move default keycode exp to 12/31/2019 to fix unit tests

add temporary config to ignore nan day pnl to stop the loss limit from keeping traders out of market

doc/user/content/bts_spark/Spreader/_index.md

@@ -154,7 +154,7 @@ insert_anchor_links = "right"
 
         -  Pay Less - If enabled by checking the checkbox, the spreader will
             attempt to pay less when the quantity at the level of the calculated
-            hedge price is more than the threshold defined.  The hedge order is
+            hedge price is less than the threshold defined.  The hedge order is
             paid less by the “Payless Ticks” as defined per leg.
         -  Pay Up - If enabled by checking the checkbox, the spreader will pay
             up when the quantity at the level of the calculated hedge price is

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

@@ -227,7 +227,7 @@ namespace mbts.ui.spark {
       }
 
       DataGridColumn _column_factory(LegSpreaderParamsTuple l) {
-         var col = new DataGridColumnInternal(l.leg.Security, ParameterCellTemplateConverter, ParameterCellEditingTemplateConverter) { Width = 75, };
+         var col = new DataGridColumnInternal(l.leg.Security, ParameterCellTemplateConverter, ParameterCellEditingTemplateConverter);
          col.HeaderTemplate = (DataTemplate)FindResource(IsNew ? RemovableColumnHeaderTemplateKey : NonRemovableColumnHeaderTemplateKey);
          DataGridEx.SetRightBorder(col, new DataGridExVerticalLine(false, true, Colors.DarkGray, 1));
          return col;

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

@@ -501,6 +501,12 @@ namespace bts.shell.pnl {
          account_name == other.account_name &&
          sod == other.sod &&
          day == other.day &&
+         bid_price.Equals(other.bid_price) &&
+         ask_price.Equals(other.ask_price) &&
+         last_price.Equals(other.last_price) &&
+         mid_price.Equals(other.mid_price) &&
+         settlement_price.Equals(other.settlement_price) &&
+         calc_type.Equals(other.calc_type) &&
          raw_day == other.raw_day &&
          working.summary == other.working.summary;
 

src/client/spark/Modules/Trading/PNL/VM/PNLRowVM.cs

@@ -97,22 +97,22 @@ namespace bts.shell.pnl {
                if (security.HasValue && security.Value.ContractCase != Security.ContractOneofCase.Future) {
                   day_long = day_short = sod_long = sod_short = 0;
                } else {
-                  day_long = (decimal)DoubleUtil.nan_to_zero(data.day.long_pos);
-                  day_short = (decimal)DoubleUtil.nan_to_zero(data.day.short_pos);
-                  sod_long = (decimal)DoubleUtil.nan_to_zero(data.sod.long_pos);
-                  sod_short = (decimal)DoubleUtil.nan_to_zero(data.sod.short_pos);
+                  day_long = DoubleUtil.round_to_decimal(data.day.long_pos);
+                  day_short = DoubleUtil.round_to_decimal(data.day.short_pos);
+                  sod_long = DoubleUtil.round_to_decimal(data.sod.long_pos);
+                  sod_short = DoubleUtil.round_to_decimal(data.sod.short_pos);
                }
                var nd = new PNLNormalizedData(
-                  (decimal)DoubleUtil.nan_to_zero(day_pnl.value),
+                  DoubleUtil.round_to_decimal(day_pnl.value),
                   day_long,
                   day_short,
-                  (decimal)DoubleUtil.nan_to_zero(data.raw_day.long_pos),
-                  (decimal)DoubleUtil.nan_to_zero(data.raw_day.short_pos),
-                  (decimal)DoubleUtil.nan_to_zero(sod_pnl.value),
+                  DoubleUtil.round_to_decimal(data.raw_day.long_pos),
+                  DoubleUtil.round_to_decimal(data.raw_day.short_pos),
+                  DoubleUtil.round_to_decimal(sod_pnl.value),
                   sod_long,
                   sod_short,
-                  (decimal)DoubleUtil.nan_to_zero(data.working_long_pos),
-                  (decimal)DoubleUtil.nan_to_zero(data.working_short_pos));
+                  DoubleUtil.round_to_decimal(data.working_long_pos),
+                  DoubleUtil.round_to_decimal(data.working_short_pos));
                if (_normalized_data != nd) {
                   _normalized_data = nd;
                   updated?.Invoke(nd);

src/client/spark/Modules/Trading/PNL/VM/PNLVM.cs

@@ -103,7 +103,7 @@ namespace bts.shell.pnl {
          load_from(settings);
          _dispose = Disposable.Create(
             pnl_source.Operate(
-               _calculation_type.observe_current(),
+               _calculation_type.observe_current(true),
                (data, calc) => data.with(calc_type: calc)
             ).FilterWithRaw(filter_src, PNLRowData.key_fn, null)
             .OnDispatcher()

src/client/spark/Orders/OrdersModel.cs

@@ -75,7 +75,6 @@ namespace mbts.spark {
             .TableCheckedAutoCorrect(EqualityComparer<(SecurityImmutable? sec, PNLUnitImmutable data)>.Default)
             .Where(t => t.has_changes())
             .Cache();
-         on_account_pnl = _position_service.subscribei_pnl_account_data().Naggle(interval, scheduler).Table().Cache();
          var working_orders = on_orders.Filter(tup => tup.order.is_active());
          this.working_orders =
             on_orders.Scan(
@@ -265,7 +264,6 @@ namespace mbts.spark {
       public IObservable<IReadOnlyDictionary<uint, OrderSecurity>> working_orders { get; }
       public IObservable<TableUpdate<(SecurityImmutable?, PNLUnitImmutable), int>> on_pnl { get; }
       public IObservable<TableUpdate<PNLRowData, PNLKey>> security_account_pnl { get; }
-      public IObservable<TableUpdate<AccountPNLImmutable, uint>> on_account_pnl { get; }
       public IObservable<TableUpdate<(SecurityImmutable?, PositionUnitImmutable), int>> on_positions { get; }
       public IObservable<TableUpdate<(AlgoData algo, AlgoDefinitionMetadata? meta), AlgoKey>> studio_algos_with_meta { get; }
       public IObservable<TableUpdate<(SecurityImmutable?, ManualFillImmutable), int>> on_manual_fills_securities { get; }

src/client/spark/view/Controls/DIYGrid/DoubleUtil.cs

@@ -1,10 +1,9 @@
 using System;
 using System.Linq;
 
-namespace mbts.ui.controls
-{
-   internal class DoubleUtil
-   {
+namespace mbts.ui.controls {
+   static class DoubleUtil {
+      public const int API_DECIMAL_PRECISION = 9;
       /* smallest such that 1.0+DBL_EPSILON != 1.0 */
       private const double EPSILON  =   2.2204460492503131e-016;
       private const double BIG_EPSILON = EPSILON * 10;
@@ -36,6 +35,9 @@ namespace mbts.ui.controls
             (double.IsNaN(right) ? double.NaN : -right) :
             (double.IsNaN(right) ? left : left - right);
 
+      public static decimal round_to_decimal(double value, int decimals = API_DECIMAL_PRECISION) =>
+         double.IsNaN(value) ? 0 : (decimal)Math.Round(value, decimals, MidpointRounding.AwayFromZero);
+
       internal static bool AreClose(double v1, double v2) {
          if (v1 == v2) return true;
          double delta = Math.Abs(v1 - v2);

src/client/spark_api/api/Update.cs

@@ -8,7 +8,6 @@ using System.Linq;
 using System.Reactive.Concurrency;
 using System.Reactive.Disposables;
 using System.Reactive.Linq;
-using System.Reactive.Subjects;
 using System.Text;
 
 namespace bts.api.core {
@@ -94,38 +93,38 @@ namespace bts.api.core {
          new Update<T, TKey>(new T[0], new T[0], new Change<T>[0], new T[0], key_extractor);
 
       public Update<T,TKey> merge(Update<T, TKey> next) {
-         var comp = new RowEqualityComparer<T, TKey>(_key);
-         var added = this.added as HashSet<T> ?? new HashSet<T>(this.added, comp);
+         var added = this.added as KeyedValueSet<TKey, T> ?? new KeyedValueSet<TKey, T>(this.added, _key);
          var changes = this.changed as ChangeDict<T,TKey> ?? new ChangeDict<T,TKey>(this.changes, _key);
-         var removed = this.removed as HashSet<T> ?? new HashSet<T>(this.removed, comp);
+         var removed = this.removed as KeyedValueSet<TKey, T> ?? new KeyedValueSet<TKey, T>(this.removed, _key);
 
          // Add
-         added.UnionWith(next.added);
+         foreach (var v in next.added) {
+            var k = _key(v);
+            if (removed.Remove(k, out var oldval)) {
+               changes.AddOrMerge(new Change<T>(oldval, v));
+            } else {
+               added[k] = v;
+            }
+         }
 
          // Change
          foreach (var c in next.changes) {
-            if (added.Contains(c.Old)) {
-               added.Remove(c.Old);
-               added.Add(c.New);
-            }
-            else {
+            var k = _key(c.Old);
+            if (!added.Replace(k, c.New))
                changes.AddOrMerge(c);
-            }
          }
 
          // Remove
          foreach (var r in next.removed) {
-            if (!added.Remove(r)) {
-               removed.Add(r);
-            }
-            changes.Remove(_key(r));
+            var k = _key(r);
+            if (!added.Remove(k))
+               removed[k] = changes.TryRemove(k, out var ch) ? ch.Old : r;
          }
 
          return new Update<T, TKey>(
             next.all,
             added, changes, removed, 
-            _key
-            );
+            _key);
       }
 
       public IEnumerable<T> all { get; }
@@ -148,6 +147,39 @@ namespace bts.api.core {
 #endif
    }
 
+   class KeyedValueSet<TKey, TValue> : IEnumerable<TValue> {
+      readonly Dictionary<TKey, TValue> _cache = new Dictionary<TKey, TValue>();
+
+      public KeyedValueSet(IEnumerable<TValue> value, Func<TValue, TKey> key) {
+         foreach (var v in value)
+            _cache[key(v)] = v;
+      }
+
+      public TValue this[TKey key] {
+         set => _cache[key] = value;
+      }
+
+      public bool Remove(TKey key) =>
+         _cache.Remove(key);
+
+      public bool Remove(TKey key, out TValue value) =>
+         _cache.TryGetValue(key, out value) && _cache.Remove(key);
+
+      public bool Replace(TKey key, TValue value) {
+         if (_cache.ContainsKey(key)) {
+            _cache[key] = value;
+            return true;
+         }
+         return false;
+      }
+
+      public IEnumerator<TValue> GetEnumerator() =>
+         _cache.Values.GetEnumerator();
+
+      IEnumerator IEnumerable.GetEnumerator() =>
+         GetEnumerator();
+   }
+
    class ChangeDict<T, TKey> : IEnumerable<Change<T>> {
       Dictionary<TKey, Change<T>> _changes;
       Func<Change<T>, TKey> _key;
@@ -167,9 +199,11 @@ namespace bts.api.core {
          return null;
       }
 
-      public void Remove(TKey key) {
+      public bool Remove(TKey key) =>
          _changes.Remove(key);
-      }
+
+      public bool TryRemove(TKey key, out Change<T> result) =>
+         _changes.TryGetValue(key, out result) && _changes.Remove(key);
 
       #region IEnumerable
       public IEnumerator<Change<T>> GetEnumerator() {
@@ -181,31 +215,6 @@ namespace bts.api.core {
       #endregion
    }
 
-   struct RowEqualityComparer<T,TKey> : IEqualityComparer<T>, IEqualityComparer<Change<T>>
-      where TKey : IEquatable<TKey> {
-      readonly Func<T,TKey> _key;
-
-      public RowEqualityComparer(Func<T,TKey> key) {
-         _key = key;
-      }
-
-      public bool Equals(T x, T y) {
-         return _key(x).Equals(_key(y));
-      }
-
-      public bool Equals(Change<T> x, Change<T> y) {
-         return Equals(x.New, y.New);
-      }
-
-      public int GetHashCode(T obj) {
-         return _key(obj).GetHashCode();
-      }
-
-      public int GetHashCode(Change<T> c) {
-         return GetHashCode(c.New);
-      }
-   }
-
    public class TableUpdate<T, TKey> where TKey : IEquatable<TKey> {
       // warning: this does not have a key_extractor
       public static readonly TableUpdate<T, TKey> empty = new TableUpdate<T, TKey>(ImmutableDictionary<TKey, T>.Empty, Array.Empty<T>(), Array.Empty<Change<T>>(), Array.Empty<T>(), null);
@@ -922,4 +931,4 @@ namespace bts.api.core {
             $"T is '{typeof(T)}', TKey is '{typeof(TKey)}'";
       }
    }
-}
+}

src/lib/config/defaults/keycode.conf

@@ -1,9 +1,13 @@
+
+
 #nusers: 1
-#allow concurrent : false
-#expires: 2019-Sep-30 00:00:00   637053984000000000
-#generation_time: 2019-Jun-18 18:25:44.333280   5248650809870720704
+#allow concurrent : true
+#expires: 2019-Dec-31 00:00:00   637133472000000000
+#generation_time: 2019-Sep-30 15:52:10.434845   5248740573731736354
 EncryptedKeyCode {
    value {
-      keycode: "pgtv/OmievnpmNlgxTYuN801Hbetgu7ZGkHnlGWtK+DBrKSEgKxr5lGvCW1ld/jsztkWhKHDh0iediMDjrPm4+C5qmXlt4JJlAFvKolMN8HVC59m82fECvakcqKq28WSEjf6/DuPJNP1ZwxjcmKouxx1LZ15VlNkECtNrC9pkCnifazbfQZGV3kD08zMEyw/RPmOaVLFFeav8lwI5UpcjPYBIK1rJowXdGSvm1CJViwG5Z2JbdHR39QbKjVx112d5VbVtBq9nO3i0FEKvobjN/Gzcz/5x4TgQtEShKsbmgEN+MBVL3AItQlcFzZvE/05JLmfACUFmk5Eu0a3DlLs3A=="
+      keycode: "fVZlub92ulkXME+uZSyO9+WmyAXYKD735Qzxxfdj4G+SqEDTuwfNxOZVPS3TCFQqWPDmgjKTbbvfqIrGe3icxkVObUcUoS7lBXRXFrSvzOfs9eTz9RqHRvquDidnOzKxmSXsxV2bMb21UqBCJFeTzb4Q6Agp8EtjXJRc57UMVVygvdXg528S3ocBIq1V4W5NYraFn5WpqrTuBhpYbnsZAHi77s/EEwUT+6la3J2OHPtbiQnB6JFb0zsExMuzE4gwp79ojuQ5pnV2DXBZFNwxYvFyBUU/ac6oU89saZ/ay1DbOjz76TNqnNFewZvzdXZl3y6+X1eblX2streH2pn7gg=="
    }
-}
+}
+
+

src/lib/config/protos/toggles.proto

@@ -58,3 +58,7 @@ message EnsureOnScreenWithWorkAreaRect {
    // Should verify that the code works with every monitor arrangement before enabling by default.
    optional bool enabled = 1 [default = false];
 }
+
+message IgnoreNansInDayPnL {
+   optional bool enabled = 1 [default = true];
+}

src/server/sparkd/position/PositionServicePNLHelper.cpp

@@ -4,6 +4,7 @@
 #include "lib/os/os.h"
 #include "PositionServicePNLHelper.h"
 #include "lib/config/protos/cme_reference_data.pb.h"
+#include "lib/config/protos/toggles.pb.h"
 #include "lib/config/config.h"
 #include "lib/utils/PBUtils.h"
 
@@ -217,6 +218,15 @@ double PositionServicePNLHelper::_compute_day_pnl (
                            (md - u.pos().day_long_avg_price()),
                 short_pnl = std::abs(u.pos().day_short_pos()) * u.cash_value() *
                            (u.pos().day_short_avg_price() - md);
+                           
+         if(config::get<config::toggles::IgnoreNansInDayPnL>().enabled())
+         {
+            if(bts::os::is_nan(long_pnl))
+               long_pnl = 0.0;
+            if(bts::os::is_nan(short_pnl))
+               short_pnl = 0.0;
+         }          
+                          
          pnl = long_pnl + short_pnl;
          break;
       }