Reversehedging fixed

Previously, it was black and hard to read since the background is dark.

.config/dotnet-tools.json

@@ -9,7 +9,7 @@
       ]
     },
     "fable": {
-      "version": "4.0.6",
+      "version": "4.24.0",
       "commands": [
         "fable"
       ]
@@ -27,4 +27,4 @@
       ]
     }
   }
-}
+}

.devcontainer/Dockerfile

@@ -90,6 +90,12 @@ RUN apt-get update && apt-get install -y libpcap0.8-dev
 # Databento (deps)
 RUN apt-get update && apt-get -y install libzstd-dev
 
+# Docker in Docker
+RUN apt-get update && apt-get install -y \
+    docker.io \
+    docker-compose \
+    docker-compose-v2
+
 # Set up default executables (update-alternatives)
 RUN \
    update-alternatives --install /usr/bin/clang clang /usr/bin/clang-$clang_major 100; \

.devcontainer/devcontainer.json

@@ -1,15 +1,10 @@
 {
   "dockerFile": "Dockerfile",
-  // Creates local dir to mount to HOME in docker 
-  "initializeCommand": "mkdir -p ${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId}",
   "hostRequirements": {
-    "memory": "4gb",
-    "storage": "6gb"
+    "memory": "8gb",
+    "storage": "10gb"
   },
-  "postCreateCommand": "/home/bts/spark/docker/sparkd/dev/devcontainer_post_create.sh",
   "containerUser": "bts",
-  "workspaceMount": "source=${localWorkspaceFolder},target=/home/bts/spark,type=bind",
-  "workspaceFolder": "/home/bts/spark",
   "updateRemoteUserUID": true,
   "shutdownAction": "none",
   // Note: If running multiple containers on the same host, each must use a
@@ -17,34 +12,20 @@
   // example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
   "runArgs": [
     "--shm-size",
-    "2gb",
-    "-p",
-    "8000:8000",
-    "-p",
-    "8001:8001",
-    "-p",
-    "8002:8002",
-    "-p",
-    "8003:8003",
-    "-p",
-    "12345:12345"
+    "8gb"
   ],
   "mounts": [
-    "source=${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId},target=/home/bts,type=bind"
+    "source=/var/run/docker.sock,target=/var/run/docker.sock,type=bind"
   ],
   "customizations": {
     "vscode": {
-      "settings": {
-        "clangd.arguments": [
-          "--compile-commands-dir=${workspaceFolder}/build/clang/debug"
-        ]
-      },
       "extensions": [
         "eamodio.gitlens",
         "llvm-vs-code-extensions.vscode-clangd",
         "ms-vscode.cmake-tools",
-        "ms-vscode.cpptools"
+        "ms-vscode.cpptools",
+        "xaver.clang-format"
       ]
     }
   }
-}
+}

.env

@@ -0,0 +1,48 @@
+# This file defines the global default configuration for docker deployments.
+# It is tracked in source control. For temporary modifications, please create
+# a separate file called ".env.local" (it's in .gitignore, so won't be tracked).
+# If a variable is defined in both files, the value in .env.local will be used.
+#
+# About the deployment procedure:
+#   We use Docker Compose to build images and launch containers for various services
+#   that make up our software suite:
+#     - sparkd
+#     - TODO: pubsub
+#     - TODO: md-publisher
+#     - TODO: webapp (DSQA on the web)
+#     - TODO: api-server (websocket based)
+#   From inside a devcontainer, you can launch all services in separate containers
+#   on your machine by running:
+#
+#     tools/deploy.sh
+#
+#   This script builds release versions for each service, packaged (generally) in
+#   self-contained directories. Next, it runs a few "docker compose" commands to
+#   build docker images loaded with the self-contained binaries from the previous
+#   step, and start containers with those images to run each service. To view the
+#   commands that deploy.sh runs internally (without actually running them), run:
+#
+#     tools/deploy.sh --dry-run
+#
+#   For additional information/help, run:
+#
+#     tools/deploy.sh --help
+#
+
+### Sparkd ###
+# The internal image for sparkd to use. For more info, view:
+#   src/server/sparkd/Dockerfile
+SPARKD__IMAGE=sparkd
+# The config dir for this service to use
+SPARKD__CONFIG_DIR=src/server/sparkd/configurations/dev
+# Mount a specific volume or dir to "~/sparkdata/data" inside the docker.
+# Defaults to a volume named "sparkd_<config_port>" (e.g., sparkd_8000).
+# SPARKD__DATA_DIR=/home/bts/sparkdata/data
+SPARKD__SOURCE_DIR=install/sparkd-release-gcc
+SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf/
+SPARKD__CONFIG_PORT=8000
+SPARKD__QUICKBUS_PORT=8001
+SPARKD__SIM_FIX_PORT=8002
+SPARKD__SHM_SIZE=4gb
+
+# TODO: add config for other services (pubsub, md-publisher, webapp, api-server, etc.)

.gitignore

@@ -59,3 +59,4 @@ trace_data/
 .devcontainer/
 *.Generated.cs
 *.lst
+.env.local

.gitmodules

@@ -1,6 +1,6 @@
 [submodule "externals"]
 	path = externals
-	url = git@bitbucket.org:bluetradesys/externals.git
+	url = https://bitbucket.org/bluetradesys/externals.git
 [submodule "vcpkg"]
 	path = vcpkg
 	url = https://github.com/microsoft/vcpkg.git

.vscode/launch.json

@@ -31,7 +31,39 @@
       "type": "cppdbg",
       "request": "launch",
       "program": "/home/bts/spark/build/sparkd-debug-clang/server/sparkd",
-      "args": ["run"],
+      "args": [
+        "run"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/sparkd-debug-clang/server",
+      "environment": [],
+      "externalConsole": false,
+      "MIMode": "gdb",
+    },
+    {
+      "name": "spreader tests2",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "/home/bts/spark/build/sparkd-debug-clang/server/sparkd",
+      "args": [
+        "test",
+        "[spreader2]"
+      ],
+      "stopAtEntry": false,
+      "cwd": "/home/bts/spark/build/sparkd-debug-clang/server",
+      "environment": [],
+      "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": [],
@@ -91,6 +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",
@@ -109,21 +153,138 @@
       "console": "integratedTerminal"
     },
     {
-      "name": "Sparkd",
+      "name": "Spark Test",
       "type": "coreclr",
       "request": "launch",
-      "preLaunchTask": "Build Sparkd (Debug | Clang)",
       "program": "",
-      "linux": {
-        "program": "sparkd",
+      "windows": {
+        "preLaunchTask": "Build Spark (Debug)",
+        "program": "Spark.Console.exe",
+        "cwd": "build/Debug/bin/net7.0",
+        "args": [
+          "test",
+          "${input:sparkTest}"
+        ]
       },
-      "args": [
-        "run"
-      ],
-      "cwd": "build/sparkd-debug-clang/server",
       "stopAtEntry": false,
       "console": "integratedTerminal"
-    }
+    },
+    {
+      "name": "Spark Test (Skip Build)",
+      "type": "coreclr",
+      "request": "launch",
+      "program": "",
+      "windows": {
+        "program": "Spark.Console.exe",
+        "cwd": "build/Debug/bin/net7.0",
+        "args": [
+          "test",
+          "${input:sparkTest}"
+        ]
+      },
+      "stopAtEntry": false,
+      "console": "integratedTerminal"
+    },
+    {
+      "name": "Sparkd",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "",
+      "linux": {
+        "preLaunchTask": "Build Sparkd (Debug)",
+        "program": "${workspaceFolder}/build/sparkd-debug-clang/server/sparkd",
+        "args": [
+          "run"
+        ],
+        "stopAtEntry": false,
+        "cwd": "${workspaceFolder}/build/sparkd-debug-clang/server",
+        "environment": [],
+        "externalConsole": false,
+        "MIMode": "gdb",
+        "setupCommands": [
+          {
+            "description": "Enable pretty-printing for gdb",
+            "text": "-enable-pretty-printing",
+            "ignoreFailures": true
+          }
+        ]
+      }
+    },
+    {
+      "name": "Sparkd (Skip Build)",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "",
+      "linux": {
+        "program": "${workspaceFolder}/build/sparkd-debug-clang/server/sparkd",
+        "args": [
+          "run"
+        ],
+        "stopAtEntry": false,
+        "cwd": "${workspaceFolder}/build/sparkd-debug-clang/server",
+        "environment": [],
+        "externalConsole": false,
+        "MIMode": "gdb",
+        "setupCommands": [
+          {
+            "description": "Enable pretty-printing for gdb",
+            "text": "-enable-pretty-printing",
+            "ignoreFailures": true
+          }
+        ]
+      }
+    },
+    {
+      "name": "Sparkd Test",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "",
+      "linux": {
+        "preLaunchTask": "Build Sparkd (Debug)",
+        "program": "${workspaceFolder}/build/sparkd-debug-clang/server/sparkd",
+        "args": [
+          "test",
+          "${input:sparkdTest}",
+        ],
+        "stopAtEntry": false,
+        "cwd": "${workspaceFolder}/build/sparkd-debug-clang/server",
+        "environment": [],
+        "externalConsole": false,
+        "MIMode": "gdb",
+        "setupCommands": [
+          {
+            "description": "Enable pretty-printing for gdb",
+            "text": "-enable-pretty-printing",
+            "ignoreFailures": true
+          }
+        ]
+      }
+    },
+    {
+      "name": "Sparkd Test (Skip Build)",
+      "type": "cppdbg",
+      "request": "launch",
+      "program": "",
+      "linux": {
+        "program": "${workspaceFolder}/build/sparkd-debug-clang/server/sparkd",
+        "args": [
+          "test",
+          "${input:sparkdTest}",
+        ],
+        "stopAtEntry": false,
+        "cwd": "${workspaceFolder}/build/sparkd-debug-clang/server",
+        "environment": [],
+        "externalConsole": false,
+        "MIMode": "gdb",
+        "setupCommands": [
+          {
+            "description": "Enable pretty-printing for gdb",
+            "text": "-enable-pretty-printing",
+            "ignoreFailures": true
+          }
+        ]
+      }
+    },
   ],
   "inputs": [
     {
@@ -154,5 +315,15 @@
       "description": "Config Server URL",
       "default": "http://localhost:8000/config",
     },
+    {
+      "id": "sparkTest",
+      "type": "promptString",
+      "description": "Test to run",
+    },
+    {
+      "id": "sparkdTest",
+      "type": "promptString",
+      "description": "Test to run",
+    },
   ]
 }

.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

@@ -1,7 +1,10 @@
 cmake_minimum_required(VERSION 3.12)
 project(spark)
+include(GNUInstallDirs)
+include(${CMAKE_SOURCE_DIR}/cmake/GitVersion.cmake)
 set(CMAKE_CXX_STANDARD 20)
 
+get_version_from_git()
 if(WIN32)
   set(platform "windows")
 else()
@@ -49,8 +52,6 @@ else()
   # make sparkd look for libspark.so in its directory
   set(CMAKE_BUILD_WITH_INSTALL_RPATH TRUE)
   set(CMAKE_INSTALL_RPATH ".")
-  set(CMAKE_INSTALL_PREFIX "${CMAKE_SOURCE_DIR}/install")
-  set(SPARK_INSTALL_PREFIX "${CMAKE_INSTALL_PREFIX}/$<CONFIG>")
 
   if(BUILD_SPARKD)
     # Note: All macros that begin w/ 'CCAPI' are ccapi's macros (defined and/or
@@ -89,9 +90,15 @@ else()
     add_compile_definitions(BINANCE_US_PRICE_STATS_PATH="/api/v3/ticker/24hr")
 
     # ** Binance USDS Futures **
-    add_compile_definitions(CCAPI_BINANCE_USDS_FUTURES_URL_REST_BASE="https://dapi.binance.com")
-    add_compile_definitions(BINANCE_USDS_FUTURES_INSTRUMENTS_PATH="/dapi/v1/exchangeInfo")
-    add_compile_definitions(BINANCE_USDS_FUTURES_PRICE_STATS_PATH="/dapi/v1/ticker/24hr")
+    add_compile_definitions(CCAPI_BINANCE_USDS_FUTURES_URL_REST_BASE="https://fapi.binance.com")
+    add_compile_definitions(BINANCE_USDS_FUTURES_INSTRUMENTS_PATH="/fapi/v1/exchangeInfo")
+    add_compile_definitions(BINANCE_USDS_FUTURES_PRICE_STATS_PATH="/fapi/v1/ticker/24hr")
+    add_compile_definitions(BINANCE_USDS_FUTURES_USER_DATA_PATH="/api/v3/userDataStream")
+
+    # ** Binance Coin Futures **
+    add_compile_definitions(CCAPI_BINANCE_COIN_FUTURES_URL_REST_BASE="https://dapi.binance.com")
+    add_compile_definitions(BINANCE_COIN_FUTURES_INSTRUMENTS_PATH="/dapi/v1/exchangeInfo")
+    add_compile_definitions(BINANCE_COIN_FUTURES_PRICE_STATS_PATH="/dapi/v1/ticker/24hr")
 
     # ** Deribit **
     add_compile_definitions(DERIBIT_INSTRUMENT_PATH="/api/v2/public/get_instrument")
@@ -111,6 +118,7 @@ else()
 
   # subdirs
   if (BUILD_SPARKD)
+    add_subdirectory(src/lib_binance_execution)
     add_subdirectory(src/server/sparkd)
     add_subdirectory(src/data_files)
   endif()
@@ -147,11 +155,14 @@ else()
 
     install(
       DIRECTORY "${CMAKE_BINARY_DIR}/server/plugins"
-      DESTINATION "${SPARK_INSTALL_PREFIX}/bin")
+      DESTINATION "${CMAKE_INSTALL_BINDIR}")
     install(
       FILES
       "${SPARK_LIB}/libACE-5.7.5.so"
       "${SPARK_LIB}/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.16.0.0"
-      DESTINATION "${SPARK_INSTALL_PREFIX}/bin")
+      "${SPARK_LIB}/libonixs-fix-engine.so.4.10.1"
+      "${SPARK_LIB}/libonixs-fix-engine.so.4"
+      "${SPARK_LIB}/libonixs-fix-engine.so"
+      DESTINATION "${CMAKE_INSTALL_BINDIR}")
   endif()
 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": "${sourceDir}/vcpkg/scripts/buildsystems/vcpkg.cmake",
@@ -61,7 +62,7 @@
         },
         "CMAKE_CXX_STANDARD": "20",
         "CMAKE_INSTALL_RPATH": ".",
-        "CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}/sparkd",
+        "CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}",
         "CMAKE_EXE_LINKER_FLAGS": "-Wno-undef",
         "EXTERNALS_ROOT": "${sourceDir}/externals/linux",
         "BUILD_SDK": {
@@ -302,16 +303,7 @@
         "lhs": "${hostSystemName}",
         "rhs": "Linux"
       },
-      "hidden": true,
-      "targets": [
-        "data_files_dir",
-        "admin_web_app_bundle",
-        "install",
-        "libspark",
-        "rapidjson_project",
-        "server_layout",
-        "sparkd"
-      ]
+      "hidden": true
     },
 
     {

Spark.Api.Server.sln

@@ -14,6 +14,34 @@ Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "spark_test", "src\client\sp
 EndProject
 Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Spark.Console", "src\client\Spark.Console\Spark.Console.csproj", "{89D666E6-B500-498F-B026-4D167F68ADFC}"
 EndProject
+Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "src", "src", "{267F81EF-A8AB-49FD-9F56-D7EC3C1F7C7C}"
+EndProject
+Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "DataStreamSuite", "DataStreamSuite", "{C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "DataStreamCore", "src\DataStreamSuite\DataStreamCore\DataStreamCore.csproj", "{EF26A475-6101-4C9C-A717-D60BB92A2302}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "SharedStreams", "src\DataStreamSuite\SharedStreams\SharedStreams.csproj", "{911B08A3-515A-441D-84C8-8A43740B5FC1}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "PubSub", "src\DataStreamSuite\PubSub\PubSub.csproj", "{14140310-2233-430A-821B-F3058A25234B}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "BaseUtilities", "src\DataStreamSuite\BaseUtilities\BaseUtilities.csproj", "{43146EA8-6FCC-46B8-88B0-42F9BB5E6E0A}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "ExpressionCore", "src\DataStreamSuite\ExpressionCore\ExpressionCore.csproj", "{6F22DB96-6EAB-4034-99D9-287021C36F01}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "ArithmeticExpressions", "src\DataStreamSuite\ArithmeticExpressions\ArithmeticExpressions.csproj", "{A5C33956-A41F-49B3-A41D-1082CBA59D02}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "DataStreamExpressions", "src\DataStreamSuite\DataStreamExpressions\DataStreamExpressions.csproj", "{2FE745C3-1EDF-4421-8CD7-A63EE0C1AE43}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.ColumnSortExpressions", "src\DataStreamSuite\Bts.ColumnSortExpressions\Bts.ColumnSortExpressions.csproj", "{FDA791E0-2B91-4AD5-B91D-CF920A4C4E38}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "ColumnMapExpressions", "src\DataStreamSuite\ColumnMapExpressions\ColumnMapExpressions.csproj", "{B945A183-2174-4ACB-B289-8A5C546656FE}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "BooleanExpressions", "src\DataStreamSuite\BooleanExpressions\BooleanExpressions.csproj", "{9F6D7DE8-185B-4C1D-B809-3314D092DF28}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.ColumnExpressions", "src\DataStreamSuite\Bts.ColumnExpressions\Bts.ColumnExpressions.csproj", "{6BD3F6D8-B6FC-44E8-B8FE-06352F638B9B}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "DataStream", "src\DataStreamSuite\DataStream\DataStream.csproj", "{39AEA075-6457-46C0-8821-1158BE6EFA57}"
+EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
 		Debug|x64 = Debug|x64
@@ -70,6 +98,102 @@ Global
 		{89D666E6-B500-498F-B026-4D167F68ADFC}.Release|x64.Build.0 = Release|x64
 		{89D666E6-B500-498F-B026-4D167F68ADFC}.RelWithDebInfo|x64.ActiveCfg = Debug|x64
 		{89D666E6-B500-498F-B026-4D167F68ADFC}.RelWithDebInfo|x64.Build.0 = Debug|x64
+		{EF26A475-6101-4C9C-A717-D60BB92A2302}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{EF26A475-6101-4C9C-A717-D60BB92A2302}.Debug|x64.Build.0 = Debug|Any CPU
+		{EF26A475-6101-4C9C-A717-D60BB92A2302}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{EF26A475-6101-4C9C-A717-D60BB92A2302}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{EF26A475-6101-4C9C-A717-D60BB92A2302}.Release|x64.ActiveCfg = Release|Any CPU
+		{EF26A475-6101-4C9C-A717-D60BB92A2302}.Release|x64.Build.0 = Release|Any CPU
+		{EF26A475-6101-4C9C-A717-D60BB92A2302}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{EF26A475-6101-4C9C-A717-D60BB92A2302}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
+		{911B08A3-515A-441D-84C8-8A43740B5FC1}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{911B08A3-515A-441D-84C8-8A43740B5FC1}.Debug|x64.Build.0 = Debug|Any CPU
+		{911B08A3-515A-441D-84C8-8A43740B5FC1}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{911B08A3-515A-441D-84C8-8A43740B5FC1}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{911B08A3-515A-441D-84C8-8A43740B5FC1}.Release|x64.ActiveCfg = Release|Any CPU
+		{911B08A3-515A-441D-84C8-8A43740B5FC1}.Release|x64.Build.0 = Release|Any CPU
+		{911B08A3-515A-441D-84C8-8A43740B5FC1}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{911B08A3-515A-441D-84C8-8A43740B5FC1}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
+		{14140310-2233-430A-821B-F3058A25234B}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{14140310-2233-430A-821B-F3058A25234B}.Debug|x64.Build.0 = Debug|Any CPU
+		{14140310-2233-430A-821B-F3058A25234B}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{14140310-2233-430A-821B-F3058A25234B}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{14140310-2233-430A-821B-F3058A25234B}.Release|x64.ActiveCfg = Release|Any CPU
+		{14140310-2233-430A-821B-F3058A25234B}.Release|x64.Build.0 = Release|Any CPU
+		{14140310-2233-430A-821B-F3058A25234B}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{14140310-2233-430A-821B-F3058A25234B}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
+		{43146EA8-6FCC-46B8-88B0-42F9BB5E6E0A}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{43146EA8-6FCC-46B8-88B0-42F9BB5E6E0A}.Debug|x64.Build.0 = Debug|Any CPU
+		{43146EA8-6FCC-46B8-88B0-42F9BB5E6E0A}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{43146EA8-6FCC-46B8-88B0-42F9BB5E6E0A}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{43146EA8-6FCC-46B8-88B0-42F9BB5E6E0A}.Release|x64.ActiveCfg = Release|Any CPU
+		{43146EA8-6FCC-46B8-88B0-42F9BB5E6E0A}.Release|x64.Build.0 = Release|Any CPU
+		{43146EA8-6FCC-46B8-88B0-42F9BB5E6E0A}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{43146EA8-6FCC-46B8-88B0-42F9BB5E6E0A}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
+		{6F22DB96-6EAB-4034-99D9-287021C36F01}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{6F22DB96-6EAB-4034-99D9-287021C36F01}.Debug|x64.Build.0 = Debug|Any CPU
+		{6F22DB96-6EAB-4034-99D9-287021C36F01}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{6F22DB96-6EAB-4034-99D9-287021C36F01}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{6F22DB96-6EAB-4034-99D9-287021C36F01}.Release|x64.ActiveCfg = Release|Any CPU
+		{6F22DB96-6EAB-4034-99D9-287021C36F01}.Release|x64.Build.0 = Release|Any CPU
+		{6F22DB96-6EAB-4034-99D9-287021C36F01}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{6F22DB96-6EAB-4034-99D9-287021C36F01}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
+		{A5C33956-A41F-49B3-A41D-1082CBA59D02}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{A5C33956-A41F-49B3-A41D-1082CBA59D02}.Debug|x64.Build.0 = Debug|Any CPU
+		{A5C33956-A41F-49B3-A41D-1082CBA59D02}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{A5C33956-A41F-49B3-A41D-1082CBA59D02}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{A5C33956-A41F-49B3-A41D-1082CBA59D02}.Release|x64.ActiveCfg = Release|Any CPU
+		{A5C33956-A41F-49B3-A41D-1082CBA59D02}.Release|x64.Build.0 = Release|Any CPU
+		{A5C33956-A41F-49B3-A41D-1082CBA59D02}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{A5C33956-A41F-49B3-A41D-1082CBA59D02}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
+		{2FE745C3-1EDF-4421-8CD7-A63EE0C1AE43}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{2FE745C3-1EDF-4421-8CD7-A63EE0C1AE43}.Debug|x64.Build.0 = Debug|Any CPU
+		{2FE745C3-1EDF-4421-8CD7-A63EE0C1AE43}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{2FE745C3-1EDF-4421-8CD7-A63EE0C1AE43}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{2FE745C3-1EDF-4421-8CD7-A63EE0C1AE43}.Release|x64.ActiveCfg = Release|Any CPU
+		{2FE745C3-1EDF-4421-8CD7-A63EE0C1AE43}.Release|x64.Build.0 = Release|Any CPU
+		{2FE745C3-1EDF-4421-8CD7-A63EE0C1AE43}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{2FE745C3-1EDF-4421-8CD7-A63EE0C1AE43}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
+		{FDA791E0-2B91-4AD5-B91D-CF920A4C4E38}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{FDA791E0-2B91-4AD5-B91D-CF920A4C4E38}.Debug|x64.Build.0 = Debug|Any CPU
+		{FDA791E0-2B91-4AD5-B91D-CF920A4C4E38}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{FDA791E0-2B91-4AD5-B91D-CF920A4C4E38}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{FDA791E0-2B91-4AD5-B91D-CF920A4C4E38}.Release|x64.ActiveCfg = Release|Any CPU
+		{FDA791E0-2B91-4AD5-B91D-CF920A4C4E38}.Release|x64.Build.0 = Release|Any CPU
+		{FDA791E0-2B91-4AD5-B91D-CF920A4C4E38}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{FDA791E0-2B91-4AD5-B91D-CF920A4C4E38}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
+		{B945A183-2174-4ACB-B289-8A5C546656FE}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{B945A183-2174-4ACB-B289-8A5C546656FE}.Debug|x64.Build.0 = Debug|Any CPU
+		{B945A183-2174-4ACB-B289-8A5C546656FE}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{B945A183-2174-4ACB-B289-8A5C546656FE}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{B945A183-2174-4ACB-B289-8A5C546656FE}.Release|x64.ActiveCfg = Release|Any CPU
+		{B945A183-2174-4ACB-B289-8A5C546656FE}.Release|x64.Build.0 = Release|Any CPU
+		{B945A183-2174-4ACB-B289-8A5C546656FE}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{B945A183-2174-4ACB-B289-8A5C546656FE}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
+		{39AEA075-6457-46C0-8821-1158BE6EFA57}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{39AEA075-6457-46C0-8821-1158BE6EFA57}.Debug|x64.Build.0 = Debug|Any CPU
+		{39AEA075-6457-46C0-8821-1158BE6EFA57}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{39AEA075-6457-46C0-8821-1158BE6EFA57}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{39AEA075-6457-46C0-8821-1158BE6EFA57}.Release|x64.ActiveCfg = Release|Any CPU
+		{39AEA075-6457-46C0-8821-1158BE6EFA57}.Release|x64.Build.0 = Release|Any CPU
+		{39AEA075-6457-46C0-8821-1158BE6EFA57}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{39AEA075-6457-46C0-8821-1158BE6EFA57}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
+		{9F6D7DE8-185B-4C1D-B809-3314D092DF28}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{9F6D7DE8-185B-4C1D-B809-3314D092DF28}.Debug|x64.Build.0 = Debug|Any CPU
+		{9F6D7DE8-185B-4C1D-B809-3314D092DF28}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{9F6D7DE8-185B-4C1D-B809-3314D092DF28}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{9F6D7DE8-185B-4C1D-B809-3314D092DF28}.Release|x64.ActiveCfg = Release|Any CPU
+		{9F6D7DE8-185B-4C1D-B809-3314D092DF28}.Release|x64.Build.0 = Release|Any CPU
+		{9F6D7DE8-185B-4C1D-B809-3314D092DF28}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{9F6D7DE8-185B-4C1D-B809-3314D092DF28}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
+		{6BD3F6D8-B6FC-44E8-B8FE-06352F638B9B}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{6BD3F6D8-B6FC-44E8-B8FE-06352F638B9B}.Debug|x64.Build.0 = Debug|Any CPU
+		{6BD3F6D8-B6FC-44E8-B8FE-06352F638B9B}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{6BD3F6D8-B6FC-44E8-B8FE-06352F638B9B}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{6BD3F6D8-B6FC-44E8-B8FE-06352F638B9B}.Release|x64.ActiveCfg = Release|Any CPU
+		{6BD3F6D8-B6FC-44E8-B8FE-06352F638B9B}.Release|x64.Build.0 = Release|Any CPU
+		{6BD3F6D8-B6FC-44E8-B8FE-06352F638B9B}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
+		{6BD3F6D8-B6FC-44E8-B8FE-06352F638B9B}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE
@@ -80,4 +204,19 @@ Global
 	GlobalSection(Performance) = preSolution
 		HasPerformanceSessions = true
 	EndGlobalSection
+	GlobalSection(NestedProjects) = preSolution
+		{C09ED521-D2DF-40BC-A76F-EB3CB870B2F6} = {267F81EF-A8AB-49FD-9F56-D7EC3C1F7C7C}
+		{EF26A475-6101-4C9C-A717-D60BB92A2302} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+		{911B08A3-515A-441D-84C8-8A43740B5FC1} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+		{14140310-2233-430A-821B-F3058A25234B} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+		{43146EA8-6FCC-46B8-88B0-42F9BB5E6E0A} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+		{6F22DB96-6EAB-4034-99D9-287021C36F01} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+		{A5C33956-A41F-49B3-A41D-1082CBA59D02} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+		{2FE745C3-1EDF-4421-8CD7-A63EE0C1AE43} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+		{FDA791E0-2B91-4AD5-B91D-CF920A4C4E38} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+		{B945A183-2174-4ACB-B289-8A5C546656FE} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+		{39AEA075-6457-46C0-8821-1158BE6EFA57} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+		{9F6D7DE8-185B-4C1D-B809-3314D092DF28} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+		{6BD3F6D8-B6FC-44E8-B8FE-06352F638B9B} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
+	EndGlobalSection
 EndGlobal

cmake/GitVersion.cmake

@@ -0,0 +1,48 @@
+include_guard(GLOBAL)
+
+function(get_version_from_git)
+  find_package(Git QUIET)
+  if(NOT Git_FOUND)
+    message(WARNING "Git not found")
+    return()
+  endif()
+
+  execute_process(
+    COMMAND ${GIT_EXECUTABLE} describe --tags --always
+    WORKING_DIRECTORY ${CMAKE_SOURCE_DIR}
+    OUTPUT_VARIABLE GIT_TAG
+    OUTPUT_STRIP_TRAILING_WHITESPACE
+    RESULT_VARIABLE GIT_RESULT
+  )
+
+  if(NOT GIT_RESULT EQUAL 0)
+    message(WARNING "Failed to get git tag")
+    return()
+  endif()
+
+  execute_process(
+    COMMAND ${GIT_EXECUTABLE} rev-parse --short=7 HEAD
+    WORKING_DIRECTORY ${CMAKE_SOURCE_DIR}
+    OUTPUT_VARIABLE GIT_COMMIT_SHORT_HASH
+    OUTPUT_STRIP_TRAILING_WHITESPACE
+  )
+  set(PROJECT_VERSION_BUILD_METADATA ${GIT_COMMIT_SHORT_HASH})
+  set(PROJECT_VERSION_BUILD_METADATA ${GIT_COMMIT_SHORT_HASH} PARENT_SCOPE)
+
+  string(REGEX REPLACE "^v" "" CLEAN_TAG "${GIT_TAG}")
+  if(CLEAN_TAG MATCHES "^([0-9]+)\\.([0-9]+)\\.([0-9]+)(-.*)?$")
+    set(PROJECT_VERSION_MAJOR ${CMAKE_MATCH_1})
+    set(PROJECT_VERSION_MAJOR ${CMAKE_MATCH_1} PARENT_SCOPE)
+    set(PROJECT_VERSION_MINOR ${CMAKE_MATCH_2})
+    set(PROJECT_VERSION_MINOR ${CMAKE_MATCH_2} PARENT_SCOPE)
+    set(PROJECT_VERSION_PATCH ${CMAKE_MATCH_3})
+    set(PROJECT_VERSION_PATCH ${CMAKE_MATCH_3} PARENT_SCOPE)
+
+    set(PROJECT_VERSION "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}") 
+    set(PROJECT_VERSION "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}" PARENT_SCOPE)
+    set(PROJECT_VERSION_FULL "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}+${GIT_COMMIT_SHORT_HASH}")
+    set(PROJECT_VERSION_FULL "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}+${GIT_COMMIT_SHORT_HASH}" PARENT_SCOPE)
+  else()
+    message(WARNING "Tag '${CLEAN_TAG}' does not match semver format")
+  endif()
+endfunction()

cmake/ProtobufGenerateFs.cmake

@@ -0,0 +1,49 @@
+include_guard(DIRECTORY)
+
+function(protobuf_generate_fs)
+  set(_options)
+  set(_one_value_args TARGET_NAME OUT_DIR PROTOC)
+  set(_multi_value_args PROTO_INCLUDE_DIRS PROTO_SOURCES)
+  cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
+
+  if (NOT DEFINED _ARGS_TARGET_NAME)
+    set(_ARGS_TARGET_NAME "${PROJECT_NAME}_generate_fs_protos")
+  endif()
+  if (NOT DEFINED _ARGS_PROTOC)
+    set(_ARGS_PROTOC "${SPARK_BIN}/protoc")
+  endif()
+
+  set(_proto_include_cli_args)
+  foreach(_dir ${_ARGS_PROTO_INCLUDE_DIRS})
+    list(APPEND _proto_include_cli_args -I ${_dir})
+  endforeach()
+
+  set(_outputs)
+  foreach(_proto_source ${_ARGS_PROTO_SOURCES})
+    # get_filename_component(_abs_proto_source ${_proto_source} ABSOLUTE)
+    get_filename_component(_proto_source_we ${_proto_source} NAME_WE)
+    # get_filename_component(_proto_source_dir ${_proto_source} DIRECTORY)
+    list(APPEND _outputs ${_ARGS_OUT_DIR}/${_proto_source_we}.fable.fs)
+  endforeach()
+
+  set(_venv_exec ${CMAKE_SOURCE_DIR}/tools/venv_exec.sh)
+  set(_plugin_py ${CMAKE_SOURCE_DIR}/src/lib/api/service_compiler/plugin.py)
+  set(_template_fs ${CMAKE_SOURCE_DIR}/src/lib/api/service_compiler/templates/fs/fable.fs)
+  add_custom_command(
+    OUTPUT ${_outputs}
+    WORKING_DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}
+    COMMAND ${_venv_exec}
+      ${_ARGS_PROTOC}
+      --plugin=protoc-gen-service=${_plugin_py}
+      --service_out=lang=fs,strip_out_path=1:${_ARGS_OUT_DIR}
+      ${_proto_include_cli_args}
+      ${_ARGS_PROTO_SOURCES}
+    DEPENDS
+      ${_venv_exec}
+      ${_plugin_py}
+      ${_template_fs}
+      ${CMAKE_CURRENT_SOURCE_DIR}/package-lock.json
+      ${_ARGS_PROTO_SOURCES}
+  )
+  add_custom_target(${_ARGS_TARGET_NAME} ALL DEPENDS "${_outputs}")
+endfunction()

cmake/ProtobufGenerateJs.cmake

@@ -0,0 +1,33 @@
+include_guard(DIRECTORY)
+
+function(protobuf_generate_js)
+  set(_options)
+  set(_one_value_args TARGET_NAME OUTPUT)
+  set(_multi_value_args PROTO_INCLUDE_DIRS PROTO_SOURCES)
+  cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
+
+  if (NOT DEFINED _ARGS_TARGET_NAME)
+    set(_ARGS_TARGET_NAME "${PROJECT_NAME}_generate_js_protos")
+  endif()
+
+  set(_proto_include_cli_args)
+  foreach(_dir ${_ARGS_PROTO_INCLUDE_DIRS})
+    list(APPEND _proto_include_cli_args -p ${_dir})
+  endforeach()
+
+  add_custom_command(
+    OUTPUT ${_ARGS_OUTPUT}
+    WORKING_DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}
+    COMMAND npx
+      --no-install pbjs
+      -t json-module
+      -w commonjs
+      -o ${_ARGS_OUTPUT}
+      ${_proto_include_cli_args}
+      ${_ARGS_PROTO_SOURCES}
+    DEPENDS
+      ${CMAKE_CURRENT_SOURCE_DIR}/package-lock.json
+      ${_ARGS_PROTO_SOURCES}
+  )
+  add_custom_target(${_ARGS_TARGET_NAME} ALL DEPENDS ${_ARGS_OUTPUT})
+endfunction()

cmake/SymLink.cmake

@@ -0,0 +1,49 @@
+include_guard(DIRECTORY)
+include(${CMAKE_SOURCE_DIR}/cmake/TernaryOperator.cmake)
+
+function(sym_link_dir)
+  set(_options)
+  set(_one_value_args TARGET_NAME SOURCE DEST COMMENT)
+  set(_multi_value_args)
+  cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
+  add_custom_command(
+    OUTPUT ${_ARGS_DEST}
+    COMMAND ln ARGS -sf ${_ARGS_SOURCE} ${_ARGS_DEST}
+  )
+  set_ternary(_comment _ARGS_COMMENT "${_ARGS_COMMENT}" "linking dir ${_ARGS_SOURCE} -> ${_ARGS_DEST}")
+  add_custom_target(
+    ${_ARGS_TARGET_NAME} ALL
+    DEPENDS ${_ARGS_DEST}
+    COMMENT "${_comment}"
+  )
+endfunction()
+
+function(sym_link_file)
+  set(_options)
+  set(_one_value_args SOURCE DEST INSTALL_DEST)
+  set(_multi_value_args)
+  cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
+  file(
+    CREATE_LINK
+      ${_ARGS_SOURCE}
+      ${_ARGS_DEST}
+    SYMBOLIC
+  )
+  if (DEFINED _ARGS_INSTALL_DEST)
+    install(
+      FILES
+      ${_ARGS_SOURCE}
+      DESTINATION ${_ARGS_INSTALL_DEST}
+    )
+  endif()
+endfunction()
+
+function(sym_link_local_lib LIB_NAME)
+  set(_lib_file_name "${CMAKE_SHARED_LIBRARY_PREFIX}${LIB_NAME}.so")
+  file(
+    CREATE_LINK
+      "${CMAKE_BINARY_DIR}/src/lib_${LIB_NAME}/${_lib_file_name}"
+      "${CMAKE_CURRENT_BINARY_DIR}/${_lib_file_name}"
+    SYMBOLIC
+  )
+endfunction()

cmake/TernaryOperator.cmake

@@ -0,0 +1,9 @@
+include_guard(GLOBAL)
+
+macro(set_ternary RESULT CONDITION TRUE_VALUE FALSE_VALUE)
+  if(${CONDITION})
+    set(${RESULT} ${TRUE_VALUE})
+  else()
+    set(${RESULT} ${FALSE_VALUE})
+  endif()
+endmacro()

cmake/version.h.in

@@ -0,0 +1,11 @@
+#ifndef BTS_SPARK_VERSION_H
+#define BTS_SPARK_VERSION_H
+
+#define BTS_SPARK_VERSION_MAJOR @PROJECT_VERSION_MAJOR@
+#define BTS_SPARK_VERSION_MINOR @PROJECT_VERSION_MINOR@
+#define BTS_SPARK_VERSION_PATCH @PROJECT_VERSION_PATCH@
+#define BTS_SPARK_VERSION_BUILD_METADATA @PROJECT_VERSION_BUILD_METADATA@
+#define BTS_SPARK_VERSION "@PROJECT_VERSION@"
+#define BTS_SPARK_VERSION_FULL "@PROJECT_VERSION_FULL@"
+
+#endif

compose.yaml

@@ -0,0 +1,100 @@
+services:
+  sparkd:
+    volumes:
+      - ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/sparkdata/data
+    build:
+      dockerfile: src/server/sparkd/Dockerfile
+      args:
+        - IMAGE=${SPARKD__IMAGE}
+        - SOURCE_DIR=${SPARKD__SOURCE_DIR}
+        - CONFIG_DIR=${SPARKD__CONFIG_DIR}
+    shm_size: "${SPARKD__SHM_SIZE:-512mb}"
+    command: >
+      sh -c "
+        echo bts | sudo -S chown -R bts:bts /home/bts/sparkdata/data
+        if [ -e "/home/bts/sparkdata/data/logging.sparkd/log" ]; then
+          mv "/home/bts/sparkdata/data/logging.sparkd/log" "/home/bts/sparkdata/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
+        fi
+        if [ -e "/home/bts/sparkdata/conf/.env.local" ]; then
+          echo 'Sourcing /home/bts/sparkdata/conf/.env.local'
+          set -a
+          . /home/bts/sparkdata/conf/.env.local
+          set +a
+        fi
+        ./sparkd run"
+    env_file:
+      - .env
+      - ${SPARKD__CONFIG_DIR}/.env
+    ports:
+      - "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
+      - "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
+      - "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
+    deploy:
+      resources:
+        limits:
+          memory: "${SPARKD__MEMORY:-4gb}"
+  sparkd-symbols:
+    volumes:
+      - ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/sparkdata/data
+      - ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/sparkdata/conf
+    build:
+      dockerfile: src/server/sparkd/Dockerfile
+      args:
+        - IMAGE=${SPARKD__IMAGE}
+        - SOURCE_DIR=${SPARKD__SOURCE_DIR}
+        - CONFIG_DIR=${SPARKD__CONFIG_DIR}
+    shm_size: "${SPARKD__SHM_SIZE:-512mb}"
+    command: >
+      sh -c "
+        echo bts | sudo -S chown -R bts:bts /home/bts/sparkdata/data
+        if [ -e "/home/bts/sparkdata/data/logging.sparkd/log" ]; then
+          mv "/home/bts/sparkdata/data/logging.sparkd/log" "/home/bts/sparkdata/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
+        fi
+        ls -alh /home/bts/sparkdata/conf/
+        cat /home/bts/sparkdata/conf/.env.local
+        if [ -e "/home/bts/sparkdata/conf/.env.local" ]; then
+          echo 'Sourcing /home/bts/sparkdata/conf/.env.local'
+          set -a
+          . /home/bts/sparkdata/conf/.env.local
+          set +a
+        fi
+        ./sparkd run"
+    env_file:
+      - .env
+      - ${SPARKD__CONFIG_DIR}/.env
+    ports:
+      - "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
+      - "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
+      - "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
+    deploy:
+      resources:
+        limits:
+          memory: "${SPARKD__MEMORY:-4gb}"
+
+  sparkd-tail:
+    image: bluetradingsystems/linux_dotnet7
+    volumes:
+      - type: volume
+        read_only: true
+        source: sparkd_data
+        target: /home/bts/sparkdata/data/logging.sparkd
+        volume:
+          subpath: logging.sparkd
+    command: ["tail", "-f", "/home/bts/sparkdata/data/logging.sparkd/log"]
+
+  sparkd-ping-test:
+    depends_on:
+      - sparkd
+    profiles:
+      - ping-test
+    build:
+      context: .
+      dockerfile_inline: |
+        FROM bluetradingsystems/linux_dotnet7
+        USER "root"
+        RUN apt-get update && apt-get -y install iputils-ping
+    command: [ "ping", "sparkd" ]
+
+volumes:
+  sparkd_data:
+    name: "sparkd_${SPARKD__CONFIG_PORT:-8000}"

docker/images/bluetradingsystems/linux_dotnet7/Dockerfile

@@ -0,0 +1,38 @@
+FROM ubuntu:22.04
+
+ARG DEBIAN_FRONTEND=noninteractive
+
+RUN apt-get update && apt-get install -y pkg-config
+RUN apt-get update && apt-get install -y locales
+RUN apt-get update && apt-get install -y ca-certificates
+RUN apt-get update && apt-get install -y libssh2-1-dev
+RUN apt-get update && apt-get install -y software-properties-common
+RUN apt-get update && apt-get install -y sudo
+
+# GCC
+ARG gcc_major=13
+RUN add-apt-repository ppa:ubuntu-toolchain-r/test \
+  && apt-get update \
+  && apt-get install -y g++-$gcc_major
+
+RUN apt-get update \
+  && apt-get install -y dotnet7
+
+RUN locale-gen en_US.UTF-8
+
+ARG docker_user="bts"
+ARG docker_uid="1000"
+ARG docker_pass="bts"
+
+RUN \
+  groupadd -g "$docker_uid" "$docker_user" \
+  && useradd \
+  -m \
+  -u "$docker_uid" \
+  -g "$docker_uid" \
+  -G sudo \
+  --password "$(openssl passwd -1 "$docker_pass")" \
+  "$docker_user"
+
+USER bts
+WORKDIR /home/bts

requirements.txt

@@ -1,11 +1,20 @@
 astroid==2.7.3
 autopep8==1.5.7
+blinker==1.9.0
+boto3==1.37.9
+botocore==1.37.9
 certifi==2023.5.7
 charset-normalizer==3.1.0
+click==8.1.8
 colorama==0.4.4
+Flask==3.1.0
 idna==3.4
 isort==5.9.3
+itsdangerous==2.2.0
+Jinja2==3.1.6
+jmespath==1.0.1
 lazy-object-proxy==1.6.0
+MarkupSafe==3.0.2
 mccabe==0.6.1
 platformdirs==2.3.0
 protobuf==4.21.12
@@ -14,9 +23,14 @@ pycodestyle==2.7.0
 pycparser==2.20
 pylint==2.10.2
 PyMeta3==0.5.1
+python-dateutil==2.9.0.post0
+python-dotenv==1.0.1
 requests==2.31.0
+s3transfer==0.11.4
+six==1.17.0
 termcolor==1.1.0
 toml==0.10.2
 urllib3==2.0.3
+Werkzeug==3.1.3
 wrapt==1.12.1
 yapf==0.31.0

src/DataStreamSuite/DataStream/Primitives/Filter/NullFilterStream.cs

@@ -4,6 +4,8 @@ namespace bts.SilverPine {
    using System;
 
    public class NullFilterStream : ViewStream {
+      public NullFilterStream(ViewStream parent_str, string col_name)
+      : this(parent_str, col_name, true) { }
       public NullFilterStream(ViewStream parent_str, string col_name, bool filter_out_doublenans = false) {
          ViewStream rs = new FilterStream(parent_str,
          r => {

src/DataStreamSuite/DataStream/Primitives/GroupBy/GroupByBundle.cs

@@ -0,0 +1,91 @@
+namespace bts.SilverPine {
+   using BCG;
+
+   using System;
+   using System.Collections.Generic;
+   using System.Linq;
+
+   using ZstdSharp.Unsafe;
+
+   public enum GroupByBundleOp {
+      Mean,
+      Median,
+      Mode,
+      StdDev,
+      Max,
+      Min,
+      First,
+      Last,
+      Sum
+   }
+   public class GroupByBundle {
+      public readonly List<Tuple<string, GroupByBundleOp>> operations;
+
+      public static GroupByBundle parse(string text) {
+         // text is inp_col: op, inp_col: op, inp_col:op
+         List<Tuple<string, GroupByBundleOp>> rv = new List<Tuple<string, GroupByBundleOp>>();
+         string[] calcs = text.Split(',');
+         foreach (string c in calcs) {
+            string[] toks = c.Split(':');
+            string inp_col = toks[0].Trim();
+            string op_txt = toks[1].Trim();
+            GroupByBundleOp op = Enum.Parse<GroupByBundleOp>(op_txt, true);
+            rv.Add(Tuple.Create(inp_col, op));
+         }
+         return new GroupByBundle(rv);
+      }
+
+      public GroupByBundle(List<Tuple<string, GroupByBundleOp>> operations_) {
+         operations = operations_;
+      }
+
+      public static IBlueRow group_by(List<IBlueRow> rows, GroupByBundle parameters) {
+         if (rows.Count() == 0) {
+            return null;
+         }
+
+         IBlueRow ir = rows.ElementAt(0);
+         IBlueTableSchema in_schema = ir.schema;
+         IBlueTableSchema out_schema = in_schema;
+         IDictionary<string, Tuple<string, GroupByBundleOp>> out_col_map =
+            new Dictionary<string, Tuple<string, GroupByBundleOp>>();
+         foreach (var t in parameters.operations) {
+            string out_col_name = $"{t.Item1}_{t.Item2}".ToLower();
+            out_schema = out_schema.add_column(TypeCode.Double, out_col_name);
+            out_col_map[out_col_name] = t;
+         }
+         MutableBlueRow or = new MutableBlueRow(out_schema, ir);
+         foreach (var kv in out_col_map) {
+            string out_col_name = kv.Key;
+            string in_col_name = kv.Value.Item1;
+            GroupByBundleOp op = kv.Value.Item2;
+            IEnumerable<double> col_vals = BlueDataUtility.get_colvalues<double>(rows, in_col_name);
+            double comp_res = compute_op(col_vals, op);
+            or.setValue(out_col_name, comp_res);
+         }
+         return or;
+      }
+
+      public static double compute_op(IEnumerable<double> col_vals, GroupByBundleOp op) {
+         switch (op) {
+            case GroupByBundleOp.Max:
+               return col_vals.Max<double>();
+            case GroupByBundleOp.Min:
+               return col_vals.Min<double>();
+            case GroupByBundleOp.Mean:
+               return col_vals.Sum() / col_vals.Count();
+            case GroupByBundleOp.Sum:
+               return col_vals.Sum();
+            case GroupByBundleOp.First:
+               return col_vals.First();
+            case GroupByBundleOp.Last:
+               return col_vals.Last();
+            default:
+               // TODO
+               Log.assert(false);
+               return Double.NaN;
+         }
+      }
+
+   }
+}

src/DataStreamSuite/DataStream/Primitives/GroupBy/NonIncremental/NonIncGroupByStream.cs

@@ -2,10 +2,13 @@
 using System.Collections.Generic;
 using System.Diagnostics;
 using System.Linq;
+using System.Text.Json;
 
 using bts;
+using bts.SilverPine;
 
 namespace BCG {
+   [DataStreamUserRespresentation("aggregate")]
    public class NonIncGroupByStream : ViewStream {
       private class DelNonIncGroupByEvaluator : INonIncGroupByEvaluator {
          Func<string[]> _groupby_cols_func;
@@ -43,13 +46,31 @@ namespace BCG {
          _main_stream = main_stream;
          _groupby_func = groupby_func;
          _groupby_cols = _groupby_func.get_group_by_cols();
-         _row_hasher = new BlueRowHasher(_groupby_cols.Length);
+         _row_hasher = new BlueRowHasher(_groupby_cols == null ? 0 : _groupby_cols.Length);
       }
 
       public NonIncGroupByStream(ViewStream main_stream, Func<string[]> groupby_cols_func,
                                  Func<List<IBlueRow>, List<IBlueRow>> evaluate_func)
                                  : this(main_stream, new DelNonIncGroupByEvaluator(groupby_cols_func, evaluate_func)) { }
 
+      public NonIncGroupByStream(ViewStream parent_str, string groupby_col, string standard_group_by_text, string optional_sort_col = null) {
+         GroupByBundle std_group_by = GroupByBundle.parse(standard_group_by_text);
+         Func<string[]> groupby_cols_func = () => {
+            return String.IsNullOrEmpty(groupby_col) ? null : new string[] { groupby_col };
+         };
+         Func<List<IBlueRow>, List<IBlueRow>> evaluate_func = (group_rows) => {
+            if (!String.IsNullOrEmpty(optional_sort_col))
+               group_rows.Sort((r1, r2) => BlueDataUtility.compare_rows(r2, r1, optional_sort_col));
+            IBlueRow rv = GroupByBundle.group_by(group_rows, std_group_by);
+            return new IBlueRow[] { rv }.ToList();
+         };
+         ViewStream rs = new NonIncGroupByStream(parent_str, groupby_cols_func, evaluate_func);
+         mySetRealSource(rs);
+      }
+      public NonIncGroupByStream(ViewStream parent_str, string standard_group_by_text) :
+      this(parent_str, String.Empty, standard_group_by_text) {
+      }
+
 
       protected override void myOnFirstSubscriber() { _main_stream.onChange += _main_stream_onchange; }
 
@@ -79,7 +100,9 @@ namespace BCG {
             Log.DataFlow.info(
                $"Time to evaluate {grouped_rows.Count} groups {_timer.ElapsedMilliseconds}ms, ratio {_n_expensive_fires}/{_n_total_fires}");
          }
-         myFireEvent(new DataPacket(total_state, total_state, myLastValue == null ? new BlueTable(total_state.schema) : (myLastValue as DataPacket).newRows));
+         // TODO,
+         if (total_state != null)
+            myFireEvent(new DataPacket(total_state, total_state, myLastValue == null ? new BlueTable(total_state.schema) : (myLastValue as DataPacket).newRows));
       }
    }
 }

src/DataStreamSuite/DataStream/Primitives/Join/NonIncremental/NonIncJoinBookkeeper.cs

@@ -1,10 +1,12 @@
 using bts;
+using bts.collections;
 
 using mbts;
 
 using System;
 using System.Collections.Generic;
 using System.Diagnostics;
+using System.Linq;
 using System.Security.Cryptography;
 
 namespace BCG {
@@ -35,6 +37,38 @@ namespace BCG {
          _is_tag_along = _join_spec.join_col_names.Length == 0;
       }
 
+      private bool _filled_missing_data = false;
+      private void _fill_missing_data(DataPacket dp) {
+         if (_filled_missing_data)
+            return;
+         Func<string[], bool> null_or_empty = (str_arr) => {
+            if (str_arr == null || str_arr.Length == 0)
+               return true;
+            foreach (string s in str_arr) {
+               if (!String.IsNullOrEmpty(s)) {
+                  return false;
+               }
+            }
+            return true;
+         };
+         Func<string[], string[]> remove_bad_cols = (col_names) => {
+            HashSet<string> schema_col_map = new HashSet<string>(dp.schema.columnNames);
+            List<string> cols_list = new List<string>(col_names);
+            cols_list.RemoveWhere(c => !schema_col_map.Contains(c));
+            return cols_list.ToArray();
+         };
+         if (null_or_empty(_join_spec.data_col_names)) {
+            _join_spec.data_col_names = dp.schema.columnNames;
+         }
+         _join_spec.data_col_names = remove_bad_cols(_join_spec.data_col_names);
+         if (null_or_empty(_join_spec.data_col_names)) {
+            _join_spec.data_col_names = dp.schema.columnNames;
+         }
+         if (null_or_empty(_join_spec.projected_col_names)) {
+            _join_spec.projected_col_names = _join_spec.data_col_names;
+         }
+      }
+
       public void init() {
          _join_spec.stream.onChange += _on_stream_cb;
       }
@@ -43,6 +77,7 @@ namespace BCG {
          Log.Gen.info($"NonIncJoinBookkeeper._on_stream_cb dp_obj: {dp_obj}");
          var timer = Stopwatch.StartNew();
          DataPacket dp = (DataPacket)dp_obj;
+         _fill_missing_data(dp);
          if (_schema == null) {
             _schema = dp.schema;
             _join_col_indices = BlueDataUtility.get_column_indices(_schema, _join_spec.join_col_names);

src/DataStreamSuite/DataStream/Primitives/Join/NonIncremental/NonIncJoinSpec.cs

@@ -7,11 +7,12 @@ using System.Threading.Tasks;
 using mbts;
 
 namespace BCG {
+   // this a collection of data, theres no joining logic in here
    public class NonIncJoinSpec {
       public ViewStream stream;
       // join col names are the names on which the streams are joined (for equality),
       // data col names are the names in the original stream
-      // projected col naes are their new names, ie if its x:l_x, then x is in the 
+      // projected col names are their new names, ie if its x:l_x, then x is in the 
       // data_col_names and l_x in projected cols
       public string[] join_col_names, data_col_names, projected_col_names;
 

src/DataStreamSuite/DataStream/Primitives/Misc/TimeSeriesStream.cs

@@ -1,9 +1,8 @@
-using Google.Protobuf.WellKnownTypes;
-
 using System;
-using BCG.Utilities.General;
 
-namespace BCG {
+using BCG;
+
+namespace bts.SilverPine {
    // Keeps adding changing rows to the stream, hence preserving the history
    // and creating a time series, for example this can be used to make bbo updates
    // into a time series of prices/qty 

src/DataStreamSuite/DataStream/Primitives/SQL/SQLite/SQLiteHelper.cs

@@ -9,161 +9,16 @@ using BCG;
 using System.Linq;
 using System.Data.Entity;
 using System.Collections.Generic;
+using System.Data.SQLite;
+
 
 namespace bts.SilverPine {
 
-   public class DataRowWrapperRow : IBlueRow {
-      private readonly DataRow _row;
-      private readonly IBlueTableSchema _schema;
-      private readonly int _id;
-      public DataRowWrapperRow(IBlueTableSchema schema, DataRow row, int id) {
-         _row = row;
-         _id = id;
-         _schema = schema;
-      }
-      public virtual IBlueTableSchema schema { get { return _schema; } }
-
-      public virtual object this[string col_name] {
-         get {
-            ColumnInfo ci = _schema[col_name];
-            return this[ci.colNo];
-         }
-      }
-      public virtual object this[int index] {
-         get {
-            if (_schema[index].colName == "id")
-               return _id;
-            return _row[index];
-         }
-      }
-
-      public virtual int Count { get { return _row.ItemArray.Length; } }
-
-      public virtual bool IsSynchronized { get { return false; } }
-
-      public virtual object SyncRoot { get { return this; } }
-
-      public virtual void CopyTo(Array array, int index) { _row.ItemArray.CopyTo(array, index); }
-
-      public virtual bool IsFixedSize { get { return true; } }
-
-      virtual public bool IsReadOnly { get { return true; } }
-
-      /// <summary>
-      /// The key can either be the string corrsponding to the column name or
-      /// the order of the column
-      /// </summary>
-      public virtual object this[object key] {
-         get {
-            if (key is string)
-               return this[(string)key];
-            else if (key is int)
-               return this[(int)key];
-            throw new BlueDataException("Wrong type while indexing the row");
-         }
-         set { throw new NotSupportedException("The IBlueRow is readonly"); }
-      }
-
-      public virtual ICollection Keys { get { return _schema.columnNames; } }
-
-      public virtual ICollection Values { get { return _row.ItemArray; } }
-
-      public virtual void Add(object key, object value) { throw new NotSupportedException("The IBlueRow is readonly"); }
-
-      public virtual void Clear() { throw new NotSupportedException("The IBlueRow is readonly"); }
-
-      public virtual bool Contains(object key) { return _schema[(string)key] != null; }
-
-      public IDictionaryEnumerator GetEnumerator() { return new BlueRowDictionaryEnumerator(this); }
-
-      IEnumerator IEnumerable.GetEnumerator() { return new BlueRowEnumerator(this); }
-
-      public virtual void Remove(object key) { throw new NotSupportedException("The IBlueRow is readonly"); }
-
-   }
-
-   public class DataTableWrapperTable : IBlueRowCollection {
-
-      public class DataTableWrapperTableEnumerator : IEnumerator {
-         private IEnumerator _enumerator;
-         private IBlueTableSchema _schema;
-         private int _id = 0;
-         public DataTableWrapperTableEnumerator(DataTable table) {
-            _enumerator = table.Rows.GetEnumerator();
-            _schema = BlueDataUtility.getSchema(table);
-
-         }
-         public object Current {
-            get {
-               DataRow r = _enumerator.Current as DataRow;
-               return new DataRowWrapperRow(_schema, r, _id);
-            }
-         }
-         public bool MoveNext() {
-            _id++;
-            return _enumerator.MoveNext();
-         }
-         public void Reset() {
-            _id = 0;
-            _enumerator.Reset();
-         }
-      }
-
-      private readonly DataTable _table;
-      private IBlueTableSchema _schema;
-      private IEnumerator _enumerator;
-
-      public DataTableWrapperTable(DataTable table) {
-         _table = table;
-         _schema = BlueDataUtility.getSchema(_table);
-         _enumerator = new DataTableWrapperTableEnumerator(table);
-      }
-      public virtual IBlueRow this[int id] {
-         get {
-            // its assumed the rows index == id
-            DataRow dr = _table.Rows[id];
-            return new DataRowWrapperRow(_schema, dr, id);
-         }
-         set {
-
-         }
-      }
-
-      public virtual IBlueTableSchema schema { get { return _schema; } }
-
-      public virtual bool containsID(int id) { return id < _table.Rows.Count; }
-
-      // private List<IBlueRow> _rows() {
-      //    List<IBlueRow> rv = new List<IBlueRow>();
-      //    int id = 0;
-      //    foreach (DataRow r in _table.Rows) {
-      //       rv.Add(new DataRowWrapperRow(r, id++));
-      //    }
-      //    return rv;
-      // }
-
-      public virtual IEnumerator GetEnumerator() {
-         // var rows = _rows();
-         // return rows.GetEnumerator();
-         return _enumerator;
-      }
-
-      public virtual bool IsSynchronized { get { return false; } }
-
-      public virtual object SyncRoot { get { return this; } }
-
-      public virtual void CopyTo(Array array, int index) {
-         Log.assert(false);
-         //_rows().CopyTo(array as IBlueRow[], index); 
-      }
-
-      public virtual int Count {
-         get { return _table.Rows.Count; }
-      }
-   }
-
    public static class SQLiteHelper {
-      public static DataTable ExecuteSelectQuery(string connection_string, string query) {
+      public static string location = "C:\\Users\\m_tah\\development\\data\\";
+      public static string db_name = "stream_data.db";
+
+      public static DataTable execute_select_query(string connection_string, string query) {
          // Create a new DataTable to store the results
          DataTable dataTable = new DataTable();
 
@@ -183,48 +38,85 @@ namespace bts.SilverPine {
                Console.WriteLine("An error occurred: " + ex.Message);
             }
          }
-
          // Return the populated DataTable
          return dataTable;
       }
-   }
 
-   [DataStreamUserRespresentation("SQLite")]
-   public class SQLiteStream : ViewStream {
-      private readonly string _connection_string, _query;
-      private Stopwatch _stopwatch = new Stopwatch();
-      public SQLiteStream(string connection_string, string query) {
-         _connection_string = connection_string;
-         _query = query;
+      public static List<Dictionary<string, object>> ExecuteBulkRead(string connectionString, string query) {
+         var result = new List<Dictionary<string, object>>();
+
+         using (var connection = new SQLiteConnection(connectionString)) {
+            connection.Open();
+
+            // Begin a transaction to optimize read speed
+            using (var transaction = connection.BeginTransaction())
+            using (var command = new SQLiteCommand(query, connection, transaction))
+            using (var reader = command.ExecuteReader()) {
+               while (reader.Read()) {
+                  var row = new Dictionary<string, object>();
+
+                  for (int i = 0; i < reader.FieldCount; i++) {
+                     string columnName = reader.GetName(i);
+                     object columnValue = reader.IsDBNull(i) ? null : reader.GetValue(i);
+                     row[columnName] = columnValue;
+                  }
+
+                  result.Add(row);
+               }
+
+               // Commit the transaction
+               transaction.Commit();
+            }
+         }
+
+         return result;
       }
 
+      public static List<Dictionary<string, object>> get_table(string connectionString, string query) {
+         var result = new List<Dictionary<string, object>>();
 
-      private void _read_from_sqlite_nd_fire() {
-         _stopwatch.Start();
-         DataTable dt = SQLiteHelper.ExecuteSelectQuery(_connection_string, _query);
-         _stopwatch.Stop();
-         Log.Gen.info($"SQLiteStream._read_from_sqlite_and_fire time to read db: {_stopwatch.ElapsedMilliseconds} msecs");
-         _stopwatch.Start();
-         IBlueRowCollection rows = BCG.BlueDataUtility.toIBlueRowCollection(dt);
-         //IBlueRowCollection rows = new DataTableWrapperTable(dt);
-         _stopwatch.Stop();
-         Log.Gen.info($"SQLiteStream._read_from_sqlite_and_fire time to load into IBlueRowCollection: {_stopwatch.ElapsedMilliseconds} msecs");
-         DataPacket dp = BlueDataUtility.build_dp_inc(rows, myLastValue as DataPacket);
-         myFireEvent(dp);
+         using (var connection = new SQLiteConnection(connectionString)) {
+            try {
+               connection.Open();
+
+               using (var command = new SQLiteCommand(query, connection))
+               using (var reader = command.ExecuteReader()) {
+                  while (reader.Read()) {
+                     var row = new Dictionary<string, object>();
+
+                     for (int i = 0; i < reader.FieldCount; i++) {
+                        string columnName = reader.GetName(i);
+                        object columnValue = reader.IsDBNull(i) ? null : reader.GetValue(i);
+                        row[columnName] = columnValue;
+                     }
+
+                     result.Add(row);
+                  }
+               }
+            } catch (Exception ex) {
+               Console.WriteLine("An error occurred: " + ex.Message);
+            }
+         }
+         return result;
       }
 
-      protected override void myOnFirstSubscriber() {
-         _read_from_sqlite_nd_fire();
+      public static IEnumerable<Dictionary<string, object>> get_table_2(string connectionString, string query) {
+         using (var connection = new SQLiteConnection(connectionString)) {
+            connection.Open();
+            using (var command = new SQLiteCommand(query, connection))
+            using (var reader = command.ExecuteReader()) {
+               while (reader.Read()) {
+                  var row = new Dictionary<string, object>();
+                  for (int i = 0; i < reader.FieldCount; i++) {
+                     string columnName = reader.GetName(i);
+                     object columnValue = reader.IsDBNull(i) ? null : reader.GetValue(i);
+                     row[columnName] = columnValue;
+                  }
+                  yield return row;
+               }
+            }
+         }
       }
-
-      protected override void myOnLastSubscriber() {
-         // this value will be cleared by the base class
-         // but in this particular stream this behaviour
-         // is not usefull since any new subscribers 
-         // would force the query to be recreated
-         //myLastDP = myLastValue;
-      }
-
    }
 }
 

src/DataStreamSuite/DataStream/Primitives/SQL/SQLite/SqliteStream.cs

@@ -0,0 +1,73 @@
+namespace bts.SilverPine {
+   using System;
+   using System.Data;
+   using System.Data.SQLite;
+   using System.Diagnostics;
+   using System.Collections;
+
+
+   using BCG;
+
+   [DataStreamUserRespresentation("SQLite")]
+   public class SQLiteStream : ViewStream {
+      private readonly string _connection_string, _query;
+      private Stopwatch _stopwatch = new Stopwatch();
+
+      private SQLiteStream(string connection_string, string query, bool noop) {
+         _connection_string = connection_string;
+         _query = query;
+      }
+
+      public SQLiteStream(string db_name, string query)
+      :
+      this($"Data Source={SQLiteHelper.location}{db_name};Version=3", query, true) { }
+
+      public SQLiteStream(string query)
+      :
+      this(SQLiteHelper.db_name, query) {
+      }
+
+
+      private void _read_from_sqlite_and_fire() {
+         _stopwatch.Start();
+         DataTable dt = SQLiteHelper.execute_select_query(_connection_string, _query);
+         _stopwatch.Stop();
+         Log.Gen.info($"SQLiteStream.ExecuteSelectQuery time to read db: {_stopwatch.ElapsedMilliseconds} msecs");
+         _stopwatch.Restart();
+         #region perf measures
+         // SQLiteHelper.get_table(_connection_string, _query);
+         // _stopwatch.Stop();
+         // Log.Gen.info($"SQLiteStream.get_table time to read db: {_stopwatch.ElapsedMilliseconds} msecs");
+         // _stopwatch.Restart();
+         // SQLiteHelper.ExecuteBulkRead(_connection_string, _query);
+         // _stopwatch.Stop();
+         // Log.Gen.info($"SQLiteStream.ExecuteBulkRead time to read db: {_stopwatch.ElapsedMilliseconds} msecs");
+         // _stopwatch.Restart();
+         // SQLiteHelper.get_table_2(_connection_string, _query);
+         // _stopwatch.Stop();
+         // Log.Gen.info($"SQLiteStream.get_table_2 time to read db: {_stopwatch.ElapsedMilliseconds} msecs");
+         // _stopwatch.Restart();
+         #endregion
+         IBlueRowCollection rows = BCG.BlueDataUtility.toIBlueRowCollection(dt);
+         //IBlueRowCollection rows = new DataTableWrapperTable(dt);
+         _stopwatch.Stop();
+         Log.Gen.info($"SQLiteStream._read_from_sqlite_and_fire time to load into IBlueRowCollection: {_stopwatch.ElapsedMilliseconds} msecs");
+         DataPacket dp = BlueDataUtility.build_dp_inc(rows, myLastValue as DataPacket);
+         myFireEvent(dp);
+      }
+
+      protected override void myOnFirstSubscriber() {
+         _read_from_sqlite_and_fire();
+      }
+
+      protected override void myOnLastSubscriber() {
+         // this value will be cleared by the base class
+         // but in this particular stream this behaviour
+         // is not usefull since any new subscribers 
+         // would force the query to be recreated
+         //myLastDP = myLastValue;
+      }
+
+   }
+
+}

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

@@ -80,7 +80,7 @@ namespace BCG {
 
       public IBlueRow map(IBlueRow row) {
          MutableBlueRow rv = new MutableBlueRow(getOutputSchema(row.schema), row);
-         rv.setValue(myConversionColName, mapDateTime(row[myConversionColName], myConversion));
+         rv.setValue(myConversionColName, mapDateTime(row.get_datetime(myConversionColName), myConversion));
          return rv;
          //return BlueDataUtility.getNewReplacedRow(row, mapDateTime(row[myConversionColName], myConversion), myConversionColName);
       }

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

@@ -4,15 +4,17 @@ 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) => {
             IBlueTableSchema rv = s.add_column(System.TypeCode.DateTime, $"{inp_col}_date");
             rv = rv.add_column(System.TypeCode.String, $"{inp_col}_day");
-            rv = rv.add_column(System.TypeCode.String, $"{inp_col}_month");
-            rv = rv.add_column(System.TypeCode.String, $"{inp_col}_hour");
-            rv = rv.add_column(System.TypeCode.String, $"{inp_col}_min");
+            rv = rv.add_column(System.TypeCode.Int32, $"{inp_col}_day_of_month");
+            rv = rv.add_column(System.TypeCode.Int32, $"{inp_col}_month");
+            rv = rv.add_column(System.TypeCode.Int32, $"{inp_col}_hour");
+            rv = rv.add_column(System.TypeCode.Int32, $"{inp_col}_min");
+            rv = rv.add_column(System.TypeCode.Int32, $"{inp_col}_seconds_of_day");
             return rv;
          };
          ViewStream rs = new MapStream(parent_stream,
@@ -22,10 +24,12 @@ namespace bts.SilverPine {
             IBlueTableSchema s = get_schema(r.schema);
             MutableBlueRow rv = new MutableBlueRow(s, r);
             rv.setValue($"{inp_col}_date", dt.Date);
-            rv.setValue($"{inp_col}_day", dt.DayOfWeek.ToString());
-            rv.setValue($"{inp_col}_month", dt.Date.Month.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;
          });
          mySetRealSource(rs);

src/DataStreamSuite/DataStream/Primitives/Timeseries/ColumnDifferenceStream.cs

@@ -39,7 +39,7 @@ namespace bts.SilverPine {
          mySetRealSource(rs);
       }
 
-      // for each row, does a row[new_ol_name] = row[col1] - rows[row_ffset][col2]
+      // for each row, does a row[new_col_name] = row[col1] - rows[row_ffset][col2]
       // we should generlize this for any math operation
       public ColumnDifferenceStream(ViewStream parent_stream, string sort_col_name, int row_offset, string col1, string col2, string diff_col_name, double optional_perc_diff_filter = 0.0) {
          // use GlobalMapStream
@@ -91,19 +91,32 @@ namespace bts.SilverPine {
          DataPacket dp = dp_obj as DataPacket;
          List<IBlueRow> rows = dp.newRows.to_list();
          var f1_rows = rows.Where(r => _f1(r));
-         Log.assert(f1_rows.Count() == 1);
+         //Log.assert(f1_rows.Count() == 1);
          var f2_rows = rows.Where(r => _f2(r));
-         Log.assert(f2_rows.Count() == 1);
-         IBlueRow f1_r = f1_rows.ElementAt(0);
-         IBlueRow f2_r = f2_rows.ElementAt(0);
-         double diff = f1_r.get<double>(_c1) - f2_r.get<double>(_c2);
-         IBlueTableSchema out_schema = f1_r.schema.add_columns(Tuple.Create(typeof(double), "diff"));
-         BlueTable out_table = new BlueTable(out_schema);
-         MutableBlueRow out_row = new MutableBlueRow(out_schema, f1_r);
-         out_row.setValue("diff", diff);
-         out_table.addRow(out_row);
-         DataPacket dp_out = BlueDataUtility.build_dp(out_table, myLastValue as DataPacket);
-         myFireEvent(dp_out);
+         //Log.assert(f2_rows.Count() == 1);
+         if (f1_rows != null && f1_rows.Count() > 0 && f2_rows != null && f2_rows.Count() > 0) {
+            IBlueRow f1_r = f1_rows.ElementAt(0);
+            IBlueRow f2_r = f2_rows.ElementAt(0);
+            double diff = f1_r.get<double>(_c1) - f2_r.get<double>(_c2);
+            IBlueTableSchema out_schema = f1_r.schema.add_columns(Tuple.Create(typeof(double), "diff"));
+            BlueTable out_table = new BlueTable(out_schema);
+            MutableBlueRow out_row = new MutableBlueRow(out_schema, f1_r);
+            out_row.setValue("diff", diff);
+            out_table.addRow(out_row);
+            DataPacket dp_out = BlueDataUtility.build_dp(out_table, myLastValue as DataPacket);
+            myFireEvent(dp_out);
+         } else {
+            IBlueRow f1_r = rows.ElementAt(0);
+            IBlueRow f2_r = rows.ElementAt(0);
+            double diff = Double.NaN;
+            IBlueTableSchema out_schema = f1_r.schema.add_columns(Tuple.Create(typeof(double), "diff"));
+            BlueTable out_table = new BlueTable(out_schema);
+            MutableBlueRow out_row = new MutableBlueRow(out_schema, f1_r);
+            out_row.setValue("diff", diff);
+            out_table.addRow(out_row);
+            DataPacket dp_out = BlueDataUtility.build_dp(out_table, myLastValue as DataPacket);
+            myFireEvent(dp_out);
+         }
 
       }
    }

src/DataStreamSuite/DataStreamCore/BlueData/BlueDataUtility.cs

@@ -18,6 +18,7 @@ using System.Text.Json.Nodes;
 using Newtonsoft.Json;
 using BCG;
 using System.Runtime.CompilerServices;
+using bts;
 
 namespace bts {
 
@@ -207,6 +208,10 @@ namespace BCG {
          return rv;
       }
 
+      public static bool contains_column(this IBlueTableSchema input_schema, string col) {
+         return input_schema.columnNames.Contains(col);
+      }
+
       public static IBlueTableSchema add_columns(this IBlueTableSchema input_schema, params Tuple<Type, string>[] cols) {
          List<ColumnInfo> cis = new List<ColumnInfo>(input_schema.columnInfo);
          foreach (Tuple<Type, string> c in cols)
@@ -1719,8 +1724,10 @@ namespace BCG {
 
       public static int[] get_column_indices(IBlueTableSchema schema, string[] col_names) {
          List<int> rv = new List<int>();
-         foreach (string c in col_names)
+         foreach (string c in col_names) {
+            Log.assert(schema.contains_column(c), $"Could not find col: {c} in table: {schema.tableName}");
             rv.Add(schema[c].colNo);
+         }
          return rv.ToArray();
       }
 
@@ -2207,23 +2214,53 @@ namespace BCG {
          try {
             if (v == null || v == DBNull.Value)
                return error_val;
-            else {
-               if (v is DateTime)
-                  return (DateTime)v;
-               else if (v is string) {
-                  DateTime rv_dt = error_val;
-                  DateTime.TryParse((string)v, out rv_dt);
+
+            if (v is DateTime) {
+               return (DateTime)v;
+            } else if (v is string) {
+               DateTime rv_dt;
+
+               // Try parsing the string as a DateTime
+               if (DateTime.TryParse((string)v,
+                                     System.Globalization.CultureInfo.InvariantCulture,
+                                     System.Globalization.DateTimeStyles.RoundtripKind,
+                                     out rv_dt)) {
                   return rv_dt;
                } else {
-                  double oa_date = (double)Convert.ChangeType(v, typeof(Double));
-                  return DateTime.FromOADate(oa_date);
+                  return error_val; // Return the error value if parsing fails
                }
+            } else {
+               // Assume the input can be converted to a double and use FromOADate
+               double oa_date = (double)Convert.ChangeType(v, typeof(Double));
+               return DateTime.FromOADate(oa_date);
             }
          } catch {
             return error_val;
          }
       }
 
+
+      // private static DateTime _get_datetime_value(object v, DateTime error_val) {
+      //    try {
+      //       if (v == null || v == DBNull.Value)
+      //          return error_val;
+      //       else {
+      //          if (v is DateTime)
+      //             return (DateTime)v;
+      //          else if (v is string) {
+      //             DateTime rv_dt = error_val;
+      //             DateTime.TryParse((string)v, out rv_dt);
+      //             return rv_dt;
+      //          } else {
+      //             double oa_date = (double)Convert.ChangeType(v, typeof(Double));
+      //             return DateTime.FromOADate(oa_date);
+      //          }
+      //       }
+      //    } catch {
+      //       return error_val;
+      //    }
+      // }
+
       #endregion
 
       #region CSV methods

src/DataStreamSuite/DataStreamCore/DynamicLoading/PrimitiveManager.cs

@@ -47,6 +47,11 @@ namespace BCG {
       /// </summary>
       /// <param name="assemblyName"></param>
       public void loadAssembly(string assemblyName) {
+         Func<Type, bool> is_silverpine_only = (t) => {
+            if (!assemblyName.Contains("SharedStreams.dll"))
+               return true;
+            return t.Namespace == "bts.SilverPine";
+         };
          bts.Log.Gen.info($"PrimitiveManager.loadAssembly assemblyName: {assemblyName}");
          if (myAssemblyNames.Contains(assemblyName))
             return;
@@ -56,7 +61,7 @@ namespace BCG {
             Assembly.LoadFrom(assemblyName);
 
          foreach (Type type in loadedAssembly.GetTypes())
-            if (!type.IsInterface
+            if (!type.IsInterface && is_silverpine_only(type)
                && !type.IsAbstract
                && type.IsSubclassOf(typeof(ViewStream))
                && type.IsPublic) {

src/DataStreamSuite/DataStreamQueryAnalyzer/Configurations/DataStreamQueryAnalyzer.json

@@ -1,60 +1,62 @@
-"user": "bts",
-"pubsub": {
-  "milliseconds_between_sub_info_updates": 1000,
-  "milliseconds_between_time_slice_updates": 5000,
-  "milliseconds_between_no_buffer_space_retries": 100,
-  "retries_on_no_buffer_space": 1,
-  "do_it_all_seconds_between_logs": 0,
-  "heartbeat_interval": 15000,
-  "missing_heartbeats_before_gc": 50,
-  "use_managed_sockets": true,
-  "state_update_period": 5000,
-  "statistics_update_period": 5000,
-  "disposed_connection_check_period": 1000,
-  "message_processing_warning_threshold": 1000,
-  "server_port": 12345,
-  "publisher_routes": [
-    {
-      "name": "default",
-      "server_address": "bts-cloud://192.168.1.80:12345",
-      "tag": ".*"
-    }
-  ],
-  "subscriber_routes": [
-    {
-      "name": "default",
-      "server_address": "bts-cloud://192.168.1.80:12345",
-      "tag": ".*"
-    }
-  ],
-  "max_packet_size": 500000000,
-  "blue_comm_must_die": true,
-  "crushable_tags": [],
-  "tag_type_to_assembly_map": [
-    {
-      "handler_class": "BCG.PubSubServerTagHandler",
-      "assembly": "DataStreamCore.dll"
-    }
-  ],
-  "server_queue": "PubSubQueue",
-  "port_range": {
-    "first": 30400,
-    "last": 31700
-  },
-  "bind_to_random_port": false,
-  "debug_tags": "^NOTAGS$",
-  "latency_report_threshold_ms": 1500,
-  "use_substations": false,
-  "use_dynamic_clients": false,
-  "is_substation": false,
-  "internally_publish_sub_info": true,
-  "use_managed_clients_in_native_code": false,
-  "compressed_tags": "^NOTAGS$",
-  "tags_to_report_compression_ratio": "^NOTAGS$",
-  "disable_msmq": false,
-  "use_prepublished_server_state": false,
-  "ip_translation": null,
-  "gc_activation_threshold": 0,
-  "wait_period_after_gc": 1000
-}
+{
+  "user": "bts",
+  "sparkd": "http://192.168.1.80:8000/config",
+  "pubsub": {
+    "milliseconds_between_sub_info_updates": 1000,
+    "milliseconds_between_time_slice_updates": 5000,
+    "milliseconds_between_no_buffer_space_retries": 100,
+    "retries_on_no_buffer_space": 1,
+    "do_it_all_seconds_between_logs": 0,
+    "heartbeat_interval": 15000,
+    "missing_heartbeats_before_gc": 50,
+    "use_managed_sockets": true,
+    "state_update_period": 5000,
+    "statistics_update_period": 5000,
+    "disposed_connection_check_period": 1000,
+    "message_processing_warning_threshold": 1000,
+    "server_port": 12345,
+    "publisher_routes": [
+      {
+        "name": "default",
+        "server_address": "bts-cloud://192.168.1.80:12345",
+        "tag": ".*"
+      }
+    ],
+    "subscriber_routes": [
+      {
+        "name": "default",
+        "server_address": "bts-cloud://192.168.1.80:12345",
+        "tag": ".*"
+      }
+    ],
+    "max_packet_size": 500000000,
+    "blue_comm_must_die": true,
+    "crushable_tags": [],
+    "tag_type_to_assembly_map": [
+      {
+        "handler_class": "BCG.PubSubServerTagHandler",
+        "assembly": "DataStreamCore.dll"
+      }
+    ],
+    "server_queue": "PubSubQueue",
+    "port_range": {
+      "first": 30400,
+      "last": 31700
+    },
+    "bind_to_random_port": false,
+    "debug_tags": "^NOTAGS$",
+    "latency_report_threshold_ms": 1500,
+    "use_substations": false,
+    "use_dynamic_clients": false,
+    "is_substation": false,
+    "internally_publish_sub_info": true,
+    "use_managed_clients_in_native_code": false,
+    "compressed_tags": "^NOTAGS$",
+    "tags_to_report_compression_ratio": "^NOTAGS$",
+    "disable_msmq": false,
+    "use_prepublished_server_state": false,
+    "ip_translation": null,
+    "gc_activation_threshold": 0,
+    "wait_period_after_gc": 1000
+  }
 }

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/ContractUtils.cs

@@ -9,8 +9,90 @@ namespace bts.SilverPine {
    using ZstdSharp.Unsafe;
 
    public static class ContractUtils {
+      public class FutureTradableContract {
+         public string symbol;
+         public DateTime expiration;
+         public Exchange exchange;
+         public string contract_text;
+      }
+      public class FutureSpreadContract {
+         public List<Tuple<double, bts.SilverPine.ContractUtils.FutureTradableContract>> legs;
+         public string symbol {
+            get {
+               return legs == null || legs.Count == 0 ? String.Empty : legs.ElementAt(0).Item2.symbol;
+            }
+         }
+         public string contract_text;
+      }
+      public class FutureContinousContract {
+         public string symbol;
+         public Exchange exchange;
+      }
+      // this is for all future conytracts belonging to a symbol
+      public class FutureWildcardContract {
+         public string symbol;
+         public Exchange exchange;
+      }
+      public class FutureContract {
+         public FutureWildcardContract wildcard_contract = null;
+         public FutureTradableContract future_tradable_contract = null;
+         public FutureSpreadContract spread_tradable_contract = null;
+         public FutureContinousContract continous_constract = null;
+
+         public FutureContract(string txt) {
+            wildcard_contract = parse_wildcard_contract(txt);
+            if (wildcard_contract != null)
+               return;
+            FutureTradableContract fc = parse_future_contract(txt);
+            if (fc != null) {
+               future_tradable_contract = fc;
+               return;
+            }
+            FutureSpreadContract sc = parse_future_spread_contract(txt);
+            if (sc != null) {
+               spread_tradable_contract = sc;
+               return;
+            }
+            // this is not totally true, since ParseFutureSpreadContract does not
+            // parse ICS spreads
+            continous_constract = new FutureContinousContract() { symbol = txt };
+         }
+         public bool is_continous_contract => continous_constract != null;
+         public string symbol() {
+            if (wildcard_contract != null)
+               return wildcard_contract.symbol;
+            if (continous_constract != null) {
+               return continous_constract.symbol;
+            } else if (future_tradable_contract != null) {
+               return future_tradable_contract.symbol;
+            } else if (spread_tradable_contract != null) {
+               return spread_tradable_contract.symbol;
+            }
+            Log.assert(false);
+            return String.Empty;
+         }
+         public string contract_text {
+            get {
+               if (future_tradable_contract != null)
+                  return future_tradable_contract.contract_text;
+               if (spread_tradable_contract != null)
+                  return spread_tradable_contract.contract_text;
+               return null;
+            }
+         }
+      }
       #region Parsing
-      public static FutureContract ParseFutureContract(string contract_txt, Exchange exchange = Exchange.CME) {
+      public static FutureWildcardContract parse_wildcard_contract(string contract_txt, Exchange exchange = Exchange.CME) {
+         if (contract_txt.EndsWith("*")) {
+            contract_txt = contract_txt.Replace("*", String.Empty);
+            return new FutureWildcardContract() {
+               symbol = contract_txt,
+               exchange = exchange
+            };
+         }
+         return null;
+      }
+      public static FutureTradableContract parse_future_contract(string contract_txt, Exchange exchange = Exchange.CME) {
          // Validate the future string length
          if (!contract_txt.All(c => Char.IsLetterOrDigit(c)))
             return null;
@@ -56,23 +138,24 @@ namespace bts.SilverPine {
 
          // Create the FutureContract instance and set its properties
          DateTime expiration = new DateTime(year, month, 1);
-         var futureContract = new FutureContract {
+         var futureContract = new FutureTradableContract {
             symbol = symbol,
             expiration = expiration,
-            exchange = exchange
+            exchange = exchange,
+            contract_text = contract_txt
          };
 
          return futureContract;
       }
       // Method to parse a futures spread, e.g. "CLX4-CLZ4"
-      public static FutureSpreadContract ParseFutureSpreadContract(string spreadString, Exchange exchange = Exchange.CME) {
+      public static FutureSpreadContract parse_future_spread_contract(string contract_txt, Exchange exchange = Exchange.CME) {
          // Split the string by '-' to handle each leg
-         var spreadParts = spreadString.Split('-');
+         var spreadParts = contract_txt.Split('-');
          if (spreadParts.Length < 2) {
             return null; // Not a valid spread format
          }
 
-         var spreadContract = new FutureSpreadContract { legs = new List<Tuple<double, FutureContract>>() };
+         var spreadContract = new FutureSpreadContract { legs = new List<Tuple<double, FutureTradableContract>>() };
 
          foreach (var part in spreadParts) {
             // Split each leg by '*', assuming the format is weight*future or just future
@@ -92,33 +175,32 @@ namespace bts.SilverPine {
             }
 
             // Parse the future contract
-            var futureContract = ParseFutureContract(futurePart, exchange);
+            var futureContract = parse_future_contract(futurePart, exchange);
             if (futureContract == null) {
                return null; // Failed to parse the future part
             }
 
             // Add the leg to the spread contract
-            spreadContract.legs.Add(new Tuple<double, FutureContract>(weight, futureContract));
+            spreadContract.legs.Add(new Tuple<double, FutureTradableContract>(weight, futureContract));
          }
-
          return spreadContract;
       }
 
-      public static ContractType DetermineFutureOrSpread(string contract) {
-         if (contract.Contains("-")) {
-            return ContractType.FutureSpread;
-         } else {
-            return ContractType.Future;
-         }
-      }
+      // public static ContractType DetermineFutureOrSpread(string contract) {
+      //    if (contract.Contains("-")) {
+      //       return ContractType.FutureSpread;
+      //    } else {
+      //       return ContractType.Future;
+      //    }
+      // }
       #endregion
 
       public static ContractType get_type(string contract_txt) {
-         FutureContract fc = ParseFutureContract(contract_txt);
+         FutureTradableContract fc = parse_future_contract(contract_txt);
          if (fc != null) {
             return ContractType.Future;
          }
-         FutureSpreadContract sc = ParseFutureSpreadContract(contract_txt);
+         FutureSpreadContract sc = parse_future_spread_contract(contract_txt);
          if (sc != null) {
             return ContractType.FutureSpread;
          }
@@ -133,11 +215,11 @@ namespace bts.SilverPine {
       }
 
       public static Tuple<ContractCategory, string> get_symbol_category(string symbol) {
-         ContractUtils.FutureContract fc = ParseFutureContract(symbol);
+         ContractUtils.FutureTradableContract fc = parse_future_contract(symbol);
          if (fc != null) {
             return Tuple.Create(ContractCategory.FutureString, fc.symbol);
          }
-         var sc = ParseFutureSpreadContract(symbol);
+         var sc = parse_future_spread_contract(symbol);
          if (sc != null) {
             return Tuple.Create(ContractCategory.FutureString, sc.symbol);
          }
@@ -165,18 +247,6 @@ namespace bts.SilverPine {
       public enum Exchange {
          CME
       }
-      public class FutureContract {
-         public string symbol;
-         public DateTime expiration;
-         public Exchange exchange;
-      }
-      public class FutureSpreadContract {
-         public List<Tuple<double, bts.SilverPine.ContractUtils.FutureContract>> legs;
-         public string symbol {
-            get {
-               return legs == null || legs.Count == 0 ? String.Empty : legs.ElementAt(0).Item2.symbol;
-            }
-         }
-      }
+
    }
 }

src/DataStreamSuite/SharedStreams/Business/MarketData/BBOStream.cs

@@ -1,35 +1,105 @@
-namespace BCG {
+namespace bts.SilverPine {
    using BCG.Utilities.General;
 
-   using bts.api;
-   using bts.api.domain;
-   using bts.api.synthetic;
    using bts.md;
-   using bts.spark;
-   using bts.utils;
-
-   using mbts;
-   using mbts.co2;
-   using mbts.config;
-   using mbts.spark;
-   using mbts.ui;
-
-   using Spark.Core.Data;
-   using Spark.Core.Disposables;
+   using BCG;
    using Spark.Core.Reactive;
 
    using System;
-   using System.Collections.Concurrent;
    using System.Collections.Generic;
-   using System.Collections.ObjectModel;
    using System.Linq;
    using System.Reactive.Linq;
    using bts.api.core;
    using Spark.Api.MarketData;
 
    using SecurityKey = System.UInt32;
-   using System.Data;
-   using System.Reflection.Metadata;
+   using System.Data.Entity.Infrastructure;
+
+   public class FakeBBOStream : ViewStream, IWorker {
+      private string _symbol;
+      public BlueTable _table = new BlueTable(BBOStream._bbo_schema);
+      private DateTime _last_fired_time = DateTime.MinValue;
+      private TimeSpan _period = TimeSpan.FromMilliseconds(333);
+      private double _start_price;
+      private double _inc;
+      private int _total_count = 5;
+      private Random _rnd = new Random(DateTime.Now.Millisecond);
+      private string[] _months = new string[]{
+         "F","G", "H", "J","K", "M", "N","Q","U","V","X","Z"
+      };
+      private ViewStreamDatabase _vsd;
+      public FakeBBOStream(string contract_type, string exchange, string symbol, double start_price, double inc)
+      :
+      this(contract_type, exchange, symbol, start_price, inc, ViewStreamDatabase.instance) { }
+
+      public FakeBBOStream(string contract_type, string exchange, string symbol, double start_price, double inc, ViewStreamDatabase vsd) {
+         _symbol = symbol;
+         _start_price = start_price;
+         _inc = inc;
+         _vsd = vsd;
+         Log.assert(contract_type.ToLower() == "future");
+      }
+
+      protected override void myOnFirstSubscriber() {
+         _vsd.addWorker(this);
+      }
+
+      protected override void myOnLastSubscriber() {
+         _vsd.removeWorker(this);
+      }
+
+      private bool _random_truefase() {
+         int r = _rnd.Next(0, 100);
+         return r % 2 == 0;
+      }
+
+      private IBlueRow _perturb_row(IBlueRow er) {
+         MutableBlueRow rv = new MutableBlueRow(er);
+         double bid_price = rv.get<double>("bid_price");
+         bid_price += _inc;
+         double ask_price = bid_price + _inc;
+         rv.setValue("bid_price", bid_price);
+         rv.setValue("ask_price", ask_price);
+         return rv;
+      }
+
+      public void doWork() {
+         if (DateTime.Now - _last_fired_time < _period)
+            return;
+         _last_fired_time = DateTime.Now;
+         if (_table.Count == 0) {
+            // first fire_symbol
+            string year_code = DateTime.Now.Year.ToString().Last().ToString();
+            for (int i = 0; i < _total_count; i++) {
+               string month_code = _months[i % _months.Length];
+               string sec = $"{_symbol}{month_code}{year_code}";
+               double bid_price = _start_price + _rnd.Next(-10, 10) * _inc;
+               double ask_price = bid_price + _inc;
+               BlueRow nr = new BlueRow(_table.schema, _table.Count, _table.Count, sec,
+                                       bid_price, _rnd.Next(1, 10),
+                                       ask_price, _rnd.Next(1, 10));
+               _table.addRow(nr);
+               var dp = BlueDataUtility.build_dp(new BlueTable(_table), myLastValue as DataPacket);
+               myFireEvent(dp);
+            }
+         } else {
+            BlueTable deleted_rows = new BlueTable(_table.schema);
+            BlueTable added_rows = new BlueTable(_table.schema);
+            // go through all rows, select some at random, add them to deleted, get
+            // the replaced one and add it to added, updates table state and fire
+            for (int i = 0; i < _table.Count; i++) {
+               if (_random_truefase()) {
+                  IBlueRow er = _table[i];
+                  IBlueRow nr = _perturb_row(er);
+                  _table.deleteRow(er);
+                  _table.addRow(nr);
+               }
+            }
+            var dp = BlueDataUtility.build_dp_inc(new BlueTable(_table), myLastValue as DataPacket, true);
+            myFireEvent(dp);
+         }
+      }
+   }
 
    [DataStreamUserRespresentation("bbo")]
    public class BBOStream : ViewStream, IWorker {
@@ -39,7 +109,7 @@ namespace BCG {
       private int _id = 0;
       IReadOnlyDictionary<SecurityKey, BookTuple> _cached_state = null;
       MarketDataClient _md_client;
-      private readonly IBlueTableSchema _bbo_schema = BlueDataUtility.form_schema("bbo",
+      internal static IBlueTableSchema _bbo_schema = BlueDataUtility.form_schema("bbo",
                                                 Tuple.Create("id", TypeCode.Int32),
                                                 Tuple.Create("sec_key", TypeCode.UInt32),
                                                 Tuple.Create("sec", TypeCode.String),
@@ -54,9 +124,11 @@ namespace BCG {
       }
 
       public BBOStream(ViewStreamDatabase vsd) {
-         bts.Log.Gen.info("BBOStream.cons");
-         _vsd = vsd;
-         _md_client = new MarketDataClient(new MDSource(TimeSpan.FromSeconds(0.5)));
+         // bts.Log.Gen.info("BBOStream.cons");
+         // _vsd = vsd;
+         // _md_client = new MarketDataClient(new MDSource(TimeSpan.FromSeconds(0.5)));
+         FakeBBOStream rs = new FakeBBOStream("Future", "CME", "ES", 5000, 0.25, vsd);
+         mySetRealSource(rs);
       }
 
       protected override void myOnFirstSubscriber() {

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

@@ -0,0 +1,249 @@
+namespace bts.SilverPine {
+   using BCG;
+
+   using System.Runtime.CompilerServices;
+
+   using ZstdSharp.Unsafe;
+
+   public class DateTimeRange {
+      public readonly DateTime range_beg;
+      public readonly DateTime range_end;
+      public DateTimeRange(DateTime range_beg_, DateTime range_end_) {
+         range_beg = range_beg_;
+         range_end = range_end_;
+      }
+      public static DateTimeRange parse(string range_beg_, string range_end_) {
+         DateTime range_beg = String.IsNullOrEmpty(range_beg_) ? DateTime.MinValue : DateTime.Parse(range_beg_);
+         DateTime range_end = String.IsNullOrEmpty(range_end_) ? DateTime.MaxValue : DateTime.Parse(range_end_);
+         return new DateTimeRange(range_beg, range_end);
+      }
+   }
+
+   public class FutureBarsLoader {
+      public static string get_db_table_name(BarSize bar_size, string symbol, bool is_continous) {
+         switch (bar_size) {
+            case BarSize.ONE_DAY: {
+                  if (is_continous) {
+                     return $"bars_future_{symbol}_continous_1day";
+                  } else
+                     return $"bars_future_{symbol}_all_1day";
+               }
+            case BarSize.ONE_MIN: {
+                  if (is_continous) {
+                     return $"bars_future_{symbol}_continous_1min";
+                  } else
+                     return $"bars_future_{symbol}_all_1min";
+               }
+         }
+         Log.assert(false);
+         return null;
+      }
+   }
+   public enum BarSize {
+      ONE_DAY = 0,
+      ONE_MIN
+   }
+
+   [DataStreamUserRespresentation("FuturesHistorical1DayBars")]
+   public class FuturesHistorical1DayBarsStream : ViewStream {
+
+      // this gets the raw bars for a symbol (perhaps make it into a raw bars stream?)
+      public FuturesHistorical1DayBarsStream(string symbol) :
+      this(symbol, DateTime.MinValue, DateTime.MaxValue) { }
+
+      // creates the non raw stream (ie for tradable contract, or continous contract)
+      public FuturesHistorical1DayBarsStream(string future_contract, DateTime range_beg, DateTime range_end)
+     : this(new ContractUtils.FutureContract(future_contract), new DateTimeRange(range_beg, range_end)) { }
+
+      // this creates a tradable contracts bars  streams or continous contracts stream. if get_all_rows is true, 
+      // it gets the raw table with all contracts for that symbol
+      public FuturesHistorical1DayBarsStream(ContractUtils.FutureContract future_contract,
+                                             DateTimeRange dt_range) {
+         DateTime beg = dt_range.range_beg;//.ToUniversalTime(),
+         DateTime end = dt_range.range_end;//.ToUniversalTime();
+         beg = beg.Date;
+         end = end.Date.Add(new TimeSpan(23, 59, 59));
+         // this returns rows from beg and end inclusive
+         Func<string, SQLiteStream> get_sqlite_str = (table_name) => {
+            string range_beg_iso8601 = beg.ToString("yyyy-MM-ddTHH:mm:ss"),
+               range_end_iso8601 = end.ToString("yyyy-MM-ddTHH:mm:ss");
+            string sql_str = $"select * from {table_name} where ts_event >= '{range_beg_iso8601}' AND ts_event <= '{range_end_iso8601}'";
+            return new SQLiteStream(SQLiteHelper.db_name, sql_str);
+         };
+         string symbol = future_contract.symbol();
+         if (future_contract.wildcard_contract != null) {
+            string table_name = FutureBarsLoader.get_db_table_name(BarSize.ONE_DAY, future_contract.symbol(), false);
+            ViewStream rs = get_sqlite_str(table_name);
+            //rs = new DateStandardizationStream(rs, "ts_event", DateConversion.ChopTime);
+            mySetRealSource(rs);
+            return;
+         }
+         if (future_contract.wildcard_contract != null) {
+            string table_name = FutureBarsLoader.get_db_table_name(BarSize.ONE_DAY, future_contract.symbol(), false);
+            ViewStream rs = get_sqlite_str(table_name);
+            //rs = new DateStandardizationStream(rs, "ts_event", DateConversion.ChopTime);
+            mySetRealSource(rs);
+            return;
+         }
+         if (future_contract.is_continous_contract) {
+            string table_name = FutureBarsLoader.get_db_table_name(BarSize.ONE_DAY, symbol, true);
+            ViewStream rs = get_sqlite_str(table_name);
+            //rs = new DateStandardizationStream(rs, "ts_event", DateConversion.ChopTime);
+            mySetRealSource(rs);
+            return;
+         } else {
+            string table_name = FutureBarsLoader.get_db_table_name(BarSize.ONE_DAY, future_contract.symbol(), false);
+            ViewStream rs = get_sqlite_str(table_name);
+            //rs = new DateStandardizationStream(rs, "ts_event", DateConversion.ChopTime);
+            //TODO: filter it 
+            rs = new FilterStream(rs, $"symbol = '{future_contract.contract_text}'");
+            mySetRealSource(rs);
+         }
+      }
+   }
+
+   [DataStreamUserRespresentation("FuturesHistorical1MinBars")]
+   public class FuturesHistorical1MinuteBarsStream : ViewStream {
+      // same as the above but for one min
+      // this gets the raw bars for a symbol
+      public FuturesHistorical1MinuteBarsStream(string symbol) :
+      this(symbol, DateTime.MinValue, DateTime.MaxValue) { }
+
+      // creates the non raw stream (ie for tradable contract, or continous contract)
+      public FuturesHistorical1MinuteBarsStream(string future_contract, DateTime range_beg, DateTime range_end)
+     : this(new ContractUtils.FutureContract(future_contract), new DateTimeRange(range_beg, range_end)) { }
+
+      // this creates a tradable contracts bars  streams or continous contracts stream. if get_all_rows is true, 
+      // it gets the raw table with all contracts for that symbol
+      public FuturesHistorical1MinuteBarsStream(ContractUtils.FutureContract future_contract,
+                                             DateTimeRange dt_range) {
+         Func<string, SQLiteStream> get_sqlite_str = (table_name) => {
+            string range_beg_iso8601 = dt_range.range_beg.ToString("yyyy-MM-ddTHH:mm:ss"),
+               range_end_iso8601 = dt_range.range_end.ToString("yyyy-MM-ddTHH:mm:ss");
+            //string sql_str = $"select * from {table_name} where DATE(ts_event) >= '{range_beg_iso8601}' AND DATE(ts_event) <= '{range_end_iso8601}'";
+            string sql_str = $"select * from {table_name} where ts_event >= '{range_beg_iso8601}' AND ts_event <= '{range_end_iso8601}'";
+            return new SQLiteStream(SQLiteHelper.db_name, sql_str);
+         };
+         string symbol = future_contract.symbol();
+         if (future_contract.wildcard_contract != null) {
+            string table_name = FutureBarsLoader.get_db_table_name(BarSize.ONE_MIN, future_contract.symbol(), false);
+            ViewStream rs = get_sqlite_str(table_name);
+            mySetRealSource(rs);
+            return;
+         }
+         if (future_contract.is_continous_contract) {
+            string table_name = FutureBarsLoader.get_db_table_name(BarSize.ONE_MIN, symbol, true);
+            ViewStream rs = get_sqlite_str(table_name);
+            mySetRealSource(rs);
+            return;
+         } else {
+            string table_name = FutureBarsLoader.get_db_table_name(BarSize.ONE_MIN, future_contract.symbol(), false);
+            ViewStream rs = get_sqlite_str(table_name);
+            // TODO: filter
+            rs = new FilterStream(rs, $"symbol = '{future_contract.contract_text}'");
+            mySetRealSource(rs);
+         }
+      }
+   }
+
+   [DataStreamUserRespresentation("FutureHistoricalBars")]
+   public class FutureHistoricalBarsStream : ViewStream {
+      public FutureHistoricalBarsStream(string fut_contract, string range_beg, string range_end) {
+         DateTime dt_range_beg = DateTime.Parse(range_beg);
+         DateTime dt_range_end = DateTime.Parse(range_end);
+         TimeSpan diff = dt_range_end - dt_range_beg;
+         BarSize bar_size = diff < TimeSpan.FromDays(1.0) ? BarSize.ONE_MIN : BarSize.ONE_DAY;
+         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)
+                                        :
+      this(new ContractUtils.FutureContract(fut_contract), Enum.Parse<BarSize>(bar_size, true),
+         new DateTimeRange(dt_range_beg, dt_range_end)) { }
+
+      public FutureHistoricalBarsStream(ContractUtils.FutureContract fut_contract, BarSize bar_size,
+                                        DateTimeRange dt_range) {
+         switch (bar_size) {
+            case BarSize.ONE_DAY: {
+                  ViewStream rs = new FuturesHistorical1DayBarsStream(fut_contract, dt_range);
+                  mySetRealSource(rs);
+                  break;
+               }
+            case BarSize.ONE_MIN: {
+                  ViewStream rs = new FuturesHistorical1MinuteBarsStream(fut_contract, dt_range);
+                  mySetRealSource(rs);
+                  break;
+               }
+         }
+      }
+   }
+
+   [DataStreamUserRespresentation("FuturePriceDiff")]
+   public class FutureHistoricalBarsPriceDiffStream : ViewStream {
+
+      public FutureHistoricalBarsPriceDiffStream(string future_contract, string dt1, string dt2)
+      :
+      this(new ContractUtils.FutureContract(future_contract), DateTime.Parse(dt1), DateTime.Parse(dt2), "close", ViewStreamDatabase.instance) {
+      }
+
+
+      public FutureHistoricalBarsPriceDiffStream(string future_contract, DateTime dt1, DateTime dt2)
+      :
+      this(new ContractUtils.FutureContract(future_contract), dt1, dt2, "close", ViewStreamDatabase.instance) {
+      }
+
+      public FutureHistoricalBarsPriceDiffStream(string future_contract, DateTime dt1, DateTime dt2, string col)
+      :
+      this(new ContractUtils.FutureContract(future_contract), dt1, dt2, col, ViewStreamDatabase.instance) {
+      }
+
+
+      public FutureHistoricalBarsPriceDiffStream(ContractUtils.FutureContract fc, DateTime dt1, DateTime dt2, string col, ViewStreamDatabase vsd) {
+         BarSize bsize = dt2 - dt1 >= TimeSpan.FromDays(1.0) ? BarSize.ONE_DAY : BarSize.ONE_MIN;
+         ViewStream rs = new FutureHistoricalBarsStream(fc, BarSize.ONE_DAY, new DateTimeRange(dt1, dt2));
+
+         rs = new ColumnDifferenceStream(rs, r => {
+            DateTime r_dt = r.get_datetime("ts_event");
+            var rv = dt1.Equals(r_dt);
+            return rv;
+         },
+         //r => dt2.Equals(r.get_datetime("ts_event")), col, col);
+         r => {
+            DateTime r_dt = r.get_datetime("ts_event");
+            var rv = dt2.Equals(r_dt);
+            return rv;
+         }, col, col);
+         rs = new NewProjectStream(rs, "diff !");
+         mySetRealSource(rs);
+      }
+   }
+
+   // takes the contract name and expands it into multuiple columns corresponding to the contracts.
+   // the contract columns are a union, of all properties with some of them empty
+   public class ContractExpanderStream : ViewStream {
+      private static IBlueTableSchema map_schema(IBlueTableSchema schema) {
+         return schema.add_column(TypeCode.String, "contract_type");
+      }
+      public ContractExpanderStream(ViewStream parent_str, string contract_col_name) {
+         ViewStream rs = new MapStream(parent_str, (schema) => map_schema(schema),
+         r => {
+            string contract = r.get<string>(contract_col_name);
+            var ct = ContractUtils.get_type(contract);
+            MutableBlueRow rv = new MutableBlueRow(map_schema(r.schema), r);
+            rv.setValue("contract_type", ct.ToString());
+            return rv;
+         });
+         mySetRealSource(rs);
+      }
+   }
+
+}

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

@@ -0,0 +1,46 @@
+using BCG;
+
+namespace bts.SilverPine {
+   /*
+      ----------------------------------------------------------------------
+                                  *Expression*
+      ----------------------------------------------------------------------
+          //r=FutureHistoricalBars("ES*", "02/01/2024 09:30 AM", "02/01/2024 09:30 PM")
+          r=FutureHistoricalBars("ES*","One_Day", 02/01/2024, 02/01/2025)
+          r=contractExpander(r,"symbol")
+          r=filter(r,"contract_type='FutureSpread'")
+          r=aggregate(r,"symbol","volume:Sum","ts_event")
+          r=aggregate(r,"volume_sum:Max")
+          r=newProject(r,"volume_sum_max:volume symbol !")
+
+      ----------------------------------------------------------------------
+                                    *Schema*
+      ----------------------------------------------------------------------
+          symbol                          System.String
+          id                              System.Int32
+          volume                          System.Double
+   */
+
+   [DataStreamUserRespresentation("VolumeAgg")]
+   public class VolumeAggregationStream : ViewStream {
+      public VolumeAggregationStream(string future_contract, string contract_type, DateTime range_beg, DateTime range_end)
+      : this(future_contract, contract_type, range_beg, range_end, ViewStreamDatabase.instance) { }
+
+      public VolumeAggregationStream(string future_contract, string contract_type, string range_beg, string range_end)
+      :
+      this(future_contract, contract_type, DateTime.Parse(range_beg), DateTime.Parse(range_end), ViewStreamDatabase.instance) { }
+
+      public VolumeAggregationStream(string future_contract, string contract_type, DateTime range_beg, DateTime range_end, ViewStreamDatabase db) {
+         future_contract = future_contract.EndsWith("*") ? future_contract : future_contract + "*";
+         ViewStream r;
+         r = new FutureHistoricalBarsStream(future_contract,
+                                             range_beg.ToString(), range_end.ToString());
+         r = new ContractExpanderStream(r, "symbol");
+         r = new FilterStream(r, $"contract_type='{contract_type}'");
+         r = new NonIncGroupByStream(r, "symbol", "volume:Sum", "ts_event");
+         r = new NonIncGroupByStream(r, "volume_sum:Max");
+         r = new NewProjectStream(r, "volume_sum_max:volume symbol !");
+         mySetRealSource(r);
+      }
+   }
+}

src/DataStreamSuite/SharedStreams/Business/MarketData/Charting/VWAPStream.cs

@@ -1,68 +1,117 @@
+// namespace bts.SilverPine {
+//    using bts;
+//    using BCG;
+//    using MongoDB.Driver.Linq;
+//    using System.ComponentModel.DataAnnotations;
+//    using ZstdSharp.Unsafe;
+
+//    [DataStreamUserRespresentation("VWAP")]
+//    public class VWAPStream : ViewStream {
+//       // returns the VWAP stream for each contract 
+//       private static ViewStream build_vwap_stream(string symbol, DateTime begin_dt, DateTime end_dt) {
+//          var ohlcv_params = OHLCVStream.get_params(begin_dt, end_dt);
+//          ViewStream ohlc_str = new OHLCVStream(symbol, ohlcv_params);
+//          // stream is grouped per contract and then vwap is calculated per contract
+//          GlobalMapStream rs = new GlobalMapStream(ohlc_str, "ts_event", "contract",
+//          (rows, idx) => {
+//             Log.Gen.info($"VWAPStream.GlobalMapStream delegate n_rows: {rows.Count} idx: {idx}");
+//             IBlueRow ir = rows.ElementAt((int)idx);
+//             var sel_rows = rows.Skip((int)idx).Where(r => r.get_datetime("ts_event") >= end_dt && r.get_datetime("ts_event") <= begin_dt);
+//             var volumeprices = sel_rows.Select(r => Tuple.Create(r.get<int>("volume"), r.get<double>("close"))).ToList();
+//             double vwap = IndicatorCalc.calculate_VWAP(volumeprices);
+//             IBlueTableSchema schema = ir.schema.add_columns(Tuple.Create(typeof(double), "vwap"));
+//             MutableBlueRow nr = new MutableBlueRow(schema, ir);
+//             //vwap = -313.987;
+//             nr.setValue("vwap", vwap);
+//             return nr;
+//          });
+//          return rs;
+//       }
+//       // the args want dt1 > dt2, if its nto we, swap them
+//       static void swap_if_necessary(ref DateTime dt1, ref DateTime dt2) {
+//          if (dt1 < dt2) {
+//             DateTime aux = dt1;
+//             dt1 = dt2;
+//             dt2 = aux;
+//          }
+//       }
+
+//       // this assumes the ohlc_str has diff contracts
+//       public VWAPStream(string symbol_or_contract, DateTime begin_dt, DateTime end_dt) {
+//          swap_if_necessary(ref begin_dt, ref end_dt);
+//          Tuple<ContractUtils.ContractCategory, string> ccat_sym_contr = ContractUtils.get_symbol_category(symbol_or_contract);
+//          string symbol = String.Empty;
+//          symbol = ccat_sym_contr.Item2;
+//          var ohlcv_params = OHLCVStream.get_params(begin_dt, end_dt);
+//          ViewStream vwap_str = build_vwap_stream(symbol, begin_dt, end_dt);
+//          // vwap_str now has vwap for all contracts. if the arg was a symbol, we need to filter it for the active contract,
+//          // whihc we do with FutureActivesContractStream. If the arg was a contract we'll simply filter it
+//          ViewStream rs = vwap_str;
+//          switch (ccat_sym_contr.Item1) {
+//             case ContractUtils.ContractCategory.FutureString:
+//             case ContractUtils.ContractCategory.SpreadString:
+//                rs = new FilterStream(vwap_str, r => r.get<string>("contract").CompareTo(ccat_sym_contr.Item2) == 0);
+//                break;
+//             case ContractUtils.ContractCategory.Symbol:
+//                rs = new FuturesActiveContractStream(vwap_str);
+//                break;
+//          }
+//          rs = new FilterStream(rs, r => r.get_datetime("ts_event").CompareTo(begin_dt) == 0);
+//          rs = new NewProjectStream(rs, "! vwap");
+//          mySetRealSource(rs);
+//       }
+
+//       public VWAPStream(string symbol_or_contract, string begin_dt, string end_dt)
+//       :
+//       this(symbol_or_contract, DateTime.Parse(begin_dt), DateTime.Parse(end_dt)) { }
+//    }
+// }
+
+using System;
+
+using BCG;
+
+using bts.api;
+
 namespace bts.SilverPine {
-   using bts;
-   using BCG;
-   using MongoDB.Driver.Linq;
-   using System.ComponentModel.DataAnnotations;
-   using ZstdSharp.Unsafe;
+   /*
+      ----------------------------------------------------------------------
+                                  *Expression*
+      ----------------------------------------------------------------------
+          //nl("Find Settlement price of the SP500 future in the first week of 2023.")
+
+          r=FutureHistoricalBars("ES", "One_Day", "1/1/2024", "2/1/2024")
+          r=math(r, "vprice = volume * close")
+          r=aggregate(r, "vprice:Sum, volume:Sum")
+          r=math(r, "vwap = vprice_sum / volume_sum")
+          r=newProject(r, "vwap !")
+
+      ----------------------------------------------------------------------
+                                    *Schema*
+      ----------------------------------------------------------------------
+          id                              System.Int32
+          vwap                            System.Double
+   */
 
    [DataStreamUserRespresentation("VWAP")]
    public class VWAPStream : ViewStream {
-      // returns the VWAP stream for each contract 
-      private static ViewStream build_vwap_stream(string symbol, DateTime begin_dt, DateTime end_dt) {
-         var ohlcv_params = OHLCVStream.get_params(begin_dt, end_dt);
-         ViewStream ohlc_str = new OHLCVStream(symbol, ohlcv_params);
-         // stream is grouped per contract and then vwap is calculated per contract
-         GlobalMapStream rs = new GlobalMapStream(ohlc_str, "ts_event", "contract",
-         (rows, idx) => {
-            Log.Gen.info($"VWAPStream.GlobalMapStream delegate n_rows: {rows.Count} idx: {idx}");
-            IBlueRow ir = rows.ElementAt((int)idx);
-            var sel_rows = rows.Skip((int)idx).Where(r => r.get_datetime("ts_event") >= end_dt && r.get_datetime("ts_event") <= begin_dt);
-            var volumeprices = sel_rows.Select(r => Tuple.Create(r.get<int>("volume"), r.get<double>("close"))).ToList();
-            double vwap = IndicatorCalc.calculate_VWAP(volumeprices);
-            IBlueTableSchema schema = ir.schema.add_columns(Tuple.Create(typeof(double), "vwap"));
-            MutableBlueRow nr = new MutableBlueRow(schema, ir);
-            //vwap = -313.987;
-            nr.setValue("vwap", vwap);
-            return nr;
-         });
-         return rs;
-      }
-      // the args want dt1 > dt2, if its nto we, swap them
-      static void swap_if_necessary(ref DateTime dt1, ref DateTime dt2) {
-         if (dt1 < dt2) {
-            DateTime aux = dt1;
-            dt1 = dt2;
-            dt2 = aux;
-         }
-      }
-
-      // this assumes the ohlc_str has diff contracts
-      public VWAPStream(string symbol_or_contract, DateTime begin_dt, DateTime end_dt) {
-         swap_if_necessary(ref begin_dt, ref end_dt);
-         Tuple<ContractUtils.ContractCategory, string> ccat_sym_contr = ContractUtils.get_symbol_category(symbol_or_contract);
-         string symbol = String.Empty;
-         symbol = ccat_sym_contr.Item2;
-         var ohlcv_params = OHLCVStream.get_params(begin_dt, end_dt);
-         ViewStream vwap_str = build_vwap_stream(symbol, begin_dt, end_dt);
-         // vwap_str now has vwap for all contracts. if the arg was a symbol, we need to filter it for the active contract,
-         // whihc we do with FutureActivesContractStream. If the arg was a contract we'll simply filter it
-         ViewStream rs = vwap_str;
-         switch (ccat_sym_contr.Item1) {
-            case ContractUtils.ContractCategory.FutureString:
-            case ContractUtils.ContractCategory.SpreadString:
-               rs = new FilterStream(vwap_str, r => r.get<string>("contract").CompareTo(ccat_sym_contr.Item2) == 0);
-               break;
-            case ContractUtils.ContractCategory.Symbol:
-               rs = new FuturesActiveContractStream(vwap_str);
-               break;
-         }
-         rs = new FilterStream(rs, r => r.get_datetime("ts_event").CompareTo(begin_dt) == 0);
-         rs = new NewProjectStream(rs, "! vwap");
-         mySetRealSource(rs);
-      }
-
-      public VWAPStream(string symbol_or_contract, string begin_dt, string end_dt)
+      public VWAPStream(string symbol_or_contract, DateTime beg_dt, DateTime end_dt)
       :
-      this(symbol_or_contract, DateTime.Parse(begin_dt), DateTime.Parse(end_dt)) { }
+      this(symbol_or_contract, beg_dt, end_dt, ViewStreamDatabase.instance) { }
+
+      public VWAPStream(string symbol_or_contract, DateTime beg_dt, DateTime end_dt, ViewStreamDatabase db) {
+         var fc = new ContractUtils.FutureContract(symbol_or_contract);
+         ViewStream r = new FutureHistoricalBarsStream(fc, BarSize.ONE_DAY, new DateTimeRange(beg_dt, end_dt));
+
+         r = new MathStream(r,
+                 "vprice = volume * close");
+         r = new NonIncGroupByStream(r,
+                                      "vprice:Sum, volume:Sum");
+         r = new MathStream(r,
+                             "vwap = vprice_sum / volume_sum");
+         r = new NewProjectStream(r,
+                                   "vwap !");
+         mySetRealSource(r);
+      }
    }
-}
+}

src/DataStreamSuite/SharedStreams/Business/MarketData/FuturesActiveContractStream.cs

@@ -75,4 +75,36 @@ namespace bts.SilverPine {
          mySetRealSource(rs);
       }
    }
+}
+
+
+namespace bts.SilverPine {
+   using BCG;
+
+   using bts.api;
+
+   using Newtonsoft.Json.Serialization;
+
+   [DataStreamUserRespresentation("FuturesContinousContract")]
+   public class FuturesContinousContractStream : ViewStream {
+      // the argument is symbol, like "ES" etc and not the contract itself
+      public FuturesContinousContractStream(string symbol) : this(symbol, ViewStreamDatabase.instance) { }
+      public FuturesContinousContractStream(string symbol, ViewStreamDatabase db) {
+         ViewStream r = new FuturesHistorical1DayBarsStream(symbol);
+         // filtering for futures only
+         r = new FilterStream(r, r => {
+            string contract = r.get<string>("symbol");
+            var fc = new ContractUtils.FutureContract(contract);
+            return fc.future_tradable_contract != null;
+         });
+         r = new NonIncGroupByStream(r,
+                                      "ts_event",
+                                      "volume:Max");
+         r = new NewProjectStream(r,
+                                   "ts_event symbol !");
+         r = new SortStream(r,
+                             "-ts_event");
+         mySetRealSource(r);
+      }
+   }
 }

src/DataStreamSuite/SharedStreams/Business/MarketData/OHLCVStream.cs

@@ -2,6 +2,93 @@ namespace bts.SilverPine {
    using bts;
    using BCG;
    using MongoDB.Driver;
+
+   // OHLCV request breakdown
+   // symbol_or_contract (if symbol, get continous, otherwise get raw and filter it)
+   // bar_size (one min, one day)
+   // live/historic
+   // time range
+
+   // internal code oranization only
+   public class OHLCV_1min_stream : ViewStream {
+
+      public OHLCV_1min_stream(string symbol_or_contract, string range_beg, string range_end) :
+      this(symbol_or_contract, DateTime.Parse(range_beg), DateTime.Parse(range_end)) { }
+
+      public OHLCV_1min_stream(string symbol_or_contract, DateTime range_beg, DateTime range_end) {
+         Func<string, bool, SQLiteStream> get_sqlite_str = (symbol, is_continous_contracts) => {
+            string table_name = is_continous_contracts ? $"ohlcv_1min_{symbol}_continous" : $"{symbol}_ohlcv_1min";
+            string db_str = $"Data Source={SQLiteHelper.location}{SQLiteHelper.db_name};Version=3";
+            string range_beg_iso8601 = range_beg.ToString("yyyy-MM-ddTHH:mm:ss"),
+               range_end_iso8601 = range_end.ToString("yyyy-MM-ddTHH:mm:ss");
+            string sql_str = $"select * from {table_name} where DATE(ts_event) >= '{range_beg_iso8601}' AND DATE(ts_event) <= '{range_end_iso8601}'";
+            return new SQLiteStream(db_str, sql_str);
+         };
+
+         Tuple<ContractUtils.ContractCategory, string> tup = ContractUtils.get_symbol_category(symbol_or_contract);
+         var contract_cat = tup.Item1;
+         switch (contract_cat) {
+            case ContractUtils.ContractCategory.Symbol: {
+                  ViewStream res = get_sqlite_str(tup.Item2, true);
+                  mySetRealSource(res);
+                  // this creates the continous stream for 1 min bars, but we store it in the DB, so we just read it from it
+                  // ViewStream ohlcv_1min = get_sqlite_str(tup.Item2, false);
+                  // // the following is whats written to the DB in the _contionous table
+                  // ohlcv_1min = new DateTimeExpanstionStream(ohlcv_1min, "ts_event");
+                  // ViewStream active_contr_str = new FuturesActiveContractStream(tup.Item2);
+                  // ViewStream res = new NonIncJoinStream(ohlcv_1min, "ts_event_date symbol", "ts_event ts_event_date symbol open high low close volume",
+                  //                                     active_contr_str, "ts_event contract", "ts_event:date contract:continous_contract");
+                  // res = new NullFilterStream(res, "continous_contract", true);
+                  // res = new NewProjectStream(res, "ts_event date continous_contract open high low close volume !");
+                  // mySetRealSource(res);
+                  break;
+               }
+            default: {
+                  ViewStream sql_str = get_sqlite_str(tup.Item2, false);
+                  ViewStream rs = new FilterStream(sql_str, $"symbol='{symbol_or_contract}'");
+                  // filter here
+                  mySetRealSource(rs);
+                  break;
+               }
+         }
+      }
+   }
+
+   // this is to make bigger bars form smaller bars. Right now the assumption it only works
+   // with symbols vs contracts, and the 1min <= aggregation_period < 1day
+   [DataStreamUserRespresentation("OHLCVAggregated")]
+   public class OHLCVAggregatedStream : ViewStream {
+      public OHLCVAggregatedStream(string symbol, string agregation_period, string range_beg, string range_end) :
+      this(symbol, TimeBasedFilter.parse_duration(agregation_period), DateTime.Parse(range_beg), DateTime.Parse(range_end)) {
+      }
+
+      public OHLCVAggregatedStream(string symbol, TimeSpan aggregation_period, DateTime range_beg, DateTime range_end) {
+         Tuple<ContractUtils.ContractCategory, string> tup = ContractUtils.get_symbol_category(symbol);
+         Log.assert(tup.Item1 == ContractUtils.ContractCategory.Symbol);
+         if (aggregation_period < TimeSpan.FromDays(1.0) &&
+            aggregation_period > TimeSpan.FromMinutes(1.0)) {
+            ViewStream r = new OHLCV_1min_stream(symbol, range_beg, range_end);
+            r = new DateTimeExpanstionStream(r,
+                                              "ts_event");
+            double tot_secs = aggregation_period.TotalSeconds;
+            r = new MathStream(r,
+                                $"bucket = Floor(ts_event_seconds_of_day / {tot_secs})");
+            r = new NonIncGroupByStream(r,
+                                         "bucket",
+                                         // column:operation
+                                         "open:first, high:max, low:min, close:last, volume:sum",
+                                         "ts_event");
+            r = new SortStream(r,
+                                "-ts_event");
+            mySetRealSource(r);
+         } else {
+            // fix it later
+            Log.assert(false);
+         }
+      }
+   }
+
+
    [DataStreamUserRespresentation("OHLCV")]
    // This stream retreives the OHLCV table as is, and fires it as-is. 
    // The only logic here is as follows:
@@ -80,12 +167,13 @@ namespace bts.SilverPine {
          switch (ohlcv_params.type) {
             case OHLCVType.LIVE:
             case OHLCVType.LIVE_AND_HISTORIC:
+               // TODO
                Log.assert(false);
                break;
             case OHLCVType.HISTORIC:
                // TODO: assuming 1 day only for historic               
                string table_name = get_table_from_barsize(ohlcv_params.bar_size, symbol);// $"{symbol}_OHLCV_1DAY";
-               //string table_name = $"{symbol}_{ohlcv_params.bar_size}";
+                                                                                         //string table_name = $"{symbol}_{ohlcv_params.bar_size}";
                string db_str = $"Data Source={_location}{_db_name};Version=3";
                string sql_str = $"select * from {table_name}";
                // "Data Source=C:\\Users\\m_tah\\development\\data\\stream_data.db;Version=3;"
@@ -111,6 +199,11 @@ namespace bts.SilverPine {
       :
       this(symbol, Enum.Parse<OHLCVBarSize>(bar_size)) { }
 
+      // aggregates the bars
+      public OHLCVStream(string symbol, TimeSpan agregation_period) {
+
+      }
+
 
 
    }

src/DataStreamSuite/SharedStreams/Business/MarketData/SettlementPriceStream.cs

@@ -3,49 +3,22 @@ namespace bts.SilverPine {
 
    using bts;
 
-   using DnsClient.Protocol;
-
-   using MongoDB.Driver;
-
    [DataStreamUserRespresentation("Settlement")]
    public class SettlementPriceStream : ViewStream {
 
       public SettlementPriceStream(string future_name, string date_txt)
-      : this(future_name, date_txt, String.Empty) { }
+      : this(future_name, date_txt, date_txt) { }
 
       public SettlementPriceStream(string future_name, string begin_dt, string end_dt)
       : this(future_name, DateTime.Parse(begin_dt).Date, DateTime.Parse(end_dt).Date) { }
 
       public SettlementPriceStream(string symbol_or_contract, DateTime begin_dt)
-      : this(symbol_or_contract, begin_dt, DateTime.MinValue) { }
+      : this(symbol_or_contract, begin_dt, begin_dt) { }
 
       public SettlementPriceStream(string symbol_or_contract, DateTime begin_dt, DateTime end_dt) {
-         // DateTime begin_dt = DateTime.Parse(begin_dt_txt);
-         // DateTime end_dt = String.IsNullOrEmpty(end_dt_txt) ? DateTime.MinValue : DateTime.Parse(end_dt_txt);
-         Tuple<ContractUtils.ContractCategory, string> ccat_sym_contr = ContractUtils.get_symbol_category(symbol_or_contract);
-         ContractUtils.ContractCategory contr_cat = ccat_sym_contr.Item1;
-         string symbol = ccat_sym_contr.Item2;
-         ViewStream settl_str = new OHLCVStream(symbol);
-         // TODO: close != settlement, get settlement from somewhere
-         ViewStream rs = new NewProjectStream(settl_str, "close:settlement");
-         switch (contr_cat) {
-            case ContractUtils.ContractCategory.FutureString:
-            case ContractUtils.ContractCategory.SpreadString:
-               rs = new FilterStream(settl_str, r => r.get<string>("contract").CompareTo(symbol_or_contract) == 0);
-               break;
-            case ContractUtils.ContractCategory.Symbol:
-               rs = new FuturesActiveContractStream(settl_str);
-               break;
-         }
-         if (DateTime.MinValue.Equals(end_dt)) {
-            rs = new FilterStream(rs, r => r.get_datetime("ts_event").CompareTo(begin_dt) == 0);
-         }
-         rs = new FilterStream(rs, r => {
-            DateTime dt = r.get_datetime("ts_event");
-            return dt <= begin_dt && dt >= end_dt;
-         });
-         rs = new MathStream(rs, "settlement = close * 1.0");
-         rs = new NewProjectStream(rs, " ! ts_event:date settlement");
+         ContractUtils.FutureContract fc = new ContractUtils.FutureContract(symbol_or_contract);
+         ViewStream rs = new FutureHistoricalBarsStream(fc, BarSize.ONE_DAY, new DateTimeRange(begin_dt, end_dt));
+         rs = new NewProjectStream(rs, "symbol ts_event:date close:settlement !");
          mySetRealSource(rs);
       }
 

src/DataStreamSuite/SharedStreams/NL/FewShotPrompts.json

@@ -41,70 +41,74 @@
       },
       {
          "category": "VWAP",
-         "description": "This is a few shot learning example for an NL to DSL. The DSL function in question is VWAP (symbol_or_contract, datetime1, datetime2). The first argument is a future (like CL, for crude oil, or ES for SP 500) or a specific future contract like crude oil Dec 24 future (CLZ4) or SP 500 Dec 2024 (ESZ4). The second argument is where the VWAP has to be calculated (also the beginning of the time window), and the third argument is datetime specifying the end of the time window. So, for example, a 20-day VWAP on 9/30/2023, the first argument will be 9/30/2023, and the third argument will be 9/10/2023 (20 days prior). This will also have datetimes expressed as Today, Yesterday, Last Friday, Last Sunday, etc. For the purpose of this few-shot prompts, let's assume today is 10/11/2024.",
+         "description": "This is a few shot learning example for an NL to DSL. The DSL function in question is VWAP (symbol_or_contract, perio_end_date, period_start_date). The first argument is a future (like CL, for crude oil, or ES for SP 500) or a specific future contract like crude oil Dec 24 future (CLZ4) or SP 500 Dec 2024 (ESZ4). The second and third argument define the end and start of the VWAP period, respectively. So for example, if we are calculating the 10 day VWAP on 10/15/2023, the period will be from 10/15/2023 going back to 10/05/2023. so the second argument will 10/05/2023 and the third argument will be 10/15/2023. The NL prompt  will also have datetimes expressed as Today, Yesterday, Last Friday, Last Sunday, First day of quarter, Today etc. You will need to translate these as dates that need to be passed to the VWAP DSL function. ",
          "prompt": "What was the VWAP for SP 500 Future over the past 30 days?",
          "examples": [
             {
                "natural_language": "Find the 20 day VWAP of the SP future on 04/22/2023.",
-               "dsl": "VWAP(\"ES\", 4/22/2023, 4/02/2023)"
+               "dsl": "VWAP(\"ES\", 4/02/2023, 4/22/2023)"
             },
             {
                "natural_language": "Find Yesterday's 10 day VWAP of the Crude Oil Future.",
-               "dsl": "VWAP(\"CL\", 10/10/2024, 10/1/2024)"
+               "dsl": "VWAP(\"CL\", 10/01/2024, 10/10/2024)"
             },
             {
                "natural_language": "Find today's 30-day VWAP of the 10 year treasury future.",
-               "dsl": "VWAP(\"ZN\", 10/11/2024, 9/11/2024)"
+               "dsl": "VWAP(\"ZN\", 9/11/2024, 10/11/2024)"
             },
             {
                "natural_language": "Find the 10 hour VWAP of the Natural Gas future from yesterday at 5:00 PM.",
-               "dsl": "VWAP(\"NG\", 9/27/2024 17:00:00, 9/27/2024 7:00:00)"
+               "dsl": "VWAP(\"NG\", 9/27/2024 7:00:00, 9/27/2024 17:00:00)"
             }
          ]
       },
       {
-         "category": "Price Diff",
-         "description": "This is a few shot learning example for an NL to DSL. The DSL function in question is OHLCVPriceDiff (symbol_or_contract, datetime1, datetime2). The first argument is a future (like CL, for crude oil) or a specific future contract like crude oil Dec 24 future (CLZ4). The second and third arguments are dates, that the function finds the difference of prices at. Assume today is 10/15/2024",
-         "prompt": "What is the difference in  SP 500 Future from July 10th to July 14th?",
+         "category": "FuturePriceDiff",
+         "description": "This is a few-shot learning example for an NL to DSL. The DSL function in question is FuturePriceDiff(symbol_or_contract, datetime1, datetime2). The first argument is a future (like CL, for crude oil, or ES for SP 500 and so on and so forth) or a specific future contract like crude oil Dec 24 future (CLZ4). The second and third arguments are datetimes (usually dates) that the function finds the difference of prices at. If the dates are given like \"first day of quarter\", \"first week of August\" I expect you to convert them into exact dates since the function only takes specific dates. The second argument should be the smaller datetime and the 3rd argument should be the end of the range, ie the higher one. Any prompt asking for price difference or price move should call FuturePriceDiff. If the dates you compute to pass to FuturePriceDiff are dates on which futures exchange might be closed (like 1/1, 12/25, Thanksgiving etc)  please adjust the date to the nearest viable trading date, for example if the date falls on christmas day, change it to 12/24 and so on and so on and so forth, or the date happens to be a saturday or sunday, change it to Friday or Monday depending on which is closest",
+         "prompt": "What is the difference in SP 500 Future from July 10th to July 14th?",
          "examples": [
             {
                "natural_language": "What is the difference in ZN price from July 10th to July 14th?",
-               "dsl": "OHLCVPriceDiff(\"ZN\", 7/14/2024, 7/10/2024)"
+               "dsl": "FuturePriceDiff(\"ZN\", 7/10/2024, 7/14/2024)"
             },
             {
                "natural_language": "What is the price difference in SP Future price from Sept 10th and Sept 5th?",
-               "dsl": "OHLCVPriceDiff(\"ES\", 9/10/2024, 9/5/2024)"
+               "dsl": "FuturePriceDiff(\"ES\", 9/5/2024, 9/10/2024)"
             },
             {
                "natural_language": "What is the price difference in Natural Gas Dec Future price from Aug 30th and Aug 20th?",
-               "dsl": "OHLCVPriceDiff(\"NGZ4\", 8/30/2024, 8/20/2024)"
+               "dsl": "FuturePriceDiff(\"NGZ4\", 8/20/2024, 8/30/2024)"
+            },
+            {
+               "natural_language": "What is the price move in  SP 500 Future from Aug 30th 2023 to October 10th 2023",
+               "dsl": "FuturePriceDiff(\"ES\", 8/30/2023, 10/10/2023)"
+            },
+            {
+               "natural_language": "What is the price move in  SP 500 Future during teh first quarter of last year",
+               "dsl": "FuturePriceDiff(\"ES\", 1/1/2023, 3/31/2023)"
             }
          ]
       },
       {
-         "category": "Absolute Volume",
-         "description": "this is a few shot learning example for an NL to DSL. The DSL function in question is AbsVolume(symbol, ContractType, datetime1, datetime2), which computes the highest volume in the date range, specified by datetime1, and datetime2. The first argument is a future symbol (like CL for crude oil, ES for SP 500 etc).  The second argument is the ContractType, which is \"Future\" for futures and \"FutureSpread\" for future spreads. the 3rd argument is the begin date and the 4th argument is the end date, between which the max volume is computed. If no future is specified use \"*\" from the first arugment. For this prompt, assume today is 10/11/2024 ",
+         "category": "Aggregate Volume",
+         "description": "this is a few shot learning example for an NL to DSL. The DSL function in question is VolumeAgg(symbol, contract_type, datetime1, datetime2), which computes the highest volume in the date range, specified by datetime1, and datetime2. The first argument is a future symbol (like CL for crude oil, ES for SP 500 etc).  The second argument is the ContractType, which is \"Future\" for futures and \"FutureSpread\" for future spreads. the 3rd argument is the begin date and the 4th argument is the end date, between which the max volume is computed. If no future is specified use \"*\" from the first arugment.",
          "prompt": "Which  SP 500 Future traded the most between 7/14/2024 and 7/10/2024",
          "examples": [
             {
-               "natural_language": "Which SP Future traded the most between 7/14/2024 and 7/10/2024",
-               "dsl": "AbsVolume(\"ES\", \"Future\", 7/14/2024, 7/10/2024)"
+               "natural_language": "Which SP Future traded the most between 7/10/2024 and 7/14/2024",
+               "dsl": "VolumeAgg(\"ES\", \"Future\", 1/1/2024, 1/7/2024)"
             },
             {
-               "natural_language": "Which Gold Spread traded the most between Today and Sept 20th",
-               "dsl": "AbsVolume(\"GC\", \"FutureSpread\", 10/1/2024, 9/20/2024)"
+               "natural_language": "Which Gold Spread traded the most in the first month of this year",
+               "dsl": "VolumeAgg(\"GC\", \"FutureSpread\", 1/1/2024, 1/31/2024)"
             },
             {
-               "natural_language": "Which 10 year Spread traded the highest volume last week?",
-               "dsl": "AbsVolume(\"ZN\", \"FutureSpread\", 9/27/2024, 9/23/2024)"
+               "natural_language": "Which 10 year Spread traded the highest volume last week to now?(in this example(only) we are assuming today is 11/26/2024)",
+               "dsl": "VolumeAgg(\"ZN\", \"FutureSpread\", 11/19/2024, 11/26/2024)"
             },
             {
-               "natural_language": "Which Corn Spread traded the most today?",
-               "dsl": "AbsVolume(\"ZC\", \"FutureSpread\", 10/1/2024, 10/1/2024)"
-            },
-            {
-               "natural_language": "Which Gold Future traded the most today?",
-               "dsl": "AbsVolume(\"GC\", \"Future\", 9/30/2024, 9/30/2024)"
+               "natural_language": "Which Corn Spread traded the most today (in this example(only) we are assuming today is 11/26/2024)?",
+               "dsl": "VolumeAgg(\"ZC\", \"FutureSpread\", 11/26/2024, 11/26/2024)"
             }
          ]
       },
@@ -218,6 +222,17 @@
                "dsl": "r=standardDeviation(\"ZN\", \"30d\")\nr=math(r, \"abs_daily_change = Abs(close - open) comp = std_dev * 2.0\")\nr=filter(r,\"abs_daily_change >= comp\")"
             }
          ]
+      },
+      {
+         "category": "Price Movement",
+         "description": "This is a few shot learning example for an NL to DSL. In the NL prompt the user is asking for the average price movement for e-minis (aka ES aka SP Futures aka SP 500 Futures)) on Wednesday between 9:30 am and 9:40 AM?  the multiline DSL is as follows (along with the explaination in comments before each line, dont include the comments in the asnwer):  //following line gets the 1 min ohlcv bars of ES \n r=OHLCV_1min_stream(\"ES\")\n //this passes it to the filter stream, which filters the rows for Wednesday, and time bw 9:30 and 9:40.\nr=filter(r,\"ts_event_day = 'Wednesday' and ts_event_hour = 9 and ts_event_min >= 30 and ts_event_min < 40\")\n// this aggregates it using the date as the agregation key, it find the max of the column called high, and the low of the column called min, to find the max and the min prices in that time window\nr=aggregate(r, \"ts_event_date\", \"high: max, low: min\")\n/// this then passes the previous result to the math stream operator which calculates the move, which is the difference between high_max and low_min (columns that were added from the previous aggregate)\nr=math(r,\"move = high_max - low_min\")\n// At the end we compute the mean of the move column, notice this is the total mean, so we are not providing an aggregation col to agregate\nr=aggregate(r, \"move:mean\")\n// we project out every col by the ! operator and call rename move_mean as average_vol\nr=newProject(r,\"move_mean:average_move !\")",
+         "prompt": "What is the average price movement for SP Futures (ES) on Wednesday between 9:30 am and 9:40 AM ?",
+         "examples": [
+            {
+               "natural_language": "What is the average price movement for SP Futures (ES) on Wednesday between 9:30 am and 9:40 AM?",
+               "dsl": "r=OHLCV_1min_stream(\"ES\")\nr=filter(r,\"ts_event_day = 'Wednesday' and ts_event_hour = 9 and ts_event_min >= 30 and ts_event_min < 40\")\nr=aggregate(r, \"ts_event_date\", \"high: max, low: min\")\nr=math(r,\"move = high_max - low_min\")\nr=aggregate(r, \"move:mean\")\nr=newProject(r,\"move_mean:average_move !\")"
+            }
+         ]
       }
    ]
 }

src/DataStreamSuite/SharedStreams/NL/NLStream.cs

@@ -1,4 +1,4 @@
-namespace sbts.SilverPine {
+namespace bts.SilverPine {
    using BCG;
 
    using bts;

src/Spark.Admin.WebApp/CMakeLists.txt

@@ -1,56 +1,42 @@
-cmake_minimum_required(VERSION 3.5)
+cmake_minimum_required(VERSION 3.10)
 project(Spark.Admin.WebApp)
 
+include(GNUInstallDirs)
 include(${CMAKE_SOURCE_DIR}/cmake/safe_dep_glob.cmake)
-include(${CMAKE_SOURCE_DIR}/cmake/Protobuf.cmake)
+include(${CMAKE_SOURCE_DIR}/cmake/SymLink.cmake)
+include(${CMAKE_SOURCE_DIR}/cmake/ProtobufGenerateJs.cmake)
+include(${CMAKE_SOURCE_DIR}/cmake/ProtobufGenerateFs.cmake)
 
-# dependencies
-set(PROTO_GLOBS
+file(
+  GLOB_RECURSE ${PROJECT_NAME}_PROTO_SOURCES
+  RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
   ../lib/api/*.proto
   ../lib/api/services/*.proto
   ../lib/domain_model/*.proto
   ../lib/sparkproto/*.proto
   ../lib/md/protos/*.proto
   ../../externals/linux/include/google/protobuf/descriptor.proto
-  ../../externals/linux/include/google/protobuf/timestamp.proto)
+  ../../externals/linux/include/google/protobuf/timestamp.proto
+)
 
-file(
-  GLOB_RECURSE _proto_rel_SOURCES
-  RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
-  ${PROTO_GLOBS})
-
-file(
-  GLOB_RECURSE _proto_abs_SOURCES
-  ${PROTO_GLOBS})
-
-file(
-  GLOB_RECURSE _ts_SOURCES
-  RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
-  src/*.ts)
-
-file(
-  GLOB_RECURSE _fs_SOURCES
-  RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
-  src/*.fs)
+add_custom_command(
+  OUTPUT ${CMAKE_CURRENT_SOURCE_DIR}/package-lock.json
+  COMMAND npm install --include=dev
+  DEPENDS ${CMAKE_CURRENT_SOURCE_DIR}/package.json
+  WORKING_DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}
+)
 
 set(_tools ${CMAKE_SOURCE_DIR}/tools)
 set(_quiet_exec ${_tools}/quiet_exec.sh)
 set(_venv_exec ${_tools}/venv_exec.sh)
 set(_tools_py ${CMAKE_SOURCE_DIR}/tools/py)
 
-# The tsconfig file is generated as a function of the cmake build type, and
-# binary dir. Depending on the build type, it extends either
-# 'tsconfig.debug.json' or 'tsconfig.release.json'.
 set(_tsconfig_base "${CMAKE_CURRENT_SOURCE_DIR}/tsconfig.$<IF:$<CONFIG:Debug>,debug,release>.json")
-set(WEBPACK_MODE $<IF:$<CONFIG:Debug>,"development","production">)
 set(_tsconfig "${CMAKE_CURRENT_BINARY_DIR}/tsconfig.json")
 
 set(_venv_python ${CMAKE_SOURCE_DIR}/.venv/bin/python)
 set(_gen_tsconfig_py ${_tools_py}/gen_tsconfig.py)
 set(_build_admin_web_app_py ${_tools_py}/build_admin_web_app.py)
-
-set(_gen_tsconfig_deps ${_venv_exec} ${_venv_python} ${_gen_tsconfig_py} ${_tsconfig_base})
-
 set(_build_admin_web_app_deps
   ${_quiet_exec}
   ${_venv_exec}
@@ -60,49 +46,142 @@ set(_build_admin_web_app_deps
   ${CMAKE_CURRENT_SOURCE_DIR}/webpack.config.js
   ${CMAKE_SOURCE_DIR}/src/lib/api/service_compiler/templates/fs/fable.fs
   ${CMAKE_CURRENT_SOURCE_DIR}/package-lock.json
-  ${_proto_rel_SOURCES}
+  ${${PROJECT_NAME}_PROTO_SOURCES}
   ${_api_ts_SOURCES}
   ${_ui_fs_SOURCES}
   ${_tsconfig})
 
 update_deps_file("${_build_admin_web_app_deps}")
 
-function(npm_install path)
-  add_custom_command(
-    OUTPUT ${path}/package-lock.json
-    COMMAND "npm" ARGS "install" "--include=dev"
-    DEPENDS ${path}/package.json
-    WORKING_DIRECTORY ${path}
-    COMMENT "Run 'npm install' in ${path}")
-endfunction()
-
-npm_install(${CMAKE_CURRENT_SOURCE_DIR})
-
 add_custom_command(
   OUTPUT ${_tsconfig}
   COMMAND ${_venv_exec}
   ARGS
-  ${_venv_python}
-  ${_gen_tsconfig_py}
-  --config-base ${_tsconfig_base}
-  --config-out ${_tsconfig}
-  --build-out ${CMAKE_CURRENT_BINARY_DIR}
-  DEPENDS ${_gen_tsconfig_deps})
+    ${_venv_python}
+    ${_gen_tsconfig_py}
+    --config-base ${_tsconfig_base}
+    --config-out ${_tsconfig}
+    --build-out ${CMAKE_CURRENT_BINARY_DIR}
+  DEPENDS
+    ${_venv_exec}
+    ${_venv_python}
+    ${_gen_tsconfig_py}
+    ${_tsconfig_base}
+    ${CMAKE_CURRENT_SOURCE_DIR}/package-lock.json
+)
+
+protobuf_generate_js(
+  TARGET_NAME generate_js_protos
+  PROTO_INCLUDE_DIRS
+    ..
+    ../../externals/linux/include
+  PROTO_SOURCES ${${PROJECT_NAME}_PROTO_SOURCES}
+  OUTPUT ${CMAKE_CURRENT_BINARY_DIR}/proto.js
+)
+
+protobuf_generate_fs(
+  TARGET_NAME generate_fs_protos
+  PROTO_INCLUDE_DIRS
+    ..
+    ../../externals/linux/include
+  PROTO_SOURCES ${${PROJECT_NAME}_PROTO_SOURCES}
+  OUT_DIR ${CMAKE_CURRENT_BINARY_DIR}/fable
+)
+
+# Each input file maps to multiple output files with different extensions
+# (js, js.map, d.ts, fs). Transpile ts -> d.ts (and js), then d.ts -> fs.
+# Who knew front-end development could be so complicated? `\_(=_=)_/`
+file(
+  GLOB_RECURSE ${PROJECT_NAME}_TS_SOURCES
+  RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
+  src/*.ts
+)
+set(${PROJECT_NAME}_JS_PROTOS)
+set(${PROJECT_NAME}_TS_PROTOS)
+set(${PROJECT_NAME}_FS_PROTOS)
+foreach(_ts_source ${${PROJECT_NAME}_TS_SOURCES})
+  get_filename_component(_ts_source_we ${_ts_source} NAME_WE)
+  set(_prefix ${CMAKE_CURRENT_BINARY_DIR}/${_ts_source_we})
+  list(APPEND ${PROJECT_NAME}_JS_PROTOS ${_prefix}.js ${_prefix}.js.map)
+  list(APPEND ${PROJECT_NAME}_TS_PROTOS ${_prefix}.d.ts ${_prefix}.d.ts.map)
+  list(APPEND ${PROJECT_NAME}_FS_PROTOS ${_prefix}.fs)
+  add_custom_command(
+    OUTPUT ${_prefix}.fs
+    WORKING_DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}
+    COMMAND npx --no-install ts2fable ${_prefix}.d.ts ${_prefix}.fs
+    DEPENDS ${_prefix}.d.ts
+  )
+endforeach()
 
 add_custom_command(
-  OUTPUT ${CMAKE_CURRENT_BINARY_DIR}/bundle.js
-  COMMAND ${_quiet_exec}
-  ARGS
-  ${_venv_exec}
-  ${_venv_python}
-  ${_build_admin_web_app_py}
-  --protos ${_proto_abs_SOURCES}
-  --tsconfig ${_tsconfig}
-  --mode ${WEBPACK_MODE}
-  --output-dir ${CMAKE_CURRENT_BINARY_DIR}
-  COMMENT "Building Spark.Admin.WebApp"
-  DEPENDS ${_build_admin_web_app_deps})
+  OUTPUT
+    ${${PROJECT_NAME}_JS_PROTOS}
+    ${${PROJECT_NAME}_TS_PROTOS}
+  WORKING_DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}
+  COMMAND npx
+    --no-install tsc
+    -p ${_tsconfig}
+  DEPENDS
+    ${_tsconfig}
+    ${CMAKE_CURRENT_BINARY_DIR}/proto.js
+)
+add_custom_target(
+  transpile_type_script
+  ALL
+  DEPENDS
+    ${${PROJECT_NAME}_JS_PROTOS}
+    ${${PROJECT_NAME}_TS_PROTOS}
+)
+add_custom_target(generate_fsts_stubs ALL DEPENDS ${${PROJECT_NAME}_FS_PROTOS})
 
-add_custom_target(admin_web_app_bundle ALL DEPENDS ${CMAKE_CURRENT_BINARY_DIR}/bundle.js)
+sym_link_dir(
+  TARGET_NAME link_webapp_public
+  SOURCE ${CMAKE_CURRENT_SOURCE_DIR}/public
+  DEST ${CMAKE_CURRENT_BINARY_DIR}/public
+)
+sym_link_dir(
+  TARGET_NAME link_webapp_root
+  SOURCE ${CMAKE_CURRENT_BINARY_DIR}
+  DEST ${CMAKE_SOURCE_DIR}/build/Spark.Admin.WebApp
+)
+
+file(
+  GLOB_RECURSE ${PROJECT_NAME}_FS_SOURCES
+  RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
+  src/*.fs
+)
+add_custom_command(
+  OUTPUT
+    ${CMAKE_CURRENT_BINARY_DIR}/bundle.js
+    $<$<CONFIG:DEBUG>:${CMAKE_CURRENT_BINARY_DIR}/bundle.js.map>
+  WORKING_DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/src
+  COMMAND dotnet restore
+  COMMAND dotnet tool restore
+  COMMAND export SPARK_ADMIN_WEB_APP_OUTPUT_DIR=${CMAKE_CURRENT_BINARY_DIR}
+  COMMAND dotnet fable -o ${CMAKE_CURRENT_BINARY_DIR} --verbose
+  COMMAND npm run build -- --mode $<IF:$<CONFIG:Debug>,"development","production">
+  DEPENDS
+    ${${PROJECT_NAME}_FS_SOURCES}
+    ${${PROJECT_NAME}_FS_PROTOS}
+    ${CMAKE_CURRENT_SOURCE_DIR}/src/Spark.Admin.WebApp.fsproj
+)
+add_custom_target(
+  bundle_spark_admin_webapp ALL
+  DEPENDS
+    ${CMAKE_CURRENT_BINARY_DIR}/bundle.js
+    $<$<CONFIG:DEBUG>:${CMAKE_CURRENT_BINARY_DIR}/bundle.js.map>
+  COMMENT "Bundling Spark.Admin.WebApp"
+)
+
+# Exclude 'public' dir because it is a symlink
+install(
+  DIRECTORY "${CMAKE_CURRENT_BINARY_DIR}"
+  DESTINATION "${CMAKE_INSTALL_BINDIR}"
+  PATTERN "public" EXCLUDE
+)
+# Install actual (non-symlinked) 'public' dir
+install(
+  DIRECTORY "${CMAKE_CURRENT_SOURCE_DIR}/public"
+  DESTINATION "${CMAKE_INSTALL_BINDIR}/${PROJECT_NAME}"
+)
 
-install(DIRECTORY "${CMAKE_CURRENT_BINARY_DIR}" DESTINATION "${SPARK_INSTALL_PREFIX}/bin")

src/Spark.Admin.WebApp/package.json

@@ -42,7 +42,7 @@
     "ts-loader": "^9.4.2",
     "tsutils": "^3.21.0",
     "typescript": "^4.9.5",
-    "webpack-cli": "^5.0.1",
+    "webpack-cli": "^5.1.4",
     "webpack-dev-server": "^4.11.1",
     "ws": "^8.12.1"
   }

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

@@ -17,7 +17,7 @@ type Tab =
   | PositionManagementTab
   | MarginTab
 
-let venues = [| Venue.BINANCE; Venue.BinanceUs; Venue.BinanceUsdsFutures; Venue.CBOE; Venue.COINBASE; Venue.DERIBIT; Venue.GLBX; Venue.ICE; Venue.TAIFEX; Venue.SIM; |]
+let venues = [| Venue.BINANCE; Venue.BinanceUs; Venue.BinanceUsdsFutures; Venue.CBOE; Venue.COINBASE; Venue.DERIBIT; Venue.OKX; Venue.GLBX; Venue.ICE; Venue.TAIFEX; Venue.SIM; |]
 
 let securityTypes = [| SecurityType.SPOT; SecurityType.FUTURE; SecurityType.OPTION; SecurityType.SPREAD; |]
 
@@ -74,6 +74,11 @@ type TaifexExchangeField =
   | Origin of CustomerOrFirm
   | ClearingAccount of string
 
+type OkxExchangeField =
+  | CTI of CTICode
+  | Origin of CustomerOrFirm
+  | ClearingAccount of string
+
 type SIMExchangeField =
   | CTI of CTICode
   | Origin of CustomerOrFirm

src/client/spark/AW2/LiveTheoPublisher.cs

@@ -8,6 +8,7 @@ using MathNet.Numerics.Providers.FourierTransform;
 using BCG;
 using System.Windows.Automation;
 using bts.collections;
+using mbts.co2;
 
 namespace mbts.spark {
    // Publishes theos for all options (on the side, also publishes the theos for TC2).
@@ -114,11 +115,53 @@ namespace mbts.spark {
             }
             sym_theos.set_data(k, tp);
          }
+         _override_theos(ref rv);
          foreach (var kv in rv) {
             _bb.post(SparkTags.TC2Tags.LiveTheosTag(kv.Key), kv.Value);
          }
       }
 
+      private void _override_theos(ref Dictionary<(string, Venue), ExpStrikeKeyedData<TheoPoint>> theos) {
+         if (_compute_midmarket) {
+            SystemContractData sc_data = _bb.read_state(SparkTags.SystemContractsTag);
+            foreach (var kv in theos) {
+               string sym = kv.Key.Item1;
+               Venue exchange = kv.Key.Item2;
+               foreach (var t in kv.Value.get_data_linearly()) {
+                  DateTime exp = t.first;
+                  double strike = t.second;
+                  TheoPoint tp = t.third;
+                  var call_sec_md = sc_data.get_option(exchange, sym, exp, strike, PutOrCall.Call);
+                  {
+                     NativePriceSize call_bid, call_ask;
+                     ulong time = 0;
+                     call_sec_md.Value.md.get_bbo(ref time, out call_bid, out call_ask);
+                     double call_mid = (call_bid.price + call_ask.price) / 2;
+                     tp.call = call_mid;
+                  }
+                  {
+                     var put_sec_md = sc_data.get_option(exchange, sym, exp, strike, PutOrCall.Put);
+                     NativePriceSize put_bid, put_ask;
+                     ulong time = 0;
+                     put_sec_md.Value.md.get_bbo(ref time, out put_bid, out put_ask);
+                     double put_mid = (put_bid.price + put_ask.price) / 2;
+                     tp.put = put_mid;
+                  }
+               }
+            }
+            //replace theos with market bid
+            // get it from the bus and override
+         } else {
+            // do nothing, passes unchanged
+         }
+      }
+
+      private bool _compute_midmarket {
+         get {
+            return true;
+         }
+      }
+
 
       private void _interp_and_publish() {
          var timer = Stopwatch.StartNew();

src/client/spark/AW2/Misc/SecurityNormalizer.cs

@@ -1,6 +1,8 @@
 namespace mbts.spark {
    using bts.api;
 
+   using Spark.Api.Data;
+
    using System;
    using System.Collections.Generic;
    using System.Linq;
@@ -23,14 +25,14 @@ namespace mbts.spark {
          foreach (var kv in driver_map.get_price_map()) {
             var exp = kv.Key;
             var dmd = kv.Value;
-            IEnumerable<SecurityMD> exp_secs = sc_data.get_securities(
-               (sec_md) => {
-                  var s = sec_md.security;
-                  return s.security_type() == SecurityType.Option &&
-                        s.Symbol == driver_map.option_symbol &&
-                        s.earliest_expiration() == exp.expiration;
-               }
-            );
+            IEnumerable<SecurityMD> exp_secs = sc_data.get_securities((sec_md) => {
+               var s = sec_md.security;
+               return s.security_type() == SecurityType.Option &&
+                     s.Symbol == driver_map.option_symbol &&
+                     s.earliest_expiration() == (Security.is_perpetual_exp(exp.expiration)
+                        ? ExpirationDate.Perpetual
+                        : ExpirationDate.FixedDate(exp.expiration));
+            });
             foreach (var sec_md in exp_secs) {
                rv[sec_md.security.Id] = kv.Value;
             }

src/client/spark/AW2/Misc/SystemContractData.cs

@@ -69,7 +69,7 @@ namespace mbts.spark {
                   case SecurityType.Future:
                   case SecurityType.Option:
                      rv.GetOrAdd((sec.Exchange, sec.security_type(), sec.Symbol), _ => new())
-                        .Add(sec.earliest_expiration());
+                        .Add(sec.earliest_expiration().Value);
                      break;
                }
             }

src/client/spark/AW2/Misc/TheoPoint.cs

@@ -281,5 +281,16 @@ namespace mbts.spark {
          else
             return tp.put + (tp.pdelta * driver_diff) + (0.5 * tp.pgamma * driver_diff * driver_diff);
       }
+
+      public static TheoPoint extrapolate(TheoPoint tp, double driver, bool is_call) {
+         TheoPoint rv = tp.Clone() as TheoPoint;
+         double h = driver - tp.driver;
+         if (is_call) {
+            rv.call = tp.call + h * (tp.cdelta);
+         } else {
+            rv.put = tp.put + h * (tp.cdelta);
+         }
+         return rv;
+      }
    }
 }

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/Daemons/MDDaemon.cs

@@ -133,17 +133,31 @@ namespace bts {
 
             // set 'unit quantity' for each sec
             foreach (var smd in exch_secs.Values) {
-               var meta = _security_metadata.get(smd.security);
-               if (meta.HasValue) {
-                  exch_secs[smd.id] = new(
-                     smd.security,
-                     smd.md,
-                     meta.Value.HasPriceDisplay ? meta.Value.PriceDisplay : null,
-                     meta.Value.HasQuantityDisplay ? meta.Value.QuantityDisplay : null);
-               }
+               var (priceDisplay, qtyDisplay) = GetDisplaySettings(smd.security);
+               exch_secs[smd.id] = new(smd.security, smd.md, priceDisplay, qtyDisplay);
             }
             _bus.post(SparkTags.ServerSecuritiesTag, exch_secs);
          }
+
+         (TickDisplaySettingsImmutable? Price, TickDisplaySettingsImmutable? Quantity) GetDisplaySettings(SecurityImmutable sec) {
+            var meta = _security_metadata.get(sec);
+            var priceDisplay = meta?.PriceDisplay ?? Security.Defaults.price_display_settingsi;
+            var qtyDisplay = meta?.QuantityDisplay ?? Security.Defaults.quantity_display_settingsi;
+            if (sec.HasContractSpec) {
+               var pd = priceDisplay.CloneToMutable();
+               pd.TickFactors = TickUtils.get_tick(sec, 0).to_api_tick_factors();
+               priceDisplay = new(pd);
+               if (sec.ContractSpec.QuantityInfos.TryGetFirst(out var qtyInfo)) {
+                  var qd = qtyDisplay.CloneToMutable();
+                  qd.ShowDecimalPart = qtyInfo.TickBase.is_real_non_zero() && !(qtyInfo.TickUnit / qtyInfo.TickBase).is_int();
+                  qd.TickFactors ??= new();
+                  qd.TickFactors.TickBase = qtyInfo.TickBase;
+                  qd.TickFactors.TickUnit = qtyInfo.TickUnit;
+                  qtyDisplay = new(qd);
+               }
+            }
+            return (priceDisplay, qtyDisplay);
+         }
       }
 
       public void Dispose() =>

src/client/spark/Model/Trading/PositionModel.cs

@@ -11,8 +11,9 @@ namespace Spark.Trading {
 
    using mbts.analytics;
    using mbts.spark;
-   using mbts.ui;
 
+   using Spark.Api.Data;
+   using Spark.Api.MarketData;
    using Spark.Api.Orders;
    using Spark.Api.Reactive;
    using Spark.Core;
@@ -81,6 +82,11 @@ namespace Spark.Trading {
          pnl = bus.subscribe(SparkTags.ReportBlackboardTags.PNL.PNLData)
             .Select(d => d.position_data.ToDictionary(u => u.id(), PNLRowData.from_pnl_unit))
             .Table(PNLRowData.key_fn)
+            .JoinBbo(
+               bus.subscribe(SparkTags.SecuritiesTag),
+               pnlRow => pnlRow.key.security_id,
+               (pnlRow, bbo) => pnlRow.with(bid_price: bbo.BidPrice, ask_price: bbo.AskPrice),
+               PNLRowData.key_fn)
             .FullJoin(
                order_data.working_account_security_orders,
                PNLRowData.key_fn,

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;
 
@@ -8,8 +10,15 @@ namespace bts.shell.market_view {
 
    [ProtoContract]
    class MarketViewFilterStates {
+      [ProtoMember(37)]
+      public Venue[] venue { get; set; }
+
+      [ProtoMember(38)]
+      public string[] currency { get; set; }
+
       [ProtoMember(1)]
       public string security { get; set; }
+
       [ProtoMember(2)]
       public DoubleMinMaxState bid_price { get; set; }
 
@@ -123,6 +132,8 @@ 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_discrete_values(currency, r => r.currency);
          pb.add_regex(security, r => r.security.ToString());
          pb.add_regex(security_key, r => r.security_key.ToString());
 

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

@@ -98,7 +98,14 @@ namespace mbts.spark {
          _sec_meta_store = sec_meta_store;
          _settings_hub = settings_hub;
          security_filter = new RegexFilterVM<Row>(r => r.security.ToString(), nameof(Row.security));
-         currency_filter =new RegexFilterVM<Row>(r => r.currency, nameof(Row.currency));
+         currency_filter = DiscreteValuesFilterVM.Create<Row, string>(
+            bus.subscribe(SparkTags.SecuritiesTag)
+               .Sample(TimeSpan.FromSeconds(1))
+               .Select(sec_mds => sec_mds.Values.Select(smd => smd.security.Currency).Distinct().ToList()),
+            r => r.currency,
+            nameof(Row.currency),
+            EqualityComparer<string>.Default,
+            Comparer<string>.Default);
          // rows
          _wrapped_rows = _rows.WrapSelector(r => r.security_md, s => {
             var r = new Row(_bus, s, _orders_model, _position_model);
@@ -122,8 +129,9 @@ 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.Currency, r => r.currency, nameof(Row.currency), currency_filter, FilterType.DiscreteValues, ColWidth.Currency);
          add_col(ColKey.Volume, r => r.volume_text, nameof(Row.volume), volume_filter, FilterType.ULongMinMax, ColWidth.Volume);
 
          // last
@@ -388,8 +396,9 @@ 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, string[]> currency_filter { get; }
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> bid_price_filter { get; } = new DoubleMinMax<Row>(r => r.bid_price, nameof(Row.bid_price));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> bid_qty_filter { get; } = new DoubleMinMax<Row>(r => r.bid_qty_display, nameof(Row.bid_qty_display));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> dbid_qty_filter { get; } = new DoubleMinMax<Row>(r => r.dbid_qty_display, nameof(Row.dbid_qty_display));
@@ -535,6 +544,8 @@ namespace mbts.spark {
 
       public MarketViewFilterStates get_filter_states() =>
          new() {
+            venue = venue_filter.get_state(),
+            currency = currency_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 +591,8 @@ namespace mbts.spark {
          }
 
          using var _ = rows_view.DeferRefresh();
+         venue_filter.load_state(filters.venue);
+         currency_filter.load_state(filters.currency);
          security_filter.load_state(filters.security);
          bid_price_filter.load_state(filters.bid_price);
          bid_qty_filter.load_state(filters.bid_merged_size);
@@ -616,16 +629,16 @@ namespace mbts.spark {
 
       static (string desc, Color fg) _fills_title(ColKey key) =>
          key switch {
-            ColKey.Position => ("Day Fills", Colors.Black),
-            ColKey.RawDayPosition => ("Raw Day Fills", Colors.Black),
-            _ => ("Fills", Colors.Black),
+            ColKey.Position => ("Day Fills", BTSColors.DayFills.foreground),
+            ColKey.RawDayPosition => ("Raw Day Fills", BTSColors.DayFills.foreground),
+            _ => ("Fills", BTSColors.UI.default_text),
          };
 
       static (string desc, Color fg) _orderbook_title(ColKey key) =>
          key switch {
             ColKey.WorkingBids => ((string desc, Color fg))("Working Buy Orders", BTSColors.MarketData.bid),
             ColKey.WorkingAsks => ((string desc, Color fg))("Working Sell Orders", BTSColors.MarketData.ask),
-            _ => ("Working Orders", Colors.Black),
+            _ => ("Working Orders", BTSColors.UI.default_text),
          };
 
       static GridSettings _hide_cols(GridSettings grid, IEnumerable<OrderBookGridView.ColumnKeys> columns) =>

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

@@ -6,6 +6,7 @@ using mbts.ui.controls;
 using mbts.ui.converters;
 using mbts.ui.extensions;
 
+using System;
 using System.Collections.Generic;
 using System.Linq;
 using System.Reactive.Linq;
@@ -127,7 +128,11 @@ namespace mbts.ui.spark {
             size,
             Observable.Return(calc_buttons));
 
-         _show_popup(ticket_vm, new OrderTicketHeader { bbo = ticket_vm.bbo }, resources);
+         _show_popup(
+            ticket_vm,
+            new OrderTicketHeader { bbo = ticket_vm.bbo },
+            resources,
+            view => Behavior.SetAutoFocusTargetProvider(view, AutoFocusTargetProvider.TypeProvider(typeof(TextBox), view)));
       }
 
       void _show_popup(object content, object header) {
@@ -136,7 +141,7 @@ namespace mbts.ui.spark {
          _show_popup(content, header, resources);
       }
 
-      void _show_popup(object content, object header, ResourceDictionary resources) {
+      void _show_popup(object content, object header, ResourceDictionary resources, Action<HeaderedContentControl> init_view = null) {
          var view = new HeaderedContentControl {
             DataContext = content,
             Content = content,
@@ -146,6 +151,7 @@ namespace mbts.ui.spark {
             Resources = resources ?? new AuxiliaryDataResources()
          };
          view.Style = view.Resources[AuxiliaryDataResources.PopupChildStyleKey] as Style;
+         init_view?.Invoke(view);
          _popup_man.show(view);
       }
 

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

@@ -10,6 +10,8 @@ using bts.view;
 
 using mbts.persist;
 using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.extensions;
 using mbts.ui.settings;
 using mbts.ui.spark;
 using mbts.ui.utility;
@@ -27,12 +29,18 @@ using System.Collections.Immutable;
 using System.Collections.Specialized;
 using System.Linq;
 using System.Reactive.Linq;
+using System.Threading;
 using System.Windows;
+using System.Windows.Input;
+using System.Windows.Threading;
 
 namespace mbts.spark {
    class MarketViewWindow : SparkWindow<MarketViewSettings>, ISharedWindow, ISlowMeasureContentSize {
       const string _window_type = "MarketView", _window_type_display_name = "Market View";
 
+      static int _window_id_counter = 0;
+
+      readonly string _window_id = $"{_window_type}_{Interlocked.Increment(ref _window_id_counter)}";
       readonly OrdersModel _orders_model;
       readonly ISecurityMetadataStore _sec_meta_store;
       readonly IPositionModel _position_model;
@@ -122,7 +130,7 @@ namespace mbts.spark {
          Log.notnull(_state);
          _menu_display_vm = new SparkMenuDisplayVM();
          _menu_display_vm.load_from(_state.menu_display);
-         var update_securities_cmd = SparkCommands.change_securities_callback(_window_type_display_name);
+         var update_securities_cmd = SparkCommands.change_securities_callback(_window_id);
          var security_md_map_src = Observable.Create<IReadOnlyDictionary<uint, SecurityMD>>(o => {
             IDisposable sub = null;
             _security_criteria_changed += on_security_criteria_changed;
@@ -286,7 +294,32 @@ namespace mbts.spark {
          }
       }
 
-      protected override void OnParentViewCreated(SparkWindowView parent_view) =>
+      protected override void OnParentViewCreated(SparkWindowView parent_view) {
          _menu_display_vm.safe_bind_to_view(parent_view);
+         ui.WindowStyle.AddWinFormsHostChangedHandler(parent_view, OnWinFormsHostChanged);
+
+         void OnWinFormsHostChanged(object sender, RoutedPropertyChangedEventArgs<WPFPanel> e) {
+            // If this window is "activated" by the user clicking on a popup window (such as an
+            // order ticket), it never receives keyboard focus (seems like a bug in Windows). As a
+            // workaround we explicitly focus the view when the parent WPFPanel gets focus. If the
+            // user clicks on the popup a second time, it should get keyboard focus.
+            if (e.OldValue is not null) {
+               e.OldValue.GotFocus -= OnGotFocus;
+            }
+            if (e.NewValue is not null) {
+               e.NewValue.GotFocus += OnGotFocus;
+            }
+
+            void OnGotFocus(object sender, EventArgs e) =>
+               _view.Dispatcher.InvokeAsync(StealFocus, DispatcherPriority.Send);
+
+            void StealFocus() {
+               if (_view.IsVisible) {
+                  Log.Ui.info($"MarketViewWindow. Stealing focus from WPFPanel");
+                  _view.Focus();
+               }
+            }
+         }
+      }
    }
 }

src/client/spark/Modules/Market/TimeAndSales/TimeAndSalesWindow.cs

@@ -24,6 +24,7 @@
    using System.Diagnostics.CodeAnalysis;
    using System.Linq;
    using System.Reactive.Linq;
+   using System.Threading;
    using System.Windows;
 
    class TimeAndSalesWindow : SparkWindow<TimeAndSalesSettings>, ISharedWindow {
@@ -35,7 +36,9 @@
       const double _VERTICAL_SCROLLBAR_OVERLAP = 9;
 
       static readonly TimeSpan _trade_poll_interval = TimeSpan.FromSeconds(0.4);
+      static int _window_id_counter = 0;
 
+      readonly string _window_id = $"{WINDOW_TYPE_NAME}_{Interlocked.Increment(ref _window_id_counter)}";
       [DisallowNull]
       readonly MDConsumer _consumer;
       [DisallowNull]
@@ -133,7 +136,7 @@
             }
             return result;
          });
-         var update_securities_cmd = SparkCommands.change_securities_callback(WINDOW_DISPLAY_NAME);
+         var update_securities_cmd = SparkCommands.change_securities_callback(_window_id);
          var security_criteria_changed = new Action<SecurityCriteria>(sc => { });
 
          SparkCommand toggle_is_paused_cmd = null;

src/client/spark/Modules/Spreader/ExecutionStrategyEditor.xaml

@@ -626,6 +626,22 @@
             </ComboBox.ItemTemplate>
           </ComboBox>
           <TextBlock
+            Grid.Column="6"
+            x:Name="PART_SpreaderType_Label"
+            VerticalAlignment="Center"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
+            Text="Type"
+          />
+          <ComboBox
+            x:Name="PART_SpreaderType_DropDown"
+            Grid.Column="7"
+            HorizontalAlignment="Stretch"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
+            ItemsSource="{TemplateBinding SpreaderTypeItemsSource}"
+            ItemTemplate="{StaticResource EnumDescriptionTemplate}"
+            SelectedItem="{Binding SpreaderType, RelativeSource={RelativeSource TemplatedParent}}"
+          />
+          <!-- <TextBlock
             Grid.Column="6"
             x:Name="PART_HedgePricing_Label"
             VerticalAlignment="Center"
@@ -642,7 +658,7 @@
             ItemTemplate="{StaticResource EnumDescriptionTemplate}"
             SelectedItem="{Binding HedgePricing, RelativeSource={RelativeSource TemplatedParent}}"
             Visibility="Collapsed"
-          />
+          /> -->
         </Grid>
         <c:DataGridEx
           x:Name="PART_DataGrid"

src/client/spark/Modules/Spreader/ExecutionStrategyEditor.xaml.cs

@@ -237,6 +237,29 @@ namespace mbts.ui.spark {
       }
       #endregion
 
+      #region SpreaderTypeItemsSource
+      public static readonly DependencyProperty SpreaderTypeItemsSourceProperty =
+         WPFHelper.create_dp<IEnumerable, ExecutionStrategyEditor>(
+            nameof(SpreaderTypeItemsSource));
+
+      public IEnumerable SpreaderTypeItemsSource {
+         get => GetValue(SpreaderTypeItemsSourceProperty) as IEnumerable;
+         set => SetValue(SpreaderTypeItemsSourceProperty, value);
+      }
+      #endregion
+
+      #region SpreaderType
+      public static readonly DependencyProperty SpreaderTypeProperty =
+         WPFHelper.create_dp<object, ExecutionStrategyEditor>(
+            nameof(SpreaderType),
+            FrameworkPropertyMetadataOptions.BindsTwoWayByDefault);
+
+      public object SpreaderType {
+         get => GetValue(SpreaderTypeProperty);
+         set => SetValue(SpreaderTypeProperty, value);
+      }
+      #endregion
+
       public override void OnApplyTemplate() =>
          _connect_leg_tuples();
 

src/client/spark/Modules/Spreader/SyntheticDataHelper.cs

@@ -117,6 +117,14 @@ namespace bts.shell {
          public static QuoteInsideMarketDistanceThrottle QuoteInsideMarketDistanceThrottle => new QuoteInsideMarketDistanceThrottle();
          #endregion
 
+         public static SniperQuoteParams SniperQuoteParams => new() {
+            NTicks = 0
+         };
+
+         public static ReverseHedgeQuoteParams ReverseHedgeQuoteParams => new() {
+            NTicks = 0
+         };
+
          #region PreHedge
          public static PreHedgeParams PreHedgeParams => new PreHedgeParams {
             MaxPriceFromInsideMarket = PreHedgeMaxPriceFromInsideMarket,

src/client/spark/Modules/Spreader/SyntheticEditorView.xaml

@@ -36,6 +36,8 @@
       ContractPickerVM="{Binding contract_picker_vm}"
       HedgePricing="{Binding hedge_pricing}"
       HedgePricingItemsSource="{Binding hedge_pricing_options}"
+      SpreaderType="{Binding spreader_type}"
+      SpreaderTypeItemsSource="{Binding spreader_type_options}"
       UseFractionalTicks="{Binding use_fractional_ticks}"
       IntegerTickSize="{Binding integer_tick_size}"
     />

src/client/spark/Modules/Spreader/VM/ParameterRows/Leg/EnableQuotingModel.cs

@@ -1,23 +0,0 @@
-using mbts.ui.spark;
-
-using System.Collections.Generic;
-using System.Linq;
-
-namespace mbts.spark {
-   partial class SyntheticEditorVM {
-      class IsQuoteModel : RowModelBase<bool> {
-         public override string display_name { get; } = "Enable Quoting";
-         public override string help_text { get; } = "This parameter is in the form of a check box, where if the box is checked the leg will be quoted versus not checked, it will not be shown in the market.  If it is not actively quoted in the market, the leg will still be used for calculation of the entire synthetic.";
-         public override string man_page { get; } = string.Empty;
-
-         public override bool get_value(LegSpreaderParamsTuple leg_tup) =>
-            leg_tup.leg_params.IsActiveQuoting;
-
-         public override void set_value(LegSpreaderParamsTuple leg_tup, bool value) =>
-            leg_tup.leg_params.IsActiveQuoting = value;
-
-         public override bool has_errors(IReadOnlyCollection<LegSpreaderParamsTuple> leg_tups) =>
-            !leg_tups.Any(lt => lt.leg_params.IsActiveQuoting);
-      }
-   }
-}

src/client/spark/Modules/Spreader/VM/ParameterRows/Quote/QuoteEnabledModel.cs

@@ -0,0 +1,25 @@
+using mbts.ui.spark;
+
+using System.Collections.Generic;
+using System.Linq;
+
+namespace mbts.spark;
+
+partial class SyntheticEditorVM {
+   class QuoteEnabledModel : RowModelBase<bool> {
+      public override string display_name => string.Empty;
+      public override string help_text => string.Empty;
+      public override string man_page => string.Empty;
+
+      public override ParameterSection[] section_path { get; } = new[] { Sections.Quote };
+
+      public override bool get_value(LegSpreaderParamsTuple leg_tup) =>
+         leg_tup.leg_params.IsActiveQuoting;
+
+      public override void set_value(LegSpreaderParamsTuple leg_tup, bool value) =>
+         leg_tup.leg_params.IsActiveQuoting = value;
+
+      public override bool has_errors(IReadOnlyCollection<LegSpreaderParamsTuple> leg_tups) =>
+         !leg_tups.Any(lt => lt.leg_params.IsActiveQuoting);
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/ReverseHedge/ReverseHedgeEnabledModel.cs

@@ -0,0 +1,35 @@
+using bts.shell;
+
+using mbts.ui.spark;
+
+namespace mbts.spark;
+
+partial class SyntheticEditorVM {
+   class ReverseHedgeEnabledModel : RowModelBase<bool> {
+      readonly ReverseHedgeTicksModel _ticks_model;
+
+      public ReverseHedgeEnabledModel(ReverseHedgeTicksModel ticks_model) =>
+         _ticks_model = ticks_model;
+
+      public override string display_name => string.Empty;
+      public override string help_text => string.Empty;
+      public override string man_page => string.Empty;
+
+      public override ParameterSection[] section_path { get; } = new[] { Sections.ReverseHedge };
+
+      public override bool get_value(LegSpreaderParamsTuple leg_tup) =>
+         leg_tup.leg_params.ReverseHedgeQuoteParams is not null;
+
+      public override void set_value(LegSpreaderParamsTuple leg_tup, bool value) {
+         if (value) {
+            if (leg_tup.leg_params.ReverseHedgeQuoteParams is null) {
+               leg_tup.leg_params.ReverseHedgeQuoteParams = SyntheticDataHelper.Defaults.ReverseHedgeQuoteParams;
+               _ticks_model.apply_value(leg_tup);
+            }
+         } else {
+            leg_tup.leg_params.ReverseHedgeQuoteParams = null;
+         }
+         _ticks_model.set_enabled(leg_tup, value);
+      }
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/ReverseHedge/ReverseHedgeTicksModel.cs

@@ -0,0 +1,42 @@
+using bts.spark;
+
+using mbts.ui.spark;
+
+using System.Collections.Generic;
+
+namespace mbts.spark;
+
+partial class SyntheticEditorVM {
+   internal class ReverseHedgeTicksModel : RowModelBase<int> {
+      readonly Dictionary<int, int> _value_store = new();
+
+      public override string display_name => "Ticks";
+      public override string help_text => string.Empty;
+      public override string man_page => string.Empty;
+
+      public override ParameterSection[] section_path { get; } = new[] { Sections.ReverseHedge };
+
+      public void apply_value(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup).NTicks = _value_from_store(leg_tup);
+
+      public override int get_value(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup)?.NTicks ?? _value_from_store(leg_tup);
+
+      public override void set_value(LegSpreaderParamsTuple leg_tup, int value) {
+         _value_store[leg_tup.id] = value;
+         var s = _get_params(leg_tup);
+         if (s is not null) {
+            s.NTicks = value;
+         }
+      }
+
+      protected override bool _get_enabled(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup) != null;
+
+      ReverseHedgeQuoteParams _get_params(LegSpreaderParamsTuple leg_tup) =>
+         leg_tup.leg_params.ReverseHedgeQuoteParams;
+
+      int _value_from_store(LegSpreaderParamsTuple leg_tup) =>
+         _value_store.get_value(leg_tup.id, _ => 0);
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/RowModel.cs

@@ -94,7 +94,9 @@ namespace mbts.spark {
       }
 
       private static class Sections {
-         public static ParameterSection Quote => new ParameterSection("Quote");
+         public static ParameterSection Sniper => new("Sniper", true);
+         public static ParameterSection ReverseHedge => new("Reverse Hedge", true);
+         public static ParameterSection Quote => new("Quote", true);
          public static ParameterSection PreHedge => new ParameterSection("Pre-Hedge");
          public static ParameterSection PostHedge => new ParameterSection("Post-Hedge");
       }

src/client/spark/Modules/Spreader/VM/ParameterRows/Sniper/SniperEnabledModel.cs

@@ -0,0 +1,35 @@
+using bts.shell;
+
+using mbts.ui.spark;
+
+namespace mbts.spark;
+
+partial class SyntheticEditorVM {
+   class SniperEnabledModel : RowModelBase<bool> {
+      readonly SniperTicksModel _ticks_model;
+
+      public SniperEnabledModel(SniperTicksModel ticks_model) =>
+         _ticks_model = ticks_model;
+
+      public override string display_name => string.Empty;
+      public override string help_text => string.Empty;
+      public override string man_page => string.Empty;
+
+      public override ParameterSection[] section_path { get; } = new[] { Sections.Sniper };
+
+      public override bool get_value(LegSpreaderParamsTuple leg_tup) =>
+         leg_tup.leg_params.SniperQuoteParams is not null;
+
+      public override void set_value(LegSpreaderParamsTuple leg_tup, bool value) {
+         if (value) {
+            if (leg_tup.leg_params.SniperQuoteParams is null) {
+               leg_tup.leg_params.SniperQuoteParams = SyntheticDataHelper.Defaults.SniperQuoteParams;
+               _ticks_model.apply_value(leg_tup);
+            }
+         } else {
+            leg_tup.leg_params.SniperQuoteParams = null;
+         }
+         _ticks_model.set_enabled(leg_tup, value);
+      }
+   }
+}

src/client/spark/Modules/Spreader/VM/ParameterRows/Sniper/SniperTicksModel.cs

@@ -0,0 +1,42 @@
+using bts.spark;
+
+using mbts.ui.spark;
+
+using System.Collections.Generic;
+
+namespace mbts.spark;
+
+partial class SyntheticEditorVM {
+   internal class SniperTicksModel : RowModelBase<int> {
+      readonly Dictionary<int, int> _value_store = new();
+
+      public override string display_name => "Ticks";
+      public override string help_text => string.Empty;
+      public override string man_page => string.Empty;
+
+      public override ParameterSection[] section_path { get; } = new[] { Sections.Sniper };
+
+      public void apply_value(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup).NTicks = _value_from_store(leg_tup);
+
+      public override int get_value(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup)?.NTicks ?? _value_from_store(leg_tup);
+
+      public override void set_value(LegSpreaderParamsTuple leg_tup, int value) {
+         _value_store[leg_tup.id] = value;
+         var s = _get_params(leg_tup);
+         if (s is not null) {
+            s.NTicks = value;
+         }
+      }
+
+      protected override bool _get_enabled(LegSpreaderParamsTuple leg_tup) =>
+         _get_params(leg_tup) != null;
+
+      SniperQuoteParams _get_params(LegSpreaderParamsTuple leg_tup) =>
+         leg_tup.leg_params.SniperQuoteParams;
+
+      int _value_from_store(LegSpreaderParamsTuple leg_tup) =>
+         _value_store.get_value(leg_tup.id, _ => 0);
+   }
+}

src/client/spark/Modules/Spreader/VM/SyntheticEditorVM.cs

@@ -23,6 +23,7 @@ using System.Windows.Input;
 using System.Windows.Media;
 
 using HedgePricing = bts.spark.ExecutionStrategy.Types.HedgePricing;
+using SpreaderType = bts.spark.ExecutionStrategy.Types.SpreaderType;
 
 namespace mbts.spark {
    /// <summary>
@@ -47,6 +48,7 @@ namespace mbts.spark {
       int _integer_tick_size = 1;
       ExecutionStrategyImmutable _strategy;
       HedgePricing _hedge_pricing;
+      SpreaderType _spreader_type;
 
       /// <summary>
       /// Inititalizes a new instance of SyntheticEditorVM class.  This constructor may only be used for already-existing synthetic securities (id must be non-zero).
@@ -198,6 +200,8 @@ namespace mbts.spark {
          } else {
             _can_add_leg = backing(nameof(can_add_leg), false);
          }
+         var sniper_ticks_model = new SniperTicksModel();
+         var reverse_hedge_ticks_model = new ReverseHedgeTicksModel();
          var show_quantity_quantity = new ShowQuantityQuantityModel();
 
          var quote_throttle_outside_ticks = new QuoteThrottleOutsideTicksModel();
@@ -225,15 +229,18 @@ namespace mbts.spark {
 
          var post_hedge_opposite_market_based_cross_threshold = new PostHedgeOppositeMarketVolumeBasedCrossThresholdModel();
          var post_hedge_opposite_market_based_cross_cross_ticks = new PostHedgeOppositeMarketVolumeBasedCrossCrossTicksModel();
-         var is_quote_model = new IsQuoteModel();
          rows = new IRowModel[] {
             _quantity_model,
             _price_mult_model,
-            is_quote_model,
             //new EnableHedgeModel(), //TAHA_SPREADER
             new HedgeRatioModel(),
+            new SniperEnabledModel(sniper_ticks_model),
+            sniper_ticks_model,
+            new ReverseHedgeEnabledModel(reverse_hedge_ticks_model),
+            reverse_hedge_ticks_model,
             //new MinLeanQtyModel(), //TAHA_SPREADER
             //new QuoteHiddenModel(),
+            new QuoteEnabledModel(),
             new QuoteQueueHolderModel(),
             new MarketDataTypeModel(),
             new ShowQuantityEnabledModel(show_quantity_quantity),
@@ -337,6 +344,13 @@ namespace mbts.spark {
       public HedgePricing hedge_pricing { get => _hedge_pricing; set => Set(ref _hedge_pricing, value); }
       public IEnumerable<HedgePricing> hedge_pricing_options => EnumHelper.get_values<HedgePricing>();
 
+      // spreader type
+      public SpreaderType spreader_type {
+         get => _spreader_type;
+         set => Set(ref _spreader_type, value);
+      }
+      public IEnumerable<SpreaderType> spreader_type_options => EnumHelper.get_values<SpreaderType>();
+
       public ExecutionStrategyImmutable get_strategy() {
          var mutable_strategy = _strategy.CloneToMutable();
          mutable_strategy.LegParamsMap.Clear();
@@ -352,6 +366,7 @@ namespace mbts.spark {
          _synthetic.Exchange = Venue.Bts;
          _strategy = strategy;
          hedge_pricing = strategy.HedgePricing;
+         spreader_type = strategy.SpreaderType;
          leg_tuples.SetItems(_get_legs(_synthetic, strategy));
          if (synthetic.HasContractSpec) {
             /// assign the fields <see cref="_use_fractional_ticks"/> and <see cref="_integer_tick_size"/>,

src/client/spark/Modules/Trading/AlgoStudio/View/AlgoEditorGridView/AlgoEditorGridView.xaml

@@ -314,6 +314,12 @@
             <TextBlock Text="{Binding param.display_value, Converter={StaticResource DoubleTextConverter}}"/>
           </DataTemplate>
         </usp:AlgoParamTemplateSelector.DoubleTemplate>
+        <!--Nullable Double-->
+        <usp:AlgoParamTemplateSelector.NullableDoubleTemplate>
+          <DataTemplate>
+            <TextBlock Text="{Binding param.display_value, Converter={StaticResource DoubleTextConverter}}"/>
+          </DataTemplate>
+        </usp:AlgoParamTemplateSelector.NullableDoubleTemplate>
         <!--Enum-->
         <usp:AlgoParamTemplateSelector.EnumTemplate>
           <DataTemplate>
@@ -435,6 +441,20 @@
             </c:TickUpDownDouble>
           </DataTemplate>
         </usp:AlgoParamTemplateSelector.DoubleTemplate>
+        <!--Nullable Double-->
+        <usp:AlgoParamTemplateSelector.NullableDoubleTemplate>
+          <DataTemplate>
+            <c:TickUpDownNullableDouble x:Name="tick_up_down" Focusable="False" HorizontalAlignment="Stretch" Value="{Binding param.display_value, UpdateSourceTrigger=PropertyChanged}" ArrowKeyTickModifiers="Ctrl">
+              <c:TickUpDownNullableDouble.CommandBindings>
+                <CommandBinding Command="{x:Static u:NavigationHelper.MoveFocusCommand}" Executed="{x:Static u:NavigationHelper.KeyboardMoveFocusExecuted}"/>
+              </c:TickUpDownNullableDouble.CommandBindings>
+              <c:TickUpDownNullableDouble.InputBindings>
+                <KeyBinding Key="Up" Command="{x:Static u:NavigationHelper.MoveFocusCommand}" CommandParameter="{x:Static FocusNavigationDirection.Up}"/>
+                <KeyBinding Key="Down" Command="{x:Static u:NavigationHelper.MoveFocusCommand}" CommandParameter="{x:Static FocusNavigationDirection.Down}"/>
+              </c:TickUpDownNullableDouble.InputBindings>
+            </c:TickUpDownNullableDouble>
+          </DataTemplate>
+        </usp:AlgoParamTemplateSelector.NullableDoubleTemplate>
         <!--Enum-->
         <usp:AlgoParamTemplateSelector.EnumTemplate>
           <DataTemplate>

src/client/spark/Modules/Trading/AlgoStudio/View/AlgoEditorGridView/AlgoParamTemplateSelector.cs

@@ -33,6 +33,7 @@ namespace mbts.ui.spark {
       public DataTemplate UIntTemplate { get; set; }
       public DataTemplate NullableUIntTemplate { get; set; }
       public DataTemplate DoubleTemplate { get; set; }
+      public DataTemplate NullableDoubleTemplate { get; set; }
       public DataTemplate EnumTemplate { get; set; }
       public DataTemplate NullableEnumTemplate { get; set; }
       public DataTemplate StringTemplate { get; set; }
@@ -52,6 +53,7 @@ namespace mbts.ui.spark {
          IAlgoParamVM pvm = item as IAlgoParamVM ?? (item as AlgoParamRowVM)?.param;
          if (pvm != null) {
             if (pvm is IAlgoParamVM<double>) return DoubleTemplate;
+            if (pvm is IAlgoParamVM<double?>) return NullableDoubleTemplate;
             if (pvm is IAlgoParamVM<int>) return IntTemplate;
             if (pvm is IAlgoParamVM<int?>) return NullableIntTemplate;
             if (pvm is IAlgoParamVM<uint>) return UIntTemplate;

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

@@ -8,6 +8,7 @@ using mbts.ui.controls;
 
 using ProtoBuf;
 
+using Spark.Api.Data;
 using Spark.Api.Orders;
 
 using System;
@@ -61,6 +62,10 @@ 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; }
@@ -87,7 +92,7 @@ namespace bts.shell.fills {
 
       // PNL's Expiration group popups use this prop to filtered data by a particular exp (it isn't
       // serialized bc it's not part of the main window's settings)
-      public DateTime? exp_date { get; set; }
+      public ExpirationDate? exp_date { get; set; }
    }
 
    static class FillsFilterStatesExtensions {
@@ -113,10 +118,11 @@ 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) {
-            pb.add_date_time(fs.exp_date.Value, f => f.security?.earliest_expiration());
+            pb.add_exp_date(fs.exp_date.Value, f => f.security?.earliest_expiration());
          }
          return pb.to_predicate();
       }

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;
@@ -62,6 +59,7 @@ namespace mbts.spark {
       readonly RefValueContainer<IEnumerable<VolumeAtPriceLevelImmutable>> _volume_container = new();
 
       IDisposable _settings_sub, _volume_sub, _tick_sub, _fair_value_lines_sub, _vm_sub;
+      readonly ThrottledAction _scroll_to_tick_log_throttle = new(TimeSpan.FromSeconds(5));
       readonly SingleValuePump<ScrollViewer> _scroll_viewer_source;
 
       ScrollViewer _scroll_viewer {
@@ -82,6 +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,
@@ -92,8 +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;
@@ -105,17 +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() {
@@ -452,8 +443,8 @@ namespace mbts.spark {
 
       public bool scroll_to_tick(long tick) {
          if (tick > int.MaxValue) {
-            Log.Ui.error(
-               $"Unable to scroll to tick {tick} because it exceeds int.MaxValue");
+            _scroll_to_tick_log_throttle.Execute(() =>
+               Log.Ui.error($"Unable to scroll to tick {tick} because it exceeds int.MaxValue"));
             return false;
          }
          return scroll_to_tick((int)tick);
@@ -635,10 +626,30 @@ namespace mbts.spark {
 
       void _send_parameterized_order(Point point, Side side) {
          Disposable.dispose(ref _parameterized_order_popup);
-         if (side == Side.Undefined)
-            throw new ArgumentException("Side is undefined.", nameof(side));
-         if (!(_vm.size_calculator.value is double size) || size == 0 || !(_vm.order_properties_vm?.selected_algo_definition?.algo_root?.can_expand ?? false))
+         void on_cannot_send(string reason) {
+            Log.Ui.warn($"LadderGridHost cannot send parameterized order. {reason}");
+         }
+         if (_vm is null) {
+            on_cannot_send("ViewModel is null");
             return;
+         }
+         switch (side) {
+            case Side.Buy:
+            case Side.Sell:
+               break;
+            default:
+               on_cannot_send($"Invalid side '{side}'");
+               return;
+         }
+         double size = _vm?.size_calculator?.value ?? 0;
+         if (size > 0) {
+            return;
+         }
+         bool can_expand = _vm?.order_properties_vm?.selected_algo_definition?.algo_root?.can_expand ?? false;
+         if (!can_expand) {
+            on_cannot_send("Selected algo not parameterized");
+            return;
+         }
          double price = _price_for_row(_row_for_point(point));
          var grid = new Grid { DataContext = _vm };
          grid.RowDefinitions.Add(new RowDefinition { Height = new GridLength(1, GridUnitType.Star) });
@@ -710,6 +721,10 @@ namespace mbts.spark {
       }
 
       async Task _show_mbo_popup(Point point) {
+         if (_vm is null) {
+            Log.Ui.warn("Cannot show mbo popup. ViewModel is null.");
+            return;
+         }
          var query = MBOPopupModel.default_query.with(
             security_id: _vm.model.security.Id,
             price_level: price_for_point(point)
@@ -735,8 +750,8 @@ 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) {
@@ -870,32 +885,13 @@ 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();
@@ -908,9 +904,9 @@ 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();
@@ -956,6 +952,7 @@ 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;
@@ -1014,8 +1011,10 @@ 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 {
@@ -1102,19 +1101,34 @@ 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(
@@ -1151,10 +1165,8 @@ namespace mbts.spark {
                         _scroll_viewer.ScrollToVerticalOffset(new_vertical_offset);
                      }
                   }
-                  _refresh_prices();
-               } else {
-                  _refresh_prices();
                }
+               _refresh_prices();
                scroll_to_pending_target();
                _refresh_all_visuals();
             } else {
@@ -1163,8 +1175,17 @@ 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();
@@ -1174,8 +1195,16 @@ 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();
@@ -1190,25 +1219,27 @@ 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() {
@@ -1264,33 +1295,50 @@ 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>
@@ -1345,7 +1393,7 @@ 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)} ";
          }
       }
 
@@ -1361,7 +1409,7 @@ 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);
@@ -1398,29 +1446,42 @@ 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 ?? double.NaN);
+         return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
       double _normalize_price(double price) =>
          TickUtils.normalize_price(_spec, price);
 
       double _get_ask_market_break() {
+         if (_vm is null) {
+            return double.NaN;
+         }
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
-         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 ?? double.NaN);
+         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 ?? double.NaN);
+         return _spec.round_to_tick(v, RoundingMode.AbsDown);
       }
 
       double _get_session_low() => _normalize_price(_get_session_low_raw());
       double _get_session_high() => _normalize_price(_get_session_high_raw());
 
-      double _get_session_low_raw() => _vm.md.session_low;
-      double _get_session_high_raw() => _vm.md.session_high;
+      double _get_session_low_raw() => _vm?.md?.session_low ?? double.NaN;
+      double _get_session_high_raw() => _vm?.md?.session_high ?? double.NaN;
 
       void _render_mkt_break(DrawingVisual vis, double price, uint color) =>
          LadderRender.render_mkt_break(vis, _row_for_price(price), _settings.row_height, color);
@@ -1441,11 +1502,17 @@ namespace mbts.spark {
          }
          /// The viewmodel will always have the most up-to-date settings, so ignore <see cref="s"/> and just get it from <see cref="_vm"/>.
          /// This is a workaround for the global settings-defaults issue: when defaults are updated, some properties are inadvertantly overwritten, such as column-widths, etc.
-         _settings = _vm.get_save_state();
+         _settings = _vm?.get_save_state() ?? s;
          _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);
@@ -1457,9 +1524,13 @@ 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)
@@ -1469,18 +1540,16 @@ 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
@@ -1509,19 +1578,19 @@ namespace mbts.spark {
          _visual_host.AddVisualChild(_mid_mkt_break_vis);
          _visual_host.AddVisualChild(_ask_mkt_break_vis);
          _visual_host.AddVisualChild(_bid_mkt_break_vis);
-         _fair_value_lines_sub = ui.utility.ObservableAutoWrapper.connect(
-            _vm.fair_value_lines,
-            _mkt_break_lines.fair_value_line_views,
-            vm => {
-               var with_vis = new FairValueLineWithVis(vm);
-               _visual_host.AddVisualChild(with_vis.vis);
-               return with_vis;
-            },
-            with_vis => _visual_host.RemoveVisualChild(with_vis.vis));
+         if (_vm is not null) {
+            _fair_value_lines_sub = ui.utility.ObservableAutoWrapper.connect(
+               _vm.fair_value_lines,
+               _mkt_break_lines.fair_value_line_views,
+               vm => {
+                  var with_vis = new FairValueLineWithVis(vm);
+                  _visual_host.AddVisualChild(with_vis.vis);
+                  return with_vis;
+               },
+               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
@@ -1530,6 +1599,7 @@ 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.
@@ -1537,16 +1607,27 @@ 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 = "-";
@@ -79,13 +78,6 @@ namespace mbts.spark {
       public static int index_of(IList<double> prices, double price, IComparer<double> comparer, bool relative_idx) {
          for (int i = 1; i < prices.Count; i++) {
             Log.assert(prices[i - 1] > prices[i]);
-            var c = comparer.Compare(prices[i - 1], prices[i]);
-            if (c >= 0) {
-               c = comparer.Compare(prices[i - 1], prices[i]);
-            } else {
-               c = comparer.Compare(prices[i - 1], prices[i]);
-            }
-            Log.assert(c < 0);
          }
          var idx = CollectionHelper.binary_search(prices, price, comparer);
          if (relative_idx && idx < 0) {
@@ -109,17 +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) {
@@ -135,51 +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));
@@ -205,69 +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();
-               checked {
-                  curr_index += (int)tick_diff;
-               }
-               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(
@@ -280,7 +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);
@@ -303,12 +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;
@@ -335,11 +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();
@@ -366,9 +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()) {
@@ -388,7 +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);
             }
          }
       }
@@ -400,10 +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);
          }
       }
@@ -417,13 +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},
@@ -836,6 +956,13 @@
                 </Style>
               </uag:OrderDetailsPopupControl.Resources>
             </uag:OrderDetailsPopupControl>
+            
+            <ComboBox
+              Margin="2"
+              ItemsSource="{Binding spreader_type_choices}"
+              SelectedItem="{Binding spreader_type}"
+              Visibility="{Binding HasItems, Mode=OneWay, RelativeSource={RelativeSource Self}, Converter={StaticResource BooleanToVisibilityConverter}}"
+            />
 
             <!-- Position into Qty Button -->
             <Button
@@ -879,6 +1006,7 @@
               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 +1029,8 @@
                       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 +1050,7 @@
               Margin="2"
               HorizontalAlignment="Stretch"
               Command="{Binding size_calculator.clear}"
+              ToolTip="Clear Size"
               Visibility="{Binding
                 show_clear, Converter={StaticResource BooleanToVisibilityConverter}}"
               Style="{StaticResource CommonButton}">
@@ -931,6 +1061,7 @@
             <CheckBox
               Margin="2"
               IsChecked="{Binding auto_clear}"
+              ToolTip="Clear Size after order"
               Visibility="{Binding
                 show_auto_clear, Converter={StaticResource BooleanToVisibilityConverter}}">
               Auto Clear
@@ -973,19 +1104,19 @@
               <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/ManualFills/ManualFillRow.cs

@@ -5,6 +5,7 @@ using mbts.spark;
 using mbts.ui;
 using mbts.ui.shell;
 
+using Spark.Api.Data;
 using Spark.Core.Data;
 using Spark.Core.Disposables;
 using Spark.Core.Reflection;

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.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
@@ -232,6 +236,10 @@ namespace mbts.spark {
                new DoubleMinMax<OrderRecordTupleWithRoot>(
                   ort => ort.order.order.filled_quantity(),
                   nameof(OrderBookRowVM.filled_quantity))));
+            // filled notional value
+            Add(filled_notional_value_column = new FilledNotionalValueColumn(
+               new DoubleMinMax<OrderRecordTupleWithRoot>(
+                  ort => ort.filled_notional_value, nameof(OrderBookRowVM.filled_notional_value))));
             // price
             Add(price_column = new SimpleTextColumn<DoubleMinMaxState>(
                Columns.Price,
@@ -363,9 +371,11 @@ 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; }
+         public FilledNotionalValueColumn filled_notional_value_column { get; }
          public SimpleTextColumn<DoubleMinMaxState> last_price_column { get; }
          public SimpleTextColumn<DoubleMinMaxState> avg_price_column { get; }
          public SimpleTextColumn<OrderStatus[]> status_column { get; }
@@ -391,8 +401,10 @@ 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(),
+               filled_notional_value = filled_notional_value_column.filter.get_state(),
                avg_price = avg_price_column.filter.get_state(),
                last_price = last_price_column.filter.get_state(),
                statuses = status_column.filter.get_state(),
@@ -415,7 +427,9 @@ 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);
+               filled_notional_value_column.filter.load_state(fs.filled_notional_value);
                side_column.filter.load_state(fs.sides);
                order_type_column.filter.load_state(fs.order_types);
                root_algo_type_column.filter.load_state(fs.root_algo_types);
@@ -645,6 +659,32 @@ 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.NotionalValue,
+                 filter,
+                 DataGridFilterKnownTemplates.DoubleMinMax,
+                 _wrap_comparer(r => r.notional_value)) { }
+
+         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)) { }
@@ -664,6 +704,32 @@ namespace mbts.spark {
                DefaultCellPadding);
       }
 
+      public class FilledNotionalValueColumn : OrderbookColumnBase<DoubleMinMaxState>, IRenderColumn<OrderBookRowVM> {
+         public FilledNotionalValueColumn(IDataGridColumnPersistentFilter<OrderRecordTupleWithRoot, DoubleMinMaxState> filter)
+            : base(
+                 Columns.FilledNotionalValue,
+                 DefaultColumnHeaders.FilledNotionalValue,
+                 r => r.filled_notional_value_text,
+                 DefaultColumnWidths.FilledNotionalValue,
+                 filter,
+                 DataGridFilterKnownTemplates.DoubleMinMax,
+                 _wrap_comparer(r => r.filled_notional_value)) { }
+
+         public void draw(OrderBookRowVM row, DrawingContext dc, ColumnGeometry position, double row_height) =>
+            CellRender.draw_text(
+               dc,
+               _get_glyph_context(row),
+               font_size,
+               row.filled_notional_value_text,
+               position,
+               row_height,
+               RenderUtils.get_side_brush(row),
+               background_brush,
+               horizontal_alignment,
+               VerticalAlignment.Center,
+               DefaultCellPadding);
+      }
+
       public class OrderBookOrderTypeColumn : OrderTypeColumn<Columns>, ICVOrderBookColumn {
          readonly BindingBase _foreground_binding;
          ListSortDirection? _cached_sort_direction;

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;
@@ -8,6 +8,7 @@ using bts.utils;
 using mbts.ui;
 using mbts.ui.controls;
 
+using Spark.Api.Data;
 using Spark.Api.Orders;
 using Spark.Core.Collections;
 using Spark.ViewModel.Commands;
@@ -108,6 +109,8 @@ 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_tuple.notional_value;
+      public string notional_value_text => _fmt_price(notional_value);
       public TickDisplaySettingsImmutable quantity_display_settings {
          get => _quantity_display_settings;
          set {
@@ -128,6 +131,8 @@ namespace mbts.spark {
          filled_quantity.safe_divide(_display_qty_divisor);
       public string display_filled_quantity_text =>
          quantity_display_settings.to_tick_display_settings().format(display_filled_quantity);
+      public double filled_notional_value => order_tuple.filled_notional_value;
+      public string filled_notional_value_text => _fmt_price(filled_notional_value);
       public string last_msg => order.last_msg();
       // piq
       public uint piq => order_tuple.order.piq ?? uint.MaxValue;
@@ -355,9 +360,15 @@ namespace mbts.spark {
             if (_prospective_qty_translator_backing != null)
                _prospective_qty_translator_backing.actual_value = quantity;
          }
+         if ((Columns.NotionalValue & dirty) == Columns.NotionalValue) {
+            RaisePropertyChanged(nameof(notional_value), nameof(notional_value_text));
+         }
          if ((Columns.Filled & dirty) != 0) {
             RaisePropertyChanged(nameof(filled_quantity), nameof(display_filled_quantity));
          }
+         if ((Columns.FilledNotionalValue & dirty) == Columns.FilledNotionalValue) {
+            RaisePropertyChanged(nameof(filled_notional_value), nameof(filled_notional_value_text));
+         }
          // badge fill
          if (old_order_tuple.order.meta?.badge_color != order_tuple.order.meta?.badge_color) {
             // invalidate by setting to null (will be re-instantiated in the public getter)
@@ -521,6 +532,12 @@ namespace mbts.spark {
             if (oldval.order.piq != newval.order.piq) {
                dirty |= Columns.Piq;
             }
+            if (oldval.notional_value != newval.notional_value) {
+               dirty |= Columns.NotionalValue;
+            }
+            if (oldval.filled_notional_value != newval.filled_notional_value) {
+               dirty |= Columns.FilledNotionalValue;
+            }
             return dirty;
          }
       }

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;
                }