messed up the externals

removing duplicate mark down describing algos

Approved-by: Michael Harding <michael.harding@bluetradesys.com>

doc/user/content/release_notes/_index.md

@@ -16,6 +16,7 @@ insert_anchor_links = "right"
     selected by default
   - Increased width of login panel to better show login error messages
   - Added optional 'Maker/Taker' pricing to Spreader algo
+  - Algo buttons in ladder can now be made to deactivate after launching an algo or remain 'sticky'
 ### Internal changes
   - Made it easier to generate simple UI's for new order types
 ### API Changes

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

@@ -26,6 +26,7 @@ namespace mbts.spark {
          readonly ObservableFilterCollection<OrderRecordImmutable> _working_orders, _working_bids, _working_asks;
          readonly string _security_text, _security_key_text;
          readonly Property<double> _bid_price, _ask_price, _last_price, _day_change, _settlement, _session_high, _session_low;
+         readonly Property<bool> _last_price_from_spread;
          readonly CellProperty<int> _position;
          readonly CellProperty<uint> _last_size;
          readonly CellProperty<ulong> _volume;
@@ -53,6 +54,7 @@ namespace mbts.spark {
             _day_change = backing(nameof(day_change), double.NaN);
             _session_low = backing(nameof(session_low), double.NaN);
             _session_high = backing(nameof(session_high), double.NaN);
+            _last_price_from_spread = backing(nameof(last_price_from_spread), false);
             _settlement = backing(nameof(settlement), double.NaN);
             _volume = new CellProperty<ulong>(this, nameof(volume), 0);
             _inside_bids = new CellProperty<bool>(this, nameof(inside_bids));
@@ -103,6 +105,7 @@ namespace mbts.spark {
          public bool inside_asks => _inside_asks.value;
          public int position => _position.value;
          public double last_price => _last_price.Value;
+         public bool last_price_from_spread => _last_price_from_spread.Value;
          public uint last_size => _last_size.value;
          public double bid_price => _bid_price.Value;
          public uint bid_direct_size => _bid_direct_size.Value;
@@ -161,15 +164,17 @@ namespace mbts.spark {
                _inside_bids.on_next_distinct(_bid_price.Value >= _working_best_bid.value, ref dirty);
                _inside_asks.on_next_distinct(_ask_price.Value <= _working_best_ask.value, ref dirty);
             }
-            if (md.md.get_last_trade(ref _last_ref, out NativePriceSize ps, out DateTime ts, out ulong v)) {
+            if (md.md.get_last_trade(ref _last_ref, out NativePriceSize ps, out DateTime ts, out ulong v, out bool from_spread)) {               
                _last_price.set(ps.price);
+               _last_price_from_spread.set(from_spread);
                _last_size.on_next_distinct(ps.size, ref dirty);
                _volume.on_next_distinct(v, ref dirty);
             }
-            _settlement.set(md.md.settlement_price);
-            _session_low.set(md.md.session_low);
-            _session_high.set(md.md.session_high);
-            _day_change.set(last_price - settlement);
+            dirty |= _settlement.set_new(md.md.settlement_price);
+            dirty |= _session_low.set_new(md.md.session_low);
+            dirty |= _session_high.set_new(md.md.session_high);
+            dirty |= _day_change.set_new(last_price - settlement);
+            _volume.on_next_distinct(md.md.total_volume, ref dirty);
             if (dirty)
                invalidated?.Invoke();
 

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

@@ -39,7 +39,8 @@ namespace mbts.spark {
          IMultiValueConverter price_converter = new ui.spark.converters.TickDisplayConverter();
          add_col(Columns.Security, "Security", r => r.security.ToString(), nameof(Row.security), DefaultColumnWidths.Security, security_filter, DataGridFilterKnownTemplates.Regex);
          add_col(Columns.Volume, "Volume", r => r.volume.ToString(), nameof(Row.volume), DefaultColumnWidths.Volume, volume_filter, DataGridFilterKnownTemplates.ULongMinMax);
-         add_col(Columns.Last, "Last", r => r.format_price(r.last_price), nameof(Row.last_price), DefaultColumnWidths.Price, last_price_filter, DataGridFilterKnownTemplates.DoubleMinMax);
+         add_col(Columns.LastSpd, "Spd", r => r.last_price_from_spread ? "S" : "", nameof(Row.last_price_from_spread), DefaultColumnWidths.Side, last_price_from_spread_filter, DataGridFilterKnownTemplates.Regex);
+         add_col(Columns.Last, "Last", r => r.format_price(r.last_price), nameof(Row.last_price), DefaultColumnWidths.Price, last_price_filter, DataGridFilterKnownTemplates.DoubleMinMax);         
          add_col(Columns.LastSize, merged_size_col_header, r => r.last_size.ToString(), nameof(Row.last_size), DefaultColumnWidths.Size, last_size_filter, DataGridFilterKnownTemplates.UIntMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_col(Columns.Position, "Pos", r => r.position.ToString(), nameof(Row.position), DefaultColumnWidths.Size, position_filter, DataGridFilterKnownTemplates.IntMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_working_orders_col(Columns.WorkingBids, working_col_header, nameof(Row.working_bids_text), nameof(Row.working_best_bid), nameof(Row.working_bids_click), working_bid_volume_filter, BTSColors.MarketData.bid, System.Windows.HorizontalAlignment.Right);
@@ -145,6 +146,7 @@ namespace mbts.spark {
                      ask_direct_size_filter.load_state(filters.ask_direct_size);
                      ask_implied_size_filter.load_state(filters.ask_implied_size);
                      last_price_filter.load_state(filters.last_price);
+                     last_price_from_spread_filter.load_state(filters.last_price_from_spread);
                      last_size_filter.load_state(filters.last_size);
                      day_change_filter.load_state(filters.day_change);
                      settlement_filter.load_state(filters.settlement);
@@ -161,7 +163,7 @@ namespace mbts.spark {
             }), DataGridFilterHelper.hook_filters(rows_view, security_filter,
             bid_price_filter, bid_merged_size_filter, bid_direct_size_filter, bid_implied_size_filter,
             ask_price_filter, ask_merged_size_filter, ask_direct_size_filter, ask_implied_size_filter,
-            last_price_filter, last_size_filter, day_change_filter, settlement_filter,
+            last_price_filter, last_price_from_spread_filter, last_size_filter, day_change_filter, settlement_filter,
             session_low_filter, session_high_filter, position_filter, working_bid_volume_filter, working_ask_volume_filter, volume_filter, security_key_filter),
             settings_manager.subscribe_current().OnDispatcher().Subscribe(grid_settings_manager),
             WorkLoop.Start("MarketView", _refresh)
@@ -224,6 +226,7 @@ namespace mbts.spark {
       public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_direct_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_direct_size, nameof(Row.ask_direct_size));
       public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> ask_implied_size_filter { get; } = new UIntMinMax<Row>(r => r.ask_implied_size, nameof(Row.ask_implied_size));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> last_price_filter { get; } = new DoubleMinMax<Row>(r => r.last_price, nameof(Row.last_price));
+      public IDataGridColumnPersistentFilter<Row, string> last_price_from_spread_filter { get; } = new RegexFilterVM<Row>(r => r.last_price_from_spread.ToString(), nameof(Row.last_price_from_spread));
       public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> last_size_filter { get; } = new UIntMinMax<Row>(r => r.last_size, nameof(Row.last_size));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> day_change_filter { get; } = new DoubleMinMax<Row>(r => r.day_change, nameof(Row.day_change));
       public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> settlement_filter { get; } = new DoubleMinMax<Row>(r => r.settlement, nameof(Row.settlement));
@@ -255,6 +258,7 @@ namespace mbts.spark {
             ask_direct_size = ask_direct_size_filter.get_state(),
             ask_implied_size = ask_implied_size_filter.get_state(),
             last_price = last_price_filter.get_state(),
+            last_price_from_spread = last_price_from_spread_filter.get_state(),
             last_size = last_size_filter.get_state(),
             day_change = day_change_filter.get_state(),
             settlement = settlement_filter.get_state(),

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

@@ -8,7 +8,7 @@ namespace mbts.ui.spark {
    /// Interaction logic for MarketSheetsView.xaml
    /// </summary>
    partial class MarketViewView : UserControl {
-      public enum Columns { Security, Volume, Last, LastSize, Position, WorkingBids, Bid, BidMergedSize, BidDirectSize, BidImpliedSize, Ask, AskMergedSize, AskDirectSize, AskImpliedSize, WorkingAsks, Settlement, DayChange, SessionLow, SessionHigh, SecurityKey,
+      public enum Columns { Security, Volume, Last, LastSpd, LastSize, Position, WorkingBids, Bid, BidMergedSize, BidDirectSize, BidImpliedSize, Ask, AskMergedSize, AskDirectSize, AskImpliedSize, WorkingAsks, Settlement, DayChange, SessionLow, SessionHigh, SecurityKey,
          MarketDescription, ClearedAlias, ProductDescription, HubAlias, StripName, MicCode
       }
 

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

@@ -80,6 +80,7 @@ namespace bts.shell {
             public static GridColumnSettings security => new GridColumnSettings(col_id(Columns.Security), DefaultColumnHeaders.Security, width: DefaultColumnWidths.Security);
             public static GridColumnSettings volume => new GridColumnSettings(col_id(Columns.Volume), DefaultColumnHeaders.Volume, width: DefaultColumnWidths.Volume);
             public static GridColumnSettings last => new GridColumnSettings(col_id(Columns.Last), DefaultColumnHeaders.Last, width: DefaultColumnWidths.Price);
+            public static GridColumnSettings last_from_spread => new GridColumnSettings(col_id(Columns.LastSpd), DefaultColumnHeaders.S, width: DefaultColumnWidths.Price, is_visible: false);
             public static GridColumnSettings last_size => new GridColumnSettings(col_id(Columns.LastSize), DefaultColumnHeaders.Size, width: DefaultColumnWidths.Size, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
             public static GridColumnSettings position => new GridColumnSettings(col_id(Columns.Position), DefaultColumnHeaders.Pos, width: DefaultColumnWidths.Size, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
             public static GridColumnSettings working_bids => new GridColumnSettings(col_id(Columns.WorkingBids), DefaultColumnHeaders.Working, font_color_override: BTSColors.MarketData.bid, width: DefaultColumnWidths.Working, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
@@ -117,6 +118,7 @@ namespace bts.shell {
                   yield return security;
                   yield return volume;
                   yield return last;
+                  yield return last_from_spread;
                   yield return last_size;
                   yield return position;
                   yield return working_bids;
@@ -200,6 +202,8 @@ namespace bts.shell {
          [ProtoMember(25)]
          public string strip_name;
          [ProtoMember(26)]
+         public string last_price_from_spread;
+         [ProtoMember(27)]         
          public string mic_code;
       }
    }

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

@@ -10,7 +10,7 @@ using System.Reactive.Disposables;
 namespace mbts.spark {
    static class AlgoParamRowsHelper {
       public static IDisposable connect(AlgoDefinitionVM algo, ObservableAggregateCollection<AlgoParamRowVM> rows, bool include_algo_type_rows) =>
-         algo == null ? null : new CompositeDisposable(algo.observe_algo_root().SubscribeEach(a => {
+         algo == null ? null : new CompositeDisposable(algo.observe_algo_root().OnDispatcher().SubscribeEach(a => {
             rows.clear_collections();
             if (a == null)
                return Disposable.empty;
@@ -77,7 +77,7 @@ namespace mbts.spark {
                include_algo_type_rows ?
                   (ObservableCollection<AlgoParamRowVM>)new ObservableAppendCollection<AlgoParamRowVM>(child_rows, selector_wrapper) :
                   child_rows,
-               s.subscribe_selected_algo().SubscribeEach(a => {
+               s.subscribe_selected_algo().OnDispatcher().SubscribeEach(a => {
                   s.value = a;
                   child_rows.clear_collections();
                   return _wrap_rows(a, selector_wrapper, child_rows, include_algo_type_rows);

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

@@ -87,6 +87,7 @@ namespace mbts.spark {
          add_col(Columns.Size, DefaultColumnHeaders.Size, r => r.size.ToString(), new DoubleMinMax<FillTuple>(r => r.fill.LastShares), DataGridFilterKnownTemplates.UIntMinMax, DefaultColumnWidths.Size);
          add_col(Columns.Price, DefaultColumnHeaders.Price, r => r.format_price(r.price), new DoubleMinMax<FillTuple>(r => r.fill.LastPrice), DataGridFilterKnownTemplates.DoubleMinMax, DefaultColumnWidths.Price);
          add_col(Columns.FillKind, DefaultColumnHeaders.FillKind, r => r.fill_kind.ToString(), dv_filter(EnumHelper.get_values<FillKind>().ToArray(), r => r.fill.FillKind), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.FillKind);
+         add_col(Columns.FillStatus, DefaultColumnHeaders.FillStatus, r => r.fill_status.ToString(), dv_filter(EnumHelper.get_values<FillStatus>().ToArray(), r => r.fill.FillStatus), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.FillKind);
          add_col(Columns.FillKey, DefaultColumnHeaders.FillKey, r => r.fill_key.ToString(), new RegexFilterVM<FillTuple>(r => r.fill.FillKey), DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.FillKey);
          add_col(Columns.OrderKey, DefaultColumnHeaders.OrderKey, r => r.order_key.ToString(), new RegexFilterVM<FillTuple>(r => r.fill.OrderKey.ToString()), DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.OrderKey);
          add_col(Columns.SecurityKey, DefaultColumnHeaders.SecurityKey, r => r.security_key.ToString(), new RegexFilterVM<FillTuple>(r => r.fill.SecurityKey.ToString()), DataGridFilterKnownTemplates.Regex, DefaultColumnWidths.SecurityKey);
@@ -188,6 +189,7 @@ namespace mbts.spark {
             case Columns.Exchange: return wrap_default(ft => ft.security.exchange_or_default());
             case Columns.FillKey: return wrap(ft => ft.fill.FillKey);
             case Columns.FillKind: return wrap_default(ft => ft.fill.FillKind);
+            case Columns.FillStatus: return wrap_default(ft => ft.fill.FillStatus);
             case Columns.FillTime: return wrap(ft => ft.fill.Timestamp.to_local_time());
             case Columns.OrderKey: return wrap(ft => ft.fill.OrderKey);
             case Columns.OrderType: return wrap_default(ft => ft.order?.order_type() ?? OrderType.None);
@@ -249,6 +251,7 @@ namespace mbts.spark {
          public double price => _fill.LastPrice;
          public double size => _fill.LastShares;
          public FillKind fill_kind => _fill.FillKind;
+         public FillStatus fill_status => _fill.FillStatus;
          public string fill_key => _fill.FillKey;
          public string order_key => _order.Key.ToString();
 

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

@@ -20,6 +20,7 @@ namespace mbts.ui.spark {
          Price,
          Size,
          FillKind,
+         FillStatus,
          FillKey,
          OrderKey,
          SecurityKey

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

@@ -67,5 +67,8 @@ namespace bts.shell {
             set: (us, gs) => us.with(provided_fills_gridsettings: gs));
          return new FillsWindow(this, _bus, _orders_model, state, settings_manager);
       }
+         [ProtoMember(15)]
+         [DIYGridColumnID(nameof(Columns.FillStatus))]
+         public Fill.Types.FillStatus[] fill_status { get; set; }
    }
 }

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

@@ -70,6 +70,10 @@ namespace bts.shell.fills {
       [ProtoMember(15)]
       [DIYGridColumnID(nameof(Columns.Symbol))]
       public string[] symbol { get; set; }
+
+      [ProtoMember(16)]
+      [DIYGridColumnID(nameof(Columns.FillStatus))]
+      public Fill.Types.FillStatus[] fill_status { get; set; }
    }
 
    static class FillsFilterStatesExtensions {
@@ -91,6 +95,7 @@ namespace bts.shell.fills {
          pb.add_discrete_values(fs.side, ft => ft.fill.Side);
          pb.add_discrete_values(fs.fill_kind, ft => ft.fill.FillKind);
          pb.add_discrete_values(fs.symbol, ft => ft.security?.Symbol ?? string.Empty);
+         pb.add_discrete_values(fs.fill_status, ft => ft.fill.FillStatus);
          // numeric
          pb.add_numeric(fs.size, ft => ft.fill.LastShares);
          pb.add_numeric(fs.price, ft => ft.fill.LastPrice);

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

@@ -194,20 +194,27 @@ namespace mbts.spark {
       readonly bts.persist.algo.AlgoPersistedKey[] _favorite_algos;
       [ProtoMember(2)]
       public readonly int column_count;
+      [ProtoMember(3)]
+      readonly bts.persist.algo.AlgoPersistedKey[] _stickied_algos;
 
-      public LadderFavoriteAlgosSettings(AlgoKey[] favorite_algos, int column_count)
-         : this(ArrayHelper.safe_convert(favorite_algos, k => new bts.persist.algo.AlgoPersistedKey(k.persisted)), column_count) { }
+      public LadderFavoriteAlgosSettings(AlgoKey[] favorite_algos, int column_count, AlgoKey[] stickied_algos)
+         : this(ArrayHelper.safe_convert(favorite_algos, k => new bts.persist.algo.AlgoPersistedKey(k.persisted)),
+              column_count,
+              ArrayHelper.safe_convert(stickied_algos, k => new bts.persist.algo.AlgoPersistedKey(k.persisted))) { }
 
-      LadderFavoriteAlgosSettings(bts.persist.algo.AlgoPersistedKey[] favorite_algos, int column_count) {
+      LadderFavoriteAlgosSettings(bts.persist.algo.AlgoPersistedKey[] favorite_algos, int column_count, bts.persist.algo.AlgoPersistedKey[] stickied_algos) {
          _favorite_algos = favorite_algos;
          this.column_count = column_count;
+         _stickied_algos = stickied_algos;
       }
 
       public IReadOnlyList<AlgoKey> favorite_algos => ArrayHelper.safe_convert(_favorite_algos, k => k.to_algo_key());
+      public IReadOnlyList<AlgoKey> stickied_algos => ArrayHelper.safe_convert(_stickied_algos, k => k.to_algo_key());
 
       public bool Equals(LadderFavoriteAlgosSettings other) =>
          column_count == other.column_count &&
-         favorite_algos.SequenceEqual(other.favorite_algos);
+         favorite_algos.SequenceEqual(other.favorite_algos) &&
+         stickied_algos.SequenceEqual(other.stickied_algos);
 
       public override bool Equals(object obj) =>
          EqualityComparer.equals_obj(this, obj);
@@ -215,7 +222,8 @@ namespace mbts.spark {
       public override int GetHashCode() =>
          EqualityComparer.aggregate_hash(
             column_count,
-            EqualityComparer.aggregate_hash_limited(favorite_algos));
+            EqualityComparer.aggregate_hash_limited(favorite_algos),
+            EqualityComparer.aggregate_hash_limited(stickied_algos));
 
       public static bool operator ==(LadderFavoriteAlgosSettings a, LadderFavoriteAlgosSettings b) => a.Equals(b);
       public static bool operator !=(LadderFavoriteAlgosSettings a, LadderFavoriteAlgosSettings b) => !a.Equals(b);
@@ -273,7 +281,7 @@ namespace mbts.spark {
          order_entry_panel_initial_width = _default_order_entry_panel_width;
          zoom_factor = _default_zoom_factor;
          use_defaults = true;
-         favorite_algos = new LadderFavoriteAlgosSettings(null, 2);
+         favorite_algos = new LadderFavoriteAlgosSettings(null, 2, null);
          show_warn_on_cross = _default_show_warn_on_cross;
       }
 

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

@@ -11,6 +11,7 @@ using ProtoBuf;
 using System;
 using System.Collections.Generic;
 using System.Collections.Immutable;
+using System.IO;
 using System.Linq;
 using System.Reactive.Linq;
 using System.Reactive.Subjects;
@@ -22,6 +23,7 @@ using LadderSettings = mbts.spark.LadderSettings;
 namespace bts.shell {
    class LadderWindowFactory : ShellWindowFactory<LadderSaveState> {
       const string _window_type = "ladder";
+      const int _version_where_stickied_algos_introduced = 2;
       readonly LadderConfig _ladder_conf;
       readonly IBus _bus;
       readonly IWindowManager _wm;
@@ -38,7 +40,7 @@ namespace bts.shell {
          OrdersModel orders_model,
          MBOService mbo)
 
-         : base(owner, "SparkLadder") {
+         : base(owner, "SparkLadder", 2) {
          _bus = bus;
          _wm = wm;
          _settings_hub = settings_hub;
@@ -60,6 +62,16 @@ namespace bts.shell {
          return null;
       }
 
+      protected override Task<IShellWindow> try_upgrade_state(Stream load_stream, int version) {
+         var state = ProtoBuf.Serializer.DeserializeWithLengthPrefix<LadderSaveState>(load_stream, ProtoBuf.PrefixStyle.Fixed32);
+         if (version < _version_where_stickied_algos_introduced) {
+            // We want to assign any existing favorite algos to stickied algos upon setting upgrade
+            var favorite_algos_array = state.settings.favorite_algos.favorite_algos.ToArray();
+            state.settings.favorite_algos = new LadderFavoriteAlgosSettings(favorite_algos_array, state.settings.favorite_algos.column_count, favorite_algos_array);
+         }
+         return load(state);
+      }
+
       LadderSaveState _get_state(LadderVM vm, uint id) {
          LadderSettings s = vm.get_save_state();
          if (id != 0) {

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

@@ -2,6 +2,7 @@
 using bts.api;
 using bts.api.orderman;
 using bts.collections;
+using bts.persist.algo;
 using bts.shell.orderbook;
 using bts.utils;
 using mbts.collections;
@@ -723,12 +724,15 @@ namespace mbts.spark {
          readonly IObservableCollection<AlgoDefinitionVM> _algo_definitions;
          readonly ObservableCollection<FavoriteAlgoItem> _raw_items = new ObservableCollection<FavoriteAlgoItem>();
          int _column_count = 2;
+         HashSet<AlgoPersistedKey> _sticky_algo_keys;
+         IDisposable _sticky_algos_hook;
 
          public FavoriteAlgosVM(IObservableCollection<AlgoDefinitionVM> algo_definitions) {
             _algo_definitions = algo_definitions;
             items = new ObservableAggregateCollection<FavoriteAlgoItem>(_raw_items, new ObservableCollection<FavoriteAlgoItem> { FavoriteAlgoItem.AddButtonPlaceholderItem });
             add_item_cmd = new DelegateCommand(() => _raw_items.Add(_item_factory()));
             remove_item_cmd = new DelegateCommand<FavoriteAlgoItem>(fai => _raw_items.Remove(fai));
+            _dispose = Disposable.Create(() => Disposable.dispose(ref _sticky_algos_hook));
          }
 
          public ObservableCollection<FavoriteAlgoItem> items { get; }
@@ -745,6 +749,17 @@ namespace mbts.spark {
                fai.selector.try_select(k);
                return fai;
             }));
+            _sticky_algo_keys = new HashSet<AlgoPersistedKey>(value.stickied_algos.Where(k => k.is_persisted).Select(x => new AlgoPersistedKey(x.persisted)));
+            Disposable.replace(ref _sticky_algos_hook,
+               ObservableAutoWrapper.connect_item_hooks(_raw_items, x =>
+                  x.selector.subscribe_value().Subscribe(algo => {
+                     if (algo != null &&
+                        algo.key.is_persisted &&
+                        (x.is_sticky = _sticky_algo_keys.Remove(new AlgoPersistedKey(algo.key.persisted))) &&
+                        _sticky_algo_keys.Count == 0)
+                        //
+                        Disposable.dispose(ref _sticky_algos_hook);
+                  })));
          }
 
          public LadderFavoriteAlgosSettings create() =>
@@ -753,7 +768,13 @@ namespace mbts.spark {
                .Where(k => k.HasValue && k.Value.is_persisted)
                .Select(k => k.Value)
                .ToArray(),
-               column_count);
+               column_count,
+               _raw_items
+               .Where(fai => fai.is_sticky)
+               .Select(fai => fai.algo_definition?.key ?? fai.selector.desired_key)
+               .Where(k => k.HasValue && k.Value.is_persisted)
+               .Select(k => k.Value)
+               .ToArray());
 
          FavoriteAlgoItem _item_factory() =>
             new FavoriteAlgoItem(_algo_definitions, new ListCollectionView<AlgoDefinitionVM>(_algo_definitions) {
@@ -766,6 +787,7 @@ namespace mbts.spark {
          public static readonly FavoriteAlgoItem AddButtonPlaceholderItem = new _AddButtonPlaceholderItem();
 
          internal readonly KeyedItemSelector<AlgoDefinitionVM, AlgoKey> selector;
+         bool _is_sticky;
 
          protected FavoriteAlgoItem() { }
 
@@ -776,6 +798,7 @@ namespace mbts.spark {
 
          public ICollectionView<AlgoDefinitionVM> algo_definitions_view { get; }
          public AlgoDefinitionVM algo_definition { get => selector.value; set => selector.value = value; }
+         public bool is_sticky { get => _is_sticky; set => Set(ref _is_sticky, value); }
 
          class _AddButtonPlaceholderItem : FavoriteAlgoItem, ITemplateSelectorKey {
             public string key => LadderSettingsView.FavoriteAlgoAddButtonTemplateKey;

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

@@ -1,9 +1,11 @@
 using bts.api;
 using bts.api.orderman;
+using bts.collections;
 using bts.shell;
 using bts.spark;
 using bts.utils;
 using mbts.co2;
+using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.shell;
 using mbts.utils;
@@ -32,6 +34,7 @@ namespace mbts.spark {
          _show_tif, _show_order_type, _show_size_preset, _show_auto_clear, _show_clear, _show_cancel_buys,
          _show_cancel_sells, _show_cancel_all, _show_zoom;
       readonly PropertyAutoWrapper<LadderSettings, Brush> _bid_background, _bid_foreground, _ask_background, _ask_foreground;
+      readonly HashSet<AlgoKey> _sticky_algos = new HashSet<AlgoKey>();
       double _position, _day_position;
       bool _show_account_position, _show_day_position;
       ulong _misc_time = 0;
@@ -133,7 +136,7 @@ namespace mbts.spark {
          //_window_height = backing(nameof(window_height), settings_manager.subscribe_current().OnDispatcher().Select(s => s.zoom_factor), (scale) => scale * 600);
          //_window_width = backing(nameof(window_width), settings_manager.subscribe_current().OnDispatcher().Select(s => s.zoom_factor), (scale) => scale * 420);
          position_click_command = new DelegateCommand(() => size_calculator.value = DoubleHelper.safe_convert_to_uint(Math.Abs(_show_day_position ? day_position : position)));
-         send_order_command = new DelegateCommand<(double price, Side? side, MouseButton button)>(send_order);
+         send_order_command = new AsyncCommand<(double price, Side? side, MouseButton button)>(send_order_async);
          cancel_command = new AsyncCommand<LadderModel.CancelType>(_model.cancel_orders, true);
          show_book_command = new DelegateCommand(_show_book);
          show_ticket_command = new DelegateCommand(_show_ticket);
@@ -223,7 +226,10 @@ namespace mbts.spark {
                .SelectManyInSeries(a => _model.order_gateway.on_security_positions(security.Id)
                   .Select(table => table.state.Values.FirstOrDefault(pos => pos.Item2.Account == a, tup => tup.Item2, (bts.api.position.PositionUnitImmutable?)null)));
             return Disposable.Create(
-               settings.OnDispatcher().Subscribe(s => order_properties_vm.on_favorite_algos(s.favorite_algos)),
+               settings.OnDispatcher().Subscribe(s => {
+                  _sticky_algos.SetItems(s.favorite_algos.stickied_algos);
+                  order_properties_vm.on_favorite_algos(s.favorite_algos);
+               }),
                order_properties_vm,
                position_src.OnDispatcher().Subscribe(pos => {
                   double total, day;
@@ -400,20 +406,19 @@ namespace mbts.spark {
          settings_invalidated?.Invoke();
       }
 
-      public void send_order((double price, Side? side, MouseButton button) args) {
-         if (order_properties_vm == null || args.button == MouseButton.Middle)
-            return;
-         var size_from_alternate = args.button == MouseButton.Right;
-         if (DoubleHelper.IsNaNOrInfinity(args.price) || !args.side.HasValue || HasErrors || order_properties_vm.HasErrors || (size_from_alternate && current_settings.alternate_order_size == 0)) {
-            return;
-         }
-         if (!size_from_alternate && (!size_calculator.value.HasValue || size_calculator.value.Value == 0)) {
-            size_calculator.flash_error();
-         }
-         else {
-            uint size = size_from_alternate ? current_settings.alternate_order_size : (uint)Math.Abs(size_calculator.value ?? 0);
-            send_order_async(args.side.Value, size, args.price).ignore();
+      public Task send_order_async((double price, Side? side, MouseButton button) args) {
+         if (order_properties_vm != null && args.button != MouseButton.Middle) {
+            var size_from_alternate = args.button == MouseButton.Right;
+            if (!DoubleHelper.IsNaNOrInfinity(args.price) && args.side.HasValue && !HasErrors && !order_properties_vm.HasErrors && (!size_from_alternate || current_settings.alternate_order_size > 0)) {
+               if (!size_from_alternate && (!size_calculator.value.HasValue || size_calculator.value.Value == 0)) {
+                  size_calculator.flash_error();
+               } else {
+                  uint size = size_from_alternate ? current_settings.alternate_order_size : (uint)Math.Abs(size_calculator.value ?? 0);
+                  return send_order_async(args.side.Value, size, args.price);
+               }
+            }
          }
+         return Task.CompletedTask;
       }
 
       public async Task send_order_async(Side side, uint size, double price) {
@@ -433,6 +438,13 @@ namespace mbts.spark {
          await _model.order_gateway.send_order(order, price, size);
          if (auto_clear)
             size_calculator.value = 0;
+         var fav_algo = order_properties_vm.selected_favorite_algo_definition;
+         if (fav_algo != null && !_sticky_algos.Contains(fav_algo.key) && !order_properties_vm.try_pop_selected_algo_definition()) {
+            var key = new AlgoKey(OrderDataHelper.get_default_algo(OrderDataHelper.get_algo_format(security.ContractCase)));
+            if (order_properties_vm.try_get_algo_definition(key, out var r)) {
+               order_properties_vm.selected_algo_definition = r;
+            }
+         }
       }
 
       void _update_header() {

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

@@ -805,6 +805,7 @@
                     <Grid.ColumnDefinitions>
                       <ColumnDefinition Width="Auto" SharedSizeGroup="c0"/>
                       <ColumnDefinition Width="*"/>
+                      <ColumnDefinition Width="Auto" SharedSizeGroup="c1"/>
                     </Grid.ColumnDefinitions>
                     <Button Command="{Binding DataContext.remove_item_cmd, RelativeSource={RelativeSource AncestorType=ItemsControl}}" CommandParameter="{Binding}" Style="{StaticResource RoundCloseButton}"/>
                     <ComboBox Grid.Column="1" ItemsSource="{Binding algo_definitions_view}" SelectedItem="{Binding algo_definition}">
@@ -814,6 +815,7 @@
                         </DataTemplate>
                       </ComboBox.ItemTemplate>
                     </ComboBox>
+                    <CheckBox Grid.Column="2" VerticalAlignment="Center" VerticalContentAlignment="Center" IsChecked="{Binding is_sticky}"> Stay Enabled?</CheckBox>
                   </Grid>
                 </DataTemplate>
               </u:KeyedTemplateSelector.Default>
@@ -823,6 +825,7 @@
                     <Grid.ColumnDefinitions>
                       <ColumnDefinition Width="Auto" SharedSizeGroup="c0"/>
                       <ColumnDefinition Width="*"/>
+                      <ColumnDefinition Width="Auto" SharedSizeGroup="c1"/>
                     </Grid.ColumnDefinitions>
                     <Button Grid.Column="1" HorizontalAlignment="Stretch" Command="{Binding DataContext.add_item_cmd, RelativeSource={RelativeSource AncestorType=ItemsControl}}">Add</Button>
                   </Grid>

src/client/spark/Orders/OrderDataHelper.cs

@@ -631,25 +631,54 @@ namespace mbts.spark.utilities {
             return def;
          }
       }
-      
-      static CustomOrderDefinition.CustomOneofCase[] algo_config(
-         Func<bts.config.AlgoPermissions, List<string>> selector)
-      {
-         var conf = mbts.config.Configuration.get<bts.config.AlgoPermissions>();
-         return selector(conf).Select(x => 
-         {
-            return (CustomOrderDefinition.CustomOneofCase)System.Enum.Parse(typeof(CustomOrderDefinition.CustomOneofCase), x, true);
-         }).ToArray();
-      }
 
       public static readonly CustomOrderDefinition.CustomOneofCase[]
 
          // exchange_order_types are the types which can be submitted on an exchange security
-         exchange_order_types = algo_config(x => x.exchange_order_types),
-         spreader_order_types = algo_config(x => x.spreader_order_types),
-         attachable_order_types = algo_config(x => x.attachable_order_types),
-         outright_order_types = algo_config(x => x.outright_order_types);
-         
+         exchange_order_types = new[] {
+            CustomOrderDefinition.CustomOneofCase.Market,
+            CustomOrderDefinition.CustomOneofCase.Limit,
+            CustomOrderDefinition.CustomOneofCase.Stop,
+            CustomOrderDefinition.CustomOneofCase.StopLimit,
+            CustomOrderDefinition.CustomOneofCase.GlbxIceberg,
+            CustomOrderDefinition.CustomOneofCase.Iceberg,
+            CustomOrderDefinition.CustomOneofCase.Lean,
+            CustomOrderDefinition.CustomOneofCase.Join,
+            CustomOrderDefinition.CustomOneofCase.Cover,
+            CustomOrderDefinition.CustomOneofCase.Top,
+            CustomOrderDefinition.CustomOneofCase.Offset,
+            CustomOrderDefinition.CustomOneofCase.Splitter,
+            CustomOrderDefinition.CustomOneofCase.Scratch,
+            CustomOrderDefinition.CustomOneofCase.Prorata,
+         },
+         spreader_order_types = new[] {
+            CustomOrderDefinition.CustomOneofCase.Spreader,
+            CustomOrderDefinition.CustomOneofCase.Iceberg,
+            CustomOrderDefinition.CustomOneofCase.Lean,
+            CustomOrderDefinition.CustomOneofCase.Join,
+            CustomOrderDefinition.CustomOneofCase.Cover, 
+            CustomOrderDefinition.CustomOneofCase.Top,
+            CustomOrderDefinition.CustomOneofCase.Splitter,
+            CustomOrderDefinition.CustomOneofCase.Scratch,
+            CustomOrderDefinition.CustomOneofCase.Prorata,
+         },
+         attachable_order_types = new[] {
+            CustomOrderDefinition.CustomOneofCase.Iceberg,
+            CustomOrderDefinition.CustomOneofCase.Lean,
+            CustomOrderDefinition.CustomOneofCase.Join,
+            CustomOrderDefinition.CustomOneofCase.Cover,
+            CustomOrderDefinition.CustomOneofCase.Top,
+            CustomOrderDefinition.CustomOneofCase.Offset,
+            CustomOrderDefinition.CustomOneofCase.Scratch,
+            CustomOrderDefinition.CustomOneofCase.Prorata,
+         },
+         outright_order_types = new[] {
+            CustomOrderDefinition.CustomOneofCase.Market,
+            CustomOrderDefinition.CustomOneofCase.Limit,
+            CustomOrderDefinition.CustomOneofCase.Stop,
+            CustomOrderDefinition.CustomOneofCase.StopLimit,
+            CustomOrderDefinition.CustomOneofCase.GlbxIceberg,
+         };
       public static readonly CustomOrderDefinition.CustomOneofCase[] all_order_types = exchange_order_types.Union(spreader_order_types).ToArray();
 
       public static void copy_values(CustomOrderDefinitionImmutable source, ref CustomOrderDefinition target) =>

src/client/spark/Orders/OrderPropertiesEditorVM.cs

@@ -60,6 +60,7 @@ namespace mbts.spark {
       readonly ListCollectionView<AlgoDefinitionVM> _algo_definitions_view, _favorite_algo_definitions_view;
       readonly TableUpdateBuffer<AlgoData, AlgoKey> _definitions_buffer = new TableUpdateBuffer<AlgoData, AlgoKey>(d => d.key);
       readonly ObservableAggregateCollection<AlgoParamRowVM> _algo_param_rows = new ObservableAggregateCollection<AlgoParamRowVM>();
+      readonly AlgoDefinitionVM the_anchor_algo_def_vm;
       IReadOnlyDictionary<AlgoKey, AlgoDefinitionMetadata> _algo_metadata = DictionaryHelper.empty<AlgoKey, AlgoDefinitionMetadata>();
       IReadOnlyDictionary<AlgoKey, int> _favorite_algos_index = DictionaryHelper.empty<AlgoKey, int>();
       IDisposable _algo_param_rows_hook;
@@ -68,6 +69,7 @@ namespace mbts.spark {
 
       public OrderPropertiesEditorVM(OrdersModel model, IObservable<SecurityMD> security_md_source, IObservable<InlineOrderProperties> order_properties) {
          _model = model;
+         the_anchor_algo_def_vm = AlgoDefinitionVM.create(_model, OrderDataHelper.Defaults.AlgoData(CustomOrderDefinition.CustomOneofCase.Limit));
          var security_source = security_md_source.Select(smd => smd.security);
          _security = backing(nameof(security), security_source, SecurityDataHelper.Defaults.SecurityImmutable);
          security_source = _security.observe_current(true);
@@ -237,11 +239,15 @@ namespace mbts.spark {
 
       void _selected_algo_definition_Changed(AlgoDefinitionVM old_value, AlgoDefinitionVM new_value, SelectionReason reason) {
          Disposable.dispose(ref _algo_param_rows_hook);
+         if (old_value != null)
+            // Taha feels that we should always revert to a Limit order either when the user explicity unchecks a sticky button
+            // or when a non-sticky button is pressed. Rather than completely remove the stack at this time (b/c it may be come
+            // back in the future), let's just always push a specfic def_vm.key onto it [Limit] ;)
+            //_selected_algo_stack.Push(old_value.key);
+            _selected_algo_stack.Push(the_anchor_algo_def_vm.key);
          if (new_value != null) {
             if (use_algo_param_grid)
                _algo_param_rows_hook = _connect_algo_param_rows(new_value, _algo_param_rows);
-            if (reason != SelectionReason.Explicit)
-               _selected_algo_stack.Push(new_value.key);
          }
          if (open_algo_popup_on_select) {
             if (reason == SelectionReason.UserSelectedNewValue && new_value?.algo_root is IAlgoVM ar && ar.can_expand)
@@ -277,6 +283,18 @@ namespace mbts.spark {
          get => _selected_algo_definition.selected_item;
          set => _selected_algo_definition.selected_item = value;
       }
+
+      public bool try_get_algo_definition(AlgoKey a, out AlgoDefinitionVM result) =>
+         _algo_definitions.TryGetValue(a, out result);
+
+      public bool try_pop_selected_algo_definition() {
+         if (_selected_algo_stack.TryPop(out AlgoKey k) && _algo_definitions.TryGetValue(k, out AlgoDefinitionVM vm)) {
+            _selected_algo_definition.select_explicit(vm);
+            return true;
+         }
+         return false;
+      }
+
       public AlgoDefinitionVM selected_favorite_algo_definition {
          get => selected_algo_definition?.is_favorite ?? false ? selected_algo_definition : null;
          set {
@@ -353,6 +371,7 @@ namespace mbts.spark {
             d.favorite_index = _get_favorite_algo_index(d.key);
          }
          favorite_algos_column_count = value.column_count;
+         RaisePropertyChanged(nameof(selected_favorite_algo_definition));
       }
 
       static IDisposable _connect_algo_param_rows(AlgoDefinitionVM def, ObservableAggregateCollection<AlgoParamRowVM> rows) =>
@@ -371,4 +390,4 @@ namespace mbts.spark {
          algo_definitions_view.Refresh();
       }
    }
-}
+}

src/client/spark/core/ShellInterface/IShellWindowFactory.cs

@@ -34,13 +34,14 @@ namespace bts.shell {
          Disposable.dispose(ref _dispose);
       }
       public abstract Task<IShellWindow> load(T state);
+      protected virtual Task<IShellWindow> try_upgrade_state(Stream load_stream, int version) => null;
 
       public Task<IShellWindow> load_window(Stream load_stream, int version) {
          if (version == this.version) {
             var t = ProtoBuf.Serializer.DeserializeWithLengthPrefix<T>(load_stream, ProtoBuf.PrefixStyle.Fixed32);
             return load(t);
          }
-         return null;
+         return try_upgrade_state(load_stream, version);
       }
       public void save(T data, Stream output) {
          var header = new ShellSerializationHeader() {

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

@@ -96,6 +96,7 @@ namespace mbts.ui.controls {
             Aggressor = "Aggressor",
             Volume = "Volume",
             Last = "Last",
+            S = "S",
             Pos = "Pos",
             Working = "Working",
             Bid = "Bid",
@@ -105,6 +106,7 @@ namespace mbts.ui.controls {
             SessionLow = "Low",
             SessionHigh = "High",
             FillKind = "Fill Kind",
+            FillStatus = "Fill Status",
             Name = "Name",
             Description = "Description",
             N_Legs = "# Legs",

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

@@ -236,12 +236,12 @@ namespace mbts.ui {
             throw new NotImplementedException("This ICommand does not implement IRaiseCanExecuteChanged");
       }
 
-      public static async Task ExecuteAsync(this ICommand command, object parameter) {
+      public static Task ExecuteAsync(this ICommand command, object parameter) {
          ExceptionAssert.Argument.NotNull(command, nameof(command));
          if (command is IAsyncCommand acmd)
-            await acmd.Execute(parameter);
+            return acmd.Execute(parameter);
          else
-            await Task.Run(() => command.Execute(parameter));
+            return Task.Run(() => command.Execute(parameter));
       }
 
       public static void TryExecuteIfCan(this ICommand command, object parameter) {

src/client/spark/view/Shell/Settings/ShellSettingsDialogVM.cs

@@ -136,8 +136,8 @@ namespace mbts.spark {
          var skip_local = profiles.WrapSkip(1);
          var skip_local_wrapper = skip_local.WrapSelector(
             p => new SettingsProfile<T>(p.id, p.name, p.value.create(), p.security_criteria),
-            ns => new ProfileVM(ns.id, vm_factory(ns.value), ns.name, ns.security_criteria));
-         profiles.Add(_local_profile = new ProfileVM(0, vm_factory(init), "Custom", template_key: ShellSettingsDialog.LocalProfileItemTemplateKey));
+            ns => new ProfileVM(ns.id, vm_factory(ns.value), ns.name, ns.security_criteria, target_value: ns.value));
+         profiles.Add(_local_profile = new ProfileVM(0, vm_factory(init), "Custom", template_key: ShellSettingsDialog.LocalProfileItemTemplateKey, target_value: init));
          _selected_profile = backing(nameof(selected_profile), _local_profile);
          // dialog skirt items
          _apply_item = new DialogSkirtItem("Apply", new DelegateCommand(apply));
@@ -325,26 +325,37 @@ namespace mbts.spark {
          //
          SecurityCriteria _security_criteria;
          SettingsProfile<T> _committed, _last_result;
+         T _target_value;
          string _name, _template_key;
          bool _is_selected;
          IDisposable _dispose;
 
-         public ProfileVM(uint id, TVM value, string name, SecurityCriteria security_criteria = null, string template_key = null) {
+         public ProfileVM(uint id, TVM value, string name, SecurityCriteria security_criteria = null, string template_key = null, T target_value = null) {
             this.id = id;
             this.value = value;
             _name = name;
             _security_criteria = security_criteria;
             _template_key = template_key;
+            _target_value = target_value;
             _committed = _last_result = create();
             _is_dirty = backing(nameof(is_dirty), () => !_last_result.Equals(_committed));
             _refresh_is_dirty = new DeferrableActionWrapper(_is_dirty.refresh);
             var sub = value.Subscribe(v => {
                _last_result = _last_result.with(value: v);
                _refresh_is_dirty.execute();
+               _on_value_changed();
             });
             _dispose = value is IDisposable d ? Disposable.Create(sub, d) : sub;
          }
 
+         void _on_value_changed() {
+            if (_target_value != null && is_dirty && _last_result.value.Equals(_target_value)) {
+               _target_value = null;
+               _committed = _last_result;
+               _refresh_is_dirty.execute();
+            }
+         }
+
          public uint id { get; }
          public TVM value { get; }
          public string name {
@@ -380,21 +391,26 @@ namespace mbts.spark {
                /// assign directly to <see cref="_last_result"/>, to capture props that aren't visible in the dialog (i.e., props that are manipulated in the main window)
                _last_result = data;
             }
+            _on_value_changed();
          }
 
          public void load_value_from(T value) {
             using (_refresh_is_dirty.defer_execution())
                this.value.load_from(value);
+            _on_value_changed();
          }
 
          public void commit(SettingsProfile<T> data) {
             using (_refresh_is_dirty.defer_execution())
                _load_from(_committed = data);
+            _on_value_changed();
          }
 
          public void commit_current() {
             _committed = _last_result;
+            _target_value = _committed.value;
             _refresh_is_dirty.execute();
+            _on_value_changed();
          }
 
          public void revert() {
@@ -402,6 +418,7 @@ namespace mbts.spark {
                _load_from(_committed);
                _last_result = _committed;
             }
+            _on_value_changed();
          }
 
          public IObservable<bool> subscribe_is_dirty() => _is_dirty.observe_current(true);
@@ -414,6 +431,7 @@ namespace mbts.spark {
          public override string ToString() => _name;
 
          void _load_from(SettingsProfile<T> data) {
+            _target_value = data.value;
             name = data.name;
             security_criteria = data.security_criteria;
             value.load_from(data.value);

src/client/spark_api/Co2/MDConsumerHandle.cs

@@ -133,6 +133,12 @@ namespace mbts.co2 {
          total_volume = _cold->total_volume;
          return (_cold->last_trade.load_if_new(ref time, out ps));
       }
+      public bool get_last_trade(ref ulong time, out NativePriceSize ps, out DateTime timestamp, out ulong total_volume, out bool from_spread) {
+         timestamp = _cold->last_trade_time;
+         total_volume = _cold->total_volume;
+         from_spread = (_cold->from_spread != 0);
+         return (_cold->last_trade.load_if_new(ref time, out ps));
+      }      
       public ulong misc_timestamp { get { return _cold->misc_timestamp; } }
 
       public ulong total_volume { get { return _cold->total_volume; } }
@@ -259,7 +265,7 @@ namespace mbts.co2 {
          // Last trade
          public AtomicPriceSize last_trade;
          public ulong total_volume;
-         public utils.LLDateTime last_trade_time;
+         public utils.LLDateTime last_trade_time;         
 
          //// Settlement
          public UInt64 misc_timestamp;
@@ -280,6 +286,7 @@ namespace mbts.co2 {
          public double session_low_offer;
          public double fixing_price;
 
+         public int from_spread;
          public int deleted;
          // FixedSecurity will not be directly addressable.  Instead the security is available through the callback
          public Int64 security_size;

src/client/spark_test/Co2/Co2Tests.cs

@@ -142,7 +142,8 @@ namespace mbts.co2.tests
          Assert.IsTrue(entry.session_low_offer == 5.5);
          Assert.IsTrue(entry.fixing_price == 6.6);
 
-         Assert.IsTrue(entry.deleted == 1);
+         Assert.IsTrue(entry.from_spread == 0);
+         Assert.IsTrue(entry.deleted == 1);         
       }
 
       [Test]

src/client/spark_test/Utils/TestUtils.cs

@@ -85,6 +85,8 @@ namespace bts.tests.utils {
          if(timeout == null) {
             timeout = TimeSpan.FromMinutes(2);
          }
+         Console.WriteLine("Please Wait... this is going to take some time...");
+         await Task.Delay(180000);
 
          System.Diagnostics.Stopwatch sw = new System.Diagnostics.Stopwatch();
          sw.Start();

src/data_files/files/onixs_ice/ConnectivityConfiguration.APITest.xml

@@ -11,7 +11,6 @@
 -->
 <connectivityConfiguration>
     <!-- TCP Connection Information -->
-
     <tcp>
         <server name="default">
             <ip>63.247.113.163</ip>
@@ -19,7 +18,7 @@
             <userName>bluetrd-ps</userName>
             <password>Starts123</password>
             <getStripInfoMessages>N</getStripInfoMessages>
-            <strategyPreference>Legacy</strategyPreference>
+            <strategyPreference>New</strategyPreference>
             <localNetworkInterface></localNetworkInterface>
         </server>
         <server name="endex">
@@ -28,7 +27,7 @@
             <userName>Value from ICE Support</userName>
             <password>Value from ICE Support</password>
             <getStripInfoMessages>N</getStripInfoMessages>
-            <strategyPreference>Legacy</strategyPreference>
+            <strategyPreference>New</strategyPreference>
             <localNetworkInterface></localNetworkInterface>
         </server>
         <server name="liffe-eu">
@@ -37,7 +36,7 @@
             <userName>bluetrdl-ps</userName>
             <password>Starts123</password>
             <getStripInfoMessages>N</getStripInfoMessages>
-            <strategyPreference>Legacy</strategyPreference>
+            <strategyPreference>New</strategyPreference>
             <localNetworkInterface></localNetworkInterface>
         </server>
         <settings>

src/data_files/files/onixs_ice/ConnectivityConfiguration.PerfTest.xml

@@ -17,10 +17,10 @@
         <server name="default">
             <ip>63.247.113.214</ip>
             <port>3000</port>
-            <userName>Value from ICE Support</userName>
-            <password>Value from ICE Support</password>
+            <userName>bt_ps</userName>
+            <password>Starts123</password>
             <getStripInfoMessages>N</getStripInfoMessages>
-            <strategyPreference>Legacy</strategyPreference>
+            <strategyPreference>New</strategyPreference>
             <localNetworkInterface></localNetworkInterface>
         </server>
         <settings>

src/lib/CMakeDeps_win.cmake

@@ -1 +1 @@
-set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/HistoricalDataService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/UI.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/AuthSessionManager.cpp;utils/AuthToken.cpp;utils/Dispatcher.cpp;utils/GrowableSPSCQueue.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;utils/Puid.cpp;utils/SecureLogon.cpp;utils/SharedMemory.cpp;utils/Sqlite_utils.cpp;utils/Uuid.cpp;utils/crypto/CipherType.cpp;utils/crypto/CryptoInit.cpp;utils/crypto/Digest.cpp;utils/crypto/KeyCodeHelper.cpp;utils/cryLine truncated
+set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/AuthSessionManager.cpp;utils/AuthToken.cpp;utils/Dispatcher.cpp;utils/GrowableSPSCQueue.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;utils/Puid.cpp;utils/SecureLogon.cpp;utils/SharedMemory.cpp;utils/Sqlite_utils.cpp;utils/Uuid.cpp;utils/crypto/CipherType.cpp;utils/crypto/CryptoInit.cpp;utils/crypto/Digest.cpp;utils/crypto/KeyCodeHelper.cpp;utils/crypto/PasswordCallback.cpp;utils/crypto/PrivateKey.cpp;utils/cryptoLine truncated

src/lib/CMakeLists.txt

@@ -141,3 +141,4 @@ if (WIN32)
   include(${CMAKE_SOURCE_DIR}/tools/vs_filters.cmake)
 endif()
 
+ 

src/lib/api/service_helpers/AdminServiceUtils.cpp

@@ -42,12 +42,15 @@ bool AdminServiceUtils::has_exchange(const ExchangeConnection& conn,
       break;
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_SIM:
+   case api::Venue::VENUE_SIMICE:
       rv = conn.has_sim_connection();
+      break;      
+   case api::Venue::VENUE_ICE:
+      rv = conn.has_ice_connection();
       break;
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
    case api::Venue::VENUE_CBOECFE:
-   case api::Venue::VENUE_ICE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
    case api::Venue::Venue_INT_MAX_SENTINEL_DO_NOT_USE_:
       rv = false;
@@ -84,6 +87,23 @@ AdminServiceUtils::resolve_cme_connection(const bts::api::admin::AdminData& data
    return nullptr;                                                               
 }
 
+const bts::api::admin::ExchangeConnection*
+AdminServiceUtils::resolve_ice_connection(const bts::api::admin::AdminData& data,
+                                          const bts::api::admin::BTSAccount& account,
+                                          const bts::api::Security&)
+{
+   if(account.has_connections())
+   {
+      for (const std::string& conn_name : account.connections().exchange_connection_names())
+      {
+         const bts::api::admin::ExchangeConnection* conn = find_connection(data, conn_name);
+         if (conn!=nullptr && conn->has_ice_connection())
+            return conn;  
+      }
+   }
+   return nullptr;                                                               
+}
+
 const bts::api::admin::ExchangeConnection*
 AdminServiceUtils::resolve_sim_connection(const bts::api::admin::AdminData& data,
                                           const bts::api::admin::BTSAccount& account,
@@ -112,14 +132,22 @@ AdminServiceUtils::resolve_connection(const bts::api::admin::AdminData& data,
          rv = resolve_sim_connection(data, account, sec);
       break;
    }
+   case api::Venue::VENUE_ICE: 
+   {      
+      rv = resolve_ice_connection(data, account, sec);
+      auto deployment_type = boost::to_lower_copy(config::get<config::DeploymentType>().type());
+      if (rv == nullptr && (deployment_type == "dev" || deployment_type == "demo"))
+         rv = resolve_sim_connection(data, account, sec);
+      break;
+   }   
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_SIM:
+   case api::Venue::VENUE_SIMICE:
       rv = resolve_sim_connection(data, account, sec);
       break;
    case api::Venue::VENUE_CBOE:
    case api::Venue::VENUE_CBOECFE:      
-   case api::Venue::VENUE_ICE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
       case api::Venue::Venue_INT_MAX_SENTINEL_DO_NOT_USE_:
       rv = nullptr;
@@ -156,9 +184,15 @@ void AdminServiceUtils::fill_connections_from_config(bts::api::admin::AdminData&
       case config::JetFIX::Connection::CBOE:
          break;
       case config::JetFIX::Connection::SIM:
+      case config::JetFIX::Connection::SIMICE:
          connection.mutable_sim_connection();
          add_connection(admin_data,connection);
          break;
+      case config::JetFIX::Connection::ICE:
+         connection.mutable_ice_connection()->set_sender_compid(c.sender_compid());
+         add_connection(admin_data,connection);
+         break;
+         
       }
    }
    for(int i=0;i<admin_data.accounts_size();i++)
@@ -240,6 +274,18 @@ const bts::api::admin::CMEAccountData* AdminServiceUtils::get_account_cme_data(c
    return nullptr;
 }
 
+const bts::api::admin::ICEAccountData* AdminServiceUtils::get_account_ice_data(const bts::api::admin::BTSAccount& account, 
+                                                                               const bts::api::admin::AdminData& data){
+   if (account.has_exchange_account_data() && account.exchange_account_data().has_ice_account_data())
+      return &(account.exchange_account_data().ice_account_data());
+   else if (has_id(account.parent_account_id())){
+      const bts::api::admin::BTSAccount* parent_account = find_account(data, account.parent_account_id());
+      if (parent_account != nullptr)
+         return get_account_ice_data (*parent_account, data);
+   }
+   return nullptr;
+}
+
 const bts::api::admin::SIMAccountData* AdminServiceUtils::get_account_sim_data(const bts::api::admin::BTSAccount& account, 
                                                                                const bts::api::admin::AdminData& data){
    if (account.has_exchange_account_data() && account.exchange_account_data().has_sim_account_data())
@@ -275,7 +321,16 @@ std::string AdminServiceUtils::find_account_exchange_account (const bts::api::ad
          rv = cme_account_data->clearing_account();
       break;
    }
-   case api::Venue::VENUE_SIM: {
+   case api::Venue::VENUE_ICE:
+   {
+      auto ice_account_data = get_account_ice_data(account, data);
+      if (ice_account_data != nullptr)
+         rv = ice_account_data->clearing_account();
+      break;      
+   }
+   case api::Venue::VENUE_SIM: 
+   case api::Venue::VENUE_SIMICE:
+   {
       auto sim_account_data = get_account_sim_data(account, data);
       if (sim_account_data != nullptr)
          rv = sim_account_data->clearing_account();
@@ -284,8 +339,7 @@ std::string AdminServiceUtils::find_account_exchange_account (const bts::api::ad
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
-   case api::Venue::VENUE_CBOECFE:      
-   case api::Venue::VENUE_ICE:
+   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_:      
       out_result.set_is_success(false); out_result.set_error_text("Exchange not supported");
@@ -385,6 +439,46 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(const bt
       return rv;
    }
    switch (sec.exchange()) {
+   case api::Venue::VENUE_ICE:
+   {
+      const bts::api::admin::ICEUserData* ice_user_data = get_user_ice_data(*user_ptr, data);
+      if(ice_user_data==nullptr)
+      {
+        out_result.set_is_success(false);
+        out_result.set_error_text("Could not find ICE data for user");
+        return rv;
+      }     
+      const bts::api::admin::ICEAccountData* ice_account_data = get_account_ice_data(*account_ptr, data);
+      if(ice_account_data==nullptr)
+      {
+         out_result.set_is_success(false);
+         out_result.set_error_text("Could not find ICE data for account");
+         return rv;
+      }        
+      // check for data corectness
+      if (ice_user_data->operator_id().length() == 0)
+      {
+         out_result.set_is_success(false);
+         out_result.set_error_text("Operator ID is not set");
+         return rv;
+      }
+
+      rv.set_session(conn_ptr->name());
+      rv.set_sender_compid(conn_ptr->ice_connection().sender_compid());
+      rv.set_account(ice_account_data->clearing_account());
+      rv.set_operator_id(ice_user_data->operator_id());   
+      rv.set_cti_code(ice_account_data->cti());
+      rv.set_customer_or_firm(ice_account_data->origin());
+      rv.set_clearing_firm(ice_account_data->clearing_firm());
+      rv.set_customer_account_ref_id(ice_account_data->customer_account_ref_id());
+      rv.set_account_code(ice_account_data->account_code());
+      rv.set_company_id(std::to_string(ice_user_data->company_id()));
+      rv.set_authorized_trader(ice_user_data->authorized_trader());
+      rv.set_authorized_group(ice_user_data->authorized_group());      
+      rv.set_cust_order_handing_inst(ice_user_data->cust_order_handing_inst());
+      
+      return rv;             
+   }
    case bts::api::Venue::VENUE_GLBX: {
      const bts::api::admin::CMEUserData* cme_user_data = get_user_cme_data(*user_ptr, data);
      if(cme_user_data==nullptr){
@@ -435,7 +529,9 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(const bt
      rv.set_customer_or_firm(cme_account_data->origin());
      return rv;
    }
-   case api::Venue::VENUE_SIM: {
+   case api::Venue::VENUE_SIM: 
+   case api::Venue::VENUE_SIMICE: 
+   {
      const bts::api::admin::SIMUserData* sim_user_data = get_user_sim_data(*user_ptr, data);
      if(sim_user_data==nullptr){
         out_result.set_is_success(false);
@@ -481,8 +577,7 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(const bt
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
-   case api::Venue::VENUE_CBOECFE:
-   case api::Venue::VENUE_ICE:
+   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_:
       out_result.set_is_success(false);
@@ -629,6 +724,18 @@ const bts::api::admin::CMEUserData* AdminServiceUtils::get_group_cme_data(const
    return nullptr;
 }
 
+const bts::api::admin::ICEUserData* AdminServiceUtils::get_group_ice_data(const bts::api::admin::BTSUserGroup& group,
+                                                                          const bts::api::admin::AdminData& data){
+   if (group.has_user_data() && group.user_data().has_exchange_user_data() && group.user_data().exchange_user_data().has_ice_data())
+      return &(group.user_data().exchange_user_data().ice_data());
+   else if (has_id(group.parent_group_id())){
+      const bts::api::admin::BTSUserGroup* parent_group = find_group(data, group.parent_group_id());
+      if (parent_group != nullptr)
+         return get_group_ice_data(*parent_group, data);
+   }
+   return nullptr;
+}
+
 const bts::api::admin::SIMUserData* AdminServiceUtils::get_group_sim_data(const bts::api::admin::BTSUserGroup& group,
                                                                           const bts::api::admin::AdminData& data){
    if (group.has_user_data() && group.user_data().has_exchange_user_data() && group.user_data().exchange_user_data().has_sim_data())
@@ -759,6 +866,18 @@ const bts::api::admin::CMEUserData* AdminServiceUtils::get_user_cme_data(const b
    return nullptr;
 }
 
+const bts::api::admin::ICEUserData* AdminServiceUtils::get_user_ice_data(const bts::api::admin::BTSUser& user, 
+                                                                         const bts::api::admin::AdminData& data){
+   if (user.has_user_data() && user.user_data().has_exchange_user_data() && user.user_data().exchange_user_data().has_ice_data())
+      return &(user.user_data().exchange_user_data().ice_data());
+   else{
+      const bts::api::admin::BTSUserGroup* parent_group = find_group(data, user.parent_group_id());
+         if (parent_group != nullptr)
+            return get_group_ice_data(*parent_group, data);
+   }
+   return nullptr;
+}
+
 const bts::api::admin::SIMUserData* AdminServiceUtils::get_user_sim_data(const bts::api::admin::BTSUser& user, 
                                                                          const bts::api::admin::AdminData& data){
    if (user.has_user_data() && user.user_data().has_exchange_user_data() && user.user_data().exchange_user_data().has_sim_data())
@@ -786,7 +905,16 @@ std::string AdminServiceUtils::find_user_exchange_id (const bts::api::admin::Adm
          rv = cme_user_data->operator_id();
       break;
    }
-   case api::Venue::VENUE_SIM: {
+   case api::Venue::VENUE_ICE:
+   {
+      auto ice_user_data = get_user_ice_data(user, data);
+      if (ice_user_data != nullptr)
+         rv = ice_user_data->operator_id();
+      break;      
+   }
+   case api::Venue::VENUE_SIM: 
+   case api::Venue::VENUE_SIMICE:
+   {
       auto sim_user_data = get_user_sim_data(user, data);
       if (sim_user_data != nullptr)
          rv = sim_user_data->operator_id();
@@ -796,8 +924,7 @@ std::string AdminServiceUtils::find_user_exchange_id (const bts::api::admin::Adm
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
-   case api::Venue::VENUE_CBOECFE:      
-   case api::Venue::VENUE_ICE:
+   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_:      
       out_result.set_is_success(false); out_result.set_error_text("Exchange not supported");
@@ -805,6 +932,38 @@ std::string AdminServiceUtils::find_user_exchange_id (const bts::api::admin::Adm
    }
    return rv;
 }
+
+std::string AdminServiceUtils::find_user_company_id (const bts::api::admin::AdminData& data,
+                                                     const bts::api::admin::BTSUser& user,
+                                                     api::Venue exchange,
+                                                     bts::api::admin::AdminServiceOperationResult& out_result)
+{
+   out_result.set_is_success(true);
+   std::string rv = "";
+   switch(exchange)
+   {
+   case api::Venue::VENUE_ICE:
+   {
+      auto ice_user_data = get_user_ice_data(user, data);
+      if (ice_user_data != nullptr)
+         rv = std::to_string(ice_user_data->company_id());
+      break;      
+   }
+   case api::Venue::VENUE_SIM: 
+   case api::Venue::VENUE_SIMICE:
+   case api::Venue::VENUE_GLBX:
+   case api::Venue::VENUE_UNSET:
+   case api::Venue::VENUE_BTS:
+   case api::Venue::VENUE_CBOE:
+   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_:      
+      out_result.set_is_success(false); out_result.set_error_text("Exchange not supported");
+      break;
+   }
+   return rv;
+}
+
 std::pair<const bts::api::admin::BTSAccount*, const bts::api::admin::BTSUser*>
 AdminServiceUtils::find_user_account_matches (const bts::api::admin::AdminData& admin_data,
                                               const std::string& connection, const std::string& exchange_account,
@@ -815,14 +974,22 @@ AdminServiceUtils::find_user_account_matches (const bts::api::admin::AdminData&
    auto user_ptrs = users(admin_data, false);
    for(const bts::api::admin::BTSAccount* account_ptr : account_ptrs){
       if (account_has_connection(*account_ptr, connection)){
-         if (boost::algorithm::iequals(exchange_account,
-                                       find_account_exchange_account(admin_data,*account_ptr,exchange,find_account_result)) &&
-                            find_account_result.is_success()){
-            for(const bts::api::admin::BTSUser* user_ptr : user_ptrs){
-               if (boost::algorithm::iequals(exchange_user,
-                                             find_user_exchange_id(admin_data,*user_ptr,exchange,find_user_result)) &&
+         if (boost::algorithm::iequals(exchange_account, find_account_exchange_account(admin_data,*account_ptr,exchange,find_account_result)) &&
+                                       find_account_result.is_success())
+         {
+            for(const bts::api::admin::BTSUser* user_ptr : user_ptrs)
+            {
+               if (boost::algorithm::iequals(exchange_user,find_user_exchange_id(admin_data,*user_ptr,exchange,find_user_result)) &&
                    find_user_result.is_success())
                   return std::pair<const bts::api::admin::BTSAccount*, const bts::api::admin::BTSUser*>(account_ptr,user_ptr);
+                  
+               //This code eventually gets called by get_reverse_routing_record(...)
+               //At the ice, they send back the login level tag50 in exec reports which doesn't match any user level tag50s in the exchange_user
+               //so instead we look for the CompanyID (or client_id, tag 109) field here.  If this field matches we have a good bet that 
+               //the user we find is enough to fulfill the routing record enough to cancel or modify orphaned orders, etc
+               if (boost::algorithm::iequals(exchange_user,find_user_company_id(admin_data,*user_ptr,exchange,find_user_result)) &&
+                   find_user_result.is_success())
+                  return std::pair<const bts::api::admin::BTSAccount*, const bts::api::admin::BTSUser*>(account_ptr,user_ptr);                  
             }
          }
       }
@@ -1045,13 +1212,6 @@ void AdminServiceUtils::set_user_exchange_data(bts::api::admin::BTSUser* user,
    if (!user->user_data().has_exchange_user_data())
       user->mutable_user_data()->mutable_exchange_user_data()->CopyFrom(exchange_user_data);
 }
-void AdminServiceUtils::set_user_md_entitlement_data(bts::api::admin::BTSUser* user,
-                                                     const bts::api::admin::ExchangeUserMarketDataEntitlementData& exchange_user_md_entitelemnt_data){
-   if (!user->has_user_data())
-      user->mutable_user_data();
-   if (!user->user_data().has_exchange_md_entitlement_data())
-      user->mutable_user_data()->mutable_exchange_md_entitlement_data()->CopyFrom(exchange_user_md_entitelemnt_data);
-}
 void AdminServiceUtils::clear_user_accounts (bts::api::admin::BTSUser* user){
    if(user->has_user_data() && user->user_data().has_account_permissions())
       user->mutable_user_data()->clear_account_permissions();
@@ -1296,6 +1456,7 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    auto account_1 = create_account(data, parent_account->id(), std::string("ACC A1"), std::string("description"), true, account_result); account_1->set_is_active(true);      
    auto account_2 = create_account(data, parent_account->id(), std::string("ACC A2"), std::string("description"), true, account_result); account_2->set_is_active(true);
    auto account_3 = create_account(data, parent_account->id(), std::string("ACC A3"), std::string("description"), true, account_result); account_3->set_is_active(true);
+   auto account_4 = create_account(data, parent_account->id(), std::string("BLUETST"), std::string("description"), true, account_result); account_4->set_is_active(true);
    create_account(data, parent_account->id(), std::string("ACC A4"), std::string("description"), true, account_result);
    // add group
    auto def_group = create_group(data, 0, std::string("default"), result);
@@ -1307,7 +1468,6 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    auto user_3 = create_user(data, def_group->id(), std::string("bts_3"), std::string("bts_3"), empty, empty, false, license_data, license_entitlements, user_result); user_3->set_is_active(true);
    //associate users
    bts::api::admin::UserAccountPermissionUnit permission_unit;
-   permission_unit.mutable_trading_permission()->set_submit_market_orders(true);
    permission_unit.mutable_trading_permission()->set_has_permissions(true);
    permission_unit.mutable_admin_permission()->set_has_permissions(true);
    bts::api::admin::UserAccountPermissions account_permissions;
@@ -1315,6 +1475,7 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    account_permissions.mutable_account_permissions()->insert(google::protobuf::MapPair<uint32_t, bts::api::admin::UserAccountPermissionUnit>(account_1->id(), permission_unit));
    account_permissions.mutable_account_permissions()->insert(google::protobuf::MapPair<uint32_t, bts::api::admin::UserAccountPermissionUnit>(account_2->id(), permission_unit));
    account_permissions.mutable_account_permissions()->insert(google::protobuf::MapPair<uint32_t, bts::api::admin::UserAccountPermissionUnit>(account_3->id(), permission_unit));      
+   account_permissions.mutable_account_permissions()->insert(google::protobuf::MapPair<uint32_t, bts::api::admin::UserAccountPermissionUnit>(account_4->id(), permission_unit));      
    set_user_accounts(user_1, account_permissions);
    set_user_accounts(user_2, account_permissions);
    set_user_accounts(user_3, account_permissions);
@@ -1324,6 +1485,12 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    exchange_account_data.mutable_cme_account_data()->set_cti(bts::api::orderman::CTICode::CTI_CODE_CTI_CODE1);
    exchange_account_data.mutable_cme_account_data()->set_origin(bts::api::orderman::CustomerOrFirm::CUSTOMER_OR_FIRM_FIRM);
    exchange_account_data.mutable_cme_account_data()->set_clearing_account(parent_account->name());
+   
+   exchange_account_data.mutable_ice_account_data()->set_cti(bts::api::orderman::CTICode::CTI_CODE_UNDEFINED);
+   exchange_account_data.mutable_ice_account_data()->set_origin(bts::api::orderman::CustomerOrFirm::CUSTOMER_OR_FIRM_FIRM);
+   exchange_account_data.mutable_ice_account_data()->set_clearing_account(parent_account->name());
+   exchange_account_data.mutable_ice_account_data()->set_clearing_firm("649");
+   
    exchange_account_data.mutable_sim_account_data()->set_cti(bts::api::orderman::CTICode::CTI_CODE_CTI_CODE1);
    exchange_account_data.mutable_sim_account_data()->set_origin(bts::api::orderman::CustomerOrFirm::CUSTOMER_OR_FIRM_FIRM);
    exchange_account_data.mutable_sim_account_data()->set_clearing_account(parent_account->name());
@@ -1331,33 +1498,87 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
 
 
    exchange_account_data.mutable_cme_account_data()->set_clearing_account(account_1->name());
+   exchange_account_data.mutable_ice_account_data()->set_clearing_account(account_1->name());
    exchange_account_data.mutable_sim_account_data()->set_clearing_account(account_1->name());
    set_account_exchange_data(account_1, exchange_account_data);
 
    exchange_account_data.mutable_cme_account_data()->set_clearing_account(account_2->name());
+   exchange_account_data.mutable_ice_account_data()->set_clearing_account(account_2->name());
    exchange_account_data.mutable_sim_account_data()->set_clearing_account(account_2->name());
    set_account_exchange_data(account_2, exchange_account_data);
    
    exchange_account_data.mutable_cme_account_data()->set_clearing_account(account_3->name());
+   exchange_account_data.mutable_ice_account_data()->set_clearing_account(account_3->name());
    exchange_account_data.mutable_sim_account_data()->set_clearing_account(account_3->name());
    set_account_exchange_data(account_3, exchange_account_data);
 
+   exchange_account_data.mutable_ice_account_data()->set_clearing_account(account_4->name());
+   set_account_exchange_data(account_4, exchange_account_data);
+   
+
    // add cme and sim user data
    bts::api::admin::ExchangeUserData exchange_user_data;
    exchange_user_data.mutable_cme_data()->set_operator_id("op_id_" + user_1->name());
    exchange_user_data.mutable_cme_data()->set_location("us,nc");
+   
+   exchange_user_data.mutable_ice_data()->set_operator_id("op_id_" + user_1->name());
+   exchange_user_data.mutable_ice_data()->set_company_id(51251);
+   exchange_user_data.mutable_ice_data()->set_authorized_trader("bluetrd-fx");
+   exchange_user_data.mutable_ice_data()->set_authorized_group("Group");
+   exchange_user_data.mutable_ice_data()->set_password("Starts123");
+   exchange_user_data.mutable_ice_data()->set_mifid_direct_electronic_access(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_trading_capacity(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_liquidity_provision(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_commodity_deriv_indicator(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_investment_decision(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_execution_decision(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_client_id_code(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_id(1);
+      
    exchange_user_data.mutable_sim_data()->set_operator_id("op_id_" + user_1->name());
    exchange_user_data.mutable_sim_data()->set_location("us,nc");
    set_user_exchange_data(user_1, exchange_user_data);
 
    exchange_user_data.mutable_cme_data()->set_operator_id("op_id_" + user_2->name());
    exchange_user_data.mutable_cme_data()->set_location("us,nc");
+   
+   exchange_user_data.mutable_ice_data()->set_operator_id("op_id_" + user_2->name());
+   exchange_user_data.mutable_ice_data()->set_company_id(51251);
+   exchange_user_data.mutable_ice_data()->set_authorized_trader("bluetrd-fx");
+   exchange_user_data.mutable_ice_data()->set_authorized_group("Group");
+   exchange_user_data.mutable_ice_data()->set_password("Starts123");
+   exchange_user_data.mutable_ice_data()->set_mifid_direct_electronic_access(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_trading_capacity(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_liquidity_provision(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_commodity_deriv_indicator(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_investment_decision(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_execution_decision(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_client_id_code(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_id(1);
+   
+   
    exchange_user_data.mutable_sim_data()->set_operator_id("op_id_" + user_2->name());
    exchange_user_data.mutable_sim_data()->set_location("us,nc");
    set_user_exchange_data(user_2, exchange_user_data);
 
    exchange_user_data.mutable_cme_data()->set_operator_id("op_id_" + user_3->name());
    exchange_user_data.mutable_cme_data()->set_location("us,nc");
+   
+   exchange_user_data.mutable_ice_data()->set_operator_id("op_id_" + user_3->name());
+   exchange_user_data.mutable_ice_data()->set_company_id(51251);
+   exchange_user_data.mutable_ice_data()->set_authorized_trader("bluetrd-fx");
+   exchange_user_data.mutable_ice_data()->set_authorized_group("Group");
+   exchange_user_data.mutable_ice_data()->set_password("Starts123");
+   exchange_user_data.mutable_ice_data()->set_mifid_direct_electronic_access(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_trading_capacity(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_liquidity_provision(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_commodity_deriv_indicator(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_investment_decision(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_execution_decision(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_client_id_code(-1);
+   exchange_user_data.mutable_ice_data()->set_mifid_id(1);
+   
+   
    exchange_user_data.mutable_sim_data()->set_operator_id("op_id_" + user_3->name());
    exchange_user_data.mutable_sim_data()->set_location("us,nc");
    set_user_exchange_data(user_3, exchange_user_data);
@@ -1399,6 +1620,13 @@ void AdminServiceUtils::bootstrap_data (bts::api::admin::AdminData& data){
    add_security_clip_sizes_to_account(account_1, api::Venue::VENUE_GLBX, api::SecurityType::SECURITYTYPE_SPREAD,100);
    add_security_clip_sizes_to_account(account_1, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_FUTURE,100);
    add_security_clip_sizes_to_account(account_1, api::Venue::VENUE_SIM, api::SecurityType::SECURITYTYPE_SPREAD,100);
+
+   //ICE limits   
+   add_product_position_limits(account_4, api::Venue::VENUE_ICE, api::SecurityType::SECURITYTYPE_FUTURE,50000);
+   add_product_position_limits(account_4, api::Venue::VENUE_ICE, api::SecurityType::SECURITYTYPE_SPREAD,50000);
+   add_security_clip_sizes_to_account(account_4, api::Venue::VENUE_ICE, api::SecurityType::SECURITYTYPE_FUTURE,50);
+   add_security_clip_sizes_to_account(account_4, api::Venue::VENUE_ICE, api::SecurityType::SECURITYTYPE_SPREAD,50);
+   
 }
 bool AdminServiceUtils::has_id (uint32_t id){return id>0;}
 bool AdminServiceUtils::is_symbol_set (const std::string& symbol){

src/lib/api/service_helpers/AdminServiceUtils.h

@@ -35,6 +35,10 @@ public:
                                                    const AdminData& data,
                                                    const BTSAccount& account,
                                                    const api::Security& sec);
+   static const ExchangeConnection* resolve_ice_connection(
+                                                   const AdminData& data,
+                                                   const BTSAccount& account,
+                                                   const api::Security& sec);                                                   
    static const ExchangeConnection* resolve_sim_connection(
                                                    const AdminData& data,
                                                    const BTSAccount& account,
@@ -85,6 +89,8 @@ public:
    // if needed)
    static const CMEAccountData* get_account_cme_data(const BTSAccount& account,
                                                      const AdminData& data);
+   static const ICEAccountData* get_account_ice_data(const BTSAccount& account,
+                                                     const AdminData& data);                                                     
    static const SIMAccountData* get_account_sim_data(const BTSAccount& account,
                                                      const AdminData& data);
    // returns true if an account has a connection  
@@ -156,6 +162,8 @@ public:
    // travels up the group tree until it finds a populated cme data 
    static const CMEUserData* get_group_cme_data(const BTSUserGroup& group,
                                                 const AdminData& data);
+   static const ICEUserData* get_group_ice_data(const BTSUserGroup& group,
+                                                const AdminData& data);                                                
    static const SIMUserData* get_group_sim_data(const BTSUserGroup& group, 
                                                 const AdminData& data);
    static const UserAccountPermissions* const get_group_user_permissions (
@@ -190,6 +198,8 @@ public:
    static uint32_t find_max_user_id (const AdminData& data);
    static const CMEUserData* get_user_cme_data(const BTSUser& user, 
                                                const AdminData& data);
+   static const ICEUserData* get_user_ice_data(const BTSUser& user, 
+                                               const AdminData& data);                                               
    static const SIMUserData* get_user_sim_data(const BTSUser& user, 
                                                const AdminData& data);
    // finds the "exchange user" (ex: "operator_id" at CME or "authorized_trader" 
@@ -199,6 +209,12 @@ public:
                                     const BTSUser& user,
                                     api::Venue exchange,
                                     AdminServiceOperationResult& out_result);
+   static std::string find_user_company_id (
+                                    const AdminData& data,
+                                    const BTSUser& user,
+                                    api::Venue exchange,
+                                    AdminServiceOperationResult& out_result);
+                                    
    static std::pair<const BTSAccount*, const BTSUser*>
    find_user_account_matches (const AdminData& admin_data,
                               const std::string& connection,
@@ -264,8 +280,6 @@ public:
    static void set_user_exchange_data(
                                  BTSUser* user,
                                  const ExchangeUserData& exchange_user_data);
-   static void set_user_md_entitlement_data(BTSUser* user,
-                                 const ExchangeUserMarketDataEntitlementData&);
    static void clear_user_accounts (BTSUser* user);
    static void set_user_accounts (BTSUser* user,
                      const UserAccountPermissions& user_account_permissions);

src/lib/api/services/AdminService.proto

@@ -55,11 +55,12 @@ message BTSUser{
    string name = 30;
    string password = 40;
    string full_name = 42;
-   string company = 44;   
+   string company = 44;
    bool is_active = 50;
    bool can_create = 55;
-   LicenseData license_data = 60; //unused
-   LicenseEntitlements license_entitlements = 70; //unused
+   LicenseData license_data = 60;
+   LicenseEntitlements license_entitlements = 70;
+
    BTSUserDerivableData user_data = 80;
 }
 
@@ -76,7 +77,7 @@ message BTSUserDerivableData{
    // b. else its overridden at the user level
    UserAccountPermissions account_permissions = 70;
    ExchangeUserData exchange_user_data = 80;
-   ExchangeUserMarketDataEntitlementData exchange_md_entitlement_data = 90;
+   reserved 90; reserved "exchange_md_entitlement_data"; //ExchangeUserMarketDataEntitlementData exchange_md_entitlement_data = 90;
 }
 
 message LicenseData{
@@ -91,21 +92,22 @@ message LicenseEntitlements{
    bool spreader = 30;
 }
 
-message AlgoTradingPermissionsUnit{
-   bool submit_iceberg_orders = 10; //unused
-   bool submit_time_box_orders = 20; //unused
-   bool submit_spreader_orders = 30; //unused
-}
+// message AlgoTradingPermissionsUnit{
+//    bool submit_iceberg_orders = 10; //unused
+//    bool submit_time_box_orders = 20; //unused
+//    bool submit_spreader_orders = 30; //unused
+// }
 
 message TradingPermissionUnit{
+   reserved 10; reserved "submit_market_orders"; //bool submit_market_orders = 10; //unused
+   reserved 20; reserved "submit_gtc_orders"; //bool submit_gtc_orders = 20; //unused
+   reserved 30; reserved "algo_trading_permission"; //AlgoTradingPermissionsUnit algo_trading_permission = 30; //unused
+
    bool has_permissions = 5;
-   bool submit_market_orders = 10; //unused
-   bool submit_gtc_orders = 20; //unused  
-   AlgoTradingPermissionsUnit algo_trading_permission = 30; //unused
 }
 
 message AdminPermissionUnit{
-   // TODO: needs to be more ellaborate (account writing, 
+   // TODO: needs to be more ellaborate (account writing,
    // reading etc, routing etc)
    bool has_permissions = 10;
    bool has_md_permissions = 20;
@@ -119,15 +121,15 @@ message UserAccountPermissionUnit{
 
 message UserAccountPermissions{
    //uint32 = account_id
-   map<uint32, UserAccountPermissionUnit> account_permissions = 10;   
+   map<uint32, UserAccountPermissionUnit> account_permissions = 10;
 }
 
-// unused now
-message UserSecurityTradingLimit{
-   SecurityScope security = 10;
-   uint32 clip_size = 20;
-   bool can_trade = 30;   
-}
+// // unused now
+// message UserSecurityTradingLimit{
+//    SecurityScope security = 10;
+//    uint32 clip_size = 20;
+//    bool can_trade = 30;
+// }
 
 /************************************************************************/
 /********************************BTS Account*****************************/
@@ -152,7 +154,7 @@ message BTSAccount{
    AccountLossLimit account_loss_limit = 130;
 }
 
-message RiskLimitEnforcement{   
+message RiskLimitEnforcement{
    bool product_limit_in_net_terms = 10;
 }
 
@@ -203,23 +205,22 @@ message AccountLossLimit{
 message CMEMicData{
    api.CMEMics mic=10;
    bool enabled=20;
-   // there are other things here   
+   // there are other things here
 }
 
 message ICEMicData{
-   api.CMEMics mic=10;
+   api.ICEMics mic=10;
    bool enabled=20;
 }
 
-message ExchangeUserMarketDataEntitlementData{
-   CMEUserMarketDataEntitlementData cme_data = 10;
-   ICEUserMarketDataEntitlementData ice_data = 20;
-}
 
 message ExchangeUserData{
    CMEUserData cme_data = 10;
    ICEUserData ice_data = 20;
    SIMUserData sim_data = 30;
+
+   enum AdminDisplay { All = 0; MD = 1; Routing = 2; None = 100; }
+   AdminDisplay admin_display_flag = 120;
 }
 
 message ExchangeAccountData{
@@ -228,9 +229,6 @@ message ExchangeAccountData{
    SIMAccountData sim_account_data = 30;
 }
 
-message MarketDataEntitlement{
-   bool can_view = 10;
-}
 
 message ExchangeConnection{
    uint32 id = 10;
@@ -273,19 +271,19 @@ message CMEMSGWConnection{
    uint32 market_segment_id = 60;
 }
 
-message CMEAccountData{
-   // should perhaps be an enum
+message CMEAccountData {
+   reserved 30; reserved "takeup_member_code"; //string takeup_member_code = 30;
+   reserved 50; reserved "direct_electronic_access"; //string direct_electronic_access = 50;
+   reserved 60; reserved "trading_capacity"; //string trading_capacity = 60;
+   reserved 70; reserved "liquidity_provision"; //string liquidity_provision = 70;
+   reserved 80; reserved "commodity_derivative_indicator"; //string commodity_derivative_indicator = 80;
+   reserved 90; reserved "investment_decision_id"; //string investment_decision_id = 90;
+   reserved 100; reserved "execution_decision_id"; //string execution_decision_id = 100;
+   reserved 110; reserved "client_id"; //string client_id = 110;
+
    api.orderman.CTICode cti = 10;
    api.orderman.CustomerOrFirm origin = 20;
-   string takeup_member_code = 30;
    string clearing_account = 40;
-   string direct_electronic_access = 50;
-   string trading_capacity = 60;
-   string liquidity_provision = 70;
-   string commodity_derivative_indicator = 80;
-   string investment_decision_id = 90;
-   string execution_decision_id = 100;
-   string client_id = 110;
    map<string, string> misc_tags = 120;
 }
 
@@ -308,21 +306,22 @@ enum DisplayDesignation
 }
 
 message CMEUserData{
+   reserved 20; reserved "ats_operator_id"; //string ats_operator_id = 20;
+   reserved 40; reserved "text_a"; //string text_a = 40;
+   reserved 50; reserved "text_b"; //string text_b = 50;
+   reserved 80; reserved "max_order_rate_per_connection"; //string max_order_rate_per_connection = 80;
+   //enum AdminDisplay { All = 0; MD = 1; Routing = 2; None = 100; }
+   reserved 120; reserved "admin_display_flag"; //AdminDisplay admin_display_flag = 120;
+   repeated CMEMicData md_permissions = 1000;
+
    string operator_id = 10;
-   string ats_operator_id = 20;
    string smp_id = 30;
-   string text_a = 40;
-   string text_b = 50;
    map<string, string> misc_tags = 60;
    string smp_instruction = 70;
-   string max_order_rate_per_connection = 80;
+
    string location = 90;
    ProfessionalDesignation pro_nonpro = 100;
    DisplayDesignation display_nondisplay = 110;
-   
-   enum AdminDisplay { All = 0; MD = 1; Routing = 2; None = 100; } 
-   AdminDisplay admin_display_flag = 120; 
-   repeated CMEMicData md_permissions = 1000;
 }
 
 message SIMUserData {
@@ -330,58 +329,67 @@ message SIMUserData {
    string location = 90;
 }
 
-message CMEUserMarketDataEntitlementData{
-   MarketDataEntitlement cbot_entitlement = 10;
-   MarketDataEntitlement cme_entitlement = 20;
-   MarketDataEntitlement nymex_entitlement = 30;
-   MarketDataEntitlement bmandf_entitlement = 40;
-   MarketDataEntitlement comex_entitlement = 50;
-   MarketDataEntitlement cme_europe_entitlement = 60;
-}
-
 /********************************ICE Data*********************************/
 
-message ICEConnection{
-   string authorized_member_id = 10;
-   string sender_company_id = 20;
-   string sender_sub_id = 30;
-   string session_id = 40;
-   string session_password = 50;
-   string host_ip = 60;
-   string port = 70;
-   string default_routing_trader = 80;
-   string routing_trader_password = 90;
-   int32 max_order_rate = 100;
+message ICEConnection {
+   string sender_compid = 10;
 }
 
-message ICEAccountData{
-   string nybit_house = 10;
-   int32 wce_house = 20;
-   string clearing_account_override = 30;
-   bool direct_electronic_access = 40;
-   string trading_capacity = 50;
-   bool liquidity_provision = 60;
-   bool commodity_derivative_indicator = 70;
-   string investment_decision_id = 80;
-   string execution_decision_id = 90;
-   string client_id = 100;
-   string mfid_id = 110;
+message ICEAccountData {
+   reserved 10; reserved "nybit_house"; //string nybit_house = 10;
+   reserved 20; reserved "wce_house"; //int32 wce_house = 20;
+   reserved 30; reserved "clearing_account_override"; //string clearing_account_override = 30;
+   reserved 40; reserved "direct_electronic_access"; //bool direct_electronic_access = 40;
+   reserved 50; reserved "trading_capacity"; //string trading_capacity = 50;
+   reserved 60; reserved "liquidity_provision"; //bool liquidity_provision = 60;
+   reserved 70; reserved "commodity_derivative_indicator"; //bool commodity_derivative_indicator = 70;
+   reserved 80; reserved "investment_decision_id"; //string investment_decision_id = 80;
+   reserved 90; reserved "execution_decision_id"; //string execution_decision_id = 90;
+   reserved 100; reserved "client_id"; //string client_id = 100;
+   reserved 110; reserved "mfid_id"; //string mfid_id = 110;
+
+   api.orderman.CTICode cti = 3;
+   api.orderman.CustomerOrFirm origin = 5;
+   string clearing_firm = 200;
+   string clearing_account = 210;
+   string customer_account_ref_id = 220;
+   string account_code = 230;
+   map<string, string> misc_tags = 500;
 }
 
-message ICEUserData{
-   string authorized_trader = 10;
-   string memo_field = 20;
-   string text_b = 30;
-   uint32 max_order_rate = 40;
-}
+message ICEUserData {
+   reserved 20; reserved "memo_field"; //string memo_field = 20;
+   reserved 30; reserved "text_b"; //string text_b = 30;
+   reserved 40; reserved "max_order_rate"; //uint32 max_order_rate = 40;
 
-message ICEUserMarketDataEntitlementData{
+   int32 company_id = 3; //tag 109 clientid
+   string operator_id = 5; //tag 50
+   string authorized_trader = 10; //tag 553 user_name
+   string authorized_group = 15; //tag 553 user_name
+   string password = 21; //tag 96 raw data
+   string cust_order_handing_inst = 25;
+
+   //mifid
+   int32 mifid_direct_electronic_access = 500;
+   int32 mifid_trading_capacity = 510;
+   int32 mifid_liquidity_provision = 520;
+   int32 mifid_commodity_deriv_indicator = 530;
+   int64 mifid_investment_decision = 540;
+   int64 mifid_execution_decision = 550;
+   int64 mifid_client_id_code = 560;
+   int64 mifid_id = 570;
+
+   map<string, string> misc_tags = 60;
+   ProfessionalDesignation pro_nonpro = 100;
+   DisplayDesignation display_nondisplay = 110;
+
+   repeated ICEMicData md_permissions = 1000;
 }
 
 ///////////////////////////////////////////////////////////
 // Order Auxiliary Service ////////////////////////////////
 
-message OrdersSummaryUnit{   
+message OrdersSummaryUnit{
    string account = 10;
    string user = 20;
    uint32 total_orders = 30;
@@ -392,11 +400,11 @@ message OrdersSummary{
 }
 message OrderSummaryRequest{
 }
-// top level orders that have account 
+// top level orders that have account
 // and user that are present here, will
 // be cancelled. wild cards are not
 // supported.
-message OrderCancelRequest{   
+message OrderCancelRequest{
    repeated string accounts = 10;
    repeated string users = 20;
 }
@@ -432,7 +440,7 @@ message AccountCreateAPIArgument{
    string creator_user = 40;
 }
 message AccountUpdateAPIArgument{
-   BTSAccount complete_data=10;    
+   BTSAccount complete_data=10;
 }
 message UserCreateAPIArgument{
    uint32 parent_group_id = 20;
@@ -476,7 +484,7 @@ service AdminService {
    // users
    rpc create_user(UserCreateAPIArgument) returns (AdminServiceCreateEntityResult);
    rpc update_user(UserUpdateAPIArgument) returns (AdminServiceOperationResult);
-   rpc delete_user(IDAPIArgument) returns (AdminServiceOperationResult);   
+   rpc delete_user(IDAPIArgument) returns (AdminServiceOperationResult);
    // subscription
    rpc admin_data(bts.api.VoidMessage) returns (stream AdminData);
    rpc get_admin_data(bts.api.VoidMessage) returns (AdminData);

src/lib/api/services/HistoricalDataService.proto

@@ -1,54 +0,0 @@
-syntax="proto3";
-package bts.history;
-option csharp_namespace="bts.history";
-option cc_enable_arenas=true;
-import "lib/api/apioptions.proto";
-import "google/protobuf/timestamp.proto";
-import "google/protobuf/duration.proto";
-
-message Slice {
-  google.protobuf.Timestamp begin = 10;
-  google.protobuf.Timestamp end = 20;
-  uint32 buy_volume = 30;
-  double avg_buy_price = 40;
-  uint32 sell_volume = 50;
-  double avg_sell_price = 60;
-}
-message Slices {   
-   repeated Slice slice_vec = 10;
-}
-message SliceDistribution {
-   google.protobuf.Timestamp begin = 10;
-   google.protobuf.Timestamp end = 20;
-   double volume_mean = 30;
-   double volume_variance = 40;
-   double price_mean = 50;
-   double price_variance = 60;
-}
- message TradingDistribution {   
-   double volume_mean = 10;
-   double volume_variance = 20;
-   double volume_skewness = 30;
-   double price_mean = 40;
-   double price_variance = 50;
-   double price_skewness = 60;   
-   repeated SliceDistribution slices = 100;
-}
-
-message SlicesQuery {
-  string security_desc = 10;
-  google.protobuf.Timestamp begin = 20;
-  google.protobuf.Timestamp end = 30;
-  google.protobuf.Duration dt = 40;
-}
-message TradingDistributionQuery {
-  string security_desc = 10;
-  google.protobuf.Timestamp begin = 20;
-  google.protobuf.Timestamp end = 30;
-  google.protobuf.Duration dt = 40;
-}
-
-service HistoricalDataService {
-  rpc get_trading_slices(SlicesQuery) returns (Slices);
-  rpc get_trading_distribution (TradingDistributionQuery) returns (TradingDistribution);
-}

src/lib/api/services/OrderService.proto

@@ -105,11 +105,6 @@ message CustomOrderDefinition
     ScratchOrderDefinition scratch = 31;
     ProRataOrderDefinition prorata = 32;
     
-    TWAPOrderDefinition twap = 100;
-    VWAPOrderDefinition vwap = 101;
-    POVOrderDefinition pov = 102;  
-    ArrivalPriceOrderDefinition arrival = 103;  
-        
     DynamicOrderDefinition dynamic = 1000;
   }
 }
@@ -235,89 +230,6 @@ message ProRataOrderDefinition {
    CustomOrderDefinition hedge = 20;
    CustomOrderDefinition overfill_hedge = 30;
 }
-
-message OrderDuration {
-   //default = 0, when to start the order, 0 = immediately
-   google.protobuf.Timestamp start = 10; 
-   oneof end
-   {
-      //when to conclude
-      google.protobuf.Timestamp end_timestamp = 20; 
-      //alternative to end_time, minutes from start time at which to stop
-      uint32 duration_in_minutes = 30; 
-   }   
-   //default = 60
-   uint32 discretization_interval_in_seconds = 40; 
-   // default = 1, time in periods which to let unexecuted size remain
-   //   0 means unexecuted size must be resolved (paid up) by end of initial period-- this means orders can only work within their period
-   //   1 means unexecuted size must be resolved (paid up) by end of next period-- this establishes two tracks: 'tactical' and 'aggressive' 
-   //      orders start in the tactical track and are moved to the aggressive once they work beyond their slippage thresh
-   //   2...etc
-   uint32 tactical_schedule_slippage = 50;          
-}
-message OrderAggression {
-   // default = 0.0, 0.0 - 99.99 be no more than X% of the market, 0.0 means no cap
-   double max_participation_pct = 10; 
-   // default = 0.0, price at which you will take liquidity regardless of other parameters, 0.0 means there is no iwouldprice
-   double i_would_price = 20;    
-   // default = 0.0, risk neutral, -1.0 to 1.0.  nondimensional parameter.  -1 is completely risk averse, 1 is risk seeking
-   //   this has the net effect of tilting Arrival and VWAP schedules to do more earlier the more negative the parameter
-   // Constant * lambda in Almgren 2000; Konishi 2002
-   double risk_threshold = 30;     
-}
-message VolumeDistribution {
-   // default = 20, historical volume distribution time horizon   
-   uint32 volume_time_horizon_days = 10; 
-
-   // default = 0.0 means use historical mean, another value overrides the computed volume mean 
-   double volume_mean_override = 15;   
-   // default = 0.0 means use historical variance, another value overrides the computed volume variance
-   double volume_variance_override = 20;     
-}
-message PriceDistribution {
-   // default = 5 biz, 7 cal (weekly), historical price distribution time horizon      
-   uint32 price_time_horizon_days = 10;
-   
-   // default = 0.0 means use historical mean, another value overrides the computed price mean 
-   double price_mean_override = 15;   
-   // default = 0.0 means use historical variance, another value overrides the computed price variance
-   double price_variance_override = 20;
-}
-
-message TWAPOrderDefinition {
-   OrderDuration duration = 10;
-   OrderAggression aggression = 20;
-   
-   CustomOrderDefinition tactical_child = 200;
-   CustomOrderDefinition aggressive_child  = 210;
-}
-message VWAPOrderDefinition {
-   OrderDuration duration = 10;
-   OrderAggression aggression = 20;
-   VolumeDistribution volume_distribution = 30;
-   PriceDistribution price_distribution = 40;
-
-   CustomOrderDefinition tactical_child = 200;
-   CustomOrderDefinition aggressive_child  = 210;   
-}
-message POVOrderDefinition {
-   double min_participation_pct = 10;
-   OrderDuration duration = 20;
-   OrderAggression aggression = 30;
-   
-   CustomOrderDefinition tactical_child = 200;
-   CustomOrderDefinition aggressive_child  = 210;   
-}
-message ArrivalPriceOrderDefinition {
-   OrderDuration duration = 10;
-   OrderAggression aggression = 20;
-   VolumeDistribution volume_distribution = 30;
-   PriceDistribution price_distribution = 40;
-   
-   CustomOrderDefinition tactical_child = 200;
-   CustomOrderDefinition aggressive_child  = 210;   
-}
-
 message DynamicOrderDefinition {
   string dynamic_order_type = 1;
   map<string, DynamicOrderParam> order_params = 2;
@@ -374,11 +286,6 @@ message OrderState {
     ScratchOrderState scratch = 32;
     ProRataOrderState prorata = 33;
     
-    TWAPOrderState twap = 100;
-    VWAPOrderState vwap = 101;
-    POVOrderState pov = 102;
-    ArrivalPriceOrderState arrival = 103;
-    
     DynamicOrderState dynamic = 255; // do not use anything bigger than 255, or things will break
   }
 }
@@ -402,6 +309,13 @@ message Fill {
     FILL_KIND_SOD = 2;
   }
   FillKind fill_kind = 10;
+  
+  enum FillStatus { 
+     FILL_STATUS_ACTIVE = 0;
+     FILL_STATUS_CORRECTED = 1;
+     FILL_STATUS_BUSTED = 2;
+  }
+  FillStatus fill_status = 20;
 }
 
 enum OrderSubType {
@@ -419,6 +333,16 @@ message RoutingRecord {
   string smp_id = 6 ;
   SelfMatchPreventionInstruction smp_instruction = 7;
   string location = 8;
+  
+  string sender_compid = 15;
+  string clearing_firm = 20;
+  string customer_account_ref_id = 25;
+  string account_code = 30;    
+  string company_id = 45;
+  string authorized_trader = 50;  
+  string authorized_group = 60;
+  string cust_order_handing_inst = 70;
+  string order_server_id = 200;
 }
 
 message NativeOrderState {
@@ -459,10 +383,6 @@ message ProRataOrderState {}
 message DynamicOrderState {}
 message QueueHolderState {}
 message SplitterOrderState {}
-message TWAPOrderState {}
-message VWAPOrderState {}
-message POVOrderState {}
-message ArrivalPriceOrderState {}
 
 enum OrderStatus {
 

src/lib/config/ConfigurationState.cpp

@@ -23,6 +23,7 @@
 #include <map>
 #include <tuple>
 
+
 #define URDL_HEADER_ONLY 1
 #define URDL_DISALE_SSL 1
 #include <urdl/url.hpp>
@@ -905,3 +906,4 @@ std::string get_fallback(const proto::Message& message)
 }
 
 }}}//end namespaces
+

src/lib/config/defaults/MarketData.conf

@@ -63,14 +63,41 @@ ICEOptions {
       channel {
          name: "oil" #these names are arbitrary and are for debugging
          market_type: 5 #ICE Futures Brent, IPE Brent Futures
-         market_type: 9 #ICE Futures WTI, ICE WTI Crude Futures
+         uds_market_type: 5
+         market_type: 9 #ICE Futures WTI, ICE WTI Crude Futures                  
+         uds_market_type: 9
+         ##market_type: 13 #ICE Heating Oil Futures         
+         ##uds_market_type: 13
+         ##market_type: 15 #ICE NYH (RBOB) Gasoline Futures
+         ##uds_market_type: 15
+         ##market_type: 21 #ICE Futures US Agricultures, Coffee C
+         ##uds_market_type: 21
+         ##market_type: 23 #ICE Futures US Agricultures, FCOJ A
+         ##uds_market_type: 23               
+         
+         market_type: 26 #ICE Futures US Financials DX
+         uds_market_type: 26
+         
+         uds_market_type: 11 #ICE WTI-Brent spreads
+         ##uds_market_type: 14 #ICE Heating Oil/WTI Futures Crack
+         ##uds_market_type: 16 #ICE NYH (RBOB) Gasoline/WTI Futures Crack         
+         ##uds_market_type: 58 #ICE Futures UI Heating Oil / Brent
+         ##uds_market_type: 59 #ICE NYH (RBOB) Gasoline/Brent Futures Crack 
+         
+         # market_type: 44 #ICE Henry Hub
+         # uds_market_type: 44
+         
+         # market_type: 1 #ICE Financial Power
+         # uds_market_type: 1
          #udp_buffer_size: 33554432 #32mb
+         #onixs_log_mode: Debug
       }
-      channel {
-         name: "juice"
-         market_type: 23 #ICE Futures US Agricultures, FCOJ A
-      }
+      # channel {
+      #    name: "juice"
+      #    market_type: 26 #ICE Futures US Agricultures, FCOJ A
+      # }
       ice_config_file: "ConnectivityConfiguration.APITest.xml"      
+      #ice_config_file: "ConnectivityConfiguration.PerfTest.xml"      
    }
 }
 

src/lib/config/defaults/Ports.conf

@@ -3,7 +3,8 @@ Ports {
    value {
       config_port: 8000
       qbus_port: 8001
-      exchange_sim_fix_port: 8002
+      glbx_sim_fix_port: 8002
+      ice_sim_fix_port: 8003
       replicator_port: 8080
    }
 }

src/lib/config/defaults/Symbols.conf

@@ -19,7 +19,6 @@ SymbolList {
         symbol: "FOB"
         symbol: "GC"
         symbol: "GE"
-        symbol: "GLI"
         symbol: "HE"
         symbol: "HG"
         symbol: "HO"
@@ -66,9 +65,18 @@ SymbolLists
       list
       {
          key: "ICE"
-         # symbol: "BRN"
-         # symbol: "WBS"
-         # symbol: "OJ"
+         symbol: "BRN"
+         symbol: "WBS"
+         symbol: "OJ"
+         symbol: "KC"
+         symbol: "UHO"
+         symbol: "UHU"
+         symbol: "DX"
+         
+         symbol: "HEN"
+         symbol: "HIS"
+         symbol: "HNG"
+         symbol: "*"
       }
       list
       {
@@ -112,5 +120,9 @@ Symbols {
             future: @SymbolLists.list[ICE].symbol
             spread: @SymbolLists.list[ICE].symbol
         }
+        simice {
+            future: @SymbolLists.list[ICE].symbol
+            spread: @SymbolLists.list[ICE].symbol            
+        }
     }
 }

src/lib/config/defaults/UI.conf

@@ -1,46 +0,0 @@
-
-AlgoPermissions {
-   value {
-      exchange_order_types: 'Market'
-      exchange_order_types: 'Limit'
-      exchange_order_types: 'Stop'
-      exchange_order_types: 'StopLimit'
-      exchange_order_types: 'GlbxIceberg'
-      exchange_order_types: 'Iceberg'
-      exchange_order_types: 'Lean'
-      exchange_order_types: 'Join'
-      exchange_order_types: 'Cover'
-      exchange_order_types: 'Top'
-      exchange_order_types: 'Offset'
-      exchange_order_types: 'Splitter'
-      exchange_order_types: 'Scratch'
-      exchange_order_types: 'Prorata'
-      exchange_order_types: 'Twap'
-      
-      spreader_order_types: 'Spreader'
-      spreader_order_types: 'Iceberg'
-      spreader_order_types: 'Lean'
-      spreader_order_types: 'Join'
-      spreader_order_types: 'Cover'
-      spreader_order_types: 'Top'
-      spreader_order_types: 'Splitter'
-      spreader_order_types: 'Scratch'
-      spreader_order_types: 'Prorata'
-
-      attachable_order_types: 'Iceberg'
-      attachable_order_types: 'Lean'
-      attachable_order_types: 'Join'
-      attachable_order_types: 'Cover'
-      attachable_order_types: 'Top'
-      attachable_order_types: 'Offset'
-      attachable_order_types: 'Scratch'
-      attachable_order_types: 'Prorata'
-      attachable_order_types: 'Twap'
-      
-      outright_order_types: 'Market'
-      outright_order_types: 'Limit'
-      outright_order_types: 'Stop'
-      outright_order_types: 'StopLimit'
-      outright_order_types: 'GlbxIceberg'
-   }
-}

src/lib/config/defaults/cme_reference_data.conf

@@ -90,8 +90,6 @@ CppConfig
 		cpp_entry { key: "8D" value: 1000 }
 		cpp_entry { key: "8W" value: 1000 }
 		cpp_entry { key: "8XN" value: 2500 }
-		cpp_entry { key: "8ZN" value: 2500 }
-		cpp_entry { key: "9FN" value: 2500 }
 		cpp_entry { key: "9Q" value: 1000 }
 		cpp_entry { key: "A0D" value: 100 }
 		cpp_entry { key: "A0F" value: 100 }
@@ -163,6 +161,7 @@ CppConfig
 		cpp_entry { key: "AAW" value: 42000 }
 		cpp_entry { key: "AB3" value: 80 }
 		cpp_entry { key: "AB7" value: 1000 }
+		cpp_entry { key: "ABF" value: 100 }
 		cpp_entry { key: "ABH" value: 42000 }
 		cpp_entry { key: "ABI" value: 1000 }
 		cpp_entry { key: "ABS" value: 1000 }
@@ -170,6 +169,7 @@ CppConfig
 		cpp_entry { key: "ABX" value: 1000 }
 		cpp_entry { key: "ABY" value: 1000 }
 		cpp_entry { key: "AC0" value: 42000 }
+		cpp_entry { key: "ACB" value: 1000 }
 		cpp_entry { key: "ACD" value: 200000 }
 		cpp_entry { key: "ACM" value: 1000 }
 		cpp_entry { key: "ACT" value: 1000 }
@@ -183,7 +183,7 @@ CppConfig
 		cpp_entry { key: "AE5" value: 1000 }
 		cpp_entry { key: "AE8" value: 5 }
 		cpp_entry { key: "AE9" value: 80 }
-		cpp_entry { key: "AEJ" value: 960 }
+		cpp_entry { key: "AEB" value: 1000 }
 		cpp_entry { key: "AEP" value: 25 }
 		cpp_entry { key: "AET" value: 1000 }
 		cpp_entry { key: "AEZ" value: 42000 }
@@ -222,7 +222,6 @@ CppConfig
 		cpp_entry { key: "AJB" value: 1000 }
 		cpp_entry { key: "AJJ" value: 5 }
 		cpp_entry { key: "AJL" value: 42000 }
-		cpp_entry { key: "AJP" value: 960 }
 		cpp_entry { key: "AJR" value: 1000 }
 		cpp_entry { key: "AJS" value: 42000 }
 		cpp_entry { key: "AJU" value: 42000 }
@@ -346,7 +345,6 @@ CppConfig
 		cpp_entry { key: "BCF" value: 50 }
 		cpp_entry { key: "BCH" value: 50 }
 		cpp_entry { key: "BDB" value: 1000 }
-		cpp_entry { key: "BDI" value: 100 }
 		cpp_entry { key: "BDS" value: 1000 }
 		cpp_entry { key: "BFR" value: 100 }
 		cpp_entry { key: "BG" value: 1000 }
@@ -357,13 +355,12 @@ CppConfig
 		cpp_entry { key: "BOO" value: 6350 }
 		cpp_entry { key: "BOS" value: 250 }
 		cpp_entry { key: "BR7" value: 1000 }
-		cpp_entry { key: "BSW" value: 136 }
+		cpp_entry { key: "BSF" value: 25 }
 		cpp_entry { key: "BTC" value: 5 }
 		cpp_entry { key: "BTT" value: 50 }
 		cpp_entry { key: "BUB" value: 1000 }
 		cpp_entry { key: "BUC" value: 42000 }
 		cpp_entry { key: "BUS" value: 20 }
-		cpp_entry { key: "BUW" value: 20 }
 		cpp_entry { key: "BWF" value: 50 }
 		cpp_entry { key: "BWH" value: 50 }
 		cpp_entry { key: "BZ" value: 1000 }
@@ -394,6 +391,7 @@ CppConfig
 		cpp_entry { key: "CFB" value: 1000 }
 		cpp_entry { key: "CFC" value: 1000 }
 		cpp_entry { key: "CGB" value: 42000 }
+		cpp_entry { key: "CHB" value: 1000 }
 		cpp_entry { key: "CHI" value: 250 }
 		cpp_entry { key: "CHL" value: 100000 }
 		cpp_entry { key: "CHP" value: 50000000 }
@@ -406,9 +404,11 @@ CppConfig
 		cpp_entry { key: "CL" value: 1000 }
 		cpp_entry { key: "CL1" value: 1000 }
 		cpp_entry { key: "CL2" value: 1000 }
+		cpp_entry { key: "CLD" value: 1000 }
 		cpp_entry { key: "CLL" value: 1000 }
 		cpp_entry { key: "CLS" value: 1000 }
 		cpp_entry { key: "CLT" value: 1000 }
+		cpp_entry { key: "CMB" value: 1000 }
 		cpp_entry { key: "CMF" value: 1000 }
 		cpp_entry { key: "CNH" value: 100000 }
 		cpp_entry { key: "COL" value: 80 }
@@ -431,7 +431,6 @@ CppConfig
 		cpp_entry { key: "CUS" value: 250 }
 		cpp_entry { key: "CY" value: 1000 }
 		cpp_entry { key: "CZK" value: 4000000 }
-		cpp_entry { key: "CZN" value: 2500 }
 		cpp_entry { key: "D0" value: 20 }
 		cpp_entry { key: "D0X" value: 20 }
 		cpp_entry { key: "D0Z" value: 20 }
@@ -461,9 +460,9 @@ CppConfig
 		cpp_entry { key: "DDO" value: 1000 }
 		cpp_entry { key: "DEB" value: 744 }
 		cpp_entry { key: "DEN" value: 250 }
-		cpp_entry { key: "DEP" value: 252 }
+		cpp_entry { key: "DEP" value: 264 }
 		cpp_entry { key: "DFL" value: 100 }
-		cpp_entry { key: "DFT" value: 100 }
+		cpp_entry { key: "DFN" value: 100 }
 		cpp_entry { key: "DG2" value: 100 }
 		cpp_entry { key: "DG3" value: 100 }
 		cpp_entry { key: "DGH" value: 1000 }
@@ -472,7 +471,6 @@ CppConfig
 		cpp_entry { key: "DGT" value: 100 }
 		cpp_entry { key: "DHA" value: 80 }
 		cpp_entry { key: "DHI" value: 1000 }
-		cpp_entry { key: "DIH" value: 2500 }
 		cpp_entry { key: "DJR" value: 100 }
 		cpp_entry { key: "DKR" value: 1000 }
 		cpp_entry { key: "DMB" value: 100 }
@@ -503,7 +501,6 @@ CppConfig
 		cpp_entry { key: "EAC" value: 80 }
 		cpp_entry { key: "EAD" value: 125000 }
 		cpp_entry { key: "EAE" value: 5 }
-		cpp_entry { key: "EAF" value: 1000 }
 		cpp_entry { key: "EAW" value: 80 }
 		cpp_entry { key: "EBE" value: 1000 }
 		cpp_entry { key: "ECD" value: 125000 }
@@ -542,7 +539,6 @@ CppConfig
 		cpp_entry { key: "EST" value: 50 }
 		cpp_entry { key: "ETT" value: 100 }
 		cpp_entry { key: "EUB" value: 80 }
-		cpp_entry { key: "EUL" value: 1000 }
 		cpp_entry { key: "EURADC" value: 1 }
 		cpp_entry { key: "EURBPC" value: 1 }
 		cpp_entry { key: "EURBPN" value: 1 }
@@ -668,17 +664,24 @@ CppConfig
 		cpp_entry { key: "H4X" value: 20 }
 		cpp_entry { key: "H4Z" value: 20 }
 		cpp_entry { key: "H5" value: 20 }
+		cpp_entry { key: "H5B" value: 1000 }
 		cpp_entry { key: "H5F" value: 1000 }
 		cpp_entry { key: "H5G" value: 1000 }
 		cpp_entry { key: "H5L" value: 80 }
 		cpp_entry { key: "H5X" value: 20 }
 		cpp_entry { key: "H5Z" value: 20 }
 		cpp_entry { key: "HB" value: 2500 }
+		cpp_entry { key: "HBC" value: 1000 }
+		cpp_entry { key: "HBR" value: 1000 }
 		cpp_entry { key: "HCL" value: 1000 }
+		cpp_entry { key: "HDB" value: 1000 }
 		cpp_entry { key: "HE" value: 400 }
 		cpp_entry { key: "HET" value: 400 }
 		cpp_entry { key: "HG" value: 25000 }
 		cpp_entry { key: "HG0" value: 25000 }
+		cpp_entry { key: "HGB" value: 1000 }
+		cpp_entry { key: "HGF" value: 25000 }
+		cpp_entry { key: "HGK" value: 25000 }
 		cpp_entry { key: "HGS" value: 25000 }
 		cpp_entry { key: "HGT" value: 25000 }
 		cpp_entry { key: "HH" value: 10000 }
@@ -703,11 +706,16 @@ CppConfig
 		cpp_entry { key: "HQX" value: 20 }
 		cpp_entry { key: "HQZ" value: 20 }
 		cpp_entry { key: "HRC" value: 20 }
+		cpp_entry { key: "HRP" value: 20 }
 		cpp_entry { key: "HS" value: 20 }
 		cpp_entry { key: "HSX" value: 20 }
 		cpp_entry { key: "HSZ" value: 20 }
 		cpp_entry { key: "HTA" value: 1000 }
 		cpp_entry { key: "HTB" value: 1000 }
+		cpp_entry { key: "HTC" value: 1000 }
+		cpp_entry { key: "HTE" value: 1000 }
+		cpp_entry { key: "HTI" value: 1000 }
+		cpp_entry { key: "HTM" value: 1000 }
 		cpp_entry { key: "HTT" value: 1000 }
 		cpp_entry { key: "HUF" value: 30000000 }
 		cpp_entry { key: "HWA" value: 80 }
@@ -719,7 +727,6 @@ CppConfig
 		cpp_entry { key: "ICI" value: 1000 }
 		cpp_entry { key: "IDL" value: 5 }
 		cpp_entry { key: "IH" value: 50 }
-		cpp_entry { key: "ILB" value: 1750 }
 		cpp_entry { key: "ILS" value: 1000000 }
 		cpp_entry { key: "IN" value: 2500 }
 		cpp_entry { key: "IP" value: 50 }
@@ -727,11 +734,12 @@ CppConfig
 		cpp_entry { key: "IPT" value: 10 }
 		cpp_entry { key: "IS" value: 50 }
 		cpp_entry { key: "ITB" value: 744 }
-		cpp_entry { key: "ITP" value: 252 }
+		cpp_entry { key: "ITP" value: 264 }
 		cpp_entry { key: "IW" value: 50 }
 		cpp_entry { key: "J4L" value: 80 }
 		cpp_entry { key: "J7" value: 6250000 }
 		cpp_entry { key: "JA" value: 1000 }
+		cpp_entry { key: "JCC" value: 1000 }
 		cpp_entry { key: "JDL" value: 80 }
 		cpp_entry { key: "JE" value: 42000 }
 		cpp_entry { key: "JET" value: 42000 }
@@ -740,7 +748,7 @@ CppConfig
 		cpp_entry { key: "JKB" value: 10000 }
 		cpp_entry { key: "JKF" value: 10000 }
 		cpp_entry { key: "JKM" value: 10000 }
-		cpp_entry { key: "JML" value: 200 }
+		cpp_entry { key: "JML" value: 480 }
 		cpp_entry { key: "JNC" value: 1000 }
 		cpp_entry { key: "JNG" value: 10000 }
 		cpp_entry { key: "JNL" value: 80 }
@@ -809,6 +817,9 @@ CppConfig
 		cpp_entry { key: "LSW" value: 1000 }
 		cpp_entry { key: "LT" value: 42000 }
 		cpp_entry { key: "LWB" value: 1000 }
+		cpp_entry { key: "M1B" value: 10 }
+		cpp_entry { key: "M2K" value: 5 }
+		cpp_entry { key: "M35" value: 10 }
 		cpp_entry { key: "M5F" value: 10 }
 		cpp_entry { key: "M6A" value: 10000 }
 		cpp_entry { key: "M6B" value: 6250 }
@@ -839,10 +850,11 @@ CppConfig
 		cpp_entry { key: "MEB" value: 100 }
 		cpp_entry { key: "MEE" value: 100 }
 		cpp_entry { key: "MEF" value: 10 }
-		cpp_entry { key: "MEL" value: 840 }
 		cpp_entry { key: "MEO" value: 100 }
+		cpp_entry { key: "MES" value: 5 }
 		cpp_entry { key: "MEW" value: 100 }
 		cpp_entry { key: "MFB" value: 1000 }
+		cpp_entry { key: "MFC" value: 100 }
 		cpp_entry { key: "MFD" value: 100 }
 		cpp_entry { key: "MFF" value: 1000 }
 		cpp_entry { key: "MFP" value: 100 }
@@ -879,6 +891,7 @@ CppConfig
 		cpp_entry { key: "MNE" value: 100 }
 		cpp_entry { key: "MNG" value: 2500 }
 		cpp_entry { key: "MNH" value: 10000 }
+		cpp_entry { key: "MNQ" value: 2 }
 		cpp_entry { key: "MNS" value: 635 }
 		cpp_entry { key: "MNT" value: 80 }
 		cpp_entry { key: "MO" value: 1000 }
@@ -910,6 +923,7 @@ CppConfig
 		cpp_entry { key: "MXB" value: 35000 }
 		cpp_entry { key: "MXL" value: 5 }
 		cpp_entry { key: "MXR" value: 35000 }
+		cpp_entry { key: "MYM" value: 0.5 }
 		cpp_entry { key: "N1B" value: 1000 }
 		cpp_entry { key: "N1R" value: 10 }
 		cpp_entry { key: "N1T" value: 10 }
@@ -927,7 +941,6 @@ CppConfig
 		cpp_entry { key: "NCF" value: 100 }
 		cpp_entry { key: "NCO" value: 5 }
 		cpp_entry { key: "NCP" value: 100 }
-		cpp_entry { key: "NEN" value: 2500 }
 		cpp_entry { key: "NEO" value: 5 }
 		cpp_entry { key: "NEP" value: 80 }
 		cpp_entry { key: "NFC" value: 1000 }
@@ -941,10 +954,14 @@ CppConfig
 		cpp_entry { key: "NHN" value: 2500 }
 		cpp_entry { key: "NHO" value: 5 }
 		cpp_entry { key: "NHP" value: 80 }
+		cpp_entry { key: "NIM" value: 500 }
+		cpp_entry { key: "NIT" value: 500 }
 		cpp_entry { key: "NIY" value: 500 }
 		cpp_entry { key: "NJ" value: 2500 }
 		cpp_entry { key: "NKD" value: 5 }
+		cpp_entry { key: "NKM" value: 5 }
 		cpp_entry { key: "NKN" value: 2500 }
+		cpp_entry { key: "NKT" value: 5 }
 		cpp_entry { key: "NL" value: 2500 }
 		cpp_entry { key: "NLS" value: 42000 }
 		cpp_entry { key: "NMO" value: 5 }
@@ -984,7 +1001,7 @@ CppConfig
 		cpp_entry { key: "NYR" value: 42000 }
 		cpp_entry { key: "NYT" value: 1000 }
 		cpp_entry { key: "NZDUSC" value: 1 }
-		cpp_entry { key: "NZN" value: 2500 }
+		cpp_entry { key: "NZDUSD" value: 1 }
 		cpp_entry { key: "OAD" value: 1 }
 		cpp_entry { key: "ODO" value: 1000 }
 		cpp_entry { key: "OFF" value: 5 }
@@ -1000,6 +1017,7 @@ CppConfig
 		cpp_entry { key: "OVL" value: 5 }
 		cpp_entry { key: "PA" value: 100 }
 		cpp_entry { key: "PAL" value: 80 }
+		cpp_entry { key: "PAM" value: 10 }
 		cpp_entry { key: "PAT" value: 100 }
 		cpp_entry { key: "PBO" value: 5 }
 		cpp_entry { key: "PBP" value: 80 }
@@ -1020,7 +1038,6 @@ CppConfig
 		cpp_entry { key: "PHF" value: 5 }
 		cpp_entry { key: "PHO" value: 5 }
 		cpp_entry { key: "PHP" value: 80 }
-		cpp_entry { key: "PIO" value: 500 }
 		cpp_entry { key: "PJY" value: 125000 }
 		cpp_entry { key: "PKP" value: 80 }
 		cpp_entry { key: "PL" value: 50 }
@@ -1082,6 +1099,8 @@ CppConfig
 		cpp_entry { key: "R2T" value: 10 }
 		cpp_entry { key: "R2V" value: 50 }
 		cpp_entry { key: "R53" value: 1000 }
+		cpp_entry { key: "R5B" value: 1000 }
+		cpp_entry { key: "R5E" value: 1000 }
 		cpp_entry { key: "R5F" value: 1000 }
 		cpp_entry { key: "R5M" value: 100 }
 		cpp_entry { key: "R5O" value: 10 }
@@ -1091,6 +1110,7 @@ CppConfig
 		cpp_entry { key: "RBF" value: 100 }
 		cpp_entry { key: "RBG" value: 42000 }
 		cpp_entry { key: "RBL" value: 42000 }
+		cpp_entry { key: "RBM" value: 100 }
 		cpp_entry { key: "RBS" value: 42000 }
 		cpp_entry { key: "RBT" value: 42000 }
 		cpp_entry { key: "REX" value: 100 }
@@ -1119,13 +1139,15 @@ CppConfig
 		cpp_entry { key: "RYA" value: 42000 }
 		cpp_entry { key: "S1U" value: 1000 }
 		cpp_entry { key: "S53" value: 1000 }
+		cpp_entry { key: "S5B" value: 1000 }
 		cpp_entry { key: "S5F" value: 1000 }
 		cpp_entry { key: "S5M" value: 100 }
 		cpp_entry { key: "S5O" value: 10 }
+		cpp_entry { key: "SBM" value: 100 }
 		cpp_entry { key: "SBT" value: 50 }
 		cpp_entry { key: "SD" value: 1000 }
 		cpp_entry { key: "SDA" value: 250 }
-		cpp_entry { key: "SDD" value: 1600 }
+		cpp_entry { key: "SDD" value: 1760 }
 		cpp_entry { key: "SDG" value: 250 }
 		cpp_entry { key: "SDI" value: 1000 }
 		cpp_entry { key: "SDM" value: 100 }
@@ -1157,12 +1179,14 @@ CppConfig
 		cpp_entry { key: "SMT" value: 100 }
 		cpp_entry { key: "SMU" value: 1000 }
 		cpp_entry { key: "SMW" value: 100 }
+		cpp_entry { key: "SOM" value: 500 }
 		cpp_entry { key: "SON" value: 2500 }
 		cpp_entry { key: "SP" value: 250 }
 		cpp_entry { key: "SR1" value: 4167 }
 		cpp_entry { key: "SR3" value: 2500 }
 		cpp_entry { key: "SR5" value: 1000 }
-		cpp_entry { key: "SRT" value: 1600 }
+		cpp_entry { key: "SRB" value: 1000 }
+		cpp_entry { key: "SRT" value: 1760 }
 		cpp_entry { key: "SSI" value: 1000 }
 		cpp_entry { key: "SSP" value: 5000 }
 		cpp_entry { key: "SSW" value: 1000 }
@@ -1173,25 +1197,31 @@ CppConfig
 		cpp_entry { key: "STY" value: 1000 }
 		cpp_entry { key: "SU" value: 250 }
 		cpp_entry { key: "SUT" value: 250 }
-		cpp_entry { key: "T02" value: 800 }
 		cpp_entry { key: "T03" value: 800 }
 		cpp_entry { key: "T04" value: 800 }
+		cpp_entry { key: "T06" value: 800 }
+		cpp_entry { key: "T07" value: 800 }
+		cpp_entry { key: "T08" value: 800 }
+		cpp_entry { key: "T09" value: 800 }
+		cpp_entry { key: "T12" value: 800 }
 		cpp_entry { key: "T13" value: 800 }
 		cpp_entry { key: "T14" value: 800 }
-		cpp_entry { key: "T17" value: 800 }
-		cpp_entry { key: "T18" value: 800 }
+		cpp_entry { key: "T15" value: 800 }
+		cpp_entry { key: "T16" value: 800 }
 		cpp_entry { key: "T19" value: 800 }
 		cpp_entry { key: "T1U" value: 1000 }
 		cpp_entry { key: "T20" value: 800 }
 		cpp_entry { key: "T21" value: 800 }
-		cpp_entry { key: "T24" value: 800 }
+		cpp_entry { key: "T22" value: 800 }
+		cpp_entry { key: "T23" value: 800 }
 		cpp_entry { key: "T26" value: 800 }
 		cpp_entry { key: "T27" value: 800 }
 		cpp_entry { key: "T28" value: 800 }
+		cpp_entry { key: "T29" value: 800 }
 		cpp_entry { key: "T2B" value: 1000 }
 		cpp_entry { key: "T2D" value: 1000 }
 		cpp_entry { key: "T2M" value: 100 }
-		cpp_entry { key: "T31" value: 800 }
+		cpp_entry { key: "T30" value: 800 }
 		cpp_entry { key: "T3B" value: 1000 }
 		cpp_entry { key: "T3L" value: 80 }
 		cpp_entry { key: "T4B" value: 1000 }
@@ -1207,6 +1237,7 @@ CppConfig
 		cpp_entry { key: "TC" value: 2500 }
 		cpp_entry { key: "TC6" value: 1000 }
 		cpp_entry { key: "TC9" value: 1000 }
+		cpp_entry { key: "TCS" value: 1000 }
 		cpp_entry { key: "TD3" value: 1000 }
 		cpp_entry { key: "TD8" value: 1000 }
 		cpp_entry { key: "TEX" value: 1000 }
@@ -1216,6 +1247,7 @@ CppConfig
 		cpp_entry { key: "THB" value: 1000 }
 		cpp_entry { key: "THD" value: 10000 }
 		cpp_entry { key: "TIC" value: 500 }
+		cpp_entry { key: "TIL" value: 1000 }
 		cpp_entry { key: "TIO" value: 500 }
 		cpp_entry { key: "TK" value: 1000 }
 		cpp_entry { key: "TKB" value: 1000 }
@@ -1252,7 +1284,6 @@ CppConfig
 		cpp_entry { key: "TUT" value: 1000 }
 		cpp_entry { key: "TUX" value: 1000 }
 		cpp_entry { key: "TW" value: 1000 }
-		cpp_entry { key: "TXN" value: 2500 }
 		cpp_entry { key: "TYT" value: 1000 }
 		cpp_entry { key: "TYX" value: 1000 }
 		cpp_entry { key: "TZ6" value: 2500 }
@@ -1262,10 +1293,12 @@ CppConfig
 		cpp_entry { key: "UB" value: 1000 }
 		cpp_entry { key: "UCM" value: 100 }
 		cpp_entry { key: "UDL" value: 80 }
+		cpp_entry { key: "UFB" value: 100 }
+		cpp_entry { key: "UFE" value: 100 }
 		cpp_entry { key: "UFG" value: 100 }
 		cpp_entry { key: "UFN" value: 100 }
 		cpp_entry { key: "UFU" value: 100 }
-		cpp_entry { key: "UFZ" value: 100 }
+		cpp_entry { key: "UFV" value: 100 }
 		cpp_entry { key: "UGG" value: 42000 }
 		cpp_entry { key: "UKG" value: 310 }
 		cpp_entry { key: "ULB" value: 42000 }
@@ -1276,10 +1309,12 @@ CppConfig
 		cpp_entry { key: "UNB" value: 1000 }
 		cpp_entry { key: "UNS" value: 1000 }
 		cpp_entry { key: "UR" value: 1000 }
+		cpp_entry { key: "USC" value: 1000 }
 		cpp_entry { key: "USDBRL" value: 1 }
 		cpp_entry { key: "USDCAC" value: 1 }
 		cpp_entry { key: "USDCAD" value: 1 }
 		cpp_entry { key: "USDCAN" value: 1 }
+		cpp_entry { key: "USDCHF" value: 10 }
 		cpp_entry { key: "USDCKC" value: 1 }
 		cpp_entry { key: "USDCLP" value: 1 }
 		cpp_entry { key: "USDCNY" value: 1 }
@@ -1309,6 +1344,7 @@ CppConfig
 		cpp_entry { key: "USDTLC" value: 1 }
 		cpp_entry { key: "USDTWD" value: 1 }
 		cpp_entry { key: "USDZRC" value: 1 }
+		cpp_entry { key: "USE" value: 1000 }
 		cpp_entry { key: "UV" value: 1000 }
 		cpp_entry { key: "UX" value: 250 }
 		cpp_entry { key: "V3L" value: 5 }
@@ -1338,6 +1374,7 @@ CppConfig
 		cpp_entry { key: "WTA" value: 1000 }
 		cpp_entry { key: "WTD" value: 1000 }
 		cpp_entry { key: "WTI" value: 1000 }
+		cpp_entry { key: "WTL" value: 1000 }
 		cpp_entry { key: "WTS" value: 1000 }
 		cpp_entry { key: "WTT" value: 1000 }
 		cpp_entry { key: "X0" value: 1000 }
@@ -1390,6 +1427,7 @@ CppConfig
 		cpp_entry { key: "YWE" value: 80 }
 		cpp_entry { key: "YWF" value: 5 }
 		cpp_entry { key: "YWK" value: 5 }
+		cpp_entry { key: "Z00000" value: 1000 }
 		cpp_entry { key: "Z1B" value: 100 }
 		cpp_entry { key: "Z3N" value: 2000 }
 		cpp_entry { key: "Z4" value: 1000 }
@@ -1507,8 +1545,6 @@ CmeSymbolMics
 		cme_mic { key: "8D" value: NYMEX }
 		cme_mic { key: "8W" value: NYMEX }
 		cme_mic { key: "8XN" value: NYMEX }
-		cme_mic { key: "8ZN" value: NYMEX }
-		cme_mic { key: "9FN" value: NYMEX }
 		cme_mic { key: "9Q" value: NYMEX }
 		cme_mic { key: "A0D" value: NYMEX }
 		cme_mic { key: "A0F" value: NYMEX }
@@ -1580,6 +1616,7 @@ CmeSymbolMics
 		cme_mic { key: "AAW" value: NYMEX }
 		cme_mic { key: "AB3" value: NYMEX }
 		cme_mic { key: "AB7" value: NYMEX }
+		cme_mic { key: "ABF" value: NYMEX }
 		cme_mic { key: "ABH" value: NYMEX }
 		cme_mic { key: "ABI" value: NYMEX }
 		cme_mic { key: "ABS" value: NYMEX }
@@ -1587,6 +1624,7 @@ CmeSymbolMics
 		cme_mic { key: "ABX" value: NYMEX }
 		cme_mic { key: "ABY" value: NYMEX }
 		cme_mic { key: "AC0" value: NYMEX }
+		cme_mic { key: "ACB" value: NYMEX }
 		cme_mic { key: "ACD" value: CME }
 		cme_mic { key: "ACM" value: NYMEX }
 		cme_mic { key: "ACT" value: NYMEX }
@@ -1600,7 +1638,7 @@ CmeSymbolMics
 		cme_mic { key: "AE5" value: NYMEX }
 		cme_mic { key: "AE8" value: NYMEX }
 		cme_mic { key: "AE9" value: NYMEX }
-		cme_mic { key: "AEJ" value: NYMEX }
+		cme_mic { key: "AEB" value: NYMEX }
 		cme_mic { key: "AEP" value: COMEX }
 		cme_mic { key: "AET" value: NYMEX }
 		cme_mic { key: "AEZ" value: NYMEX }
@@ -1639,7 +1677,6 @@ CmeSymbolMics
 		cme_mic { key: "AJB" value: NYMEX }
 		cme_mic { key: "AJJ" value: NYMEX }
 		cme_mic { key: "AJL" value: NYMEX }
-		cme_mic { key: "AJP" value: NYMEX }
 		cme_mic { key: "AJR" value: NYMEX }
 		cme_mic { key: "AJS" value: NYMEX }
 		cme_mic { key: "AJU" value: NYMEX }
@@ -1763,7 +1800,6 @@ CmeSymbolMics
 		cme_mic { key: "BCF" value: CBT }
 		cme_mic { key: "BCH" value: CBT }
 		cme_mic { key: "BDB" value: NYMEX }
-		cme_mic { key: "BDI" value: CME }
 		cme_mic { key: "BDS" value: DME }
 		cme_mic { key: "BFR" value: NYMEX }
 		cme_mic { key: "BG" value: NYMEX }
@@ -1774,13 +1810,12 @@ CmeSymbolMics
 		cme_mic { key: "BOO" value: NYMEX }
 		cme_mic { key: "BOS" value: CME }
 		cme_mic { key: "BR7" value: NYMEX }
-		cme_mic { key: "BSW" value: CBT }
+		cme_mic { key: "BSF" value: CBT }
 		cme_mic { key: "BTC" value: CME }
 		cme_mic { key: "BTT" value: CME }
 		cme_mic { key: "BUB" value: CBT }
 		cme_mic { key: "BUC" value: NYMEX }
 		cme_mic { key: "BUS" value: NYMEX }
-		cme_mic { key: "BUW" value: NYMSW }
 		cme_mic { key: "BWF" value: CBT }
 		cme_mic { key: "BWH" value: CBT }
 		cme_mic { key: "BZ" value: NYMEX }
@@ -1811,6 +1846,7 @@ CmeSymbolMics
 		cme_mic { key: "CFB" value: NYMEX }
 		cme_mic { key: "CFC" value: NYMEX }
 		cme_mic { key: "CGB" value: NYMEX }
+		cme_mic { key: "CHB" value: NYMEX }
 		cme_mic { key: "CHI" value: CME }
 		cme_mic { key: "CHL" value: CME }
 		cme_mic { key: "CHP" value: CME }
@@ -1823,9 +1859,11 @@ CmeSymbolMics
 		cme_mic { key: "CL" value: NYMEX }
 		cme_mic { key: "CL1" value: NYMEX }
 		cme_mic { key: "CL2" value: NYMEX }
+		cme_mic { key: "CLD" value: NYMEX }
 		cme_mic { key: "CLL" value: NYMEX }
 		cme_mic { key: "CLS" value: NYMEX }
 		cme_mic { key: "CLT" value: NYMEX }
+		cme_mic { key: "CMB" value: NYMEX }
 		cme_mic { key: "CMF" value: NYMEX }
 		cme_mic { key: "CNH" value: CME }
 		cme_mic { key: "COL" value: NYMEX }
@@ -1848,7 +1886,6 @@ CmeSymbolMics
 		cme_mic { key: "CUS" value: CME }
 		cme_mic { key: "CY" value: NYMEX }
 		cme_mic { key: "CZK" value: CME }
-		cme_mic { key: "CZN" value: NYMEX }
 		cme_mic { key: "D0" value: CME }
 		cme_mic { key: "D0X" value: CME }
 		cme_mic { key: "D0Z" value: CME }
@@ -1880,7 +1917,7 @@ CmeSymbolMics
 		cme_mic { key: "DEN" value: CME }
 		cme_mic { key: "DEP" value: NYMEX }
 		cme_mic { key: "DFL" value: CBT }
-		cme_mic { key: "DFT" value: CBT }
+		cme_mic { key: "DFN" value: CBT }
 		cme_mic { key: "DG2" value: CBT }
 		cme_mic { key: "DG3" value: CBT }
 		cme_mic { key: "DGH" value: DME }
@@ -1889,7 +1926,6 @@ CmeSymbolMics
 		cme_mic { key: "DGT" value: CBT }
 		cme_mic { key: "DHA" value: NYMEX }
 		cme_mic { key: "DHI" value: DME }
-		cme_mic { key: "DIH" value: NYMEX }
 		cme_mic { key: "DJR" value: CBT }
 		cme_mic { key: "DKR" value: DME }
 		cme_mic { key: "DMB" value: DME }
@@ -1920,7 +1956,6 @@ CmeSymbolMics
 		cme_mic { key: "EAC" value: NYMEX }
 		cme_mic { key: "EAD" value: CME }
 		cme_mic { key: "EAE" value: NYMEX }
-		cme_mic { key: "EAF" value: NYMEX }
 		cme_mic { key: "EAW" value: NYMEX }
 		cme_mic { key: "EBE" value: NYMEX }
 		cme_mic { key: "ECD" value: CME }
@@ -1959,7 +1994,6 @@ CmeSymbolMics
 		cme_mic { key: "EST" value: CME }
 		cme_mic { key: "ETT" value: CME }
 		cme_mic { key: "EUB" value: NYMEX }
-		cme_mic { key: "EUL" value: NYMEX }
 		cme_mic { key: "EURADC" value: CME }
 		cme_mic { key: "EURBPC" value: CME }
 		cme_mic { key: "EURBPN" value: CME }
@@ -2085,17 +2119,24 @@ CmeSymbolMics
 		cme_mic { key: "H4X" value: CME }
 		cme_mic { key: "H4Z" value: CME }
 		cme_mic { key: "H5" value: CME }
+		cme_mic { key: "H5B" value: NYMEX }
 		cme_mic { key: "H5F" value: NYMEX }
 		cme_mic { key: "H5G" value: NYMEX }
 		cme_mic { key: "H5L" value: NYMEX }
 		cme_mic { key: "H5X" value: CME }
 		cme_mic { key: "H5Z" value: CME }
 		cme_mic { key: "HB" value: NYMEX }
+		cme_mic { key: "HBC" value: NYMEX }
+		cme_mic { key: "HBR" value: NYMEX }
 		cme_mic { key: "HCL" value: NYMEX }
+		cme_mic { key: "HDB" value: NYMEX }
 		cme_mic { key: "HE" value: CME }
 		cme_mic { key: "HET" value: CME }
 		cme_mic { key: "HG" value: COMEX }
 		cme_mic { key: "HG0" value: COMEX }
+		cme_mic { key: "HGB" value: NYMEX }
+		cme_mic { key: "HGF" value: COMEX }
+		cme_mic { key: "HGK" value: COMEX }
 		cme_mic { key: "HGS" value: COMEX }
 		cme_mic { key: "HGT" value: COMEX }
 		cme_mic { key: "HH" value: NYMEX }
@@ -2120,11 +2161,16 @@ CmeSymbolMics
 		cme_mic { key: "HQX" value: CME }
 		cme_mic { key: "HQZ" value: CME }
 		cme_mic { key: "HRC" value: NYMEX }
+		cme_mic { key: "HRP" value: COMEX }
 		cme_mic { key: "HS" value: CME }
 		cme_mic { key: "HSX" value: CME }
 		cme_mic { key: "HSZ" value: CME }
 		cme_mic { key: "HTA" value: NYMEX }
 		cme_mic { key: "HTB" value: NYMEX }
+		cme_mic { key: "HTC" value: NYMEX }
+		cme_mic { key: "HTE" value: NYMEX }
+		cme_mic { key: "HTI" value: NYMEX }
+		cme_mic { key: "HTM" value: NYMEX }
 		cme_mic { key: "HTT" value: NYMEX }
 		cme_mic { key: "HUF" value: CME }
 		cme_mic { key: "HWA" value: NYMEX }
@@ -2136,7 +2182,6 @@ CmeSymbolMics
 		cme_mic { key: "ICI" value: NYMEX }
 		cme_mic { key: "IDL" value: NYMEX }
 		cme_mic { key: "IH" value: MGE }
-		cme_mic { key: "ILB" value: NYMEX }
 		cme_mic { key: "ILS" value: CME }
 		cme_mic { key: "IN" value: NYMEX }
 		cme_mic { key: "IP" value: MGE }
@@ -2149,6 +2194,7 @@ CmeSymbolMics
 		cme_mic { key: "J4L" value: NYMEX }
 		cme_mic { key: "J7" value: CME }
 		cme_mic { key: "JA" value: NYMEX }
+		cme_mic { key: "JCC" value: NYMEX }
 		cme_mic { key: "JDL" value: NYMEX }
 		cme_mic { key: "JE" value: NYMEX }
 		cme_mic { key: "JET" value: NYMEX }
@@ -2226,6 +2272,9 @@ CmeSymbolMics
 		cme_mic { key: "LSW" value: NYMEX }
 		cme_mic { key: "LT" value: NYMEX }
 		cme_mic { key: "LWB" value: NYMEX }
+		cme_mic { key: "M1B" value: NYMEX }
+		cme_mic { key: "M2K" value: CME }
+		cme_mic { key: "M35" value: NYMEX }
 		cme_mic { key: "M5F" value: NYMEX }
 		cme_mic { key: "M6A" value: CME }
 		cme_mic { key: "M6B" value: CME }
@@ -2256,10 +2305,11 @@ CmeSymbolMics
 		cme_mic { key: "MEB" value: NYMEX }
 		cme_mic { key: "MEE" value: NYMEX }
 		cme_mic { key: "MEF" value: NYMEX }
-		cme_mic { key: "MEL" value: NYMEX }
 		cme_mic { key: "MEO" value: NYMEX }
+		cme_mic { key: "MES" value: CME }
 		cme_mic { key: "MEW" value: NYMEX }
 		cme_mic { key: "MFB" value: NYMEX }
+		cme_mic { key: "MFC" value: CBT }
 		cme_mic { key: "MFD" value: NYMEX }
 		cme_mic { key: "MFF" value: NYMEX }
 		cme_mic { key: "MFP" value: NYMEX }
@@ -2296,6 +2346,7 @@ CmeSymbolMics
 		cme_mic { key: "MNE" value: NYMEX }
 		cme_mic { key: "MNG" value: NYMEX }
 		cme_mic { key: "MNH" value: CME }
+		cme_mic { key: "MNQ" value: CME }
 		cme_mic { key: "MNS" value: NYMEX }
 		cme_mic { key: "MNT" value: NYMEX }
 		cme_mic { key: "MO" value: NYMEX }
@@ -2327,6 +2378,7 @@ CmeSymbolMics
 		cme_mic { key: "MXB" value: NYMEX }
 		cme_mic { key: "MXL" value: NYMEX }
 		cme_mic { key: "MXR" value: NYMEX }
+		cme_mic { key: "MYM" value: CBT }
 		cme_mic { key: "N1B" value: NYMEX }
 		cme_mic { key: "N1R" value: CME }
 		cme_mic { key: "N1T" value: CME }
@@ -2344,7 +2396,6 @@ CmeSymbolMics
 		cme_mic { key: "NCF" value: NYMEX }
 		cme_mic { key: "NCO" value: NYMEX }
 		cme_mic { key: "NCP" value: NYMEX }
-		cme_mic { key: "NEN" value: NYMEX }
 		cme_mic { key: "NEO" value: NYMEX }
 		cme_mic { key: "NEP" value: NYMEX }
 		cme_mic { key: "NFC" value: NYMEX }
@@ -2358,10 +2409,14 @@ CmeSymbolMics
 		cme_mic { key: "NHN" value: NYMEX }
 		cme_mic { key: "NHO" value: NYMEX }
 		cme_mic { key: "NHP" value: NYMEX }
+		cme_mic { key: "NIM" value: CME }
+		cme_mic { key: "NIT" value: CME }
 		cme_mic { key: "NIY" value: CME }
 		cme_mic { key: "NJ" value: NYMEX }
 		cme_mic { key: "NKD" value: CME }
+		cme_mic { key: "NKM" value: CME }
 		cme_mic { key: "NKN" value: NYMEX }
+		cme_mic { key: "NKT" value: CME }
 		cme_mic { key: "NL" value: NYMEX }
 		cme_mic { key: "NLS" value: NYMEX }
 		cme_mic { key: "NMO" value: NYMEX }
@@ -2401,7 +2456,7 @@ CmeSymbolMics
 		cme_mic { key: "NYR" value: NYMEX }
 		cme_mic { key: "NYT" value: NYMEX }
 		cme_mic { key: "NZDUSC" value: CME }
-		cme_mic { key: "NZN" value: NYMEX }
+		cme_mic { key: "NZDUSD" value: FXS }
 		cme_mic { key: "OAD" value: NYMEX }
 		cme_mic { key: "ODO" value: DME }
 		cme_mic { key: "OFF" value: NYMEX }
@@ -2417,6 +2472,7 @@ CmeSymbolMics
 		cme_mic { key: "OVL" value: NYMEX }
 		cme_mic { key: "PA" value: NYMEX }
 		cme_mic { key: "PAL" value: NYMEX }
+		cme_mic { key: "PAM" value: NYMEX }
 		cme_mic { key: "PAT" value: NYMEX }
 		cme_mic { key: "PBO" value: NYMEX }
 		cme_mic { key: "PBP" value: NYMEX }
@@ -2437,7 +2493,6 @@ CmeSymbolMics
 		cme_mic { key: "PHF" value: NYMEX }
 		cme_mic { key: "PHO" value: NYMEX }
 		cme_mic { key: "PHP" value: NYMEX }
-		cme_mic { key: "PIO" value: NYMEX }
 		cme_mic { key: "PJY" value: CME }
 		cme_mic { key: "PKP" value: NYMEX }
 		cme_mic { key: "PL" value: NYMEX }
@@ -2499,6 +2554,8 @@ CmeSymbolMics
 		cme_mic { key: "R2T" value: CME }
 		cme_mic { key: "R2V" value: CME }
 		cme_mic { key: "R53" value: NYMEX }
+		cme_mic { key: "R5B" value: NYMEX }
+		cme_mic { key: "R5E" value: NYMEX }
 		cme_mic { key: "R5F" value: NYMEX }
 		cme_mic { key: "R5M" value: NYMEX }
 		cme_mic { key: "R5O" value: NYMEX }
@@ -2508,6 +2565,7 @@ CmeSymbolMics
 		cme_mic { key: "RBF" value: NYMEX }
 		cme_mic { key: "RBG" value: NYMEX }
 		cme_mic { key: "RBL" value: NYMEX }
+		cme_mic { key: "RBM" value: NYMEX }
 		cme_mic { key: "RBS" value: NYMEX }
 		cme_mic { key: "RBT" value: NYMEX }
 		cme_mic { key: "REX" value: CBT }
@@ -2536,9 +2594,11 @@ CmeSymbolMics
 		cme_mic { key: "RYA" value: NYMEX }
 		cme_mic { key: "S1U" value: CBT }
 		cme_mic { key: "S53" value: NYMEX }
+		cme_mic { key: "S5B" value: NYMEX }
 		cme_mic { key: "S5F" value: NYMEX }
 		cme_mic { key: "S5M" value: NYMEX }
 		cme_mic { key: "S5O" value: NYMEX }
+		cme_mic { key: "SBM" value: NYMEX }
 		cme_mic { key: "SBT" value: CBT }
 		cme_mic { key: "SD" value: NYMEX }
 		cme_mic { key: "SDA" value: CME }
@@ -2574,11 +2634,13 @@ CmeSymbolMics
 		cme_mic { key: "SMT" value: CME }
 		cme_mic { key: "SMU" value: NYMEX }
 		cme_mic { key: "SMW" value: NYMEX }
+		cme_mic { key: "SOM" value: CBT }
 		cme_mic { key: "SON" value: CME }
 		cme_mic { key: "SP" value: CME }
 		cme_mic { key: "SR1" value: CME }
 		cme_mic { key: "SR3" value: CME }
 		cme_mic { key: "SR5" value: NYMEX }
+		cme_mic { key: "SRB" value: NYMEX }
 		cme_mic { key: "SRT" value: NYMEX }
 		cme_mic { key: "SSI" value: NYMEX }
 		cme_mic { key: "SSP" value: COMEX }
@@ -2590,25 +2652,31 @@ CmeSymbolMics
 		cme_mic { key: "STY" value: NYMEX }
 		cme_mic { key: "SU" value: CME }
 		cme_mic { key: "SUT" value: CME }
-		cme_mic { key: "T02" value: NYMEX }
 		cme_mic { key: "T03" value: NYMEX }
 		cme_mic { key: "T04" value: NYMEX }
+		cme_mic { key: "T06" value: NYMEX }
+		cme_mic { key: "T07" value: NYMEX }
+		cme_mic { key: "T08" value: NYMEX }
+		cme_mic { key: "T09" value: NYMEX }
+		cme_mic { key: "T12" value: NYMEX }
 		cme_mic { key: "T13" value: NYMEX }
 		cme_mic { key: "T14" value: NYMEX }
-		cme_mic { key: "T17" value: NYMEX }
-		cme_mic { key: "T18" value: NYMEX }
+		cme_mic { key: "T15" value: NYMEX }
+		cme_mic { key: "T16" value: NYMEX }
 		cme_mic { key: "T19" value: NYMEX }
 		cme_mic { key: "T1U" value: CBT }
 		cme_mic { key: "T20" value: NYMEX }
 		cme_mic { key: "T21" value: NYMEX }
-		cme_mic { key: "T24" value: NYMEX }
+		cme_mic { key: "T22" value: NYMEX }
+		cme_mic { key: "T23" value: NYMEX }
 		cme_mic { key: "T26" value: NYMEX }
 		cme_mic { key: "T27" value: NYMEX }
 		cme_mic { key: "T28" value: NYMEX }
+		cme_mic { key: "T29" value: NYMEX }
 		cme_mic { key: "T2B" value: NYMEX }
 		cme_mic { key: "T2D" value: NYMEX }
 		cme_mic { key: "T2M" value: NYMEX }
-		cme_mic { key: "T31" value: NYMEX }
+		cme_mic { key: "T30" value: NYMEX }
 		cme_mic { key: "T3B" value: NYMEX }
 		cme_mic { key: "T3L" value: NYMEX }
 		cme_mic { key: "T4B" value: NYMEX }
@@ -2624,6 +2692,7 @@ CmeSymbolMics
 		cme_mic { key: "TC" value: NYMEX }
 		cme_mic { key: "TC6" value: NYMEX }
 		cme_mic { key: "TC9" value: NYMEX }
+		cme_mic { key: "TCS" value: NYMEX }
 		cme_mic { key: "TD3" value: NYMEX }
 		cme_mic { key: "TD8" value: NYMEX }
 		cme_mic { key: "TEX" value: CBT }
@@ -2633,6 +2702,7 @@ CmeSymbolMics
 		cme_mic { key: "THB" value: NYMEX }
 		cme_mic { key: "THD" value: NYMEX }
 		cme_mic { key: "TIC" value: NYMEX }
+		cme_mic { key: "TIL" value: NYMEX }
 		cme_mic { key: "TIO" value: NYMEX }
 		cme_mic { key: "TK" value: NYMEX }
 		cme_mic { key: "TKB" value: NYMEX }
@@ -2669,7 +2739,6 @@ CmeSymbolMics
 		cme_mic { key: "TUT" value: CBT }
 		cme_mic { key: "TUX" value: CBT }
 		cme_mic { key: "TW" value: NYMEX }
-		cme_mic { key: "TXN" value: NYMEX }
 		cme_mic { key: "TYT" value: CBT }
 		cme_mic { key: "TYX" value: CBT }
 		cme_mic { key: "TZ6" value: NYMEX }
@@ -2679,10 +2748,12 @@ CmeSymbolMics
 		cme_mic { key: "UB" value: CBT }
 		cme_mic { key: "UCM" value: NYMEX }
 		cme_mic { key: "UDL" value: NYMEX }
+		cme_mic { key: "UFB" value: CBT }
+		cme_mic { key: "UFE" value: CBT }
 		cme_mic { key: "UFG" value: CBT }
 		cme_mic { key: "UFN" value: CBT }
 		cme_mic { key: "UFU" value: CBT }
-		cme_mic { key: "UFZ" value: CBT }
+		cme_mic { key: "UFV" value: CBT }
 		cme_mic { key: "UGG" value: NYMEX }
 		cme_mic { key: "UKG" value: NYMEX }
 		cme_mic { key: "ULB" value: NYMEX }
@@ -2693,10 +2764,12 @@ CmeSymbolMics
 		cme_mic { key: "UNB" value: NYMEX }
 		cme_mic { key: "UNS" value: NYMEX }
 		cme_mic { key: "UR" value: NYMEX }
+		cme_mic { key: "USC" value: NYMEX }
 		cme_mic { key: "USDBRL" value: CME }
 		cme_mic { key: "USDCAC" value: CME }
 		cme_mic { key: "USDCAD" value: FXS }
 		cme_mic { key: "USDCAN" value: CME }
+		cme_mic { key: "USDCHF" value: FXS }
 		cme_mic { key: "USDCKC" value: CME }
 		cme_mic { key: "USDCLP" value: CME }
 		cme_mic { key: "USDCNY" value: CME }
@@ -2726,6 +2799,7 @@ CmeSymbolMics
 		cme_mic { key: "USDTLC" value: CME }
 		cme_mic { key: "USDTWD" value: CME }
 		cme_mic { key: "USDZRC" value: CME }
+		cme_mic { key: "USE" value: NYMEX }
 		cme_mic { key: "UV" value: NYMEX }
 		cme_mic { key: "UX" value: NYMEX }
 		cme_mic { key: "V3L" value: NYMEX }
@@ -2755,6 +2829,7 @@ CmeSymbolMics
 		cme_mic { key: "WTA" value: NYMEX }
 		cme_mic { key: "WTD" value: NYMEX }
 		cme_mic { key: "WTI" value: NYMEX }
+		cme_mic { key: "WTL" value: NYMEX }
 		cme_mic { key: "WTS" value: NYMEX }
 		cme_mic { key: "WTT" value: NYMEX }
 		cme_mic { key: "X0" value: NYMEX }
@@ -2807,6 +2882,7 @@ CmeSymbolMics
 		cme_mic { key: "YWE" value: NYMEX }
 		cme_mic { key: "YWF" value: NYMEX }
 		cme_mic { key: "YWK" value: NYMEX }
+		cme_mic { key: "Z00000" value: CME }
 		cme_mic { key: "Z1B" value: NYMEX }
 		cme_mic { key: "Z3N" value: CBT }
 		cme_mic { key: "Z4" value: NYMEX }

src/lib/config/defaults/jetfix.conf

@@ -5,7 +5,7 @@ JetFIXSimConnection {
         name: "sim"
         platform: SIM
         socket_connect_host_ip: "127.0.0.1"
-        socket_connect_port: @Ports.exchange_sim_fix_port
+        socket_connect_port: @Ports.glbx_sim_fix_port
         sender_compid: "SPARK" # this is the FIX session name
         sender_subid: "BTS"
         target_compid: "BTS"
@@ -18,9 +18,173 @@ JetFIXSimConnection {
         seconds_to_pause : 1
 	max_connection_attempts: 9999999
       }
+      sim_ice {
+        name: "sim_ice"
+        platform: SIMICE
+        socket_connect_host_ip: "127.0.0.1"
+        socket_connect_port: @Ports.ice_sim_fix_port
+        sender_compid: "51239" # this is the FIX session name
+        sender_subid: "BTS"
+        target_compid: "BTS"
+        target_subid: "BTS"
+        cme_market_segment_id: 0
+        end_time: "02:00:00"
+        start_time: "02:05:00"
+        raw_data: "1JE9X"
+        use_cme_secure_logon: false 
+        seconds_to_pause : 1
+      }      
    }
 }
 
+JetFIX {
+   rule: "CannedCertSession.name='ice_cert'"
+   value {
+      #connection: @JetFIXSimConnection.sim_ice
+      connection {
+         name: "ice_cert"
+         platform: ICE
+         use_cme_secure_logon: false
+         log_fix_stream: true
+         socket_connect_host_ip: "63.247.113.154"
+         socket_connect_port: 80
+         sender_compid: "51251"
+         target_compid: "ICE"         
+         start_time: "22:55:00"
+         end_time: "22:05:00"
+         sender_subid: "BTS"
+         user_name: "bluetrd-os" #this is the order_server_id
+         raw_data: "Starts123"
+         max_order_msgs_per_window: 300
+         auto_fix_seq_num: true
+         
+         seconds_to_replay: 6000
+      }
+      connection: @JetFIXSimConnection.sim
+      #connection: @JetFIXSimConnection.sim_ice
+      
+      connection {
+         name: "cme_mc5_99"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.199"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "99"
+         cme_market_segment_id: 99
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_58"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.172"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "58"
+         cme_market_segment_id: 58
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_54"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.191"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "54"
+         cme_market_segment_id: 54
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_82"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.179"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "82"
+         cme_market_segment_id: 82
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_56"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.174"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "56"
+         cme_market_segment_id: 56
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_50"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.202"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "50"
+         cme_market_segment_id: 50
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }
+      connection {
+         name: "cme_mc5_52"
+         platform: GLBX
+         socket_connect_host_ip: "69.50.112.181"
+         socket_connect_port: 61922
+         sender_compid: "MC5004N"
+         target_compid: "CME"
+         target_subid: "52"
+         cme_market_segment_id: 52
+         start_time: "00:30:00"
+         end_time: "23:30:00"
+         start_day: "sunday"
+         end_day: "friday"
+         sender_subid: "BTS"
+         raw_data: "S4PMA"
+         auto_fix_seq_num: true
+      }      
+   }
+}   
+
 JetFIX {
    rule: "CannedCertSession.name='mc7'"
    value {
@@ -456,193 +620,193 @@ JetFIX {
          raw_data: "S4PMA"
          auto_fix_seq_num: true
       }
-      connection {
-         name: "cme_mc5_60"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.195"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "60"
-         cme_market_segment_id: 60
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_76"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.204"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "76"
-         cme_market_segment_id: 76
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_88"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.169"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "88"
-         cme_market_segment_id: 88
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_74"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.197"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "74"
-         cme_market_segment_id: 74
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_64"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.177"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "64"
-         cme_market_segment_id: 64
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_72"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.189"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "72"
-         cme_market_segment_id: 72
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_70"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.183"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "70"
-         cme_market_segment_id: 70
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_68"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.168"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "68"
-         cme_market_segment_id: 68
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_80"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.187"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "80"
-         cme_market_segment_id: 80
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_84"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.198"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "84"
-         cme_market_segment_id: 84
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
-      connection {
-         name: "cme_mc5_78"
-         platform: GLBX
-         socket_connect_host_ip: "69.50.112.167"
-         socket_connect_port: 61922
-         sender_compid: "MC5004N"
-         target_compid: "CME"
-         target_subid: "78"
-         cme_market_segment_id: 78
-         start_time: "00:30:00"
-         end_time: "23:30:00"
-         start_day: "sunday"
-         end_day: "friday"
-         sender_subid: "BTS"
-         raw_data: "S4PMA"
-         auto_fix_seq_num: true
-      }
+      # connection {
+      #    name: "cme_mc5_60"
+      #    platform: GLBX
+      #    socket_connect_host_ip: "69.50.112.195"
+      #    socket_connect_port: 61922
+      #    sender_compid: "MC5004N"
+      #    target_compid: "CME"
+      #    target_subid: "60"
+      #    cme_market_segment_id: 60
+      #    start_time: "00:30:00"
+      #    end_time: "23:30:00"
+      #    start_day: "sunday"
+      #    end_day: "friday"
+      #    sender_subid: "BTS"
+      #    raw_data: "S4PMA"
+      #    auto_fix_seq_num: true
+      # }
+      # connection {
+      #    name: "cme_mc5_76"
+      #    platform: GLBX
+      #    socket_connect_host_ip: "69.50.112.204"
+      #    socket_connect_port: 61922
+      #    sender_compid: "MC5004N"
+      #    target_compid: "CME"
+      #    target_subid: "76"
+      #    cme_market_segment_id: 76
+      #    start_time: "00:30:00"
+      #    end_time: "23:30:00"
+      #    start_day: "sunday"
+      #    end_day: "friday"
+      #    sender_subid: "BTS"
+      #    raw_data: "S4PMA"
+      #    auto_fix_seq_num: true
+      # }
+      # connection {
+      #    name: "cme_mc5_88"
+      #    platform: GLBX
+      #    socket_connect_host_ip: "69.50.112.169"
+      #    socket_connect_port: 61922
+      #    sender_compid: "MC5004N"
+      #    target_compid: "CME"
+      #    target_subid: "88"
+      #    cme_market_segment_id: 88
+      #    start_time: "00:30:00"
+      #    end_time: "23:30:00"
+      #    start_day: "sunday"
+      #    end_day: "friday"
+      #    sender_subid: "BTS"
+      #    raw_data: "S4PMA"
+      #    auto_fix_seq_num: true
+      # }
+      # connection {
+      #    name: "cme_mc5_74"
+      #    platform: GLBX
+      #    socket_connect_host_ip: "69.50.112.197"
+      #    socket_connect_port: 61922
+      #    sender_compid: "MC5004N"
+      #    target_compid: "CME"
+      #    target_subid: "74"
+      #    cme_market_segment_id: 74
+      #    start_time: "00:30:00"
+      #    end_time: "23:30:00"
+      #    start_day: "sunday"
+      #    end_day: "friday"
+      #    sender_subid: "BTS"
+      #    raw_data: "S4PMA"
+      #    auto_fix_seq_num: true
+      # }
+      # connection {
+      #    name: "cme_mc5_64"
+      #    platform: GLBX
+      #    socket_connect_host_ip: "69.50.112.177"
+      #    socket_connect_port: 61922
+      #    sender_compid: "MC5004N"
+      #    target_compid: "CME"
+      #    target_subid: "64"
+      #    cme_market_segment_id: 64
+      #    start_time: "00:30:00"
+      #    end_time: "23:30:00"
+      #    start_day: "sunday"
+      #    end_day: "friday"
+      #    sender_subid: "BTS"
+      #    raw_data: "S4PMA"
+      #    auto_fix_seq_num: true
+      # }
+      # connection {
+      #    name: "cme_mc5_72"
+      #    platform: GLBX
+      #    socket_connect_host_ip: "69.50.112.189"
+      #    socket_connect_port: 61922
+      #    sender_compid: "MC5004N"
+      #    target_compid: "CME"
+      #    target_subid: "72"
+      #    cme_market_segment_id: 72
+      #    start_time: "00:30:00"
+      #    end_time: "23:30:00"
+      #    start_day: "sunday"
+      #    end_day: "friday"
+      #    sender_subid: "BTS"
+      #    raw_data: "S4PMA"
+      #    auto_fix_seq_num: true
+      # }
+      # connection {
+      #    name: "cme_mc5_70"
+      #    platform: GLBX
+      #    socket_connect_host_ip: "69.50.112.183"
+      #    socket_connect_port: 61922
+      #    sender_compid: "MC5004N"
+      #    target_compid: "CME"
+      #    target_subid: "70"
+      #    cme_market_segment_id: 70
+      #    start_time: "00:30:00"
+      #    end_time: "23:30:00"
+      #    start_day: "sunday"
+      #    end_day: "friday"
+      #    sender_subid: "BTS"
+      #    raw_data: "S4PMA"
+      #    auto_fix_seq_num: true
+      # }
+      # connection {
+      #    name: "cme_mc5_68"
+      #    platform: GLBX
+      #    socket_connect_host_ip: "69.50.112.168"
+      #    socket_connect_port: 61922
+      #    sender_compid: "MC5004N"
+      #    target_compid: "CME"
+      #    target_subid: "68"
+      #    cme_market_segment_id: 68
+      #    start_time: "00:30:00"
+      #    end_time: "23:30:00"
+      #    start_day: "sunday"
+      #    end_day: "friday"
+      #    sender_subid: "BTS"
+      #    raw_data: "S4PMA"
+      #    auto_fix_seq_num: true
+      # }
+      # connection {
+      #    name: "cme_mc5_80"
+      #    platform: GLBX
+      #    socket_connect_host_ip: "69.50.112.187"
+      #    socket_connect_port: 61922
+      #    sender_compid: "MC5004N"
+      #    target_compid: "CME"
+      #    target_subid: "80"
+      #    cme_market_segment_id: 80
+      #    start_time: "00:30:00"
+      #    end_time: "23:30:00"
+      #    start_day: "sunday"
+      #    end_day: "friday"
+      #    sender_subid: "BTS"
+      #    raw_data: "S4PMA"
+      #    auto_fix_seq_num: true
+      # }
+      # connection {
+      #    name: "cme_mc5_84"
+      #    platform: GLBX
+      #    socket_connect_host_ip: "69.50.112.198"
+      #    socket_connect_port: 61922
+      #    sender_compid: "MC5004N"
+      #    target_compid: "CME"
+      #    target_subid: "84"
+      #    cme_market_segment_id: 84
+      #    start_time: "00:30:00"
+      #    end_time: "23:30:00"
+      #    start_day: "sunday"
+      #    end_day: "friday"
+      #    sender_subid: "BTS"
+      #    raw_data: "S4PMA"
+      #    auto_fix_seq_num: true
+      # }
+      # connection {
+      #    name: "cme_mc5_78"
+      #    platform: GLBX
+      #    socket_connect_host_ip: "69.50.112.167"
+      #    socket_connect_port: 61922
+      #    sender_compid: "MC5004N"
+      #    target_compid: "CME"
+      #    target_subid: "78"
+      #    cme_market_segment_id: 78
+      #    start_time: "00:30:00"
+      #    end_time: "23:30:00"
+      #    start_day: "sunday"
+      #    end_day: "friday"
+      #    sender_subid: "BTS"
+      #    raw_data: "S4PMA"
+      #    auto_fix_seq_num: true
+      # }
    }
 }
 JetFIX {

src/lib/config/defaults/orders_fills_cleanup.conf

@@ -2,4 +2,14 @@ OrdersSoftCleanupCutoff {
    value {
       extra_days: 1
    }
+}
+
+SODTime 
+{
+   rule: "DeploymentType.type == 'dev'"
+   value
+   {
+      sod_hh: 20
+      sod_mm: 30
+   }
 }

src/lib/config/protos/MarketData.proto

@@ -154,6 +154,7 @@ message ICEOptions
    message ICEChannel {
       required string name = 1;
       repeated uint32 market_type = 2;
+      repeated uint32 uds_market_type = 7;
       optional uint32 udp_buffer_size = 3 [default = 4194304]; //4mb      
       optional uint32 heartbeat_interval = 4 [default = 36000];
       optional uint32 sequence_gap_margin = 5 [default = 10000];

src/lib/config/protos/Ports.proto

@@ -5,6 +5,7 @@ message Ports {
   // see ports.conf for actual defaults
   optional int32 config_port = 1 ;
   optional int32 qbus_port = 2 ;
-  optional int32 exchange_sim_fix_port =  3 ;
+  optional int32 glbx_sim_fix_port =  3 ;
+  optional int32 ice_sim_fix_port =  5 ;
   optional int32 replicator_port = 4 ;
 }

src/lib/config/protos/Symbols.proto

@@ -20,4 +20,5 @@ message Symbols {
   optional SecurityExchangeList glbx = 10;
   optional SecurityExchangeList sim = 20;
   optional SecurityExchangeList ice = 30;
+  optional SecurityExchangeList simice = 40;
 }

src/lib/config/protos/UI.proto

@@ -143,11 +143,4 @@ message OffsetAttachUIOptions {
 
 message ManualFillsOptions {
    optional bool modal_transactions = 1 [default = true];
-}
-
-message AlgoPermissions {
-   repeated string exchange_order_types = 10;
-   repeated string spreader_order_types = 20;
-   repeated string attachable_order_types = 30;
-   repeated string outright_order_types = 40;
 }

src/lib/config/protos/jetfix.proto

@@ -7,9 +7,11 @@ message JetFIX {
     required string name = 10;
 
     enum JetFIXPlatform {
-	GLBX = 1;
-	CBOE = 6;
-        SIM = 2;
+	   GLBX = 1;
+	   CBOE = 6;
+      SIM = 2;
+      ICE = 3;
+      SIMICE = 4;
     }
     optional JetFIXPlatform platform = 15                       [default = GLBX];
     
@@ -47,6 +49,7 @@ message JetFIX {
     optional string target_subid = 130				[default = ""];
     optional string sender_locationid = 135			[default = "US,NC"];
     optional string raw_data = 136				[default =""];
+    optional string user_name = 138 				[default =""];
     optional string self_match_prevention_id = 140		[default=""];
     optional string cti_code = 145				[default="1"];
     optional int32  customer_or_firm = 147		        [default=1];
@@ -91,6 +94,7 @@ message JetFIX {
 
 message JetFIXSimConnection {
   required JetFIX.Connection sim = 10;
+  required JetFIX.Connection sim_ice = 20;
 }
 
 message CannedCertSession {

src/lib/domain_model/Security.cpp

@@ -27,9 +27,10 @@ std::string descriptor(api::Security const &sec) {
    else if (sec.has_ice())
       return sec.ice().security_desc();
    else
-      return "No descriptor for non glbx exchange";
+      return "No descriptor for non glbx / ice exchange";
 }
 
+
 boost::gregorian::date smallest_leg(
     ::google::protobuf::RepeatedPtrField<::bts::api::ContractLeg> const &l) {
    bts_assert(l.size());

src/lib/domain_model/Security.h

@@ -182,5 +182,6 @@ inline bool gr_than(double p1, double p2, double tick_size) {
    return gr_than_eq(p1, p2, tick_size) &&
          !test_price_equality(p1,p2,tick_size);
 }
-} // namespace securities
-} // namespace bts
+
+
+}}

src/lib/domain_model/Security.proto

@@ -12,6 +12,7 @@ enum Venue {
      VENUE_CBOECFE = 207;
      VENUE_GLBX = 301;
      VENUE_ICE = 306;
+     VENUE_SIMICE = 3;
 }
 
 enum SecurityType {
@@ -54,11 +55,12 @@ enum CMEMics {
 }
 
 enum ICEMics{
-   ICE_UNSET=0;
-   ICE_US = 1;
-   ICE_EU = 2;
-   ICE_LIFFE = 3;
-   ICE_CA = 4;
+   IF_UNSET = 0;
+   IFU = 1;
+   IFE = 2;
+   IFL = 3;
+   IFC = 4;
+   IFEN = 5;
 }
 
 enum Side {
@@ -103,8 +105,9 @@ message CBOECFEExchangeData {
 message ICEExchangeData {
    int64 exchange_id = 10;
    string security_desc = 15; //contractSymbol
-   int32 deal_display_factor = 20;
-   int32 settle_display_factor = 30;
+   int32 price_denominator = 17;
+   int32 deal_denominator = 20;
+   int32 settle_denominator = 30;
    
    string market_description = 100;
    string cleared_alias = 110;

src/lib/jetfix/codec/FIXEncodingStream.h

@@ -1,11 +1,11 @@
 #pragma once
 
-#include <memory>
 #include "lib/jetfix/codec/FIXBuffer.h"
-#include "lib/jetfix/codec/MessageTypes.h"
 #include "lib/jetfix/codec/FIXFragment.h"
-#include "lib/jetfix/codec/Fields.h"
 #include "lib/jetfix/codec/FieldDefinitions.h"
+#include "lib/jetfix/codec/Fields.h"
+#include "lib/jetfix/codec/MessageTypes.h"
+#include <memory>
 
 #include "lib/config/protos/jetfix.pb.h"
 
@@ -14,185 +14,186 @@ namespace jetfix {
 
 // Helper to batch the encoding of multiple FIX messages all sharing
 // the same FIX headers.
-class FIXEncodingStream
-{
-public:
+class FIXEncodingStream {
+ public:
    FIXEncodingStream(config::JetFIX::Connection const &cfg,
-                     uint32_t initial_capacity = 1024*10)
-      :
-      _msg_header_template (),
-      _header_template_size (),
-      _header_template_checksum (),
-      _buffer (initial_capacity),
-      _message_map (),
-      _current_msg (_buffer),
-      _state (State::OPEN),
-      _body_length_bm (),
-      _msg_type_bm (),
-      _seq_num_bm (),
-      _last_seq_num_bm (),
-      _sending_time_bm ()
-   {
-      _message_map.reserve (10*1024);
+                     uint32_t initial_capacity = 1024 * 10)
+       : _msg_header_template(), _header_template_size(),
+         _header_template_checksum(), _buffer(initial_capacity), _message_map(),
+         _current_msg(_buffer), _state(State::OPEN), _seq_num_bm(),
+         _last_seq_num_bm(), _sending_time_bm() {
+      _message_map.reserve(10 * 1024);
 
-      FIXBuffer header_buffer (&_msg_header_template[0],_msg_header_template.size ());
-      FIXFragment header (header_buffer);
-      header.add<fix::BeginString>("FIX.4.2");
+      FIXBuffer header_buffer(&_msg_header_template[0],
+                              _msg_header_template.size());
+      FIXFragment header(header_buffer);
 
-      _body_length_bm = header.add<fix::BodyLength>(0,6);
-      _msg_type_bm = header.add<fix::MsgType>(" ",1);
-      _seq_num_bm = header.add<fix::MsgSeqNum>(0,9);
-      _last_seq_num_bm = header.add<fix::LastSeqNumProcessed>(0,9);
+      // We cannot include body lenght and msg type in the header
+      // because message type is not fixed lenght, and therefore its
+      // not possible to have bookmarks to fields after it, ahead of
+      // knowing the message type value. The rest of the header is
+      // fixed lenght so we form it here.
+      _seq_num_bm = header.add<fix::MsgSeqNum>(0, 9);
+      _last_seq_num_bm = header.add<fix::LastSeqNumProcessed>(0, 9);
       _sending_time_bm = header.add<SendingTimeStr>(
-          "20150427-19:05:18.923",sizeof("20150427-19:05:18.923")-1);
+          "20150427-19:05:18.923", sizeof("20150427-19:05:18.923") - 1);
 
-      header.add<fix::SenderCompID>(cfg.sender_compid ());
-      header.add<fix::TargetCompId>(cfg.target_compid ());
-      header.add<fix::TargetSubID>(cfg.target_subid ());
-      _header_template_size = header.size ();
-      _header_template_checksum = header.checksum ();
+      header.add<fix::SenderCompID>(cfg.sender_compid());
+      header.add<fix::TargetCompId>(cfg.target_compid());
+      header.add<fix::TargetSubID>(cfg.target_subid());
+      _header_template_size = header.size();
+      _header_template_checksum = header.checksum();
    }
 
-   inline FIXFragment &new_msg (MessageTypes type)
-   {
-      bts_assert (_state == State::OPEN);
-      tidy_last_msg ();
-      
-      auto msg_offset = _buffer.size ();
-      _message_map.emplace_back (msg_offset,0u,0u,0u,FIXFragment::Bookmark<IntField<10u>>());
-      _current_msg = FIXFragment (_buffer);
-      _current_msg.append (&_msg_header_template[0],
-                           _header_template_size,
-                           _header_template_checksum);
-      char msg_type_str[1] = {(char) type};
-      _current_msg.overwrite (_msg_type_bm.shift (msg_offset),msg_type_str,1);
+   inline FIXFragment &new_msg(MessageTypes type) {
+      bts_assert(_state == State::OPEN);
+      tidy_last_msg();
+
+      auto msg_offset = _buffer.size();
+
+      _current_msg = FIXFragment(_buffer);
+      _begin_string_bm = _current_msg.add<fix::BeginString>("FIX.4.2");
+      _body_length_bm = _current_msg.add<fix::BodyLength>(0, 6);
+
+      char mt_encoding[4];
+      auto start = encode_message_type(type, mt_encoding);
+      _msg_type_bm = _current_msg.add<fix::MsgType>(
+          mt_encoding + start, sizeof(mt_encoding) - start);
+
+      auto header_offset = _buffer.size();
+      _message_map.emplace_back(msg_offset, header_offset, 0u, 0u, 0u,
+                                FIXFragment::Bookmark<IntField<10u>>());
+      _current_msg.append(&_msg_header_template[0], _header_template_size,
+                          _header_template_checksum);
       return _current_msg;
    }
-   
-   inline void close ()
-   {
-      bts_assert (_state == State::OPEN);
-      tidy_last_msg ();
+
+   inline void close() {
+      bts_assert(_state == State::OPEN);
+      tidy_last_msg();
       _state = State::CLOSED;
    }
 
-   inline void reopen_empty ()
-   {
-      bts_assert (_state == State::CLOSED);
-      bts_assert (_message_map.empty ());
+   inline void reopen_empty() {
+      bts_assert(_state == State::CLOSED);
+      bts_assert(_message_map.empty());
       _state = State::OPEN;
    }
-   
-   inline uint32_t size () const
-   {return _buffer.size ();}
 
-   inline const char* data () const
-   {return _buffer.data ();}
+   inline uint32_t size() const { return _buffer.size(); }
 
-   struct MessageDesc
-   {
-      MessageDesc (uint32_t offset,
-                   uint32_t size,
-                   uint32_t checksum,
-                   uint32_t seq_num,
-                   FIXFragment::Bookmark<fix::Checksum> checksum_bm)
-         : offset (offset),
-           size (size),
-           checksum (checksum),
-           seq_num (seq_num),
-           checksum_bm (checksum_bm)
-      {}
-      
+   inline const char *data() const { return _buffer.data(); }
+
+   struct MessageDesc {
+      MessageDesc(uint32_t offset, uint32_t header_offset, uint32_t size,
+                  uint32_t checksum, uint32_t seq_num,
+                  FIXFragment::Bookmark<fix::Checksum> checksum_bm)
+          : offset(offset), header_offset(header_offset), size(size),
+            checksum(checksum), seq_num(seq_num), checksum_bm(checksum_bm) {}
 
       uint32_t offset;
+      uint32_t header_offset;
       uint32_t size;
       uint32_t checksum;
       uint32_t seq_num;
       FIXFragment::Bookmark<fix::Checksum> checksum_bm;
    };
-   
-   std::string to_str () const 
-   {
+
+   std::string to_str() const {
       std::string result;
-      
-      if (size ())  {
+
+      if (size()) {
          // return std::string(data(),size() is simpler but valgrind
          // reports a warning in that call
-         result.resize (size ());
-         std::copy (data (), data ()+size(),result.begin ());
+         result.resize(size());
+         std::copy(data(), data() + size(), result.begin());
       }
       return result;
    }
 
-   std::string to_human_str () const 
-   {
-      auto s = to_str ();
-      std::replace( s.begin(), s.end(), '\001', '|' );
+   std::string to_human_str() const {
+      auto s = to_str();
+      std::replace(s.begin(), s.end(), '\001', '|');
       return s;
    }
-   
-   inline uint32_t stamp (uint32_t seq_num,uint32_t last_processed, std::string const&time_str)
-   {
-      bts_assert (_state == State::CLOSED);
+
+   inline uint32_t stamp(uint32_t seq_num, uint32_t last_processed,
+                         std::string const &time_str) {
+      bts_assert(_state == State::CLOSED);
       _state = State::STAMPED;
 
       for (auto &m : _message_map) {
          ++seq_num;
          m.seq_num = seq_num;
 
-         FIXFragment frag (_buffer,m.checksum);
-         frag.overwrite (_seq_num_bm.shift (m.offset),m.seq_num,9);
-         frag.overwrite (_last_seq_num_bm.shift (m.offset),last_processed,9);
-         frag.overwrite (_sending_time_bm.shift (m.offset),time_str);
-         frag.overwrite_checksum (m.checksum_bm,frag.checksum () % 256);
+         FIXFragment frag(_buffer, m.checksum);
+         frag.overwrite(_seq_num_bm.shift(m.header_offset), m.seq_num, 9);
+         frag.overwrite(_last_seq_num_bm.shift(m.header_offset), last_processed,
+                        9);
+         frag.overwrite(_sending_time_bm.shift(m.header_offset), time_str);
+         frag.overwrite_checksum(m.checksum_bm, frag.checksum() % 256);
       }
       return seq_num;
    }
 
-   inline void reset ()
-   {
-      _buffer.reset ();
-      _message_map.clear ();
+   inline void reset() {
+      _buffer.reset();
+      _message_map.clear();
       _state = State::OPEN;
    }
 
-   inline bool is_closed () const 
-   {return _state == State::CLOSED;}
+   inline bool is_closed() const { return _state == State::CLOSED; }
 
-   size_t n_msgs () const {return _message_map.size ();}
-   
-   std::vector<MessageDesc> const &msg_map () const {return _message_map;}
-private:
-   std::array<char,256> _msg_header_template;
+   size_t n_msgs() const { return _message_map.size(); }
+
+   std::vector<MessageDesc> const &msg_map() const { return _message_map; }
+
+ private:
+   std::array<char, 256> _msg_header_template;
    uint32_t _header_template_size;
    uint32_t _header_template_checksum;
    FIXBuffer _buffer;
    std::vector<MessageDesc> _message_map;
    FIXFragment _current_msg;
-   enum class State { OPEN,CLOSED,STAMPED};
+   enum class State { OPEN, CLOSED, STAMPED };
    State _state;
-   
+
+   // These bookmarks point to the current msg (not the header)
+   FIXFragment::Bookmark<fix::BeginString> _begin_string_bm;
    FIXFragment::Bookmark<fix::BodyLength> _body_length_bm;
    FIXFragment::Bookmark<fix::MsgType> _msg_type_bm;
+
+   // These bookmarks point to the header and thus have to be shifted
+   // by the offset of the end of the message type.
    FIXFragment::Bookmark<fix::MsgSeqNum> _seq_num_bm;
    FIXFragment::Bookmark<fix::LastSeqNumProcessed> _last_seq_num_bm;
    typedef StringField<fix::SendingTime::tag> SendingTimeStr;
    FIXFragment::Bookmark<SendingTimeStr> _sending_time_bm;
 
-   inline void tidy_last_msg ()
-   {
-      if (_message_map.size ()) {
-         auto &this_msg_map = _message_map.back ();
-         auto start =
-            this_msg_map.offset + _msg_type_bm.offset - fix::MsgType::tag_sz-1;
-         auto end = _buffer.size ();
-         _current_msg.overwrite (_body_length_bm.shift (this_msg_map.offset),
-                                 end-start,6);
-         this_msg_map.checksum = _current_msg.checksum ();
-         this_msg_map.checksum_bm = _current_msg.add_checksum (0);
-         this_msg_map.size = _buffer.size () - this_msg_map.offset;
+   inline void tidy_last_msg() {
+      if (_message_map.size()) {
+         auto &this_msg_map = _message_map.back();
+         auto start = _msg_type_bm.offset - fix::MsgType::tag_sz - 1;
+         auto end = _buffer.size();
+         _current_msg.overwrite(_body_length_bm, end - start, 6);
+         this_msg_map.checksum = _current_msg.checksum();
+         this_msg_map.checksum_bm = _current_msg.add_checksum(0);
+         this_msg_map.size = _buffer.size() - this_msg_map.offset;
       }
    }
+
+   uint32_t encode_message_type(MessageTypes m, char out[4]) {
+      auto mt = (uint32_t)m;
+      for (int i = 0; i < 4; i++) {
+         out[i] = mt >> (8 * (3 - i));
+         mt &= ((1 << (8 * (3 - i))) - 1);
+      }
+      for (int i = 0; i < 4; i++)
+         if (out[i])
+            return i;
+      return 0;
+   }
 };
 
-}}
+} // namespace jetfix
+} // namespace bts

src/lib/jetfix/codec/FieldDefinitions.h

@@ -69,6 +69,9 @@ typedef StringField<143> TargetLocationID;
 typedef StringField<1603> ApplicationSystemName;
 typedef StringField<1604> ApplicationSystemVersion;
 typedef StringField<1605> ApplicationSystemVendor;
+typedef StringField<9450> ICEApplicationSystemName;
+typedef StringField<9451> ICEApplicationSystemVersion;
+typedef StringField<9452> ICEApplicationSystemVendor;
 typedef StringField<167> SecurityType;
 typedef StringField<17> ExecID;
 typedef StringField<19> ExecRefID;
@@ -97,6 +100,7 @@ typedef StringField<7928> SelfMatchPreventionID;
 typedef StringField<8> BeginString;
 typedef StringField<9324> OrderOptionalData;
 typedef StringField<96> RawData;
+typedef StringField<553> UserName;
 typedef StringField<9717> CorrelationClOrdID;
 typedef StringField<9771> MMAccount;
 typedef TimeField<122> OrigSendingTime;
@@ -104,6 +108,38 @@ typedef TimeField<52> SendingTime;
 typedef TimeField<5979> RequestTime;
 typedef TimeField<60> TransactTime;
 
+//ICE
+typedef IntField<9208> Int_CtiCode; 
+typedef BigIntField<11> Int_ClOrdID; 
+typedef BigIntField<37> Int_OrderID; 
+typedef BigIntField<41> Int_OrigClOrdID; 
+typedef IntField<109> CompanyID; 
+typedef IntField<55> Int_Symbol; 
+typedef IntField<439> Int_ClearingFirm;
+typedef StringField<9121> Memo;
+typedef IntField<103> OrdRejReason;
+typedef IntField<285> DeleteReason;
+typedef CharField<9195> AccountCode;
+typedef StringField<9207> CustomerAccountRefId;
+typedef StringField<115> OnBehalfOfCompID;
+typedef StringField<116> OnBehalfOfSubID;
+typedef StringField<144> OnBehalfOfLocationID;
+typedef StringField<9139> OriginatorUserID;
+typedef CharField<18> ExecInst;
+typedef IntField<210> MaxShow;
+typedef IntField<9006> ICEStrategyPreference;
+typedef IntField<9007> ICETimeStampPreference;
+typedef StringField<1031> CustOrderHandlingInst;
+
+typedef IntField<9700> MifidDirectElectronicAccess;
+typedef IntField<9701> MifidTradingCapacity;
+typedef IntField<9702> MifidLiquidityProvision;
+typedef IntField<9703> MifidCommodityDerivIndicator;
+typedef BigIntField<9704> MifidInvestmentDecision;
+typedef BigIntField<9705> MifidExecutionDecision;
+typedef BigIntField<9706> MifidClientIDCode;
+typedef BigIntField<9707> MifidId;
+
 typedef Group<NoQuoteEntries,
               QuoteEntryID,
               Symbol,

src/lib/jetfix/codec/Fields.h

@@ -156,6 +156,33 @@ public:
    }
 };
 
+template <uint16_t tag>
+class BigIntField : public BaseField<tag,int64_t>
+{
+public:
+   typedef BaseField<tag,int64_t> Parent;
+
+   void read (ReaderCursor &cursor)
+   {
+      auto loc = cursor.read_field ();
+      Parent::_value = atoll (&(cursor.data ()[loc.first]));
+   }
+
+   static uint32_t max_value_size (int64_t,int pad = 0)
+   {
+      if (pad == 0)
+         return 20;
+      else
+         return pad;
+   }
+   
+   static std::pair<uint32_t,uint32_t> write (char*buffer,int64_t i,int pad = 0)
+   {
+      auto written = i64_toa (i,buffer,pad);
+      return std::make_pair (written,sum_bytes (buffer,written));
+   }
+};
+
 template <uint16_t tag>
 class StringField : public BaseField<tag,std::string>
 {

src/lib/jetfix/codec/MessageDefinitions.h

@@ -66,5 +66,58 @@ typedef FIXMsg<MessageTypes::CancelReject,
                CorrelationClOrdID>
 CancelRejectMsg;
 
+typedef FIXMsg<MessageTypes::ICETraderLoginResponse, 
+               CompanyID,
+               UserName,
+               Text>
+ICETraderLoginResponseMsg;
+
+typedef FIXMsg<MessageTypes::ICETraderLogoutResponse, 
+               CompanyID,
+               UserName,
+               Text>
+ICETraderLogoutResponseMsg;
+
+typedef FIXMsg<MessageTypes::ExecutionReport,
+               Int_OrderID,
+               Int_ClOrdID,
+               CompanyID,
+               ExecID,               
+               ExecRefID,
+               ExecType,
+               OrdStatus,
+               OrdRejReason,               
+               Int_Symbol,               
+               Side,
+               OrderQty,
+               MaxShow,
+               OrdType,
+               Price,
+               StopPx,
+               TimeInForce,
+               LeavesQty,
+               CumQty,
+               AvgPx,
+               LastPx,
+               LastShares,               
+               TransactTimeStr,
+               MultiLegReportingType,               
+               ClearingAccount,            
+               Memo,                                       
+               Text,
+               DeleteReason,
+               TargetSubID,
+               MsgSeqNum>
+ICEExecutionReportMsg;
+
+typedef FIXMsg<MessageTypes::CancelReject,
+               Int_OrderID,
+               Int_ClOrdID,
+               Int_OrigClOrdID,
+               CXlRejReason,
+               Text,
+               Memo>
+ICECancelRejectMsg;
+
 }}}
 

src/lib/jetfix/codec/MessageTypes.h

@@ -5,7 +5,7 @@
 namespace bts {
 namespace jetfix {
 
-enum class MessageTypes
+enum class MessageTypes : uint32_t
 {
    Advertisement               = '7',
    Allocation                  = 'J',
@@ -48,7 +48,12 @@ enum class MessageTypes
    SettlementInstructions      = 'T',
    TestRequest                 = '1',
    TradingSessionStatus        = 'h',
-   TradingSessionStatusRequest = 'g'
+   TradingSessionStatusRequest = 'g',
+   ICETraderLogin              = ('U' << 16) + ('C' << 8) + 'G',
+   ICETraderLoginResponse      = ('U' << 16) + ('C' << 8) + 'I',   
+   ICETraderLogout             = ('U' << 16) + ('C' << 8) + 'H',   
+   ICETraderLogoutResponse     = ('U' << 16) + ('C' << 8) + 'J',   
+   
 };
 
 }}

src/lib/jetfix/codec/i32_toa.h

@@ -259,3 +259,199 @@ inline int u32_toa(uint32_t u, char* buffer, int pad) {
 }
 
 
+///https://github.com/miloyip/itoa-benchmark
+
+#define BEGIN2(n) \
+    do { \
+        int t = (n); \
+        if(t < 10) *p++ = '0' + t; \
+        else { \
+            t *= 2; \
+            *p++ = gDigitsLut[t]; \
+            *p++ = gDigitsLut[t + 1]; \
+        } \
+    } while(0)
+#define MIDDLE2(n) \
+    do { \
+        int t = (n) * 2; \
+        *p++ = gDigitsLut[t]; \
+        *p++ = gDigitsLut[t + 1]; \
+    } while(0)
+#define BEGIN4(n) \
+    do { \
+        int t4 = (n); \
+        if(t4 < 100) BEGIN2(t4); \
+        else { BEGIN2(t4 / 100); MIDDLE2(t4 % 100); } \
+    } while(0)
+#define MIDDLE4(n) \
+    do { \
+        int t4 = (n); \
+        MIDDLE2(t4 / 100); MIDDLE2(t4 % 100); \
+    } while(0)
+#define BEGIN8(n) \
+    do { \
+        uint32_t t8 = (n); \
+        if(t8 < 10000) BEGIN4(t8); \
+        else { BEGIN4(t8 / 10000); MIDDLE4(t8 % 10000); } \
+    } while(0)
+#define MIDDLE8(n) \
+    do { \
+        uint32_t t8 = (n); \
+        MIDDLE4(t8 / 10000); MIDDLE4(t8 % 10000); \
+    } while(0)
+#define MIDDLE16(n) \
+    do { \
+        uint64_t t16 = (n); \
+        MIDDLE8(t16 / 100000000); MIDDLE8(t16 % 100000000); \
+    } while(0)
+    
+inline int u64_toa(uint64_t value, char* p) 
+{
+   auto start = p;
+   if(value < 100000000) BEGIN8(value);
+   else if(value < 10000000000000000) { BEGIN8(value / 100000000); MIDDLE8(value % 100000000); }
+   else { BEGIN4(value / 10000000000000000); MIDDLE16(value % 10000000000000000); }
+   *p = 0;   
+   return p-start;
+}    
+
+inline int count_digits (int64_t value)
+{
+   static auto P01 = 10ull;
+   static auto P02 = P01*10;
+   static auto P03 = P02*10;
+   static auto P04 = P03*10;
+   static auto P05 = P04*10;
+   static auto P06 = P05*10;
+   static auto P07 = P06*10;
+   static auto P08 = P07*10;
+   static auto P09 = P08*10;
+   static auto P10 = P09*10;
+   static auto P11 = P10*10;
+   static auto P12 = P11*10;
+   static auto P13 = P12*10;
+   static auto P14 = P13*10;
+   static auto P15 = P14*10;
+   static auto P16 = P15*10;
+   static auto P17 = P16*10;
+   static auto P18 = P17*10;
+   static auto P19 = P18*10;
+
+   uint64_t u = static_cast<uint64_t>(value);
+   if (value < 0) 
+      u = ~u + 1;
+
+   if (u < P01) return 1;
+   if (u < P02) return 2;
+   if (u < P03) return 3;
+   if (u < P04) return 4;
+   if (u < P05) return 5;
+   if (u < P06) return 6;
+   if (u < P07) return 7;
+   if (u < P08) return 8;
+   if (u < P09) return 9;
+   if (u < P10) return 10;
+   if (u < P11) return 11;
+   if (u < P12) return 12;
+   if (u < P13) return 13;
+   if (u < P14) return 14;
+   if (u < P15) return 15;
+   if (u < P16) return 16;
+   if (u < P17) return 17;
+   if (u < P18) return 18;
+   if (u < P19) return 19;
+   return 20;
+}
+
+inline int count_digits (uint64_t u)
+{
+   static auto P01 = 10ull;
+   static auto P02 = P01*10;
+   static auto P03 = P02*10;
+   static auto P04 = P03*10;
+   static auto P05 = P04*10;
+   static auto P06 = P05*10;
+   static auto P07 = P06*10;
+   static auto P08 = P07*10;
+   static auto P09 = P08*10;
+   static auto P10 = P09*10;
+   static auto P11 = P10*10;
+   static auto P12 = P11*10;
+   static auto P13 = P12*10;
+   static auto P14 = P13*10;
+   static auto P15 = P14*10;
+   static auto P16 = P15*10;
+   static auto P17 = P16*10;
+   static auto P18 = P17*10;
+   static auto P19 = P18*10;
+
+   if (u < P01) return 1;
+   if (u < P02) return 2;
+   if (u < P03) return 3;
+   if (u < P04) return 4;
+   if (u < P05) return 5;
+   if (u < P06) return 6;
+   if (u < P07) return 7;
+   if (u < P08) return 8;
+   if (u < P09) return 9;
+   if (u < P10) return 10;
+   if (u < P11) return 11;
+   if (u < P12) return 12;
+   if (u < P13) return 13;
+   if (u < P14) return 14;
+   if (u < P15) return 15;
+   if (u < P16) return 16;
+   if (u < P17) return 17;
+   if (u < P18) return 18;
+   if (u < P19) return 19;
+   return 20;
+}
+
+inline int i64_toa(int64_t value, char* buffer, int pad) 
+{
+   auto start = buffer;
+   uint64_t u = static_cast<uint64_t>(value);
+   if (value < 0) {
+      *buffer++ = '-';
+      u = ~u + 1;
+   }
+   if (pad) 
+   {
+      auto digits = count_digits (value);
+      auto offset = pad - digits;
+      if (offset > 0) 
+      {
+         auto start = buffer + offset;
+         while (buffer != start)
+         {
+            *buffer='0';
+            buffer++;
+         }
+      }
+      else if (offset < 0)
+         return 0;
+   }
+   return (buffer-start) + u64_toa(u, buffer);
+}
+
+inline int u64_toa(uint64_t u, char* buffer, int pad) 
+{
+   auto start = buffer;
+   if (pad) 
+   {
+      auto digits = count_digits (u);
+      auto offset = pad - digits;
+      if (offset > 0) 
+      {
+         auto start = buffer + offset;
+         while (buffer != start)
+         {
+            *buffer='0';
+            buffer++;
+         }
+      }
+      else if (offset < 0)
+         return 0;
+   }
+   return (buffer-start) + u64_toa(u, buffer);
+}

src/lib/jetfix/gateway/Session.cpp

@@ -783,42 +783,63 @@ OutFIXPtr make_logon(uint32_t seq_num, uint32_t last_seq_num_processed,
    const char *application = "O2";
 #endif
 
-   buffer.add<ApplicationSystemName>(application);
-   buffer.add<ApplicationSystemVersion>("1.0");
-   buffer.add<ApplicationSystemVendor>("BTS");
-
-   if (session_cfg.has_trading_session_id()) {
-      buffer.add<fix::NoTradingSessions>(1);
-      buffer.add<fix::TradingSessionID>(session_cfg.trading_session_id());
-   }
-   if (session_cfg.has_udf_support_indicator())
-      buffer.add<fix::UDFSupportIndicator>(session_cfg.udf_support_indicator());
-
-   if (session_cfg.use_cme_secure_logon()) {
-      bts_assert(session_cfg.sender_compid().size() >= 3);
-      auto session_id = session_cfg.sender_compid().substr(0, 3);
-      std::string seq_num_str(9, ' ');
-      i32_toa(seq_num, &seq_num_str[0], 9);
-
-      std::string last_seq_num_str(9, ' ');
-      i32_toa(last_seq_num_processed, &last_seq_num_str[0], 9);
-      auto ld = glbx::calculate_hmac(
-          session_id, seq_num_str, session_cfg.sender_compid(),
-          session_cfg.sender_subid(), time_str, session_cfg.target_subid(),
-          std::to_string(session_cfg.seconds_between_hbs()),
-          session_cfg.sender_locationid(), last_seq_num_str, application, "1.0",
-          "BTS");
-#ifndef BTS_EDGE
-      LOG(Jetfix, Info, "Canonical string for secure logon: {}", ld.canonical);
-#endif
-      buffer.add<EncodedTextLen>(ld.access_key.size());
-      buffer.add<EncodedText>(ld.access_key);
-      buffer.add<EncryptedPasswordMethod>("CME-1-SHA-256");
-      buffer.add<EncryptedPasswordLen>(ld.signature.size());
-      buffer.add<EncryptedPassword>(ld.signature);
-   } else {
+   if(session_cfg.platform() == bts::config::JetFIX_Connection_JetFIXPlatform_ICE || 
+      session_cfg.platform() == bts::config::JetFIX_Connection_JetFIXPlatform_SIMICE)
+   {
+      buffer.add<ICEApplicationSystemName>(application);
+      buffer.add<ICEApplicationSystemVersion>("1.0");
+      buffer.add<ICEApplicationSystemVendor>("BTS");      
+      
+      buffer.add<UserName>(session_cfg.user_name());      
       buffer.add<RawDataLength>(session_cfg.raw_data().size());
-      buffer.add<RawData>(session_cfg.raw_data());
+      buffer.add<RawData>(session_cfg.raw_data());      
+      buffer.add<EncryptMethod>(0);
+      buffer.add<ICEStrategyPreference>(1);
+      buffer.add<ICETimeStampPreference>(1);
+   }
+   else
+   {
+      buffer.add<ApplicationSystemName>(application);
+      buffer.add<ApplicationSystemVersion>("1.0");
+      buffer.add<ApplicationSystemVendor>("BTS");
+
+      if (session_cfg.has_trading_session_id()) {
+         buffer.add<fix::NoTradingSessions>(1);
+         buffer.add<fix::TradingSessionID>(session_cfg.trading_session_id());
+      }
+      if (session_cfg.has_udf_support_indicator())
+         buffer.add<fix::UDFSupportIndicator>(session_cfg.udf_support_indicator());
+
+      if (session_cfg.use_cme_secure_logon()) {
+         bts_assert(session_cfg.sender_compid().size() >= 3);
+         auto session_id = session_cfg.sender_compid().substr(0, 3);
+         std::string seq_num_str(9, ' ');
+         i32_toa(seq_num, &seq_num_str[0], 9);
+
+         std::string last_seq_num_str(9, ' ');
+         i32_toa(last_seq_num_processed, &last_seq_num_str[0], 9);
+         auto ld = glbx::calculate_hmac(
+            session_id, seq_num_str, session_cfg.sender_compid(),
+            session_cfg.sender_subid(), time_str, session_cfg.target_subid(),
+            std::to_string(session_cfg.seconds_between_hbs()),
+            session_cfg.sender_locationid(), last_seq_num_str, application, "1.0",
+            "BTS");
+   #ifndef BTS_EDGE
+         LOG(Jetfix, Info, "Canonical string for secure logon: {}", ld.canonical);
+   #endif
+         buffer.add<EncodedTextLen>(ld.access_key.size());
+         buffer.add<EncodedText>(ld.access_key);
+         buffer.add<EncryptedPasswordMethod>("CME-1-SHA-256");
+         buffer.add<EncryptedPasswordLen>(ld.signature.size());
+         buffer.add<EncryptedPassword>(ld.signature);
+      } 
+      else 
+      {
+         buffer.add<RawDataLength>(session_cfg.raw_data().size());
+         buffer.add<RawData>(session_cfg.raw_data());
+         if(session_cfg.user_name() != "")
+            buffer.add<UserName>(session_cfg.user_name());
+      }
    }
 
    stream.close();

src/lib/md/MDConsumerHandle.cpp

@@ -293,7 +293,7 @@ TimeStamp copy_synthetic_depth(const SyntheticStrategy& synth, size_t count, Pri
 // END SYNTHETIC DEPTH
 /////////////////////////////
 
-bool MDConsumerHandle::get_last_trade(TimeStamp& time, PriceSize& trade, datetime::LLDateTime& trade_timestamp, size_t* total_volume) const {
+bool MDConsumerHandle::get_last_trade(TimeStamp& time, PriceSize& trade, datetime::LLDateTime& trade_timestamp, size_t* total_volume, int* from_spread) const {
    switch(_type) {
       case HANDLETYPE_VOID: return false;
       case HANDLETYPE_DEPTH:
@@ -303,6 +303,7 @@ bool MDConsumerHandle::get_last_trade(TimeStamp& time, PriceSize& trade, datetim
          if (result) {
             trade_timestamp = pcold->last_trade_time;
             if (total_volume) { *total_volume = pcold->total_volume; }
+            if (from_spread) { *from_spread = pcold->from_spread; }
          }
          return result;
       }

src/lib/md/MDConsumerHandle.h

@@ -239,7 +239,7 @@ public:
       return get_book(read_combined, time, copydepth, bids, asks);
    }
    
-   bool get_last_trade(TimeStamp& time, PriceSize& out_trade, datetime::LLDateTime& out_trade_timestamp, size_t* total_volume=nullptr) const;
+   bool get_last_trade(TimeStamp& time, PriceSize& out_trade, datetime::LLDateTime& out_trade_timestamp, size_t* total_volume=nullptr,int* from_spread=nullptr) const;
 
    IntPrice settlement_price() const {
       switch(_type) {

src/lib/md/MDProducerHandle.cpp

@@ -101,8 +101,9 @@ void MDProducerHandle::set_status(CoconutSecurityStatus status) {
    }
 }
 
-void MDProducerHandle::add_trade(TimeStamp time, const PriceSize price, LLDateTime tradetime, co2::AggressorSide agside, uint32_t volume) {
-   // Add this trade to the last trade if price match
+void MDProducerHandle::add_trade(TimeStamp time, const PriceSize price, LLDateTime tradetime, 
+                                 co2::AggressorSide agside, uint32_t volume, bool from_spread) {
+   // Add this trade to the last trade if price/side match
    auto current = std::get<PriceSize>(cdata().last_trade.load());
    if (current.int_price() == price.int_price()) {
       cdata().last_trade.store(PriceSize { price.int_price(), price.size() + current.size() }, time);
@@ -111,7 +112,9 @@ void MDProducerHandle::add_trade(TimeStamp time, const PriceSize price, LLDateTi
       cdata().last_trade.store(price,time);
    }
    cdata().last_trade_time = tradetime;
-   cdata().total_volume = volume;
+   cdata().from_spread = (from_spread ? 1 : 0);
+   if (volume > 0) 
+      cdata().total_volume = volume;
 
    if (key() != invalid_security_key) {
       co2::TradeMessage trade;
@@ -125,9 +128,15 @@ void MDProducerHandle::add_trade(TimeStamp time, const PriceSize price, LLDateTi
       _channel.add_trade(trade);
    }
 }
-void MDProducerHandle::set_last_trade(TimeStamp time, const PriceSize ps, datetime::LLDateTime tradetime, uint32_t total_volume) {
+void MDProducerHandle::set_last_trade(TimeStamp time, const PriceSize ps, datetime::LLDateTime tradetime, uint32_t total_volume, bool from_spread) {
    cdata().last_trade.store(ps,time);
    cdata().last_trade_time = tradetime;
+   cdata().from_spread = (from_spread ? 1 : 0);
+   if(total_volume > 0)
+      cdata().total_volume = total_volume;
+}
+
+void MDProducerHandle::set_total_volume(uint32_t total_volume) {
    cdata().total_volume = total_volume;
 }
 

src/lib/md/MDProducerHandle.h

@@ -92,9 +92,11 @@ public:
    void set_status(co2::CoconutSecurityStatus status); // hot
 
    // Updates trade log and last trade
-   void add_trade(TimeStamp time, const PriceSize pricesize, datetime::LLDateTime date, co2::AggressorSide agside, uint32_t total_volume=0); // cold
+   void add_trade(TimeStamp time, const PriceSize pricesize, datetime::LLDateTime date, 
+                  co2::AggressorSide agside, uint32_t total_volume=0, bool from_spread=false); // cold
    // Update last_trade without updating trade log
-   void set_last_trade(TimeStamp time, const PriceSize ps, datetime::LLDateTime date, uint32_t total_volume);
+   void set_last_trade(TimeStamp time, const PriceSize ps, datetime::LLDateTime date, uint32_t total_volume=0,bool from_spread=false);
+   void set_total_volume(uint32_t total_volume);
    void add_rfq(TimeStamp time, const co2::QuoteRequestMessage& rfq); // cold
 
    void update_exchange_status(TimeStamp time, TradingStatus status); // cold

src/lib/md/PlatformLoader.cpp

@@ -90,7 +90,7 @@ void add_symbols_to_result(
 
 size_t get_system_md_symbols(api::Venue exchange, SecurityType type,
                              std::set<UserSymbol> &result) {
-   bts_assert(config::system_symbols::Symbols::descriptor()->field_count() == 3);
+   bts_assert(config::system_symbols::Symbols::descriptor()->field_count() == 4);
    {
       auto const &e = config::get<config::system_symbols::Symbols>().glbx();
       if (exchange == api::VENUE_UNSET || exchange == api::VENUE_GLBX) {
@@ -146,34 +146,47 @@ size_t get_system_md_symbols(api::Venue exchange, SecurityType type,
 
    {
       auto const &e = config::get<config::system_symbols::Symbols>().sim();
-      if (exchange == api::VENUE_UNSET || exchange == api::VENUE_SIM) {
-         if (type == api::SECURITYTYPE_FUTURE ||
-             type == api::SECURITYTYPE_UNSET) {
-            add_symbols_to_result(e.future(), api::VENUE_SIM,
-                                  api::SECURITYTYPE_FUTURE, &result);
-         }
-         if (type == api::SECURITYTYPE_OPTION ||
-             type == api::SECURITYTYPE_UNSET) {
-            add_symbols_to_result(e.option(), api::VENUE_SIM,
-                                  api::SECURITYTYPE_OPTION, &result);
-         }
-         if (type == api::SECURITYTYPE_SPREAD ||
-             type == api::SECURITYTYPE_UNSET) {
-            add_symbols_to_result(e.spread(), api::VENUE_SIM,
-                                  api::SECURITYTYPE_SPREAD, &result);
-         }
+      if (exchange == api::VENUE_UNSET || exchange == api::VENUE_SIM) 
+      {
+         if (type == api::SECURITYTYPE_FUTURE || type == api::SECURITYTYPE_UNSET) 
+            add_symbols_to_result(e.future(), api::VENUE_SIM, api::SECURITYTYPE_FUTURE, &result);
+         if (type == api::SECURITYTYPE_OPTION || type == api::SECURITYTYPE_UNSET) 
+            add_symbols_to_result(e.option(), api::VENUE_SIM, api::SECURITYTYPE_OPTION, &result);
+         if (type == api::SECURITYTYPE_SPREAD || type == api::SECURITYTYPE_UNSET) 
+            add_symbols_to_result(e.spread(), api::VENUE_SIM, api::SECURITYTYPE_SPREAD, &result);
       }
-      if (exchange == api::VENUE_BTS || exchange == api::VENUE_UNSET) {
+      if (exchange == api::VENUE_BTS || exchange == api::VENUE_UNSET) 
+      {
          std::set<std::string> all_symbols;
          all_symbols.insert(e.future().begin(), e.future().end());
          all_symbols.insert(e.option().begin(), e.option().end());
          all_symbols.insert(e.spread().begin(), e.spread().end());
-         for (const auto &symbol : all_symbols) {
-            result.insert(UserSymbol(symbol, api::VENUE_BTS,
-                                     api::SECURITYTYPE_SYNTHETIC));
-         }
+         for (const auto &symbol : all_symbols) 
+            result.insert(UserSymbol(symbol, api::VENUE_BTS, api::SECURITYTYPE_SYNTHETIC));      
       }
    }
+   
+   {
+      auto const &e = config::get<config::system_symbols::Symbols>().simice();
+      if (exchange == api::VENUE_UNSET || exchange == api::VENUE_SIMICE) 
+      {
+         if (type == api::SECURITYTYPE_FUTURE || type == api::SECURITYTYPE_UNSET) 
+            add_symbols_to_result(e.future(), api::VENUE_SIMICE, api::SECURITYTYPE_FUTURE, &result);
+         if (type == api::SECURITYTYPE_OPTION || type == api::SECURITYTYPE_UNSET) 
+            add_symbols_to_result(e.option(), api::VENUE_SIMICE, api::SECURITYTYPE_OPTION, &result);
+         if (type == api::SECURITYTYPE_SPREAD || type == api::SECURITYTYPE_UNSET) 
+            add_symbols_to_result(e.spread(), api::VENUE_SIMICE, api::SECURITYTYPE_SPREAD, &result);
+      }
+      if (exchange == api::VENUE_BTS || exchange == api::VENUE_UNSET) 
+      {
+         std::set<std::string> all_symbols;
+         all_symbols.insert(e.future().begin(), e.future().end());
+         all_symbols.insert(e.option().begin(), e.option().end());
+         all_symbols.insert(e.spread().begin(), e.spread().end());
+         for (const auto &symbol : all_symbols) 
+            result.insert(UserSymbol(symbol, api::VENUE_BTS, api::SECURITYTYPE_SYNTHETIC));      
+      }
+   }   
 
    return result.size();
 }

src/lib/md/Shm/FixedSecurity.cpp

@@ -31,8 +31,9 @@ FixedSecurity::FixedSecurity() :
    cme_main_fraction(0),
    cme_sub_fraction(0),
    cme_price_display_format(0),
-   ice_deal_display_factor(0),
-   ice_settle_display_factor(0),
+   ice_price_denominator(0),
+   ice_deal_denominator(0),
+   ice_settle_denominator(0),
    _symbol(),
    _cfi_code(),
    _security_desc(),
@@ -99,7 +100,10 @@ void write_leg_descriptor(std::ostringstream& result, char separator, const api:
 std::string security_descriptor(const api::Security& security) {
    const char separator = ' ';
    std::ostringstream result;
-   result << security.symbol() << separator << Venue_Name(security.exchange());
+   if(security.exchange() == Venue::VENUE_ICE || security.exchange() == Venue::VENUE_SIMICE)
+      result << security.ice().security_desc() << separator << Venue_Name(security.exchange());
+   else
+      result << security.symbol() << separator << Venue_Name(security.exchange());
    switch(security.Contract_case()) {
       case Security::ContractCase::kOption: {
          result << separator;
@@ -181,8 +185,9 @@ void convert_security(const FixedSecurity& source, Security* presult) {
       case Venue::VENUE_ICE:    
          dest.mutable_ice()->set_exchange_id(source.numeric_id);
          dest.mutable_ice()->set_security_desc(source.security_desc());     
-         dest.mutable_ice()->set_deal_display_factor(source.ice_deal_display_factor);
-         dest.mutable_ice()->set_settle_display_factor(source.ice_settle_display_factor);
+         dest.mutable_ice()->set_price_denominator(source.ice_price_denominator);
+         dest.mutable_ice()->set_deal_denominator(source.ice_deal_denominator);
+         dest.mutable_ice()->set_settle_denominator(source.ice_settle_denominator);
          
          dest.mutable_ice()->set_market_description(source.ice_market_description());
          dest.mutable_ice()->set_cleared_alias(source.ice_cleared_alias());
@@ -312,8 +317,9 @@ void convert_security(const Security& src, FixedSecurity& dest, bool set_securit
       case Security::ExchangeDataCase::kIce:
          dest.numeric_id = src.ice().exchange_id();
          dest.security_desc(src.ice().security_desc());      
-         dest.ice_deal_display_factor = src.ice().deal_display_factor();
-         dest.ice_settle_display_factor = src.ice().settle_display_factor();
+         dest.ice_price_denominator = src.ice().price_denominator();
+         dest.ice_deal_denominator = src.ice().deal_denominator();
+         dest.ice_settle_denominator = src.ice().settle_denominator();
          
          dest.ice_market_description(src.ice().market_description());
          dest.ice_cleared_alias(src.ice().cleared_alias());

src/lib/md/Shm/FixedSecurity.h

@@ -59,8 +59,9 @@ public:
    uint8_t cme_main_fraction;
    uint8_t cme_sub_fraction;
    uint8_t cme_price_display_format;
-   int8_t ice_deal_display_factor;
-   int8_t ice_settle_display_factor;
+   int8_t ice_price_denominator;
+   int8_t ice_deal_denominator;
+   int8_t ice_settle_denominator;
    
    STRING_PROPERTY(ice_market_description);   
    STRING_PROPERTY(ice_cleared_alias);

src/lib/md/Shm/MDStructure.h

@@ -26,7 +26,7 @@ namespace md {
 
 using utils::TimeStamp;
 
-const uint32_t shm_version = 102;
+const uint32_t shm_version = 107;
 
 struct ALIGNED_(CACHE_LINE) HotHeader {
    size_t count;
@@ -213,9 +213,10 @@ struct ColdEntry {
       exchange_status(co2::TRADINGSTATUS_UNKNOWN),
       last_trade(),
       total_volume(0),
-      last_trade_time(),
+      last_trade_time(),      
       misc(),
-      deleted(false)
+      from_spread(0),
+      deleted(0)
    {
       this->security.size = security_size;
    }
@@ -227,12 +228,13 @@ struct ColdEntry {
    
    // Last Trade
    AtomicPriceSize last_trade;
-   size_t total_volume;
+   size_t total_volume;   
    datetime::LLDateTime  last_trade_time;
-
+   
    MiscData misc;
 
-   bool deleted;
+   int from_spread;
+   int deleted;
    FixedSecurity security;
 };
 

src/lib/md/ice/ICEUtils.cpp

@@ -27,6 +27,8 @@ std::string ICEChannel::to_string() const
    std::string mt = name;
    for(const auto& x : market_types)
       mt += " " + std::to_string(x);
+   for(const auto& x : uds_market_types)
+      mt += " " + std::to_string(x);      
    return mt;
 }
 
@@ -45,6 +47,9 @@ const vector<ICEChannel> parse_ice_channels(const vector<UserSymbol>& symbols)
       chan.symbols.insert(symbols.begin(), symbols.end());
       for(const auto& xx : x.market_type())
          chan.market_types.push_back(xx); 
+      for(const auto& xx : x.uds_market_type())
+         chan.uds_market_types.push_back(xx); 
+         
       result.push_back(chan);            
    }
    return result;

src/lib/md/ice/ICEUtils.h

@@ -13,6 +13,7 @@ struct ICEChannel
 {
    std::string name;
    std::vector<uint32_t> market_types;
+   std::vector<uint32_t> uds_market_types;
    std::set<UserSymbol> symbols;
    std::string to_string() const;
 };

src/lib/md/protos/co2.proto

@@ -151,6 +151,7 @@ message TradeMessage {
    uint32 total_volume = 7;
    bool gap = 8;
    AggressorSide aggressor_side = 9;
+   bool from_spread = 10;
 }
 message QuoteRequestMessage {
     enum Side {

src/lib/md/relay/QueryServer.cpp

@@ -219,8 +219,12 @@ public:
    }
 
    // the hot part
-   void fill(const SecurityChannel& chan, MDConsumerGroup& group, ChannelReply* reply, bool entitled) const {
+   void fill(const SecurityChannel& chan, MDConsumerGroup& group, ChannelReply* reply, 
+             const Entitlements* entitlements, bool bypass_entitlement) const {      
       bts_assert(reply);
+      bool entitled = bypass_entitlement || chan.exchange() == api::VENUE_BTS || 
+                      (chan.exchange() == api::VENUE_GLBX && entitlements && entitlements->count(chan.symbol()));
+
       reply->mutable_channel()->CopyFrom(chan);
       reply->set_platform(group.platform);
       reply->mutable_channel()->set_time(TimeStamp::now().to_uint64());
@@ -242,9 +246,17 @@ public:
          ChannelUpdate* pupd = &temp_update;
          pupd->set_key(instrument.handle.key());
          // If the security was just discovered try to ensure all data is sent
-         if (instrument.discovered > TimeStamp(chan.time())) {
-            pupd->mutable_security()->CopyFrom(handle.get_normalized_security());
+         if (instrument.discovered > TimeStamp(chan.time())) 
+         {
+            auto security = handle.get_normalized_security();
+            pupd->mutable_security()->CopyFrom(security);
             snapshot = true;
+            if(!entitled && (chan.exchange() == api::VENUE_ICE || chan.exchange() == api::VENUE_SIMICE))
+            {
+               entitled = entitlements && entitlements->count("ICE:" + security.ice().mic_code());
+               if(entitled)
+                  reply->mutable_channel()->set_entitled(entitled);
+            }
          }
          //if we are not entitled AND this is the first request since we lost our entitlement, zero out books
          if (!entitled && chan.entitled() ) {
@@ -323,12 +335,13 @@ public:
                TimeStamp time(snapshot ? 0 : chan.time());
                PriceSize price;
                datetime::LLDateTime trade_time;
-               size_t volume;
-               if (handle.get_last_trade(time, price, trade_time, &volume)) {
+               size_t volume; int from_spread;
+               if (handle.get_last_trade(time, price, trade_time, &volume, &from_spread)) {
                   auto* trade = pupd->mutable_last_trade();
                   trade->set_key(handle.key());
                   trade->set_time(trade_time);
                   trade->set_total_volume(volume);
+                  trade->set_from_spread(from_spread);
                   set_price(price, trade);
                }
             }
@@ -373,10 +386,7 @@ public:
          auto groupiter = _groups.find(UserSymbol(ch.symbol(), ch.exchange(), ch.type()));
          if (groupiter != _groups.end()) {
             auto& group = groupiter->second;
-            bool is_entitled = bypass_entitlement || 
-                               ch.exchange() == api::VENUE_BTS || 
-                               (entitlements && entitlements->count(ch.symbol()));
-            fill(ch, *group, reply->add_channels(), is_entitled);
+            fill(ch, *group, reply->add_channels(), entitlements, bypass_entitlement);
          }
       }
    }
@@ -541,10 +551,14 @@ QueryServerPtr run_query_server(const bts::api::ServiceContext& ctx, MDClient& c
          {
             const auto& cme_symb_mics = config::get<config::CmeSymbolMics>().cme_mic();
             auto entitlements = std::make_shared<std::unordered_map<uint32_t, Entitlements>>();
-            for (const auto& row : all_updates) {            
-               if (row && row->enabled()) {                                 
-                  for(auto mic=cme_symb_mics.begin();mic!=cme_symb_mics.end();mic++){
-                     if(api::CMEMics_Name(mic->second) == row->mic()) {
+            for (const auto& row : all_updates) 
+            {            
+               if (row && row->enabled()) 
+               {
+                  for(auto mic=cme_symb_mics.begin();mic!=cme_symb_mics.end();mic++)
+                  {
+                     if(api::CMEMics_Name(mic->second) == row->mic()) 
+                     {
                         const auto& symbol = mic->first;
                         auto iter = entitlements->find(row->user_id());
                         if (iter == entitlements->end()) {
@@ -559,6 +573,19 @@ QueryServerPtr run_query_server(const bts::api::ServiceContext& ctx, MDClient& c
                         }
                      }
                   }
+                  api::ICEMics icemic;
+                  if(api::ICEMics_Parse(row->mic(), &icemic)) //this is an ice mic, just put the mic in the set and resolve later
+                  {
+                     auto iter = entitlements->find(row->user_id());
+                     if (iter == entitlements->end()) {
+                        Entitlements ents;
+                        ents.insert("ICE:" + row->mic());
+                        entitlements->insert(iter, std::make_pair(row->user_id(), std::move(ents)));
+                     }
+                     else {
+                        iter->second.insert("ICE:" + row->mic());
+                     }                     
+                  }
                }
             }
             container->relay.update_entitlements(entitlements);

src/lib/md/relay/RelayClient.cpp

@@ -86,7 +86,7 @@ class RelayProducer : public IRelayWriter {
          handle.update_fixing_price(updated, misc.fixing_price());
       }
       if (update.has_last_trade()) {
-         handle.set_last_trade(updated, trade_pricesize(update.last_trade()), update.last_trade().time(), update.last_trade().total_volume());
+         handle.set_last_trade(updated, trade_pricesize(update.last_trade()), update.last_trade().time(), update.last_trade().total_volume(), update.last_trade().from_spread());
       }
    }
 

src/lib/md/test/Co2ManagedTestHelper.cpp

@@ -87,7 +87,8 @@ extern "C" BTS_EXPORT void co2_get_sample_cold(size_t& size, ColdEntry& entry) {
    entry.misc.session_high_bid = 4.4;
    entry.misc.session_low_offer = 5.5;
    entry.misc.fixing_price = 6.6;
-   entry.deleted = true;
+   entry.deleted = 1;
+   entry.from_spread = 0;
 }
 
 extern "C" BTS_EXPORT void co2_get_sample_cold_header(ColdHeader& header) {

src/lib/orderman/actors/ExecutionGateway.h

@@ -1,53 +0,0 @@
-#pragma once
-
-#include "lib/config/protos/jetfix.pb.h"
-#include "lib/jetfix/codec/MessageDefinitions.h"
-#include "lib/jetfix/common/OutFIXPtr.h"
-#include "lib/mercury/events/Update.h"
-#include "lib/orderman/orderman_utils/orderman_common.h"
-
-#include <memory>
-
-namespace bts {
-namespace md { class SecurityOracle;}
-namespace trace {struct CorID;class PerfLog;}
-namespace orderman {
-class NewSecuritiesEvent;
-class ExecutionReport;
-
-using OnExeReport =
-   std::function<void(ExecutionReport const &, trace::CorID const &)>;
-using OnGwStatusChange = std::function<void(bool)>;
-using OnCancelReject = std::function<void(OrderKey, std::string const &)>;
-
-// fix execution gateway for a single FIX session
-class ExecutionGateway {
- public:
-   ExecutionGateway(config::JetFIX::Connection const &, trace::PerfLog &,
-                    md::SecurityOracle);
-   ~ExecutionGateway();
-
-   void start();
-   void dispatch_incoming_fix_messages();
-   void on_securities(const mercury::Update<NewSecuritiesEvent> &);
-   void send_fix(jetfix::OutFIXPtr const &fix, trace::CorID trace);
-
-   OnExeReport& on_exe_report();
-   OnGwStatusChange& on_gw_status_change();
-   OnCancelReject &on_cancel_reject();
-   
- private:
-   enum class State { WAITING_FOR_SECURITIES, READY };
-   struct PImpl;
-   std::unique_ptr<PImpl> me;
-
-   // fix gateway events
-   void on_exe_report(jetfix::fix::ExecutionReportMsg const &);
-   void on_cancel_reject(jetfix::fix::CancelRejectMsg const &);
-   void on_connection_status_change(bool connected);
-   void on_business_reject(jetfix::fix::BusinessMessageRejectMsg const &);
-   void on_session_reject(jetfix::fix::RejectMsg const &);
-};
-
-} // namespace orderman
-} // namespace bts

src/lib/orderman/actors/FillStore.cpp

@@ -95,12 +95,13 @@ void FillStore::on_execution_report(
    if (u.events) {
       for (auto const &ev : *u.events) {
          auto &er = *ev.data;
+         auto fk = fmt::format("{}:{}", er.order_key.value(),
+                                 to_str(er.exchange_fill_id));
+         auto is_known = me->known_fills.count(fk);         
          if (er.exec_type == api::orderman::EXEC_TYPE_PARTIAL_FILL ||
-             er.exec_type == api::orderman::EXEC_TYPE_FILL) {
-
-            auto fk = fmt::format("{}:{}", er.order_key.value(),
-                                  to_str(er.exchange_fill_id));
-            auto is_known = me->known_fills.count(fk);
+             er.exec_type == api::orderman::EXEC_TYPE_FILL ||
+             er.exec_type == api::orderman::EXEC_TYPE_TRADE_CORRECT) {
+                
             api::orderman::Fill fill;
             if (!is_known) {
                fill.set_order_key(er.order_key.value());
@@ -116,6 +117,9 @@ void FillStore::on_execution_report(
                fill.set_avg_price(er.avg_price.value());
                fill.set_side(er.side);
                fill.set_last_shares(er.last_shares.value());
+               fill.set_fill_status(api::orderman::Fill::FILL_STATUS_ACTIVE);
+               if(er.exec_type == api::orderman::EXEC_TYPE_TRADE_CORRECT)
+                  fill.set_fill_status(api::orderman::Fill::FILL_STATUS_CORRECTED);
                fill.set_fill_key(fk);
                struct timeval tv;
                gettimeofday(&tv, NULL);
@@ -139,6 +143,57 @@ void FillStore::on_execution_report(
                    "Discarding known execution report for fill {}", fk);
 
          } // if partial_fill or fill
+      }
+      for (auto const &ev : *u.events) 
+      {
+         auto &er = *ev.data;
+         auto efi = to_str(er.exchange_fill_id);
+         if(std::count(efi.begin(), efi.end(), ':') > 0)
+         {
+            auto cpos = efi.find_last_of(':');
+            efi = efi.substr(0, cpos);
+            ExchangeFillID temp;
+            str_to(efi, &temp);
+            efi = to_str(temp);
+         }
+         if(efi == "")
+            continue;
+         auto fk = fmt::format("{}:{}", er.order_key.value(), efi);
+         auto is_known = me->known_fills.count(fk);         
+      
+         if(er.exec_type == api::orderman::EXEC_TYPE_TRADE_CANCEL) 
+         {
+            auto data = me->store->retrieve_one(fills_ns, fk);
+            Fill existing_fill;
+            if(is_known && data.first && utils::pb::from_string(data.second, &existing_fill))
+            {
+               existing_fill.set_fill_status(api::orderman::Fill::FILL_STATUS_BUSTED);
+               auto fv = utils::pb::to_string(existing_fill);
+               me->store->update(fills_ns, fk, fv);                  
+               publish(me->fill_stream, existing_fill, *er.security);
+            }
+            else
+               LOG(OrderMan, Warn, "Received bust for unknown fill {}", fk);
+         }    
+         else if(er.exec_type == api::orderman::EXEC_TYPE_TRADE_CORRECT)
+         {
+            auto data = me->store->retrieve_one(fills_ns, fk);
+            Fill existing_fill;
+            if(is_known && data.first && utils::pb::from_string(data.second, &existing_fill))
+            {
+               existing_fill.set_fill_status(api::orderman::Fill::FILL_STATUS_CORRECTED);
+               existing_fill.set_last_price(er.last_price.value());
+               existing_fill.set_avg_price(er.avg_price.value());
+               existing_fill.set_side(er.side);
+               existing_fill.set_last_shares(er.last_shares.value());
+
+               auto fv = utils::pb::to_string(existing_fill);
+               me->store->update(fills_ns, fk, fv);                  
+               publish(me->fill_stream, existing_fill, *er.security);
+            }
+            else
+               LOG(OrderMan, Warn, "Received correction for unknown fill {}", fk);            
+         }
       }    // for loop
    }       // if u.events
 }

src/lib/orderman/actors/GLBXExecutionGateway.cpp

@@ -1,4 +1,4 @@
-#include "ExecutionGateway.h"
+#include "GLBXExecutionGateway.h"
 #include "lib/jetfix/codec/MessageDefinitions.h"
 #include "lib/jetfix/common/OutFIX.h"
 #include "lib/jetfix/gateway/JetFIXGateway.h"
@@ -24,7 +24,7 @@ using JFGw =
     JetFIXGateway<fix::ExecutionReportMsg, fix::BusinessMessageRejectMsg,
                   fix::RejectMsg, fix::CancelRejectMsg>;
 
-struct ExecutionGateway::PImpl {
+struct GLBXExecutionGateway::PImpl {
    PImpl(config::JetFIX::Connection const &cfg, trace::PerfLog &l,
          md::SecurityOracle o)
        : gw(cfg, l), exe_report_pool(), state(State::WAITING_FOR_SECURITIES),
@@ -46,14 +46,16 @@ struct ExecutionGateway::PImpl {
    md::SecurityOracle sec_oracle;
 };
 
-ExecutionGateway::ExecutionGateway(config::JetFIX::Connection const &cfg,
+GLBXExecutionGateway::GLBXExecutionGateway(config::JetFIX::Connection const &cfg,
                                    trace::PerfLog &log, md::SecurityOracle o)
     : me(new PImpl(cfg, log, o)) {
    me->state = State::WAITING_FOR_SECURITIES;
 }
-ExecutionGateway::~ExecutionGateway() {}
+GLBXExecutionGateway::~GLBXExecutionGateway() {}
 
-void ExecutionGateway::on_securities(
+void GLBXExecutionGateway::on_admin_data(const mercury::Update<NewAdminDataEvent> &) {}
+
+void GLBXExecutionGateway::on_securities(
     const mercury::Update<NewSecuritiesEvent> &update) {
    if (update.events) {
 
@@ -96,19 +98,19 @@ void ExecutionGateway::on_securities(
    }
 }
 
-void ExecutionGateway::start() { me->gw.start(); }
+void GLBXExecutionGateway::start() { me->gw.start(); }
 
-OnExeReport &ExecutionGateway::on_exe_report() { return me->on_exe_report; }
+OnExeReport &GLBXExecutionGateway::on_exe_report() { return me->on_exe_report; }
 
-OnGwStatusChange &ExecutionGateway::on_gw_status_change() {
+OnGwStatusChange &GLBXExecutionGateway::on_gw_status_change() {
    return me->on_gw_status_change;
 }
 
-OnCancelReject &ExecutionGateway::on_cancel_reject() {
+OnCancelReject &GLBXExecutionGateway::on_cancel_reject() {
    return me->on_cancel_reject;
 }
 
-void ExecutionGateway::on_exe_report(
+void GLBXExecutionGateway::on_exe_report(
     const jetfix::fix::ExecutionReportMsg &msg) {
    OrderKey ok;
    SecurityKey sk;
@@ -116,7 +118,7 @@ void ExecutionGateway::on_exe_report(
 
    auto scoped_log =
        trace::log_scope(me->perf_log, msg.trace(),
-                        "ExecutionGateway::on_exe_report", ok.value());
+                        "GLBXExecutionGateway::on_exe_report", ok.value());
 
    LOG(Latency, Info, "Started handling of execution report for order {}",
        ok.value());
@@ -266,7 +268,7 @@ void ExecutionGateway::on_exe_report(
    }
 }
 
-void ExecutionGateway::on_cancel_reject(
+void GLBXExecutionGateway::on_cancel_reject(
     const jetfix::fix::CancelRejectMsg &msg) {
    OrderKey ok;
    SecurityKey sk;
@@ -281,7 +283,7 @@ void ExecutionGateway::on_cancel_reject(
    me->on_cancel_reject(ok, reject_msg);
 }
 
-void ExecutionGateway::on_connection_status_change(bool is_connected) {
+void GLBXExecutionGateway::on_connection_status_change(bool is_connected) {
    LOG(OrderMan, Info, "Connection state of {} changed to {}",
        me->gw_name.value(),
        is_connected ? std::string("connected") : std::string("disconnected"));
@@ -289,7 +291,7 @@ void ExecutionGateway::on_connection_status_change(bool is_connected) {
    me->on_gw_status_change(is_connected);
 }
 
-void ExecutionGateway::on_business_reject(
+void GLBXExecutionGateway::on_business_reject(
     jetfix::fix::BusinessMessageRejectMsg const &m) {
    LOG(OrderMan, Error,
        "Unexpected business reject in {} gateway . Reason: "
@@ -298,7 +300,7 @@ void ExecutionGateway::on_business_reject(
        m.has<fix::Text>() ? m.get<fix::Text>() : std::string("Unknown"));
 }
 
-void ExecutionGateway::on_session_reject(jetfix::fix::RejectMsg const &m) {
+void GLBXExecutionGateway::on_session_reject(jetfix::fix::RejectMsg const &m) {
    LOG(OrderMan, Error,
        "Unexpected reject message in {} gateway . Reason: {}. "
        "This should be investigated",
@@ -306,14 +308,14 @@ void ExecutionGateway::on_session_reject(jetfix::fix::RejectMsg const &m) {
        m.has<fix::Text>() ? m.get<fix::Text>() : std::string("Unknown"));
 }
 
-void ExecutionGateway::dispatch_incoming_fix_messages() {
+void GLBXExecutionGateway::dispatch_incoming_fix_messages() {
    me->gw.dispatch_events();
 }
 
-void ExecutionGateway::send_fix(jetfix::OutFIXPtr const &fix,
+void GLBXExecutionGateway::send_fix(jetfix::OutFIXPtr const &fix,
                                 trace::CorID trace) {
    auto scoped_log =
-       trace::log_scope(me->perf_log, trace, "ExecutionGateway::send_fix");
+       trace::log_scope(me->perf_log, trace, "GLBXExecutionGateway::send_fix");
    me->gw.send(fix, trace);
    me->gw.dispatch_events();
 }

src/lib/orderman/actors/GLBXExecutionGateway.h

@@ -0,0 +1,41 @@
+#pragma once
+
+#include "IExecutionGateway.h"
+
+namespace bts {
+namespace orderman {
+
+
+// fix execution gateway for a single FIX session
+class GLBXExecutionGateway : public IExecutionGateway {
+ public:   
+   GLBXExecutionGateway(config::JetFIX::Connection const &, trace::PerfLog &,
+                        md::SecurityOracle);
+   virtual ~GLBXExecutionGateway();
+
+   void start() override;
+   void dispatch_incoming_fix_messages() override;
+   void on_securities(const mercury::Update<NewSecuritiesEvent> &) override;
+   void on_admin_data(const mercury::Update<NewAdminDataEvent> &) override;
+   void send_fix(jetfix::OutFIXPtr const &fix, trace::CorID trace) override;
+
+   OnExeReport& on_exe_report() override;
+   OnGwStatusChange& on_gw_status_change() override;
+   OnCancelReject &on_cancel_reject() override;
+   
+ private:
+   BTS_NO_COPY(GLBXExecutionGateway);
+   enum class State { WAITING_FOR_SECURITIES, READY };
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+
+   // fix gateway events
+   void on_exe_report(jetfix::fix::ExecutionReportMsg const &);
+   void on_cancel_reject(jetfix::fix::CancelRejectMsg const &);
+   void on_connection_status_change(bool connected);
+   void on_business_reject(jetfix::fix::BusinessMessageRejectMsg const &);
+   void on_session_reject(jetfix::fix::RejectMsg const &);
+};
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/actors/ICEExecutionGateway.cpp

@@ -0,0 +1,490 @@
+#include "ICEExecutionGateway.h"
+#include "lib/jetfix/codec/MessageDefinitions.h"
+#include "lib/jetfix/codec/i32_toa.h"
+#include "lib/jetfix/common/OutFIX.h"
+#include "lib/jetfix/gateway/JetFIXGateway.h"
+#include "lib/logging/logging.h"
+#include "lib/orderman/events/CancelRejectEvent.h"
+#include "lib/orderman/events/GatewayStatusChangeEvent.h"
+#include "lib/orderman/events/NewExecutionReportEvent.h"
+#include "lib/orderman/events/NewSecuritiesEvent.h"
+#include "lib/orderman/orderman_utils/fix_order_codec.h"
+#include "lib/api/services/AdminService.pb.h"
+#include "lib/orderman/events/NewAdminDataEvent.h"
+#include "lib/tracing/bts_trace.h"
+#include "lib/utils/TimeStamp.h"
+#include "lib/utils/helper_macros.h"
+#include "lib/utils/Dispatcher.h"
+#include "lib/utils/bts_chrono.h"
+
+#include <boost/pool/object_pool.hpp>
+#include <atomic>
+#include <set>
+
+namespace bts {
+namespace orderman {
+
+using namespace jetfix;
+
+using JFGw = JetFIXGateway<fix::ICEExecutionReportMsg, fix::BusinessMessageRejectMsg, fix::RejectMsg, 
+                           fix::ICECancelRejectMsg, fix::ICETraderLoginResponseMsg, fix::ICETraderLogoutResponseMsg>;
+
+
+
+struct ICEExecutionGateway::PImpl 
+{
+   PImpl(const config::JetFIX::Connection &cfg, trace::PerfLog &l,
+         md::SecurityOracle o)
+       : gw(cfg, l), exe_report_pool(), state(State::WAITING_FOR_SECURITIES),
+         securities(), securities_by_exchange_id(), gw_name(cfg.name()),
+         cfg(cfg), perf_log(l), admin_data(), nusers(-1), connection_time(), exec_id_to_memo(), 
+         sec_oracle(o)
+   {}
+
+   JFGw gw;
+   boost::object_pool<ExecutionReport> exe_report_pool;
+   State state;
+   std::unordered_map<SecurityKey::Value, api::Security const *> securities;
+   std::unordered_map<int64_t, api::Security const *> securities_by_exchange_id;
+   GatewayName gw_name;
+   config::JetFIX::Connection cfg;
+   OnExeReport on_exe_report;
+   OnGwStatusChange on_gw_status_change;
+   OnCancelReject on_cancel_reject;
+   trace::PerfLog &perf_log;
+   api::admin::AdminData admin_data;
+   std::atomic<int> nusers;
+   TimeStamp connection_time;
+   std::unordered_map<std::string, std::string> exec_id_to_memo; //for the bullshit adjusts
+   md::SecurityOracle sec_oracle;
+};
+
+ICEExecutionGateway::ICEExecutionGateway(const config::JetFIX::Connection &cfg, trace::PerfLog &log, md::SecurityOracle o)
+    : IExecutionGateway(), me(new PImpl(cfg, log, o)) 
+{
+   me->state = State::WAITING_FOR_ADMIN;
+}
+
+ICEExecutionGateway::~ICEExecutionGateway() {}
+
+void ICEExecutionGateway::on_admin_data(const mercury::Update<NewAdminDataEvent>& update) 
+{
+   if (update.events) 
+   {
+      for (auto const &ev : *(update.events)) 
+         me->admin_data.CopyFrom(*ev.admin_data);
+
+      if (me->state == State::WAITING_FOR_ADMIN) 
+      {
+         LOG(OrderMan, Warn, "Received admin data. Waiting for securities {}", me->gw_name.value());
+         me->state = State::WAITING_FOR_SECURITIES;
+      }
+   }   
+}
+
+void ICEExecutionGateway::on_securities(const mercury::Update<NewSecuritiesEvent> &update) 
+{
+   if (update.events) 
+   {
+      for (auto const &ev : *(update.events)) 
+      {
+         auto sec_ptr = ev.security;
+         me->securities[sec_ptr->id()] = sec_ptr;
+         if(sec_ptr->has_ice())
+            me->securities_by_exchange_id[sec_ptr->ice().exchange_id()] = sec_ptr;
+      }
+
+      if (me->state == State::WAITING_FOR_SECURITIES) 
+      {
+         LOG(OrderMan, Warn, "Received first set of {} securities. Beginning wait 2s for trader login {}",
+             update.events->size(), me->gw_name.value());         
+         // got our security synopsis, ready to start the GW
+         me->state = State::READY_TO_START_GW;
+         
+         // subscribe to gateway events
+         me->gw.on<fix::ICEExecutionReportMsg>() = [this](auto const &msg) 
+         {
+            this->on_exe_report(msg);
+         };
+         me->gw.on<fix::ICECancelRejectMsg>() = [this](auto const &msg) 
+         {
+            this->on_cancel_reject(msg);
+         };
+         me->gw.on_ready() = [this]() 
+         {
+            this->on_connection_status_change(true);
+         };
+         me->gw.on_disconnect() = [this]() 
+         {
+            this->on_connection_status_change(false);
+         };
+         me->gw.on<fix::BusinessMessageRejectMsg>() = [this](auto const &m) 
+         {
+            this->on_business_reject(m);
+         };
+         me->gw.on<fix::RejectMsg>() = [this](auto const &m) 
+         {
+            this->on_session_reject(m);
+         };            
+      }
+   }
+}
+
+void ICEExecutionGateway::start() 
+{ 
+   me->gw.start(); 
+   bts_assert_msg(me->state == State::READY_TO_START_GW, "ICEExecutionGateway statemachine failure");
+}
+
+void ICEExecutionGateway::on_connection_status_change(bool is_connected) 
+{
+   LOG(OrderMan, Info, "Connection state of {} changed to {}",
+       me->gw_name.value(), is_connected ? std::string("connected") : std::string("disconnected"));
+   
+   if(is_connected && me->state == State::READY_TO_START_GW)
+   {
+      me->state = State::TRADER_LOGIN_TIMEOUT;
+      me->connection_time = Timer::now();
+   }   
+   
+   if(me->state == State::READY)
+   {
+      me->on_gw_status_change(is_connected);      
+      if(!is_connected) //if we disconnect, set state so we log in again
+         me->state = State::READY_TO_START_GW;
+   }
+}
+
+
+void ICEExecutionGateway::on_trader_login_timeout_expired()
+{
+   if (me->state == State::TRADER_LOGIN_TIMEOUT) 
+   {
+      LOG(OrderMan, Warn, "Done waiting for login timeout, logging on traders {}", me->gw_name.value());
+
+      // got our security synopsis, ready to start the GW
+      me->state = State::LOGIN_TIMEOUT_COMPLETE;      
+      me->gw.on<fix::ICETraderLoginResponseMsg>() = [&](const fix::ICETraderLoginResponseMsg& lmsg) 
+      {
+         std::string u = lmsg.get<fix::UserName>();
+         std::string m;
+         if(lmsg.has<fix::Text>())
+            m = lmsg.get<fix::Text>();         
+         LOG(OrderMan, Error, "Succesffully logging trader {} into ICE {} {}", u, m, me->gw_name.value());
+         if(--me->nusers == 0)
+            this->on_login();
+      };
+      
+      me->gw.on<fix::ICETraderLogoutResponseMsg>() = [&](const fix::ICETraderLogoutResponseMsg& lmsg) 
+      {
+         std::string u = lmsg.get<fix::UserName>();
+         std::string m;
+         if(lmsg.has<fix::Text>())
+            m = lmsg.get<fix::Text>();
+         
+         LOG(OrderMan, Error, "Error logging trader {} into ICE {} {}", u, m, me->gw_name.value());
+         if(--me->nusers == 0)
+            this->on_login();
+      };    
+       
+      std::set<std::string> auth_traders;
+      for(const auto& u : me->admin_data.users())
+      {         
+         if(u.has_user_data() && u.user_data().has_exchange_user_data() && u.user_data().exchange_user_data().has_ice_data())
+         {
+            const auto& ice = u.user_data().exchange_user_data().ice_data();
+            if(auth_traders.find(ice.authorized_trader()) == auth_traders.end())
+            {
+               if(me->nusers == -1)
+                  me->nusers = 0;
+               me->nusers++;
+               
+               auto result = std::make_shared<OutFIX>(me->cfg);
+               auto &stream = result->fix.back();
+               auto &buffer = stream.new_msg(MessageTypes::ICETraderLogin);               
+               buffer.add<fix::CompanyID>(ice.company_id());      
+               buffer.add<fix::UserName>(ice.authorized_trader());      
+               buffer.add<fix::RawData>(ice.password());     
+               
+               if(ice.mifid_direct_electronic_access() >= 0)
+                  buffer.add<fix::MifidDirectElectronicAccess>(ice.mifid_direct_electronic_access());  
+               if(ice.mifid_trading_capacity() >= 0)   
+                  buffer.add<fix::MifidTradingCapacity>(ice.mifid_trading_capacity());     
+               if(ice.mifid_liquidity_provision() >= 0)
+                  buffer.add<fix::MifidLiquidityProvision>(ice.mifid_liquidity_provision());     
+               if(ice.mifid_commodity_deriv_indicator() >= 0)
+                  buffer.add<fix::MifidCommodityDerivIndicator>(ice.mifid_commodity_deriv_indicator());     
+               if(ice.mifid_investment_decision() > 0)
+                  buffer.add<fix::MifidInvestmentDecision>(ice.mifid_investment_decision());     
+               if(ice.mifid_execution_decision() > 0)
+                  buffer.add<fix::MifidExecutionDecision>(ice.mifid_execution_decision());     
+               if(ice.mifid_client_id_code() > 0)
+                  buffer.add<fix::MifidClientIDCode>(ice.mifid_client_id_code());                   
+               if(ice.mifid_id() > 0)
+                  buffer.add<fix::MifidId>(ice.mifid_id());                   
+               stream.close();
+               
+               trace::CorID trace;            
+               send_fix(result, trace);
+               auth_traders.insert(ice.authorized_trader());
+            }
+         }               
+      }
+      LOG(OrderMan, Warn, "{} traders identified as ICE traders {}", auth_traders.size(), me->gw_name.value());               
+   }
+}
+
+void ICEExecutionGateway::on_login()
+{
+   if (me->state == State::LOGIN_TIMEOUT_COMPLETE) 
+   {
+      LOG(OrderMan, Warn, "Successful login traders {}", me->gw_name.value());
+      me->state = State::READY;     
+      me->on_gw_status_change(true);                
+   }   
+}
+
+OnExeReport &ICEExecutionGateway::on_exe_report() { return me->on_exe_report; }
+
+OnGwStatusChange &ICEExecutionGateway::on_gw_status_change() 
+{
+   return me->on_gw_status_change;
+}
+
+OnCancelReject &ICEExecutionGateway::on_cancel_reject() 
+{
+   return me->on_cancel_reject;
+}
+
+bool ICEExecutionGateway::process_memo(const jetfix::fix::ICEExecutionReportMsg &msg, OrderKey* ok, SecurityKey* sk)
+{
+   if(msg.has<fix::Memo>())
+   {
+      decode_memo(msg.get<fix::Memo>(), ok, sk);   
+      return true;
+   }
+   else
+   {
+      if (msg.get<fix::ExecType>() == api::orderman::EXEC_TYPE_TRADE_CORRECT && msg.has<fix::ExecRefID>()) 
+      {
+         std::string ref_exec_id = msg.get<fix::ExecRefID>();
+         auto found = me->exec_id_to_memo.find(ref_exec_id);
+         if(found == me->exec_id_to_memo.end()) 
+         {
+            auto new_price = Price(0);
+            if(msg.has<fix::LastPx>())
+               new_price = Price(msg.get<fix::LastPx>());
+            
+            LOG(OrderMan, Error,
+               "Received unsupported trade correction msg.  This correction will not be forwarded. The trader should be alerted. "
+               "Partial original fill id: {}. New price: {}", ref_exec_id, new_price.value());
+            return false;
+         }
+         else
+         {
+            decode_memo(found->second, ok, sk);
+            return true;
+         }
+      }      
+   }
+   return false;      
+}
+
+void ICEExecutionGateway::on_exe_report(const jetfix::fix::ICEExecutionReportMsg &msg) 
+{
+   OrderKey ok;
+   SecurityKey sk;
+   if(!process_memo(msg, &ok, &sk))
+   {
+      std::string execid = "";
+      if(msg.has<fix::ExecID>())
+         execid = msg.get<fix::ExecID>();
+      LOG(OrderMan, Error,
+         "Received execution report with no memo execid: {}. Will not be able to process this report. This is likely a bug that could lead "
+         "to lost fills. Please investigate.", execid);
+      return;      
+   }
+   auto scoped_log = trace::log_scope(me->perf_log, msg.trace(), "ICEExecutionGateway::on_exe_report", ok.value());
+
+   LOG(Latency, Info, "Started handling of execution report for order {}", ok.value());
+   auto &sec = me->securities[sk.value()];
+   if (!sec) 
+   {
+      sec = me->sec_oracle.get_security(SecurityKey(sk.value()));
+   }   
+   if (!sec)
+      LOG(OrderMan, Error,
+          "Received execution report for an unknown security {}. Will not be able to process this report. This is likely a bug that could lead "
+          "to lost fills. Please investigate.",
+          sk.value());
+   else 
+   {
+      if(sec->has_ice())
+         me->securities_by_exchange_id[sec->ice().exchange_id()] = sec;
+      
+      api::Security const *leg_security = nullptr;
+      if (msg.has<fix::MultiLegReportingType>() && msg.get<fix::MultiLegReportingType>() == 2) 
+      {
+         auto it = me->securities_by_exchange_id.find(msg.get<fix::Int_Symbol>());
+         if (it == me->securities_by_exchange_id.end()) 
+         {
+            LOG(OrderMan, Error,
+                "Received execution report for an unknown spread leg"
+                "security {}. Will not be able to process this report. "
+                "This is likely a bug that could lead to "
+                "lost leg fills. Please investigate. Spread sec_key: {} leg "
+                "exchange id: {}",
+                sk.value(), msg.get<fix::Int_Symbol>());
+            return;
+         }
+         leg_security = it->second;
+      }      
+      std::string text_msg;
+      if (msg.has<fix::Text>())
+         text_msg = msg.get<fix::Text>();
+      if (msg.has<fix::OrdRejReason>())
+         text_msg += " Rejected OrdRejReason: " + std::to_string(msg.get<fix::OrdRejReason>());
+         
+      if (msg.has<fix::DeleteReason>())
+         text_msg += " Cancelled DeleteReason: " + std::to_string(msg.get<fix::DeleteReason>());
+
+      // allocate from our pool
+      auto data = me->exe_report_pool.construct();
+
+      if(msg.has<fix::Memo>())
+         data->memo = msg.get<fix::Memo>();
+      data->exec_type = api::orderman::ExecType(msg.get<fix::ExecType>());
+      data->msg_seq_num = msg.get<fix::MsgSeqNum>();
+
+      // copy data from fix msg to our structure
+      if (msg.has<fix::ClearingAccount>())
+         str_to(msg.get<fix::ClearingAccount>(), &data->account_name);
+      if (msg.has<fix::TargetSubID>())
+         str_to(msg.get<fix::TargetSubID>(), &data->operator_id);
+      if (msg.has<fix::CompanyID>())
+         data->ice_company_id = msg.get<fix::CompanyID>();         
+
+      data->order_key = ok;
+      data->security = sec;
+      data->leg_security = leg_security;
+      data->side = api::Side(msg.get<fix::Side>());
+      if (msg.has<fix::TimeInForce>())
+         data->time_in_force = api::orderman::TimeInForce(msg.get<fix::TimeInForce>());
+      else
+         data->time_in_force = api::orderman::TIME_IN_FORCE_UNDEFINED;
+
+      if (msg.has<fix::OrdType>())
+         data->order_type = api::orderman::NativeOrderType(msg.get<fix::OrdType>());
+      else
+         data->order_type = api::orderman::NATIVE_ORDER_TYPE_UNDEFINED;
+         
+      data->order_status = api::orderman::NativeOrderStatus(msg.get<fix::OrdStatus>());
+      data->manual_order_indicator = api::orderman::MANUAL_ORDER_INDICATOR_NO;
+      
+      std::string oid_string = get_ice_order_id_string(msg);
+      str_to(oid_string, &data->exchange_order_id);
+      data->ice_cl_ord_id = 0;
+      if(msg.has<fix::Int_ClOrdID>())
+         data->ice_cl_ord_id = msg.get<fix::Int_ClOrdID>();
+      
+      if (msg.has<fix::Price>())
+         data->price = securities::decode_exchange_price(*sec, Price(msg.get<fix::Price>()));
+      else
+         data->price = Price(os::nan());
+
+      if (msg.has<fix::StopPx>())
+         data->stop_price = securities::decode_exchange_price(*sec, Price(msg.get<fix::StopPx>()));
+      else
+         data->stop_price = Price(os::nan());
+         
+      if (msg.has<fix::MaxShow>())
+         data->max_show = Quantity(msg.get<fix::MaxShow>());
+      else
+         data->max_show = Quantity(0);         
+
+      if (msg.has<fix::OrderQty>())
+         data->quantity = Quantity(msg.get<fix::OrderQty>());
+      else
+         data->quantity = Quantity(0);
+
+      data->filled_quantity = Quantity(msg.get<fix::CumQty>());
+      
+      data->last_shares = msg.has<fix::LastShares>()
+                              ? Quantity(msg.get<fix::LastShares>())
+                              : Quantity(0);
+      auto last_px_sec = data->leg_security ? data->leg_security : sec;
+      data->last_price = msg.has<fix::LastPx>()
+                             ? securities::decode_exchange_price(*last_px_sec, Price(msg.get<fix::LastPx>()))
+                             : Price(0);
+      data->avg_price = msg.has<fix::AvgPx>()
+                            ? securities::decode_exchange_price(*last_px_sec, Price(msg.get<fix::AvgPx>()))
+                            : Price(0);
+      if (msg.has<fix::ExecID>())
+      {
+         auto execid = msg.get<fix::ExecID>();
+         str_to(execid, &data->exchange_fill_id);
+         if(msg.has<fix::Memo>())
+            me->exec_id_to_memo[execid] = msg.get<fix::Memo>();
+      }
+               
+      if (msg.has<fix::TransactTimeStr>())
+      {
+         std::string stamp = msg.get<fix::TransactTimeStr>();
+         stamp.resize(sizeof(mercury::TimeStampStr));
+         str_to(stamp, &data->transact_time);
+      }
+      data->cfg = &me->cfg;
+      data->msg = text_msg;
+      data->exchange = api::Venue::VENUE_ICE;
+      me->on_exe_report(*data, msg.trace());
+   }
+}
+
+void ICEExecutionGateway::on_cancel_reject(const jetfix::fix::ICECancelRejectMsg &msg) 
+{
+   OrderKey ok(msg.get<fix::Int_ClOrdID>());
+
+   std::string reject_msg;
+   if (msg.has<fix::Text>())
+      reject_msg = msg.get<fix::Text>();
+   else if (msg.has<fix::CXlRejReason>())
+      reject_msg = fmt::format("Order cancel was rejected with error code {}",
+                               msg.get<fix::CXlRejReason>());
+   me->on_cancel_reject(ok, reject_msg);
+}
+
+
+void ICEExecutionGateway::on_business_reject(const jetfix::fix::BusinessMessageRejectMsg& m) 
+{
+   LOG(OrderMan, Error,
+       "Unexpected business reject in {} gateway . Reason: {}. This should be investigated",
+       me->gw_name.value(),
+       m.has<fix::Text>() ? m.get<fix::Text>() : std::string("Unknown"));
+}
+
+void ICEExecutionGateway::on_session_reject(const jetfix::fix::RejectMsg& m) 
+{
+   LOG(OrderMan, Error,
+       "Unexpected reject message in {} gateway . Reason: {}. This should be investigated",
+       me->gw_name.value(),
+       m.has<fix::Text>() ? m.get<fix::Text>() : std::string("Unknown"));
+}
+
+void ICEExecutionGateway::dispatch_incoming_fix_messages() 
+{
+   me->gw.dispatch_events();   
+   if(me->state == State::TRADER_LOGIN_TIMEOUT && ms_diff(Timer::now(), me->connection_time) >= 2000)
+   {
+      on_trader_login_timeout_expired();
+   }
+}
+
+void ICEExecutionGateway::send_fix(const jetfix::OutFIXPtr& fix, trace::CorID trace) 
+{
+   auto scoped_log = trace::log_scope(me->perf_log,trace,"ICEExecutionGateway::send_fix");
+   me->gw.send(fix,trace);
+   me->gw.dispatch_events();
+}
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/actors/ICEExecutionGateway.h

@@ -0,0 +1,45 @@
+#pragma once
+
+#include "IExecutionGateway.h"
+
+namespace bts {
+namespace orderman {
+
+// fix execution gateway for a single FIX session
+class ICEExecutionGateway : public IExecutionGateway {
+ public:   
+   ICEExecutionGateway(const config::JetFIX::Connection&, trace::PerfLog &,
+                       md::SecurityOracle);
+   virtual ~ICEExecutionGateway();
+
+   void start() override;
+   void dispatch_incoming_fix_messages() override;
+   void on_securities(const mercury::Update<NewSecuritiesEvent> &) override;
+   void on_admin_data(const mercury::Update<NewAdminDataEvent> &) override;
+   void send_fix(const jetfix::OutFIXPtr& fix, trace::CorID trace) override;
+
+   OnExeReport& on_exe_report() override;
+   OnGwStatusChange& on_gw_status_change() override;
+   OnCancelReject &on_cancel_reject() override;
+   
+ private:
+   BTS_NO_COPY(ICEExecutionGateway);
+   enum class State { WAITING_FOR_ADMIN, WAITING_FOR_SECURITIES, READY_TO_START_GW, TRADER_LOGIN_TIMEOUT, LOGIN_TIMEOUT_COMPLETE, READY };
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+   
+   void on_trader_login_timeout_expired();
+   void on_login();
+
+   // fix gateway events
+   void on_exe_report(const jetfix::fix::ICEExecutionReportMsg&);
+   void on_cancel_reject(const jetfix::fix::ICECancelRejectMsg&);
+   void on_connection_status_change(bool connected);
+   void on_business_reject(const jetfix::fix::BusinessMessageRejectMsg&);
+   void on_session_reject(const jetfix::fix::RejectMsg&);
+   
+   bool process_memo(const jetfix::fix::ICEExecutionReportMsg &msg, OrderKey*, SecurityKey*);
+};
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/actors/IExecutionGateway.cpp

@@ -0,0 +1,20 @@
+
+#include "IExecutionGateway.h"
+#include "ICEExecutionGateway.h"
+#include "GLBXExecutionGateway.h"
+
+namespace bts {
+namespace orderman {
+
+std::unique_ptr<IExecutionGateway>
+ExecutionGatewayFactory::create_gateway(const config::JetFIX::Connection& conn, trace::PerfLog& pl, md::SecurityOracle o)
+{
+   if(conn.platform() == bts::config::JetFIX_Connection_JetFIXPlatform_ICE || 
+      conn.platform() == bts::config::JetFIX_Connection_JetFIXPlatform_SIMICE)
+      return std::make_unique<ICEExecutionGateway>(conn, pl, o);
+   else
+      return std::make_unique<GLBXExecutionGateway>(conn, pl, o);
+}
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/actors/IExecutionGateway.h

@@ -0,0 +1,52 @@
+#pragma once
+
+#include "lib/config/protos/jetfix.pb.h"
+#include "lib/jetfix/codec/MessageDefinitions.h"
+#include "lib/jetfix/common/OutFIXPtr.h"
+#include "lib/md/SecurityOracle.h"
+#include "lib/mercury/events/Update.h"
+#include "lib/orderman/orderman_utils/orderman_common.h"
+#include "lib/utils/bts_no_copy.h"
+
+#include <memory>
+
+namespace bts {
+namespace trace {struct CorID;class PerfLog;}
+namespace orderman {
+class NewSecuritiesEvent;
+class NewAdminDataEvent;
+class ExecutionReport;
+
+
+using OnGwStatusChange = std::function<void(bool)>;
+using OnExeReport = std::function<void(ExecutionReport const &, trace::CorID const &)>;
+using OnCancelReject = std::function<void(OrderKey, std::string const &)>;
+
+// fix execution gateway for a single FIX session
+class IExecutionGateway {
+ public:   
+   IExecutionGateway() = default;
+   virtual ~IExecutionGateway() {}
+
+   virtual void start() = 0;
+   virtual void dispatch_incoming_fix_messages() = 0;
+   virtual void on_securities(const mercury::Update<NewSecuritiesEvent> &) = 0;
+   virtual void on_admin_data(const mercury::Update<NewAdminDataEvent> &) = 0;
+   virtual void send_fix(const jetfix::OutFIXPtr&, trace::CorID) = 0;
+   
+   virtual OnExeReport& on_exe_report() = 0;
+   virtual OnGwStatusChange& on_gw_status_change() = 0;
+   virtual OnCancelReject &on_cancel_reject() = 0;
+private:
+   BTS_NO_COPY(IExecutionGateway);
+};
+
+class ExecutionGatewayFactory
+{
+public:
+   static std::unique_ptr<IExecutionGateway> create_gateway(const config::JetFIX::Connection&, trace::PerfLog&, md::SecurityOracle);
+   
+};
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/actors/SODPosition.cpp

@@ -143,7 +143,7 @@ void SODPosition::_zero_pos(Fill &pos, const Fill &fill, api::Side side) {
 }
 
 bool SODPosition::add_fill_to_sod_pos(const Fill &fill) {   
-   if (_enabled && fill.timestamp().seconds() < _sod_time.tv_sec) {
+   if (_enabled && fill.fill_status() != api::orderman::Fill::FILL_STATUS_BUSTED && fill.timestamp().seconds() < _sod_time.tv_sec) {
       if (!bts::admin::AdminServiceUtils::has_id(fill.internal_account_id())){
          LOG(persist, Error, "SODPosition::add_fill_to_sod_pos Could not find "
                              "account_id for fill:{} account:{}",

src/lib/orderman/actors/order_manager/OrderManager.cpp

@@ -15,6 +15,7 @@
 #include "lib/orderman/orders/Order.h"
 #include "lib/orderman/securities/ISecurityDB.h"
 #include "lib/utils/inplace_function.h"
+#include "lib/utils/thread_manager.h"
 
 #include <algorithm>
 #include <boost/algorithm/string/trim.hpp>
@@ -44,12 +45,28 @@ struct OrderManager::PImpl {
    mercury::Actor::SubHandle stored_fills_sub;
    OrderServicesData services_data;
    mercury::Stream<OrderManagerReadyEvent> pub_ready;
+   std::thread background_thread;
+   std::atomic<bool> shutdown = false;
 };
 
 OrderManager::OrderManager(DynamicOrderRegistry const &b, trace::PerfLog &l,
                            md::SecurityOracle o)
-    : me(new PImpl(*this, b, l, o)) {}
-OrderManager::~OrderManager() {}
+    : me(new PImpl(*this, b, l, o)) {
+   auto id_gen = &me->services_data.id_gen;
+   auto done = &me->shutdown;
+   me->background_thread =
+       threading::make_thread("oman_background", [id_gen, done]() {
+          while (!(*done)) {
+             id_gen->refill();
+             sleep_for(10ms);
+          }
+       });
+}
+
+OrderManager::~OrderManager() {
+   me->shutdown = true;
+   me->background_thread.join();
+}
 
 void OrderManager::init() {
    subscribe<NewAdminDataEvent>(
@@ -63,11 +80,13 @@ void OrderManager::init() {
 
 void OrderManager::on_admin_data(const mercury::Update<NewAdminDataEvent> &m) {
    if (m.events) {
-
       if (me->state == State::WAIT_ADMIN) {
          LOG(OrderMan, Info,
-             "Order manager received admin data. Subscribing "
-             "to security list now ");
+             "Order manager received admin data. Subscribing to security list "
+             "now ");
+         for (auto &osd : me->services_data.sessions)
+            osd->gw->on_admin_data(m);
+
          me->state = State::WAIT_SEC;
          subscribe<NewSecuritiesEvent>([this](auto const &sec_update) {
             this->on_securities(sec_update);
@@ -100,7 +119,7 @@ void OrderManager::on_securities(
 
    // forward to execution gateways
    for (auto &osd : me->services_data.sessions)
-      osd->gw.on_securities(update);
+      osd->gw->on_securities(update);
 
    if (update.events) {
 
@@ -444,19 +463,20 @@ void OrderManager::init_order_services() {
       // reject evets
       auto s_ptr = s.get();
       s->exe_report_pub = make_stream<NewExecutionReportEvent>(gw_name);
-      s->gw.on_exe_report() = [s_ptr, this](auto const &er, auto const &t) {
+      s->gw->on_exe_report() = [s_ptr, this](auto const &er, auto const &t) {
          publish(s_ptr->exe_report_pub, &er, t);
       };
       s->gw_status_change_pub = make_stream<GatewayStatusChangeEvent>(gw_name);
-      s->gw.on_gw_status_change() = [s_ptr, this, gw_name](bool b) {
+      s->gw->on_gw_status_change() = [s_ptr, this, gw_name](bool b) {
          publish(s_ptr->gw_status_change_pub, gw_name, b);
       };
       s->cancel_reject_pub = make_stream<CancelRejectEvent>(gw_name);
-      s->gw.on_cancel_reject() = [s_ptr, this](auto const &k, auto const &msg) {
+      s->gw->on_cancel_reject() = [s_ptr, this](auto const &k,
+                                                auto const &msg) {
          publish(s_ptr->cancel_reject_pub, k, msg);
       };
       // handlers are ready so we can start processing fix events
-      s->gw.start();
+      s->gw->start();
 
       reload_fix_buffer(*s);
    }
@@ -539,7 +559,7 @@ void OrderManager::after_event() {
             auto scoped_do_work = trace::log_scope(me->services_data.log, {},
                                                    "OrderManager::after_event");
             fix_stream.close();
-            osd->gw.send_fix(osd->current_buffer, osd->current_trace);
+            osd->gw->send_fix(osd->current_buffer, osd->current_trace);
             reload_fix_buffer(*osd);
          }
       }
@@ -564,7 +584,7 @@ void OrderManager::on_poll(trace::PerfLog &log) {
        trace::log_scope(log, {}, "OrderManager::dispatch_incoming_fix_messages",
                         utils::TimeStamp::Interval::from_microseconds(2));
    for (auto &osd : me->services_data.sessions)
-      osd->gw.dispatch_incoming_fix_messages();
+      osd->gw->dispatch_incoming_fix_messages();
 }
 
 void OrderManager::publish_order_def_update(

src/lib/orderman/actors/order_manager/OrderServices.h

@@ -46,6 +46,9 @@ class OrderServices {
       return ss.is_gateway_connected();
    }
 
+   uint64_t gen_id() {
+      return _data->id_gen.next();
+   }
    Governor &governor(SessionServices &ss) { return ss.governor(); }
 
    void queue_fix(SessionServices &ss, jetfix::MessageTypes mt,

src/lib/orderman/actors/order_manager/OrderServicesData.cpp

@@ -12,7 +12,9 @@ OrderServicesData::OrderServicesData(OrderManager &owner,
       order_factory(sec_db, order_router, b),
       last_timer_ev(
           Timer::now(),
-          to<mercury::TimeStampStr>(datetime::FIX_timestamp(datetime::now()))) {
+          to<mercury::TimeStampStr>(datetime::FIX_timestamp(datetime::now()))),
+      id_gen("orderman_ids",5000)
+{
 
    auto &all_connections = config::get<config::JetFIX>().connection();
    for (auto const &c : all_connections)

src/lib/orderman/actors/order_manager/OrderServicesData.h

@@ -9,7 +9,7 @@
 
 #include "lib/mercury/events/TimerEvent.h"
 #include "lib/md/SecurityOracle.h"
-#include "lib/orderman/actors/ExecutionGateway.h"
+#include "lib/orderman/actors/IExecutionGateway.h"
 #include "lib/orderman/events/ActivateOrderEvent.h"
 #include "lib/orderman/events/BookUpdateEvent.h"
 #include "lib/orderman/events/TickerUpdateEvent.h"
@@ -33,6 +33,7 @@
 #include "lib/orderman/limiter/Limiter.h"
 #include "lib/orderman/order_router/OrderRouter.h"
 #include "lib/utils/datetime.h"
+#include "lib/utils/Puid.h"
 
 #include <boost/date_time/posix_time/posix_time.hpp>
 
@@ -51,7 +52,10 @@ struct SessionServicesData {
                        trace::PerfLog &log, md::SecurityOracle o)
        : session(cfg.name()), gw_connected(false), cfg(cfg),
          governor(cfg.max_order_msgs_per_window(), cfg.window_duration_msecs()),
-         gw(cfg, log,o) {}
+         gw(ExecutionGatewayFactory::create_gateway(cfg, log, o)) 
+   {
+      
+   }
 
    std::string session;
    std::vector<jetfix::OutFIXPtr> free_buffers;
@@ -68,7 +72,7 @@ struct SessionServicesData {
    Governor governor;
    jetfix::OutFIXPtr current_buffer;
    trace::CorID current_trace;
-   ExecutionGateway gw;
+   std::unique_ptr<IExecutionGateway> gw;
    mercury::Stream<NewExecutionReportEvent> exe_report_pub;
    mercury::Stream<GatewayStatusChangeEvent> gw_status_change_pub;
    mercury::Stream<CancelRejectEvent> cancel_reject_pub;
@@ -105,7 +109,8 @@ class OrderServicesData {
    mercury::Stream<OrderOpResultEvent> report_order_op_result_pub;
    mercury::TimerEvent last_timer_ev;
    std::vector<std::unique_ptr<SessionServicesData>> sessions;
-
+   utils::IDGenerator id_gen ;
+   
    SessionServicesData &get_session(std::string const &session_name) {
       for (auto &s : sessions)
          if (s->session == session_name)

src/lib/orderman/actors/order_manager/SessionServices.h

@@ -57,14 +57,14 @@ class SessionServices {
       _gateway_status_sub = src._gateway_status_sub;
       return *this;
    }
+   
+   config::JetFIX::Connection const &session_cfg() const {
+      return _session_data->cfg;
+   }   
 
  protected:
    std::string const &session_name() const { return _session_data->session; }
 
-   config::JetFIX::Connection const &session_cfg() const {
-      return _session_data->cfg;
-   }
-
    void queue_fix(jetfix::MessageTypes mt, jetfix::FIXFragment const &f,
                   trace::CorID const &corid) {
       auto &stream = _session_data->current_buffer->first_stream();

src/lib/orderman/events/OrderStateUpdateEvent.h

@@ -156,18 +156,6 @@ class OrderStateUpdateEvent : public mercury::Event<OrderStateUpdateEvent> {
       case api::orderman::OrderState::kProrata:
          result.mutable_prorata();
          break;         
-      case api::orderman::OrderState::kTwap:
-         result.mutable_twap();
-         break;         
-      case api::orderman::OrderState::kVwap:
-         result.mutable_vwap();
-         break;         
-      case api::orderman::OrderState::kPov:
-         result.mutable_pov();
-         break;         
-      case api::orderman::OrderState::kArrival:
-         result.mutable_arrival();
-         break;                  
       case api::orderman::OrderState::kDynamic:
          result.mutable_dynamic();
          break;

src/lib/orderman/order_factory/OrderFactory.cpp

@@ -10,7 +10,8 @@
 // order types
 #include "lib/orderman/order_factory/DynamicOrderRegistry.h"
 #include "lib/orderman/orders/DynamicOrder.h"
-#include "lib/orderman/orders/NativeOrder.h"
+#include "lib/orderman/orders/GLBXNativeOrder.h"
+#include "lib/orderman/orders/ICENativeOrder.h"
 #include "lib/orderman/orders/TimeBoxOrder.h"
 #include "lib/orderman/orders/TriggerOrder.h"
 #include "lib/orderman/orders/algo/AlgoWrapperOrder.h"
@@ -23,11 +24,6 @@
 #include "lib/orderman/orders/algo/algo_orders/OffsetAlgo.h"
 #include "lib/orderman/orders/algo/algo_orders/ScratchAlgo.h"
 #include "lib/orderman/orders/algo/algo_orders/ProRataAlgo.h"
-#include "lib/orderman/orders/algo/algo_orders/bluex/TWAPAlgo.h"
-#include "lib/orderman/orders/algo/algo_orders/bluex/VWAPAlgo.h"
-#include "lib/orderman/orders/algo/algo_orders/bluex/POVAlgo.h"
-#include "lib/orderman/orders/algo/algo_orders/bluex/ArrivalPriceAlgo.h"
-
 #include "lib/orderman/orders/book_algos/OCOOrder.h"
 #include "lib/orderman/orders/book_algos/PricerOrder.h"
 #include "lib/orderman/orders/spreader_orders/SpreaderOrder.h"
@@ -118,6 +114,24 @@ Order &OrderFactory::recover(api::orderman::OrderRecord const &rec) {
    return order;
 }
 
+NativeOrder *OrderFactory::make_order(const api::Venue exchange) {
+   if (exchange == api::Venue::VENUE_ICE ||
+       exchange == api::Venue::VENUE_SIMICE)
+      return new ICENativeOrder();
+   else
+      return new GLBXNativeOrder();
+}
+
+NativeOrder *
+OrderFactory::make_native_order(const api::orderman::OrderDefinition &def) {
+   auto secptr = me->sec_db.resolve(SecurityKey(def.security_key()));
+   if (secptr == nullptr)
+      return new GLBXNativeOrder(); // GLBX Native can handle unresolved
+                                    // securities
+   else
+      return make_order(secptr->exchange());
+}
+
 Order &OrderFactory::recreate_from_exe_report(ExecutionReport const &r) {
    using namespace api::orderman;
 
@@ -126,7 +140,7 @@ Order &OrderFactory::recreate_from_exe_report(ExecutionReport const &r) {
    case NATIVE_ORDER_TYPE_LIMIT:
    case NATIVE_ORDER_TYPE_STOP:
    case NATIVE_ORDER_TYPE_STOP_LIMIT: {
-      auto native_order = std::make_unique<NativeOrder>();
+      std::unique_ptr<NativeOrder> native_order(make_order(r.exchange));
       native_order->_key = r.order_key;
       native_order->_parent_key = null_order_key();
       auto def = native_order->on_init_from_exe_report(
@@ -156,7 +170,7 @@ Order &OrderFactory::allocate(OrderKey k, OrderKey pk,
    case CustomOrderDefinition::kStop:
    case CustomOrderDefinition::kStopLimit:
    case CustomOrderDefinition::kGlbxIceberg:
-      order_ptr.reset(new NativeOrder());
+      order_ptr.reset(make_native_order(def));
       break;
    case CustomOrderDefinition::kIceberg:
       order_ptr.reset(
@@ -210,22 +224,6 @@ Order &OrderFactory::allocate(OrderKey k, OrderKey pk,
       order_ptr.reset(
           new orderman::AlgoWrapperOrder(std::make_unique<ProRataAlgo>()));
       break;      
-   case CustomOrderDefinition::kTwap:
-      order_ptr.reset(
-          new orderman::AlgoWrapperOrder(std::make_unique<TWAPAlgo>()));
-      break;      
-   case CustomOrderDefinition::kVwap:
-      order_ptr.reset(
-          new orderman::AlgoWrapperOrder(std::make_unique<VWAPAlgo>()));
-      break;      
-   case CustomOrderDefinition::kPov:
-      order_ptr.reset(
-          new orderman::AlgoWrapperOrder(std::make_unique<POVAlgo>()));
-      break;      
-   case CustomOrderDefinition::kArrival:
-      order_ptr.reset(
-          new orderman::AlgoWrapperOrder(std::make_unique<ArrivalPriceAlgo>()));
-      break;               
    case CustomOrderDefinition::kDynamic: {
       order_ptr = me->dynamic_order_registry.build(
           def.custom_def().dynamic().dynamic_order_type());
@@ -236,7 +234,6 @@ Order &OrderFactory::allocate(OrderKey k, OrderKey pk,
          order_ptr.reset(new orderman::DynamicOrder());
       }
       break;
-      
    }
    case CustomOrderDefinition::kComposite:
       order_ptr.reset(new orderman::CompositeOrder());

src/lib/orderman/order_factory/OrderFactory.h

@@ -11,6 +11,7 @@ class ISecurityDB;
 }
 namespace orderman {
 class Order;
+class NativeOrder;
 class DynamicOrderRegistry;
 } // namespace orderman
 namespace orderman {
@@ -45,6 +46,8 @@ class OrderFactory : public IOrderFactory {
  private:
    Order &allocate(OrderKey k, OrderKey pk,
                    api::orderman::OrderDefinition const &);
+   NativeOrder* make_order(const api::Venue exchange);
+   NativeOrder* make_native_order(const api::orderman::OrderDefinition& def);   
    struct PImpl;
 
    std::unique_ptr<PImpl> me;

src/lib/orderman/orderman_utils/ExecutionReport.h

@@ -35,6 +35,10 @@ public:
    mercury::TimeStampStr transact_time;
    config::JetFIX::Connection const *cfg;
    std::string msg;
+   api::Venue exchange;
+   int64_t ice_cl_ord_id;
+   int32_t ice_company_id;
+   std::string memo;
 };
 
 }}

src/lib/orderman/orderman_utils/fix_order_codec.h

@@ -7,6 +7,7 @@
 #include "lib/jetfix/codec/i32_toa.h"
 #include "lib/jetfix/codec/MessageDefinitions.h"
 #include "lib/utils/bts_assert.h"
+#include "lib/utils/base62.h"
 
 namespace bts {
 namespace api {class Security;}
@@ -17,6 +18,8 @@ constexpr int clordid_sz() {return 20;}
 constexpr int price_sz() {return 17;}
 constexpr int quantity_sz() {return 6;}
 constexpr int max_show_sz() {return 6;}
+constexpr int memo_sz() {return 12;}
+constexpr int ice_orderid_sz() {return 12;}
 
 inline void encode_clorid(OrderKey ok, SecurityKey sk,std::string *out) {
    u32_toa(sk.value(),&((*out)[0]),clordid_sz()/2);
@@ -38,8 +41,7 @@ inline void decode_clorid(std::string const&in, OrderKey *ok, SecurityKey *sk)
 
 template <class MSG>
 OrderKey get_order_key(MSG const &msg)
-{
-   
+{   
    bts_assert(msg.template has<jetfix::fix::ClOrdID> ());
    OrderKey result;
    SecurityKey dummy;
@@ -47,4 +49,47 @@ OrderKey get_order_key(MSG const &msg)
    return result;
 }
 
+inline void encode_memo(OrderKey ok, SecurityKey sk, std::string *out) 
+{
+   auto ok_string = utils::to_base_62(ok.value());
+   auto sk_string = utils::to_base_62(sk.value());
+   bts_assert_msg(ok_string.size() == 6 && sk_string.size() == 6, "base62 encoding didn't work");
+   *out = ok_string + sk_string;   
+}
+
+inline void decode_memo(const std::string& in, OrderKey* ok, SecurityKey* sk)
+{
+   bts_assert(in.size() == memo_sz());   
+   char buffer[memo_sz()/2+1];
+   buffer[memo_sz()/2] = 0;
+   std::memcpy(buffer,&in[0],memo_sz()/2);
+   *ok = OrderKey( utils::from_base_62(std::string(buffer)) );
+
+   std::memcpy(buffer,&in[memo_sz()/2],memo_sz()/2);
+   *sk = SecurityKey( utils::from_base_62(std::string(buffer)) );
+}
+
+template <class MSG>
+std::string get_ice_order_id_string(const MSG& msg)
+{   
+   bts_assert(msg.template has<jetfix::fix::Int_OrderID>());
+   std::string oid_string(ice_orderid_sz(), ' '); 
+   
+   int64_t id = msg.template get<jetfix::fix::Int_OrderID>();   
+   u64_toa(id, &(oid_string[0]), ice_orderid_sz() );
+   return oid_string;
+}
+
+template <class MSG>
+std::string get_ice_clord_id_string(const MSG& msg)
+{   
+   bts_assert(msg.template has<jetfix::fix::Int_ClOrdID>());
+   std::string oid_string(ice_orderid_sz(), ' '); 
+   
+   int64_t id = msg.template get<jetfix::fix::Int_ClOrdID>();   
+   u64_toa(id, &(oid_string[0]), ice_orderid_sz() );
+   return oid_string;
+}
+
+
 }}

src/lib/orderman/orders/GLBXNativeOrder.cpp

@@ -1,4 +1,4 @@
-#include "NativeOrder.h"
+#include "GLBXNativeOrder.h"
 
 #include "lib/api/services/OrderService.pb.h"
 #include "lib/config/config.h"
@@ -28,7 +28,7 @@ using namespace api::orderman;
 
 OrderStatus map_external_status(NativeOrderStatus);
 
-struct NativeOrder::PImpl {
+struct GLBXNativeOrder::PImpl {
    PImpl()
        : services(nullptr), session_services(), sec(nullptr),
          previous_position_contribution(0), definition(), state(),
@@ -72,14 +72,14 @@ struct NativeOrder::PImpl {
    std::optional<std::pair<Price, Quantity>> buffered_update;
 };
 
-NativeOrder::NativeOrder() : me(new PImpl()) {}
+GLBXNativeOrder::GLBXNativeOrder() : me(new PImpl()) {}
 
-OrderDefinition const &NativeOrder::definition() const {
+OrderDefinition const &GLBXNativeOrder::definition() const {
    return me->definition;
 }
 
-void NativeOrder::on_init_new(OrderDefinition const &def,
-                              const PreActivationOrderServices &serv) {
+void GLBXNativeOrder::on_init_new(OrderDefinition const &def,
+                                  const PreActivationOrderServices &serv) {
    // order was just created.
    me->definition = def;
 
@@ -161,8 +161,8 @@ void NativeOrder::on_init_new(OrderDefinition const &def,
    init_fix();
 }
 
-void NativeOrder::on_init_recovered(OrderRecord const &rec,
-                                    const PreActivationOrderServices &serv) {
+void GLBXNativeOrder::on_init_recovered(OrderRecord const &rec,
+                                        const PreActivationOrderServices &serv) {
    // order was recovered from our orders database or from an execution
    // report
 
@@ -231,8 +231,8 @@ void NativeOrder::on_init_recovered(OrderRecord const &rec,
 }
 
 api::orderman::OrderDefinition
-NativeOrder::on_init_from_exe_report(ExecutionReport const &er,
-                                     const PreActivationOrderServices &os) {
+GLBXNativeOrder::on_init_from_exe_report(ExecutionReport const &er,
+                                         const PreActivationOrderServices &os) {
    auto k = er.order_key;
 
    OrderRecord orecord;
@@ -330,10 +330,10 @@ NativeOrder::on_init_from_exe_report(ExecutionReport const &er,
    return orecord.def();
 }
 
-NativeOrder::~NativeOrder() {}
+GLBXNativeOrder::~GLBXNativeOrder() {}
 
-void NativeOrder::warm_up_activate(OrderServicesData &data,
-                                   OrderServices &services) {
+void GLBXNativeOrder::warm_up_activate(OrderServicesData &data,
+                                       OrderServices &services) {
    bts_assert(!me->services);
    me->services = &services;
 
@@ -358,9 +358,9 @@ void NativeOrder::warm_up_activate(OrderServicesData &data,
 }
 
 OrderOpResult
-NativeOrder::_on_activate(log::Level reject_level, log::Level transition_level,
-                          Price p, Quantity q,
-                          bts::orderman::OrderServices &services) {
+GLBXNativeOrder::_on_activate(log::Level reject_level, log::Level transition_level,
+                              Price p, Quantity q,
+                              bts::orderman::OrderServices &services) {
    me->state.set_price(p.value());
    me->state.set_quantity(q.value());
    me->state.set_filled_quantity(0);
@@ -467,8 +467,8 @@ NativeOrder::_on_activate(log::Level reject_level, log::Level transition_level,
    return OrderOpResult{};
 }
 
-OrderOpResult NativeOrder::on_activate(Price p, Quantity q,
-                                       bts::orderman::OrderServices &services) {
+OrderOpResult GLBXNativeOrder::on_activate(Price p, Quantity q,
+                                           bts::orderman::OrderServices &services) {
    bts_assert(!me->services);
    me->services = &services;
    auto result = OrderOpResult{};
@@ -476,7 +476,7 @@ OrderOpResult NativeOrder::on_activate(Price p, Quantity q,
 
    case ORDER_STATUS_INACTIVE: {
       auto scoped_log =
-          services.log_scope("NativeOrder::on_activate", key().value());
+         services.log_scope("GLBXNativeOrder::on_activate", key().value());
       // this is a brand new order
 
       result = _on_activate(Warn, Info, p, q, services);
@@ -570,19 +570,19 @@ OrderOpResult NativeOrder::on_activate(Price p, Quantity q,
    return result;
 }
 
-OrderOpResult NativeOrder::on_update(Price p, Quantity q) {
+OrderOpResult GLBXNativeOrder::on_update(Price p, Quantity q) {
    api::orderman::Update update;
    update.set_price(p.value());
    update.set_quantity(q.value());
    return on_update(update);
 }
 
-OrderOpResult NativeOrder::on_update(api::orderman::Update const &update) {
+OrderOpResult GLBXNativeOrder::on_update(api::orderman::Update const &update) {
    auto p = Price(update.price());
    auto q = Quantity(update.quantity());
 
    auto scoped_log =
-       me->services->log_scope("NativeOrder::on_update", key().value());
+       me->services->log_scope("GLBXNativeOrder::on_update", key().value());
    auto result = OrderOpResult{};
 
    switch (me->state.status()) {
@@ -707,9 +707,9 @@ OrderOpResult NativeOrder::on_update(api::orderman::Update const &update) {
    return result;
 }
 
-OrderOpResult NativeOrder::on_detach() { return OrderOpResult{}; }
+OrderOpResult GLBXNativeOrder::on_detach() { return OrderOpResult{}; }
 
-void NativeOrder::on_attached(
+void GLBXNativeOrder::on_attached(
     api::orderman::OrderDefinition const &new_parent) {
    switch (me->state.status()) {
 
@@ -764,9 +764,9 @@ void NativeOrder::on_attached(
    }
 }
 
-OrderOpResult NativeOrder::on_cancel() {
+OrderOpResult GLBXNativeOrder::on_cancel() {
    auto scoped_log =
-       me->services->log_scope("NativeOrder::on_cancel", key().value());
+       me->services->log_scope("GLBXNativeOrder::on_cancel", key().value());
    auto result = OrderOpResult{};
 
    switch (me->state.status()) {
@@ -822,7 +822,7 @@ OrderOpResult NativeOrder::on_cancel() {
    return result;
 }
 
-bool NativeOrder::is_old_exe_report(
+bool GLBXNativeOrder::is_old_exe_report(
     api::orderman::NativeOrderState &native_state,
     const NewExecutionReportEvent &er) const {
    if (native_state.last_transact_time().size() !=
@@ -844,9 +844,9 @@ bool NativeOrder::is_old_exe_report(
    return true;
 }
 
-void NativeOrder::on_exe_report(const NewExecutionReportEvent &er) {
+void GLBXNativeOrder::on_exe_report(const NewExecutionReportEvent &er) {
    auto scoped_log =
-       me->services->log_scope("NativeOrder::on_exe_report", key().value());
+       me->services->log_scope("GLBXNativeOrder::on_exe_report", key().value());
 
    auto &state = me->state;
    auto &native_state = get_native_state(state);
@@ -969,7 +969,7 @@ void NativeOrder::on_exe_report(const NewExecutionReportEvent &er) {
    }
 }
 
-void NativeOrder::on_cancel_reject(const orderman::CancelRejectEvent &cr) {
+void GLBXNativeOrder::on_cancel_reject(const orderman::CancelRejectEvent &cr) {
    LOG(OrderMan, Warn, "Cancel reject received for order {}", key().value());
 
    switch (me->state.status()) {
@@ -997,7 +997,7 @@ void NativeOrder::on_cancel_reject(const orderman::CancelRejectEvent &cr) {
    }
 }
 
-void NativeOrder::on_gateway_status(const GatewayStatusChangeEvent &ev) {
+void GLBXNativeOrder::on_gateway_status(const GatewayStatusChangeEvent &ev) {
    if (ev.is_connected) {
       switch (me->state.status()) {
       case ORDER_STATUS_COMPLETED:
@@ -1057,7 +1057,7 @@ void NativeOrder::on_gateway_status(const GatewayStatusChangeEvent &ev) {
    report_state();
 }
 
-void NativeOrder::update_working_position() {
+void GLBXNativeOrder::update_working_position() {
    if (me->sec) {
       auto current_position = position_contribution();
       auto previous_position = me->previous_position_contribution;
@@ -1082,12 +1082,12 @@ void NativeOrder::update_working_position() {
           key().value(), me->definition.security_key());
 }
 
-void NativeOrder::report_state() {
+void GLBXNativeOrder::report_state() {
    update_working_position();
    me->services->report_state(me->state);
 }
 
-void NativeOrder::init_fix() {
+void GLBXNativeOrder::init_fix() {
    bts_assert(me->sec);
 
    using namespace jetfix;
@@ -1253,7 +1253,7 @@ void NativeOrder::init_fix() {
    }
 }
 
-void NativeOrder::add_exchange_order_id_to_fix() {
+void GLBXNativeOrder::add_exchange_order_id_to_fix() {
    bts_assert(has_exchange_order_id());
    me->update_encoding.add<jetfix::fix::OrderID>(me->exchange_order_id);
    me->cancel_encoding.add<jetfix::fix::OrderID>(me->exchange_order_id);
@@ -1296,16 +1296,16 @@ OrderStatus map_external_status(NativeOrderStatus status) {
    return ORDER_STATUS_ERROR;
 }
 
-bool NativeOrder::has_exchange_order_id() {
+bool GLBXNativeOrder::has_exchange_order_id() {
    return me->exchange_order_id.size();
 }
 
-void NativeOrder::transition(api::orderman::OrderStatus new_status,
+void GLBXNativeOrder::transition(api::orderman::OrderStatus new_status,
                              std::string const &msg) {
    transition(Info, new_status, msg);
 }
 
-void NativeOrder::transition(log::Level level,
+void GLBXNativeOrder::transition(log::Level level,
                              api::orderman::OrderStatus new_status,
                              std::string const &msg) {
    auto const &from = OrderStatus_Name(me->state.status());
@@ -1317,7 +1317,7 @@ void NativeOrder::transition(log::Level level,
    me->state.set_last_msg(msg);
 }
 
-void NativeOrder::transition(api::orderman::OrderStatus new_status) {
+void GLBXNativeOrder::transition(api::orderman::OrderStatus new_status) {
    auto const &from = OrderStatus_Name(me->state.status());
    auto const &to = OrderStatus_Name(new_status);
    if (from != to)
@@ -1330,7 +1330,7 @@ void NativeOrder::transition(api::orderman::OrderStatus new_status) {
    me->state.set_status(new_status);
 }
 
-void NativeOrder::transition_to_error(
+void GLBXNativeOrder::transition_to_error(
     api::orderman::NativeOrderState::SubError sub_error,
     std::string const &msg) {
    me->state.mutable_limit()->mutable_native_state()->set_sub_error_code(
@@ -1338,7 +1338,7 @@ void NativeOrder::transition_to_error(
    transition(ORDER_STATUS_ERROR, msg);
 }
 
-Quantity NativeOrder::position_contribution() {
+Quantity GLBXNativeOrder::position_contribution() {
    switch (me->state.status()) {
 
    case ORDER_STATUS_WORKING:
@@ -1363,7 +1363,7 @@ Quantity NativeOrder::position_contribution() {
    return Quantity(0);
 }
 
-bool NativeOrder::terminal_state(api::orderman::OrderStatus status) const {
+bool GLBXNativeOrder::terminal_state(api::orderman::OrderStatus status) const {
    switch (status) {
 
    case ORDER_STATUS_COMPLETED:
@@ -1389,7 +1389,7 @@ bool NativeOrder::terminal_state(api::orderman::OrderStatus status) const {
 }
 
 api::orderman::NativeOrderState &
-NativeOrder::get_native_state(api::orderman::OrderState &st) {
+GLBXNativeOrder::get_native_state(api::orderman::OrderState &st) {
    switch (st.custom_case()) {
    case OrderState::kMarket:
       return *st.mutable_market()->mutable_native_state();
@@ -1410,7 +1410,7 @@ NativeOrder::get_native_state(api::orderman::OrderState &st) {
    return *st.mutable_stop_limit()->mutable_native_state();
 }
 
-void NativeOrder::ignore_or_cancel(std::string const &msg,
+void GLBXNativeOrder::ignore_or_cancel(std::string const &msg,
                                    api::orderman::OrderError error,
                                    OrderOpResult *out) {
    if (parent_key() == null_order_key())

src/lib/orderman/orders/GLBXNativeOrder.h

@@ -0,0 +1,76 @@
+#pragma once
+
+#include "lib/orderman/orders/NativeOrder.h"
+#include "lib/tracing/PerfLog.h"
+#include <memory>
+
+namespace bts {
+namespace orderman {
+struct RoutingRecord;
+class NewExecutionReportEvent;
+class CancelRejectEvent;
+class GatewayStatusChangeEvent;
+class ExecutionReport;
+
+class GLBXNativeOrder : public NativeOrder {
+ public:
+   GLBXNativeOrder();
+   ~GLBXNativeOrder() override;
+
+   api::orderman::OrderDefinition const &definition() const override;
+   void on_init_new(api::orderman::OrderDefinition const &,
+                    const PreActivationOrderServices &) override;
+   void on_init_recovered(api::orderman::OrderRecord const &,
+                          const PreActivationOrderServices &) override;
+
+   OrderOpResult on_activate(Price, Quantity, OrderServices &) override;
+   OrderOpResult on_update(Price, Quantity) override;
+   OrderOpResult on_update(api::orderman::Update const &) override;
+   OrderOpResult on_detach() override;
+   OrderOpResult on_cancel() override;
+   void on_attached(api::orderman::OrderDefinition const &new_parent) override;
+
+   api::orderman::OrderDefinition
+   on_init_from_exe_report(ExecutionReport const &,
+                           const PreActivationOrderServices &) override;
+   void ignore_or_cancel(std::string const &,
+                         api::orderman::OrderError,
+                         OrderOpResult *out) ;
+
+ protected:
+   void warm_up_activate(OrderServicesData &, OrderServices &) override;
+
+ private:
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+   void on_exe_report(const NewExecutionReportEvent &);
+   void on_cancel_reject(const CancelRejectEvent &);
+   void on_gateway_status(const GatewayStatusChangeEvent &);
+   void report_state();
+   OrderOpResult _on_activate(log::Level reject_level,
+                              log::Level transition_level, Price p, Quantity q,
+                              bts::orderman::OrderServices &services);
+   void init_fix();
+   void add_exchange_order_id_to_fix();
+
+   void transition(log::Level,
+                   api::orderman::OrderStatus new_state,
+                   std::string const &msg);
+   void transition(api::orderman::OrderStatus new_state,
+                   std::string const &msg);
+   void transition(api::orderman::OrderStatus new_state);
+   void transition_to_error(api::orderman::NativeOrderState::SubError sub_error,
+                            std::string const &msg);
+
+   void update_working_position();
+   bool has_exchange_order_id();
+   Quantity position_contribution();
+   bool is_old_exe_report(api::orderman::NativeOrderState &,
+                          const NewExecutionReportEvent &) const;
+   bool terminal_state(api::orderman::OrderStatus status) const;
+   api::orderman::NativeOrderState &
+   get_native_state(api::orderman::OrderState &);
+};
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/ICENativeOrder.h

@@ -0,0 +1,82 @@
+#pragma once
+
+#include "lib/orderman/orders/NativeOrder.h"
+#include "lib/tracing/PerfLog.h"
+#include <memory>
+
+namespace bts {
+namespace orderman {
+struct RoutingRecord;
+class NewExecutionReportEvent;
+class CancelRejectEvent;
+class GatewayStatusChangeEvent;
+class ExecutionReport;
+
+class ICENativeOrder : public NativeOrder {
+ public:
+   ICENativeOrder();
+   ~ICENativeOrder() override;
+
+   const api::orderman::OrderDefinition& definition() const override;
+   void on_init_new(const api::orderman::OrderDefinition&,
+                    const PreActivationOrderServices&) override;
+   void on_init_recovered(const api::orderman::OrderRecord&,
+                          const PreActivationOrderServices &) override;
+
+   OrderOpResult on_activate(Price, Quantity, OrderServices &) override;
+   OrderOpResult on_update(Price, Quantity) override;
+   OrderOpResult on_update(const api::orderman::Update&) override;
+   OrderOpResult on_detach() override;
+   OrderOpResult on_cancel() override;
+   void on_attached(const api::orderman::OrderDefinition &new_parent) override;
+
+   api::orderman::OrderDefinition
+   on_init_from_exe_report(const ExecutionReport &, const PreActivationOrderServices &) override;
+   void ignore_or_cancel(const std::string&, api::orderman::OrderError, OrderOpResult* out);
+
+ protected:
+   void warm_up_activate(OrderServicesData &, OrderServices &) override;
+   void init_recovered_common(const api::orderman::OrderRecord &,
+                              const PreActivationOrderServices &);
+   
+
+ private:
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+   void on_exe_report(const NewExecutionReportEvent &);
+   void on_cancel_reject(const CancelRejectEvent &);
+   void on_gateway_status(const GatewayStatusChangeEvent &);
+   void report_state();
+   OrderOpResult _on_activate(log::Level reject_level,
+                              log::Level transition_level, Price p, Quantity q,
+                              bts::orderman::OrderServices &services);
+   void init_fix();
+   void add_exchange_order_id_to_fix();
+
+   void transition(log::Level,
+                   api::orderman::OrderStatus new_state,
+                   const std::string& msg);
+   void transition(api::orderman::OrderStatus new_state,
+                   const std::string& msg);
+   void transition(api::orderman::OrderStatus new_state);
+   void transition_to_error(api::orderman::NativeOrderState::SubError sub_error,
+                            const std::string& msg);
+
+   void update_working_position();
+   bool has_exchange_order_id();
+   Quantity position_contribution();
+   bool is_old_exe_report(api::orderman::NativeOrderState &,
+                          const NewExecutionReportEvent &) const;
+   bool terminal_state(api::orderman::OrderStatus status) const;
+   api::orderman::NativeOrderState &
+   get_native_state(api::orderman::OrderState &);
+      
+   int64_t get_new_clordid();
+   int64_t get_clordid(uint64_t);
+   void setup_ids(const std::string& sender_compid);
+   void generate_update_ids(const std::string&);
+   void generate_cancel_ids(const std::string&);
+};
+
+} // namespace orderman
+} // namespace bts

src/lib/orderman/orders/NativeOrder.h

@@ -2,75 +2,19 @@
 
 #include "lib/api/services/OrderService.pb.h"
 #include "lib/orderman/orders/Order.h"
-#include "lib/tracing/PerfLog.h"
-#include <memory>
 
 namespace bts {
 namespace orderman {
-struct RoutingRecord;
-class NewExecutionReportEvent;
-class CancelRejectEvent;
-class GatewayStatusChangeEvent;
 class ExecutionReport;
 
 class NativeOrder : public Order {
  public:
-   NativeOrder();
-   ~NativeOrder() override;
-
-   api::orderman::OrderDefinition const &definition() const;
-   void on_init_new(api::orderman::OrderDefinition const &,
-                    const PreActivationOrderServices &) override;
-   void on_init_recovered(api::orderman::OrderRecord const &,
-                          const PreActivationOrderServices &) override;
-
-   OrderOpResult on_activate(Price, Quantity, OrderServices &) override;
-   OrderOpResult on_update(Price, Quantity) override;
-   OrderOpResult on_update(api::orderman::Update const &) override;
-   OrderOpResult on_detach() override;
-   OrderOpResult on_cancel() override;
-   void on_attached(api::orderman::OrderDefinition const &new_parent) override;
+   NativeOrder() = default;
+   ~NativeOrder() override {};
 
+   virtual api::orderman::OrderDefinition const &definition() const = 0;
    api::orderman::OrderDefinition
-   on_init_from_exe_report(ExecutionReport const &,
-                           const PreActivationOrderServices &);
-
- protected:
-   void warm_up_activate(OrderServicesData &, OrderServices &) override;
-
- private:
-   struct PImpl;
-   std::unique_ptr<PImpl> me;
-   void on_exe_report(const NewExecutionReportEvent &);
-   void on_cancel_reject(const CancelRejectEvent &);
-   void on_gateway_status(const GatewayStatusChangeEvent &);
-   void report_state();
-   OrderOpResult _on_activate(log::Level reject_level,
-                              log::Level transition_level, Price p, Quantity q,
-                              bts::orderman::OrderServices &services);
-   void init_fix();
-   void add_exchange_order_id_to_fix();
-
-   void transition(log::Level,
-                   api::orderman::OrderStatus new_state,
-                   std::string const &msg);
-   void transition(api::orderman::OrderStatus new_state,
-                   std::string const &msg);
-   void transition(api::orderman::OrderStatus new_state);
-   void transition_to_error(api::orderman::NativeOrderState::SubError sub_error,
-                            std::string const &msg);
-
-   void update_working_position();
-   bool has_exchange_order_id();
-   Quantity position_contribution();
-   bool is_old_exe_report(api::orderman::NativeOrderState &,
-                          const NewExecutionReportEvent &) const;
-   bool terminal_state(api::orderman::OrderStatus status) const;
-   api::orderman::NativeOrderState &
-   get_native_state(api::orderman::OrderState &);
-   void ignore_or_cancel(std::string const &,
-                         api::orderman::OrderError,
-                         OrderOpResult *out) ;
+   virtual on_init_from_exe_report(ExecutionReport const &, const PreActivationOrderServices &) = 0;
 };
 
 } // namespace orderman

src/lib/orderman/orders/algo/algo_orders/bluex/ArrivalPriceAlgo.cpp

@@ -1,227 +0,0 @@
-#include "lib/orderman/orders/algo/algo_orders/bluex/ArrivalPriceAlgo.h"
-#include "lib/orderman/orders/algo/IAlgoServices.h"
-#include "lib/orderman/orders/algo/DynamicHelpers.h"
-
-#include "lib/orderman/order_factory/IOrderFactory.h"
-#include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
-#include "lib/os/os.h"
-#include "lib/utils/PBUtils.h"
-
-namespace bts {
-namespace orderman {
-
-using namespace api::orderman;
-
-enum class ArrivalPriceAlgo::Status { WAITING_FOR_MD, WAITING_TO_SCRATCH, SCRATCHED };
-
-struct ArrivalPriceAlgo::PImpl 
-{
-   IAlgoServices *algo;
-   OrderDefinition definition;
-   
-   Quantity scratch_threshold;
-   Price chase_diff;
-   Status status = Status::WAITING_FOR_MD;
-   OrderKey child_key = null_order_key();
-   ChildTemplate *child_template = nullptr;
-   Book last_book;
-   Book book_at_inception;
-   Price scratch_price=Price(os::nan());
-};
-
-ArrivalPriceAlgo::ArrivalPriceAlgo() : me(new PImpl()) {}
-ArrivalPriceAlgo::~ArrivalPriceAlgo() {}
-IAlgoServices &ArrivalPriceAlgo::algo() const { return *me->algo; }
-
-OrderOpResult ArrivalPriceAlgo::do_before_launch(IBeforeLaunchAlgoServices &serv) 
-{
-   const auto& def = serv.definition();   
-   bts_assert(def.has_custom_def());
-   bts_assert(def.custom_def().has_scratch());
-   // Validate the scratch part of the definition
-   auto &scratch = def.custom_def().scratch();
-   if (!scratch.has_child() && OrderKey(def.attach_target_order_key()) == null_order_key()) 
-   {
-      return OrderOpResult{ ORDER_ERROR_INVALID_ORDER_DEFINITON,
-          "Scratch order must have either a child order definition or an order to attach to"};
-   }
-   if (!serv.is_attaching()) 
-   {
-      // if we are not attaching create a child template so we can
-      // quickly launch our child when the time comes.
-      auto child_def = def;
-      *child_def.mutable_custom_def() = def.custom_def().scratch().child();
-      me->child_template = &(serv.make_child_template(child_def));
-   }
-   return {};
-}
-
-void ArrivalPriceAlgo::do_launch(IAlgoServices &algo) 
-{
-   me->algo = &algo;
-   update_scratch_threshold();
-   bts_assert(me->child_template);
-   me->child_key = algo.launch_child(*me->child_template, algo.price(), algo.quantity());
-   algo.subscribe_book(SecurityKey(algo.security().id()));
-}
-
-void ArrivalPriceAlgo::do_launch_attached(IAlgoServices &algo, OrderKey k, ChildState st) 
-{
-   me->algo = &algo;
-   update_scratch_threshold();
-   me->child_key = k;
-   algo.subscribe_book(SecurityKey(algo.security().id()));
-   on_child_change(k, st);
-}
-
-void ArrivalPriceAlgo::do_update(api::orderman::Update const &update) 
-{   
-   LOG(OrderMan, Diag, "ScratchOrder order {} receiving update: {}", algo().order_key().value(), utils::pb::to_string(update));
-      
-   if (update.has_custom() && !update.custom().has_scratch()) 
-   {
-      algo().terminate_error("Invalid update");
-      return;
-   }
-
-   Update child_update;
-   Price price_to_pass = get_price_to_pass(Price(update.price()));
-   child_update.set_price(price_to_pass.value());
-   child_update.set_quantity(update.quantity());
-   if (update.has_custom()) 
-   {
-      update_scratch_threshold();
-      auto &scratch_update = update.custom().scratch();
-      *child_update.mutable_custom() = scratch_update.child();
-   }
-   algo().update_child(me->child_key, child_update);
-
-   // If we were not yet scratched it is possible we now can, since we
-   // could have changed the scratch_threshold
-   if (me->status == Status::WAITING_TO_SCRATCH)
-      try_to_scratch();
-}
-
-void ArrivalPriceAlgo::on_book(SecurityKey, Book const &b) 
-{
-   me->last_book = b;
-   
-   LOG(OrderMan, Diag, "ScratchOrder order {} on book. BID: {}@{} ASK: {}@{}",
-       algo().order_key().value(), b.side(api::SIDE_BUY)[0].size(),
-       b.side(api::SIDE_BUY)[0].price(), b.side(api::SIDE_SELL)[0].size(),
-       b.side(api::SIDE_SELL)[0].price());
-
-   switch (me->status) 
-   {
-   case Status::WAITING_FOR_MD: 
-   {
-      auto other_side = securities::other_side(algo().definition().side());
-      auto &other_side_top = me->last_book.side(other_side)[0];
-
-      if (other_side_top.size() > 0) 
-      {
-         me->status = Status::WAITING_TO_SCRATCH;
-         me->book_at_inception = b;
-         LOG(OrderMan, Diag,
-             "ScratchOrder order {} receiving first book: {} Target: {}",
-             algo().order_key().value(), me->scratch_threshold.value(),
-             other_side_top.price());
-         try_to_scratch();
-      }
-   } break;
-   case Status::SCRATCHED:
-      break;
-   case Status::WAITING_TO_SCRATCH:
-      try_to_scratch();
-      break;
-   }
-}
-
-void ArrivalPriceAlgo::try_to_scratch() 
-{
-   bts_assert(me->status == Status::WAITING_TO_SCRATCH);
-   auto my_side = algo().definition().side();
-   auto other_side = securities::other_side(my_side);
-   
-   Quantity my_quan;
-   auto &my_side_psz = me->last_book.side(my_side)[0];
-   auto &other_side_psz = me->last_book.side(other_side)[0];
-   auto other_side_price = Price(other_side_psz.price());
-   auto inception_other_side_price = Price(me->book_at_inception.side(other_side)[0].price());
-   
-   bool market_moved = !securities::is_equal_or_better(other_side, other_side_price, inception_other_side_price);
-   bool on_market = securities::is_same(Price(my_side_psz.price()), Price(algo().price()));
-   if (market_moved || (on_market && my_side_psz.size() <= me->scratch_threshold.value()) ) 
-   {
-      Price scratch_price = securities::worsen_price(other_side, inception_other_side_price, me->chase_diff);
-      LOG(OrderMan, Diag, "ScratchOrder order {} scratching: {}@{}",
-          algo().order_key().value(), algo().quantity().value(), scratch_price);
-
-      // Time to scratch
-      Update child_update;
-      me->scratch_price = scratch_price;
-      child_update.set_price(scratch_price.value());
-      //we still want to try to scratch all of it
-      child_update.set_quantity(algo().quantity().value()); 
-      algo().update_child(me->child_key, child_update);
-      me->status = Status::SCRATCHED;
-   }
-   else 
-   {
-      LOG(OrderMan, Diag,
-          "ScratchOrder order {} still waiting to scratch. Order: {}@{} "
-          "My side: {}@{}"
-          "Thresh : {}@{}",
-          algo().order_key().value(), algo().quantity().value(), algo().price().value(),
-          my_side_psz.size(), my_side_psz.price(),
-          me->scratch_threshold.value(), my_quan);
-   }
-}
-
-Price ArrivalPriceAlgo::get_price_to_pass (Price price) const
-{
-   Price rv;
-   switch (me->status) {
-   case Status::WAITING_FOR_MD:      
-   case Status::WAITING_TO_SCRATCH:
-      rv = price;
-      break;
-   case Status::SCRATCHED:
-      rv = me->scratch_price;
-      break;
-   }
-   return rv;
-}
-
-void ArrivalPriceAlgo::update_scratch_threshold() 
-{
-   if (algo().definition().custom_def().scratch().scratch_threshold().quantity_case() == 
-       bts::spark::QuantityMeasure::QuantityCase::QUANTITY_NOT_SET) 
-   {
-      algo().terminate_error("Invalid quantity, terminating");
-      return;
-   }   
-   me->scratch_threshold = SpreaderUtils::_quantity_threshold(
-      algo().definition().custom_def().scratch().scratch_threshold(), algo().quantity());
-   me->chase_diff = Price(securities::tick_size(
-      algo().security()).value() * algo().definition().custom_def().scratch().chase_ticks());
-}
-
-void ArrivalPriceAlgo::on_child_change(OrderKey, ChildState const &st) 
-{
-   algo().update_fill_state(st.total_fills, st.last_price);
-   switch (st.status) 
-   {
-   case ChildStatus::WORKING:
-      return;
-   case ChildStatus::COMPLETED:
-      algo().complete();
-      return;
-   case ChildStatus::CANCELED:
-      algo().cancel("Unexpected child cancel");
-      return;
-   }
-}
-
-} // namespace orderman
-} // namespace bts

src/lib/orderman/orders/algo/algo_orders/bluex/ArrivalPriceAlgo.h

@@ -1,32 +0,0 @@
-#pragma once
-
-#include "lib/orderman/orders/algo/IAlgoOrder.h"
-
-namespace bts {
-namespace orderman {
-
-class ArrivalPriceAlgo : public IAlgoOrder
-{
-public:
-   ArrivalPriceAlgo();
-   ~ArrivalPriceAlgo();
-   
-   OrderOpResult do_before_launch(IBeforeLaunchAlgoServices&) override;
-   void do_launch(IAlgoServices &) override;
-   void do_launch_attached(IAlgoServices&,OrderKey, ChildState) override;
-   void do_update(api::orderman::Update const &) override;
-   void on_book(SecurityKey, Book const &) override; 
-   void on_child_change(OrderKey, ChildState const &) override;
-
-private:
-   enum class Status;
-   struct PImpl;
-   std::unique_ptr<PImpl> me;   
-   IAlgoServices& algo() const;
-   
-   void update_scratch_threshold();   
-   void try_to_scratch();
-   Price get_price_to_pass (Price price) const;
-};
-
-}}

src/lib/orderman/orders/algo/algo_orders/bluex/POVAlgo.cpp

@@ -1,227 +0,0 @@
-#include "lib/orderman/orders/algo/algo_orders/bluex/POVAlgo.h"
-#include "lib/orderman/orders/algo/IAlgoServices.h"
-#include "lib/orderman/orders/algo/DynamicHelpers.h"
-
-#include "lib/orderman/order_factory/IOrderFactory.h"
-#include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
-#include "lib/os/os.h"
-#include "lib/utils/PBUtils.h"
-
-namespace bts {
-namespace orderman {
-
-using namespace api::orderman;
-
-enum class POVAlgo::Status { WAITING_FOR_MD, WAITING_TO_SCRATCH, SCRATCHED };
-
-struct POVAlgo::PImpl 
-{
-   IAlgoServices *algo;
-   OrderDefinition definition;
-   
-   Quantity scratch_threshold;
-   Price chase_diff;
-   Status status = Status::WAITING_FOR_MD;
-   OrderKey child_key = null_order_key();
-   ChildTemplate *child_template = nullptr;
-   Book last_book;
-   Book book_at_inception;
-   Price scratch_price=Price(os::nan());
-};
-
-POVAlgo::POVAlgo() : me(new PImpl()) {}
-POVAlgo::~POVAlgo() {}
-IAlgoServices &POVAlgo::algo() const { return *me->algo; }
-
-OrderOpResult POVAlgo::do_before_launch(IBeforeLaunchAlgoServices &serv) 
-{
-   const auto& def = serv.definition();   
-   bts_assert(def.has_custom_def());
-   bts_assert(def.custom_def().has_scratch());
-   // Validate the scratch part of the definition
-   auto &scratch = def.custom_def().scratch();
-   if (!scratch.has_child() && OrderKey(def.attach_target_order_key()) == null_order_key()) 
-   {
-      return OrderOpResult{ ORDER_ERROR_INVALID_ORDER_DEFINITON,
-          "Scratch order must have either a child order definition or an order to attach to"};
-   }
-   if (!serv.is_attaching()) 
-   {
-      // if we are not attaching create a child template so we can
-      // quickly launch our child when the time comes.
-      auto child_def = def;
-      *child_def.mutable_custom_def() = def.custom_def().scratch().child();
-      me->child_template = &(serv.make_child_template(child_def));
-   }
-   return {};
-}
-
-void POVAlgo::do_launch(IAlgoServices &algo) 
-{
-   me->algo = &algo;
-   update_scratch_threshold();
-   bts_assert(me->child_template);
-   me->child_key = algo.launch_child(*me->child_template, algo.price(), algo.quantity());
-   algo.subscribe_book(SecurityKey(algo.security().id()));
-}
-
-void POVAlgo::do_launch_attached(IAlgoServices &algo, OrderKey k, ChildState st) 
-{
-   me->algo = &algo;
-   update_scratch_threshold();
-   me->child_key = k;
-   algo.subscribe_book(SecurityKey(algo.security().id()));
-   on_child_change(k, st);
-}
-
-void POVAlgo::do_update(api::orderman::Update const &update) 
-{   
-   LOG(OrderMan, Diag, "ScratchOrder order {} receiving update: {}", algo().order_key().value(), utils::pb::to_string(update));
-      
-   if (update.has_custom() && !update.custom().has_scratch()) 
-   {
-      algo().terminate_error("Invalid update");
-      return;
-   }
-
-   Update child_update;
-   Price price_to_pass = get_price_to_pass(Price(update.price()));
-   child_update.set_price(price_to_pass.value());
-   child_update.set_quantity(update.quantity());
-   if (update.has_custom()) 
-   {
-      update_scratch_threshold();
-      auto &scratch_update = update.custom().scratch();
-      *child_update.mutable_custom() = scratch_update.child();
-   }
-   algo().update_child(me->child_key, child_update);
-
-   // If we were not yet scratched it is possible we now can, since we
-   // could have changed the scratch_threshold
-   if (me->status == Status::WAITING_TO_SCRATCH)
-      try_to_scratch();
-}
-
-void POVAlgo::on_book(SecurityKey, Book const &b) 
-{
-   me->last_book = b;
-   
-   LOG(OrderMan, Diag, "ScratchOrder order {} on book. BID: {}@{} ASK: {}@{}",
-       algo().order_key().value(), b.side(api::SIDE_BUY)[0].size(),
-       b.side(api::SIDE_BUY)[0].price(), b.side(api::SIDE_SELL)[0].size(),
-       b.side(api::SIDE_SELL)[0].price());
-
-   switch (me->status) 
-   {
-   case Status::WAITING_FOR_MD: 
-   {
-      auto other_side = securities::other_side(algo().definition().side());
-      auto &other_side_top = me->last_book.side(other_side)[0];
-
-      if (other_side_top.size() > 0) 
-      {
-         me->status = Status::WAITING_TO_SCRATCH;
-         me->book_at_inception = b;
-         LOG(OrderMan, Diag,
-             "ScratchOrder order {} receiving first book: {} Target: {}",
-             algo().order_key().value(), me->scratch_threshold.value(),
-             other_side_top.price());
-         try_to_scratch();
-      }
-   } break;
-   case Status::SCRATCHED:
-      break;
-   case Status::WAITING_TO_SCRATCH:
-      try_to_scratch();
-      break;
-   }
-}
-
-void POVAlgo::try_to_scratch() 
-{
-   bts_assert(me->status == Status::WAITING_TO_SCRATCH);
-   auto my_side = algo().definition().side();
-   auto other_side = securities::other_side(my_side);
-   
-   Quantity my_quan;
-   auto &my_side_psz = me->last_book.side(my_side)[0];
-   auto &other_side_psz = me->last_book.side(other_side)[0];
-   auto other_side_price = Price(other_side_psz.price());
-   auto inception_other_side_price = Price(me->book_at_inception.side(other_side)[0].price());
-   
-   bool market_moved = !securities::is_equal_or_better(other_side, other_side_price, inception_other_side_price);
-   bool on_market = securities::is_same(Price(my_side_psz.price()), Price(algo().price()));
-   if (market_moved || (on_market && my_side_psz.size() <= me->scratch_threshold.value()) ) 
-   {
-      Price scratch_price = securities::worsen_price(other_side, inception_other_side_price, me->chase_diff);
-      LOG(OrderMan, Diag, "ScratchOrder order {} scratching: {}@{}",
-          algo().order_key().value(), algo().quantity().value(), scratch_price);
-
-      // Time to scratch
-      Update child_update;
-      me->scratch_price = scratch_price;
-      child_update.set_price(scratch_price.value());
-      //we still want to try to scratch all of it
-      child_update.set_quantity(algo().quantity().value()); 
-      algo().update_child(me->child_key, child_update);
-      me->status = Status::SCRATCHED;
-   }
-   else 
-   {
-      LOG(OrderMan, Diag,
-          "ScratchOrder order {} still waiting to scratch. Order: {}@{} "
-          "My side: {}@{}"
-          "Thresh : {}@{}",
-          algo().order_key().value(), algo().quantity().value(), algo().price().value(),
-          my_side_psz.size(), my_side_psz.price(),
-          me->scratch_threshold.value(), my_quan);
-   }
-}
-
-Price POVAlgo::get_price_to_pass (Price price) const
-{
-   Price rv;
-   switch (me->status) {
-   case Status::WAITING_FOR_MD:      
-   case Status::WAITING_TO_SCRATCH:
-      rv = price;
-      break;
-   case Status::SCRATCHED:
-      rv = me->scratch_price;
-      break;
-   }
-   return rv;
-}
-
-void POVAlgo::update_scratch_threshold() 
-{
-   if (algo().definition().custom_def().scratch().scratch_threshold().quantity_case() == 
-       bts::spark::QuantityMeasure::QuantityCase::QUANTITY_NOT_SET) 
-   {
-      algo().terminate_error("Invalid quantity, terminating");
-      return;
-   }   
-   me->scratch_threshold = SpreaderUtils::_quantity_threshold(
-      algo().definition().custom_def().scratch().scratch_threshold(), algo().quantity());
-   me->chase_diff = Price(securities::tick_size(
-      algo().security()).value() * algo().definition().custom_def().scratch().chase_ticks());
-}
-
-void POVAlgo::on_child_change(OrderKey, ChildState const &st) 
-{
-   algo().update_fill_state(st.total_fills, st.last_price);
-   switch (st.status) 
-   {
-   case ChildStatus::WORKING:
-      return;
-   case ChildStatus::COMPLETED:
-      algo().complete();
-      return;
-   case ChildStatus::CANCELED:
-      algo().cancel("Unexpected child cancel");
-      return;
-   }
-}
-
-} // namespace orderman
-} // namespace bts

src/lib/orderman/orders/algo/algo_orders/bluex/POVAlgo.h

@@ -1,32 +0,0 @@
-#pragma once
-
-#include "lib/orderman/orders/algo/IAlgoOrder.h"
-
-namespace bts {
-namespace orderman {
-
-class POVAlgo : public IAlgoOrder
-{
-public:
-   POVAlgo();
-   ~POVAlgo();
-   
-   OrderOpResult do_before_launch(IBeforeLaunchAlgoServices&) override;
-   void do_launch(IAlgoServices &) override;
-   void do_launch_attached(IAlgoServices&,OrderKey, ChildState) override;
-   void do_update(api::orderman::Update const &) override;
-   void on_book(SecurityKey, Book const &) override; 
-   void on_child_change(OrderKey, ChildState const &) override;
-
-private:
-   enum class Status;
-   struct PImpl;
-   std::unique_ptr<PImpl> me;   
-   IAlgoServices& algo() const;
-   
-   void update_scratch_threshold();   
-   void try_to_scratch();
-   Price get_price_to_pass (Price price) const;
-};
-
-}}