////////////
 
-inline TradeRecord::TradeRecord(const bts::co2::TradeMessage &tm)
-    : sec_id(tm.key()), time_stamp(tm.time()),
-      agg_side(
-          tm.aggressor_side() == co2::AggressorSide::AGGRESSOR_SIDE_BUY
-              ? AggressorSide{AggressorSide::Buy}
-              : AggressorSide{AggressorSide::Sell}),
-      trade_quantity(tm.size()),
-      trade_price(Price::from_double(
-          bts::md::IntPrice(tm.mantissa(), tm.exponent()).price())) {}
-
 inline void from_json(const nlohmann::json &j, TradeRecord &tr) {
    io::JsonReader jr{&j};
    // clang-format off

src/lib/domain/book_side_consumer.h

@@ -0,0 +1,107 @@
+#pragma once
+
+#include "lib/domain/BookSide.h"
+#include "lib/domain/Quantity.h"
+
+namespace bts::domain {
+
+class BookSideConsumer {
+   // Use pointer so copying is cheap
+   const BookLevel *levels_;
+   std::size_t size_;
+   std::size_t curr_{0};
+   Quantity curr_consumed_{0};
+
+ public:
+   BookSideConsumer() = default;
+   BookSideConsumer(const BookLevel *levels, std::size_t size)
+       : levels_(levels), size_(size) {}
+
+   template <std::size_t SZ>
+   BookSideConsumer(
+       const BookSideT<SZ> *levels,
+       std::size_t curr = 0,
+       Quantity curr_consumed = Quantity{0});
+   BookSideConsumer(const BookSideConsumer &other) = default;
+
+   BookSideConsumer &operator=(BookSideConsumer &&other) = default;
+   BookSideConsumer &operator=(const BookSideConsumer &other) = default;
+
+   const BookLevel &operator[](std::size_t idx) const;
+
+   const BookLevel *levels() const { return levels_; }
+
+   size_t size() const;
+   bool is_done() const;
+   void reset();
+   Quantity available(std::size_t level_limit = 1) const;
+   std::pair<Quantity, Price> consume(Quantity quantity);
+};
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+template <std::size_t SZ>
+inline BookSideConsumer::BookSideConsumer(
+    const BookSideT<SZ> *levels, std::size_t curr, Quantity curr_consumed)
+    : levels_(levels), curr_(curr), curr_consumed_(curr_consumed) {}
+
+inline const BookLevel &BookSideConsumer::operator[](std::size_t idx) const {
+   return levels_[idx];
+}
+
+inline size_t BookSideConsumer::size() const { return size_; }
+
+inline bool BookSideConsumer::is_done() const {
+   if (curr_ >= size_) {
+      return true;
+   }
+   if (curr_ == size_ - 1) {
+      return curr_consumed_ >= levels_[curr_].total_quantity;
+   }
+   return curr_consumed_ >= levels_[curr_].total_quantity &&
+          levels_[curr_ + 1].total_quantity == 0;
+}
+
+inline void BookSideConsumer::reset() {
+   curr_ = 0;
+   curr_consumed_.value() = 0;
+}
+
+inline Quantity BookSideConsumer::available(std::size_t level_limit) const {
+   std::size_t end = size_ > curr_ + level_limit ? curr_ + level_limit : size_;
+   Quantity rv{0};
+   for (std::size_t i = curr_; i < end; i++) {
+      Quantity level_qty = levels_[i].total_quantity;
+      if (i == curr_) {
+         level_qty -= curr_consumed_;
+      }
+      rv += level_qty;
+   }
+   return rv;
+}
+
+inline std::pair<Quantity, Price> BookSideConsumer::consume(Quantity quantity) {
+   Quantity consumed{0};
+   Price price = Price::zero();
+   for (; curr_ < size_; curr_++) {
+      Quantity level_qty = levels_[curr_].total_quantity - curr_consumed_;
+      if (level_qty == 0) {
+         break;
+      }
+      Quantity rem = quantity - consumed;
+      if (level_qty > rem) {
+         curr_consumed_ += rem;
+         consumed = quantity;
+         price += levels_[curr_].price * rem.value();
+         break;
+      }
+      curr_consumed_.value() = 0;
+      consumed += level_qty;
+      price += levels_[curr_].price * level_qty.value();
+   }
+   return {consumed, price};
+}
+
+} // namespace bts::domain

src/lib/domain/synthetic_book_side.cpp

@@ -0,0 +1,116 @@
+#include "synthetic_book_side.h"
+#include "lib/domain/book_side_consumer.h"
+
+namespace bts::domain {
+
+void SyntheticBookSide::copy_(const SyntheticBookSide &other) noexcept {
+   if (this == &other) {
+      return;
+   }
+   leg_qty_.value() = other.leg_qty_.value();
+   // Copy 'data_'
+   if (other.data_ != nullptr) {
+      // Clear 'own_data_'
+      if (own_data_ != nullptr) {
+         delete[] own_data_;
+         own_data_ = nullptr;
+      }
+      size_ = other.size_;
+      data_ = other.data_;
+      return;
+   }
+   data_ = nullptr;
+   if (other.size_ == 0) {
+      // Clear 'own_data_'
+      if (own_data_ != nullptr) {
+         delete[] own_data_;
+         own_data_ = nullptr;
+      }
+      size_ = 0;
+      return;
+   }
+   // Copy 'own_data_'
+   if (own_data_ == nullptr) {
+      own_data_ = new BookLevel[other.size_];
+   } else if (size_ != other.size_) {
+      delete[] own_data_;
+      own_data_ = new BookLevel[other.size_];
+   }
+   size_ = other.size_;
+   std::memcpy(own_data_, other.own_data_, size_ * sizeof(BookLevel));
+}
+
+void SyntheticBookSide::move_(SyntheticBookSide &&other) noexcept {
+   if (own_data_ != nullptr) {
+      delete[] own_data_;
+   }
+   leg_qty_.value() = other.leg_qty_.value();
+   data_ = other.data_;
+   size_ = other.size_;
+   own_data_ = other.own_data_;
+   other.leg_qty_.value() = 0;
+   other.data_ = nullptr;
+   other.own_data_ = nullptr;
+   other.size_ = 0;
+}
+
+SyntheticBookSide SyntheticBookSide::add_leg(
+    SyntheticBookSide other_leg,
+    BookLevel *synth_bk,
+    size_t synth_bk_size) const noexcept {
+   if (leg_qty_.value() == 0) {
+      return other_leg;
+   }
+   if (other_leg.leg_qty_.value() == 0) {
+      return *this;
+   }
+   SyntheticBookSide rv;
+   rv.leg_qty_.value() = 1;
+   rv.size_ = synth_bk_size;
+   if (synth_bk == nullptr) {
+      rv.own_data_ = synth_bk = new BookLevel[synth_bk_size];
+   } else {
+      rv.data_ = synth_bk;
+   }
+   BookSideConsumer l1{data(), size_};
+   BookSideConsumer l2{other_leg.data(), other_leg.size_};
+   Quantity l1_qty = leg_qty_;
+   Quantity l2_qty = other_leg.leg_qty_;
+   std::size_t i = 0;
+   for (; !l1.is_done() && !l2.is_done() && i < synth_bk_size; i++) {
+      Quantity leg2_per_leg1 = (l2_qty / l1_qty);
+      if (leg2_per_leg1 < 0) {
+         leg2_per_leg1.value() = -leg2_per_leg1.value();
+      }
+      Quantity leg1_per_leg2 = (l1_qty / l2_qty);
+      if (leg1_per_leg2 < 0) {
+         leg1_per_leg2.value() = -leg1_per_leg2.value();
+      }
+      Quantity avail1 = l1.available();
+      Quantity avail2 = l2.available();
+      Quantity take1;
+      Quantity take2;
+      if ((avail1 / leg1_per_leg2) < (avail2 / leg2_per_leg1)) {
+         take1 = avail1;
+         take2 = avail1 * leg2_per_leg1;
+      } else {
+         take1 = avail2 * leg1_per_leg2;
+         take2 = avail2;
+      }
+      const auto [qty1, cost1] = l1.consume(take1);
+      const auto [qty2, cost2] = l2.consume(take2);
+      Price price1 = (cost1 / qty1.value()) * l1_qty.value();
+      Price price2 = (cost2 / qty2.value()) * l2_qty.value();
+      auto &synth_lvl = synth_bk[i];
+      synth_lvl.price = price1 + price2;
+      synth_lvl.total_quantity = qty1;
+      synth_lvl.direct_quantity = qty1;
+      synth_lvl.n_orders = 0;
+   }
+   for (; i < synth_bk_size; i++) {
+      synth_bk[i] = BookLevel::empty();
+   }
+   return rv;
+}
+
+} // namespace bts::domain

src/lib/domain/synthetic_book_side.h

@@ -0,0 +1,112 @@
+#pragma once
+
+#include "lib/domain/BookLevel.h"
+#include "lib/domain/Quantity.h"
+
+#include <cstddef>
+#include <cstring>
+
+namespace bts::domain {
+
+class SyntheticBookSide {
+   Quantity leg_qty_{0};
+   // Either 'data_' or 'own_data_' can be non-null (not both). Only the latter
+   // is deleted in the destructor.
+   const BookLevel *data_{nullptr};
+   BookLevel *own_data_{nullptr};
+   std::size_t size_{0};
+
+   void copy_(const SyntheticBookSide &other) noexcept;
+   void move_(SyntheticBookSide &&other) noexcept;
+
+ public:
+   constexpr SyntheticBookSide() = default;
+   constexpr SyntheticBookSide(
+       Quantity leg_qty, const BookLevel *book_side, std::size_t size);
+   constexpr ~SyntheticBookSide();
+
+   SyntheticBookSide(const SyntheticBookSide &other);
+   SyntheticBookSide(SyntheticBookSide &&other);
+
+   SyntheticBookSide &operator=(const SyntheticBookSide &other);
+   SyntheticBookSide &operator=(SyntheticBookSide &&other);
+
+   constexpr std::size_t size() const;
+   constexpr const BookLevel *data() const;
+
+   /**
+    * Adds a leg to this one (calls can be chained to get the depth for N legs).
+    *
+    * @return SyntheticBookSide whose levels constitute the synthetic depth of
+    * this and the specified @p leg. Its quantity is always 1.
+    */
+   SyntheticBookSide add_leg(SyntheticBookSide leg) const noexcept;
+   SyntheticBookSide add_leg(
+       SyntheticBookSide other_leg,
+       BookLevel *synth_bk,
+       size_t synth_bk_size) const noexcept;
+
+   /**
+    * Syntactic sugar for `add_leg`
+    */
+   SyntheticBookSide operator+(SyntheticBookSide other) const noexcept;
+};
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+constexpr SyntheticBookSide::SyntheticBookSide(
+    Quantity leg_qty, const BookLevel *data, std::size_t size)
+    : leg_qty_(leg_qty), data_(data), own_data_(nullptr), size_(size) {}
+
+constexpr SyntheticBookSide::~SyntheticBookSide() {
+   leg_qty_.value() = 0;
+   data_ = nullptr;
+   if (own_data_ != nullptr) {
+      delete[] own_data_;
+      own_data_ = nullptr;
+   }
+   size_ = 0;
+}
+
+inline SyntheticBookSide::SyntheticBookSide(const SyntheticBookSide &other) {
+   copy_(other);
+}
+
+inline SyntheticBookSide::SyntheticBookSide(SyntheticBookSide &&other) {
+   move_(std::move(other));
+}
+
+inline SyntheticBookSide &SyntheticBookSide::operator=(
+    const SyntheticBookSide &other) {
+   if (this != &other) {
+      copy_(other);
+   }
+   return *this;
+}
+
+inline SyntheticBookSide &SyntheticBookSide::operator=(
+    SyntheticBookSide &&other) {
+   if (this != &other) {
+      move_(std::move(other));
+   }
+   return *this;
+}
+
+constexpr std::size_t SyntheticBookSide::size() const { return size_; }
+
+constexpr const BookLevel *SyntheticBookSide::data() const {
+   return data_ == nullptr ? own_data_ : data_;
+}
+
+inline SyntheticBookSide SyntheticBookSide::add_leg(
+    SyntheticBookSide other_leg) const noexcept {
+   return add_leg(other_leg, nullptr, 10);
+}
+inline SyntheticBookSide SyntheticBookSide ::operator+(
+    SyntheticBookSide other) const noexcept {
+   return add_leg(other);
+}
+
+} // namespace bts::domain

src/lib/domain_model/Security.cpp

@@ -1,10 +1,8 @@
 #include "Security.h"
-#include "lib/domain_model/Security.pb.h"
-
 #include "lib/config/config.h"
 #include "lib/config/protos/orders_fills_cleanup.pb.h"
+#include "lib/domain_model/Security.pb.h"
 #include "lib/md/common.h"
-#include "lib/utils/datetime.h"
 
 #include <boost/date_time/posix_time/posix_time.hpp>
 #include <google/protobuf/text_format.h>
@@ -13,7 +11,6 @@ namespace bts {
 namespace securities {
 
 using bts::api::Security;
-using bts::api::Venue;
 using std::optional;
 
 api::SecurityType security_type(api::Security const &security) {

src/lib/domain_model/Security.h

@@ -7,10 +7,8 @@
 #include "lib/domain_model/Venue.h"
 #include "lib/domain_model/common.h"
 #include "lib/utils/bts_assert.h"
-#include "lib/utils/datetime.h"
 
 #include <cmath>
-#include <memory>
 
 namespace boost {
 namespace gregorian {