fix build: Trivial changes to fix emumba_deribit build

* Use "Unix Makefiles" generator when building websocket-library.
  - Ninja tries to build things in parallel, and doesn't build the
    ExternalProject dependencies in the right order. Consequently, the
    websocket-library build fails because it can't find "libspdlog.a".

* Replace a few leftover SPDLOG_ERROR macros w/ LOG_ERROR (the latter
  logs in our system, not spdlog).

.config/dotnet-tools.json

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

.vscode/launch.json

@@ -31,7 +31,24 @@
       "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": [],
@@ -110,20 +127,104 @@
     },
     {
       "name": "Sparkd",
-      "type": "coreclr",
+      "type": "cppdbg",
       "request": "launch",
-      "preLaunchTask": "Build Sparkd (Debug | Clang)",
       "program": "",
       "linux": {
-        "program": "sparkd",
-      },
-      "args": [
-        "run"
-      ],
-      "cwd": "build/sparkd-debug-clang/server",
-      "stopAtEntry": false,
-      "console": "integratedTerminal"
-    }
+        "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 +255,10 @@
       "description": "Config Server URL",
       "default": "http://localhost:8000/config",
     },
+    {
+      "id": "sparkdTest",
+      "type": "promptString",
+      "description": "Test to run",
+    },
   ]
-}
+}

CMakeLists.txt

@@ -88,9 +88,15 @@ 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")
@@ -110,6 +116,8 @@ else()
 
   # subdirs
   if (BUILD_SPARKD)
+    add_subdirectory(src/lib_binance_execution)
+    add_subdirectory(src/lib_deribit_emumba)
     add_subdirectory(src/server/sparkd)
     add_subdirectory(src/data_files)
   endif()

CMakePresets.json

@@ -302,16 +302,7 @@
         "lhs": "${hostSystemName}",
         "rhs": "Linux"
       },
-      "hidden": true,
-      "targets": [
-        "data_files_dir",
-        "admin_web_app_bundle",
-        "install",
-        "libspark",
-        "rapidjson_project",
-        "server_layout",
-        "sparkd"
-      ]
+      "hidden": true
     },
 
     {

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_modules/websocket-libraryConfig.cmake

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

src/DataStreamSuite/DataStream/DataStream.csproj

@@ -23,7 +23,6 @@
     <PackageReference Include="MongoDB.Driver" Version="2.23.1" />
     <PackageReference Include="Parquet.Net" Version="5.0.1" />
     <PackageReference Include="System.Data.SQLite" Version="1.0.118" />
-    <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
   </ItemGroup>
 
 </Project>

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

@@ -4,46 +4,42 @@ namespace bts.SilverPine {
    using System;
    using System.Collections.Generic;
    using System.Linq;
-   //using MathNet.Numerics.Statistics;
 
+   using ZstdSharp.Unsafe;
 
-   public enum MultiRowOp {
+   public enum GroupByBundleOp {
       Mean,
       Median,
       Mode,
-      Range,
       StdDev,
       Max,
       Min,
       First,
       Last,
-      Sum,
-      EdgeDiff,
-      EdgeDiffPercentage,
-      //IsEdgeDiff,
+      Sum
    }
-   public class MultiRowOpHelper {
-      public readonly List<Tuple<string, MultiRowOp>> operations;
+   public class GroupByBundle {
+      public readonly List<Tuple<string, GroupByBundleOp>> operations;
 
-      public static MultiRowOpHelper parse(string text) {
+      public static GroupByBundle parse(string text) {
          // text is inp_col: op, inp_col: op, inp_col:op
-         List<Tuple<string, MultiRowOp>> rv = new List<Tuple<string, MultiRowOp>>();
+         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();
-            MultiRowOp op = Enum.Parse<MultiRowOp>(op_txt, true);
+            GroupByBundleOp op = Enum.Parse<GroupByBundleOp>(op_txt, true);
             rv.Add(Tuple.Create(inp_col, op));
          }
-         return new MultiRowOpHelper(rv);
+         return new GroupByBundle(rv);
       }
 
-      public MultiRowOpHelper(List<Tuple<string, MultiRowOp>> operations_) {
+      public GroupByBundle(List<Tuple<string, GroupByBundleOp>> operations_) {
          operations = operations_;
       }
 
-      public static IBlueRow group_by(List<IBlueRow> rows, MultiRowOpHelper parameters) {
+      public static IBlueRow group_by(List<IBlueRow> rows, GroupByBundle parameters) {
          if (rows.Count() == 0) {
             return null;
          }
@@ -51,8 +47,8 @@ namespace bts.SilverPine {
          IBlueRow ir = rows.ElementAt(0);
          IBlueTableSchema in_schema = ir.schema;
          IBlueTableSchema out_schema = in_schema;
-         IDictionary<string, Tuple<string, MultiRowOp>> out_col_map =
-            new Dictionary<string, Tuple<string, MultiRowOp>>();
+         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);
@@ -62,7 +58,7 @@ namespace bts.SilverPine {
          foreach (var kv in out_col_map) {
             string out_col_name = kv.Key;
             string in_col_name = kv.Value.Item1;
-            MultiRowOp op = kv.Value.Item2;
+            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);
@@ -70,51 +66,20 @@ namespace bts.SilverPine {
          return or;
       }
 
-      // rolling_rows are the rolling window of rows. the 0th row is the one thats gettin
-      // calculated. rows 1 - n-1 are its window rows. the schema is based on the operations.
-
-      public IBlueRow rolling_calc(List<IBlueRow> rolling_rows) {
-         if (rolling_rows.Count() == 0) {
-            return null;
-         }
-         IBlueRow ir = rolling_rows.ElementAt(0);
-         IBlueTableSchema in_schema = ir.schema;
-         IBlueTableSchema out_schema = in_schema;
-         IDictionary<string, Tuple<string, MultiRowOp>> out_col_map =
-            new Dictionary<string, Tuple<string, MultiRowOp>>();
-         foreach (var t in 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;
-            MultiRowOp op = kv.Value.Item2;
-            IEnumerable<double> col_vals = BlueDataUtility.get_colvalues<double>(rolling_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, MultiRowOp op) {
+      public static double compute_op(IEnumerable<double> col_vals, GroupByBundleOp op) {
          switch (op) {
-            case MultiRowOp.Max:
+            case GroupByBundleOp.Max:
                return col_vals.Max<double>();
-            case MultiRowOp.Min:
+            case GroupByBundleOp.Min:
                return col_vals.Min<double>();
-            case MultiRowOp.Mean:
+            case GroupByBundleOp.Mean:
                return col_vals.Sum() / col_vals.Count();
-            case MultiRowOp.Sum:
+            case GroupByBundleOp.Sum:
                return col_vals.Sum();
-            case MultiRowOp.First:
+            case GroupByBundleOp.First:
                return col_vals.First();
-            case MultiRowOp.Last:
+            case GroupByBundleOp.Last:
                return col_vals.Last();
-            case MultiRowOp.StdDev:
-               return MathNet.Numerics.Statistics.Statistics.StandardDeviation(col_vals);
             default:
                // TODO
                Log.assert(false);

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

@@ -1,20 +0,0 @@
-namespace bts.SilverPine {
-   using BCG;
-
-   using System;
-
-   [DataStreamUserRespresentation("AggregationStream")]
-   public class AgregationStream : ViewStream {
-
-      public AgregationStream(ViewStream parent_str, string operation_txt) {
-         ViewStream rs = new NonIncGroupByStream(parent_str, String.Empty, operation_txt);
-         mySetRealSource(rs);
-      }
-
-      public AgregationStream(ViewStream parent_str, string groupby_col, string operation_txt) {
-         ViewStream rs = new NonIncGroupByStream(parent_str, groupby_col, operation_txt);
-         mySetRealSource(rs);
-      }
-   }
-
-}

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

@@ -8,7 +8,7 @@ using bts;
 using bts.SilverPine;
 
 namespace BCG {
-   [DataStreamUserRespresentation("AggregateStream")]
+   [DataStreamUserRespresentation("aggregate")]
    public class NonIncGroupByStream : ViewStream {
       private class DelNonIncGroupByEvaluator : INonIncGroupByEvaluator {
          Func<string[]> _groupby_cols_func;
@@ -53,18 +53,15 @@ namespace BCG {
                                  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)
-      : this(parent_str, groupby_col, standard_group_by_text, String.Empty) { }
-
-      public NonIncGroupByStream(ViewStream parent_str, string groupby_col, string standard_group_by_text, string optional_sort_col) {
-         MultiRowOpHelper std_group_by = MultiRowOpHelper.parse(standard_group_by_text);
+      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 = MultiRowOpHelper.group_by(group_rows, std_group_by);
+            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);

src/DataStreamSuite/DataStream/Primitives/Map/GlobalMapStream.cs

@@ -69,6 +69,4 @@ namespace bts {
          myFireEvent(dp_out);
       }
    }
-
-
 }

src/DataStreamSuite/DataStream/Primitives/Map/MapStream.cs

@@ -13,8 +13,9 @@ namespace BCG {
    /// desired row ie newRow = f(row), where f is the mapping fucntion. Note that the id 
    /// is preserved across the rows, ie row["id"] = f(row)["id"]
    /// </summary>
-   [DataStreamUserRespresentation(false)]
-   public class MapStream : MethodDrivenStream {
+   [DataStreamUserRespresentation (false)]
+   public class MapStream : MethodDrivenStream
+   {
       protected IStreamMapper myMapper;
       protected IChangeableStreamMapper myChangeableMapper = null;
       private bool myUseNewMap = Configuration.get<DataStreamConfig>().UseNewMap;

src/DataStreamSuite/DataStream/Primitives/Map/RollingComputationStream

@@ -1,14 +0,0 @@
-namespace bts.SilverPine
-{
-   using BCG;
-
-   [DataStreamUserRespresentation("RollingComputationStream")]
-   public class RollingComputationStream : ViewStream
-   {
-      private ViewStream _parent_str;
-      public RollingComputationStream(ViewStream parent_str, string operation_txt, string roll_column, uint window_sz)
-      {
-
-      }
-   }
-}

src/DataStreamSuite/DataStream/Primitives/Map/RollingComputationStream.cs

@@ -1,10 +0,0 @@
-namespace bts.SilverPine {
-   using BCG;
-
-
-   [DataStreamUserRespresentation("RollingComputationStream")]
-   public class RollingComputationStream : ViewStream {
-      public RollingComputationStream(ViewStream parent_str, string operation_txt, string roll_column, uint window_sz) {
-      }
-   }
-}

src/DataStreamSuite/DataStream/Primitives/Project/New/NewProjectStream.cs

@@ -108,7 +108,6 @@ namespace bts {
 
    }
 
-   [DataStreamUserRespresentation("Project")]
    public class NewProjectStream : ViewStream, IStreamMapper {
 
       private ViewStream _stream;

src/DataStreamSuite/DataStream/Primitives/Union/MutableAppendStream.cs

@@ -1,15 +1,18 @@
 using System;
 using System.Collections.Generic;
-
 using mbts;
 
-namespace BCG {
-   internal class MutableAppendTable : IBlueRowCollection {
-      private class MyRow : IBlueRow {
+namespace BCG
+{
+   internal class MutableAppendTable : IBlueRowCollection
+   {
+      private class MyRow : IBlueRow
+      {
          private IBlueRow myRow;
          private int myID;
 
-         public MyRow(IBlueRow r, int id) {
+         public MyRow(IBlueRow r, int id)
+         {
             myRow = r;
             myID = id;
          }
@@ -18,8 +21,10 @@ namespace BCG {
 
          public IBlueTableSchema schema { get { return myRow.schema; } }
 
-         public object this[int index] {
-            get {
+         public object this[int index]
+         {
+            get
+            {
                if (myRow.schema[index].colName == "id")
                   return myID;
                else
@@ -47,17 +52,20 @@ namespace BCG {
 
          public System.Collections.ICollection Keys { get { return myRow.Keys; } }
 
-         public void Remove(object key) { throw new Exception("The method or operation is not implemented."); }
+         public void Remove(object key) {throw new Exception("The method or operation is not implemented.");}
 
-         public System.Collections.ICollection Values {
-            get {
+         public System.Collections.ICollection Values
+         {
+            get
+            {
                object[] vals = new object[myRow.Count];
                CopyTo(vals, 0);
                return vals;
             }
          }
 
-         public object this[object key] {
+         public object this[object key]
+         {
             get { return key is string ? this[key as string] : this[(int)key]; }
             set { throw new Exception("The method or operation is not implemented."); }
          }
@@ -66,7 +74,8 @@ namespace BCG {
 
          #region ICollection Members
 
-         public void CopyTo(Array array, int index) {
+         public void CopyTo(Array array, int index)
+         {
             myRow.CopyTo(array, index);
             array.SetValue(myID, index + myRow.schema["id"].colNo);
          }
@@ -81,7 +90,8 @@ namespace BCG {
 
          #region IEnumerable Members
 
-         System.Collections.IEnumerator System.Collections.IEnumerable.GetEnumerator() { return new BlueRowEnumerator(this); }
+         System.Collections.IEnumerator System.Collections.IEnumerable.GetEnumerator()
+         { return new BlueRowEnumerator(this); }
 
          #endregion
       }
@@ -96,7 +106,8 @@ namespace BCG {
 
       public MutableAppendTable(IBlueTableSchema schema) { myRows = new BlueTable(schema); }
 
-      public IBlueRow addRow(IBlueRow r, int tableNo) {
+      public IBlueRow addRow(IBlueRow r, int tableNo)
+      {
          if (!myIDMap.ContainsKey(tableNo))
             myIDMap.Add(tableNo, new Dictionary<int, IBlueRow>());
          IBlueRow nr = new MyRow(r, myID++); // BlueDataUtility.getNewReplacedRow(r, myID++, "id");
@@ -105,17 +116,20 @@ namespace BCG {
          return nr;
       }
 
-      public IBlueRow removeRow(IBlueRow r, int tableNo) {
+      public IBlueRow removeRow(IBlueRow r, int tableNo)
+      {
          IBlueRow dr = myIDMap[tableNo][(int)r["id"]];
          myRows.deleteRow(dr);
          myIDMap[tableNo].Remove((int)r["id"]);
          return dr;
       }
 
-      public IBlueRowCollection removeTable(int tableNo) {
+      public IBlueRowCollection removeTable(int tableNo)
+      {
          if (!myIDMap.ContainsKey(tableNo))
             return null;
-         else {
+         else
+         {
             BlueTable rv = new BlueTable(myRows.schema);
             foreach (IBlueRow r in myIDMap[tableNo].Values)
                rv.addRow(r);
@@ -125,7 +139,8 @@ namespace BCG {
          }
       }
 
-      public void clear() {
+      public void clear()
+      {
          myRows.clear();
          myIDMap.Clear();
       }
@@ -136,7 +151,7 @@ namespace BCG {
 
       public IBlueTableSchema schema { get { return myRows.schema; } }
 
-      public bool containsID(int id) { return myRows.containsID(id); }
+      public bool containsID(int id) {return myRows.containsID(id);}
 
       #endregion
 
@@ -154,7 +169,7 @@ namespace BCG {
 
       #region IEnumerable Members
 
-      public System.Collections.IEnumerator GetEnumerator() { return myRows.GetEnumerator(); }
+      public System.Collections.IEnumerator GetEnumerator() {return myRows.GetEnumerator();}
 
       #endregion
    }
@@ -164,8 +179,8 @@ namespace BCG {
    /// to append (or remove) more streams at
    /// runtime
    /// </summary>
-   [DataStreamUserRespresentation("UnionStream")]
-   public class MutableAppendStream : ViewStream {
+   public class MutableAppendStream : ViewStream
+   {
       private bool mySubscriptionActive = false;
       private MutableAppendTable myTable;
       private int myMovingIndex;
@@ -173,17 +188,22 @@ namespace BCG {
       private bool _allign_col_orders = true;
 
       public MutableAppendStream(params ViewStream[] streams)
-         : this(new List<ViewStream>(streams)) { }
+         : this(new List<ViewStream>(streams))
+      { }
 
       public MutableAppendStream(bool allign_col_order, params ViewStream[] streams)
-         : this(allign_col_order, new List<ViewStream>(streams)) { }
+         : this(allign_col_order, new List<ViewStream>(streams))
+      { }
 
       public MutableAppendStream(ICollection<ViewStream> streams)
-         : this(true, streams) { }
+         : this(true, streams)
+      { }
 
-      public MutableAppendStream(bool allign_col_orders, ICollection<ViewStream> streams) {
+      public MutableAppendStream(bool allign_col_orders, ICollection<ViewStream> streams)
+      {
          _allign_col_orders = allign_col_orders;
-         foreach (ViewStream vs in streams) {
+         foreach (ViewStream vs in streams)
+         {
             myMovingIndex++;
             ViewStream pj = new ChangeTableNameStream(vs, myMovingIndex.ToString());
             if (_allign_col_orders)
@@ -192,7 +212,8 @@ namespace BCG {
          }
       }
 
-      public void addStream(ViewStream vs) {
+      public void addStream(ViewStream vs)
+      {
          myMovingIndex++;
          ///the change name is done to identify the callbacks, and the project to
          ///make all the schemas col orders the same
@@ -204,14 +225,19 @@ namespace BCG {
             pj.onChange += new ChangeDelegate(myHandleStreamChanges);
       }
 
-      public void removeStream(ViewStream vs) {
+      public void removeStream(ViewStream vs)
+      {
          int index = -1;
-         foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex) {
-            if (p.Value.first == vs) {
+         foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex)
+         {
+            if (p.Value.first == vs)
+            {
                index = p.Key;
-               if (mySubscriptionActive) {
+               if (mySubscriptionActive)
+               {
                   p.Value.second.onChange -= new ChangeDelegate(myHandleStreamChanges);
-                  if (myTable != null) {
+                  if (myTable != null)
+                  {
                      IBlueRowCollection delRows = myTable.removeTable(p.Key);
                      if (delRows != null)
                         myFireEvent(new DataPacket(myTable, new BlueTable(myTable.schema), delRows));
@@ -224,13 +250,15 @@ namespace BCG {
          }
       }
 
-      protected override void myOnFirstSubscriber() {
+      protected override void myOnFirstSubscriber()
+      {
          mySubscriptionActive = true;
          foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex)
             p.Value.second.onChange += new ChangeDelegate(myHandleStreamChanges);
       }
 
-      protected override void myOnLastSubscriber() {
+      protected override void myOnLastSubscriber()
+      {
          mySubscriptionActive = false;
          foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex)
             p.Value.second.onChange -= new ChangeDelegate(myHandleStreamChanges);
@@ -238,17 +266,20 @@ namespace BCG {
             myTable.clear();
       }
 
-      private void myHandleStreamChanges(object newValue) {
+      private void myHandleStreamChanges(object newValue)
+      {         
          DataPacket dp = newValue as DataPacket;
          myTable = myTable ?? new MutableAppendTable(new BlueTableSchema("MutableAppend", dp.schema.columnInfo));
          BlueTable adds = new BlueTable(myTable.schema),
                      dels = new BlueTable(myTable.schema);
          int index = Int32.Parse(dp.schema.tableName);
-         foreach (IBlueRow r in dp.deletedRows) {
+         foreach (IBlueRow r in dp.deletedRows)
+         {
             IBlueRow dr = myTable.removeRow(r, index);
             dels.addRow(dr);
          }
-         foreach (IBlueRow r in dp.addedRows) {
+         foreach (IBlueRow r in dp.addedRows)
+         {
             IBlueRow nr = myTable.addRow(r, index);
             adds.addRow(nr);
          }

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

@@ -148,27 +148,14 @@ namespace bts.SilverPine {
 
    [DataStreamUserRespresentation("FutureHistoricalBars")]
    public class FutureHistoricalBarsStream : ViewStream {
-      public FutureHistoricalBarsStream(string fut_contract, string bar_size_txt, 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 = Enum.Parse<BarSize>(bar_size_txt, true);
-         ViewStream rs = new FutureHistoricalBarsStream(fut_contract, bar_size.ToString(), dt_range_beg, dt_range_end);
-         mySetRealSource(rs);
-      }
-
       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_DAY : BarSize.ONE_MIN;
+         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,
                                         DateTime dt_range_beg, DateTime dt_range_end)
                                         :

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

@@ -43,11 +43,4 @@ namespace bts.SilverPine {
          mySetRealSource(r);
       }
    }
-
-   [DataStreamUserRespresentation("PeriodicVolumeAgg")]
-   public class PeriodicVolumeAggregationStream : ViewStream {
-      public PeriodicVolumeAggregationStream(string future_contract, string contract_type, DateTime range_beg, DateTime range_end,
-                                             TimeSpan period, ViewStreamDatabase db) {
-      }
-   }
 }

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

@@ -100,9 +100,9 @@ namespace bts.SilverPine {
       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(symbol_or_contract, beg_dt.ToString(), end_dt.ToString());
-         // since this is already filtered, we can groupBy iit without a groupBy column
+         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,

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

@@ -90,15 +90,20 @@ namespace bts.SilverPine {
       // 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) {
-         symbol = symbol.EndsWith("*") ? symbol : symbol + "*";
          ViewStream r = new FuturesHistorical1DayBarsStream(symbol);
-         r = new ContractExpanderStream(r, "symbol");
-         r = new FilterStream(r, "contract_type='Future'");
-         // finding the max volume across symbols, if we need to do this for open_interest, then join here 
-         // with the open interest stream on symbol/contract
-         r = new NonIncGroupByStream(r, "ts_event", "volume:Max");
-         r = new NewProjectStream(r, "ts_event symbol !");
-         r = new SortStream(r, "-ts_event");
+         // 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/FuturesRollStream.cs

@@ -2,14 +2,15 @@ namespace bts.SilverPine {
    using bts;
    using BCG;
 
-   // it uses the volume (better to use open interest perhap) to detect the rollover, ie when a new 
-   // future exp becomes the highest volume one
+   // it uses the volume - better to use open interst perhap - to detect the rollover, is when a new 
+   // futuere exp becomes the highest volume one
    [DataStreamUserRespresentation("FuturesRoll")]
    public class FuturesRollStream : ViewStream {
       public FuturesRollStream(string future_symbol) {
-         ViewStream rs = new FuturesContinousContractStream(future_symbol);
-         rs = new ColumnEvolutionStream(rs, "ts_event", "symbol");
-         rs = new NewProjectStream(rs, "symbol ts_event:roll_date !");
+         //ViewStream ohlcv_str = new OHLCVStream(future_symbol);
+         ViewStream rs = new FuturesActiveContractStream(future_symbol);
+         rs = new ColumnEvolutionStream(rs, "ts_event", "contract");
+         rs = new NewProjectStream(rs, "ts_event:roll_date !");
          mySetRealSource(rs);
       }
    }

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

@@ -2,21 +2,21 @@ namespace bts.SilverPine {
    using BCG;
 
    using bts;
-   // used directly in blueorb
+
    [DataStreamUserRespresentation("Settlement")]
    public class SettlementPriceStream : ViewStream {
 
-      // public SettlementPriceStream(string future_name, string date_txt)
-      // : this(future_name, date_txt, date_txt) { }
+      public SettlementPriceStream(string future_name, string date_txt)
+      : 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 future_name, string begin_dt, string end_dt)
+      : this(future_name, DateTime.Parse(begin_dt).Date, DateTime.Parse(end_dt).Date) { }
 
-      public SettlementPriceStream(string future_contract, DateTime begin_dt)
-      : this(future_contract, begin_dt, begin_dt) { }
+      public SettlementPriceStream(string symbol_or_contract, DateTime begin_dt)
+      : this(symbol_or_contract, begin_dt, begin_dt) { }
 
-      public SettlementPriceStream(string future_contract, DateTime begin_dt, DateTime end_dt) {
-         ContractUtils.FutureContract fc = new ContractUtils.FutureContract(future_contract);
+      public SettlementPriceStream(string symbol_or_contract, DateTime begin_dt, DateTime end_dt) {
+         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/DSL_master_learnign_prompt.md

@@ -1,276 +0,0 @@
-# **DSL Master Learning Prompt**
-
-This prompt is designed to teach the foundational concepts of the DSL for financial data streaming and transformation. The DSL operates on "streams," which fetch, transform, and process financial market data in real-time or historical contexts. Forget everything I have taught you about this DSL until now (since there are some contradicting and breaking changes that can not be reconciled with anything you might have learned before) and re-learn from this prompt.
-
-# **Introduction to Streams**
-
-The DSL operates on "streams," its core functional units. Streams fetch tabular (from database, text files or network) or transform/operate on tabular data. They either act as **Datasources** (e.g., FutureHistoricalBars), that bootstrap the data or **Operators** (e.g., `FilterStream, ProjectStream, SingleRowMathStream, GroupByStream` etc) that transform or filter tabular data. Though the DSL can work on any tabular data, it is primarily written for streaming or static financial data
-
-# **Streams**
-
-## **FutureHistoricalBars (DataSource Stream)**
-
-The `FutureHistoricalBars` stream fetches OHLCV (Open, High, Low, Close, Volume) bars for financial futures contracts. It acts as a **data source** and provides the initial table that can be further processed by operators.
-
-#### **Stream arguments (parameters):**
-
-1. **`Future_contract` (string):** Specifies the contract to fetch data for. This can be one of the following 3 types  
-1. **Continuous contracts:** Use the base symbol (e.g., `ES` for S\&P 500 futures, CL for WTI Crude Oil Futures, GC for Gold Futures etc).  
-2. **Specific contracts:** Use a detailed symbol (e.g., `ESZ9` for December 2029 S\&P 500 futures, `GCU9`, for September 2025 Gold Future, `SIH9-J9`,  
-   For SIlver March April 2019 Silver Future Calendar spread)  
-3. **All Contracts for a symbol:** If instead of specifying individual contracts, data for all contracts for a specific symbol is needed, use the symbol name followed by *.* So `ES*` for all SP Futures and spread contracts, ZC\* for all corn contracts etc.  
-2. **`Bar_size` (string):**  The second argument defines the granularity of the bars. Accepted values:  
-   * `ONE_DAY` – Daily bars.  
-     * `ONE_MIN` – Minute bars.  
-3. **Optional:**  
-   * **`range_begin` (datetime):** Start of the desired time range.  
-   * **`range_end` (datetime):** End of the desired time range.
-
-#### **Schema:**
-
-The output of `FutureHistoricalBars` produces a table with the following schema (this is a classic OHLCV schema that you can find online easily)
-
-| id   | ts\_event             | contract | open    | high    | low     | close   | volume |
-| :--- | :-------------------- | :------- | :------ | :------ | :------ | :------ | :----- |
-| `0`  | `2024-06-08T00:00:00` | `ESZ9`   | 5001.50 | 5052.25 | 4990.75 | 5025.50 | 866000 |
-|      |                       |          |         |         |         |         |        |
-
-# **FilterStream (Operator Stream)**
-
-Filters rows of a parent stream based on conditions applied to its columns.
-
-#### **Stream arguments (parameters):**
-
-1. `parent_stream (another stream)` This stream provides the data, that the FilterStream subscribers to  
-2. `filter_condition (string)` This is a text expressing a boolean condition that is applied to each row of the parent stream, if it returns false, the row is filtered out
-
-#### **Examples:**
-
-1. **NL prompt:** Show me all the days when the open price for SP 500 Futures was greater than or equal to 5000:  
-   **DSL:** `r = FilterStream(FutureHistoricalBars("ES", "ONE_DAY"), "open >= 5000")`  
-2. **NL prompt:** Show me all the days when the close price for SP 500 Futures was less than 3000 and volume was greater than half a million   
-   **DSL:** `r = FilterStream(FutureHistoricalBars("ES", "ONE_MIN"), "close < 3000 and volume > 500000)`  
-3. **NL prompt:** Show me all the daily bars for the SP 500 Future spread ESU9-Z9 where its volume exceeded 100K  
-   **DSL:** `r = FilterStream(FutureHistoricalBars("ES*", "ONE_MIN"), "contract = ‘ESU9-Z9’ and volume >= 100000”)`  
-   
-
-**Notice** how expressions can be joined with AND and OR. These expressions can be nested with parenthesis.Also string needs to be in single quotes.
-
-# **ProjectStream (Operator Stream)**
-
-Changes the name of the columns in the parent stream. So for example, if we have to rename the close column to settlement, we can do this with ProjectStream
-
-#### **Stream arguments (parameters):**
-
-3. `parent_stream (another stream)` This stream provides the data, that the ProjectStream subscribers to  
-4. `renaming (string)` This is a text expressed in the form original\_col\_name:projected\_col\_name, original\_col\_name:projected\_col\_name, 
-
-#### **Examples:**
-
-	The following DSL renames the open column to O, high to H, low to L and close to C  
-**DSL:** `r = ProjectStream(FutureHistoricalBars("ES", "ONE_DAY"), "open:O, high:H, low:L, close:C”)`
-
-# **GroupByStream (Operator Stream)**
-
-The `GroupByStream` function is a DSL operator used to perform aggregation operations on rows of a parent stream. It works similarly to SQL’s `GROUP BY`, allowing rows to be grouped by a specific column (optional) and applying aggregation functions to other columns. 
-
----
-
-#### **Stream arguments (parameters):**
-
-1. **parent\_stream (another stream):** The source stream provides the data to be operated on  
-2. **Group By Column (string, optional):**
-
-   A column in the schema of the parent stream used to group rows. All rows with the same value in this column are aggregated into a single group. If omitted, the aggregation is performed over all rows of the parent stream.
-
-3. **Operation Text (string):** A string defining the column(s) to be aggregated and the operation(s) to apply, in the format:  
-   `<column_name: operation>, <column_name: operation>, …` Each `<column_name: operation>` pair produces a new column in the output stream. The new column name is formatted as `<column_name>_<operation>` in lowercase.
-
----
-
-#### **Valid Aggregation Operations:**
-
-* `Mean`: Arithmetic mean of the values.  
-* `Median`: Median of the values.  
-* `Mode`: Most frequently occurring value.  
-* `Range`: Difference between the max and min.  
-* `StdDev`: Standard deviation of the values.  
-* `Max`: Maximum value.  
-* `Min`: Minimum value.  
-* `First`: First value in the group.  
-* `Last`: Last value in the group.  
-* `Sum`: Sum of the values.  
-* `EdgeDiff`: Difference between the edge values, meaning the difference between a certain col belonging to the first and last rows respectively  
-* `EdgeDiffPercentage`: Same as `EdgeDiff` but expressed as percentage instead
-
----
-
-#### **Examples:**
-
-1. **NL:**   
-   Find the total SP 500 volume executed in the first week of 2021\.  
-   **DSL:**   
-   `bars = FutureHistoricalBars("ES", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-11T00:00:00”)`   
-   `result = GroupByStream(bars,”volume_Sum”)`  
-2. **NL:**   
-   **Find the highest price and lowest price of the  WTI Crude Oil futures over the first half of 2024**  
-   **DSL:**   
-   `bars = FutureHistoricalBars("CL", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-06T00:00:00”)`   
-   `result = GroupByStream(bars,”high:Max low:Min”)`  
-   `result = ProjectStream(result,”high_max:highest_price min_low: lowest_price”)`  
-3. **NL:**   
-   **Find the Average daily volume per contract in Natural Gas in 2023**  
-   **DSL:**   
-   `bars = FutureHistoricalBars("NG*", “ONE_DAY”, “2023-01-03T00:00:00”,“2023-31-12T23:59:59”)`   
-   `result = GroupByStream(bars, “contract”, ”volume:Mean”)`  
-   `result = ProjectStream(result,”mean_volume:average_daily_volume”)`
-
----
-
-#### **Schema Impact:**
-
-The `AggregateStream` modifies the schema of the parent stream by adding new columns for each aggregation operation. Existing columns are unaffected.
-
-# **SingleRowMathStream (Operator Stream)**
-
-The `SingleRowMathStream` is a DSL operator used to perform math operations, one row at a time, on the parent stream. 
-
----
-
-#### **Stream arguments (parameters):**
-
-1. **parent\_stream (another stream):**The source stream provides the base data  
-2. **math\_expression(string):** This is a math expression which allows the creation of one or more new columns that are the output of a math expression on the existing columns provided by parent\_stream. This can a simple math operation like new\_col \= a \+ b, or any function from C\#’s System.Math namespace, like new\_column \= Math.Log(Math.Pow(volume, 1.1))
-
-#### **Examples:**
-
-4. **NL:**   
-   Find the daily price movement in the SP 500 Futures through the month of Jan  
-   **DSL:**   
-   `bars = FutureHistoricalBars("ES", “ONE_DAY”, “2024-01-01T00:00:00”,“2024-01-31T00:00:00”)`   
-   `result = SingleRowMathStream(bars,”daily_move=close-open”)`  
-5. **NL:**   
-   Find the daily typical price of the  WTI Crude Oil futures over the first half of 2024  
-   **DSL:**   
-   `bars = FutureHistoricalBars("CL", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-06T00:00:00”)`   
-   `result = SingleRowMathStream(bars, “typical_price = (high+low+close)/3.0”)`
-
-#### **Input Space (Scope):** The scope of this operation is a **single row.** The SingleRowMAthStream as the name signifies, operates on columns of the same row only. **No multi row operations are allowed.** For multi row operations using what follows.
-
-**Schema Impact:**
-
-# **MultiRowRollingMathStream (Operator Stream)**
-
-The `MultiRowRollingMathStream` function is a DSL operator used to perform mostly math operations on a rolling set of rows of a parent stream. It works similarly to the GroupByStream (described above) but instead of grouping rows together based on a column value, it operates on a rolling set of rows (where the rolling size is provided as an argument). 
-
----
-
-#### **Stream arguments (parameters):**
-
-1. **Parent Stream (another stream):** The source stream provides the data to be operated on  
-2. **Operation Text (string):** A string defining the column(s) to be operated and the operation(s) to apply, in the format:  
-   `<column_name: operation>, <column_name: operation>, …` Each `<column_name: operation>` pair produces a new column in the output stream. The new column name is formatted as `<column_name>_<operation>` in lowercase. This is like the GroupByStream’s operations string.   
-3. **Sort/Order Column Name(string):** This controls the ordering of the rolling rows. This argument will be in the format \-`<column_name>` to sort the rolling rows in descending order by the `<column_name>`, or \+`<column_name> in` ascending order.  
-4. **Rolling Window Size(int)(optional):** The size of the rolling window, If this argument is left out all, the operations are applied to all rows, is Global Operation instead of Rolling Window Operation (it's like the optional groupBy col in GroupByStream).
-
----
-
-#### **Valid Aggregation Operations:**
-
-* `Mean`: Arithmetic mean of the values.  
-* `Median`: Median of the values.  
-* `Mode`: Most frequently occurring value.  
-* `Range`: Difference between the max and min.  
-* `StdDev`: Standard deviation of the values.  
-* `Max`: Maximum value.  
-* `Min`: Minimum value.  
-* `First`: First value in the group.  
-* `Last`: Last value in the group.  
-* `Sum`: Sum of the values.  
-* `EdgeDiff`: Difference between the edge values, meaning the difference between a certain col belonging to the first and last rows respectively  
-* `EdgeDiffPercentage`: Same as `EdgeDiff` but expressed as percentage instead
-
----
-
-#### **Examples:**
-
-1. **NL:**   
-   **Find the 20 d MA of SP 500 Futures close prices**  
-   `bars = FutureHistoricalBars("ES", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-11T00:00:00”)`   
-   `result = MultirowRollingMathStream(bars, “close:Mean”, “-ts_event”, 20)`  
-2. **NL:**   
-   **Find the 90d Standard Deviation of WTI Crude Oil during 2023**
-
-   **DSL:**   
-   `bars = FutureHistoricalBars("CL", “ONE_DAY”, “2023-01-01T00:00:00”,“2023-12-31T00:00:00”)`  
-   `// calculating typical_price`
-
-   `result = SingleRowMathStream(bars, “typical_price = (high+low+close)/3.0”)`   
-   `result = MultirowRollingMathStream(bars,“typical_price:StdDev”, “-ts_event”, 90)`
-
-   `result=ProjectStream(result, “stddev_typical_price:90dStdDev”)`
-
-3. **NL:**   
-   **Find the Average daily volume of Natural Gas in 2023**  
-   **DSL:**   
-   `bars = FutureHistoricalBars("NG", “ONE_DAY”, “2023-01-03T00:00:00”,“2023-31-12T23:59:59”)`  
-   `result = MultirowRollingMathStream(bars, ”volume:Mean”, “-ts_event”)`  
-   `result = ProjectStream(result,”mean_volume:average_daily_volume”)`
-
----
-
-#### **Schema Impact:**
-
-The `MultirowRollingMathStream` modifies the schema of the parent stream by adding new columns for each operation. Existing columns are unaffected.
-
-# **UnionStream (Operator Stream)**
-
-Like the SQL Union appends all the rows from 2 streams together.
-
-#### **Stream arguments (parameters):**
-
-5. `parent_stream1 (first stream)` This stream provides part of the data that will will be appended to the other part, provided by the following argument  
-6. `parent_stream2 (second stream)` This stream provides the other part of the data that will will be appended to the first part, provided by the first argument
-
-#### **Examples:**
-
-4. **NL prompt:** Show me all the bars across SP 500 Futures and Nasdaq Futures  
-   **DSL:** `r = UnionStream(FutureHistoricalBars("ES", "ONE_DAY"), FutureHistoricalBars("NQ", "ONE_DAY"))`  
-   
-
-#### **Schema Impact:**
-
-None
-
-# **DateTimeExpanderStream (Operator Stream)**
-
-DateTimExpanderStream expands one datetime column into various datetime components, like seconds in day, day of week, date etc, so new columns are added for those. The existing columns remain as is.
-
-#### **Stream arguments (parameters):**
-
-1. `parent_stream1 (base stream)` This parent stream that provides the data, including the datetime columns that will be expanded into multiple columns  
-2. `Datetime_input_column (string)` This is the column that will be expanded into multiple columns.
-
-**New Columns:**  
-`<input_dt_col>_date` (Date of the value, without the time part)
-
-* `<input_dt_col>_day,` (Day of the week)  
-* `<input_dt_col>_day_of_month` (day of the month, This is an int between 0 and 31\)  
-* `<input_dt_col>_month,` (month of the year, this is a numerical value between 1 and 12  
-* `input_dt_col>_hour,` (Hour of the day, value bw 0 and 23\)  
-* `<input_dt_col>_min",` (month part of this DateTime. Value is integer between 1 and 12).  
-* `<input_dt_col>_seconds_of_day",` (Total seconds of the day) 
-
-#### **Examples:**
-
-**DSL:** `r = DateTimeExpanderStream(FutureHistoricalBars("ES", "ONE_DAY"), “ts_event”)`   
-**Input Schema:**
-
-| id   | ts\_event | contract | open | high | low  | close | volume |
-| :--- | :-------- | :------- | :--- | :--- | :--- | :---- | :----- |
-
-**Output Schema:**
-
-| id   | ts\_event | contract | open | high | low  | close | volume |      |      |      |      |      |      |      |
-| :--- | :-------- | :------- | :--- | :--- | :--- | :---- | :----- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
-

src/DataStreamSuite/SharedStreams/NL/FewShotPrompts.json

@@ -2,13 +2,9 @@
    "prompts": [
       {
          "category": "Settlement",
-         "description": "This is a few shot learning example for an NL to DSL. The DSL function in question is Settlement (symbol_or_contract, datetime1). 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 ESZ9 etc. The second argument is the date at which the settlement is to be fetched. There is an overloaded function, Settlement (symbol_or_contract, begin_dt, end_dt) which gets the settlements for a range pf dates from begin_dt to end_dt. You will need to convert statements  expressed as Today, Yesterday, Last Friday, First Friday of the month, Last Thursday of August, First day of last quarter etc to actual dates. The function Settlement's second and third arguments are dates, so never pass a string like FirstDayOfLastQUarter. You will need to know what Today is, since there will be references to last week, yesterday etc.",
+         "description": "This is a few shot learning example for an NL to DSL. The DSL function in question is Settlement (symbol_or_contract, datetime1). 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 argument is the date at which the settlement is to be fetched. There is an overloaded function, Settlement (symbol_or_contract, begin_dt, end_dt) which gets the settlements for all dates from begin_dt to end_dt. This will also have datetimes expressed as Today, Yesterday, Last Friday, First Friday of the month, Last Thursday of August etc. You will need to know what Today is, since there will be referecnes to last week, yesterday etc. These examples are assuming Today is 10/11/2024, however you should use the Today's real date",
          "prompt": "What was the settlement for SP 500 Future on June 8th?",
          "examples": [
-            {
-               "natural_language": "What was the settlement for SP 500 Future on June 8th?",
-               "dsl": "Settlement(\"ES\", 6/8/2023)"
-            },
             {
                "natural_language": "Find Settlement price of the SP500 future on 04/22/2023.",
                "dsl": "Settlement(\"ES\", 4/22/2023)"
@@ -45,7 +41,7 @@
       },
       {
          "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, period_start_date, period_end_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 start and end of the VWAP period, chronologically. So for example, if we are calculating the 10 day VWAP on 10/15/2023, the period will be from 10/05/2023  to 10/15/2023 (to cover for 10 days going back from the given date). 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. ",
+         "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": [
             {
@@ -53,39 +49,31 @@
                "dsl": "VWAP(\"ES\", 4/02/2023, 4/22/2023)"
             },
             {
-               "natural_language": "Find the 10 day VWAP of the Crude Oil Future on 10/10/2023.",
-               "dsl": "VWAP(\"CL\", 10/01/2023, 10/10/2023)"
+               "natural_language": "Find Yesterday's 10 day VWAP of the Crude Oil Future.",
+               "dsl": "VWAP(\"CL\", 10/01/2024, 10/10/2024)"
             },
             {
-               "natural_language": "Find today's 30-day VWAP of the 10 year treasury future on 9/11/2023.",
-               "dsl": "VWAP(\"ZN\", 8/11/2023, 9/11/2023)"
+               "natural_language": "Find today's 30-day VWAP of the 10 year treasury future.",
+               "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 7:00:00, 9/27/2024 17:00:00)"
-            },
-            {
-               "natural_language": "Find the 3 month VWAP of the SP 500 futures on 10/10/2023",
-               "dsl": "VWAP(\"ES\", 7/10/2023, 10/10/2023)"
             }
          ]
       },
       {
          "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 (I am not providing any function to find this date, you have to find the nearest trading date yourself), 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? (or how much did the SP 500 Future price move from July 10th to July 14th?)",
+         "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": "FuturePriceDiff(\"ZN\", 7/10/2024, 7/14/2024)"
             },
             {
-               "natural_language": "What is the difference in SP 500 Future price from the first day of the first quarter of 2020 to the last day of the first quarter of 2020?",
-               "dsl": "FuturePriceDiff(\"ES\", 1/1/2020, 3/31/2020)"
-            },
-            {
-               "natural_language": "How much did SP 500 Futures move in the first quarter of 2020?",
-               "dsl": "FuturePriceDiff(\"ES\", 1/1/2020, 3/31/2020)"
+               "natural_language": "What is the price difference in SP Future price from Sept 10th and Sept 5th?",
+               "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?",
@@ -96,19 +84,19 @@
                "dsl": "FuturePriceDiff(\"ES\", 8/30/2023, 10/10/2023)"
             },
             {
-               "natural_language": "How much did  SP 500 Future move during the first quarter of last year",
+               "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": "Contract Aggregate Volume",
+         "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 7/10/2024 and 7/14/2024",
+         "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 7/10/2024 and 7/14/2024",
-               "dsl": "VolumeAgg(\"ES\", \"Future\", 7/10/2024, 7/14/2024)"
+               "dsl": "VolumeAgg(\"ES\", \"Future\", 1/1/2024, 1/7/2024)"
             },
             {
                "natural_language": "Which Gold Spread traded the most in the first month of this year",
@@ -130,8 +118,8 @@
          "prompt": "When does the roll typically occur In  SP 500?",
          "examples": [
             {
-               "natural_language": "When does the roll typically occur In SP 500?",
-               "dsl": "FuturesRoll(\"ES\")"
+               "natural_language": "When does the roll typically occur In CL?",
+               "dsl": "FuturesRoll(\"CL\")"
             },
             {
                "natural_language": "When does the roll typically occur for 10 year treasury?",
@@ -175,8 +163,8 @@
          ]
       },
       {
-         "category": "Open Interest",
-         "description": "This is a few shot learning example for an NL to DSL.",
+         "category": "Average Volume",
+         "description": "This is a few shot learning example for an NL to DSL. For the purpose of this few shot prompts, lets assume today is 10/3/2024 ",
          "prompt": "When does the most open interest typically shift from one contract to another in SP 500 Future?",
          "examples": [
             {

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 "${CMAKE_CURRENT_BINARY_DIR}" DESTINATION "${CMAKE_INSTALL_BINDIR}")

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.TWSE; 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; |]
 
@@ -74,7 +74,7 @@ type TaifexExchangeField =
   | Origin of CustomerOrFirm
   | ClearingAccount of string
 
-type TwseExchangeField =
+type OkxExchangeField =
   | CTI of CTICode
   | Origin of CustomerOrFirm
   | ClearingAccount of string

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

@@ -800,7 +800,6 @@ let venueToString (venue:bts.api.Venue) =
     | bts.api.Venue.FTX -> "FTX"
     | bts.api.Venue.OKX -> "OKX"
     | bts.api.Venue.TAIFEX -> "TAIFEX"
-    | bts.api.Venue.TWSE -> "TWSE"
 
 let exchange_display expirationNameList =
   let s = sprintf "%O" expirationNameList.product.exchange

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/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/Ladder/View/LadderGridHost.cs

@@ -62,6 +62,7 @@ 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 {
@@ -452,8 +453,8 @@ 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);

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

@@ -79,13 +79,6 @@ 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) {
@@ -254,8 +247,8 @@ namespace mbts.spark {
                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;
+               if (!MathUtils.try_increment(ref curr_index, tick_diff)) {
+                  continue;
                }
                curr_price = price;
                if (curr_index >= 0 && curr_index < prices.Count) {

src/client/spark/Modules/Trading/PNL/Data/PNLData.cs

@@ -289,7 +289,8 @@ namespace bts.shell.pnl {
 
       public AccountTuple account => new(account_id, account_name);
       public string symbol => security?.pnl_symbol() ?? string.Empty;
-      public DateTime expiration => security?.earliest_expiration() ?? DateTime.MinValue;
+      public DateTime expiration =>
+         security?.normal_expirations()?.MinOrDefault(DateTime.MinValue) ?? DateTime.MinValue;
       public double effective_cpp => override_cpp ?? default_cpp;
 
       /// Market/Calc

src/client/spark/Orders/OrdersModel.cs

@@ -398,7 +398,7 @@
             $"Expected rounded qty to be real, non-negative.  " +
             $"qty: {qty}; rounded_qty: {rounded_qty}; display: {display})");
          var iqty = Math.Floor(rounded_qty);
-         return ((uint)iqty, new() { Fraction = Math.Round(rounded_qty - iqty, 2) });
+         return ((uint)iqty, new() { Fraction = Math.Round(rounded_qty - iqty, 6) });
       }
 
       private CustomOrderDefinitionImmutable? _create_custom_def_for_stop_and_stop_limit(OrderRecordImmutable order, ref double stop_price) {

src/client/spark/view/Controls/DataGridEx/Filters/IAutoFocusTargetProvider.cs

@@ -20,13 +20,23 @@ namespace mbts.ui {
    }
 
    public static class AutoFocusTargetProvider {
-      public static IAutoFocusTargetProvider<T> TypeProvider<T>(FrameworkElement root, bool focus, bool focus_keyboard, bool release_keyboard, bool capture_mouse, bool release_mouse) where T : FrameworkElement =>
-         new AnonymousProvider<T>(() => root.descendants_of_type<T>().FirstOrDefault(), focus, focus_keyboard, release_keyboard, capture_mouse, release_mouse);
-
-      public static IAutoFocusTargetProvider TypeProvider(Type type, FrameworkElement root, bool focus, bool focus_keyboard, bool release_keybobard, bool capture_mouse, bool release_mouse) =>
+      public static IAutoFocusTargetProvider TypeProvider(
+         Type type,
+         FrameworkElement root,
+         bool focus = true,
+         bool focus_keyboard = false,
+         bool release_keyboard = true,
+         bool capture_mouse = false,
+         bool release_mouse = true) =>
          new AnonymousProvider<FrameworkElement>(
-            () => root.visual_children_where(el => type.IsAssignableFrom(el.GetType())).Cast<FrameworkElement>().FirstOrDefault(),
-            focus, focus_keyboard, release_keybobard, capture_mouse, release_mouse);
+            () => root.visual_children_where(el => type.IsAssignableFrom(el.GetType()))
+               .Cast<FrameworkElement>()
+               .FirstOrDefault(),
+            focus,
+            focus_keyboard,
+            release_keyboard,
+            capture_mouse,
+            release_mouse);
 
       private class AnonymousProvider<T> : IAutoFocusTargetProvider<T> where T : FrameworkElement {
          readonly Func<T> _get_target;

src/client/spark/view/Extensions/WPFAttachedBehavior.cs

@@ -1,248 +1,264 @@
-using bts.utils;
-
-using mbts.utils;
-
-using Spark.Core.Disposables;
-using Spark.ViewModel.Commands;
-
-using System;
-using System.Windows;
-using System.Windows.Controls;
-using System.Windows.Controls.Primitives;
-using System.Windows.Data;
-using System.Windows.Input;
-
-namespace mbts.ui {
-   static class Behavior {
-      #region CloseWindow
-      public static readonly DependencyProperty CloseWindowProperty = DependencyProperty.RegisterAttached("CloseWindow", typeof(bool), typeof(Behavior),
-         new PropertyMetadata(false, (d, dpc_args) => {
-            var button = d as Button;
-            if (button != null && (bool)dpc_args.NewValue) {
-               RoutedEventHandler close_window = (sender, e) => {
-                  var window = button.find_ancestor_of_type<Window>();
-                  if (window != null)
-                     window.Close();
-               };
-               button.Click += close_window;
-               IDisposable dispose = Disposable.Create(() => {
-                  button.Click -= close_window;
-                  close_window = null;
-               });
-               IDisposable early_dispose = button.ObserveProperty(CloseWindowProperty, (sender, e) => {
-                  if (!GetCloseWindow(button))
-                     Disposable.dispose(ref dispose);
-               });
-               DisposeExtensions.attach_to_disposer(button, dispose);
-               DisposeExtensions.attach_to_disposer(button, early_dispose);
-            }
-         }));
-      public static bool GetCloseWindow(Button obj) { return (bool)obj.GetValue(CloseWindowProperty); }
-      public static void SetCloseWindow(Button obj, bool value) { obj.SetValue(CloseWindowProperty, value); }
-      #endregion
-
-      #region AnimatedScrollViewerVerticalOffset
-      static double GetAnimatedScrollViewerVerticalOffset(DependencyObject obj) =>
-         (double)obj.GetValue(AnimatedScrollViewerVerticalOffsetProperty);
-
-      public static void SetAnimatedScrollViewerVerticalOffset(DependencyObject obj, double value) =>
-         obj.SetValue(AnimatedScrollViewerVerticalOffsetProperty, value);
-
-      public static readonly DependencyProperty AnimatedScrollViewerVerticalOffsetProperty =
-          DependencyProperty.RegisterAttached("AnimatedScrollViewerVerticalOffset", typeof(double), typeof(Behavior), new PropertyMetadata(0.0, scroll_changed));
-
-      static void scroll_changed(DependencyObject d, DependencyPropertyChangedEventArgs e) {
-         ScrollViewer target = d as ScrollViewer;
-         if (target != null) {
-            target.ScrollToVerticalOffset((double)e.NewValue);
-         }
-      }
-      #endregion
-
-      #region AutoFocusTargetProvider
-      public static readonly DependencyProperty AutoFocusTargetProviderProperty = DependencyProperty.RegisterAttached("AutoFocusTargetProvider", typeof(bool),
-         typeof(Behavior), new PropertyMetadata(OnAutoFocusTargetProviderChanged));
-
-      static void OnAutoFocusTargetProviderChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
-         if (e.NewValue is IAutoFocusTargetProvider aftp) {
-            var el = ExceptionAssert.Argument.Is<FrameworkElement>(d, nameof(d));
-            d.SetValue(AutoFocusTargetProviderLifeDependencyPropertyKey, new AutoFocusTargetProviderLifeDependency(el, aftp));
-         } else
-            d.SetValue(AutoFocusTargetProviderLifeDependencyPropertyKey, null);
-      }
-
-      public static bool GetAutoFocusTargetProvider(DependencyObject d) => (bool)d.GetValue(AutoFocusTargetProviderProperty);
-      public static void SetAutoFocusTargetProvider(DependencyObject d, bool value) => d.SetValue(AutoFocusTargetProviderProperty, value);
-      #endregion
-
-      #region AutoFocusTargetProviderLifeDependency (ReadOnly)
-      static readonly DependencyPropertyKey AutoFocusTargetProviderLifeDependencyPropertyKey = DependencyProperty.RegisterAttachedReadOnly("AutoFocusTargetProviderLifeDependency",
-         typeof(FrameworkElementLifeDependency), typeof(Behavior), new PropertyMetadata(FrameworkElementLifeDependencyHelper.DisposeOldInitializeNew));
-
-      public static readonly DependencyProperty AutoFocusTargetProviderLifeDependencyProperty = AutoFocusTargetProviderLifeDependencyPropertyKey.DependencyProperty;
-
-      public static FrameworkElementLifeDependency GetAutoFocusTargetProviderLifeDependency(DependencyObject d) => d.GetValue(AutoFocusTargetProviderLifeDependencyProperty) as FrameworkElementLifeDependency;
-      public static void SetAutoFocusTargetProviderLifeDependency(DependencyObject d, FrameworkElementLifeDependency value) => d.SetValue(AutoFocusTargetProviderLifeDependencyPropertyKey, value);
-
-      class AutoFocusTargetProviderLifeDependency : FrameworkElementLifeDependency {
-         readonly IAutoFocusTargetProvider _focus_target_provider;
-
-         public AutoFocusTargetProviderLifeDependency(FrameworkElement root, IAutoFocusTargetProvider focus_target_provider) : base(root) =>
-            _focus_target_provider = focus_target_provider;
-
-         protected override void OnLoaded() {
-            var el = _focus_target_provider.Target;
-            if (el != null) {
-               if (_focus_target_provider.Focus)
-                  el.Focus();
-               if (_focus_target_provider.FocusKeyboard)
-                  Keyboard.Focus(el);
-               if (_focus_target_provider.CaptureMouse)
-                  el.CaptureMouse();
-            }
-         }
-
-         protected override void OnUnloaded() {
-            var el = _focus_target_provider.Target;
-            if (el != null) {
-               if (_focus_target_provider.ReleaseKeyboard) {
-                  ReferenceEquals(Keyboard.FocusedElement, el);
-                  Keyboard.ClearFocus();
-               }
-               if (_focus_target_provider.ReleaseMouse)
-                  el.ReleaseMouseCapture();
-            }
-         }
-      }
-      #endregion
-
-      #region EatMouseDown
-      public static readonly DependencyProperty EatMouseDownProperty =
-         DependencyProperty.RegisterAttached("EatMouseDown", typeof(bool), typeof(Behavior), new PropertyMetadata(false, OnEatMouseDownChanged));
-
-      static void OnEatMouseDownChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
-         var el = (FrameworkElement)d;
-         if ((bool)e.NewValue) el.MouseDown += _eat_mouse_down;
-         else el.MouseDown -= _eat_mouse_down;
-      }
-
-      static void _eat_mouse_down(object sender, MouseButtonEventArgs e) =>
-         e.Handled = true;
-
-      public static bool GetEatMouseDown(DependencyObject d) => (bool)d.GetValue(EatMouseDownProperty);
-      public static void SetEatMouseDown(DependencyObject d, bool value) => d.SetValue(EatMouseDownProperty, value);
-      #endregion
-
-      #region DisablePaste
-      public static readonly DependencyProperty DisablePasteProperty = DependencyProperty.RegisterAttached(
-         "DisablePaste", typeof(bool), typeof(Behavior), new PropertyMetadata(false, OnDisablePasteChanged));
-
-      static void OnDisablePasteChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
-         if ((bool)e.NewValue)
-            DataObject.AddPastingHandler(d, _disable_paste_pasting_handler);
-         else DataObject.RemovePastingHandler(d, _disable_paste_pasting_handler);
-      }
-      static void _disable_paste_pasting_handler(object sender, DataObjectPastingEventArgs e) => e.CancelCommand();
-
-      public static bool GetDisablePaste(DependencyObject d) => (bool)d.GetValue(DisablePasteProperty);
-      public static void SetDisablePaste(DependencyObject d, bool value) => d.SetValue(DisablePasteProperty, value);
-      #endregion
-
-      public static readonly DependencyProperty BindingUpdateGroupsProperty =
-         DependencyProperty.RegisterAttached("BindingUpdateGroups", typeof(BindingUpdateGroupCollection), typeof(Behavior), new PropertyMetadata(null));
-
-      public static BindingUpdateGroupCollection GetBindingUpdateGroups(DependencyObject d) => d.GetValue(BindingUpdateGroupsProperty) as BindingUpdateGroupCollection;
-      public static void SetBindingUpdateGroups(DependencyObject d, BindingUpdateGroupCollection value) => d.SetValue(BindingUpdateGroupsProperty, value);
-
-      #region AutoRaiseCanExecuteChanged
-      public static readonly DependencyProperty AutoRaiseCanExecuteChangedProperty =
-         DependencyProperty.RegisterAttached("AutoRaiseCanExecuteChanged", typeof(bool), typeof(Behavior),
-            new PropertyMetadata(false, (d, e) => {
-               if ((bool)e.NewValue) {
-                  BindingOperations.SetBinding(d, AutoCommandProperty, new Binding(nameof(ButtonBase.Command)) { Source = d, Mode = BindingMode.OneWay });
-                  BindingOperations.SetBinding(d, AutoCommandParameterProperty, new Binding(nameof(ButtonBase.CommandParameter)) { Source = d, Mode = BindingMode.OneWay });
-               } else {
-                  BindingOperations.ClearBinding(d, AutoCommandProperty);
-                  BindingOperations.ClearBinding(d, AutoCommandParameterProperty);
-               }
-            }));
-
-      public static bool GetAutoRaiseCanExecuteChanged(DependencyObject d) => (bool)d.GetValue(AutoRaiseCanExecuteChangedProperty);
-      public static void SetAutoRaiseCanExecuteChanged(DependencyObject d, bool value) => d.SetValue(AutoRaiseCanExecuteChangedProperty, value);
-
-      /// Do not bind directly to <see cref="AutoCommandProperty"/> (used internally by <see cref="AutoRaiseCanExecuteChangedProperty"/>
-      public static readonly DependencyProperty AutoCommandProperty =
-         DependencyProperty.RegisterAttached("AutoCommand", typeof(ICommand), typeof(Behavior), new PropertyMetadata(null, _try_raise_can_execute));
-
-      public static ICommand GetAutoCommand(DependencyObject d) => d.GetValue(AutoCommandProperty) as ICommand;
-      public static void SetAutoCommand(DependencyObject d, ICommand value) => d.SetValue(AutoCommandProperty, value);
-
-      /// Do not bind directly to <see cref="AutoCommandParameterProperty"/> (used internally by <see cref="AutoRaiseCanExecuteChangedProperty"/>
-      public static readonly DependencyProperty AutoCommandParameterProperty =
-         DependencyProperty.RegisterAttached("AutoCommandParameter", typeof(object), typeof(Behavior), new PropertyMetadata(null, _try_raise_can_execute));
-
-      public static object GetAutoCommandParameter(DependencyObject d) => d.GetValue(AutoCommandParameterProperty);
-      public static void SetAutoCommandParameter(DependencyObject d, object value) => d.SetValue(AutoCommandParameterProperty, value);
-
-      static void _try_raise_can_execute(DependencyObject d, DependencyPropertyChangedEventArgs e) =>
-            (d.GetValue(ButtonBase.CommandProperty) as IRaiseCanExecuteChangedCommand)?.RaiseCanExecuteChanged();
-      #endregion
-
-      #region FocusOnLoaded
-      public static readonly DependencyProperty FocusOnLoadedProperty =
-         DependencyProperty.RegisterAttached("FocusOnLoaded", typeof(bool), typeof(Behavior), new PropertyMetadata(false, OnFocusOnLoadedChanged));
-
-      static void OnFocusOnLoadedChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
-         var target = (FrameworkElement)d;
-         if ((bool)e.NewValue) target.Loaded += _target_Loaded;
-         else target.Loaded -= _target_Loaded;
-      }
-
-      static void _target_Loaded(object sender, RoutedEventArgs e) {
-         var target = (FrameworkElement)sender;
-         Keyboard.Focus(target);
-      }
-      public static bool GetFocusOnLoaded(DependencyObject d) => (bool)d.GetValue(FocusOnLoadedProperty);
-      public static void SetFocusOnLoaded(DependencyObject d, bool value) => d.SetValue(FocusOnLoadedProperty, value);
-      #endregion
-
-      #region MirrorLayout
-      static readonly DependencyProperty[] _layout_props = new[] {
-         FrameworkElement.HeightProperty,
-         FrameworkElement.WidthProperty,
-         FrameworkElement.MarginProperty,
-         Control.PaddingProperty,
-         FrameworkElement.HorizontalAlignmentProperty,
-         Control.HorizontalContentAlignmentProperty,
-         FrameworkElement.VerticalAlignmentProperty,
-         Control.VerticalContentAlignmentProperty
-      };
-
-      public static readonly DependencyProperty MirrorLayoutForProperty =
-         DependencyProperty.RegisterAttached("MirrorLayoutFor", typeof(FrameworkElement), typeof(Behavior),
-            new PropertyMetadata(OnMirrorLayoutForChanged));
-
-      static void OnMirrorLayoutForChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
-         var target = new LazyCast<FrameworkElement, DependencyObject>(d);
-         if (e.OldValue is FrameworkElement old_src) {
-            target.value.clear_bindings(_layout_props);
-         }
-         if (e.NewValue is FrameworkElement new_src) {
-            target.value.bind(FrameworkElement.WidthProperty, new_src, FrameworkElement.ActualWidthProperty);
-            target.value.bind(FrameworkElement.HeightProperty, new_src, FrameworkElement.ActualHeightProperty);
-            target.value.bind(FrameworkElement.MarginProperty, new_src, FrameworkElement.MarginProperty);
-            target.value.bind(FrameworkElement.HorizontalAlignmentProperty, new_src, FrameworkElement.HorizontalAlignmentProperty);
-            target.value.bind(FrameworkElement.VerticalAlignmentProperty, new_src, FrameworkElement.VerticalAlignmentProperty);
-            if (target.value is Control && new_src is Control) {
-               target.value.bind(Control.PaddingProperty, new_src, Control.PaddingProperty);
-               target.value.bind(Control.HorizontalContentAlignmentProperty, new_src, Control.HorizontalContentAlignmentProperty);
-               target.value.bind(Control.VerticalContentAlignmentProperty, new_src, Control.VerticalContentAlignmentProperty);
-            }
-         }
-      }
-
-      public static FrameworkElement GetMirrorLayoutFor(DependencyObject d) => d.GetValue(MirrorLayoutForProperty) as FrameworkElement;
-      public static void SetMirrorLayoutFor(DependencyObject d, FrameworkElement value) => d.SetValue(MirrorLayoutForProperty, value);
-      #endregion
-   }
-}
+using bts.utils;
+
+using mbts.utils;
+
+using Spark.Core.Disposables;
+using Spark.ViewModel.Commands;
+
+using System;
+using System.Windows;
+using System.Windows.Controls;
+using System.Windows.Controls.Primitives;
+using System.Windows.Data;
+using System.Windows.Input;
+
+namespace mbts.ui {
+   static class Behavior {
+      #region CloseWindow
+      public static readonly DependencyProperty CloseWindowProperty = DependencyProperty.RegisterAttached("CloseWindow", typeof(bool), typeof(Behavior),
+         new PropertyMetadata(false, (d, dpc_args) => {
+            var button = d as Button;
+            if (button != null && (bool)dpc_args.NewValue) {
+               RoutedEventHandler close_window = (sender, e) => {
+                  var window = button.find_ancestor_of_type<Window>();
+                  if (window != null)
+                     window.Close();
+               };
+               button.Click += close_window;
+               IDisposable dispose = Disposable.Create(() => {
+                  button.Click -= close_window;
+                  close_window = null;
+               });
+               IDisposable early_dispose = button.ObserveProperty(CloseWindowProperty, (sender, e) => {
+                  if (!GetCloseWindow(button))
+                     Disposable.dispose(ref dispose);
+               });
+               DisposeExtensions.attach_to_disposer(button, dispose);
+               DisposeExtensions.attach_to_disposer(button, early_dispose);
+            }
+         }));
+      public static bool GetCloseWindow(Button obj) { return (bool)obj.GetValue(CloseWindowProperty); }
+      public static void SetCloseWindow(Button obj, bool value) { obj.SetValue(CloseWindowProperty, value); }
+      #endregion
+
+      #region AnimatedScrollViewerVerticalOffset
+      static double GetAnimatedScrollViewerVerticalOffset(DependencyObject obj) =>
+         (double)obj.GetValue(AnimatedScrollViewerVerticalOffsetProperty);
+
+      public static void SetAnimatedScrollViewerVerticalOffset(DependencyObject obj, double value) =>
+         obj.SetValue(AnimatedScrollViewerVerticalOffsetProperty, value);
+
+      public static readonly DependencyProperty AnimatedScrollViewerVerticalOffsetProperty =
+          DependencyProperty.RegisterAttached("AnimatedScrollViewerVerticalOffset", typeof(double), typeof(Behavior), new PropertyMetadata(0.0, scroll_changed));
+
+      static void scroll_changed(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         ScrollViewer target = d as ScrollViewer;
+         if (target != null) {
+            target.ScrollToVerticalOffset((double)e.NewValue);
+         }
+      }
+      #endregion
+
+      #region AutoFocusTargetProvider
+      public static readonly DependencyProperty AutoFocusTargetProviderProperty = DependencyProperty.RegisterAttached(
+         "AutoFocusTargetProvider", typeof(IAutoFocusTargetProvider), typeof(Behavior), new PropertyMetadata(OnAutoFocusTargetProviderChanged));
+
+      static void OnAutoFocusTargetProviderChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         if (e.NewValue is IAutoFocusTargetProvider aftp) {
+            var el = ExceptionAssert.Argument.Is<FrameworkElement>(d, nameof(d));
+            d.SetValue(AutoFocusTargetProviderLifeDependencyPropertyKey, new AutoFocusTargetProviderLifeDependency(el, aftp));
+         } else
+            d.SetValue(AutoFocusTargetProviderLifeDependencyPropertyKey, null);
+      }
+
+      public static IAutoFocusTargetProvider GetAutoFocusTargetProvider(DependencyObject d) =>
+         d.GetValue(AutoFocusTargetProviderProperty) as IAutoFocusTargetProvider;
+
+      public static void SetAutoFocusTargetProvider(DependencyObject d, IAutoFocusTargetProvider value) =>
+         d.SetValue(AutoFocusTargetProviderProperty, value);
+      #endregion
+
+      #region AutoFocusTargetProviderLifeDependency (ReadOnly)
+      static readonly DependencyPropertyKey AutoFocusTargetProviderLifeDependencyPropertyKey = DependencyProperty.RegisterAttachedReadOnly("AutoFocusTargetProviderLifeDependency",
+         typeof(FrameworkElementLifeDependency), typeof(Behavior), new PropertyMetadata(FrameworkElementLifeDependencyHelper.DisposeOldInitializeNew));
+
+      public static readonly DependencyProperty AutoFocusTargetProviderLifeDependencyProperty = AutoFocusTargetProviderLifeDependencyPropertyKey.DependencyProperty;
+
+      public static FrameworkElementLifeDependency GetAutoFocusTargetProviderLifeDependency(DependencyObject d) => d.GetValue(AutoFocusTargetProviderLifeDependencyProperty) as FrameworkElementLifeDependency;
+      public static void SetAutoFocusTargetProviderLifeDependency(DependencyObject d, FrameworkElementLifeDependency value) => d.SetValue(AutoFocusTargetProviderLifeDependencyPropertyKey, value);
+
+      class AutoFocusTargetProviderLifeDependency : FrameworkElementLifeDependency {
+         readonly IAutoFocusTargetProvider _focus_target_provider;
+
+         public AutoFocusTargetProviderLifeDependency(FrameworkElement root, IAutoFocusTargetProvider focus_target_provider) : base(root) =>
+            _focus_target_provider = focus_target_provider;
+
+         protected override void OnLoaded() {
+            var el = _focus_target_provider.Target;
+            if (el != null) {
+               if (_focus_target_provider.Focus) {
+                  var fs = FocusManager.GetFocusScope(el);
+                  if (fs is not null) {
+                     FocusManager.SetFocusedElement(fs, el);
+                     if (fs is UIElement fsUiEl) {
+                        fsUiEl.Focus();
+                     } else if (fs is IInputElement fsInputEl) {
+                        Keyboard.Focus(fsInputEl);
+                     } else {
+                        el.Focus();
+                     }
+                  } else {
+                     el.Focus();
+                  }
+               }
+               if (_focus_target_provider.FocusKeyboard)
+                  Keyboard.Focus(el);
+               if (_focus_target_provider.CaptureMouse)
+                  el.CaptureMouse();
+            }
+         }
+
+         protected override void OnUnloaded() {
+            var el = _focus_target_provider.Target;
+            if (el != null) {
+               if (_focus_target_provider.ReleaseKeyboard) {
+                  ReferenceEquals(Keyboard.FocusedElement, el);
+                  Keyboard.ClearFocus();
+               }
+               if (_focus_target_provider.ReleaseMouse)
+                  el.ReleaseMouseCapture();
+            }
+         }
+      }
+      #endregion
+
+      #region EatMouseDown
+      public static readonly DependencyProperty EatMouseDownProperty =
+         DependencyProperty.RegisterAttached("EatMouseDown", typeof(bool), typeof(Behavior), new PropertyMetadata(false, OnEatMouseDownChanged));
+
+      static void OnEatMouseDownChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         var el = (FrameworkElement)d;
+         if ((bool)e.NewValue) el.MouseDown += _eat_mouse_down;
+         else el.MouseDown -= _eat_mouse_down;
+      }
+
+      static void _eat_mouse_down(object sender, MouseButtonEventArgs e) =>
+         e.Handled = true;
+
+      public static bool GetEatMouseDown(DependencyObject d) => (bool)d.GetValue(EatMouseDownProperty);
+      public static void SetEatMouseDown(DependencyObject d, bool value) => d.SetValue(EatMouseDownProperty, value);
+      #endregion
+
+      #region DisablePaste
+      public static readonly DependencyProperty DisablePasteProperty = DependencyProperty.RegisterAttached(
+         "DisablePaste", typeof(bool), typeof(Behavior), new PropertyMetadata(false, OnDisablePasteChanged));
+
+      static void OnDisablePasteChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         if ((bool)e.NewValue)
+            DataObject.AddPastingHandler(d, _disable_paste_pasting_handler);
+         else DataObject.RemovePastingHandler(d, _disable_paste_pasting_handler);
+      }
+      static void _disable_paste_pasting_handler(object sender, DataObjectPastingEventArgs e) => e.CancelCommand();
+
+      public static bool GetDisablePaste(DependencyObject d) => (bool)d.GetValue(DisablePasteProperty);
+      public static void SetDisablePaste(DependencyObject d, bool value) => d.SetValue(DisablePasteProperty, value);
+      #endregion
+
+      public static readonly DependencyProperty BindingUpdateGroupsProperty =
+         DependencyProperty.RegisterAttached("BindingUpdateGroups", typeof(BindingUpdateGroupCollection), typeof(Behavior), new PropertyMetadata(null));
+
+      public static BindingUpdateGroupCollection GetBindingUpdateGroups(DependencyObject d) => d.GetValue(BindingUpdateGroupsProperty) as BindingUpdateGroupCollection;
+      public static void SetBindingUpdateGroups(DependencyObject d, BindingUpdateGroupCollection value) => d.SetValue(BindingUpdateGroupsProperty, value);
+
+      #region AutoRaiseCanExecuteChanged
+      public static readonly DependencyProperty AutoRaiseCanExecuteChangedProperty =
+         DependencyProperty.RegisterAttached("AutoRaiseCanExecuteChanged", typeof(bool), typeof(Behavior),
+            new PropertyMetadata(false, (d, e) => {
+               if ((bool)e.NewValue) {
+                  BindingOperations.SetBinding(d, AutoCommandProperty, new Binding(nameof(ButtonBase.Command)) { Source = d, Mode = BindingMode.OneWay });
+                  BindingOperations.SetBinding(d, AutoCommandParameterProperty, new Binding(nameof(ButtonBase.CommandParameter)) { Source = d, Mode = BindingMode.OneWay });
+               } else {
+                  BindingOperations.ClearBinding(d, AutoCommandProperty);
+                  BindingOperations.ClearBinding(d, AutoCommandParameterProperty);
+               }
+            }));
+
+      public static bool GetAutoRaiseCanExecuteChanged(DependencyObject d) => (bool)d.GetValue(AutoRaiseCanExecuteChangedProperty);
+      public static void SetAutoRaiseCanExecuteChanged(DependencyObject d, bool value) => d.SetValue(AutoRaiseCanExecuteChangedProperty, value);
+
+      /// Do not bind directly to <see cref="AutoCommandProperty"/> (used internally by <see cref="AutoRaiseCanExecuteChangedProperty"/>
+      public static readonly DependencyProperty AutoCommandProperty =
+         DependencyProperty.RegisterAttached("AutoCommand", typeof(ICommand), typeof(Behavior), new PropertyMetadata(null, _try_raise_can_execute));
+
+      public static ICommand GetAutoCommand(DependencyObject d) => d.GetValue(AutoCommandProperty) as ICommand;
+      public static void SetAutoCommand(DependencyObject d, ICommand value) => d.SetValue(AutoCommandProperty, value);
+
+      /// Do not bind directly to <see cref="AutoCommandParameterProperty"/> (used internally by <see cref="AutoRaiseCanExecuteChangedProperty"/>
+      public static readonly DependencyProperty AutoCommandParameterProperty =
+         DependencyProperty.RegisterAttached("AutoCommandParameter", typeof(object), typeof(Behavior), new PropertyMetadata(null, _try_raise_can_execute));
+
+      public static object GetAutoCommandParameter(DependencyObject d) => d.GetValue(AutoCommandParameterProperty);
+      public static void SetAutoCommandParameter(DependencyObject d, object value) => d.SetValue(AutoCommandParameterProperty, value);
+
+      static void _try_raise_can_execute(DependencyObject d, DependencyPropertyChangedEventArgs e) =>
+            (d.GetValue(ButtonBase.CommandProperty) as IRaiseCanExecuteChangedCommand)?.RaiseCanExecuteChanged();
+      #endregion
+
+      #region FocusOnLoaded
+      public static readonly DependencyProperty FocusOnLoadedProperty =
+         DependencyProperty.RegisterAttached("FocusOnLoaded", typeof(bool), typeof(Behavior), new PropertyMetadata(false, OnFocusOnLoadedChanged));
+
+      static void OnFocusOnLoadedChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         var target = (FrameworkElement)d;
+         if ((bool)e.NewValue) target.Loaded += _target_Loaded;
+         else target.Loaded -= _target_Loaded;
+      }
+
+      static void _target_Loaded(object sender, RoutedEventArgs e) {
+         var target = (FrameworkElement)sender;
+         Keyboard.Focus(target);
+      }
+      public static bool GetFocusOnLoaded(DependencyObject d) => (bool)d.GetValue(FocusOnLoadedProperty);
+      public static void SetFocusOnLoaded(DependencyObject d, bool value) => d.SetValue(FocusOnLoadedProperty, value);
+      #endregion
+
+      #region MirrorLayout
+      static readonly DependencyProperty[] _layout_props = new[] {
+         FrameworkElement.HeightProperty,
+         FrameworkElement.WidthProperty,
+         FrameworkElement.MarginProperty,
+         Control.PaddingProperty,
+         FrameworkElement.HorizontalAlignmentProperty,
+         Control.HorizontalContentAlignmentProperty,
+         FrameworkElement.VerticalAlignmentProperty,
+         Control.VerticalContentAlignmentProperty
+      };
+
+      public static readonly DependencyProperty MirrorLayoutForProperty =
+         DependencyProperty.RegisterAttached("MirrorLayoutFor", typeof(FrameworkElement), typeof(Behavior),
+            new PropertyMetadata(OnMirrorLayoutForChanged));
+
+      static void OnMirrorLayoutForChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         var target = new LazyCast<FrameworkElement, DependencyObject>(d);
+         if (e.OldValue is FrameworkElement old_src) {
+            target.value.clear_bindings(_layout_props);
+         }
+         if (e.NewValue is FrameworkElement new_src) {
+            target.value.bind(FrameworkElement.WidthProperty, new_src, FrameworkElement.ActualWidthProperty);
+            target.value.bind(FrameworkElement.HeightProperty, new_src, FrameworkElement.ActualHeightProperty);
+            target.value.bind(FrameworkElement.MarginProperty, new_src, FrameworkElement.MarginProperty);
+            target.value.bind(FrameworkElement.HorizontalAlignmentProperty, new_src, FrameworkElement.HorizontalAlignmentProperty);
+            target.value.bind(FrameworkElement.VerticalAlignmentProperty, new_src, FrameworkElement.VerticalAlignmentProperty);
+            if (target.value is Control && new_src is Control) {
+               target.value.bind(Control.PaddingProperty, new_src, Control.PaddingProperty);
+               target.value.bind(Control.HorizontalContentAlignmentProperty, new_src, Control.HorizontalContentAlignmentProperty);
+               target.value.bind(Control.VerticalContentAlignmentProperty, new_src, Control.VerticalContentAlignmentProperty);
+            }
+         }
+      }
+
+      public static FrameworkElement GetMirrorLayoutFor(DependencyObject d) => d.GetValue(MirrorLayoutForProperty) as FrameworkElement;
+      public static void SetMirrorLayoutFor(DependencyObject d, FrameworkElement value) => d.SetValue(MirrorLayoutForProperty, value);
+      #endregion
+   }
+}

src/client/spark/view/Resources/WindowStyle.xaml.cs

@@ -1,348 +1,371 @@
-using bts;
-
-using mbts.ui.native;
-
-using System;
-using System.Runtime.InteropServices;
-using System.Windows;
-using System.Windows.Input;
-using System.Windows.Interop;
-
-namespace mbts.ui {
-   public partial class WindowStyle : ResourceDictionary {
-      // 'Top' is 0 because the window's TitleContent overlaps the top-resize-border.
-      public static readonly Thickness NegativeResizeBorderThickness = new Thickness(-5, 0, -5, -5);
-
-      public static readonly ExecutedRoutedEventHandler
-         CloseWindowExecutedHandler = WindowCallbackHelper.safe_command_executed_handler(w => w.Close(), "closing"),
-         HideWindowExecutedHandler = WindowCallbackHelper.safe_command_executed_handler(w => w.Visibility = Visibility.Hidden, "hiding"),
-         MinimizeWindowExecutedHandler = WindowCallbackHelper.command_executed_handler(w => w.WindowState = WindowState.Minimized),
-         MaximizeWindowExecutedHandler = WindowCallbackHelper.command_executed_handler(w => w.WindowState = w.WindowState == WindowState.Maximized ? WindowState.Normal : WindowState.Maximized);
-
-      #region UnsafeWindow
-      // UnsafeWindow is described as 'Unsafe' because the window may be on a different dispatcher than the DependencyObject target. 
-      public static readonly DependencyProperty UnsafeWindowProperty =
-         DependencyProperty.RegisterAttached("UnsafeWindow", typeof(Window), typeof(WindowStyle), new PropertyMetadata(OnUnsafeWindowChanged));
-
-      static void OnUnsafeWindowChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
-         if (d is UIElement el)
-            el.RaiseEvent(new RoutedPropertyChangedEventArgs<Window>(e.OldValue as Window, e.NewValue as Window, UnsafeWindowChangedEvent));
-      }
-
-      public static Window GetUnsafeWindow(DependencyObject d) => d.GetValue(UnsafeWindowProperty) as Window;
-      public static void SetUnsafeWindow(DependencyObject d, Window value) => d.SetValue(UnsafeWindowProperty, value);
-      #endregion
-
-      #region UnsafeWindowChanged (Event)
-      internal static readonly RoutedEvent UnsafeWindowChangedEvent = EventManager.RegisterRoutedEvent("UnsafeWindowChanged", RoutingStrategy.Direct, typeof(RoutedPropertyChangedEventHandler<Window>), typeof(WindowStyle));
-
-      internal static void AddUnsafeWindowChangedHandler(UIElement el, RoutedPropertyChangedEventHandler<Window> handler) =>
-         el.AddHandler(UnsafeWindowChangedEvent, handler);
-
-      internal static void RemoveUnsafeWindowChangedHandler(UIElement el, RoutedPropertyChangedEventHandler<Window> handler) =>
-         el.RemoveHandler(UnsafeWindowChangedEvent, handler);
-      #endregion
-
-      static class WindowCallbackHelper {
-         public static ExecutedRoutedEventHandler safe_command_executed_handler(Action<Window> action, string action_name) =>
-            (s, e) => _safe_execute_on_window(s, action, action_name);
-
-         public static ExecutedRoutedEventHandler command_executed_handler(Action<Window> action) =>
-            (s, e) => _execute_on_window(s, action);
-
-         public static RoutedEventHandler routed_event_handler(Action<Window> action) =>
-            (s, e) => _execute_on_window(s, action);
-
-         static void _execute_on_window(object sender, Action<Window> action) {
-            if (_get_host_window(sender) is Window window)
-               action(window);
-         }
-
-         static void _safe_execute_on_window(object sender, Action<Window> action, string action_name) {
-            try {
-               _execute_on_window(sender, action);
-            } catch (Exception err) {
-               Log.Ui.warn($"Exception {action_name} window : {err}");
-            }
-         }
-
-         static Window _get_host_window(object sender) =>
-            sender is Window w ? w : sender is DependencyObject d ? Window.GetWindow(d) : null;
-      }
-
-      #region Attached properties to control the style b/c the default Window properties are lame
-
-      #region Close button
-      public static bool GetShowCloseButton(DependencyObject obj) {
-         return (bool)obj.GetValue(ShowCloseButtonProperty);
-      }
-      public static void SetShowCloseButton(DependencyObject obj, bool value) {
-         obj.SetValue(ShowCloseButtonProperty, value);
-      }
-      public static readonly DependencyProperty ShowCloseButtonProperty =
-          DependencyProperty.RegisterAttached("ShowCloseButton", typeof(bool), typeof(WindowStyle), new PropertyMetadata(true));
-      #endregion
-
-      #region Minimize Button
-      public static bool GetShowMinimizeButton(DependencyObject obj) {
-         return (bool)obj.GetValue(ShowMinimizeButtonProperty);
-      }
-      public static void SetShowMinimizeButton(DependencyObject obj, bool value) {
-         obj.SetValue(ShowMinimizeButtonProperty, value);
-      }
-      public static readonly DependencyProperty ShowMinimizeButtonProperty =
-          DependencyProperty.RegisterAttached("ShowMinimizeButton", typeof(bool), typeof(WindowStyle), new PropertyMetadata(true));
-      #endregion
-
-      #region Maximize Button
-
-      public static bool GetShowMaximizeButton(DependencyObject obj) {
-         return (bool)obj.GetValue(ShowMaximizeButtonProperty);
-      }
-      public static void SetShowMaximizeButton(DependencyObject obj, bool value) {
-         obj.SetValue(ShowMaximizeButtonProperty, value);
-      }
-      public static readonly DependencyProperty ShowMaximizeButtonProperty =
-          DependencyProperty.RegisterAttached("ShowMaximizeButton", typeof(bool), typeof(WindowStyle), new PropertyMetadata(false));
-      #endregion
-
-      #region AllowResize
-      public static bool GetAllowResize(DependencyObject obj) {
-         return (bool)obj.GetValue(AllowResizeProperty);
-      }
-      public static void SetAllowResize(DependencyObject obj, bool value) {
-         obj.SetValue(AllowResizeProperty, value);
-      }
-      public static readonly DependencyProperty AllowResizeProperty =
-          DependencyProperty.RegisterAttached("AllowResize", typeof(bool), typeof(WindowStyle), new PropertyMetadata(false, (s, e) => {
-             var wnd = s as Window;
-             if (wnd != null) {
-                if ((bool)e.NewValue == true) {
-                   wnd.ResizeMode = ResizeMode.CanResize;
-                } else {
-                   wnd.ResizeMode = ResizeMode.NoResize;
-                }
-             }
-          }));
-      #endregion
-
-      #region IsNonClientArea Inherited property
-
-      public static bool GetIsNonClientArea(DependencyObject obj) {
-         return (bool)obj.GetValue(IsNonClientAreaProperty);
-      }
-
-      public static void SetIsNonClientArea(DependencyObject obj, bool value) {
-         obj.SetValue(IsNonClientAreaProperty, value);
-      }
-
-      public static readonly DependencyProperty IsNonClientAreaProperty =
-          DependencyProperty.RegisterAttached("IsNonClientArea", typeof(bool), typeof(WindowStyle), new FrameworkPropertyMetadata(false, FrameworkPropertyMetadataOptions.Inherits));
-      #endregion
-
-      #region [Custom]SizeToContent property (some additional logic is needed to avoid ugly black border margins on the edge of the window)
-
-      public static readonly DependencyProperty SizeToContentProperty = DependencyProperty.RegisterAttached("SizeToContent", typeof(SizeToContent), typeof(WindowStyle), new PropertyMetadata(SizeToContent.Manual, OnSizeToContentChanged));
-      private static void OnSizeToContentChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
-         SizeToContent old_val = (SizeToContent)e.OldValue;
-         SizeToContent new_val = (SizeToContent)e.NewValue;
-         Window w = (Window)d;
-         if (old_val != SizeToContent.Manual) {
-            if (new_val == SizeToContent.Manual) w.ContentRendered -= InvalidateVisualOnContentRendered;
-         } else w.ContentRendered += InvalidateVisualOnContentRendered;
-         w.SizeToContent = new_val;
-      }
-      private static void InvalidateVisualOnContentRendered(object sender, EventArgs e) { ((Window)sender).InvalidateVisual(); }
-      public static SizeToContent GetSizeToContent(Window w) { return (SizeToContent)w.GetValue(SizeToContentProperty); }
-      public static void SetSizeToContent(Window w, SizeToContent value) { w.SetValue(SizeToContentProperty, value); }
-
-      #endregion
-
-      #region TitleContent
-      public static readonly DependencyProperty TitleContentProperty = DependencyProperty.RegisterAttached("TitleContent", typeof(object), typeof(WindowStyle), new PropertyMetadata(null));
-      public static object GetTitleContent(DependencyObject d) { return d.GetValue(TitleContentProperty); }
-      public static void SetTitleContent(DependencyObject d, object value) { d.SetValue(TitleContentProperty, value); }
-      #endregion
-
-      #region TitleContentTemplate
-      public static readonly DependencyProperty TitleContentTemplateProperty = DependencyProperty.RegisterAttached("TitleContentTemplate", typeof(DataTemplate), typeof(WindowStyle), new PropertyMetadata(null));
-      public static DataTemplate GetTitleContentTemplate(DependencyObject d) { return d.GetValue(TitleContentTemplateProperty) as DataTemplate; }
-      public static void SetTitleContentTemplate(DependencyObject d, DataTemplate value) { d.SetValue(TitleContentTemplateProperty, value); }
-      #endregion
-
-      #region DisposeVMOnClose
-      public static readonly DependencyProperty DisposeVMOnCloseProperty = DependencyProperty.RegisterAttached("DisposeVMOnClose", typeof(bool), typeof(WindowStyle), new PropertyMetadata(false, OnDisposeVMOnCloseChanged));
-      private static void OnDisposeVMOnCloseChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
-         var target = d as Window;
-         target?.SetValue(DisposeVMOnCloseHandlerWrapperPropertyKey, (bool)e.NewValue ? new DisposeVMOnCloseHandlerWrapper(target) : null);
-      }
-      public static bool GetDisposeVMOnClose(DependencyObject d) { return (bool)d.GetValue(DisposeVMOnCloseProperty); }
-      public static void SetDisposeVMOnClose(DependencyObject d, bool value) { d.SetValue(DisposeVMOnCloseProperty, value); }
-
-      private static readonly DependencyPropertyKey DisposeVMOnCloseHandlerWrapperPropertyKey = DependencyProperty.RegisterAttachedReadOnly("DisposeVMOnCloseHandlerWrapper", typeof(IDisposable), typeof(WindowStyle), new PropertyMetadata(null, FrameworkElementLifeDependencyHelper.DisposeOld));
-      internal static readonly DependencyProperty DisposeVMOnCloseHandlerWrapperProperty = DisposeVMOnCloseHandlerWrapperPropertyKey.DependencyProperty;
-      internal static IDisposable GetDisposeVMOnCloseHandlerWrapper(Window w) { return w.GetValue(DisposeVMOnCloseHandlerWrapperProperty) as IDisposable; }
-      private static void SetDisposeVMOnCloseHandlerWrapper(Window w, IDisposable value) { w.SetValue(DisposeVMOnCloseHandlerWrapperProperty, value); }
-
-      private class DisposeVMOnCloseHandlerWrapper : IDisposable {
-         public DisposeVMOnCloseHandlerWrapper(Window target) { (_target = target).Closed += _target_Closed; }
-         private readonly Window _target;
-         private void _target_Closed(object sender, EventArgs e) { (_target.DataContext as IDisposable)?.Dispose(); }
-         public void Dispose() { _target.Closed -= _target_Closed; }
-      }
-      #endregion
-
-      #endregion
-
-      private void style_loaded(object sender, RoutedEventArgs _) {
-         if (sender is DependencyObject) {
-            var window = Window.GetWindow(((DependencyObject)sender));
-            if (window != null) {
-               if (WindowStyle.GetAllowResize(window)) {
-                  set_resize_window_events(sender as FrameworkElement, window);
-               } else {
-                  // Simpler dragmove interaction
-                  var border = (FrameworkElement)sender;
-                  border.MouseLeftButtonDown += (s, e) => {
-                     if (Mouse.LeftButton == MouseButtonState.Pressed) {
-                        window.DragMove();
-                     }
-                  };
-               }
-
-               // Handle Close command automagically
-               if (window.CommandBindings.Count == 0) {
-                  window.CommandBindings.Add(new CommandBinding(SystemCommands.CloseWindowCommand, CloseWindowExecutedHandler));
-                  window.CommandBindings.Add(new CommandBinding(SystemCommands.MinimizeWindowCommand, MinimizeWindowExecutedHandler));
-                  window.CommandBindings.Add(new CommandBinding(SystemCommands.MaximizeWindowCommand, MaximizeWindowExecutedHandler));
-               }
-            }
-         }
-      }
-
-      private static void set_resize_window_events(FrameworkElement border, Window window) {
-         HookWndProc(window);
-         Log.assert(border != null);
-         var restore_on_move = false;
-         border.MouseLeftButtonDown += (s, e) => {
-            FrameworkElement fe = e.OriginalSource as FrameworkElement;
-            if (fe != null && (bool)fe.GetValue(WindowStyle.IsNonClientAreaProperty)) {
-               if (e.ClickCount == 2) {
-                  toggle_max(window);
-               } else {
-                  if (window.WindowState == WindowState.Maximized) { restore_on_move = true; }
-                  if (Mouse.LeftButton == MouseButtonState.Pressed) {
-                     window.DragMove();
-                  }
-               }
-            }
-         };
-         border.MouseLeftButtonUp += (s, e) => restore_on_move = false;
-         border.MouseMove += (s, e) => {
-            if (restore_on_move && window.WindowState == WindowState.Maximized && Mouse.LeftButton == MouseButtonState.Pressed) {
-               window.WindowState = WindowState.Normal;
-               window.Top = 0;
-               if (Mouse.LeftButton == MouseButtonState.Pressed) {
-                  window.DragMove();
-               }
-            }
-         };
-      }
-
-      private static void toggle_max(Window window) {
-         if (window.WindowState == WindowState.Maximized) {
-            window.WindowState = WindowState.Normal;
-         } else {
-            window.WindowState = WindowState.Maximized;
-         }
-      }
-
-
-
-      private static void HookWndProc(Window window) {
-         HwndSource source = PresentationSource.FromVisual(window) as HwndSource;
-         if (source != null) {
-            source.AddHook(new HwndSourceHook(WndProc));
-         }
-      }
-      private static void UnhookWndProc(Window window) {
-         HwndSource source = PresentationSource.FromVisual(window) as HwndSource;
-         if (source != null) {
-            source.RemoveHook(new HwndSourceHook(WndProc));
-         }
-      }
-
-      private static IntPtr WndProc(IntPtr hwnd, int msg, IntPtr wparam, IntPtr lparam, ref bool handled) {
-         WM wmsg = (WM)msg;
-         if (WM.NCHITTEST == wmsg /*|| WM.MOUSEMOVE == wmsg*/) {
-            Thickness t = new Thickness(6);
-            // Get the mouse coordinates in screen space
-            short x = (short)lparam.ToInt32();
-            short y = (short)(lparam.ToInt32() >> 16);
-            // Get the window bounds in screen coords
-            Win32Rect w;
-            NativeMethods.GetWindowRect(hwnd, out w);
-            // Assume that mouse position is inside the window
-            bool left = x < (w.Left + t.Left);
-            bool right = x > (w.Right - t.Right);
-            bool top = y < (w.Top + t.Top);
-            bool bottom = y > (w.Bottom - t.Bottom);
-
-            //  A  B  C
-            //  D     E
-            //  F  G  H
-
-            HT ret = HT.CLIENT;
-            if (top) {
-               if (left) ret = HT.TOPLEFT; // A
-               else if (right) ret = HT.TOPRIGHT; // C
-               else ret = HT.TOP; // B
-            } else if (bottom) {
-               if (left) ret = HT.BOTTOMLEFT; // F
-               else if (right) ret = HT.BOTTOMRIGHT; // H
-               else ret = HT.BOTTOM; // G
-            } else {
-               if (left) ret = HT.LEFT; // D
-               if (right) ret = HT.RIGHT; // E
-            }
-
-            handled = true;
-            return new IntPtr((int)ret);
-         } else if (wmsg == WM.NCCALCSIZE) {
-            handled = true;
-         } else if (wmsg == WM.NCPAINT) {
-            handled = true;
-         } else if (wmsg == WM.NCACTIVATE) {
-            handled = true;
-            return NativeMethods.DefWindowProc(hwnd, msg, wparam, new IntPtr(-1));
-         } else if (wmsg == WM.ERASEBKGND) {
-            handled = true;
-         } else if (wmsg == WM.GETMINMAXINFO) {
-            SetMinMaxInfo(hwnd, lparam);
-            handled = true;
-         }
-
-         return IntPtr.Zero;
-      }
-
-      private static void SetMinMaxInfo(IntPtr hwnd, IntPtr lparam) {
-         var mminfo = (MINMAXINFO)Marshal.PtrToStructure(lparam, typeof(MINMAXINFO));
-
-         var hmonitor = NativeMethods.MonitorFromWindow(hwnd, NativeMethods.MONITOR_DEFAULTONNEAREST);
-         if (hmonitor != IntPtr.Zero) {
-            MONITORINFO minfo = new MONITORINFO();
-            minfo.cbSize = Marshal.SizeOf(minfo);
-            NativeMethods.GetMonitorInfo(hmonitor, ref minfo);
-            var rc_monitor = minfo.rcMonitor;
-            var rc_work = minfo.rcWork;
-            mminfo.ptMaxPosition.x = Math.Abs(rc_work.Left - rc_monitor.Left);
-            mminfo.ptMaxPosition.y = Math.Abs(rc_work.Top - rc_monitor.Top);
-            mminfo.ptMaxSize.x = Math.Abs(rc_work.Right - rc_work.Left);
-            mminfo.ptMaxSize.y = Math.Abs(rc_work.Bottom - rc_work.Top);
-
-            Marshal.StructureToPtr(mminfo, lparam, true);
-         }
-      }
-
-   }
-}
+using bts;
+
+using mbts.ui.native;
+
+using System;
+using System.Runtime.InteropServices;
+using System.Windows;
+using System.Windows.Input;
+using System.Windows.Interop;
+
+namespace mbts.ui {
+   public partial class WindowStyle : ResourceDictionary {
+      // 'Top' is 0 because the window's TitleContent overlaps the top-resize-border.
+      public static readonly Thickness NegativeResizeBorderThickness = new Thickness(-5, 0, -5, -5);
+
+      public static readonly ExecutedRoutedEventHandler
+         CloseWindowExecutedHandler = WindowCallbackHelper.safe_command_executed_handler(w => w.Close(), "closing"),
+         HideWindowExecutedHandler = WindowCallbackHelper.safe_command_executed_handler(w => w.Visibility = Visibility.Hidden, "hiding"),
+         MinimizeWindowExecutedHandler = WindowCallbackHelper.command_executed_handler(w => w.WindowState = WindowState.Minimized),
+         MaximizeWindowExecutedHandler = WindowCallbackHelper.command_executed_handler(w => w.WindowState = w.WindowState == WindowState.Maximized ? WindowState.Normal : WindowState.Maximized);
+
+      #region UnsafeWindow
+      // UnsafeWindow is described as 'Unsafe' because the window may be on a different dispatcher than the DependencyObject target. 
+      public static readonly DependencyProperty UnsafeWindowProperty =
+         DependencyProperty.RegisterAttached("UnsafeWindow", typeof(Window), typeof(WindowStyle), new PropertyMetadata(OnUnsafeWindowChanged));
+
+      static void OnUnsafeWindowChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         if (d is UIElement el)
+            el.RaiseEvent(new RoutedPropertyChangedEventArgs<Window>(e.OldValue as Window, e.NewValue as Window, UnsafeWindowChangedEvent));
+      }
+
+      public static Window GetUnsafeWindow(DependencyObject d) => d.GetValue(UnsafeWindowProperty) as Window;
+      public static void SetUnsafeWindow(DependencyObject d, Window value) => d.SetValue(UnsafeWindowProperty, value);
+      #endregion
+
+      #region UnsafeWindowChanged (Event)
+      internal static readonly RoutedEvent UnsafeWindowChangedEvent = EventManager.RegisterRoutedEvent("UnsafeWindowChanged", RoutingStrategy.Direct, typeof(RoutedPropertyChangedEventHandler<Window>), typeof(WindowStyle));
+
+      internal static void AddUnsafeWindowChangedHandler(UIElement el, RoutedPropertyChangedEventHandler<Window> handler) =>
+         el.AddHandler(UnsafeWindowChangedEvent, handler);
+
+      internal static void RemoveUnsafeWindowChangedHandler(UIElement el, RoutedPropertyChangedEventHandler<Window> handler) =>
+         el.RemoveHandler(UnsafeWindowChangedEvent, handler);
+      #endregion
+
+      #region WinFormsHost
+      public static readonly DependencyProperty WinFormsHostProperty =
+         DependencyProperty.RegisterAttached("WinFormsHost", typeof(WPFPanel), typeof(WindowStyle), new PropertyMetadata(OnWinFormsHostChanged));
+
+      static void OnWinFormsHostChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         if (d is UIElement el)
+            el.RaiseEvent(new RoutedPropertyChangedEventArgs<WPFPanel>(e.OldValue as WPFPanel, e.NewValue as WPFPanel, WinFormsHostChangedEvent));
+      }
+
+      public static WPFPanel GetWinFormsHost(DependencyObject d) => d.GetValue(WinFormsHostProperty) as WPFPanel;
+      public static void SetWinFormsHost(DependencyObject d, WPFPanel value) => d.SetValue(WinFormsHostProperty, value);
+      #endregion
+
+      #region WinFormsHostChanged (Event)
+      internal static readonly RoutedEvent WinFormsHostChangedEvent = EventManager.RegisterRoutedEvent("WinFormsHostChanged", RoutingStrategy.Direct, typeof(RoutedPropertyChangedEventHandler<WPFPanel>), typeof(WindowStyle));
+
+      internal static void AddWinFormsHostChangedHandler(UIElement el, RoutedPropertyChangedEventHandler<WPFPanel> handler) =>
+         el.AddHandler(WinFormsHostChangedEvent, handler);
+
+      internal static void RemoveWinFormsHostChangedHandler(UIElement el, RoutedPropertyChangedEventHandler<WPFPanel> handler) =>
+         el.RemoveHandler(WinFormsHostChangedEvent, handler);
+      #endregion
+
+      static class WindowCallbackHelper {
+         public static ExecutedRoutedEventHandler safe_command_executed_handler(Action<Window> action, string action_name) =>
+            (s, e) => _safe_execute_on_window(s, action, action_name);
+
+         public static ExecutedRoutedEventHandler command_executed_handler(Action<Window> action) =>
+            (s, e) => _execute_on_window(s, action);
+
+         public static RoutedEventHandler routed_event_handler(Action<Window> action) =>
+            (s, e) => _execute_on_window(s, action);
+
+         static void _execute_on_window(object sender, Action<Window> action) {
+            if (_get_host_window(sender) is Window window)
+               action(window);
+         }
+
+         static void _safe_execute_on_window(object sender, Action<Window> action, string action_name) {
+            try {
+               _execute_on_window(sender, action);
+            } catch (Exception err) {
+               Log.Ui.warn($"Exception {action_name} window : {err}");
+            }
+         }
+
+         static Window _get_host_window(object sender) =>
+            sender is Window w ? w : sender is DependencyObject d ? Window.GetWindow(d) : null;
+      }
+
+      #region Attached properties to control the style b/c the default Window properties are lame
+
+      #region Close button
+      public static bool GetShowCloseButton(DependencyObject obj) {
+         return (bool)obj.GetValue(ShowCloseButtonProperty);
+      }
+      public static void SetShowCloseButton(DependencyObject obj, bool value) {
+         obj.SetValue(ShowCloseButtonProperty, value);
+      }
+      public static readonly DependencyProperty ShowCloseButtonProperty =
+          DependencyProperty.RegisterAttached("ShowCloseButton", typeof(bool), typeof(WindowStyle), new PropertyMetadata(true));
+      #endregion
+
+      #region Minimize Button
+      public static bool GetShowMinimizeButton(DependencyObject obj) {
+         return (bool)obj.GetValue(ShowMinimizeButtonProperty);
+      }
+      public static void SetShowMinimizeButton(DependencyObject obj, bool value) {
+         obj.SetValue(ShowMinimizeButtonProperty, value);
+      }
+      public static readonly DependencyProperty ShowMinimizeButtonProperty =
+          DependencyProperty.RegisterAttached("ShowMinimizeButton", typeof(bool), typeof(WindowStyle), new PropertyMetadata(true));
+      #endregion
+
+      #region Maximize Button
+
+      public static bool GetShowMaximizeButton(DependencyObject obj) {
+         return (bool)obj.GetValue(ShowMaximizeButtonProperty);
+      }
+      public static void SetShowMaximizeButton(DependencyObject obj, bool value) {
+         obj.SetValue(ShowMaximizeButtonProperty, value);
+      }
+      public static readonly DependencyProperty ShowMaximizeButtonProperty =
+          DependencyProperty.RegisterAttached("ShowMaximizeButton", typeof(bool), typeof(WindowStyle), new PropertyMetadata(false));
+      #endregion
+
+      #region AllowResize
+      public static bool GetAllowResize(DependencyObject obj) {
+         return (bool)obj.GetValue(AllowResizeProperty);
+      }
+      public static void SetAllowResize(DependencyObject obj, bool value) {
+         obj.SetValue(AllowResizeProperty, value);
+      }
+      public static readonly DependencyProperty AllowResizeProperty =
+          DependencyProperty.RegisterAttached("AllowResize", typeof(bool), typeof(WindowStyle), new PropertyMetadata(false, (s, e) => {
+             var wnd = s as Window;
+             if (wnd != null) {
+                if ((bool)e.NewValue == true) {
+                   wnd.ResizeMode = ResizeMode.CanResize;
+                } else {
+                   wnd.ResizeMode = ResizeMode.NoResize;
+                }
+             }
+          }));
+      #endregion
+
+      #region IsNonClientArea Inherited property
+
+      public static bool GetIsNonClientArea(DependencyObject obj) {
+         return (bool)obj.GetValue(IsNonClientAreaProperty);
+      }
+
+      public static void SetIsNonClientArea(DependencyObject obj, bool value) {
+         obj.SetValue(IsNonClientAreaProperty, value);
+      }
+
+      public static readonly DependencyProperty IsNonClientAreaProperty =
+          DependencyProperty.RegisterAttached("IsNonClientArea", typeof(bool), typeof(WindowStyle), new FrameworkPropertyMetadata(false, FrameworkPropertyMetadataOptions.Inherits));
+      #endregion
+
+      #region [Custom]SizeToContent property (some additional logic is needed to avoid ugly black border margins on the edge of the window)
+
+      public static readonly DependencyProperty SizeToContentProperty = DependencyProperty.RegisterAttached("SizeToContent", typeof(SizeToContent), typeof(WindowStyle), new PropertyMetadata(SizeToContent.Manual, OnSizeToContentChanged));
+      private static void OnSizeToContentChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         SizeToContent old_val = (SizeToContent)e.OldValue;
+         SizeToContent new_val = (SizeToContent)e.NewValue;
+         Window w = (Window)d;
+         if (old_val != SizeToContent.Manual) {
+            if (new_val == SizeToContent.Manual) w.ContentRendered -= InvalidateVisualOnContentRendered;
+         } else w.ContentRendered += InvalidateVisualOnContentRendered;
+         w.SizeToContent = new_val;
+      }
+      private static void InvalidateVisualOnContentRendered(object sender, EventArgs e) { ((Window)sender).InvalidateVisual(); }
+      public static SizeToContent GetSizeToContent(Window w) { return (SizeToContent)w.GetValue(SizeToContentProperty); }
+      public static void SetSizeToContent(Window w, SizeToContent value) { w.SetValue(SizeToContentProperty, value); }
+
+      #endregion
+
+      #region TitleContent
+      public static readonly DependencyProperty TitleContentProperty = DependencyProperty.RegisterAttached("TitleContent", typeof(object), typeof(WindowStyle), new PropertyMetadata(null));
+      public static object GetTitleContent(DependencyObject d) { return d.GetValue(TitleContentProperty); }
+      public static void SetTitleContent(DependencyObject d, object value) { d.SetValue(TitleContentProperty, value); }
+      #endregion
+
+      #region TitleContentTemplate
+      public static readonly DependencyProperty TitleContentTemplateProperty = DependencyProperty.RegisterAttached("TitleContentTemplate", typeof(DataTemplate), typeof(WindowStyle), new PropertyMetadata(null));
+      public static DataTemplate GetTitleContentTemplate(DependencyObject d) { return d.GetValue(TitleContentTemplateProperty) as DataTemplate; }
+      public static void SetTitleContentTemplate(DependencyObject d, DataTemplate value) { d.SetValue(TitleContentTemplateProperty, value); }
+      #endregion
+
+      #region DisposeVMOnClose
+      public static readonly DependencyProperty DisposeVMOnCloseProperty = DependencyProperty.RegisterAttached("DisposeVMOnClose", typeof(bool), typeof(WindowStyle), new PropertyMetadata(false, OnDisposeVMOnCloseChanged));
+      private static void OnDisposeVMOnCloseChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         var target = d as Window;
+         target?.SetValue(DisposeVMOnCloseHandlerWrapperPropertyKey, (bool)e.NewValue ? new DisposeVMOnCloseHandlerWrapper(target) : null);
+      }
+      public static bool GetDisposeVMOnClose(DependencyObject d) { return (bool)d.GetValue(DisposeVMOnCloseProperty); }
+      public static void SetDisposeVMOnClose(DependencyObject d, bool value) { d.SetValue(DisposeVMOnCloseProperty, value); }
+
+      private static readonly DependencyPropertyKey DisposeVMOnCloseHandlerWrapperPropertyKey = DependencyProperty.RegisterAttachedReadOnly("DisposeVMOnCloseHandlerWrapper", typeof(IDisposable), typeof(WindowStyle), new PropertyMetadata(null, FrameworkElementLifeDependencyHelper.DisposeOld));
+      internal static readonly DependencyProperty DisposeVMOnCloseHandlerWrapperProperty = DisposeVMOnCloseHandlerWrapperPropertyKey.DependencyProperty;
+      internal static IDisposable GetDisposeVMOnCloseHandlerWrapper(Window w) { return w.GetValue(DisposeVMOnCloseHandlerWrapperProperty) as IDisposable; }
+      private static void SetDisposeVMOnCloseHandlerWrapper(Window w, IDisposable value) { w.SetValue(DisposeVMOnCloseHandlerWrapperProperty, value); }
+
+      private class DisposeVMOnCloseHandlerWrapper : IDisposable {
+         public DisposeVMOnCloseHandlerWrapper(Window target) { (_target = target).Closed += _target_Closed; }
+         private readonly Window _target;
+         private void _target_Closed(object sender, EventArgs e) { (_target.DataContext as IDisposable)?.Dispose(); }
+         public void Dispose() { _target.Closed -= _target_Closed; }
+      }
+      #endregion
+
+      #endregion
+
+      private void style_loaded(object sender, RoutedEventArgs _) {
+         if (sender is DependencyObject) {
+            var window = Window.GetWindow(((DependencyObject)sender));
+            if (window != null) {
+               if (WindowStyle.GetAllowResize(window)) {
+                  set_resize_window_events(sender as FrameworkElement, window);
+               } else {
+                  // Simpler dragmove interaction
+                  var border = (FrameworkElement)sender;
+                  border.MouseLeftButtonDown += (s, e) => {
+                     if (Mouse.LeftButton == MouseButtonState.Pressed) {
+                        window.DragMove();
+                     }
+                  };
+               }
+
+               // Handle Close command automagically
+               if (window.CommandBindings.Count == 0) {
+                  window.CommandBindings.Add(new CommandBinding(SystemCommands.CloseWindowCommand, CloseWindowExecutedHandler));
+                  window.CommandBindings.Add(new CommandBinding(SystemCommands.MinimizeWindowCommand, MinimizeWindowExecutedHandler));
+                  window.CommandBindings.Add(new CommandBinding(SystemCommands.MaximizeWindowCommand, MaximizeWindowExecutedHandler));
+               }
+            }
+         }
+      }
+
+      private static void set_resize_window_events(FrameworkElement border, Window window) {
+         HookWndProc(window);
+         Log.assert(border != null);
+         var restore_on_move = false;
+         border.MouseLeftButtonDown += (s, e) => {
+            FrameworkElement fe = e.OriginalSource as FrameworkElement;
+            if (fe != null && (bool)fe.GetValue(WindowStyle.IsNonClientAreaProperty)) {
+               if (e.ClickCount == 2) {
+                  toggle_max(window);
+               } else {
+                  if (window.WindowState == WindowState.Maximized) { restore_on_move = true; }
+                  if (Mouse.LeftButton == MouseButtonState.Pressed) {
+                     window.DragMove();
+                  }
+               }
+            }
+         };
+         border.MouseLeftButtonUp += (s, e) => restore_on_move = false;
+         border.MouseMove += (s, e) => {
+            if (restore_on_move && window.WindowState == WindowState.Maximized && Mouse.LeftButton == MouseButtonState.Pressed) {
+               window.WindowState = WindowState.Normal;
+               window.Top = 0;
+               if (Mouse.LeftButton == MouseButtonState.Pressed) {
+                  window.DragMove();
+               }
+            }
+         };
+      }
+
+      private static void toggle_max(Window window) {
+         if (window.WindowState == WindowState.Maximized) {
+            window.WindowState = WindowState.Normal;
+         } else {
+            window.WindowState = WindowState.Maximized;
+         }
+      }
+
+
+
+      private static void HookWndProc(Window window) {
+         HwndSource source = PresentationSource.FromVisual(window) as HwndSource;
+         if (source != null) {
+            source.AddHook(new HwndSourceHook(WndProc));
+         }
+      }
+      private static void UnhookWndProc(Window window) {
+         HwndSource source = PresentationSource.FromVisual(window) as HwndSource;
+         if (source != null) {
+            source.RemoveHook(new HwndSourceHook(WndProc));
+         }
+      }
+
+      private static IntPtr WndProc(IntPtr hwnd, int msg, IntPtr wparam, IntPtr lparam, ref bool handled) {
+         WM wmsg = (WM)msg;
+         if (WM.NCHITTEST == wmsg /*|| WM.MOUSEMOVE == wmsg*/) {
+            Thickness t = new Thickness(6);
+            // Get the mouse coordinates in screen space
+            short x = (short)lparam.ToInt32();
+            short y = (short)(lparam.ToInt32() >> 16);
+            // Get the window bounds in screen coords
+            Win32Rect w;
+            NativeMethods.GetWindowRect(hwnd, out w);
+            // Assume that mouse position is inside the window
+            bool left = x < (w.Left + t.Left);
+            bool right = x > (w.Right - t.Right);
+            bool top = y < (w.Top + t.Top);
+            bool bottom = y > (w.Bottom - t.Bottom);
+
+            //  A  B  C
+            //  D     E
+            //  F  G  H
+
+            HT ret = HT.CLIENT;
+            if (top) {
+               if (left) ret = HT.TOPLEFT; // A
+               else if (right) ret = HT.TOPRIGHT; // C
+               else ret = HT.TOP; // B
+            } else if (bottom) {
+               if (left) ret = HT.BOTTOMLEFT; // F
+               else if (right) ret = HT.BOTTOMRIGHT; // H
+               else ret = HT.BOTTOM; // G
+            } else {
+               if (left) ret = HT.LEFT; // D
+               if (right) ret = HT.RIGHT; // E
+            }
+
+            handled = true;
+            return new IntPtr((int)ret);
+         } else if (wmsg == WM.NCCALCSIZE) {
+            handled = true;
+         } else if (wmsg == WM.NCPAINT) {
+            handled = true;
+         } else if (wmsg == WM.NCACTIVATE) {
+            handled = true;
+            return NativeMethods.DefWindowProc(hwnd, msg, wparam, new IntPtr(-1));
+         } else if (wmsg == WM.ERASEBKGND) {
+            handled = true;
+         } else if (wmsg == WM.GETMINMAXINFO) {
+            SetMinMaxInfo(hwnd, lparam);
+            handled = true;
+         }
+
+         return IntPtr.Zero;
+      }
+
+      private static void SetMinMaxInfo(IntPtr hwnd, IntPtr lparam) {
+         var mminfo = (MINMAXINFO)Marshal.PtrToStructure(lparam, typeof(MINMAXINFO));
+
+         var hmonitor = NativeMethods.MonitorFromWindow(hwnd, NativeMethods.MONITOR_DEFAULTONNEAREST);
+         if (hmonitor != IntPtr.Zero) {
+            MONITORINFO minfo = new MONITORINFO();
+            minfo.cbSize = Marshal.SizeOf(minfo);
+            NativeMethods.GetMonitorInfo(hmonitor, ref minfo);
+            var rc_monitor = minfo.rcMonitor;
+            var rc_work = minfo.rcWork;
+            mminfo.ptMaxPosition.x = Math.Abs(rc_work.Left - rc_monitor.Left);
+            mminfo.ptMaxPosition.y = Math.Abs(rc_work.Top - rc_monitor.Top);
+            mminfo.ptMaxSize.x = Math.Abs(rc_work.Right - rc_work.Left);
+            mminfo.ptMaxSize.y = Math.Abs(rc_work.Bottom - rc_work.Top);
+
+            Marshal.StructureToPtr(mminfo, lparam, true);
+         }
+      }
+
+   }
+}

src/client/spark/view/Shell/ViewModels/ShellWindowVM.cs

@@ -1,241 +1,242 @@
-namespace mbts.ui.shell {
-   using bts;
-
-   using Spark.Core;
-   using Spark.Core.Async;
-   using Spark.Core.Disposables;
-
-   using System;
-   using System.Reactive.Linq;
-   using System.Runtime.InteropServices;
-   using System.Windows;
-   using System.Windows.Controls;
-   using System.Windows.Input;
-   using System.Windows.Media;
-   using System.Windows.Threading;
-
-   public class ShellWindowVM : DisposableViewModelBase {
-      readonly IWindowManager _window_manager;
-      readonly Property<bool> _edit_mode;
-      readonly Property<string> _title;
-      readonly Property<string> _title_override;
-      readonly Property<bool> _has_custom_title;
-
-      IShellWindow _model;
-      UIElement _ui;
-      ShellWindowUI _document;
-      HwndContentHost _hwnd_host;
-      FloatingWindow _owner;
-      ImageSource _icon;
-      ICommand _close_command;
-      ICommand _rename_command;
-      ICommand _unrename_command;
-
-      public ShellWindowVM(IShellWindow model, IWindowManager wm, IShellThreadFactory threads, string host = null) {
-         Log.assert(model != null);
-         _model = model;
-         _model.IconChanged += on_icon_changed;
-         _window_manager = wm;
-         host_id = (model as ITabAffineWindow)?.tab_group ?? host ?? string.Empty;
-
-         // init Dispatcher
-         var stf = (ShellThreadFactory)threads;
-         if (IsShared) {
-            Dispatcher = stf.get_dispatcher((ISharedWindow)model);
-         } else if (IsSlow) {
-            Dispatcher = stf.create_dispatcher((ISlowWindow)model);
-         } else {
-            Dispatcher = Dispatcher.CurrentDispatcher;
-         }
-
-         _edit_mode = backing(nameof(EditMode), false);
-
-         _title_override = backing<string>(nameof(TitleOverride));
-         _title = backing(
-            nameof(Title),
-            _model.observe_title()
-            .CombineLatest(
-               _title_override.observe_current(true),
-               (title, title_override) => (title, title_override))
-            .Select(t => t.title_override ?? t.title)
-            .OnDispatcher());
-         _has_custom_title = backing(
-            nameof(HasCustomTitle),
-            _title_override.observe_current(true).Select(t => !t.is_null_or_white_space()).OnDispatcher());
-
-         model.on_shell_window_vm(this);
-
-         _dispose = Disposable.Create(() => {
-            _model.IconChanged -= on_icon_changed;
-            if (IsShared) {
-               // Shared threads continue running
-               Dispatcher.Invoke(() => Disposable.dispose(ref _model));
-            } else if (IsSlow) {
-               // Terminating the background thread will dispose the model on that thread
-               Log.Ui.info("Beginning asyncronous dispose of slow window {0} .".fmt(_model.GetType().ToString()));
-               Dispatcher.BeginInvokeShutdown(DispatcherPriority.Background);
-            } else {
-               Disposable.dispose(ref _model);
-            }
-            _ui = null;
-            Disposable.dispose(ref _hwnd_host);
-         });
-
-         void on_icon_changed() {
-            _icon = null;
-            RaisePropertyChanged(nameof(Icon));
-         }
-      }
-
-      public AsyncEvent<(object sender, ShellWindowVM e)> Closing { get; } = new();
-
-      public string host_id { get; set; }
-      public string OwnerName => _model.Owner?.name ?? string.Empty;
-      public IShellWindow Model => _model;
-      public Dispatcher Dispatcher { get; }
-
-      // title
-      public string Title => _title.Value;
-      public string TitleOverride {
-         get => _title_override.Value;
-         set {
-            _title_override.Value = value;
-            _edit_mode.set(false);
-         }
-      }
-      public bool HasCustomTitle => _has_custom_title.Value;
-
-      public ImageSource Icon =>
-         _icon ??= _model.Icon ?? _model.Owner?.icon;
-
-      public bool EditMode => _edit_mode.Value;
-      public double InitialWidth { get; private set; }
-      public double InitialHeight { get; private set; }
-
-      public UIElement AppContent =>
-         _ui ??= _create_contents();
-
-      public bool IsSlow => _model is ISlowWindow;
-      public bool IsShared => _model is ISharedWindow;
-      public bool HasTabAffinity => _model is ITabAffineWindow;
-
-      public ICommand rename_command =>
-         _rename_command ??= new DelegateCommand(_begin_rename);
-
-      public ICommand unrename_command =>
-         _unrename_command ??= new DelegateCommand(() => TitleOverride = string.Empty);
-
-      public ICommand CloseCommand =>
-         _close_command ??= new DelegateCommand(_begin_close);
-
-      internal FloatingWindow owner {
-         get => _owner;
-         set {
-            if (Set(ref _owner, value)) {
-               _try_set_wpf_bus();
-            }
-         }
-      }
-
-      public IObservable<string> observe_title() =>
-         _title.observe_current(true);
-
-      void _begin_rename() {
-         if (string.IsNullOrEmpty(TitleOverride)) {
-            _title_override.Value = Title;
-         }
-         _edit_mode.set(true);
-      }
-
-      async void _begin_close(object sender) {
-         if (_window_manager is null) {
-            return;
-         }
-         if (!_window_manager.contains(_model)) {
-            return;
-         }
-         await Closing?.InvokeAsync((sender, this));
-         // Removing the window will cause this object to be Disposed
-         // Which will terminate the background thread
-         // Which will dispose the model (on that thread)
-         await _window_manager.remove(_model);
-      }
-
-      UIElement _create_contents() {
-         string error_text = null;
-
-         Dispatcher.Invoke(() => {
-            // Executes possibly on background thread
-            try {
-               _document = _model.GetContent();
-            } catch (Exception ex) {
-               error_text = ex.Message;
-               Log.Ui.error($"Error getting window contents: {ex}");
-            }
-         }, DispatcherPriority.Send);
-
-         if (_document == null && string.IsNullOrEmpty(error_text)) {
-            error_text = $"No content for window {_model.GetType()}";
-         }
-
-         // If there's an error draw a big red X
-         if (!error_text.is_null_or_empty()) {
-            _document = new ShellWindowUI(new TextBlock() {
-               HorizontalAlignment = HorizontalAlignment.Center,
-               VerticalAlignment = VerticalAlignment.Center,
-               Foreground = Brushes.Red,
-               Text = error_text
-            });
-            _model = new ErrorShellWindow {
-               Content = _document,
-               Icon = _model.Icon,
-               Title = $"Error: {_model.GetType()}"
-            };
-            RaisePropertyChanged("Title");
-         }
-
-         Log.assert(_document != null);
-         return _document.content.Match(on_wpf_element, on_handle_ref);
-
-         UIElement on_wpf_element(UIElement element) {
-            if (IsSlow || IsShared) {
-               // Create a WPFPanel (a Winforms window), then attach it with the HwndContentHost.
-               // This gives the document content a separate thread affinity from the shell window,
-               // and lets the win32 layer handle the thread boundary.
-               var retval = Dispatcher.Invoke(() => {
-                  var interop_window = new WPFPanel(element);
-                  return new HandleRef(interop_window, interop_window.Handle);
-               }, DispatcherPriority.Send);
-               _hwnd_host = new HwndContentHost(retval);
-               InitialHeight = _hwnd_host.InitialHeight;
-               InitialWidth = _hwnd_host.InitialWidth;
-               return _hwnd_host;
-            }
-            if (element is FrameworkElement fe) {
-               InitialHeight = fe.Height;
-               InitialWidth = fe.Width;
-               fe.Height = fe.Width = double.NaN;
-            }
-            return element;
-         }
-
-         UIElement on_handle_ref(HandleRef handle_ref) {
-            _hwnd_host = new HwndContentHost(handle_ref);
-            InitialHeight = _hwnd_host.Height;
-            InitialWidth = _hwnd_host.Width;
-            return _hwnd_host;
-         }
-      }
-
-      void _try_set_wpf_bus() {
-         if (_owner is null) {
-            return;
-         }
-         _document.content.try_match(on_wpf_element);
-
-         void on_wpf_element(UIElement element) =>
-            element.Dispatcher.InvokeAsync(() =>
-               ui.WindowStyle.SetUnsafeWindow(element, _owner));
-      }
-   }
-}
+namespace mbts.ui.shell {
+   using bts;
+
+   using Spark.Core;
+   using Spark.Core.Async;
+   using Spark.Core.Disposables;
+
+   using System;
+   using System.Reactive.Linq;
+   using System.Runtime.InteropServices;
+   using System.Windows;
+   using System.Windows.Controls;
+   using System.Windows.Input;
+   using System.Windows.Media;
+   using System.Windows.Threading;
+
+   public class ShellWindowVM : DisposableViewModelBase {
+      readonly IWindowManager _window_manager;
+      readonly Property<bool> _edit_mode;
+      readonly Property<string> _title;
+      readonly Property<string> _title_override;
+      readonly Property<bool> _has_custom_title;
+
+      IShellWindow _model;
+      UIElement _ui;
+      ShellWindowUI _document;
+      HwndContentHost _hwnd_host;
+      FloatingWindow _owner;
+      ImageSource _icon;
+      ICommand _close_command;
+      ICommand _rename_command;
+      ICommand _unrename_command;
+
+      public ShellWindowVM(IShellWindow model, IWindowManager wm, IShellThreadFactory threads, string host = null) {
+         Log.assert(model != null);
+         _model = model;
+         _model.IconChanged += on_icon_changed;
+         _window_manager = wm;
+         host_id = (model as ITabAffineWindow)?.tab_group ?? host ?? string.Empty;
+
+         // init Dispatcher
+         var stf = (ShellThreadFactory)threads;
+         if (IsShared) {
+            Dispatcher = stf.get_dispatcher((ISharedWindow)model);
+         } else if (IsSlow) {
+            Dispatcher = stf.create_dispatcher((ISlowWindow)model);
+         } else {
+            Dispatcher = Dispatcher.CurrentDispatcher;
+         }
+
+         _edit_mode = backing(nameof(EditMode), false);
+
+         _title_override = backing<string>(nameof(TitleOverride));
+         _title = backing(
+            nameof(Title),
+            _model.observe_title()
+            .CombineLatest(
+               _title_override.observe_current(true),
+               (title, title_override) => (title, title_override))
+            .Select(t => t.title_override ?? t.title)
+            .OnDispatcher());
+         _has_custom_title = backing(
+            nameof(HasCustomTitle),
+            _title_override.observe_current(true).Select(t => !t.is_null_or_white_space()).OnDispatcher());
+
+         model.on_shell_window_vm(this);
+
+         _dispose = Disposable.Create(() => {
+            _model.IconChanged -= on_icon_changed;
+            if (IsShared) {
+               // Shared threads continue running
+               Dispatcher.Invoke(() => Disposable.dispose(ref _model));
+            } else if (IsSlow) {
+               // Terminating the background thread will dispose the model on that thread
+               Log.Ui.info("Beginning asyncronous dispose of slow window {0} .".fmt(_model.GetType().ToString()));
+               Dispatcher.BeginInvokeShutdown(DispatcherPriority.Background);
+            } else {
+               Disposable.dispose(ref _model);
+            }
+            _ui = null;
+            Disposable.dispose(ref _hwnd_host);
+         });
+
+         void on_icon_changed() {
+            _icon = null;
+            RaisePropertyChanged(nameof(Icon));
+         }
+      }
+
+      public AsyncEvent<(object sender, ShellWindowVM e)> Closing { get; } = new();
+
+      public string host_id { get; set; }
+      public string OwnerName => _model.Owner?.name ?? string.Empty;
+      public IShellWindow Model => _model;
+      public Dispatcher Dispatcher { get; }
+
+      // title
+      public string Title => _title.Value;
+      public string TitleOverride {
+         get => _title_override.Value;
+         set {
+            _title_override.Value = value;
+            _edit_mode.set(false);
+         }
+      }
+      public bool HasCustomTitle => _has_custom_title.Value;
+
+      public ImageSource Icon =>
+         _icon ??= _model.Icon ?? _model.Owner?.icon;
+
+      public bool EditMode => _edit_mode.Value;
+      public double InitialWidth { get; private set; }
+      public double InitialHeight { get; private set; }
+
+      public UIElement AppContent =>
+         _ui ??= _create_contents();
+
+      public bool IsSlow => _model is ISlowWindow;
+      public bool IsShared => _model is ISharedWindow;
+      public bool HasTabAffinity => _model is ITabAffineWindow;
+
+      public ICommand rename_command =>
+         _rename_command ??= new DelegateCommand(_begin_rename);
+
+      public ICommand unrename_command =>
+         _unrename_command ??= new DelegateCommand(() => TitleOverride = string.Empty);
+
+      public ICommand CloseCommand =>
+         _close_command ??= new DelegateCommand(_begin_close);
+
+      internal FloatingWindow owner {
+         get => _owner;
+         set {
+            if (Set(ref _owner, value)) {
+               _try_set_wpf_bus();
+            }
+         }
+      }
+
+      public IObservable<string> observe_title() =>
+         _title.observe_current(true);
+
+      void _begin_rename() {
+         if (string.IsNullOrEmpty(TitleOverride)) {
+            _title_override.Value = Title;
+         }
+         _edit_mode.set(true);
+      }
+
+      async void _begin_close(object sender) {
+         if (_window_manager is null) {
+            return;
+         }
+         if (!_window_manager.contains(_model)) {
+            return;
+         }
+         await Closing?.InvokeAsync((sender, this));
+         // Removing the window will cause this object to be Disposed
+         // Which will terminate the background thread
+         // Which will dispose the model (on that thread)
+         await _window_manager.remove(_model);
+      }
+
+      UIElement _create_contents() {
+         string error_text = null;
+
+         Dispatcher.Invoke(() => {
+            // Executes possibly on background thread
+            try {
+               _document = _model.GetContent();
+            } catch (Exception ex) {
+               error_text = ex.Message;
+               Log.Ui.error($"Error getting window contents: {ex}");
+            }
+         }, DispatcherPriority.Send);
+
+         if (_document == null && string.IsNullOrEmpty(error_text)) {
+            error_text = $"No content for window {_model.GetType()}";
+         }
+
+         // If there's an error draw a big red X
+         if (!error_text.is_null_or_empty()) {
+            _document = new ShellWindowUI(new TextBlock() {
+               HorizontalAlignment = HorizontalAlignment.Center,
+               VerticalAlignment = VerticalAlignment.Center,
+               Foreground = Brushes.Red,
+               Text = error_text
+            });
+            _model = new ErrorShellWindow {
+               Content = _document,
+               Icon = _model.Icon,
+               Title = $"Error: {_model.GetType()}"
+            };
+            RaisePropertyChanged("Title");
+         }
+
+         Log.assert(_document != null);
+         return _document.content.Match(on_wpf_element, on_handle_ref);
+
+         UIElement on_wpf_element(UIElement element) {
+            if (IsSlow || IsShared) {
+               // Create a WPFPanel (a Winforms window), then attach it with the HwndContentHost.
+               // This gives the document content a separate thread affinity from the shell window,
+               // and lets the win32 layer handle the thread boundary.
+               var retval = Dispatcher.Invoke(() => {
+                  var interop_window = new WPFPanel(element);
+                  element.SetCurrentValue(ui.WindowStyle.WinFormsHostProperty, interop_window);
+                  return new HandleRef(interop_window, interop_window.Handle);
+               }, DispatcherPriority.Send);
+               _hwnd_host = new HwndContentHost(retval);
+               InitialHeight = _hwnd_host.InitialHeight;
+               InitialWidth = _hwnd_host.InitialWidth;
+               return _hwnd_host;
+            }
+            if (element is FrameworkElement fe) {
+               InitialHeight = fe.Height;
+               InitialWidth = fe.Width;
+               fe.Height = fe.Width = double.NaN;
+            }
+            return element;
+         }
+
+         UIElement on_handle_ref(HandleRef handle_ref) {
+            _hwnd_host = new HwndContentHost(handle_ref);
+            InitialHeight = _hwnd_host.Height;
+            InitialWidth = _hwnd_host.Width;
+            return _hwnd_host;
+         }
+      }
+
+      void _try_set_wpf_bus() {
+         if (_owner is null) {
+            return;
+         }
+         _document.content.try_match(on_wpf_element);
+
+         void on_wpf_element(UIElement element) =>
+            element.Dispatcher.InvokeAsync(() =>
+               ui.WindowStyle.SetUnsafeWindow(element, _owner));
+      }
+   }
+}

src/client/spark_api/security/SecurityExtensions.cs

@@ -1,5 +1,6 @@
 namespace bts.api {
    using System;
+   using System.Collections.Generic;
    using System.Linq;
    using System.Reflection.Metadata.Ecma335;
 
@@ -36,6 +37,15 @@ namespace bts.api {
          };
       }
 
+      public static IEnumerable<DateTime> normal_expirations(this SecurityImmutable security) =>
+         security.ContractCase switch {
+            Security.ContractOneofCase.Future => new[] { security.Future.expiration_date() },
+            Security.ContractOneofCase.Option => new[] { security.Option.expiration_date() },
+            Security.ContractOneofCase.Spread => security.Spread.Legs.SelectMany(l => l.Security.normal_expirations()),
+            Security.ContractOneofCase.Synthetic => security.Synthetic.Legs.SelectMany(l => l.Security.normal_expirations()),
+            _ => Enumerable.Empty<DateTime>()
+         };
+
       public static ProductImmutable product(this SecurityImmutable security) =>
          new(new() {
             Exchange = security.Exchange,
@@ -59,13 +69,7 @@ namespace bts.api {
          new((int)future.ExpirationYear, (int)future.ExpirationMonth, (int)future.ExpirationDay);
 
       internal static DateTime earliest_expiration(this SecurityImmutable security) =>
-         security.ContractCase switch {
-            Security.ContractOneofCase.Synthetic => security.Synthetic.Legs.First().Security.earliest_expiration(),
-            Security.ContractOneofCase.Spread => security.Spread.Legs.First().Security.earliest_expiration(),
-            Security.ContractOneofCase.Future => security.Future.expiration_date(),
-            Security.ContractOneofCase.Option => security.Option.expiration_date(),
-            _ => throw new NotImplementedException(),
-         };
+         security.normal_expirations().Min();
 
       public static double strike(this SecurityImmutable security) =>
          security.HasOption ? security.Option.Strike : double.NaN;
@@ -105,13 +109,13 @@ namespace bts.api {
             Security.ExchangeDataOneofCase.Deribit => security.Deribit.SecurityDesc,
             Security.ExchangeDataOneofCase.Ftx => security.Ftx.SecurityDesc,
             Security.ExchangeDataOneofCase.Binance => security.Binance.SecurityDesc,
+            Security.ExchangeDataOneofCase.BinanceCoinFutures => security.BinanceCoinFutures.SecurityDesc,
             Security.ExchangeDataOneofCase.BinanceUs => security.BinanceUs.SecurityDesc,
             Security.ExchangeDataOneofCase.BinanceUsdsFutures => security.BinanceUsdsFutures.SecurityDesc,
             Security.ExchangeDataOneofCase.Coinbase => security.Coinbase.SecurityDesc,
             Security.ExchangeDataOneofCase.Okx => security.Okx.SecurityDesc,
             Security.ExchangeDataOneofCase.Cboe => security.Cboe.SecurityDesc,
             Security.ExchangeDataOneofCase.Taifex => security.Taifex.SecurityDesc,
-            Security.ExchangeDataOneofCase.Twse => security.Twse.SecurityDesc,
             _ => throw new NotImplementedException("security_desc not implemented for exchange")
          };
 
@@ -152,14 +156,14 @@ namespace bts.api {
             domain.Venue.Deribit => Venue.Deribit,
             domain.Venue.Ftx => Venue.Ftx,
             domain.Venue.Binance => Venue.Binance,
+            domain.Venue.BinanceCoinFutures => Venue.BinanceCoinFutures,
             domain.Venue.BinanceUs => Venue.BinanceUs,
             domain.Venue.BinanceUsdsFutures => Venue.BinanceUsdsFutures,
             domain.Venue.Glbx => Venue.Glbx,
             domain.Venue.Coinbase => Venue.Coinbase,
             domain.Venue.Okx => Venue.Okx,
-                        domain.Venue.Cboe => Venue.Cboe,
+            domain.Venue.Cboe => Venue.Cboe,
             domain.Venue.Taifex => Venue.Taifex,
-            domain.Venue.Twse => Venue.Twse,
 
 
             domain.Venue.Unspecified => Venue.Unset,
@@ -173,6 +177,7 @@ namespace bts.api {
             Venue.Deribit => domain.Venue.Deribit,
             Venue.Ftx => domain.Venue.Ftx,
             Venue.Binance => domain.Venue.Binance,
+            Venue.BinanceCoinFutures => domain.Venue.BinanceCoinFutures,
             Venue.BinanceUs => domain.Venue.BinanceUs,
             Venue.BinanceUsdsFutures => domain.Venue.BinanceUsdsFutures,
             Venue.Coinbase => domain.Venue.Coinbase,
@@ -180,7 +185,6 @@ namespace bts.api {
             Venue.Okx => domain.Venue.Okx,
             Venue.Cboe => domain.Venue.Cboe,
             Venue.Taifex => domain.Venue.Taifex,
-            Venue.Twse => domain.Venue.Twse,
 
             Venue.Unset => domain.Venue.Unspecified,
             _ => throw new NotImplementedException(),

src/client/spark_api/security/SecurityFormatter.cs

@@ -162,7 +162,7 @@
          return leg.signed_quantity() switch {
             1.0 => sec_str,
             -1.0 => $"-{sec_str}",
-            _ => ""
+            _ => $"{leg.signed_quantity()}{sec_str}",
          };
       }
 
@@ -172,7 +172,7 @@
          return leg.signed_quantity() switch {
             1.0 => $"+{sec_str}",
             -1.0 => $"-{sec_str}",
-            _ => $"{leg.signed_quantity():+0;-0}{sec_str}",
+            _ => $"{leg.signed_quantity():+0.######;-0.######}{sec_str}",
          };
       }
    }

src/client/spark_core/ThrottledAction.cs

@@ -0,0 +1,31 @@
+#nullable enable
+namespace bts;
+
+using System;
+
+public class ThrottledAction {
+   readonly TimeSpan interval;
+   readonly bool measureEndToNextStart;
+   DateTime lastInvokedTime = DateTime.MinValue;
+
+   public ThrottledAction(TimeSpan interval, bool measureEndToNextStart = true) {
+      this.interval = interval;
+      this.measureEndToNextStart = measureEndToNextStart;
+   }
+
+   public bool Execute(Action action) {
+      var now = DateTime.Now;
+      var elapsed = now - lastInvokedTime;
+      if (elapsed < interval) {
+         return false;
+      }
+      if (measureEndToNextStart) {
+         action();
+         lastInvokedTime = DateTime.Now;
+      } else {
+         lastInvokedTime = now;
+         action();
+      }
+      return true;
+   }
+}

src/client/spark_core/utils_api/MathUtils.cs

@@ -50,6 +50,30 @@ namespace bts.utils {
       public static bool is_nan<T>(T value) where T : INumber<T> =>
          NormalNumericOps<T>.is_nan(value);
 
+      public static bool can_increment<T>(T value, T addend) where T : INumber<T>, IMinMaxValue<T> {
+         if (value > T.Zero != addend > T.Zero) {
+            return true;
+         }
+         if (value > T.Zero) {
+            return addend < T.MaxValue - value;
+         }
+         if (value < T.Zero) {
+            return addend > T.MinValue - value;
+         }
+         return true;
+      }
+
+      public static bool try_increment<T>(ref T value, T addend) where T : INumber<T>, IMinMaxValue<T> {
+         if (can_increment(value, addend)) {
+            value += addend;
+            return true;
+         }
+         return false;
+      }
+
+      public static bool try_increment(ref int value, long addend) =>
+         addend <= int.MaxValue && addend >= int.MinValue && try_increment(ref value, (int)addend);
+
       public static float gcd(IEnumerable<float> nums) =>
          gcd<float, NumericCastConverter>(nums);
 

src/data_files/CMakeLists.txt

@@ -1,4 +1,4 @@
-cmake_minimum_required(VERSION 3.5)
+cmake_minimum_required(VERSION 3.10)
 project(data_files)
 
 include(${CMAKE_SOURCE_DIR}/cmake/safe_dep_glob.cmake)

src/lib/CMakeLists.txt

@@ -1,4 +1,4 @@
-cmake_minimum_required(VERSION 3.5)
+cmake_minimum_required(VERSION 3.10)
 project(libspark)
 set(CMAKE_SHARED_LIBRARY_PREFIX "")
 include(GNUInstallDirs)

src/lib/api/domain/Venue.proto

@@ -27,5 +27,4 @@ enum Venue {
   VENUE_OKX = 15;
   VENUE_TAIFEX = 16;
   VENUE_CBOE = 17;
-  VENUE_TWSE = 18;
 }

src/lib/api/md/BinanceCoinFuturesMarketDataConfig.proto

@@ -0,0 +1,34 @@
+syntax = "proto3";
+
+import "lib/api/domain/SecurityCriteria.proto";
+import "lib/api/core/RegexFormatting.proto";
+
+package bts.api.md;
+
+option csharp_namespace = "bts.api.md";
+option cc_enable_arenas = true;
+
+message BinanceCoinFuturesMarketDataConfig {
+  uint32 num_depth_levels = 1;
+  uint32 depth_throttle_ms = 2;
+  bts.api.domain.SecurityCriteria security_criteria = 3;
+  // Market data isn't subscribed for securities listed here (even if they are
+  // included by 'security_criteria'). There are some securities that don't
+  // fit into our system just yet, such as 'BTCBIDR', which trades in prices
+  // larger than our cpp 'domain::Price' class supports.
+  repeated string excluded_securities = 4;
+
+  // The list of instruments at Binance is obtained via an 'exchangeInfo' http
+  // rest request. In the corresponding response, each instrument has a 'pair'
+  // field, which is analgous to a security desc in our system (a unique
+  // human-readable string representation of the security). For some
+  // instruments, the string representation used in the market depth request is
+  // slightly different.
+  //
+  // 'depth_symbol_mappings' is a list of regex find/replace patterns to
+  // apply (to the 'pair' field) when subscribing to depth.
+  repeated bts.api.core.RegexFormatting security_desc_formattings = 5;
+
+  string url_rest_base = 6;
+  string url_ws_base = 7;
+}

src/lib/api/md/BinanceUsdsFuturesMarketDataConfig.proto

@@ -1,7 +1,6 @@
 syntax = "proto3";
 
 import "lib/api/domain/SecurityCriteria.proto";
-import "lib/api/core/RegexFormatting.proto";
 
 package bts.api.md;
 
@@ -9,6 +8,13 @@ option csharp_namespace = "bts.api.md";
 option cc_enable_arenas = true;
 
 message BinanceUsdsFuturesMarketDataConfig {
+  message Subscription {
+    string symbol = 1;
+    string pair = 2;
+    string contract_type = 3;
+    string base_asset = 4;
+    string quote_asset = 5;
+  }
   uint32 num_depth_levels = 1;
   uint32 depth_throttle_ms = 2;
   bts.api.domain.SecurityCriteria security_criteria = 3;
@@ -17,17 +23,7 @@ message BinanceUsdsFuturesMarketDataConfig {
   // fit into our system just yet, such as 'BTCBIDR', which trades in prices
   // larger than our cpp 'domain::Price' class supports.
   repeated string excluded_securities = 4;
-
-  // The list of instruments at Binance is obtained via an 'exchangeInfo' http
-  // rest request. In the corresponding response, each instrument has a 'pair'
-  // field, which is analgous to a security desc in our system (a unique
-  // human-readable string representation of the security). For some
-  // instruments, the string representation used in the market depth request is
-  // slightly different.
-  //
-  // 'depth_symbol_mappings' is a list of regex find/replace patterns to
-  // apply (to the 'pair' field) when subscribing to depth.
-  repeated bts.api.core.RegexFormatting security_desc_formattings = 5;
+  repeated Subscription subscriptions = 8;
 
   string url_rest_base = 6;
   string url_ws_base = 7;

src/lib/api/md/MarketDataConfig.proto

@@ -2,6 +2,7 @@ syntax = "proto3";
 
 import "lib/api/md/FTXMarketDataConfig.proto";
 import "lib/api/md/BinanceMarketDataConfig.proto";
+import "lib/api/md/BinanceCoinFuturesMarketDataConfig.proto";
 import "lib/api/md/BinanceUsMarketDataConfig.proto";
 import "lib/api/md/CoinbaseMarketDataConfig.proto";
 import "lib/api/md/BinanceUsdsFuturesMarketDataConfig.proto";
@@ -12,7 +13,6 @@ import "lib/api/md/EmumbaDeribitMarketDataConfig.proto";
 import "lib/api/md/OkxMarketDataConfig.proto";
 import "lib/api/md/GlbxMarketDataConfig.proto";
 import "lib/api/md/TaifexMarketDataConfig.proto";
-import "lib/api/md/TwseMarketDataConfig.proto";
 import "lib/api/md/CboeMarketDataConfig.proto";
 
 option csharp_namespace = "bts.api.md";
@@ -22,6 +22,7 @@ package bts.api.md;
 message MarketDataConfig {
   repeated FTXMarketDataConfig ftx = 1;
   repeated BinanceMarketDataConfig binance = 2;
+  repeated BinanceCoinFuturesMarketDataConfig binance_coin_futures = 11;
   repeated BinanceUsdsFuturesMarketDataConfig binance_usds_futures = 3;
   repeated BinanceUsMarketDataConfig binance_us = 4;
   repeated DeribitMarketDataConfig deribit = 5;
@@ -30,7 +31,6 @@ message MarketDataConfig {
   repeated GlbxMarketDataConfig glbx = 8;
   repeated CboeMarketDataConfig cboe = 9;
   repeated TaifexMarketDataConfig taifex =10;
-  repeated TwseMarketDataConfig twse =11;
   // Add an entry here for all the exchanges that need their market data to be recorded
 
   repeated EmumbaDeribitMarketDataConfig emumba_deribit = 100;

src/lib/api/md/MarketDataConfigUtils.cpp

@@ -23,8 +23,6 @@ std::set<bts::api::Venue> MarketDataConfigUtils::get_live_exchanges(
       rv.insert(bts::api::VENUE_GLBX);
    if (cfg.taifex_size()>0)
       rv.insert(bts::api::VENUE_TAIFEX);
-   if (cfg.twse_size()>0)
-      rv.insert(bts::api::VENUE_TWSE);
    if (cfg.cboe_size()>0)
       rv.insert(bts::api::VENUE_CBOE);
    return rv;

src/lib/api/md/TwseMarketDataConfig.proto

@@ -1,19 +0,0 @@
-syntax = "proto3";
-
-import "lib/api/domain/SecurityCriteria.proto";
-
-package bts.api.md;
-
-option csharp_namespace = "bts.api.md";
-message TwseConnectionDetails{
-  string live_data_ip = 30;
-}
-
-message TwseMarketDataConfig {
-  uint32 unique_check_value = 1;
-  bool read_from_file = 20;
-  string realtime_data_file_name = 22;
-  TwseConnectionDetails connection_details = 30;
-  bts.api.domain.SecurityCriteria security_criteria = 3;
-  
-}

src/lib/api/service_helpers/AdminServiceUtils.cpp

@@ -66,13 +66,13 @@ bool AdminServiceUtils::has_exchange(
    case api::Venue::VENUE_DERIBIT: // TODO
    case api::Venue::VENUE_FTX:
    case api::Venue::VENUE_BINANCE:
+   case api::Venue::VENUE_BINANCE_COIN_FUTURES:
    case api::Venue::VENUE_BINANCE_US:
    case api::Venue::VENUE_COINBASE:
    case api::Venue::VENUE_BINANCE_USDS_FUTURES:
    case api::Venue::VENUE_OKX:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
-   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_TAIFEX:
    case api::Venue::VENUE_CBOECFE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
@@ -186,9 +186,9 @@ AdminServiceUtils::resolve_connection(
    case api::Venue::VENUE_FTX:
    case api::Venue::VENUE_OKX:
    case api::Venue::VENUE_BINANCE:
+   case api::Venue::VENUE_BINANCE_COIN_FUTURES:
    case api::Venue::VENUE_BINANCE_US:
    case api::Venue::VENUE_COINBASE:
-   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_TAIFEX:
    case api::Venue::VENUE_CBOE:
    case api::Venue::VENUE_BINANCE_USDS_FUTURES: {
@@ -456,13 +456,13 @@ std::string AdminServiceUtils::find_account_exchange_account(
    case api::Venue::VENUE_DERIBIT: // TODO
    case api::Venue::VENUE_FTX:     // TODO
    case api::Venue::VENUE_BINANCE: // TODO
+   case api::Venue::VENUE_BINANCE_COIN_FUTURES:
    case api::Venue::VENUE_BINANCE_US:
    case api::Venue::VENUE_COINBASE:
    case api::Venue::VENUE_BINANCE_USDS_FUTURES:
    case api::Venue::VENUE_OKX:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
-   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_TAIFEX:
    case api::Venue::VENUE_CBOECFE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
@@ -583,6 +583,21 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(
       out_result.set_is_success(true);
       return rv;
    }
+   case api::VENUE_OKX: {
+      rv.set_session("okx_1");
+      rv.set_account(account_ptr->name());
+      rv.set_operator_id(user_ptr->name());
+      // AdminServiceUtils::ExchangeSubAccountResolver resolver;
+      // auto sub_acc_ptr = resolver.find_entry(&sec, account_ptr->name(), true);
+      // if (!sub_acc_ptr) {
+      //    out_result.set_is_success(false);
+      //    out_result.set_error_text("Could not resolve sub account");
+      //    return rv;
+      // }
+      // rv.set_account_code(sub_acc_ptr->exchange_subaccount());
+      out_result.set_is_success(true);
+      return rv;
+   }
    case api::Venue::VENUE_DERIBIT: {
       rv.set_session("deribit_1");
       rv.set_account(account_ptr->name());
@@ -752,15 +767,20 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(
       out_result.set_is_success(true);
       return rv;
    }
+   case api::VENUE_BINANCE_USDS_FUTURES: {
+      rv.set_session("binance_usds_futures_1");
+      rv.set_account(account_ptr->name());
+      rv.set_account(user_ptr->name());
+      out_result.set_is_success(true);
+      return rv;
+   }
    case api::VENUE_FTX:     // TODO
    case api::VENUE_BINANCE: // TODO
+   case api::VENUE_BINANCE_COIN_FUTURES:
    case api::VENUE_BINANCE_US:
    case api::Venue::VENUE_COINBASE:
-   case api::VENUE_BINANCE_USDS_FUTURES:
-   case api::VENUE_OKX:
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
-   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_CBOECFE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
    case api::Venue::Venue_INT_MAX_SENTINEL_DO_NOT_USE_:
@@ -1149,6 +1169,7 @@ std::string AdminServiceUtils::find_user_exchange_id(
    case api::Venue::VENUE_DERIBIT: // TODO
    case api::Venue::VENUE_FTX:     // TODO
    case api::Venue::VENUE_BINANCE: // TODO
+   case api::Venue::VENUE_BINANCE_COIN_FUTURES:
    case api::Venue::VENUE_BINANCE_US:
    case api::Venue::VENUE_COINBASE:
    case api::Venue::VENUE_BINANCE_USDS_FUTURES:
@@ -1156,7 +1177,6 @@ std::string AdminServiceUtils::find_user_exchange_id(
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
-   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_TAIFEX:
    case api::Venue::VENUE_CBOECFE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
@@ -1185,6 +1205,7 @@ std::string AdminServiceUtils::find_user_company_id(
    case api::Venue::VENUE_DERIBIT:
    case api::Venue::VENUE_FTX:     // TODO
    case api::Venue::VENUE_BINANCE: // TODO
+   case api::Venue::VENUE_BINANCE_COIN_FUTURES:
    case api::Venue::VENUE_BINANCE_US:
    case api::Venue::VENUE_COINBASE:
    case api::Venue::VENUE_BINANCE_USDS_FUTURES:
@@ -1195,7 +1216,6 @@ std::string AdminServiceUtils::find_user_company_id(
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
-   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_TAIFEX:
 
    case api::Venue::VENUE_CBOECFE:

src/lib/api/service_helpers/AdminServiceUtils.h

@@ -41,6 +41,18 @@ class AdminServiceUtils {
          }
          return nullptr;
       }
+
+      bts::config::toggles::ExchangeSubAccountUnit const *find_entry(
+          const std::string &account, bool is_internal_account) {
+         for (const auto &esa : exch_sub_accounts.accounts()) {
+            const auto &a = is_internal_account ? esa.bts_account_name()
+                                                : esa.exchange_subaccount();
+            if (a == account) {
+               return &esa;
+            }
+         }
+         return nullptr;
+      }
    };
    ////////////////////////////////////////////
    // connection accessors ////////////////////

src/lib/cmake/GetLinuxClientSources.cmake

@@ -74,11 +74,6 @@ function(get_cpp_sources dest)
     expression/ParserExceptions.cpp
     expression/Value.cpp
     expression/tests/expression_parser_tests.cpp
-    io/http/CurlHandle.cpp
-    io/http/HTTPClient.cpp
-    io/http/HTTPHeaders.cpp
-    io/http/HTTPRequest.cpp
-    io/http/HTTPResponse.cpp
     logging/LoggerHub.cpp
     logging/Sink.cpp
     logging/logging.cpp

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

@@ -4,6 +4,7 @@ SecurityMetadataCollection {
       scope {
         clauses {
           symbols: "BTC"
+          symbols: "ETH"
           security_types: SECURITY_TYPE_FUTURE
           security_types: SECURITY_TYPE_SPREAD
           venues: VENUE_BINANCE
@@ -13,11 +14,11 @@ SecurityMetadataCollection {
       value {
         quantity_display {
           tick_factors {
-            tick_base: 1
-            tick_unit: 10
+            tick_base: 1000
+            tick_unit: 1
           }
           display_multiplier: NaN
-          show_decimal_part: false
+          show_decimal_part: true
           pad_with_leading_zeros: true
           show_zero_integer: true
           nan_text: ""

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

@@ -4028,6 +4028,10 @@ JetFIX {
          name: "deribit_1"
          venue: VENUE_DERIBIT
       }
+      connection {
+         name: "okx_1"
+         venue: VENUE_OKX
+      }
       # CME EXECUTION NEEDS TO BE UPDATED, probably below
       # connection {
       #    name: "onixs_sim"

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

@@ -20,12 +20,9 @@ SymbolLists {
       symbol: "ETH"
     }
     list {
-      key: "TWSE"
-      symbol: "2330"
-      symbol: "2317"
-      symbol: "2454"
-      symbol: "2603"
-      symbol: "2615"
+      key: "BINANCE_COIN_FUTURES"
+      symbol: "BTC"
+      symbol: "ETH"
     }
     list {
       key: "TAIFEX"
@@ -67,11 +64,6 @@ Symbols {
       future: @SymbolLists.list[GLBX].symbol
       spread: @SymbolLists.list[GLBX].symbol
     }
-    venues{
-      name: "VENUE_TWSE"
-      future: @SymbolLists[TWSE].symbol
-      option: @SymbolLists[TWSE].symbol
-    }
     venues{
       name: "VENUE_TAIFEX"
       future: @SymbolLists[TAIFEX].symbol
@@ -104,11 +96,6 @@ Symbols {
       future: @SymbolLists.list[ICE].symbol
       spread: @SymbolLists.list[ICE].symbol
     }
-    venues{
-      name: "VENUE_TWSE"
-      future: @SymbolLists[TWSE].symbol
-      option: @SymbolLists[TWSE].symbol
-    }
     venues{
       name: "VENUE_TAIFEX"
       future: @SymbolLists[TAIFEX].symbol
@@ -143,11 +130,6 @@ Symbols {
       option: @SymbolLists.list[DERIBIT].symbol
       spread: @SymbolLists.list[DERIBIT].symbol
     }
-    venues{
-      name: "VENUE_TWSE"
-      future: @SymbolLists.list[TWSE].symbol
-      option: @SymbolLists.list[TWSE].symbol
-    }
     venues{
       name: "VENUE_TAIFEX"
       future: @SymbolLists.list[TAIFEX].symbol
@@ -163,6 +145,11 @@ Symbols {
       spot: @SymbolLists.list[BINANCE].symbol
       spread: @SymbolLists.list[BINANCE].symbol
     }
+    venues {
+      name: "VENUE_BINANCE_COIN_FUTURES"
+      future: @SymbolLists.list[BINANCE_COIN_FUTURES].symbol
+      spread: @SymbolLists.list[BINANCE_COIN_FUTURES].symbol
+    }
     venues {
       name: "VENUE_BINANCE_US"
       spot: @SymbolLists.list[BINANCE_US].symbol

src/lib/config/profiles/md_dev/market_data_config.conf

@@ -13,6 +13,19 @@ MarketDataConfig {
       }
     }
 
+    binance_coin_futures {
+      num_depth_levels: 5
+      url_rest_base: "https://testnet.binancefuture.com"
+      url_ws_base: "wss://dstream.binance.com"
+      security_criteria {
+        clauses {
+          security_types: SECURITY_TYPE_FUTURE
+          symbols: "BTC"
+          symbols: "ETH"
+        }
+      }
+    }
+
     binance_us {
       num_depth_levels: 5
       url_rest_base: "https://api.binance.us"

src/lib/config/profiles/md_prod/market_data_config.conf

@@ -13,6 +13,19 @@ MarketDataConfig {
       }
     }
 
+    binance_coin_futures {
+      num_depth_levels: 5
+      url_rest_base: "https://dapi.binance.com"
+      url_ws_base: "wss://dstream.binance.com"
+      security_criteria {
+        clauses {
+          security_types: SECURITY_TYPE_FUTURE
+          symbols: "BTC"
+          symbols: "ETH"
+        }
+      }
+    }
+
     binance_usds_futures {
       num_depth_levels: 5
       url_rest_base: "https://dapi.binance.com"

src/lib/core/TimeSpan.h

@@ -28,6 +28,9 @@ class TimeSpan {
    static constexpr TimeSpan from_micros(std::int64_t value);
    static constexpr TimeSpan from_millis(std::int64_t value);
    static constexpr TimeSpan from_seconds(std::int64_t value);
+   static constexpr TimeSpan from_minutes(std::int64_t value);
+   static constexpr TimeSpan from_hours(std::int64_t value);
+   static constexpr TimeSpan from_days(std::int64_t value);
    static TimeSpan from_posix_duration(boost::posix_time::time_duration t);
    static TimeSpan from_iso_string(const std::string &iso_string);
 
@@ -85,6 +88,21 @@ constexpr TimeSpan TimeSpan::from_seconds(std::int64_t value) {
    return TimeSpan{value * nanos_per_second};
 }
 
+constexpr TimeSpan TimeSpan::from_minutes(std::int64_t value) {
+   constexpr const auto nanos_per_minute = 60'000'000'000;
+   return TimeSpan{value * nanos_per_minute};
+}
+
+constexpr TimeSpan TimeSpan::from_hours(std::int64_t value) {
+   constexpr const auto nanos_per_hour = 3'600'000'000'000;
+   return TimeSpan{value * nanos_per_hour};
+}
+
+constexpr TimeSpan TimeSpan::from_days(std::int64_t value) {
+   constexpr const auto nanos_per_day = 86'400'000'000'000;
+   return TimeSpan{value * nanos_per_day};
+}
+
 constexpr std::int64_t TimeSpan::nanos() const { return ticks_; }
 
 constexpr std::int64_t TimeSpan::micros() const { return ticks_ / 1'000; }

src/lib/core/TimeStamp.cpp

@@ -5,12 +5,19 @@
 namespace bts::core {
 
 using std::uint32_t;
+using std::uint8_t;
 
-static bool is_valid_ymd(uint32_t year, uint32_t month, uint32_t day) {
+static bool is_valid_ymd(uint32_t year, uint8_t month, uint8_t day) {
    return year >= 1970 && month >= 1 && month <= 12 && day >= 1 && day <= 31;
 }
 
-TimeStamp::TimeStamp(uint32_t year, uint32_t month, uint32_t day) {
+TimeStamp::TimeStamp(
+    uint32_t year,
+    uint8_t month,
+    uint8_t day,
+    uint8_t hour,
+    uint8_t minute,
+    uint8_t second) {
    bts_assert_msgf(
        is_valid_ymd(year, month, day), "Invalid timestamp {}/{}/{} (y/m/d)",
        year, month, day);
@@ -18,6 +25,9 @@ TimeStamp::TimeStamp(uint32_t year, uint32_t month, uint32_t day) {
    date.tm_year = year - 1900;
    date.tm_mon = month - 1;
    date.tm_mday = day;
+   date.tm_hour = hour;
+   date.tm_min = minute;
+   date.tm_sec = second;
    auto time = std::chrono::system_clock::from_time_t(mktime(&date));
    auto duration = time.time_since_epoch();
    value_ =
@@ -25,7 +35,7 @@ TimeStamp::TimeStamp(uint32_t year, uint32_t month, uint32_t day) {
 }
 
 bool TimeStamp::from_ymd(
-    std::uint32_t year, std::uint32_t month, std::uint32_t day, TimeStamp *result) {
+    uint32_t year, uint8_t month, uint8_t day, TimeStamp *result) {
    if (!is_valid_ymd(year, month, day)) {
       return false;
    }

src/lib/core/TimeStamp.h

@@ -8,7 +8,6 @@
 #include <boost/date_time/posix_time/posix_time_duration.hpp>
 #include <boost/date_time/posix_time/ptime.hpp>
 #include <boost/date_time/time.hpp>
-#include <chrono>
 #include <cstdint>
 #include <fmt/format.h>
 #include <limits>
@@ -16,6 +15,9 @@
 
 namespace bts::core {
 
+#define VALID_YMD(year, month, day)                                            \
+   (year >= 1970 && month >= 1 && month <= 12 && day >= 1 && day <= 31)
+
 /**
  * @brief Represents time as nano-seconds since the unix epoch (Jan 1, 1970)
  */
@@ -23,8 +25,14 @@ struct TimeStamp {
  public:
    constexpr TimeStamp() = default;
    explicit constexpr TimeStamp(std::uint64_t value);
-   // constructs a TimeStamp from a UTC date
-   explicit TimeStamp(uint32_t year, uint32_t month, uint32_t day);
+   TimeStamp(std::uint32_t year, std::uint8_t month, std::uint8_t day);
+   TimeStamp(
+       std::uint32_t year,
+       std::uint8_t month,
+       std::uint8_t day,
+       std::uint8_t hour,
+       std::uint8_t minute,
+       std::uint8_t second);
 
    static constexpr TimeStamp min();
    static constexpr TimeStamp max();
@@ -36,10 +44,33 @@ struct TimeStamp {
    static constexpr TimeStamp from_seconds(std::int64_t value);
    static TimeStamp from_ptime(boost::posix_time::ptime t);
    static TimeStamp from_iso_string(const std::string &iso_string);
+
+   // Constructs a TimeStamp from a UTC date
+   static TimeStamp from_ymd(
+       std::uint32_t year, std::uint8_t month, std::uint8_t day);
+
    static bool from_ymd(
        std::uint32_t year,
-       std::uint32_t month,
-       std::uint32_t day,
+       std::uint8_t month,
+       std::uint8_t day,
+       TimeStamp *result);
+
+   static TimeStamp from_ymdhms(
+       std::uint32_t year,
+       std::uint8_t month,
+       std::uint8_t day,
+       std::uint8_t hour,
+       std::uint8_t minute,
+       std::uint8_t second);
+
+   // Constructs a TimeStamp from a UTC date
+   static bool from_ymdhms(
+       std::uint32_t year,
+       std::uint8_t month,
+       std::uint8_t day,
+       std::uint8_t hour,
+       std::uint8_t minute,
+       std::uint8_t second,
        TimeStamp *result);
 
    constexpr std::uint64_t nanos() const;
@@ -50,8 +81,11 @@ struct TimeStamp {
    constexpr double total_millis() const;
    constexpr double total_seconds() const;
 
-   constexpr std::int64_t to_int64();
-   inline void to_date(uint32_t &year, uint32_t &month, uint32_t &day);
+   constexpr std::int64_t to_int64() const;
+   std::int64_t to_date_int() const;
+   void to_date(uint32_t &year, uint32_t &month, uint32_t &day) const;
+   // Gets a TimeStamp representing this date at midnight.
+   TimeStamp date() const;
    constexpr boost::posix_time::ptime to_ptime() const;
    std::string to_iso_string() const;
    // current epoch ns
@@ -82,7 +116,9 @@ constexpr bool operator>=(TimeStamp lhs, TimeStamp rhs) noexcept;
 
 constexpr TimeSpan operator-(TimeStamp lhs, TimeStamp rhs) noexcept;
 constexpr TimeStamp operator-(TimeStamp lhs, TimeSpan rhs) noexcept;
+TimeStamp &operator-=(TimeStamp &lhs, TimeSpan rhs) noexcept;
 constexpr TimeStamp operator+(TimeStamp lhs, TimeSpan rhs) noexcept;
+TimeStamp &operator+=(TimeStamp &lhs, TimeSpan rhs) noexcept;
 
 std::ostream &operator<<(std::ostream &out, const TimeStamp &ts) noexcept;
 
@@ -92,6 +128,10 @@ std::ostream &operator<<(std::ostream &out, const TimeStamp &ts) noexcept;
 
 constexpr TimeStamp::TimeStamp(std::uint64_t value) : value_(value) {}
 
+inline TimeStamp::TimeStamp(
+    std::uint32_t year, std::uint8_t month, std::uint8_t day)
+    : TimeStamp(year, month, day, 0, 0, 0) {}
+
 constexpr TimeStamp TimeStamp::min() { return TimeStamp{0}; }
 
 constexpr TimeStamp TimeStamp::max() {
@@ -144,13 +184,21 @@ constexpr double TimeStamp::total_seconds() const {
    return static_cast<double>(value_) / 1000'000'000;
 }
 
-constexpr std::int64_t TimeStamp::to_int64() {
+constexpr std::int64_t TimeStamp::to_int64() const {
    bts_assert(
        value_ <=
        static_cast<std::int64_t>(std::numeric_limits<std::int64_t>::max()));
    return static_cast<std::int64_t>(value_);
 }
-void TimeStamp::to_date(uint32_t &year, uint32_t &month, uint32_t &day) {
+
+inline std::int64_t TimeStamp::to_date_int() const {
+   std::uint32_t y, m, d;
+   to_date(y, m, d);
+   return y << 6 | m << 4 | d;
+}
+
+inline void TimeStamp::to_date(
+    uint32_t &year, uint32_t &month, uint32_t &day) const {
    std::uint64_t epoch_secs = value_ / (1000 * 1000 * 1000);
    time_t ts_tt(epoch_secs);
    struct tm *ptm = gmtime(&ts_tt);
@@ -159,6 +207,12 @@ void TimeStamp::to_date(uint32_t &year, uint32_t &month, uint32_t &day) {
    day = ptm->tm_mday;
 }
 
+inline TimeStamp TimeStamp::date() const {
+   std::uint32_t y, m, d;
+   to_date(y, m, d);
+   return from_ymd(y, m, d);
+}
+
 constexpr boost::posix_time::ptime TimeStamp::to_ptime() const {
    constexpr const auto nanos_per_sec = 1'000'000'000;
    constexpr const auto nanos_per_micro = 1'000;
@@ -170,6 +224,36 @@ constexpr boost::posix_time::ptime TimeStamp::to_ptime() const {
           boost::posix_time::microseconds(nanos_rem / nanos_per_micro);
 }
 
+inline TimeStamp TimeStamp::from_ymd(
+    std::uint32_t year, std::uint8_t month, std::uint8_t day) {
+   return {year, month, day, 0, 0, 0};
+}
+
+inline TimeStamp TimeStamp::from_ymdhms(
+    std::uint32_t year,
+    std::uint8_t month,
+    std::uint8_t day,
+    std::uint8_t hour,
+    std::uint8_t minute,
+    std::uint8_t second) {
+   return {year, month, day, hour, minute, second};
+}
+
+inline bool TimeStamp::from_ymdhms(
+    std::uint32_t year,
+    std::uint8_t month,
+    std::uint8_t day,
+    std::uint8_t hour,
+    std::uint8_t minute,
+    std::uint8_t second,
+    TimeStamp *result) {
+   if (!VALID_YMD(year, month, day)) {
+      return false;
+   }
+   *result = TimeStamp{year, month, day, hour, minute, second};
+   return true;
+}
+
 constexpr bool operator==(TimeStamp lhs, TimeStamp rhs) noexcept {
    return lhs.nanos() == rhs.nanos();
 }
@@ -202,10 +286,20 @@ constexpr TimeStamp operator-(TimeStamp lhs, TimeSpan rhs) noexcept {
    return TimeStamp{lhs.nanos() - rhs.nanos()};
 }
 
+inline TimeStamp &operator-=(TimeStamp &lhs, TimeSpan rhs) noexcept {
+   lhs = lhs - rhs;
+   return lhs;
+}
+
 constexpr TimeStamp operator+(TimeStamp lhs, TimeSpan rhs) noexcept {
    return TimeStamp{lhs.nanos() + rhs.nanos()};
 }
 
+inline TimeStamp &operator+=(TimeStamp &lhs, TimeSpan rhs) noexcept {
+   lhs = lhs + rhs;
+   return lhs;
+}
+
 } // namespace bts::core
 
 FMT_IMPL(bts::core::TimeStamp, t, "{}", t.to_iso_string());

src/lib/domain/Book.h

@@ -43,8 +43,6 @@ class BookT {
 
    void reset_merged_quantity();
    void reset_n_orders();
-   template <class Container>
-   void apply_changes(Side side, const Container &changes);
 
    /**
     * Removes price levels of the non-dominant side that cross the dominant
@@ -203,12 +201,6 @@ bool BookT<BS>::is_sorted() const {
    return Side::forboth([&](Side s) { return operator[](s).is_sorted(s); });
 }
 
-template <class BS>
-template <class Container>
-void BookT<BS>::apply_changes(Side side, const Container &changes) {
-   _books[static_cast<std::size_t>(side.value)].apply_changes(side, changes);
-}
-
 template <class BS>
 void from_json(const nlohmann::json &j, BookT<BS> &book) {
    io::JsonReader jr{&j};

src/lib/domain/DomainSecurityUtils.cpp

@@ -25,8 +25,6 @@ api::domain::Venue DomainSecurityUtils::convert(bts::api::Venue venue) {
       return DOMAIN_VENUE(DERIBIT);
    case bts::api::Venue::VENUE_CBOE:
       return DOMAIN_VENUE(CBOE);
-   case bts::api::Venue::VENUE_TWSE:
-      return DOMAIN_VENUE(TWSE);
    case bts::api::Venue::VENUE_TAIFEX:
       return DOMAIN_VENUE(TAIFEX);
    case bts::api::Venue::VENUE_BTS:
@@ -35,6 +33,8 @@ api::domain::Venue DomainSecurityUtils::convert(bts::api::Venue venue) {
       return DOMAIN_VENUE(SIM);
    case bts::api::Venue::VENUE_BINANCE:
       return DOMAIN_VENUE(BINANCE);
+   case bts::api::Venue::VENUE_BINANCE_COIN_FUTURES:
+      return DOMAIN_VENUE(BINANCE_COIN_FUTURES);
    case bts::api::Venue::VENUE_BINANCE_US:
       return DOMAIN_VENUE(BINANCE_US);
    case bts::api::VENUE_BINANCE_USDS_FUTURES:
@@ -61,14 +61,14 @@ bts::api::Venue DomainSecurityUtils::convert(api::domain::Venue venue) {
       return api::Venue::VENUE_DERIBIT;
    case DOMAIN_VENUE(CBOE):
       return api::Venue::VENUE_CBOE;
-   case DOMAIN_VENUE(TWSE):
-      return api::Venue::VENUE_TWSE;
    case DOMAIN_VENUE(TAIFEX):
       return api::Venue::VENUE_TAIFEX;      
    case DOMAIN_VENUE(FTX):
       return api::Venue::VENUE_FTX;
    case DOMAIN_VENUE(BINANCE):
       return api::Venue::VENUE_BINANCE;
+   case DOMAIN_VENUE(BINANCE_COIN_FUTURES):
+      return api::Venue::VENUE_BINANCE_COIN_FUTURES;
    case DOMAIN_VENUE(BINANCE_US):
       return api::Venue::VENUE_BINANCE_US;
    case DOMAIN_VENUE(BINANCE_USDS_FUTURES):
@@ -170,14 +170,9 @@ std::string DomainSecurityUtils::get_exchange_id(const bts::api::Security &s) {
 bool DomainSecurityUtils::get_security_desc(
     const bts::api::Security &security, std::string &desc) {
    switch (security.ExchangeData_case()) {
-   case bts::api::Security::ExchangeDataCase::EXCHANGEDATA_NOT_SET:
-      bts_assert(false);
    case bts::api::Security::ExchangeDataCase::kCboe:
       desc = security.cboe().security_desc();
       break;
-   case bts::api::Security::ExchangeDataCase::kTwse:
-      desc = security.twse().security_desc();
-      break;
    case bts::api::Security::ExchangeDataCase::kTaifex:
       desc = security.taifex().security_desc();
       break;
@@ -196,6 +191,9 @@ bool DomainSecurityUtils::get_security_desc(
    case bts::api::Security::ExchangeDataCase::kBinance:
       desc = security.binance().security_desc();
       break;
+   case bts::api::Security::ExchangeDataCase::kBinanceCoinFutures:
+      desc = security.binance_coin_futures().security_desc();
+      break;
    case bts::api::Security::ExchangeDataCase::kBinanceUs:
       desc = security.binance_us().security_desc();
       break;
@@ -212,6 +210,10 @@ bool DomainSecurityUtils::get_security_desc(
       desc = security.ftx().security_desc();
       break;
    default:
+      if (security.has_synthetic()) {
+         desc = security.synthetic().name();
+         break;
+      }
       return false;
    }
    return true;

src/lib/domain/Price.h

@@ -3,6 +3,7 @@
 #include "Side.h"
 #include "lib/core/FMT_IMPL.h"
 #include "lib/io/JsonReader.h"
+#include "lib/utils/bts_array_size.h"
 #include "lib/utils/bts_assert.h"
 
 #include <cmath>
@@ -33,6 +34,22 @@
 
 namespace bts::domain {
 
+static const double powers_10[] = {
+    1E-20, 1E-19, 1E-18, 1E-17, 1E-16, 1E-15, 1E-14, 1E-13, 1E-12, 1E-11, 1E-10,
+    1E-9,  1E-8,  1E-7,  1E-6,  1E-5,  1E-4,  1E-3,  1E-2,  1E-1,  1E0,   1E1,
+    1E2,   1E3,   1E4,   1E5,   1E6,   1E7,   1E8,   1E9,   1E10,  1E11,  1E12,
+    1E13,  1E14,  1E15,  1E16,  1E17,  1E18,  1E19,  1E20};
+static const int max_abs_power_10 = BTS_ARRAYSIZE(powers_10) / 2;
+inline double pow10(int power) {
+   const int offset = power + max_abs_power_10;
+   const int powers_10_sz = BTS_ARRAYSIZE(powers_10);
+   bts_assert_d(offset >= 0 && offset < powers_10_sz);
+   if (offset >= 0 && offset < powers_10_sz) {
+      return powers_10[offset];
+   }
+   return std::numeric_limits<double>::quiet_NaN();
+}
+
 class Price {
  public:
    Price() = default;
@@ -120,6 +137,40 @@ class Price {
    constexpr Price &operator*=(Price factor) noexcept;
    constexpr Price &operator/=(Price factor) noexcept;
 
+   constexpr bool operator==(double factor) const noexcept;
+   constexpr bool operator!=(double factor) const noexcept;
+   constexpr bool operator<(double factor) const noexcept;
+   constexpr bool operator<=(double factor) const noexcept;
+   constexpr bool operator>(double factor) const noexcept;
+   constexpr bool operator>=(double factor) const noexcept;
+
+   constexpr Price operator+(double factor) const noexcept;
+   constexpr Price operator-(double factor) const noexcept;
+   constexpr Price operator*(double factor) const noexcept;
+   constexpr Price operator/(double factor) const noexcept;
+
+   constexpr Price &operator+=(double factor) noexcept;
+   constexpr Price &operator-=(double factor) noexcept;
+   constexpr Price &operator*=(double factor) noexcept;
+   constexpr Price &operator/=(double factor) noexcept;
+
+   constexpr bool operator==(std::int32_t factor) const noexcept;
+   constexpr bool operator!=(std::int32_t factor) const noexcept;
+   constexpr bool operator<(std::int32_t factor) const noexcept;
+   constexpr bool operator<=(std::int32_t factor) const noexcept;
+   constexpr bool operator>(std::int32_t factor) const noexcept;
+   constexpr bool operator>=(std::int32_t factor) const noexcept;
+
+   constexpr Price operator+(std::int32_t factor) const noexcept;
+   constexpr Price operator-(std::int32_t factor) const noexcept;
+   constexpr Price operator*(std::int32_t factor) const noexcept;
+   constexpr Price operator/(std::int32_t factor) const noexcept;
+
+   constexpr Price &operator+=(std::int32_t factor) noexcept;
+   constexpr Price &operator-=(std::int32_t factor) noexcept;
+   constexpr Price &operator*=(std::int32_t factor) noexcept;
+   constexpr Price &operator/=(std::int32_t factor) noexcept;
+
    constexpr bool operator==(std::int64_t factor) const noexcept;
    constexpr bool operator!=(std::int64_t factor) const noexcept;
    constexpr bool operator<(std::int64_t factor) const noexcept;
@@ -431,7 +482,8 @@ inline void to_json(nlohmann::json &j, const Price &price) {
       if (is_nan() || factor.is_nan()) {                                       \
          return nan();                                                         \
       }                                                                        \
-      return Price{_mantissa op factor._mantissa};                             \
+      return Price{_mantissa op static_cast<std::int64_t>(                     \
+          factor._mantissa * pow10(factor.exponent() - exponent()))};          \
    }
 
 // NOLINTNEXTLINE
@@ -440,7 +492,103 @@ inline void to_json(nlohmann::json &j, const Price &price) {
       if (factor.is_nan()) {                                                   \
          _mantissa = nan()._mantissa;                                          \
       } else if (!is_nan()) {                                                  \
-         _mantissa op factor._mantissa;                                        \
+         _mantissa op static_cast<std::int64_t>(                               \
+             factor._mantissa * pow10(factor.exponent() - exponent()));        \
+      }                                                                        \
+      return *this;                                                            \
+   }
+
+// NOLINTNEXTLINE
+#define PRICE_DOUBLE_COMPARISON(op, nan_part)                                  \
+   constexpr bool Price::operator op(double factor) const noexcept {           \
+      return nan_part _mantissa op factor;                                     \
+   }
+
+// NOLINTNEXTLINE
+#define PRICE_DOUBLE_BIN_OP(op)                                                \
+   constexpr Price Price::operator op(double factor) const noexcept {          \
+      if (is_nan() || std::isnan(factor)) {                                    \
+         return nan();                                                         \
+      }                                                                        \
+      return Price{static_cast<std::int64_t>(_mantissa op factor)};            \
+   }
+
+// NOLINTNEXTLINE
+#define PRICE_DOUBLE_EXP_BIN_OP(op)                                            \
+   constexpr Price Price::operator op(double factor) const noexcept {          \
+      if (is_nan() || std::isnan(factor)) {                                    \
+         return nan();                                                         \
+      }                                                                        \
+      return Price{_mantissa op static_cast<std::int64_t>(                     \
+          factor * pow10(-exponent()))};                                       \
+   }
+
+// NOLINTNEXTLINE
+#define PRICE_DOUBLE_BIN_REF_OP(op)                                            \
+   constexpr Price &Price::operator op(double factor) noexcept {               \
+      if (!is_nan()) {                                                         \
+         if (std::isnan(factor)) {                                             \
+            *this = nan();                                                     \
+         } else {                                                              \
+            _mantissa op factor;                                               \
+         }                                                                     \
+      }                                                                        \
+      return *this;                                                            \
+   }
+
+// NOLINTNEXTLINE
+#define PRICE_DOUBLE_EXP_BIN_REF_OP(op)                                        \
+   constexpr Price &Price::operator op(double factor) noexcept {               \
+      if (!is_nan()) {                                                         \
+         if (std::isnan(factor)) {                                             \
+            *this = nan();                                                     \
+         } else {                                                              \
+            _mantissa op factor *pow10(-exponent());                           \
+         }                                                                     \
+      }                                                                        \
+      return *this;                                                            \
+   }
+
+// NOLINTNEXTLINE
+#define PRICE_INT32_COMPARISON(op, nan_part)                                   \
+   constexpr bool Price::operator op(std::int32_t factor) const noexcept {     \
+      return nan_part _mantissa op static_cast<std::int64_t>(                  \
+          factor * pow10(-exponent()));                                        \
+   }
+
+// NOLINTNEXTLINE
+#define PRICE_INT32_BIN_OP(op)                                                 \
+   constexpr Price Price::operator op(std::int32_t factor) const noexcept {    \
+      if (is_nan()) {                                                          \
+         return *this;                                                         \
+      }                                                                        \
+      return Price{_mantissa op static_cast<std::int64_t>(                     \
+          factor * pow10(-exponent()))};                                       \
+   }
+
+#define PRICE_INT32_EXP_BIN_OP(op)                                             \
+   constexpr Price Price::operator op(std::int32_t factor) const noexcept {    \
+      if (is_nan()) {                                                          \
+         return *this;                                                         \
+      }                                                                        \
+      return Price{_mantissa op static_cast<std::int64_t>(                     \
+          factor * pow10(-exponent()))};                                       \
+   }
+
+// NOLINTNEXTLINE
+#define PRICE_INT32_BIN_REF_OP(op)                                             \
+   constexpr Price &Price::operator op(std::int32_t factor) noexcept {         \
+      if (!is_nan()) {                                                         \
+         _mantissa op factor;                                                  \
+      }                                                                        \
+      return *this;                                                            \
+   }
+
+// NOLINTNEXTLINE
+#define PRICE_INT32_EXP_BIN_REF_OP(op)                                         \
+   constexpr Price &Price::operator op(std::int32_t factor) noexcept {         \
+      if (!is_nan()) {                                                         \
+         _mantissa op static_cast<std::int64_t>(factor * pow10(-exponent()));  \
       }                                                                        \
       return *this;                                                            \
    }
@@ -460,6 +608,15 @@ inline void to_json(nlohmann::json &j, const Price &price) {
       return Price{_mantissa op factor};                                       \
    }
 
+#define PRICE_INT64_EXP_BIN_OP(op)                                             \
+   constexpr Price Price::operator op(std::int64_t factor) const noexcept {    \
+      if (is_nan()) {                                                          \
+         return *this;                                                         \
+      }                                                                        \
+      return Price{_mantissa op(                                               \
+          factor * static_cast<std::int64_t>(pow10(-exponent())))};            \
+   }
+
 // NOLINTNEXTLINE
 #define PRICE_INT64_BIN_REF_OP(op)                                             \
    constexpr Price &Price::operator op(std::int64_t factor) noexcept {         \
@@ -469,6 +626,15 @@ inline void to_json(nlohmann::json &j, const Price &price) {
       return *this;                                                            \
    }
 
+// NOLINTNEXTLINE
+#define PRICE_INT64_EXP_BIN_REF_OP(op)                                         \
+   constexpr Price &Price::operator op(std::int64_t factor) noexcept {         \
+      if (!is_nan()) {                                                         \
+         _mantissa op static_cast<std::int64_t>(factor * pow10(-exponent()));  \
+      }                                                                        \
+      return *this;                                                            \
+   }
+
 PRICE_PRICE_COMPARISON(!=, is_nan() ||)
 PRICE_PRICE_COMPARISON(==, !is_nan() &&)
 PRICE_PRICE_COMPARISON(<, !is_nan() &&)
@@ -486,6 +652,40 @@ PRICE_PRICE_BIN_REF_OP(-=)
 PRICE_PRICE_BIN_REF_OP(*=)
 PRICE_PRICE_BIN_REF_OP(/=)
 
+PRICE_DOUBLE_COMPARISON(!=, is_nan() ||)
+PRICE_DOUBLE_COMPARISON(==, !is_nan() &&)
+PRICE_DOUBLE_COMPARISON(<, !is_nan() &&)
+PRICE_DOUBLE_COMPARISON(<=, !is_nan() &&)
+PRICE_DOUBLE_COMPARISON(>, !is_nan() &&)
+PRICE_DOUBLE_COMPARISON(>=, !is_nan() &&)
+
+PRICE_DOUBLE_EXP_BIN_OP(+)
+PRICE_DOUBLE_EXP_BIN_OP(-)
+PRICE_DOUBLE_BIN_OP(*)
+PRICE_DOUBLE_BIN_OP(/)
+
+PRICE_DOUBLE_EXP_BIN_REF_OP(+=)
+PRICE_DOUBLE_EXP_BIN_REF_OP(-=)
+PRICE_DOUBLE_BIN_REF_OP(*=)
+PRICE_DOUBLE_BIN_REF_OP(/=)
+
+PRICE_INT32_COMPARISON(!=, is_nan() ||)
+PRICE_INT32_COMPARISON(==, !is_nan() &&)
+PRICE_INT32_COMPARISON(<, !is_nan() &&)
+PRICE_INT32_COMPARISON(<=, !is_nan() &&)
+PRICE_INT32_COMPARISON(>, !is_nan() &&)
+PRICE_INT32_COMPARISON(>=, !is_nan() &&)
+
+PRICE_INT32_EXP_BIN_OP(+)
+PRICE_INT32_EXP_BIN_OP(-)
+PRICE_INT32_BIN_OP(*)
+PRICE_INT32_BIN_OP(/)
+
+PRICE_INT32_EXP_BIN_REF_OP(+=)
+PRICE_INT32_EXP_BIN_REF_OP(-=)
+PRICE_INT32_BIN_REF_OP(*=)
+PRICE_INT32_BIN_REF_OP(/=)
+
 PRICE_INT64_COMPARISON(!=, is_nan() ||)
 PRICE_INT64_COMPARISON(==, !is_nan() &&)
 PRICE_INT64_COMPARISON(<, !is_nan() &&)
@@ -493,13 +693,13 @@ PRICE_INT64_COMPARISON(<=, !is_nan() &&)
 PRICE_INT64_COMPARISON(>, !is_nan() &&)
 PRICE_INT64_COMPARISON(>=, !is_nan() &&)
 
-PRICE_INT64_BIN_OP(+)
-PRICE_INT64_BIN_OP(-)
+PRICE_INT64_EXP_BIN_OP(+)
+PRICE_INT64_EXP_BIN_OP(-)
 PRICE_INT64_BIN_OP(*)
 PRICE_INT64_BIN_OP(/)
 
-PRICE_INT64_BIN_REF_OP(+=)
-PRICE_INT64_BIN_REF_OP(-=)
+PRICE_INT64_EXP_BIN_REF_OP(+=)
+PRICE_INT64_EXP_BIN_REF_OP(-=)
 PRICE_INT64_BIN_REF_OP(*=)
 PRICE_INT64_BIN_REF_OP(/=)
 

src/lib/domain_model/Security.cpp

@@ -14,6 +14,7 @@ namespace securities {
 
 using bts::api::Security;
 using bts::api::Venue;
+using std::optional;
 
 api::SecurityType security_type(api::Security const &security) {
    return security_type(security.Contract_case());
@@ -37,7 +38,7 @@ api::SecurityType security_type(api::Security::ContractCase contract_case) {
    return api::SecurityType::SECURITYTYPE_UNSET;
 }
 
-boost::gregorian::date smallest_leg(
+std::optional<core::TimeStamp> smallest_leg(
     ::google::protobuf::RepeatedPtrField<::bts::api::ContractLeg> const &l) {
    bts_assert(l.size());
    auto smallest = expiration(l[0].security());
@@ -50,49 +51,59 @@ boost::gregorian::date smallest_leg(
    return smallest;
 }
 
-boost::gregorian::date expiration(api::Security const &security) {
+std::optional<core::TimeStamp> expiration(api::Security const &security) {
    switch (security.Contract_case()) {
-   case api::Security::kFuture:
-      return {
-          boost::gregorian::greg_year(security.future().expiration_year()),
-          boost::gregorian::greg_month(security.future().expiration_month()),
-          boost::gregorian::greg_day(security.future().expiration_day())};
-   case api::Security::kOption:
-      return {
-          boost::gregorian::greg_year(security.option().expiration_year()),
-          boost::gregorian::greg_month(security.option().expiration_month()),
-          boost::gregorian::greg_day(security.option().expiration_day())};
+   case api::Security::kFuture: {
+      const auto &fut = security.future();
+      core::TimeStamp exp;
+      if (core::TimeStamp::from_ymd(
+              fut.expiration_year(), fut.expiration_month(),
+              fut.expiration_day(), &exp)) {
+         return exp;
+      }
+      break;
+   }
+   case api::Security::kOption: {
+      const auto &opt = security.option();
+      core::TimeStamp exp;
+      if (core::TimeStamp::from_ymd(
+              opt.expiration_year(), opt.expiration_month(),
+              opt.expiration_day(), &exp)) {
+         return exp;
+      }
+      break;
+   }
    case api::Security::kSpread:
       return smallest_leg(security.spread().legs());
    case api::Security::kSynthetic:
       return smallest_leg(security.synthetic().legs());
    default:
-      return {};
+      break;
    }
+   return std::nullopt;
 }
 
 bool is_expired(
     api::Security const &security,
-    datetime::PTime const &now,
+    core::TimeStamp now,
     uint32_t sod_hh,
     uint32_t sod_mm) {
-   auto e = expiration(security);
-   if (e == boost::gregorian::date())
+   auto maybe_exp = expiration(security);
+   if (!maybe_exp) {
       return false;
-   else {
-      auto etime = datetime::PTime{
-          e, boost::posix_time::time_duration(sod_hh, sod_mm, 0)};
-      return etime < now;
    }
+   const auto exp = *maybe_exp;
+   return exp < now && (exp.date() + core::TimeSpan::from_hours(sod_hh) +
+                        core::TimeSpan::from_minutes(sod_mm)) < now;
 }
 
-bool is_expired(api::Security const &security, datetime::PTime const &now) {
+bool is_expired(api::Security const &security, core::TimeStamp now) {
    const auto &sod = config::get<config::SODTime>();
    return is_expired(security, now, sod.sod_hh(), sod.sod_mm());
 }
 
 bool is_expired(api::Security const &security) {
-   return is_expired(security, datetime::local_now());
+   return is_expired(security, core::TimeStamp::now());
 }
 
 void write_date_string(

src/lib/domain_model/Security.h

@@ -237,13 +237,13 @@ round_to_quote_price(api::Security const &sec, Price in, api::Side side) {
           raw_round_to_quote_price(p, sec.contract_spec().low_tick(), side));
 }
 
-boost::gregorian::date expiration(api::Security const &sec);
+std::optional<core::TimeStamp> expiration(api::Security const &sec);
 bool is_expired(api::Security const &security);
 // for testing
-bool is_expired(api::Security const &security, datetime::PTime const &now);
+bool is_expired(api::Security const &security, core::TimeStamp now);
 bool is_expired(
     api::Security const &security,
-    datetime::PTime const &now,
+    core::TimeStamp now,
     uint32_t sod_hh,
     uint32_t sod_mm);
 
@@ -276,8 +276,6 @@ inline const std::string &descriptor(
       return sec.coinbase().security_desc();
    case api::Security::kOkx:
       return sec.okx().security_desc();
-   case api::Security::kTwse:
-      return sec.twse().security_desc();
    case api::Security::kTaifex:
       return sec.taifex().security_desc();
    default: {

src/lib/domain_model/Security.proto

@@ -15,12 +15,12 @@ enum Venue {
      VENUE_DERIBIT = 400;
      VENUE_FTX = 410;
      VENUE_BINANCE = 420;
+     VENUE_BINANCE_COIN_FUTURES = 425;
      VENUE_BINANCE_USDS_FUTURES = 430;
      VENUE_BINANCE_US = 440;
      VENUE_COINBASE = 450;
      VENUE_OKX = 460;
      VENUE_TAIFEX = 500;
-     VENUE_TWSE = 600;
 }
 
 enum SecurityType {
@@ -88,11 +88,6 @@ message CBOEExchangeData {
     int32 class_key = 30;
     string source = 40;
 }
-message TWSEExchangeData {
-    int64 exchange_id = 10;
-    int32 class_key = 30;
-    string security_desc = 20;
-}
 message TAIFEXExchangeData {
     int64 exchange_id = 10;
     int32 class_key = 30;
@@ -112,6 +107,11 @@ message BinanceExchangeData {
   string security_desc = 2;
 }
 
+message BinanceCoinFuturesExchangeData {
+  int64 exchange_id = 1;
+  string security_desc = 2;
+}
+
 message BinanceUsdsFuturesExchangeData {
   int64 exchange_id = 1;
   string security_desc = 2;
@@ -170,12 +170,20 @@ message OptionContract {
 message SpotContract{
 }
 
+// his tells the relationshio of a leg with thr previous leg
+enum PriceCalc {
+		ADD = 0;
+		MULT = 1;
+        Div = 2;
+	}
+
 message ContractLeg {
     Security security = 10;
     double quantity = 20;
     Side side = 30;
     double price_multiplier = 40;
     double leg_delta = 50;
+    PriceCalc price_calc = 60;
 }
 
 message SpreadContract {    
@@ -234,12 +242,12 @@ message Security {
        DeribitExchangeData deribit = 240;
        FTXExchangeData ftx = 250;
        BinanceExchangeData binance = 260;
+       BinanceCoinFuturesExchangeData binance_coin_futures = 265;
        BinanceUsdsFuturesExchangeData binance_usds_futures = 270;
        BinanceUsExchangeData binance_us = 280;
        CoinbaseExchangeData coinbase = 290;
        OkxExchangeData okx = 300;
        TAIFEXExchangeData taifex = 400;
-       TWSEExchangeData twse = 500;
    }
 }
 message SecurityList {

src/lib/domain_model/SecurityType.h

@@ -1,15 +1,22 @@
 #pragma once
 
-#include "lib/domain_model/Security.pb.h"
-#include "lib/core/FMT_IMPL.h"
 #include "lib/core/EnumMacros.h"
+#include "lib/core/FMT_IMPL.h"
+#include "lib/domain_model/Security.pb.h"
 #include "lib/io/JsonReader.h"
 #include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
 
 #include <nlohmann/json.hpp>
 
 namespace bts::api {
 
+/**
+ * Parses Venue from a string. Unlike `bts::api::SecurityType_Parse`, this implementation is case
+ * insensitive, and makes the 'SECURITYTYPE_' prefix optional.
+ */
+bool security_type_parse_smart(const std::string &str, SecurityType *result);
+
 PB_ENUM_FROM_JSON(SecurityType)
 PB_ENUM_TO_JSON(SecurityType)
 
@@ -19,6 +26,22 @@ std::ostream &operator<<(std::ostream &out, const SecurityType &type) noexcept;
 // Definition
 //////////////////////////////////////////////////
 
+inline bool security_type_parse_smart(
+    const std::string &str, SecurityType *result) {
+   if (SecurityType_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (SecurityType_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "SECURITYTYPE_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return SecurityType_Parse(s, result);
+}
+
 inline std::ostream &operator<<(
     std::ostream &out, const SecurityType &type) noexcept {
    out << SecurityType_Name(type);

src/lib/domain_model/Venue.h

@@ -5,11 +5,18 @@
 #include "lib/domain_model/Security.pb.h"
 #include "lib/io/JsonReader.h"
 #include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
 
 #include <nlohmann/json.hpp>
 
 namespace bts::api {
 
+/**
+ * Parses Venue from a string. Unlike `bts::api::Venue_Parse`, this implementation is case
+ * insensitive, and makes the 'VENUE_' prefix optional.
+ */
+bool venue_parse_smart(const std::string &str, Venue *result);
+
 PB_ENUM_FROM_JSON(Venue)
 PB_ENUM_TO_JSON(Venue)
 
@@ -19,6 +26,21 @@ std::ostream &operator<<(std::ostream &out, Venue venue) noexcept;
 // Definition
 //////////////////////////////////////////////////
 
+inline bool venue_parse_smart(const std::string &str, Venue *result) {
+   if (Venue_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (Venue_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "VENUE_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return Venue_Parse(s, result);
+}
+
 inline std::ostream &operator<<(std::ostream &out, Venue venue) noexcept {
    out << Venue_Name(venue);
    return out;

src/lib/domain_model/common.h

@@ -116,4 +116,4 @@ using UserLogin = utils::ValueWrapper<struct UserLoginTag, std::string>;
 } // namespace bts
 
 FMT_IMPL(bts::Price, p, "{}", p.value());
-FMT_IMPL(bts::Quantity, q, "{}", q.value());
+FMT_IMPL(bts::Quantity, q, "{}", q.full_value());

src/lib/domain_model/tests/domain_tests.cpp

@@ -210,37 +210,22 @@ auto fut_text = "      id: 6\n"
 
 TEST_CASE("expiration_tests", "[security]") {
    SECTION("test_expiration_retrieval") {
-
-      using namespace boost::gregorian;
-
       auto spread = utils::pb::from_string<api::Security>(spread_txt);
-      REQUIRE(
-          securities::expiration(spread) ==
-          date(greg_year(2019), greg_month(1), greg_day(20)));
+      core::TimeStamp actual_exp = *securities::expiration(spread);
+      REQUIRE((actual_exp == core::TimeStamp{2019, 1, 20}));
       auto &leg = spread.spread().legs(1).security();
-      REQUIRE(
-          securities::expiration(leg) ==
-          date(greg_year(3020), greg_month(6), greg_day(19)));
+      actual_exp = *securities::expiration(leg);
+      REQUIRE((actual_exp == core::TimeStamp{3020, 6, 19}));
       REQUIRE(securities::is_expired(spread));
       REQUIRE(!securities::is_expired(leg));
    }
 
    SECTION("test_expiration_sod_boundary") {
-
-      using namespace boost::gregorian;
-
       auto fut = utils::pb::from_string<api::Security>(fut_text);
-      REQUIRE(securities::is_expired(
-          fut, datetime::make_ptime(2019, 1, 21, 0, 0, 0, 0), 16, 30));
-
-      REQUIRE(!securities::is_expired(
-          fut, datetime::make_ptime(2019, 1, 19, 0, 0, 0, 0), 16, 30));
-
-      REQUIRE(!securities::is_expired(
-          fut, datetime::make_ptime(2019, 1, 20, 16, 29, 0, 0), 16, 30));
-
-      REQUIRE(securities::is_expired(
-          fut, datetime::make_ptime(2019, 1, 20, 16, 31, 0, 0), 16, 30));
+      REQUIRE(securities::is_expired(fut, {2019, 1, 21}, 16, 30));
+      REQUIRE(!securities::is_expired(fut, {2019, 1, 19}, 16, 30));
+      REQUIRE(!securities::is_expired(fut, {2019, 1, 20, 16, 29, 0}, 16, 30));
+      REQUIRE(securities::is_expired(fut, {2019, 1, 20, 16, 31, 0}, 16, 30));
    }
 }
 

src/lib/io/http/CurlHandle.cpp

@@ -1,21 +0,0 @@
-#include "CurlHandle.h"
-#include <curl/curl.h>
-#include <stdexcept>
-
-namespace bts::http {
-
-CurlHandle::CurlHandle() {
-   const auto eCode = curl_global_init(CURL_GLOBAL_ALL);
-   if (eCode != CURLE_OK) {
-      throw std::runtime_error{"Error initializing libCURL"};
-   }
-}
-
-CurlHandle::~CurlHandle() { curl_global_cleanup(); }
-
-CurlHandle &CurlHandle::instance() {
-   static CurlHandle inst{};
-   return inst;
-}
-
-} // namespace bts::http

src/lib/io/http/CurlHandle.h

@@ -1,21 +0,0 @@
-#pragma once
-
-namespace bts::http {
-
-class CurlHandle {
- public:
-   static CurlHandle &instance();
-
-   CurlHandle(CurlHandle const &) = delete;
-   CurlHandle(CurlHandle &&) = delete;
-
-   CurlHandle &operator=(CurlHandle const &) = delete;
-   CurlHandle &operator=(CurlHandle &&) = delete;
-
-   ~CurlHandle();
-
- private:
-   CurlHandle();
-};
-
-} // namespace bts::http

src/lib/io/http/HTTPClient.cpp

@@ -1,55 +0,0 @@
-#include "HTTPClient.h"
-#include "HTTPRequest.h"
-#include "HTTPResponse.h"
-#include "lib/io/URL.h"
-#include "lib/logging/logging.h"
-#include <curl/curl.h>
-#include <fmt/format.h>
-
-namespace bts::io::http {
-
-static size_t write_data_(
-    void *ptr, size_t size, size_t nmemb, std::string *data) {
-   data->append((char *)ptr, size * nmemb);
-   return size * nmemb;
-}
-
-HTTPResponse HTTPClient::get(const HTTPRequest &request) {
-   auto *curl = curl_easy_init();
-   auto url_str = request.url().to_string();
-   // LOG(md, bts::Info, "do GET: {}", url_str);
-   curl_easy_setopt(curl, CURLOPT_URL, url_str.c_str());
-
-   struct curl_slist *request_headers = NULL;
-   for (const auto &[k, v] : request.headers()) {
-      request_headers = curl_slist_append(
-          request_headers, fmt::format("{}: {}", k, v).c_str());
-   }
-
-   std::string response_string;
-   std::string header_string;
-   std::string response_header_string;
-   curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, write_data_);
-   curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response_string);
-   curl_easy_setopt(curl, CURLOPT_HEADERDATA, &header_string);
-
-   char *url;
-   long response_code;
-   double elapsed;
-   curl_easy_getinfo(curl, CURLINFO_RESPONSE_CODE, &response_code);
-   curl_easy_getinfo(curl, CURLINFO_TOTAL_TIME, &elapsed);
-   curl_easy_getinfo(curl, CURLINFO_EFFECTIVE_URL, &url);
-   // curl_easy_getinfo(curl, CURLINFO_HEADER_OUT, &response_header_string);
-
-   curl_easy_perform(curl);
-   curl_easy_cleanup(curl);
-   curl = NULL;
-   HTTPResponse response;
-   response.headers() = HTTPHeaders(response_header_string);
-   response.body() = std::move(response_string);
-   response.code() = response_code;
-   // LOG(md, bts::Info, "do GET: {}.  Received response:\n{}", url_str, response);
-   return response;
-}
-
-} // namespace bts::io::http

src/lib/io/http/HTTPClient.h

@@ -1,35 +0,0 @@
-#include <algorithm>
-#include <atomic>
-#include <cstddef> // std::size_t
-#include <cstdio>  // snprintf
-#include <cstdlib>
-#include <cstring> // strerror, strlen, memcpy, strcpy
-#include <ctime>
-#include <curl/curl.h>
-#include <fstream>
-#include <functional>
-#include <iostream>
-#include <memory> // std::unique_ptr
-#include <mutex>
-#include <sstream>
-#include <stdarg.h> // va_start, etc.
-#include <stdio.h>
-#include <stdlib.h>
-#include <string>
-#include <sys/stat.h>
-#include <sys/types.h>
-#include <unordered_map>
-#include <vector>
-
-namespace bts::io::http {
-
-class HTTPRequest;
-class HTTPResponse;
-
-class HTTPClient {
- public:
-   // HTTPClient(const std::string &url);
-   HTTPResponse get(const HTTPRequest &request);
-};
-
-} // namespace bts::io::http

src/lib/io/http/HTTPRequest.cpp

@@ -1,17 +0,0 @@
-#include "HTTPRequest.h"
-
-namespace bts::io::http {
-
-io::URL &HTTPRequest::url() { return url_; }
-
-const io::URL &HTTPRequest::url() const { return url_; }
-
-HTTPHeaders &HTTPRequest::headers() { return headers_; }
-
-const HTTPHeaders &HTTPRequest::headers() const { return headers_; }
-
-std::string &HTTPRequest::body() { return body_; }
-
-const std::string &HTTPRequest::body() const { return body_; }
-
-} // namespace bts::io::http

src/lib/io/http/HTTPRequest.h

@@ -1,26 +0,0 @@
-#pragma once
-#include "HTTPHeaders.h"
-#include "lib/io/URL.h"
-#include <string>
-#include <vector>
-
-namespace bts::io::http {
-
-class HTTPRequest {
- public:
-   io::URL &url();
-   const io::URL &url() const;
-
-   HTTPHeaders &headers();
-   const HTTPHeaders &headers() const;
-
-   std::string &body();
-   const std::string &body() const;
-
- private:
-   io::URL url_;
-   HTTPHeaders headers_;
-   std::string body_;
-};
-
-} // namespace bts::io::http

src/lib/io/http/HttpMethod.h

@@ -14,7 +14,9 @@ namespace bts::io::http {
 #define FOR_ALL_VALUES(per_value)                                            \
    per_value(HttpMethod, NONE)                                       \
    per_value(HttpMethod, GET)                                        \
-   per_value(HttpMethod, POST)
+   per_value(HttpMethod, POST)                                       \
+   per_value(HttpMethod, PUT)                                        \
+   per_value(HttpMethod, DELETE)
 // clang-format on
 
 /**

src/lib/io/http/curl_headers.h

@@ -0,0 +1,38 @@
+#pragma once
+
+#include <cstddef>
+#include <curl/curl.h>
+#include <string>
+#include <unordered_map>
+
+namespace bts::http {
+
+class CurlHeaders {
+ public:
+   CurlHeaders() = default;
+
+   explicit CurlHeaders(
+       const std::unordered_map<std::string, std::string> &items) {
+      for (const auto &[k, v] : items) {
+         append(k, v);
+      }
+   }
+
+   ~CurlHeaders() {
+      if (data_) {
+         curl_slist_free_all(data_);
+      }
+   }
+
+   void append(const std::string &key, const std::string &value) {
+      const std::string str = key + ": " + value;
+      data_ = curl_slist_append(data_, str.c_str());
+   }
+
+   curl_slist *data() { return data_; }
+
+ private:
+   curl_slist *data_ = NULL;
+};
+
+} // namespace bts::http

src/lib/io/http/curl_session.h

@@ -0,0 +1,28 @@
+#pragma once
+
+#include <atomic>
+#include <curl/curl.h>
+#include <curl/easy.h>
+
+namespace bts::http {
+
+struct CurlSession {
+   static inline std::atomic<int> ref_count = 0;
+   CURL *curl = nullptr;
+
+   CurlSession() {
+      if (++ref_count == 1) {
+         curl_global_init(CURL_GLOBAL_ALL);
+      }
+      curl = curl_easy_init();
+   }
+
+   ~CurlSession() {
+      curl_easy_cleanup(curl);
+      if (--ref_count == 0) {
+         curl_global_cleanup();
+      }
+   }
+};
+
+} // namespace bts::http

src/lib/io/http/http_client.cpp

@@ -0,0 +1,167 @@
+#include "http_client.h"
+#include "lib/io/JsonDumper.h"
+#include "lib/io/http/HttpMethod.h"
+#include "lib/io/http/curl_headers.h"
+#include "lib/io/http/curl_session.h"
+#include "lib/io/http/http_request.h"
+#include "lib/io/http/http_response.h"
+#include "lib/io/http/i_http_response.h"
+#include "lib/io/http/query_params.h"
+#include "lib/logging/logging.h"
+
+#include <curl/curl.h>
+#include <curl/easy.h>
+#include <string>
+
+namespace bts::http {
+
+using bts::io::JsonDumper;
+using nlohmann::json;
+using std::exception;
+using std::int64_t;
+using std::pair;
+using std::string;
+using std::tuple;
+using std::unordered_map;
+using std::vector;
+
+static size_t write_data(
+    void *ptr, size_t size, size_t nmemb, IHttpResponse *data) {
+   return data->write((char *)ptr, size, nmemb);
+}
+
+static size_t write_headers(
+    void *ptr, size_t size, size_t nmemb, IHttpResponse *data) {
+   return data->write_headers((char *)ptr, size, nmemb);
+}
+
+void HttpClient::get(
+    string url,
+    unordered_map<string, string> headers,
+    IHttpResponse *response) {
+   HttpRequest req;
+   req.url = std::move(url);
+   req.headers = std::move(headers);
+   req.method = io::http::HttpMethod::GET;
+   send(req, response);
+}
+
+void HttpClient::post(
+    string url,
+    string body,
+    unordered_map<string, string> headers,
+    IHttpResponse *response) {
+   HttpRequest req;
+   req.url = std::move(url);
+   req.body = std::move(body);
+   req.headers = std::move(headers);
+   req.method = io::http::HttpMethod::POST;
+   send(req, response);
+}
+
+void HttpClient::put(
+    string url,
+    string body,
+    unordered_map<string, string> headers,
+    IHttpResponse *response) {
+   HttpRequest req;
+   req.url = std::move(url);
+   req.body = std::move(body);
+   req.headers = std::move(headers);
+   req.method = io::http::HttpMethod::PUT;
+   send(req, response);
+}
+
+void HttpClient::del(
+    string url,
+    string body,
+    unordered_map<string, string> headers,
+    IHttpResponse *response) {
+   HttpRequest req;
+   req.url = std::move(url);
+   req.body = std::move(body);
+   req.headers = std::move(headers);
+   req.method = io::http::HttpMethod::DELETE;
+   send(req, response);
+}
+
+void HttpClient::send(const HttpRequest &req, IHttpResponse *response) {
+   LOG(Http, Info, "HttpClient::send. {}", JsonDumper::dump(req));
+   CurlSession session;
+   CURL *curl = session.curl;
+   CurlHeaders curl_headers{req.headers};
+   // Prepare req
+   curl_easy_setopt(curl, CURLOPT_FAILONERROR, true);
+   curl_easy_setopt(curl, CURLOPT_URL, req.url.c_str());
+   curl_easy_setopt(curl, CURLOPT_HTTPHEADER, curl_headers.data());
+   if (response != nullptr) {
+      curl_easy_setopt(curl, CURLOPT_HEADERFUNCTION, write_headers);
+      curl_easy_setopt(curl, CURLOPT_HEADERDATA, response);
+      curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, write_data);
+      curl_easy_setopt(curl, CURLOPT_WRITEDATA, response);
+   }
+   switch (req.method.value) {
+   case io::http::HttpMethod::GET:
+      curl_easy_setopt(curl, CURLOPT_HTTPGET, 1L);
+      break;
+   case io::http::HttpMethod::POST:
+      curl_easy_setopt(curl, CURLOPT_HTTPPOST, 1L);
+      curl_easy_setopt(curl, CURLOPT_POSTFIELDS, req.body.c_str());
+      curl_easy_setopt(curl, CURLOPT_POSTFIELDSIZE, req.body.size());
+      break;
+   case io::http::HttpMethod::PUT:
+      curl_easy_setopt(curl, CURLOPT_CUSTOMREQUEST, "PUT");
+      curl_easy_setopt(curl, CURLOPT_POSTFIELDS, req.body.c_str());
+      curl_easy_setopt(curl, CURLOPT_VERBOSE, 1L);
+      // curl_easy_setopt(curl, CURLOPT_POSTFIELDSIZE, req.body.size());
+      break;
+   case io::http::HttpMethod::DELETE:
+      curl_easy_setopt(curl, CURLOPT_CUSTOMREQUEST, "DELETE");
+      curl_easy_setopt(curl, CURLOPT_POSTFIELDS, req.body.c_str());
+      break;
+   case io::http::HttpMethod::NONE:
+   default:
+      break;
+   }
+   // Send it
+   CURLcode curl_code = curl_easy_perform(curl);
+   long response_code;
+   double elapsed;
+   char *effective_url = NULL;
+   curl_easy_getinfo(curl, CURLINFO_RESPONSE_CODE, &response_code);
+   curl_easy_getinfo(curl, CURLINFO_TOTAL_TIME, &elapsed);
+   curl_easy_getinfo(curl, CURLINFO_EFFECTIVE_URL, &effective_url);
+   const char *err = curl_easy_strerror(curl_code);
+   try {
+      response->write_result(response_code, string{err}, string{effective_url});
+   } catch (const exception &ex) {
+      LOG(Http, Error, "HttpClient::perform. IHttpResponse threw: {}",
+          string{ex.what()});
+   } catch (...) {
+      LOG(Http, Error, "HttpClient::perform. IHttpResponse threw unknown ex.");
+   }
+}
+
+tuple<string, string, int64_t> HttpClient::get_oauth_token(
+    const string &url, const string &client_id, const string &client_secret) {
+   LOG(Gen, Info, "Requesting oauth token from {}", url);
+   vector<pair<string, string>> query_params{
+       {"grant_type", "client_credentials"},
+       {"client_id", client_id},
+       {"client_secret", client_secret}};
+   HttpResponse res;
+   HttpClient::post(url, query_params_string(query_params), {}, &res);
+   LOG(Gen, Info, "Received oauth token:\n{}", JsonDumper::dump(res));
+   try {
+      const auto j = json::parse(res.body);
+      return {
+          j.at("access_token").get<string>(), j.at("token_type").get<string>(),
+          j.at("expires_in").get<int64_t>()};
+   } catch (const exception &e) {
+      LOG(Gen, Error, "Failed to parse oauth response json.{}\n{}",
+          string{e.what()}, res.body);
+   }
+   return {};
+}
+
+} // namespace bts::http

src/lib/io/http/http_client.h

@@ -0,0 +1,63 @@
+#pragma once
+
+#include "lib/io/http/http_request.h"
+#include "lib/io/http/i_http_response.h"
+
+#include <cstdint>
+#include <string>
+#include <tuple>
+#include <unordered_map>
+
+namespace bts::http {
+
+class HttpClient {
+ public:
+   /**
+    * Performs an http GET request
+    */
+   static void get(
+       std::string url,
+       std::unordered_map<std::string, std::string> headers,
+       IHttpResponse *response);
+
+   /**
+    * Performs an http POST request
+    */
+   static void post(
+       std::string url,
+       std::string body,
+       std::unordered_map<std::string, std::string> headers,
+       IHttpResponse *response);
+
+   /**
+    * Performs an http PUT request
+    */
+   static void put(
+       std::string url,
+       std::string body,
+       std::unordered_map<std::string, std::string> headers,
+       IHttpResponse *response);
+
+   /**
+    * Performs an http DELETE request
+    */
+   static void del(
+       std::string url,
+       std::string body,
+       std::unordered_map<std::string, std::string> headers,
+       IHttpResponse *response);
+
+   /**
+    * Requests an oauth access token
+    *
+    * @return tuple of: access token, token type, and seconds until expiration
+    */
+   static std::tuple<std::string, std::string, std::int64_t> get_oauth_token(
+       const std::string &url,
+       const std::string &client_id,
+       const std::string &client_secret);
+
+   static void send(const HttpRequest &req, IHttpResponse *res);
+};
+
+} // namespace bts::http

src/lib/io/http/http_request.h

@@ -0,0 +1,53 @@
+#pragma once
+
+#include "lib/io/http/HttpMethod.h"
+
+#include <nlohmann/json.hpp>
+#include <string>
+#include <unordered_map>
+
+namespace bts::http {
+
+class HttpRequest {
+ public:
+   std::string url;
+   std::string body;
+   io::http::HttpMethod method;
+   std::unordered_map<std::string, std::string> headers;
+   
+   void reset();
+};
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline void HttpRequest::reset() {
+   url.clear();
+   body.clear();
+   method = io::http::HttpMethod::NONE;
+   headers.clear();
+}
+
+inline void to_json(nlohmann::json &j, const HttpRequest &req) {
+   j["url"] = req.url;
+   j["body"] = req.body;
+   j["method"] = req.method.name();
+   nlohmann::json hdrs;
+   for (const auto &[k, v] : req.headers) {
+      hdrs[k] = v;
+   }
+   j["headers"] = hdrs;
+}
+
+inline void from_json(const nlohmann::json &j, HttpRequest &req) {
+   j.at("url").get_to(req.url);
+   j.at("body").get_to(req.body);
+   j.at("method").get_to(req.method);
+   const auto &hdrs = j.at("headers");
+   for (auto it = hdrs.begin(); it != hdrs.end(); it++) {
+      it->get_to(req.headers[it.key()]);
+   }
+}
+
+} // namespace bts::http

src/lib/io/http/http_response.h

@@ -0,0 +1,92 @@
+#pragma once
+
+#include "lib/core/FMT_IMPL.h"
+#include "lib/io/http/i_http_response.h"
+
+#include <cstddef>
+#include <nlohmann/json.hpp>
+#include <string>
+#include <unordered_map>
+
+namespace bts::http {
+
+/**
+ * Basic implementation of `IHttpResponse`, with some useful state.
+ */
+class HttpResponse : public IHttpResponse {
+ public:
+   std::string url;
+   std::unordered_map<std::string, std::string> headers;
+   std::string body;
+   std::int64_t code;
+   std::string errors;
+
+   std::size_t write(char *cstr, std::size_t sz, std::size_t n) override;
+   std::size_t write_headers(
+       char *cstr, std::size_t sz, std::size_t n) override;
+   void write_result(
+       std::int64_t code,
+       std::string &&errors,
+       std::string &&effective_url) override;
+   constexpr bool ok() const;
+
+   void reset();
+};
+
+void to_json(nlohmann::json &j, const HttpResponse &res);
+void from_json(const nlohmann::json &j, HttpResponse &res);
+
+std::ostream &operator<<(
+    std::ostream &out, const HttpResponse &response) noexcept;
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline std::size_t HttpResponse::write(
+    char *cstr, std::size_t sz, std::size_t n) {
+   body.append(cstr, sz * n);
+   return sz * n;
+}
+
+inline std::size_t HttpResponse::write_headers(
+    char *cstr, std::size_t sz, std::size_t n) {
+   std::string str{cstr, sz * n};
+   const auto colon_idx = str.find(':');
+   if (colon_idx >= str.size()) {
+      headers[str] = {};
+   } else {
+      headers[str.substr(0, colon_idx)] =
+          str.substr(colon_idx + 1, str.size() - colon_idx - 1);
+   }
+   return sz * n;
+}
+
+inline void HttpResponse::write_result(
+    std::int64_t code, std::string &&errors, std::string &&effective_url) {
+   this->errors = errors;
+   this->code = code;
+   this->url = effective_url;
+}
+
+constexpr bool HttpResponse::ok() const { return code >= 200 && code < 300; }
+
+inline void HttpResponse::reset() {
+   url.clear();
+   headers.clear();
+   body.clear();
+   errors.clear();
+   code = 0;
+}
+
+NLOHMANN_DEFINE_TYPE_NON_INTRUSIVE(
+    HttpResponse, url, headers, body, code, errors);
+
+inline std::ostream &operator<<(
+    std::ostream &out, const HttpResponse &res) noexcept {
+   return out << nlohmann::json{res}.dump();
+}
+
+} // namespace bts::http
+
+FMT_IMPL(bts::http::HttpResponse, r, "{}", nlohmann::json{r}.dump());

src/lib/io/http/i_http_response.h

@@ -0,0 +1,36 @@
+#pragma once
+
+#include <cstddef>
+#include <cstdint>
+#include <string>
+
+namespace bts::http {
+
+/**
+ * Simple http response interface, modeled after cURL callbacks
+ */
+class IHttpResponse {
+ public:
+   virtual ~IHttpResponse() = default;
+
+   virtual std::size_t write(char *cstr, std::size_t sz, std::size_t n) = 0;
+   virtual std::size_t write_headers(char *cstr, std::size_t sz, std::size_t n);
+   virtual void write_result(
+       std::int64_t code, std::string &&errors, std::string &&effective_url);
+};
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline std::size_t IHttpResponse::write_headers(
+    char * /*cstr*/, std::size_t sz, std::size_t n) {
+   return sz * n;
+}
+
+inline void IHttpResponse::write_result(
+    std::int64_t /*code*/,
+    std::string && /*errors*/,
+    std::string && /*effective_url*/) {}
+
+} // namespace bts::http

src/lib/io/http/query_params.h

@@ -0,0 +1,63 @@
+#pragma once
+
+#include "lib/core/FMT_IMPL.h"
+
+#include <algorithm>
+#include <string>
+#include <unordered_map>
+
+namespace bts::http {
+
+template <class Iter>
+inline std::string query_params_string(Iter first, Iter last) {
+   std::string rv;
+   for (auto it = first; it != last; it++) {
+      if (it->first.empty()) {
+         continue;
+      }
+      if (!rv.empty()) {
+         rv.append("&");
+      }
+      rv.append(it->first);
+      if (!it->second.empty()) {
+         rv.append("=");
+         rv.append(it->second);
+      }
+   }
+   return rv;
+}
+
+template <class Range>
+inline std::string query_params_string(Range &&range) {
+   return query_params_string(range.begin(), range.end());
+}
+
+class QueryParams : public std::unordered_map<std::string, std::string> {
+ public:
+   std::string to_string() const;
+};
+
+inline std::string QueryParams::to_string() const {
+   std::string rv;
+   auto it = begin();
+   if (it == end()) {
+      return "";
+   }
+   rv.append(it->first + "=" + it->second);
+   while (++it != end()) {
+      rv.append("&" + it->first + "=" + it->second);
+   }
+   return rv;
+}
+
+inline bool operator==(const QueryParams &lhs, const QueryParams &rhs) {
+   return std::equal(lhs.begin(), lhs.end(), rhs.begin(), rhs.end());
+}
+
+inline bool operator!=(const QueryParams &lhs, const QueryParams &rhs) {
+   return !(lhs == rhs);
+}
+
+} // namespace bts::http
+
+FMT_IMPL(bts::http::QueryParams, p, "{}", p.to_string());

src/lib/io/websocket/websocket_client.cpp

@@ -2,6 +2,7 @@
 
 #include "lib/core/TimeSpan.h"
 #include "lib/core/TimeStamp.h"
+#include "lib/io/websocket/websocket_client_config.h"
 #include "lib/io/websocket/websocket_client_state.h"
 #include "lib/io/websocket/websocket_close_status.h"
 #include "lib/io/websocket/websocket_error_code.h"
@@ -75,21 +76,22 @@ using State = WebsocketClientState;
 #define _ASSERT_MSGF(condition, ...)                                           \
    bts_assert_msgf(condition, "WebsocketClient::" __VA_ARGS__)
 
-#define DIAG(...) LOG(Gen, Diag, __VA_ARGS__)
-#define DIAG_FN(...) LOG(Gen, Diag, "WebsocketClient::" __VA_ARGS__)
-#define INFO(...) LOG(Gen, Info, __VA_ARGS__)
-#define INFO_FN(...) LOG(Gen, Info, "WebsocketClient::" __VA_ARGS__)
-#define WARN(...) LOG(Gen, Warn, __VA_ARGS__)
-#define WARN_FN(...) LOG(Gen, Warn, "WebsocketClient::" __VA_ARGS__)
-#define ERROR(...) LOG(Gen, Error, __VA_ARGS__)
-#define ERROR_FN(...) LOG(Gen, Error, "WebsocketClient::" __VA_ARGS__)
+#define DIAG(...) LOG(Http, Diag, __VA_ARGS__)
+#define DIAG_FN(...) LOG(Http, Diag, "WebsocketClient::" __VA_ARGS__)
+#define INFO(...) LOG(Http, Info, __VA_ARGS__)
+#define INFO_FN(...) LOG(Http, Info, "WebsocketClient::" __VA_ARGS__)
+#define WARN(...) LOG(Http, Warn, __VA_ARGS__)
+#define WARN_FN(...) LOG(Http, Warn, "WebsocketClient::" __VA_ARGS__)
+#define ERROR(...) LOG(Http, Error, __VA_ARGS__)
+#define ERROR_FN(...) LOG(Http, Error, "WebsocketClient::" __VA_ARGS__)
 
 struct WebsocketClient::PImpl {
-   string url;
-   WebsocketppClient client;
-   uint32_t timeout_secs;
+   WebsocketClientConfig config;
+   WebsocketppClient client{};
    WebsocketppClient::connection_ptr con;
+   optional<OpenHandler> open_handler;
    optional<MessageHandler> message_handler;
+   optional<CloseHandler> close_handler;
    size_t sub_id_counter{0};
    string server_name;
    optional<thread> io_thread;
@@ -161,27 +163,15 @@ struct WebsocketClient::PImpl {
    /**
     * Connects to the websocket server
     */
-   void connect(const map<string, string> &headers) {
-      connect_in_background(headers);
-      // Wait for connect
-      if (timeout_secs > 0) {
-         wait_for_connect(TimeSpan::from_seconds(timeout_secs));
-      }
-   }
-
-   /**
-    * Connects to the websocket server in the background.
-    *
-    * @note Doesn't block while waiting for the connection to be established
-    */
-   void connect_in_background(const map<string, string> &headers) {
+   void connect(
+       const map<string, string> &headers, bool run_in_background = true) {
       lock_guard<mutex> lock{instance_mx};
-      INFO_FN("connect_no_timeout. {}", snapshot());
+      INFO_FN("connect. {}", snapshot());
       switch (state.value) {
       case State::IDLE:
          break;
       default:
-         WARN_FN("connect_no_timeout. Unexpected state. {}", snapshot());
+         WARN_FN("connect. Unexpected state. {}", snapshot());
          return;
       }
       set_state(State::OPENING);
@@ -190,7 +180,7 @@ struct WebsocketClient::PImpl {
          init_handlers();
          // Get connection
          websocketpp::lib::error_code ec;
-         con = client.get_connection(url, ec);
+         con = client.get_connection(config.url, ec);
          if (ec) {
             ERROR_FN("connect_no_timeout. {}; err: {}", snapshot(), ec);
             return;
@@ -201,31 +191,15 @@ struct WebsocketClient::PImpl {
          }
          // Connect
          client.connect(con);
-         bts_assert_msgf(
-             !io_thread, "Websocket io_thread already instantiated. {}",
-             snapshot());
-         io_thread = std::thread{[this]() {
-            INFO("Websocket io thread begin. {}", snapshot());
-            try {
-               client.run();
-            } catch (const websocketpp::exception &ex) {
-               ERROR_FN(
-                   "io_thread. Websocket io threw websocketpp::exception. {}; "
-                   "err: {}",
-                   snapshot(), ex);
-            } catch (const std::exception &ex) {
-               ERROR_FN(
-                   "io_thread. Websocket io threw std::exception. {}; err: {}",
-                   snapshot(), ex);
-            } catch (...) {
-               bts_assert_msgf(
-                   false,
-                   "io_thread. Websocket io threw unknown exception. Could "
-                   "this have been thrown by a callback delegate? {}",
-                   snapshot());
+         if (run_in_background) {
+            bts_assert_msgf(
+                !io_thread, "Websocket io_thread already instantiated. {}",
+                snapshot());
+            io_thread = std::thread{[this]() { run(); }};
+            if (config.connect_timeout > core::TimeSpan::zero()) {
+               wait_for_connect(config.connect_timeout);
             }
-            INFO("Websocket 'run' thread end. {}", snapshot());
-         }};
+         }
       } catch (const std::exception &ex) {
          ERROR_FN(
              "connect_no_timeout. Failed to connect. {}; err: {}", snapshot(),
@@ -254,6 +228,29 @@ struct WebsocketClient::PImpl {
       }
    }
 
+   void run() {
+      INFO("Websocket io thread begin. {}", snapshot());
+      try {
+         client.run();
+      } catch (const websocketpp::exception &ex) {
+         ERROR_FN(
+             "io_thread. Websocket io threw websocketpp::exception. {}; "
+             "err: {}",
+             snapshot(), ex);
+      } catch (const std::exception &ex) {
+         ERROR_FN(
+             "io_thread. Websocket io threw std::exception. {}; err: {}",
+             snapshot(), ex);
+      } catch (...) {
+         bts_assert_msgf(
+             false,
+             "io_thread. Websocket io threw unknown exception. Could "
+             "this have been thrown by a callback delegate? {}",
+             snapshot());
+      }
+      INFO("Websocket 'run' thread end. {}", snapshot());
+   }
+
  private:
    static std::atomic<int> client_id_counter;
 
@@ -272,6 +269,15 @@ struct WebsocketClient::PImpl {
       client.set_message_handler(
           [this](auto hdl, auto msg) { on_message(hdl, msg); });
       client.set_open_handler([this](auto hdl) { on_open(hdl); });
+      client.set_ping_handler([](auto /*hdl*/, auto /*msg*/) {
+         LOG(Http, Info, "Received ping");
+         return true;
+      });
+      client.set_pong_timeout(0);
+      client.set_pong_handler([](auto /*hdl*/, auto /*msg*/) {
+         LOG(Http, Info, "Received pong");
+         return true;
+      });
       client.set_tls_init_handler(
           [this](auto hdl) { return on_tls_init(hdl); });
       client.set_close_handler([this](auto hdl) { on_close(hdl); });
@@ -284,7 +290,7 @@ struct WebsocketClient::PImpl {
    void init_logging() {
       INFO_FN("init_logging. {}", snapshot());
       client.set_access_channels(websocketpp::log::alevel::all);
-      client.clear_access_channels(websocketpp::log::alevel::frame_payload);
+      // client.clear_access_channels(websocketpp::log::alevel::frame_payload);
       client.set_error_channels(websocketpp::log::elevel::all);
    }
 
@@ -303,6 +309,9 @@ struct WebsocketClient::PImpl {
          return;
       }
       set_state(State::OPEN);
+      if (open_handler) {
+         (*open_handler)(ec);
+      }
    }
 
    void on_message(ConnectionHdl /*hdl*/, MessageTypePtr msg) {
@@ -338,14 +347,14 @@ struct WebsocketClient::PImpl {
              con->get_local_close_reason(), con->get_remote_close_code(),
              con->get_remote_close_reason(), ec.message());
       }
+      if (close_handler) {
+         (*close_handler)(ec);
+      }
    }
 };
 
-WebsocketClient::WebsocketClient(std::string url, std::uint32_t timeout_secs)
-    : me_(std::make_unique<PImpl>()) {
-   me_->url = std::move(url);
-   me_->timeout_secs = timeout_secs;
-}
+WebsocketClient::WebsocketClient(WebsocketClientConfig config)
+    : me_(std::make_unique<PImpl>(std::move(config))) {}
 
 WebsocketClient::~WebsocketClient() {
    me_->close(websocketpp::close::status::going_away, "");
@@ -353,6 +362,13 @@ WebsocketClient::~WebsocketClient() {
 
 std::atomic<int> WebsocketClient::PImpl::client_id_counter = 0;
 
+WebsocketClient::CloseHandler &WebsocketClient::open_handler() {
+   if (!me_->open_handler) {
+      me_->open_handler.emplace();
+   }
+   return *me_->open_handler;
+}
+
 WebsocketClient::MessageHandler &WebsocketClient::message_handler() {
    if (!me_->message_handler) {
       me_->message_handler.emplace();
@@ -360,11 +376,20 @@ WebsocketClient::MessageHandler &WebsocketClient::message_handler() {
    return *me_->message_handler;
 }
 
-void WebsocketClient::connect(
-    const std::map<std::string, std::string> &headers) {
-   me_->connect(headers);
+WebsocketClient::CloseHandler &WebsocketClient::close_handler() {
+   if (!me_->close_handler) {
+      me_->close_handler.emplace();
+   }
+   return *me_->close_handler;
 }
 
+void WebsocketClient::connect(
+    const std::map<std::string, std::string> &headers, bool run_in_background) {
+   me_->connect(headers, run_in_background);
+}
+
+void WebsocketClient::run() { me_->run(); }
+
 websocketpp::lib::error_code WebsocketClient::send_text(const string &text) {
    return me_->send_text(text);
 }
@@ -380,4 +405,6 @@ bool WebsocketClient::is_connected() const {
    return me_->state == State::OPEN;
 }
 
+void WebsocketClient::ping(const string &payload) { me_->con->ping(payload); }
+
 } // namespace bts::websocket

src/lib/io/websocket/websocket_client.h

@@ -1,5 +1,6 @@
 #pragma once
 
+#include "lib/io/websocket/websocket_client_config.h"
 #include "lib/utils/Delegate.h"
 
 #include <memory>
@@ -9,20 +10,26 @@
 
 namespace bts::websocket {
 
-class WebsocketClientConfig;
-
 class WebsocketClient {
  public:
-   WebsocketClient(std::string url, std::uint32_t timeout_secs = 20);
+   explicit WebsocketClient(WebsocketClientConfig config);
    ~WebsocketClient();
 
+   using OpenHandler = bts::core::Delegate<void(const std::error_code &)>;
    using MessageHandler = bts::core::Delegate<void(const std::string &)>;
+   using CloseHandler = bts::core::Delegate<void(const std::error_code &)>;
 
-   void connect(const std::map<std::string, std::string> &headers = {});
+   void connect(
+       const std::map<std::string, std::string> &headers = {},
+       bool run_in_background = true);
    void disconnect();
    bool is_connected() const;
+   void run();
+   CloseHandler &open_handler();
    MessageHandler &message_handler();
+   CloseHandler &close_handler();
    websocketpp::lib::error_code send_text(const std::string &text);
+   void ping(const std::string &payload = "");
 
  private:
    struct PImpl;

src/lib/io/websocket/websocket_client_config.h

@@ -0,0 +1,13 @@
+#pragma once
+
+#include "lib/core/TimeSpan.h"
+
+namespace bts::websocket {
+
+struct WebsocketClientConfig {
+   std::string url;
+   core::TimeSpan connect_timeout;
+   core::TimeSpan pong_timeout;
+};
+
+} // namespace bts::websocket

src/lib/md/GeneralMarketDataListener.cpp

@@ -22,7 +22,6 @@
 #include "lib/domain/TradeRecord.h"
 #include "lib/domain_model/Security.pb.h"
 #include "lib/domain_model/common.h"
-#include "lib/io/JsonDumper.h"
 #include "lib/logging/logging.h"
 #include "lib/md/GeneralSecurityIndex.h"
 #include "lib/md/IMarketDataListener.h"
@@ -129,19 +128,8 @@ bool update_incremental(const IMarketDataListener::BookOp &op) {
          case IMarketDataListener::BookOpType::Add:
          {
             int insert_position = 0;
-            for (size_t i = 0; i < book_side.size();
-                 i++) { //not sure how to access book
-               if (book_side[i].price == op.price) {
-                  IMarketDataListener::BookOp new_op;
-                  new_op.id = op.id;
-                  new_op.op_type = IMarketDataListener::BookOpType::MODIFY;
-                  new_op.price = op.price;
-                  new_op.quantity = op.quantity;
-                  new_op.side = op.side;
-
-                  return update_incremental(new_op);
-               }
-               if (book_side[i].price != 0 && book_side[i].price > op.price) {
+            for (size_t i = 0; i < book_side.size(); i++){//not sure how to access book
+               if(book_side[i].price != 0 && book_side[i].price > op.price ){
                   //book_side is the book we have ?
                   //op.price is what we received ?
                   insert_position++;
@@ -195,16 +183,6 @@ bool update_incremental(const IMarketDataListener::BookOp &op) {
          case IMarketDataListener::BookOpType::Add:{
             int insert_position = 0;
             for (int i = 0; i < fmin(book_side.size(),5); i++) {
-               if (book_side[i].price == op.price) {
-                  IMarketDataListener::BookOp new_op;
-                  new_op.id = op.id;
-                  new_op.op_type = IMarketDataListener::BookOpType::MODIFY;
-                  new_op.price = op.price;
-                  new_op.quantity = op.quantity;
-                  new_op.side = op.side;
-
-                  return update_incremental(new_op);
-               }
                 if (book_side[i].price != 0 && book_side[i].price < op.price) {
                     insert_position++;
                     continue;
@@ -493,157 +471,21 @@ void GeneralMarketDataListener::on_book_increment(
    bts_assert(book_ptr != nullptr);
    _on_book(*book_ptr);
 }
-co2::AggressorSide try_fill_agg_side(
-    const domain::Price &trade_price,
-    const co2::AggressorSide &current_side,
-    const domain::Book *book,
-    const domain::SecurityID &id) {
-   if (current_side != co2::AGGRESSOR_SIDE_NONE)
-      return current_side;
-   if (!book) {
-      LOG(md, Info,
-          "No book found for sec_id: {}. Processing trade with aggressor "
-          "side set to NONE.",
-          id);
-      return current_side;
-   }
-   // Access ask-side and bid-side levels
-   auto book_ask_side = book->asks();
-   auto book_bid_side = book->bids();
-   if (book_ask_side.is_populated() &&
-       trade_price >=
-           book_ask_side[0]
-               .price) //this means the trade happened on the ask side
-   {
-      LOG(md, Info, "Trade Price: {}, Book_Ask[0] Price: {}", trade_price,
-          book_ask_side[0].price);
-      return co2::AGGRESSOR_SIDE_BUY;
-   }
-   if (book_bid_side.is_populated() &&
-       trade_price <=
-           book_bid_side[0]
-               .price) //this means the trade happened on the bid side
-   {
-      LOG(md, Info, "Trade Price: {}, Book_Ask[0] Price: {}", trade_price,
-          book_bid_side[0].price);
 
-      return co2::AGGRESSOR_SIDE_SELL;
-   }
-   std::string book_str =
-       "Bids: " + bts::io::JsonDumper::dump(book_bid_side, 2) +
-       "\nAsks: " + bts::io::JsonDumper::dump(book_ask_side, 2);
-   LOG(md, Info,
-       "Could not determine Aggressor, Trade Price: {}, Current Book: {}",
-       trade_price, book_str);
-
-   return co2::AGGRESSOR_SIDE_NONE;
-}
 void GeneralMarketDataListener::on_trades(
     const std::vector<domain::TradeRecord const *> &trades) {
    for (auto tp : trades) {
-
-      std::ostringstream log_stream;
-
-      // Log the important fields from the TradeRecord pointer
-      log_stream << "TradePointer - sec_id: " << tp->sec_id
-                 << ", agg_side: " << tp->agg_side
-                 << ", trade_price: " << tp->trade_price
-                 << ", trade_quantity: " << tp->trade_quantity.value()
-                 << ", time_stamp: " << tp->time_stamp.millis();
-
-      // Log the trade data
-      LOG(md, Diag, "logging tp {}", log_stream.str());
-
-      auto handle =
-          _find_handle(tp->sec_id); // might be the reason behind missing trades
-      auto aggressor_side = convert_agg_side(tp->agg_side);
-
-      // Log the initial aggressor_side
-      LOG(md, Diag, "Initial aggressor side for sec_id: {} is: {}", tp->sec_id,
-          static_cast<int>(aggressor_side));
-
-      if (handle == nullptr) {
-         LOG(md, Info, "No handle found for sec_id: {}", tp->sec_id);
-         continue;
-      }
-      aggressor_side = try_fill_agg_side(
-          tp->trade_price, aggressor_side,
-          me->inc_book_data.get_const_book(tp->sec_id), tp->sec_id);
-
+      auto handle = _find_handle(tp->sec_id);
       auto trade_ts = datetime::ll_from_unix_epoch_ms(tp->time_stamp.millis());
-      // Process the trade even if aggressor_side is NONE
       if (handle != nullptr) {
          handle->handle.add_trade(
              utils::TimeStamp::now(),
              PriceSize(
                  convert_price(tp->trade_price), tp->trade_quantity.value()),
-             trade_ts, aggressor_side, 0, false);
-         LOG(md, Diag, "Trade processed for sec_id: {}", tp->sec_id);
+             trade_ts, convert_agg_side(tp->agg_side), 0, false);
       }
    }
 }
-//Needed for diag for trade gaps 
-// void GeneralMarketDataListener::on_trades(
-//     const std::vector<domain::TradeRecord const *> &trades) {
-//    for (auto tp : trades) {
-
-//          for (auto tp : trades) {
-//     std::ostringstream log_stream;
-
-//     // Log the important fields from the TradeRecord pointer
-//     log_stream << "TradePointer - sec_id: " << tp->sec_id
-//                << ", agg_side: " << tp->agg_side
-//                << ", trade_price: " << tp->trade_price
-//                << ", trade_quantity: " << tp->trade_quantity.value()
-//                << ", time_stamp: " << tp->time_stamp.millis();
-
-//     // Log the trade data
-//     LOG(md, Info, "logging tp {}",log_stream.str());}
-
-//       auto handle =
-//           _find_handle(tp->sec_id); //might be the reason behind missing trades
-//       auto aggressor_side = convert_agg_side(tp->agg_side);
-//       if (aggressor_side == co2::AggressorSide::AGGRESSOR_SIDE_NONE) {
-//          auto book = me->inc_book_data.get_const_book(tp->sec_id);
-//          // Check if the book is empty
-//          if (!book) {
-//             LOG(md, Info, "book pointer log");
-//             LOG(md, Info, "Processing trade with sec_id: {}", tp->sec_id);
-//             aggressor_side =
-//                 co2::AggressorSide::AGGRESSOR_SIDE_NONE; // Reset aggressor side
-//             continue; // Skip processing this trade
-//          }else {
-//     LOG(md, Info, "Book found for sec_id: {} with size: {}", tp->sec_id, book->size());
-// }
-
-//          // Access ask-side and bid-side levels
-//          auto book_ask_side = book->asks();
-//          auto book_bid_side = book->bids();
-//           if (!book_ask_side.is_populated() || !book_bid_side.is_populated()) {
-//               aggressor_side = co2::AggressorSide::AGGRESSOR_SIDE_NONE; // Reset
-//               continue; // Skip processing this trade
-//           }
-//            // Determine aggressor side based on trade price
-//           if (tp->trade_price <= book_ask_side[0].price) {
-//               aggressor_side = co2::AggressorSide::AGGRESSOR_SIDE_BUY;
-//           } else if (tp->trade_price >= book_bid_side[0].price) {
-//               aggressor_side = co2::AggressorSide::AGGRESSOR_SIDE_SELL;
-//          }
-//       }
-
-//       //     // Check if ask and bid sides are populated
-
-//       // }
-//       auto trade_ts = datetime::ll_from_unix_epoch_ms(tp->time_stamp.millis());
-//       if (handle != nullptr) {
-//          handle->handle.add_trade(
-//              utils::TimeStamp::now(),
-//              PriceSize(
-//                  convert_price(tp->trade_price), tp->trade_quantity.value()),
-//              trade_ts, aggressor_side, 0, false);
-//       }
-//    }
-// }
 
 void GeneralMarketDataListener::on_rfqs(
     const std::vector<domain::RFQ const *> &) {}

src/lib/md/IntPrice.h

@@ -78,12 +78,20 @@ class IntPrice {
       _exponent = temp._exponent;
       return *this;
    }
+   IntPrice &operator+=(double o) {
+      _mantissa += o * pow10(-_exponent);
+      return *this;
+   }
    IntPrice &operator-=(const IntPrice &o) {
       auto temp = *this - o;
       _mantissa = temp._mantissa;
       _exponent = temp._exponent;
       return *this;
    }
+   IntPrice &operator-=(double o) {
+      _mantissa -= o * pow10(-_exponent);
+      return *this;
+   }
    IntPrice operator-() { return IntPrice(-_mantissa, _exponent); }
    IntPrice operator*(const IntPrice &other) const {
       return op(other, [](int64_t m1, int64_t m2) { return m1 * m2; });
@@ -91,6 +99,9 @@ class IntPrice {
    IntPrice operator*(const int &other) const {
       return IntPrice(_mantissa * other, _exponent);
    }
+   IntPrice operator*(double v) const {
+      return IntPrice((int64_t)(_mantissa * v), _exponent);
+   }
    IntPrice &operator*=(const int &other) {
       _mantissa *= other;
       return *this;

src/lib/md/MDConsumer.cpp

@@ -439,6 +439,7 @@ class SyntheticConsumerInst {
    void add_security(const api::Security &sec) {
       Mutex::scoped_lock lock(_workmutex);
       if (_data.find(sec.id()) == _data.end()) {
+         LOG(md, Info, "MDConsumer::add_security. {}", sec);
          auto ptr = to_strategy(make_shared<api::Security>(sec));
          vector<IncompleteStrategy> vec;
          vec.push_back(ptr);
@@ -503,19 +504,23 @@ class SyntheticConsumerInst {
                if (iter != real_handles.end()) {
                   // real handle
                   legs.push_back(iter->second);
-               } else {
-                  auto iter2 = existing.find(leg_key);
-                  if (iter2 != existing.end()) {
-                     // existing synthetic handle
-                     legs.push_back(MDConsumerHandle(iter2->second));
-                  } else {
-                     auto iter3 = result.find(leg_key);
-                     if (iter3 != result.end()) {
-                        // new synthetic handle?
-                        legs.push_back(MDConsumerHandle(iter3->second));
-                     }
-                  }
+                  continue;
                }
+               auto iter2 = existing.find(leg_key);
+               if (iter2 != existing.end()) {
+                  // existing synthetic handle
+                  legs.push_back(MDConsumerHandle(iter2->second));
+                  continue;
+               }
+               auto iter3 = result.find(leg_key);
+               if (iter3 != result.end()) {
+                  // new synthetic handle?
+                  legs.push_back(MDConsumerHandle(iter3->second));
+                  continue;
+               }
+               LOG(md, Warn,
+                   "MDConsumer::get_synthetic_handles. Unresolved leg. id: {}",
+                   leg_key);
             }
             // If we found all the legs
             if (legs.size() ==

src/lib/md/MDConsumerHandle.cpp

@@ -124,7 +124,6 @@ struct DepthTraversal {
          levels[x].size = depth[x].size();
       }
    }
-#ifdef PRECISE_SYNTHETICS
    double available_size() const {
       double available = 0.0;
       auto cur = head;
@@ -160,38 +159,6 @@ struct DepthTraversal {
       }
       return price / size;
    }
-#else
-   double available_size() const {
-      double available = 0.0;
-      auto cur = head;
-      while (cur < levels.size() && available < 1) {
-         available += levels[cur].size / qty;
-         ++cur;
-      }
-      return available;
-   }
-   double consume(double size) {
-      bts_assert_d(size <= available_size());
-      double take = size * qty;
-      double price = 0.0;
-      while (take > 0) {
-         if (levels[head].size >= take) {
-            price = levels[head].price * price_mult;
-            levels[head].size -= take;
-            if (levels[head].size <= 0)
-               ++head;
-            break;
-         } else {
-            double available = levels[head].size;
-            price = levels[head].price * price_mult;
-            levels[head].size = 0;
-            ++head;
-            take -= available;
-         }
-      }
-      return price;
-   }
-#endif
 };
 
 void copy_synthetic_side(