fix: Update title in new ladder ticket when sec received

The old name was unnecessarily vague

.vscode/launch.json

@@ -285,7 +285,7 @@
       "windows": {
         "program": "Spark.exe",
         "args": [
-          "--sparkd",
+          "--Spark:ConfigServer",
           "${input:sparkConfigServer}"
         ],
         "cwd": "build/Debug/bin/net8.0-windows",

src/app_sparkd/configurations/all_crypto/.env

@@ -0,0 +1,5 @@
+SPARKD__CONFIG_DIR=src/app_sparkd/configurations/all_crypto
+SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/gateio_dev/requirements.txt
+SPARKD__DATA_DIR=/home/ubuntu/8000/sparkdata/data
+SPARKD__IMAGE=sparkd_symbols
+SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf

src/app_sparkd/configurations/all_crypto/gateio_overrides.json

@@ -0,0 +1,11 @@
+{
+  "currencies": [
+    "USDT"
+  ],
+  "futures": [
+    "BTC",
+    "ETH",
+    "SOL",
+    "XRP"
+  ]
+}

src/app_sparkd/configurations/all_crypto/py_bybit_md_provider.json

@@ -0,0 +1,16 @@
+{
+  "currencies": [
+    "USDT"
+  ],
+  "futures": [
+    "BTC",
+    "ETH",
+    "SOL",
+    "XRP"
+  ],
+  "use_testnet": false,
+  "logging": {
+    "console_level": "WARNING",
+    "file_level": "INFO"
+  }
+}

src/app_sparkd/configurations/all_crypto/requirements.txt

@@ -0,0 +1,5 @@
+numpy==2.2.6
+pybit==5.11.0
+requests==2.31.0
+websocket-client==1.8.0
+websockets==15.0.1

src/app_sparkd/configurations/all_crypto/spark.conf

@@ -0,0 +1,71 @@
+PublisherOptions {
+  value {
+    network_interface: "0.0.0.0"
+    heartbeat_ms: 5000
+    heartbeat_boot_seconds: 60
+    skip_options: true
+    hot_initial: 1024
+    hot_growth: 1024
+    cold_initial: 8192
+    cold_growth: 2048
+    channel_prefix: ""
+    disable_heartbeat: true
+  }
+}
+
+Logging {
+  value {
+    initial_queue_size: 120001
+    max_queue_growth: 4
+    file {
+      default_level: "Info"
+      subsystem {
+        name: "md"
+        level: "Diag"
+      }
+    }
+  }
+}
+
+MarketDataConfig {
+  value {
+    # python_md_providers {
+    #   venue: VENUE_GATEIO
+    #   module_path: "python_md_providers"
+    #   provider_type: "gateio_md_provider.GateIoMdProvider"
+    # }
+    python_md_providers {
+      venue: VENUE_BYBIT
+      module_path: "python_interop_plugins"
+      provider_type: "bybit_md_provider.BybitMdProvider"
+    }
+    binance_usds_futures {
+      num_depth_levels: 5
+      url_rest_base: "https://fapi.binance.com"
+      url_ws_base: "wss://fstream.binance.com"
+      security_criteria {
+        clauses {
+          security_types: SECURITY_TYPE_FUTURE
+          symbols: @SymbolLists.list[Gateio].symbol
+        }
+      }
+    }
+     okx {
+       num_depth_levels: 5
+       url_rest_base: "https://www.okx.com"
+       url_ws_base: "wss://ws.okx.com:8443"
+       security_criteria {
+         clauses {
+           security_types: SECURITY_TYPE_FUTURE
+           symbols: @SymbolLists.list[Gateio].symbol
+         }
+       }
+       is_application_ping_pong_enabled: true
+       application_ping_interval_ms: 20000
+       application_pong_timeout_ms: 10000
+       is_protocol_ping_pong_enabled: true
+       protocol_ping_interval_ms: 60000
+       protocol_pong_timeout_ms: 30000
+     }
+  }
+}

src/app_sparkd/configurations/all_crypto/symbols.conf

@@ -0,0 +1,32 @@
+  SymbolLists {
+  value {
+    list {
+      key: "Gateio"
+      symbol: "SOL"
+      symbol: "BTC"
+      symbol: "ETH"
+      symbol: "XRP"
+    }
+  }
+}
+
+Symbols {
+  value {
+    venues {
+      name: "VENUE_GATEIO"
+      spot: @SymbolLists.list[Gateio].symbol
+    }
+    venues {
+      name: "VENUE_BYBIT"
+      future: @SymbolLists.list[Gateio].symbol
+    }
+    venues {
+      name: "VENUE_BINANCE_USDS_FUTURES"
+      future: @SymbolLists.list[Gateio].symbol
+    }
+    venues {
+      name: "VENUE_OKX"
+      future: @SymbolLists.list[Gateio].symbol
+    }
+  }
+}

src/app_sparkd/configurations/ophir_prod_live_wb/.env

@@ -3,3 +3,5 @@ SPARKD__DATA_DIR=/home/wedbushprod/8000/sparkdata/data
 SPARKD__IMAGE=sparkd_symbols
 SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_prod_live_wb/requirements.txt
 SPARKD__RUNTIME_CONF_DIR=/home/wedbushprod/8000/sparkdata/conf
+SPARKD__SHM_SIZE=8g
+SPARKD__MEMORY=16g

src/app_sparkd/sparkd/md/platforms/mdp3_onixs/MDP3Listener.cpp

@@ -1,4 +1,5 @@
 #include "MDP3Listener.h"
+#include "spark/md/log_messages/trade_latency_log.h"
 #include "spark/config/protos/market_data.pb.h"
 #include "spark/md/protos/co2.pb.h"
 #include "spark/utils/datetime.h"
@@ -189,6 +190,9 @@ void on_trade(
    PriceSize ps = pricesize_of_price_size(
        price, data->handle.security().display_factor, size);
    auto date = ll_of_timestamp(onixs_date);
+   log_trade_latency(
+       TradeLatencyStage::MDP3_RECEIVED, data->handle.security(), date, ps,
+       map_aggressor(agside), data->electronic_volume + size, false);
    data->handle.add_trade(
        ts, ps, date, map_aggressor(agside), data->electronic_volume + size);
 }
@@ -287,6 +291,19 @@ void MDP3Listener::heartbeat() {
 void MDP3Listener::add_security(
     const FixedSecurity &security, co2::TradingStatus status) {
    bts_assert(security.numeric_id != 0);
+   if (security.type == api::SECURITYTYPE_OPTION) {
+      const auto &option = static_cast<const FixedOptionSecurity &>(security);
+      const datetime::Date expiration(
+          option.expiration_year, option.expiration_month,
+          option.expiration_day);
+      if (!option_expiration_is_allowed(expiration)) {
+         LOG(md, Info,
+             "Skipping MDP3 option {} because it expires beyond the configured "
+             "cutoff.",
+             std::string(security.symbol()));
+         return;
+      }
+   }
    // Set up the shared memory for this security
    auto handle = _producer.add_security(security);
    // Add it to the index so it can receive messages

src/app_sparkd/sparkd/md/platforms/mdp3_onixs/MDP3Listener.h

@@ -1,6 +1,8 @@
 #pragma once
 
 #include "CMESecurityIndex.h"
+#include "spark/config/config.h"
+#include "spark/config/protos/toggles.pb.h"
 #include "spark/io/JsonDumper.h"
 #include "spark/io/json_formatter.h"
 #include "spark/md/MBOProcessor.h"
@@ -21,6 +23,28 @@
 namespace bts {
 namespace md {
 
+inline bool option_expiration_is_allowed(const datetime::Date &expiration) {
+   const auto max_days =
+       config::get<config::toggles::Mdp3OptionExpirationCutoff>()
+           .max_days_until_expiration();
+   if (expiration.year == 0) {
+      return true;
+   }
+   if (max_days == 0) {
+      return true;
+   }
+   const auto cutoff = core::TimeStamp::now().date() +
+                       core::TimeSpan::from_days(max_days);
+   const auto expiration_timestamp =
+       core::TimeStamp(expiration.year, expiration.month, expiration.day);
+   const bool allowed = expiration_timestamp <= cutoff;
+   uint32_t cutoff_year;
+   uint32_t cutoff_month;
+   uint32_t cutoff_day;
+   cutoff.to_date(cutoff_year, cutoff_month, cutoff_day);
+   return allowed;
+}
+
 inline co2::AggressorSide map_aggressor(onixs::AggressorSide::Enum agside) {
    switch (agside) {
    default:
@@ -781,6 +805,11 @@ void MDP3Listener::onOption(
           exchange_id, sec_name, Mdp3SecuritySkipReason::ALREADY_ADDED);
       return;
    }
+   if (!option_expiration_is_allowed(date_of_maturity(sec))) {
+      LOG_MDP3_ON_OPTION_SKIP(
+          exchange_id, sec_name, Mdp3SecuritySkipReason::EXPIRED);
+      return;
+   }
 
    LOG_MDP3_ON_OPTION_BEGIN(exchange_id, std::string(sec.symbol().items()));
    FixedOptionSecurity fsec;

src/client/spark/AW2/LiveTheoPublisher.cs

@@ -160,7 +160,7 @@ namespace mbts.spark {
 
       private bool _compute_midmarket {
          get {
-            return true;
+            return false;
          }
       }
 

src/client/spark/Daemons/OrderTicketDaemon.cs

@@ -26,6 +26,8 @@ using LadderSettings = mbts.spark.LadderSettings;
 namespace bts.shell {
    [Export(typeof(IShellDaemon))]
    class OrderTicketDaemon : IShellDaemon {
+      static readonly bool useTicketLadder = true;
+
       readonly IBus _bus;
       readonly OrdersModel _model;
       readonly UserSettingsHub _settings_hub;
@@ -71,13 +73,23 @@ namespace bts.shell {
 
       void _show_order_ticket(SecurityMD smd) {
          var settings_src = _settings_hub.subscribe_default_settings()
-            .Select(s => s.get_ladder_profile(smd.security)?.value ?? LadderSettings.Default);
+            .Select(s => s.GetLadderProfile(smd.security)?.value ?? LadderSettings.Default);
          var accounts_src = _bus.subscribe(SparkTags.AccountsTag);
-         _show_order_window(new OrderTicket {
-            DataContext = new NewOrderTicketVM(_model, smd, accounts_src, settings_src) {
-               close_on_send = _close_on_send
-            }
-         });
+         _show_order_window(useTicketLadder ? OrderTicketLadderWindow() : OrderTicketWindow());
+
+         Window OrderTicketWindow() =>
+            new OrderTicket {
+               DataContext = new NewOrderTicketVM(_model, smd, accounts_src, settings_src) {
+                  close_on_send = _close_on_send
+               }
+            };
+
+         Window OrderTicketLadderWindow() =>
+            new OrderTicketLadder() {
+               DataContext = new NewOrderTicketLadderVM(
+                  _model, smd, accounts_src, settings_src,
+                  ladderSecurity => _bus.post(SparkTags.ShowLadderTag, ladderSecurity))
+            };
       }
 
       void _show_order_ticket(OrderTicketParams ot_params) {
@@ -114,13 +126,23 @@ namespace bts.shell {
                return;
          }
          var md = _md_map.TryGetValue(ori.order.security_key());
-         _show_order_window(new OrderModificationDialog {
-            DataContext = new ExistingOrderTicketVM(_model,
-               Observable.Return((md, ori.order)),
-               _bus.subscribe(SparkTags.AccountsTag),
-               Observable.Return(LadderSettings.Default.calculator_buttons),
-               md?.quantity_display)
-         });
+         var accountsSrc = _bus.subscribe(SparkTags.AccountsTag);
+         var orderSrc = Observable.Return((md, ori.order));
+         var calcBnsSrc = Observable.Return(LadderSettings.Default.calculator_buttons);
+         _show_order_window(useTicketLadder ? OrderTicketLadderWindow() : OrderTicketWindow());
+
+         Window OrderTicketWindow() =>
+            new OrderModificationDialog {
+               DataContext = new ExistingOrderTicketVM(_model, orderSrc, accountsSrc, calcBnsSrc, md?.quantity_display)
+            };
+
+         Window OrderTicketLadderWindow() =>
+            new OrderModificationDialog {
+               DataContext = new ExistingOrderTicketLadderVM(
+                  _model, orderSrc, accountsSrc, calcBnsSrc,
+                  ladderSecurity => _bus.post(SparkTags.ShowLadderTag, ladderSecurity),
+                  md?.quantity_display)
+            };
       }
    }
 }

src/client/spark/Model/Settings/UserSettingsExtensions.cs

@@ -14,16 +14,11 @@ namespace mbts.spark {
       /// <summary>
       /// Gets the ladder settings profile for a particular security
       /// </summary>
-      public static LadderSettingsProfile? get_ladder_profile(
+      public static LadderSettingsProfile? GetLadderProfile(
          this UserSettings settings, SecurityImmutable security) =>
          settings.ladder_profiles.FirstOrDefault(lsp =>
             lsp?.security_criteria?.includes(security) ?? false);
 
-      public static IObservable<LadderSettingsProfile?> subscribe_ladder_profile(
-         this UserSettingsHub settings_hub, SecurityImmutable security) =>
-         settings_hub.subscribe_default_settings().Select(s =>
-            s.get_ladder_profile(security));
-
       /// <summary>
       /// Gets the default account for a particular security (from the
       /// <see cref="LadderSettingsProfile"/> associated with that security)
@@ -31,7 +26,7 @@ namespace mbts.spark {
       public static IObservable<AccountTuple?> subscribe_default_account(
          this UserSettingsHub settings_hub, IBus bus, SecurityImmutable security) {
          var acc_id_src = settings_hub.subscribe_default_settings().Select(s =>
-            s.get_ladder_profile(security)?.value?.default_account);
+            s.GetLadderProfile(security)?.value?.default_account);
          return acc_id_src.CombineLatest(
             bus.subscribe(SparkTags.AccountsTag),
             (acc_id, accs) => acc_id.HasValue && accs.TryGetValue(acc_id.Value, out var acc_tup) ?

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

@@ -1,10 +1,10 @@
-using bts;
 using bts.api;
 
 using mbts.spark;
 using mbts.ui.controls;
 using mbts.ui.converters;
 using mbts.ui.extensions;
+using mbts.ui.shell;
 
 using System;
 using System.Collections.Generic;
@@ -23,6 +23,7 @@ namespace mbts.ui.spark {
    /// </summary>
    partial class MarketViewView : UserControl {
       public static readonly RoutedCommand CellClickCommand = new RoutedCommand();
+      static readonly bool useTicketLadder = true;
 
       MarketViewVM _vm;
       DIYGridPopupManager _popup_man_backing;
@@ -92,7 +93,7 @@ namespace mbts.ui.spark {
 
       void _show_mini_orderbook(IReadOnlyList<SecurityImmutable> securities, Columns col) {
          var (vm, context, title, fg) = _vm.orderbook_params(securities, col);
-         _show_popup(vm, new AuxiliaryDataHeader {
+         _show_popup(vm, new OrderAuxiliaryPopupHeader {
             context = context,
             title = title,
             title_foreground = fg
@@ -104,7 +105,7 @@ namespace mbts.ui.spark {
 
       void _show_mini_fills(IEnumerable<SecurityImmutable> securities, Columns col) {
          var (vm, context, title, fg) = _vm.fills_params(securities, col);
-         _show_popup(vm, new AuxiliaryDataHeader {
+         _show_popup(vm, new OrderAuxiliaryPopupHeader {
             context = context,
             title = title,
             title_foreground = fg
@@ -114,29 +115,40 @@ namespace mbts.ui.spark {
       async void _show_order_ticket(
          SecurityMD security_md, double price = double.NaN, double size = 0) {
          var resources = new OrderTicketResources();
-         resources.MergedDictionaries.Add(new AuxiliaryDataResources());
+         resources.MergedDictionaries.Add(new OrderAuxiliaryPopupResources());
 
          var account = await _vm.get_default_account(security_md.security);
          var def = _model.factory.order(security_md.security, account);
          var calc_buttons = LadderSettings.Default.calculator_buttons;
-         var ticket_vm = new NewOrderTicketVM(
-            _model,
-            security_md,
-            _bus.subscribe(SparkTags.AccountsTag),
-            new(def),
-            price,
-            size,
-            Observable.Return(calc_buttons));
+         var accounts = _bus.subscribe(SparkTags.AccountsTag);
+         var (vm, header) = OrderTicketFactory();
 
          _show_popup(
-            ticket_vm,
-            new OrderTicketHeader { bbo = ticket_vm.bbo },
+            vm,
+            header,
             resources,
             view => Behavior.SetAutoFocusTargetProvider(view, AutoFocusTargetProvider.TypeProvider(typeof(TextBox), view)));
+
+         (ViewModelBase, object) OrderTicketFactory() {
+            if (useTicketLadder) {
+               var vm = new NewOrderTicketLadderVM(
+                  _vm.orders_model, security_md, accounts, new(def), price, size,
+                  Observable.Return(calc_buttons),
+                  ladderSecurity => _bus.post(SparkTags.ShowLadderTag, ladderSecurity));
+               var header = new OrderTicketLadderHeader() {
+                  Title = security_md.security.ToString()
+               };
+               return (vm, header);
+            } else {
+               var vm = new NewOrderTicketVM(_model, security_md, accounts, new(def), price, size, Observable.Return(calc_buttons));
+               var header = new OrderTicketHeader { bbo = vm.bbo };
+               return (vm, header);
+            }
+         }
       }
 
       void _show_popup(object content, object header) {
-         var resources = new AuxiliaryDataResources();
+         var resources = new OrderAuxiliaryPopupResources();
          resources.MergedDictionaries.Add(new AutoHideScrollbarResources());
          _show_popup(content, header, resources);
       }
@@ -148,9 +160,9 @@ namespace mbts.ui.spark {
             Header = header,
             HorizontalAlignment = HorizontalAlignment.Left,
             VerticalAlignment = VerticalAlignment.Top,
-            Resources = resources ?? new AuxiliaryDataResources()
+            Resources = resources ?? new OrderAuxiliaryPopupResources()
          };
-         view.Style = view.Resources[AuxiliaryDataResources.PopupChildStyleKey] as Style;
+         view.Style = view.Resources[OrderAuxiliaryPopupResources.PopupChildStyleKey] as Style;
          init_view?.Invoke(view);
          _popup_man.show(view);
       }

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

@@ -27,13 +27,13 @@ namespace Spark.Trading {
          _sec_greeks_in = sec_greeks_in;
       }
 
-      public IObservable<double> get_price_source(FairValueKey key) {
+      public IObservable<double> get_price_source(FairValueKey key, double? errorPrice = double.NaN) {
          return key.type switch {
             FairValueLine.PriceType.Bid => bid_source(),
             FairValueLine.PriceType.Ask => ask_source(),
             FairValueLine.PriceType.Mid => mid_source(),
             FairValueLine.PriceType.Theo => theo_source(),
-            _ => throw new NotImplementedException()
+            _ => errorPrice.HasValue ? Observable.Return(errorPrice.Value) : throw new NotImplementedException()
          };
 
          IObservable<double> bid_source() =>

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

@@ -1,4 +1,4 @@
-using bts;
+using bts;
 using bts.api;
 using bts.api.md.auxiliary;
 using bts.collections;
@@ -15,7 +15,6 @@ using mbts.utils;
 
 using Spark.Core.Collections;
 using Spark.Core.Disposables;
-using Spark.Core.Math;
 
 using System;
 using System.Collections.Generic;
@@ -36,8 +35,9 @@ namespace mbts.spark {
    using RegionalTickFactors = user.settings.RegionalTickFactors;
 
    partial class LadderGridHost : Control {
-      static readonly int _initial_row_count;
-      static readonly bool _show_scrollbar;
+      const int _min_row_count = 501;
+      const int _max_row_count = 2001;
+      static readonly bool _show_scrollbar = true;
 
       readonly VisualHost _visual_host = new();
       readonly LadderOrdersHost _ordershost;
@@ -80,13 +80,11 @@ namespace mbts.spark {
       LadderVM _vm;
       LadderTactileAdorner _tactile_adorner;
       ulong _prices_updated;
+      ulong lastTradeTime;
       NativePriceSize[] _bids = new NativePriceSize[NativePriceHelpers.COCONUT_MAX_DEPTH], _asks = new NativePriceSize[NativePriceHelpers.COCONUT_MAX_DEPTH];
       SecurityMDExtensions.Book _depth = SecurityMDExtensions.Book.Empty;
       bool _price_dirty = false, _piq_dirty = false;
-      LadderPriceList _price_list = new() {
-         length = _initial_row_count,
-      };
-      LadderPriceList _pending_price_list = null;
+      IList<double> _price_list;
       IComparer<double> _price_comparer;
       double _last_origin_price;
       readonly MarketBreakLines _mkt_break_lines;
@@ -107,7 +105,6 @@ namespace mbts.spark {
       static LadderGridHost() {
          var knobs = config.Configuration.get<bts.config.LadderKnobs>();
          _show_scrollbar = knobs.ShowScrollbar;
-         _initial_row_count = (int)knobs.ScrollableTickWindowSize;
       }
 
       public LadderGridHost() {
@@ -132,33 +129,7 @@ namespace mbts.spark {
                _render_grid_background();
                _init_tactile_adorner();
             }
-            IDisposable scroll_viewer_hook = null;
-            loaded_hook = Disposable.Create(
-               () => {
-                  _scroll_viewer_source.value_changed -= on_scroll_viewer;
-                  Disposable.dispose(ref scroll_viewer_hook);
-               });
-            on_scroll_viewer(_scroll_viewer);
-
-            void on_scroll_viewer(ScrollViewer new_value) {
-               Disposable.dispose(ref scroll_viewer_hook);
-               if (new_value is null) {
-                  return;
-               }
-               scroll_viewer_hook = _connect_scroll_viewer(new_value);
-               delayed_init();
-               // This is a bit of a hack: the scroll viewer drifts away from the intended VerticalOffset
-               // unless it is done after a delay.
-               async void delayed_init() {
-                  await Task.Delay(100);
-                  await Dispatcher.InvokeAsync(() => {
-                     _pending_scroll_to_origin = true;
-                     _refresh_prices();
-                     _refresh_all_visuals();
-                     scroll_to_pending_target();
-                  });
-               }
-            }
+            _scroll_to_center();
          };
          recenter_command = new DelegateCommand(_scroll_to_center);
          DataContextChanged += (s, e) => _connect_vm();
@@ -282,26 +253,6 @@ namespace mbts.spark {
          set => SetValue(PIQColumnWidthProperty, value);
       }
 
-      #region TopTick
-      public static readonly DependencyProperty TopTickProperty =
-         WPFHelper.create_dp<int, LadderGridHost>(
-            nameof(TopTick),
-            FrameworkPropertyMetadataOptions.AffectsRender,
-            (o, v) => {
-               if (o._price_list is null) {
-                  return;
-               }
-               o._set_scrollbar_range(high_tick: v);
-               o._refresh_prices();
-               o._refresh_all_visuals();
-               o._ordershost.refresh_orders();
-            });
-
-      public int? TopTick {
-         get => GetValue(TopTickProperty) as int?;
-         set => SetValue(TopTickProperty, value);
-      }
-      #endregion
 
       #region CanUserSendOrders
       public static readonly DependencyProperty CanUserSendOrdersProperty =
@@ -392,7 +343,7 @@ namespace mbts.spark {
          }
       }
 
-      int _row_count => _price_list?.Count ?? 0;
+      int _row_count = _min_row_count;
 
       bts.api.domain.TickDisplaySettingsImmutable _qty_display =>
          _vm is null ?
@@ -425,64 +376,17 @@ namespace mbts.spark {
          scroll_to_price(_mkt_break_lines.origin);
 
       public bool scroll_to_price(double price) {
-         if (price.is_nan()) {
+         if (_scroll_viewer == null || _price_list.is_null_or_empty())
             return false;
-         }
-         var tick = _spec.tickdiff(price, 0);
-         if (tick.HasValue) {
-            return scroll_to_tick(tick.Value);
-         }
-         return false;
-      }
-
-      double _get_target_top_tick(int mid_viewport_tick) {
-         var curr_rel_off = _scroll_viewer.VerticalOffset + (_scroll_viewer.ViewportHeight / 2.0);
-         var tgt_rel_off = (_price_list.high_tick - mid_viewport_tick) * _settings.row_height;
-         var tick_diff = (curr_rel_off - tgt_rel_off) / _settings.row_height;
-         return _price_list.high_tick + tick_diff;
-      }
-
-      public bool scroll_to_tick(long tick) {
-         if (tick > int.MaxValue) {
-            _scroll_to_tick_log_throttle.Execute(() =>
-               Log.Ui.error($"Unable to scroll to tick {tick} because it exceeds int.MaxValue"));
-            return false;
-         }
-         return scroll_to_tick((int)tick);
-      }
-
-      public bool scroll_to_tick(int tick) {
-         if (_vm is null || _settings is null || _scroll_viewer is null) {
-            return false;
-         }
-         // var center_offset_ticks = (int)(_scrollViewer.ScrollableHeight / (2.0 * _settings.row_height));
-         // The scrollbar's vertical offset won't change.  Find the 'top tick' that will put the
-         // target `tick` in the center of the viewport.
-         // var center_offset_diff = _scrollViewer.VerticalOffset - (_scrollViewer.ScrollableHeight / 2.0);
-         // var tick_offset = center_offset_ticks 
-         // var tick_offset = (int)(_scrollViewer.ViewportHeight / (2.0 * _settings.row_height));
-
-         // The scrollbar's vertical offset won't change.  Find the 'top tick' that will put the
-         // target `tick` in the center of the viewport.
-         checked {
-            var top_tick = (int)_get_target_top_tick(tick);
-            if (_settings.animate_recenter) {
-               var anim = new Int32Animation {
-                  From = (int)_price_list.high_tick,
-                  To = top_tick,
-                  Duration = TimeSpan.FromSeconds(0.15)
-               };
-               var sb = new Storyboard();
-               sb.Children.Add(anim);
-               Storyboard.SetTarget(anim, this);
-               Storyboard.SetTargetProperty(anim, new PropertyPath(TopTickProperty));
-               sb.Begin();
-            } else {
-               _set_scrollbar_range(high_tick: top_tick);
-               _refresh_prices();
+         if (_spec.tickdiff(_price_list[0], price) is long target_row) {
+            int visible_row_count = (int)(_scroll_viewer.ActualHeight / _settings.row_height);
+            int curr_row = visible_row_count + (int)(_scroll_viewer.VerticalOffset / _settings.row_height);
+            if ((target_row > curr_row && target_row < _row_count) || (target_row < (curr_row - visible_row_count) && target_row >= 0)) {
+               _scroll_to_row((int)target_row);
+               return true;
             }
          }
-         return true;
+         return false;
       }
 
       public IObservable<ColumnType> subscribe_hover_column() =>
@@ -564,67 +468,6 @@ namespace mbts.spark {
          }
       }
 
-      IDisposable _connect_scroll_viewer(ScrollViewer scroll_viewer) {
-         if (scroll_viewer is null) {
-            return null;
-         }
-         const int scroll_tick_padding = 10;
-         // const double scroll_epsilon = 1E-8;
-         var dispatcher = Dispatcher.CurrentDispatcher;
-         bool busy = false;
-         return scroll_viewer.SubscribeScrollChanged(on_scroll_changed);
-
-         async void on_scroll_changed(object sender, ScrollChangedEventArgs e) {
-            if (e.ExtentHeight == e.ViewportHeight || busy) {
-               return;
-            }
-            busy = true;
-            await dispatcher.InvokeAsync(ensure_tick_padding, DispatcherPriority.Background);
-            busy = false;
-
-            void ensure_tick_padding() {
-               if (_price_list is null || _settings is null) {
-                  return;
-               }
-               var pct = _scroll_viewer.VerticalOffset / _scroll_viewer.ScrollableHeight;
-               var new_pl = new LadderPriceList(_price_list);
-               var stp = scroll_tick_padding * _settings.row_height;
-               if (pct == 0) {
-                  if (_scroll_viewer.ExtentHeight - _scroll_viewer.ViewportHeight < stp) {
-                     new_pl.extend_up(scroll_tick_padding);
-                  } else {
-                     new_pl.shift_up(scroll_tick_padding);
-                  }
-                  _price_dirty = true;
-               }
-               if (pct == 1) {
-                  if (_scroll_viewer.ExtentHeight - _scroll_viewer.ViewportHeight < stp) {
-                     new_pl.extend_down(scroll_tick_padding);
-                  } else {
-                     new_pl.shift_down(scroll_tick_padding);
-                  }
-                  _price_dirty = true;
-               }
-               if (new_pl != _price_list) {
-                  _pending_price_list = new_pl;
-               }
-               _ordershost.refresh_orders();
-            }
-         }
-      }
-
-      void _set_scrollbar_range(int? high_tick = null, int? length = null) {
-         if (high_tick.HasValue) {
-            _price_list.high_tick = high_tick.Value;
-         }
-         if (length.HasValue) {
-            _price_list.length = length.Value;
-         }
-         _mkt_break_lines.invalidate_indices();
-         _mkt_break_lines.refresh();
-         _refresh_all_visuals();
-      }
-
       void _send_parameterized_order(Point point, Side side) {
          Disposable.dispose(ref _parameterized_order_popup);
          void on_cannot_send(string reason) {
@@ -762,10 +605,7 @@ namespace mbts.spark {
                Keyboard.IsKeyDown(Key.LeftAlt) || Keyboard.IsKeyDown(Key.RightAlt)) {
                _vm?.recenter_all_ladders();
             } else {
-               var tgt = _spec.tickdiff(_mkt_break_lines.origin, 0.0);
-               if (tgt.HasValue) {
-                  scroll_to_tick(tgt.Value);
-               }
+               _scroll_to_center();
             }
          }
       }
@@ -842,9 +682,14 @@ namespace mbts.spark {
       }
 
 
-      internal int _row_for_price(double price) => LadderRender.index_of(_price_list, price, _price_comparer);
+      internal int _row_for_price(double price) {
+         if ((_price_list?.Count ?? 0) == 0 || !price.is_real()) {
+            return -1;
+         }
+         return LadderRender.index_of(_price_list, price, _price_comparer);
+      }
 
-      public double y_for_price(double price) => _row_for_price(price) * (_settings?.row_height ?? double.NaN);
+      // public double y_for_price(double price) => _row_for_price(price) * (_settings?.row_height ?? double.NaN);
       #endregion
 
       #region Column Utility Methods
@@ -889,11 +734,30 @@ namespace mbts.spark {
                   render_market_col(_depth.Bids);
                   break;
                case ColumnType.Price:
-                  _refresh_prices(column);
-                  break;
-               case ColumnType.Ask:
-                  render_market_col(_depth.Asks);
+                  if (_settings.net_change != LadderSettings.NetChangeTerms.None) {
+                     LadderRender.render_prices(
+                        column.visual_tup.visual,
+                        column.visual_tup.glyph_context,
+                        _row_count,
+                        _settings.row_height,
+                        _price_list,
+                        _vm.md.settlement_price,
+                        _settings.net_change == LadderSettings.NetChangeTerms.Ticks,
+                        column.settings,
+                        _spec);
+                  } else {
+                     LadderRender.render_prices(
+                        column.visual_tup.visual,
+                        column.visual_tup.glyph_context,
+                        _row_count,
+                        _settings.row_height,
+                        _price_list,
+                        column.settings,
+                        _spec,
+                        _settings.price_display_format);
+                  }
                   break;
+               case ColumnType.Ask: render_market_col(_depth.Asks); break;
                case ColumnType.Volume:
                   _volume_container.mark_dirty();
                   _refresh_volume_at_price();
@@ -1086,9 +950,8 @@ namespace mbts.spark {
                Storyboard.SetTargetProperty(anim, new PropertyPath(Behavior.AnimatedScrollViewerVerticalOffsetProperty));
                sb.Begin();
             } else {
-               _scroll_to_row(_price_list.Count / 2);
+               _scroll_to_row(_row_count / 2);
             }
-            _refresh_frozen_mkt_lines();
          }
       }
 
@@ -1102,76 +965,23 @@ namespace mbts.spark {
             return Disposable.Create(() => _can_user_send_orders_changed -= o.OnNext);
          });
 
-      LadderPriceList _create_price_list() {
-         if (_settings is not null) {
-            switch (_settings.net_change) {
-               case LadderSettings.NetChangeTerms.BasisPoints:
-               case LadderSettings.NetChangeTerms.NetBasisPoints:
-                  return new() {
-                     length = _initial_row_count,
-                     regional_tick = new RegionalTickFactors(new user.settings.TickFactors(10000, 1)),
-                  };
-            }
-         }
-         return new() {
-            length = _initial_row_count,
-            regional_tick = _spec
-         };
-      }
-
       #region Timer.Tick, Refresh Methods
       void _tick() {
          if (_settings != null) {
-            ulong unused = 0;
-            bool last_trade_changed = _vm.md.get_last_trade(ref unused, out _last_trade, out DateTime _, out ulong __);
+            bool last_trade_changed = _vm.md.get_last_trade(ref lastTradeTime, out _last_trade, out DateTime _, out ulong __);
             bool depth_changed = _vm.md.get_depth(ref _prices_updated, ref _bids, ref _asks, NativePriceHelpers.COCONUT_MAX_DEPTH);
-            _depth = _vm.security_md.Depth(_bids, _asks, _vm.securities);
             _mkt_break_lines.refresh();
-            if (_price_list is null) {
-               Log.assert(_price_dirty);
-               _price_list = _create_price_list();
-               var mid_tick = security.tickdiff(_mkt_break_lines.origin, 0) ?? 0;
-               if (mid_tick > int.MaxValue) {
-                  Log.Ui.error(
-                     $"Unable to set scrollbar range about mid_tick {mid_tick}: " +
-                     $"tick count exceeds int.MaxValue");
-               } else {
-                  _set_scrollbar_range(high_tick: (int)mid_tick + (_price_list.Count << 1));
-               }
-               _price_dirty = true;
+            bool prices_changed =
+               _price_dirty ||
+               (double.IsNaN(_last_origin_price) && !double.IsNaN(_mkt_break_lines.origin)) ||
+               _mkt_break_lines.origin >= _price_list[0] || _mkt_break_lines.origin <= _price_list[_price_list.Count - 1];
+            if (!prices_changed && _prices_out_of_range(out double low, out double high)) {
+               prices_changed = _refresh_price_range(low, high);
             }
-            if (_price_dirty) {
-               if (_pending_price_list != null && !_pending_price_list.Equals(_price_list)) {
-                  var prev_price_list = _price_list;
-                  _price_list = _pending_price_list;
-                  _pending_price_list = null;
-                  if (prev_price_list.Count != _price_list.Count) {
-                     _reset_height();
-                  }
-                  // maintain previous visible price range if possible
-                  double percent_scroll_offset = _scroll_viewer.VerticalOffset / _scroll_viewer.ScrollableHeight;
-                  var n_visible_rowsd = _scroll_viewer.ViewportHeight / _settings.row_height;
-                  var n_visible_rows = (int)n_visible_rowsd;
-                  var offset = n_visible_rowsd - n_visible_rows;
-                  var n_rows_to_scroll = _price_list.Count - n_visible_rows - 1;
-                  int prev_target_index = (int)(percent_scroll_offset * n_rows_to_scroll);
-                  // int prev_target_index = (int)(percent_scroll_offset * prev_price_list.Count - 1);
-                  if (prev_price_list.TryGetAt(prev_target_index, out double prev_target_price)) {
-                     int new_target_index = LadderRender.index_of(_price_list, prev_target_price, _price_comparer);
-                     if (_price_list.within_range(new_target_index)) {
-                        // force _scrollViewer to re-calculate ScrollableHeight
-                        _scroll_viewer.UpdateLayout();
-                        double new_vertical_offset = new_target_index * _settings.row_height;
-                        // double new_vertical_offset = ((double)new_target_index / _price_list.Count) * _scrollViewer.ScrollableHeight;
-                        _scroll_viewer.ScrollToVerticalOffset(new_vertical_offset);
-                     }
-                  }
-               }
-               _refresh_prices();
-               scroll_to_pending_target();
+            if (prices_changed) {
+               _refresh_price_list();
                _refresh_all_visuals();
             } else {
-               scroll_to_pending_target();
                if (_mkt_break_lines.bid_dirty)
                   _refresh_bid_mkt_break();
                if (_mkt_break_lines.ask_dirty)
@@ -1243,6 +1053,75 @@ namespace mbts.spark {
             _settings.price_display_format);
       }
 
+      static readonly TimeSpan _price_out_of_range_render_interval = TimeSpan.FromSeconds(5);
+      DateTime _last_price_range_calc_time = DateTime.MinValue;
+
+      void _refresh_price_list() {
+         if (_settings is null || _spec is null || !_mkt_break_lines.origin.is_real()) {
+            return;
+         }
+         var prev_price_list = _price_list;
+         _price_list = (!(_settings.net_change == LadderSettings.NetChangeTerms.None)) ?
+            LadderRender.render_prices(_price_vis_tup.visual, _price_vis_tup.glyph_context, _mkt_break_lines.origin, _vm.md.settlement_price, _settings.net_change == LadderSettings.NetChangeTerms.Ticks, _row_count, _settings.row_height, _settings.price_column, _spec) :
+            LadderRender.render_prices(_price_vis_tup.visual, _price_vis_tup.glyph_context, _mkt_break_lines.origin, _row_count, _settings.row_height, _settings.price_column, _spec, _settings.price_display_format);
+         _ordershost.update_settings(_settings.row_height, _settings.orders_column);
+         if (prev_price_list != null) {
+            // maintain previous visible price range if possible
+            double percent_scroll_offset = _scroll_viewer.VerticalOffset / _scroll_viewer.ScrollableHeight;
+            int prev_target_index = (int)(percent_scroll_offset * prev_price_list.Count);
+            if (prev_price_list.TryGetAt(prev_target_index, out double prev_target_price)) {
+               int new_target_index = LadderRender.index_of(_price_list, prev_target_price, _price_comparer);
+               if (_price_list.within_range(new_target_index)) {
+                  // force _scroll_viewer to re-calculate ScrollableHeight
+                  _scroll_viewer.UpdateLayout();
+                  double new_vertical_offset = ((double)new_target_index / _price_list.Count) * _scroll_viewer.ScrollableHeight;
+                  _scroll_viewer.ScrollToVerticalOffset(new_vertical_offset);
+               }
+            }
+         }
+      }
+
+      bool _refresh_price_range(double low, double high) {
+         bool prices_changed = false;
+         // The market can be wider than the 1001 rows (ticks) we [initially] allot.
+         // Rendering prices is expensive, and will lock up the ui if done continuously.
+         // Therefore, ensure a minimum time interval has elapsed before rendering prices again.
+         var now = DateTime.Now;
+         if ((now - _last_price_range_calc_time) > _price_out_of_range_render_interval) {
+            SparkUtils.lazy_warn(!double.IsNaN(_mkt_break_lines.origin) && _mkt_break_lines.origin >= low && _mkt_break_lines.origin <= high,
+               () => fmt_log_msg($"market break ({_mkt_break_lines.origin}) is unacceptable for the market range ({low} - {high})"));
+            int prev_row_count = _row_count;
+            var n_ticks_to_low = (int)(_spec.tickdiff(_mkt_break_lines.origin, low) ?? 0).within_range(int.MinValue, int.MaxValue);
+            var n_ticks_to_high = (int)(_spec.tickdiff(high, _mkt_break_lines.origin) ?? 0).within_range(int.MinValue, int.MaxValue);
+            int desired_row_count = Math.Max(n_ticks_to_low, n_ticks_to_high) * 2 + 1;
+            desired_row_count = Math.Max(desired_row_count, _min_row_count);
+            _row_count = Math.Min(_max_row_count, desired_row_count);
+            if (_row_count != prev_row_count) {
+               if (desired_row_count > _max_row_count)
+                  Log.Ui.warn(fmt_log_msg($"ticks between market range ({low} - {high}) exceeds the maximum number of rows allowed ({_max_row_count})"));
+               else
+                  Log.Ui.info(fmt_log_msg($"increase row count to {_row_count} to accomodate market range ({low} - {high})"));
+               prices_changed = true;
+               _reset_height();
+            } else {
+               prices_changed = _mkt_break_lines.origin != _last_origin_price;
+            }
+            _last_price_range_calc_time = now;
+            //
+            string fmt_log_msg(string msg) =>
+               $"Ladder {security} (id:{security.Id}, low/high tick:{security.ContractSpec.LowTick}/{security.ContractSpec.HighTick}): {msg}.";
+         }
+         return prices_changed;
+      }
+
+      bool _prices_out_of_range(out double low, out double high) {
+         low = _bids == null ? double.NaN : TickUtils.low_tick(_bids, _asks);
+         high = _asks == null ? double.NaN : TickUtils.high_tick(_bids, _asks);
+         return
+            (!double.IsNaN(low) && _price_list[_price_list.Count - 1] > low) ||
+            (!double.IsNaN(high) && _price_list[0] < high);
+      }
+
       void _refresh_all_visuals() {
          if (_scroll_viewer is null || _settings is null) {
             return;
@@ -1296,50 +1175,36 @@ namespace mbts.spark {
       }
 
       void _refresh_session_low_line() {
-         if (_settings.session_low_line.show) {
-            _render_session_line(_session_low_vis, _mkt_break_lines.low_render_index ?? -1, _settings.session_low_line.color);
-         }
+         if (_settings.session_low_line.show && _mkt_break_lines.low_render_index.HasValue)
+            _render_session_line(_session_low_vis, _mkt_break_lines.low_render_index.Value, _settings.session_low_line.color);
       }
 
       void _refresh_session_high_line() {
-         if (_settings.session_high_line.show) {
-            _render_session_line(_session_high_vis, _mkt_break_lines.high_render_index ?? -1, _settings.session_high_line.color);
-         }
+         if (_settings.session_high_line.show && _mkt_break_lines.high_render_index.HasValue)
+            _render_session_line(_session_high_vis, _mkt_break_lines.high_render_index.Value, _settings.session_high_line.color);
       }
 
       void _refresh_last_trade() {
          var last_index = LadderRender.index_of(_price_list, _last_trade.price, _price_comparer);
          if (last_index > 0)
-            LadderRender.render_last(
-               _last_vis_tup.visual,
-               _last_vis_tup.glyph_context,
-               _last_trade,
-               last_index,
-               _settings.row_height,
-               _settings.last_column,
-               _fmt_mkt_depth_item);
+            LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column, _fmt_mkt_quantity);
       }
 
       void _refresh_piq() {
          if (!_settings.piq_column.show)
             return;
          int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
-         LadderRender.render_piqs(
-            _piq_vis_tup.visual,
-            _last_vis_tup.glyph_context,
-            _price_list,
-            _vm.price_vs_piq,
-            _settings.row_height,
-            _spec,
-            _settings.piq_column,
-            _fmt_mkt_quantity);
+         LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, _price_list, _vm.price_vs_piq, _settings.row_height, _spec, _settings.piq_column, _fmt_mkt_quantity);
+         LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, _price_list, _vm.price_vs_piq, _settings.row_height, _spec, _settings.piq_column, _fmt_mkt_quantity);
       }
 
       void _refresh_sizes() {
          Log.assert_d(_price_list != null);
          int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
-         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, _depth.Bids, _settings.row_height, _spec, _settings.bid_column, _fmt_price_level);
-         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, _depth.Asks, _settings.row_height, _spec, _settings.ask_column, _fmt_price_level);
+         var bidItems = _bids.Select(nps => (nps.price, (double)nps.size, nps.price * nps.size));
+         var askItems = _asks.Select(nps => (nps.price, (double)nps.size, nps.price * nps.size));
+         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, bidItems, _settings.row_height, _spec, _settings.bid_column, _fmt_price_level);
+         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, askItems, _settings.row_height, _spec, _settings.ask_column, _fmt_price_level);
       }
 
       /// <summary>
@@ -1408,12 +1273,9 @@ namespace mbts.spark {
       void _clear_visuals() {
          if (_settings == null)
             return;
-         if (_price_list is null) {
-            _price_list = new LadderPriceList {
-               regional_tick = _spec
-            };
-         }
-         _price_list.reset(null, null, _initial_row_count);
+         _price_list = new double[_row_count];
+         for (int i = 0; i < _price_list.Count; i++)
+            _price_list[i] = double.NaN;
          Array.Clear(_bids, 0, _bids.Length);
          Array.Clear(_asks, 0, _asks.Length);
          _price_dirty = true;
@@ -1421,7 +1283,6 @@ namespace mbts.spark {
          _refresh_bid_mkt_break();
          _refresh_ask_mkt_break();
          _refresh_mid_mkt_break();
-         _refresh_fair_value_lines(true);
          _refresh_session_low_line();
          _refresh_session_high_line();
          _refresh_session_range();
@@ -1431,58 +1292,38 @@ namespace mbts.spark {
       #endregion
 
       #region Market Break, Session Low/High Utils
-      static double _get_top_price(NativePriceSize[] prices) {
-         if (prices == null) {
-            return double.NaN;
-         }
-         if (prices.Length == 0) {
-            return double.NaN;
-         }
-         if (prices[0].size == 0) {
-            return double.NaN;
-         }
-         return prices[0].price;
-      }
+      static double _get_top_price(NativePriceSize[] prices) =>
+         prices != null && prices.Length > 0 ? prices[0].price : double.NaN;
 
       double _get_bid_market_break() {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
-         var v = best_bid
-            .if_nan(_spec.tickdown(best_ask))
-            .if_nan(_vm?.settlement ?? double.NaN);
-         return _spec.round_to_tick(v, RoundingMode.AbsDown);
+         return double.IsNaN(best_bid) ?
+            double.IsNaN(best_ask) ? _vm.settlement : _spec.tickdown(best_ask) :
+            best_bid;
       }
 
       double _normalize_price(double price) =>
          TickUtils.normalize_price(_spec, price);
 
       double _get_ask_market_break() {
-         if (_vm is null) {
-            return double.NaN;
-         }
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
-         var v = _spec.tickdown(best_ask)
-            .if_nan(best_bid)
-            .if_nan(_vm?.settlement ?? double.NaN);
-         return _spec.round_to_tick(v, RoundingMode.AbsDown);
+         return double.IsNaN(best_ask) ?
+            double.IsNaN(best_bid) ? _vm.settlement : best_bid :
+            _spec.tickdown(best_ask);
       }
 
       double _get_mid_market_break() {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
-         var v = TickUtils.mid_tick(_spec, best_bid, best_ask)
-            .if_nan(best_bid)
-            .if_nan(_spec?.tickdown(best_ask) ?? double.NaN)
-            .if_nan(_vm?.settlement ?? double.NaN);
-         return _spec.round_to_tick(v, RoundingMode.AbsDown);
+         return double.IsNaN(best_bid) ?
+            double.IsNaN(best_ask) ? _vm.settlement : _spec.tickdown(best_ask) :
+            double.IsNaN(best_ask) ? best_bid : TickUtils.mid_tick(_spec, best_bid, best_ask);
       }
 
-      double _get_session_low() => _normalize_price(_get_session_low_raw());
-      double _get_session_high() => _normalize_price(_get_session_high_raw());
-
-      double _get_session_low_raw() => _vm?.md?.session_low ?? double.NaN;
-      double _get_session_high_raw() => _vm?.md?.session_high ?? double.NaN;
+      double _get_session_low() => _vm.md.session_low;
+      double _get_session_high() => _vm.md.session_high;
 
       void _render_mkt_break(DrawingVisual vis, double price, uint color) =>
          LadderRender.render_mkt_break(vis, _row_for_price(price), _settings.row_height, color);
@@ -1506,15 +1347,6 @@ namespace mbts.spark {
          _settings = _vm?.get_save_state() ?? s;
          _pending_scroll_to_origin |= _settings == null;
          _invalidate_spec();
-         if (_price_list != null) {
-            _pending_price_list = null;
-            if (_price_list.Count > 0) {
-               var high_price = _price_list.First();
-               var new_tickdiff = _spec.count_ticks(high_price);
-               _price_list.high_tick = (long)new_tickdiff;
-            }
-            _price_list.regional_tick = _spec;
-         }
          _bid_vis_tup.glyph_context = glyph_context(s.bid_column);
          _ask_vis_tup.glyph_context = glyph_context(s.ask_column);
          _price_vis_tup.glyph_context = glyph_context(s.price_column);
@@ -1598,9 +1430,22 @@ namespace mbts.spark {
          // if (_scroll_viewer != null) {
          //    _scroll_viewer.Background = s.last_column.background.rgb_brush();
          // }
-         scroll_to_pending_target();
          visible_columns_changed?.Invoke();
-         _refresh_all_visuals();
+         if (_scroll_viewer is not null && _settings is not null) {
+            _vm.md.get_last_trade(ref lastTradeTime, out _last_trade, out DateTime _, out ulong __);
+            _vm.md.get_depth(ref _prices_updated, ref _bids, ref _asks, NativePriceHelpers.COCONUT_MAX_DEPTH);
+            _mkt_break_lines.refresh();
+            double low = _bids == null ? double.NaN : TickUtils.low_tick(_bids, _asks);
+            double high = _asks == null ? double.NaN : TickUtils.high_tick(_bids, _asks);
+            _refresh_price_range(low, high);
+            _refresh_price_list();
+            _refresh_all_visuals();
+            _refresh_piq();
+            _piq_dirty = false;
+            _refresh_volume_at_price();
+            _last_origin_price = _mkt_break_lines.origin;
+            _price_dirty = false;
+         }
       }
 
       // This is designed to be a redundant null check for _fmt_mkt_depth_item_impl.
@@ -1631,6 +1476,9 @@ namespace mbts.spark {
          return impl is null ? value.ToString() : impl(value, price);
       }
 
+      string _fmt_mkt_quantity(NativePriceSize nps) =>
+         _fmt_mkt_quantity(nps.size, nps.price);
+
       void _init_tactile_adorner() {
          Disposable.dispose(ref _tactile_adorner);
          if (_scroll_viewer != null)
@@ -1745,7 +1593,7 @@ namespace mbts.spark {
                   return null;
                }
                if (!double.IsNaN(_session_low)) {
-                  _low_index = _owner._price_list.IndexOf(_session_low);
+                  _low_index = LadderRender.index_of(_owner._price_list, _session_low, _owner._price_comparer);
                   if (_session_low < _owner._price_list.Last()) {
                      _low_index = _owner._price_list.Count - 1;
                   }

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

@@ -1,6 +1,7 @@
 using bts.api;
 using bts.utils;
 
+using Spark.Core;
 using Spark.Core.Diagnostics;
 
 using System;
@@ -30,6 +31,16 @@ namespace mbts.spark {
          regional_tick = other.regional_tick;
       }
 
+      public LadderPriceList(RegionalTickFactors regionalTick, IList<double> prices) {
+         regional_tick = regionalTick;
+         _length = prices.Count;
+         checked {
+            _high_tick = prices.Count > 0
+               ? (int)regionalTick.tickdiff(prices[0], 0).assert_value()
+               : 0;
+         }
+      }
+
       public event NotifyCollectionChangedEventHandler CollectionChanged;
 
       RegionalTickFactors _regional_tick;

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

@@ -1,4 +1,4 @@
-using bts;
+using bts;
 using bts.api;
 using bts.api.md.auxiliary;
 using bts.collections;
@@ -101,6 +101,24 @@ namespace mbts.spark {
             settings.font_size, settings.width, row_height, HorizontalAlignment.Right,
             -4, VerticalAlignment.Center, row * row_height, true);
 
+      public static double[] gen_prices(double mid, int row_count, RegionalTickFactors spec) {
+         // require odd number
+         Log.assert(row_count % 2 == 1);
+         var result = new double[row_count];
+         int range = row_count / 2;
+         int middle = row_count / 2;
+         result[middle] = mid;
+         double up = mid, down = mid;
+         // Starting from the middle iterate out to the edges
+         for (int x = 1; x <= range; ++x) {
+            up = spec.tickup(up);
+            down = spec.tickdown(down);
+            result[middle - x] = up;
+            result[middle + x] = down;
+         }
+         return result;
+      }
+
       public static GlyphRun[] format_prices(
          IList<double> prices,
          double reference_price,
@@ -196,6 +214,45 @@ namespace mbts.spark {
          }
       }
 
+      public static double[] render_prices(DrawingVisual price, GlyphContext glyph_context, double mid, double wrt_price, bool format_in_tick_terms, int row_count, double row_height,
+         LadderColumnSettings settings, RegionalTickFactors spec) {
+         var dprices = gen_prices(mid, row_count, spec);
+         render_prices(price, glyph_context, row_count, row_height, dprices, wrt_price, format_in_tick_terms, settings, spec);
+         return dprices;
+      }
+
+      public static double[] render_prices(DrawingVisual price, GlyphContext glyph_context, double mid, int row_count, double row_height,
+         LadderColumnSettings settings, RegionalTickFactors spec, LadderSettings.PriceDisplayFormat price_display_format) {
+         var dprices = gen_prices(mid, row_count, spec);
+         render_prices(price, glyph_context, row_count, row_height, dprices, settings, spec, price_display_format);
+         return dprices;
+      }
+
+      public static void render_prices(DrawingVisual price, GlyphContext glyph_context, int row_count, double row_height, IList<double> dprices, double wrt_price, bool format_in_tick_terms, LadderColumnSettings settings, RegionalTickFactors spec) {
+         var foreground = settings.foreground.rgb_brush();
+         //var background = new SolidColorBrush(settings.background.rgb_color());
+         var terms = format_in_tick_terms ? LadderSettings.NetChangeTerms.Ticks : LadderSettings.NetChangeTerms.Dollars;
+         var fprices = format_prices(dprices, wrt_price, terms, row_height, settings, glyph_context, spec);
+         using (var dc = price.RenderOpen())
+         using (_draw_with_clip(dc, settings, row_height, row_count)) {
+            //dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, row_count * row_height));
+            for (int x = 0; x < row_count; ++x)
+               dc.DrawGlyphRun(foreground, fprices[x]);
+         }
+      }
+
+      public static void render_prices(DrawingVisual price, GlyphContext glyph_context, int row_count, double row_height, IList<double> dprices, LadderColumnSettings settings, RegionalTickFactors spec, LadderSettings.PriceDisplayFormat price_display_format) {
+         var foreground = settings.foreground.rgb_brush();
+         //var background = new SolidColorBrush(settings.background.rgb_color());
+         var fprices = format_prices(dprices, double.NaN, LadderSettings.NetChangeTerms.Dollars, row_height, settings, glyph_context, spec, price_display_format);
+         using (var dc = price.RenderOpen())
+         using (_draw_with_clip(dc, settings, row_height, row_count)) {
+            //dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, row_count * row_height));
+            for (int x = 0; x < row_count; ++x)
+               dc.DrawGlyphRun(foreground, fprices[x]);
+         }
+      }
+
       public static void render_grid(DrawingVisual dv, IEnumerable<LadderGridHost.IColumn> columns, int rowcount, double row_height, UInt32 line_color) {
          var height = rowcount * row_height;
          var brush = line_color.rgb_brush();

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

@@ -26,7 +26,7 @@ namespace bts.shell.orderbook {
       [ProtoMember(5)]
       public string[] accounts;
 
-      [ProtoMember(5)]
+      [ProtoMember(28)]
       public string Tag { get; set; }
 
       [ProtoMember(6)]

src/client/spark/Modules/Trading/PNL/View/PNLView.xaml.cs

@@ -407,16 +407,16 @@ namespace bts.shell.pnl {
       void _show_auxiliary_popup<T>(T content, string context_desc, string title_desc, Color fg) {
          var view = new HeaderedContentControl {
             Content = content,
-            Header = new AuxiliaryDataHeader {
+            Header = new OrderAuxiliaryPopupHeader {
                context = context_desc,
                title = title_desc,
                title_foreground = fg
             },
             HorizontalAlignment = HorizontalAlignment.Left,
             VerticalAlignment = VerticalAlignment.Top,
-            Resources = new AuxiliaryDataResources()
+            Resources = new OrderAuxiliaryPopupResources()
          };
-         view.Style = view.Resources[AuxiliaryDataResources.PopupChildStyleKey] as Style;
+         view.Style = view.Resources[OrderAuxiliaryPopupResources.PopupChildStyleKey] as Style;
          _popup_man.show(view);
       }
 

src/client/spark/NMSheets/DataProviders/NMSheetSingleOptionMainDataSource.cs

@@ -250,6 +250,19 @@ namespace BCG
          return Double.NaN;
       }
 
+       private double _get_rep_driver() {
+         var map =
+            _threaded_bb.read_state(SparkTags.OptionDriverBBOTag((_nmsheet_symbol.option_name, _nmsheet_symbol.option_exchange)));
+         if (map == null)
+            return Double.NaN;
+         var price_map = map.get_price_map();
+         if (price_map == null || price_map.Count == 0)
+            return Double.NaN;
+         var md = price_map.ElementAt(0).Value;
+         double pr = md.get_driver();
+         return pr;
+      }
+
       private IDictionary<DateTime, ATMData> _get_atm_data(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data)
       {
          NMSheetSettings sheet_settings = _threaded_bb.read_state(_in_bb_sheet_settings_tag) ?? new NMSheetSettings();
@@ -261,7 +274,7 @@ namespace BCG
                exp.security_type == SecurityType.Option)
             ?.ToDictionaryCrushed(kv => kv.Key.expiration, kv => kv.Value)
             ?? new();
-         IDictionary<DateTime, ATMData> atm_data = OptionATMDataSource.compute_atm_data(_get_onefive(), theo_data, option_exp_roll_data);
+         IDictionary<DateTime, ATMData> atm_data = OptionATMDataSource.compute_atm_data(_get_onefive(), theo_data, option_exp_roll_data, _get_rep_driver());
          if (sheet_settings.setting_atm.select_atm_nearest_strike_only)
             foreach (ATMData exp_atm_data in atm_data.Values)
                exp_atm_data.reduce_to_nearest_expiration();

src/client/spark/NMSheets/Outside/tc2/Calculator2/MainForm/ATM/OptionATMDataSource.cs

@@ -5,6 +5,7 @@ using mbts.ui;
 using mbts;
 using BCG.Utilities;
 using mbts.spark;
+using mbts.ui.converters;
 
 namespace BCG {
    /// <summary>
@@ -34,8 +35,10 @@ namespace BCG {
       }
 
       internal static IDictionary<DateTime, ATMData> compute_atm_data(
-         double one_five, ExpStrikeKeyedData<TheoPoint> theo_data, IDictionary<DateTime, double> opt_exp_rolls) {
+         double one_five, ExpStrikeKeyedData<TheoPoint> theo_data, IDictionary<DateTime, double> opt_exp_rolls,
+         double rep_driver) {
          IDictionary<DateTime, double> exp_vs_drivers = _get_computed_drivers(theo_data);
+         exp_vs_drivers = exp_vs_drivers.ToDictionary(kv => kv.Key, kv => rep_driver);
          IDictionary<DateTime, ATMData> rv = new Dictionary<DateTime, ATMData>();
          if (one_five != 0)
             foreach (DateTime exp in new List<DateTime>(exp_vs_drivers.Keys))

src/client/spark/Orders/ExistingOrderTicketLadderVM.cs

@@ -0,0 +1,236 @@
+#nullable enable
+namespace mbts.spark;
+
+using bts;
+using bts.api;
+using bts.api.domain;
+using bts.api.orderman;
+
+using mbts.co2;
+using mbts.ui;
+using mbts.ui.shell;
+
+using Spark.Core.Disposables;
+
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows.Input;
+using System.Windows.Threading;
+
+class ExistingOrderTicketLadderVM : DisposableViewModelBase, IRequestViewClose {
+   const ushort numPriceLevels = 5;
+
+   readonly Property<SecurityImmutable> security;
+   readonly Property<TickDisplaySettingsImmutable> priceDisplay;
+   readonly Property<TickDisplaySettingsImmutable> quantityDisplay;
+   readonly Property<user.settings.RegionalTickFactors> priceTick;
+   readonly ObservableCollection<OrderTicketLadderPriceLevelVM> bids = [];
+   readonly ObservableCollection<OrderTicketLadderPriceLevelVM> asks = [];
+
+   readonly Property<double> price, currentPrice;
+   readonly Property<uint> currentQuantity;
+   readonly Property<AccountTuple> currentAccount;
+   readonly Property<TimeInForce> currentTimeInForce;
+   readonly Property<CustomOrderDefinition.CustomOneofCase> currentOrderType;
+   readonly Property<bool> priceDirty, quantityDirty, accountDirty, timeInForceDirty, orderTypeDirty;
+
+   Side side = Side.Buy;
+
+   public ExistingOrderTicketLadderVM(
+      OrdersModel model,
+      IObservable<(SecurityMD? SecurityMd, OrderRecordImmutable Order)> orderSource,
+      IObservable<IReadOnlyDictionary<uint, AccountTuple>> accountsSource,
+      IObservable<double[]?> calculatorButtons,
+      Action<SecurityMD> showLadder,
+      TickDisplaySettingsImmutable? quantityDisplay = null
+   ) {
+      SecurityMD? currentSecurityMd = null;
+      uint? key = null;
+      DispatcherTimer? mdPollTimer = null;
+      var nativeBids = new NativePriceSize[numPriceLevels];
+      var nativeAsks = new NativePriceSize[numPriceLevels];
+      for (int i = 0; i < numPriceLevels; i++) {
+         nativeBids[i] = NativePriceSize.NO_MARKET;
+         nativeAsks[i] = NativePriceSize.NO_MARKET;
+         Bids.Add(new(Side.Buy));
+         Asks.Add(new(Side.Sell));
+      }
+
+      var secMdSrc = orderSource.Where(ot => ot.SecurityMd.HasValue).Select(ot => ot.SecurityMd!.Value);
+      security = backing(nameof(Security), secMdSrc.Select(smd => smd.security), bts.api.Security.Defaults.SecurityImmutable);
+      priceTick = backing(nameof(PriceTick), user.settings.RegionalTickFactors.Default);
+      PropertiesVm = new OrderPropertiesEditorVM(
+         model,
+         secMdSrc,
+         accountsSource,
+         orderSource.Select(ot => new InlineOrderProperties(model, ot.Order.Def)));
+      this.quantityDisplay = backing(nameof(QuantityDisplay), quantityDisplay ?? bts.api.Security.Defaults.quantity_display_settingsi);
+      priceDisplay = backing(nameof(PriceDisplay), bts.api.Security.Defaults.price_display_settingsi);
+      SizeCalculator = new(0, calculatorButtons);
+      SetPriceCmd = new DelegateCommand<double>(SetPrice);
+      ShowLadderCmd = new DelegateCommand(() => {
+         if (currentSecurityMd.HasValue)
+            showLadder(currentSecurityMd.Value);
+      });
+
+      price = backing(nameof(Price), double.NaN);
+      currentPrice = backing(nameof(CurrentPrice), orderSource.Select(ort => ort.Order.State.Price));
+      currentQuantity = backing(nameof(CurrentQuantity), orderSource.Select(ort => ort.Order.State.Quantity));
+      currentAccount = backing(nameof(CurrentAccount), orderSource.Select(ort => new AccountTuple(ort.Order.Def.AccountId, ort.Order.Def.Account)));
+      currentTimeInForce = backing(nameof(CurrentTimeInForce), orderSource.Select(ort => ort.Order.Def.TimeInForce));
+      currentOrderType = backing(nameof(CurrentOrderType), orderSource.Select(ort => ort.Order.Def.CustomDef.CustomCase));
+      //
+      priceDirty = backing(
+         nameof(PriceDirty),
+         price.observe_current(true).CombineLatest(
+         currentPrice.observe_current(true),
+         (val, curr) => !double.IsNaN(val) && val != curr));
+      quantityDirty = backing(
+         nameof(QuantityDirty),
+         SizeCalculator.observe_actual_value()
+         .CombineLatest(currentQuantity.observe_current(true),
+         (val, curr) => val.HasValue && val.Value != curr));
+      accountDirty = backing(
+         nameof(AccountDirty),
+         PropertiesVm.observe_account(true)
+         .CombineLatest(currentAccount.observe_current(true),
+         (val, curr) => val != curr));
+      timeInForceDirty = backing(
+         nameof(TimeInForceDirty),
+         PropertiesVm.observe_time_in_force(true)
+         .CombineLatest(currentTimeInForce.observe_current(true),
+         (val, curr) => val != curr));
+      orderTypeDirty = backing(
+         nameof(OrderTypeDirty),
+         PropertiesVm.observe_order_type(true)
+         .CombineLatest(currentOrderType.observe_current(true),
+         (val, curr) => val != null && val.order_type != curr));
+      //
+      var priceDirtySrc = priceDirty.Select(vals => vals.newval).StartWith(false);
+      var quantityDirtySrc = quantityDirty.Select(vals => vals.newval).StartWith(false);
+      var sendOrderCmd = new ObservantCommand(SendOrder);
+      SendOrderCmd = sendOrderCmd;
+      var canSendOrderSrc = priceDirty.observe_current(true)
+         .CombineLatest(quantityDirty.observe_current(true), (pd, sd) => pd || sd)
+         .DistinctUntilChanged();
+      var isDirtySrc = Observable.Merge(priceDirty, quantityDirty, accountDirty, timeInForceDirty, orderTypeDirty);
+      _dispose = Disposable.Create(
+         SizeCalculator,
+         PropertiesVm,
+         secMdSrc.OnDispatcher().Subscribe(OnSecurityMd),
+         orderSource.OnDispatcher().Subscribe(ort => {
+            key = ort.Order.Key;
+            if (DoubleHelper.IsNaNOrInfinity(Price))
+               Price = ort.Order.State.Price;
+            if (!SizeCalculator.value.HasValue || !SizeCalculator.value_setter_called)
+               SizeCalculator.bypass_value_setter(ort.Order.State.Quantity, true);
+         }),
+         isDirtySrc.OnDispatcher().Subscribe(_ => RaisePropertyChanged(nameof(DirtyItemsText))),
+         canSendOrderSrc.OnDispatcher().Subscribe(sendOrderCmd));
+
+      void SetPrice(double price) {
+         Price = price;
+         RaisePropertyChanged(nameof(Price));
+      }
+
+      void SendOrder() {
+         if (!key.HasValue) {
+            return;
+         }
+         if (priceDirty.Value) {
+            if (quantityDirty.Value) {
+               model.update_order(key.Value, Price, SizeCalculator.value!.Value).ignore();
+            } else {
+               model.update_order_price(key.Value, Price).ignore();
+            }
+         } else if (quantityDirty.Value) {
+            model.update_order_size(key.Value, SizeCalculator.value!.Value).ignore();
+         } else {
+            SizeCalculator.flash_error();
+            flash_error(nameof(Price)).ignore();
+            return;
+         }
+         RequestClose?.Invoke(this, new EventArgs());
+      }
+
+      void OnSecurityMd(SecurityMD smd) {
+         currentSecurityMd = smd;
+         priceTick.set(smd.security.regional_ticks());
+         priceDisplay.set(smd.price_display);
+         this.quantityDisplay.set(smd.quantity_display);
+         SizeCalculator.display_settings = smd.quantity_display;
+         ulong lastMdPollTime = 0;
+         mdPollTimer?.Stop();
+         mdPollTimer = new DispatcherTimer(TimeSpan.FromSeconds(0.1), DispatcherPriority.DataBind, PollMd, Dispatcher.CurrentDispatcher);
+
+         void PollMd(object? sender, EventArgs e) {
+            if (smd.md.get_depth(ref lastMdPollTime, ref nativeBids, ref nativeAsks, numPriceLevels)) {
+               for (int i = 0; i < numPriceLevels; i++) {
+                  asks[numPriceLevels - i - 1].Price = nativeAsks[i].price;
+                  asks[numPriceLevels - i - 1].Quantity = nativeAsks[i].size;
+               }
+               for (int i = 0; i < numPriceLevels; i++) {
+                  bids[i].Price = nativeBids[i].price;
+                  bids[i].Quantity = nativeBids[i].size;
+               }
+            }
+         }
+      }
+   }
+
+   public event EventHandler? RequestClose;
+
+   public SecurityImmutable Security => security.Value;
+   public string Title => Security.ToString() ?? string.Empty;
+   public double Price { get; set; }
+   public user.settings.RegionalTickFactors PriceTick => priceTick.Value;
+   public TickDisplaySettingsImmutable PriceDisplay => priceDisplay.Value;
+   public TickDisplaySettingsImmutable QuantityDisplay => quantityDisplay.Value;
+   public CalculatorLogic<double> SizeCalculator { get; }
+   public Side Side {
+      get => side;
+      set => Set(ref side, value);
+   }
+
+   public OrderPropertiesEditorVM PropertiesVm { get; }
+   public ObservableCollection<OrderTicketLadderPriceLevelVM> Bids => bids;
+   public ObservableCollection<OrderTicketLadderPriceLevelVM> Asks => asks;
+
+   public double CurrentPrice => currentPrice.Value;
+   public uint CurrentQuantity => currentQuantity.Value;
+   public AccountTuple CurrentAccount => currentAccount.Value;
+   public TimeInForce CurrentTimeInForce => currentTimeInForce.Value;
+   public CustomOrderDefinition.CustomOneofCase CurrentOrderType => currentOrderType.Value;
+   public bool PriceDirty => priceDirty.Value;
+   public bool QuantityDirty => quantityDirty.Value;
+   public bool AccountDirty => accountDirty.Value;
+   public bool TimeInForceDirty => timeInForceDirty.Value;
+   public bool OrderTypeDirty => orderTypeDirty.Value;
+   public bool CanChangeAccount { get; } = false;
+   public bool CanChangeTimeInForce { get; } = false;
+   public bool CanChangeOrderType { get; } = false;
+   public string DirtyItemsText {
+      get {
+         var dirty_items = dirtyItems().ToList();
+         if (dirty_items.Count == 0) {
+            return "(no changes)";
+         }
+         return "change " + string.Join(", ", dirty_items);
+      }
+   }
+   public bool CloseOnSend { get; set; }
+   public ICommand SendOrderCmd { get; }
+   public ICommand SetPriceCmd { get; }
+   public ICommand ShowLadderCmd { get; }
+
+   IEnumerable<string> dirtyItems() {
+      if (priceDirty.Value) yield return "price";
+      if (quantityDirty.Value) yield return "quantity";
+      if (accountDirty.Value) yield return "account";
+      if (timeInForceDirty.Value) yield return "tif";
+      if (orderTypeDirty.Value) yield return "type";
+   }
+}

src/client/spark/Orders/NewOrderTicketLadderVM.cs

@@ -0,0 +1,298 @@
+#nullable enable
+namespace mbts.spark;
+
+using bts;
+using bts.api;
+using bts.api.domain;
+using bts.api.orderman;
+using bts.collections;
+using bts.utils;
+
+using mbts.co2;
+using mbts.ui;
+using mbts.ui.shell;
+using mbts.ui.spark;
+
+using Spark.Core.Disposables;
+
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows.Input;
+using System.Windows.Media;
+using System.Windows.Threading;
+
+class NewOrderTicketLadderVM : DisposableViewModelBase, IOrderModificationLadderVM  {
+   const ushort numPriceLevels = 5;
+   const uint numPriceRowsPerSide = 500;
+
+   readonly Property<SecurityImmutable> security;
+   readonly Property<string> title;
+   readonly Property<TickDisplaySettingsImmutable> priceDisplay;
+   readonly Property<TickDisplaySettingsImmutable> quantityDisplay;
+   readonly Property<user.settings.RegionalTickFactors> priceTick;
+   readonly ObservableCollection<OrderTicketLadderPriceLevelVM> priceLevels = [];
+   Side side = Side.Buy;
+
+   public NewOrderTicketLadderVM(
+      OrdersModel model,
+      SecurityMD securityMd,
+      IObservable<IReadOnlyDictionary<uint, AccountTuple>> accountsSource,
+      OrderDefinitionImmutable def,
+      double price,
+      double size,
+      IObservable<double[]> calculatorButtons,
+      Action<SecurityMD> showLadder)
+      : this(
+           model,
+           Observable.Return(securityMd),
+           accountsSource,
+           Observable.Return(new InlineOrderTicketProperties(model, def, price, size)),
+           calculatorButtons,
+           showLadder) { }
+
+   public NewOrderTicketLadderVM(
+      OrdersModel model,
+      SecurityMD securityMd,
+      IObservable<IReadOnlyDictionary<uint, AccountTuple>> accountsSource,
+      IObservable<LadderSettings> settings,
+      Action<SecurityMD> showLadder)
+      : this(
+           model,
+           Observable.Return(securityMd),
+           accountsSource,
+           settings.Select(s => new InlineOrderTicketProperties(model, s)),
+           settings.Select(s => s.calculator_buttons),
+           showLadder) { }
+
+   public NewOrderTicketLadderVM(
+      OrdersModel model,
+      IObservable<SecurityMD> securityMdSource,
+      IObservable<IReadOnlyDictionary<uint, AccountTuple>> accountsSource,
+      IObservable<InlineOrderTicketProperties> propsSource,
+      IObservable<double[]?> calculatorButtons,
+      Action<SecurityMD> showLadder,
+      TickDisplaySettingsImmutable? quantityDisplay = null
+   ) {
+      SecurityMD? currentSecurityMd = null;
+      DispatcherTimer? mdPollTimer = null;
+      var nativeBids = new NativePriceSize[numPriceLevels];
+      var nativeAsks = new NativePriceSize[numPriceLevels];
+      for (int i = 0; i < numPriceLevels; i++) {
+         nativeBids[i] = NativePriceSize.NO_MARKET;
+         nativeAsks[i] = NativePriceSize.NO_MARKET;
+      }
+      for (int i = 0; i < numPriceRowsPerSide; i++) {
+         priceLevels.Add(new(Side.Sell));
+      }
+      for (int i = 0; i < numPriceRowsPerSide; i++) {
+         priceLevels.Add(new(Side.Buy));
+      }
+
+      security = backing(nameof(Security), bts.api.Security.Defaults.SecurityImmutable);
+      title = backing(nameof(Title), security.observe_current(true), s => s.ToString() ?? string.Empty, string.Empty);
+      priceTick = backing(nameof(PriceTick), user.settings.RegionalTickFactors.Default);
+      PropertiesVm = new(model, securityMdSource, accountsSource, propsSource.Select(p => p.order_props));
+      this.quantityDisplay = backing(nameof(QuantityDisplay), quantityDisplay ?? bts.api.Security.Defaults.quantity_display_settingsi);
+      priceDisplay = backing(nameof(PriceDisplay), bts.api.Security.Defaults.price_display_settingsi);
+      SizeCalculator = new(0, calculatorButtons);
+      SendOrderCmd = new DelegateCommand(SendOrder);
+      SetPriceCmd = new DelegateCommand<double>(SetPrice);
+      ShowLadderCmd = new DelegateCommand(() => {
+         if (currentSecurityMd.HasValue)
+            showLadder(currentSecurityMd.Value);
+      });
+      RecenterCmd = new DelegateCommand(Recenter);
+      _dispose = Disposable.Create(
+         securityMdSource.OnDispatcher().Subscribe(OnSecurityMd),
+         SizeCalculator,
+         propsSource.OnDispatcher().Subscribe(p => OnProps(p.price, p.size)));
+
+      void OnProps(
+         InlineUserProperty<double> priceProp, InlineUserProperty<double> sizeProp) {
+         if (priceProp.has_value && (priceProp.force_override || DoubleHelper.IsNaNOrInfinity(Price)))
+            SetPrice(priceProp.value);
+         if (sizeProp.has_value && (sizeProp.force_override || SizeCalculator.value == 0))
+            SizeCalculator.value = sizeProp.value;
+      }
+
+      void SetPrice(double price) {
+         Price = price;
+         RaisePropertyChanged(nameof(Price));
+      }
+
+      void SendOrder() {
+         bool priceValid = validatePrice();
+         bool quantityValid = SizeCalculator.validate();
+         if (priceValid && quantityValid && !HasErrors && !PropertiesVm.HasErrors) {
+            model.send_order(Security, PropertiesVm.create(side), Price, SizeCalculator.value!.Value).ignore();
+         }
+      }
+
+      void Recenter() =>
+         RequestRecenter?.Invoke();
+
+      void OnSecurityMd(SecurityMD smd) {
+         currentSecurityMd = smd;
+         var spec = TickUtils.multiply_tick_size(smd.security.regional_ticks(), 1);
+         security.set(smd.security);
+         priceTick.set(smd.security.regional_ticks());
+         priceDisplay.set(smd.price_display);
+         this.quantityDisplay.set(smd.quantity_display);
+         SizeCalculator.display_settings = smd.quantity_display;
+         ulong lastMdPollTime = 0;
+         mdPollTimer?.Stop();
+         mdPollTimer = new DispatcherTimer(TimeSpan.FromSeconds(0.1), DispatcherPriority.DataBind, PollMd, Dispatcher.CurrentDispatcher);
+
+         void PollMd(object? sender, EventArgs e) {
+            if (smd.md.get_depth(ref lastMdPollTime, ref nativeBids, ref nativeAsks, numPriceLevels)) {
+               if (double.IsNaN(priceLevels[0].Price)) {
+                  // Initialize prices and recenter
+                  if (!TryGetOrigin(out var origin)) {
+                     return;
+                  }
+                  double price = spec.tickdown(origin, numPriceRowsPerSide - 1);
+                  for (int i = priceLevels.Count - 1; i >= 0; i--) {
+                     priceLevels[i].Price = price;
+                     price = spec.tickup(price);
+                  }
+                  Recenter();
+               }
+
+               var hi = priceLevels[0].Price;
+               var lo = priceLevels[^1].Price;
+               Log.assert(hi.is_real() && lo.is_real() && hi > lo);
+               var wrappedPrices = priceLevels.WrapSelector(p => p.Price, null);
+               var rPriceComp = spec.price_comparer().reverse();
+
+               // Clear old prices
+               for (int i = 0; i < numPriceLevels; i++) {
+                  // asks
+                  var px = nativeAsks[i].price;
+                  if (!double.IsNaN(px) && px.is_within_range(lo, hi)) {
+                     int idx = CollectionHelper.binary_search(wrappedPrices, px, rPriceComp);
+                     if (idx < 0)
+                        idx = ~idx;
+                     priceLevels[idx].Quantity = 0;
+                  }
+                  // bids
+                  px = nativeBids[i].price;
+                  if (!double.IsNaN(px) && px.is_within_range(lo, hi)) {
+                     int idx = CollectionHelper.binary_search(wrappedPrices, px, rPriceComp);
+                     if (idx < 0)
+                        idx = ~idx;
+                     priceLevels[idx].Quantity = 0;
+                  }
+               }
+
+               // Set new prices
+               for (int i = 0; i < numPriceLevels; i++) {
+                  // asks
+                  var px = nativeAsks[i].price;
+                  if (!double.IsNaN(px) && px.is_within_range(lo, hi)) {
+                     int idx = CollectionHelper.binary_search(wrappedPrices, px, rPriceComp);
+                     if (idx < 0)
+                        idx = ~idx;
+                     priceLevels[idx].Quantity = nativeAsks[i].size;
+                     priceLevels[idx].Side = Side.Sell;
+                  }
+                  // bids
+                  px = nativeBids[i].price;
+                  if (!double.IsNaN(px) && px.is_within_range(lo, hi)) {
+                     int idx = CollectionHelper.binary_search(wrappedPrices, px, rPriceComp);
+                     if (idx < 0)
+                        idx = ~idx;
+                     priceLevels[idx].Quantity = nativeBids[i].size;
+                     priceLevels[idx].Side = Side.Buy;
+                  }
+               }
+            }
+         }
+
+         bool TryGetOrigin(out double origin) {
+            if (!nativeBids[0].is_nan) {
+               origin = nativeBids[0].price;
+            } else if (!nativeAsks[0].is_nan) {
+               origin = nativeAsks[0].price;
+            } else {
+               origin = double.NaN;
+               return false;
+            }
+            return true;
+         }
+      }
+   }
+
+   public event Action? RequestRecenter;
+
+   public SecurityImmutable Security => security.Value;
+   public string Title => title.Value;
+   public double Price { get; set; }
+   public user.settings.RegionalTickFactors PriceTick => priceTick.Value;
+   public TickDisplaySettingsImmutable PriceDisplay => priceDisplay.Value;
+   public TickDisplaySettingsImmutable QuantityDisplay => quantityDisplay.Value;
+   public CalculatorLogic<double> SizeCalculator { get; }
+   public Side Side {
+      get => side;
+      set => Set(ref side, value);
+   }
+
+   public OrderPropertiesEditorVM PropertiesVm { get; }
+   public ObservableCollection<OrderTicketLadderPriceLevelVM> PriceLevels => priceLevels;
+   public ICommand SendOrderCmd { get; }
+   public ICommand SetPriceCmd { get; }
+   public ICommand ShowLadderCmd { get; }
+   public ICommand RecenterCmd { get; }
+
+   bool validatePrice() {
+      if (!Price.is_real()) {
+         flash_error(nameof(Price)).ignore();
+         return false;
+      }
+      return true;
+   }
+}
+
+class OrderTicketLadderPriceLevelVM : ViewModelBase {
+   Color background = Colors.Transparent;
+   Color priceForeground = BTSColors.Control.normal_foreground;
+   Side side;
+   double price = double.NaN;
+   double quantity = double.NaN;
+
+   public OrderTicketLadderPriceLevelVM(Side side) {
+      this.side = side;
+      background = BTSColors.Ladder.price_column_background;
+      priceForeground = BTSColors.Ladder.price_column_foreground;
+   }
+
+   public Side Side {
+      get => side;
+      set => Set(ref side, value, dependent_props: nameof(QuantityForeground));
+   }
+   public double Price {
+      get => price;
+      set => Set(ref price, value);
+   }
+   public double Quantity {
+      get => quantity;
+      set => Set(ref quantity, value);
+   }
+
+   public Color Background {
+      get => background;
+      set => Set(ref background, value);
+   }
+   public Color PriceForeground {
+      get => priceForeground;
+      set => Set(ref priceForeground, value);
+   }
+   public Color QuantityForeground =>
+      side switch {
+         Side.Buy => BTSColors.Ladder.bid_column_foreground,
+         Side.Sell => BTSColors.Ladder.ask_column_foreground,
+         _ => BTSColors.UI.default_foreground,
+      };
+}

src/client/spark/Orders/OrderModificationLadderControl.xaml

@@ -0,0 +1,415 @@
+<UserControl
+  x:Class="mbts.ui.spark.OrderModificationLadderControl"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:api="clr-namespace:bts.api;assembly=Bts.Spark.Api"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:c="clr-namespace:mbts.ui.controls"
+  xmlns:cv="clr-namespace:mbts.ui.converters"
+  xmlns:usp="clr-namespace:mbts.ui.spark"
+  xmlns:uag="clr-namespace:mbts.ui.spark.algo"
+  xmlns:sys="clr-namespace:System;assembly=mscorlib"
+  u:AttachedCommands.MiddleClick="{Binding RecenterCmd}" >
+  <UserControl.Resources>
+    <ResourceDictionary>
+      <ResourceDictionary.MergedDictionaries>
+        <ResourceDictionary Source="/view/Colors.xaml"/>
+        <ResourceDictionary Source="/view/Resources/Converters.xaml"/>
+        <ResourceDictionary Source="/view/Controls/Order/OrderDetailsPopupControl.xaml"/>
+      </ResourceDictionary.MergedDictionaries>
+
+      <!-- Consts -->
+      <sys:Double x:Key="HorizontalSpacing">8.0</sys:Double>
+      <sys:Double x:Key="VerticalSpacing">8.0</sys:Double>
+      <sys:Double x:Key="ButtonHeight">22.0</sys:Double>
+
+      <!-- Converters -->
+      <cv:NullableDoubleConverter x:Key="TickDefaultPriceConverter" DefaultValue="0"/>
+      <cv:ValueMap x:Key="SideToBrushConverter" Default="{x:Static Brushes.Transparent}">
+        <cv:KeyValue Key="{u:Enum Buy, Type=api:Side}" Value="{u:BTSBrush MarketData.bid, Opacity=0.33}" />
+        <cv:KeyValue Key="{u:Enum Sell, Type=api:Side}" Value="{u:BTSBrush MarketData.ask, Opacity=0.33}" />
+      </cv:ValueMap>
+      <cv:ValueMap x:Key="SideToIsBuyConverter" Default="{u:False}">
+        <cv:KeyValue Key="{u:Enum Buy, Type=api:Side}" Value="{u:True}" />
+      </cv:ValueMap>
+      <cv:ValueMap x:Key="SideToIsSellConverter" Default="{u:False}">
+        <cv:KeyValue Key="{u:Enum Sell, Type=api:Side}" Value="{u:True}" />
+      </cv:ValueMap>
+      <cv:ValueMap x:Key="SideToBidVisibilityConverter" Default="{u:Visibility Collapsed}">
+        <cv:KeyValue Key="{u:Enum Buy, Type=api:Side}" Value="{u:Visibility Visible}" />
+      </cv:ValueMap>
+      <cv:ValueMap x:Key="SideToAskVisibilityConverter" Default="{u:Visibility Collapsed}">
+        <cv:KeyValue Key="{u:Enum Sell, Type=api:Side}" Value="{u:Visibility Visible}" />
+      </cv:ValueMap>
+
+      <!-- Styles -->
+      <Style TargetType="Button" BasedOn="{StaticResource DefaultButton}">
+        <Setter Property="Height" Value="{StaticResource ButtonHeight}"/>
+        <Setter Property="HorizontalAlignment" Value="Stretch"/>
+      </Style>
+      <Style TargetType="ComboBox" BasedOn="{StaticResource {x:Type ComboBox}}">
+        <Setter Property="Height" Value="{StaticResource ButtonHeight}"/>
+        <Style.Triggers>
+          <Trigger Property="usp:OrderModificationLadderControl.IsDirty" Value="True">
+            <Setter Property="BorderBrush" Value="{u:BTSColor UI.input_dirty_border}"/>
+          </Trigger>
+        </Style.Triggers>
+      </Style>
+      <Style TargetType="usp:PriceEntryControl" BasedOn="{StaticResource {x:Type usp:PriceEntryControl}}">
+        <Style.Triggers>
+          <Trigger  Property="usp:OrderModificationLadderControl.IsDirty" Value="True">
+            <Setter Property="BorderBrush" Value="{u:BTSColor UI.input_dirty_border}"/>
+          </Trigger>
+        </Style.Triggers>
+      </Style>
+      <Style TargetType="c:TickUpDownNullableUInt32" BasedOn="{StaticResource {x:Type c:TickUpDownNullableUInt32}}">
+        <Style.Triggers>
+          <Trigger Property="usp:OrderModificationLadderControl.IsDirty" Value="True">
+            <Setter Property="BorderBrush" Value="{u:BTSColor UI.input_dirty_border}"/>
+          </Trigger>
+        </Style.Triggers>
+      </Style>
+
+      <DataTemplate x:Key="PriceLevelItemTemplate">
+        <Button
+          Background="{Binding Background, Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+          HorizontalAlignment="Stretch"
+          HorizontalContentAlignment="Stretch"
+          MinWidth="96"
+          Padding="4,2"
+          Command="{Binding DataContext.SetPriceCmd, RelativeSource={RelativeSource AncestorType=usp:OrderModificationLadderControl}}"
+          CommandParameter="{Binding Price}">
+          <Grid>
+            <Grid.ColumnDefinitions>
+              <ColumnDefinition Width="Auto" MinWidth="40" SharedSizeGroup="Orders" />
+              <ColumnDefinition Width="*" MinWidth="40" SharedSizeGroup="BidSize" />
+              <ColumnDefinition Width="Auto" MinWidth="56" SharedSizeGroup="Price" />
+              <ColumnDefinition Width="*" MinWidth="40" SharedSizeGroup="AskSize" />
+            </Grid.ColumnDefinitions>
+            <TextBlock
+              Grid.Column="1"
+              HorizontalAlignment="Right"
+              Foreground="{Binding QuantityForeground, Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+              FontSize="{x:Static u:FontSizes.Small}"
+              Visibility="{Binding Side, Converter={StaticResource SideToBidVisibilityConverter}}">
+              <TextBlock.Text>
+                <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}">
+                  <Binding Path="Quantity" Mode="OneWay"/>
+                  <Binding Path="DataContext.QuantityDisplay" RelativeSource="{RelativeSource AncestorType=usp:OrderModificationLadderControl}"/>
+                </MultiBinding>
+              </TextBlock.Text>
+            </TextBlock>
+            <TextBlock
+              Grid.Column="2"
+              HorizontalAlignment="Center"
+              Foreground="{Binding PriceForeground, Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+              FontSize="{x:Static u:FontSizes.Small}">
+              <TextBlock.Text>
+                <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}">
+                  <Binding Path="Price" Mode="OneWay"/>
+                  <Binding Path="DataContext.PriceDisplay" RelativeSource="{RelativeSource AncestorType=usp:OrderModificationLadderControl}"/>
+                </MultiBinding>
+              </TextBlock.Text>
+            </TextBlock>
+            <TextBlock
+              Grid.Column="3"
+              HorizontalAlignment="Left"
+              Foreground="{Binding QuantityForeground, Converter={x:Static cv:ColorToBrushConverter.Instance}}"
+              FontSize="{x:Static u:FontSizes.Small}"
+              Visibility="{Binding Side, Converter={StaticResource SideToAskVisibilityConverter}}">
+              <TextBlock.Text>
+                <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}">
+                  <Binding Path="Quantity" Mode="OneWay"/>
+                  <Binding Path="DataContext.QuantityDisplay" RelativeSource="{RelativeSource AncestorType=usp:OrderModificationLadderControl}"/>
+                </MultiBinding>
+              </TextBlock.Text>
+            </TextBlock>
+          </Grid>
+        </Button>
+      </DataTemplate>
+
+      <ControlTemplate x:Key="BuyRadioButtonTemplate" TargetType="RadioButton">
+        <Grid>
+          <VisualStateManager.VisualStateGroups>
+            <VisualStateGroup x:Name="CommonStates">
+              <VisualState x:Name="Normal" />
+              <VisualState x:Name="MouseOver">
+                <Storyboard>
+                  <DoubleAnimation Storyboard.TargetName="hoverOverlay" Storyboard.TargetProperty="Opacity" To="0.3" BeginTime="0" Duration="0" />
+                </Storyboard>
+              </VisualState>
+              <VisualState x:Name="Pressed" />
+              <VisualState x:Name="Disabled">
+                <Storyboard>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="Background.Color" To="#555" Duration="0" />
+                </Storyboard>
+              </VisualState>
+            </VisualStateGroup>
+            <VisualStateGroup x:Name="CheckStates">
+              <VisualState x:Name="Checked">
+                <Storyboard>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="Background.Color" To="{u:BTSColor MarketData.bid}" BeginTime="0" Duration="0"/>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="BorderBrush.Color" To="{u:BTSColor MarketData.bid}" BeginTime="0" Duration="0"/>
+                </Storyboard>
+              </VisualState>
+              <VisualState x:Name="Unchecked" />
+              <VisualState x:Name="Indeterminate" />
+            </VisualStateGroup>
+          </VisualStateManager.VisualStateGroups>
+          <Border
+            x:Name="background"
+            BorderThickness="{TemplateBinding BorderThickness}"
+            VerticalAlignment="{TemplateBinding VerticalAlignment}"
+            HorizontalAlignment="{TemplateBinding HorizontalAlignment}"
+            Padding="{TemplateBinding Padding}"
+            CornerRadius="2">
+            <Border.Background>
+              <SolidColorBrush Color="Transparent" />
+            </Border.Background>
+            <Border.BorderBrush>
+              <SolidColorBrush Color="Black"/>
+            </Border.BorderBrush>
+          </Border>
+          <ContentPresenter
+            Name="presenter"
+            HorizontalAlignment="{TemplateBinding HorizontalContentAlignment}"
+            VerticalAlignment="{TemplateBinding HorizontalContentAlignment}" />
+          <Border Name="hoverOverlay" HorizontalAlignment="Stretch" VerticalAlignment="Stretch" Background="Black" Opacity="0" IsHitTestVisible="False" />
+        </Grid>
+      </ControlTemplate>
+
+      <ControlTemplate x:Key="SellRadioButtonTemplate" TargetType="RadioButton">
+        <Grid>
+          <VisualStateManager.VisualStateGroups>
+            <VisualStateGroup x:Name="CommonStates">
+              <VisualState x:Name="Normal" />
+              <VisualState x:Name="MouseOver">
+                <Storyboard>
+                  <DoubleAnimation Storyboard.TargetName="hoverOverlay" Storyboard.TargetProperty="Opacity" To="0.3" BeginTime="0" Duration="0" />
+                </Storyboard>
+              </VisualState>
+              <VisualState x:Name="Pressed" />
+              <VisualState x:Name="Disabled">
+                <Storyboard>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="Background.Color" To="#555" Duration="0" />
+                </Storyboard>
+              </VisualState>
+            </VisualStateGroup>
+            <VisualStateGroup x:Name="CheckStates">
+              <VisualState x:Name="Checked">
+                <Storyboard>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="Background.Color" To="{u:BTSColor MarketData.ask}" BeginTime="0" Duration="0"/>
+                  <ColorAnimation Storyboard.TargetName="background" Storyboard.TargetProperty="BorderBrush.Color" To="{u:BTSColor MarketData.ask}" BeginTime="0" Duration="0"/>
+                </Storyboard>
+              </VisualState>
+              <VisualState x:Name="Unchecked" />
+              <VisualState x:Name="Indeterminate" />
+            </VisualStateGroup>
+          </VisualStateManager.VisualStateGroups>
+          <Border
+            x:Name="background"
+            BorderThickness="{TemplateBinding BorderThickness}"
+            VerticalAlignment="{TemplateBinding VerticalAlignment}"
+            HorizontalAlignment="{TemplateBinding HorizontalAlignment}"
+            Padding="{TemplateBinding Padding}"
+            CornerRadius="2">
+            <Border.Background>
+              <SolidColorBrush Color="Transparent" />
+            </Border.Background>
+            <Border.BorderBrush>
+              <SolidColorBrush Color="Black"/>
+            </Border.BorderBrush>
+          </Border>
+          <ContentPresenter
+            Name="presenter"
+            HorizontalAlignment="{TemplateBinding HorizontalContentAlignment}"
+            VerticalAlignment="{TemplateBinding VerticalContentAlignment}" />
+          <Border Name="hoverOverlay" HorizontalAlignment="Stretch" VerticalAlignment="Stretch" Background="Black" Opacity="0" IsHitTestVisible="False" />
+        </Grid>
+      </ControlTemplate>
+
+      <Style x:Key="BuyRadioButtonStyle" TargetType="RadioButton">
+        <Setter Property="Padding" Value="2" />
+        <Setter Property="HorizontalContentAlignment" Value="Center" />
+        <Setter Property="VerticalContentAlignment" Value="Center" />
+        <Setter Property="Foreground" Value="{u:BTSBrush UI.default_text}" />
+        <Setter Property="Template" Value="{StaticResource BuyRadioButtonTemplate}" />
+      </Style>
+
+      <Style x:Key="SellRadioButtonStyle" TargetType="RadioButton">
+        <Setter Property="Padding" Value="2" />
+        <Setter Property="HorizontalContentAlignment" Value="Center" />
+        <Setter Property="VerticalContentAlignment" Value="Center" />
+        <Setter Property="Foreground" Value="{u:BTSBrush UI.default_text}" />
+        <Setter Property="Template" Value="{StaticResource SellRadioButtonTemplate}" />
+      </Style>
+
+    </ResourceDictionary>
+  </UserControl.Resources>
+
+  <Grid>
+    <Grid.ColumnDefinitions>
+      <ColumnDefinition />
+      <ColumnDefinition Width="{Binding Source={StaticResource HorizontalSpacing}}" />
+      <ColumnDefinition />
+    </Grid.ColumnDefinitions>
+
+    <!-- Ladder (market depth) -->
+    <Grid Grid.Column="2" Grid.IsSharedSizeScope="True">
+      <Grid.RowDefinitions>
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="Auto" />
+      </Grid.RowDefinitions>
+      <Grid
+        Grid.Row="0"
+        Background="{u:BTSBrush header}"
+        TextElement.Foreground="{u:BTSBrush header_text}"
+        TextElement.FontSize="{x:Static u:FontSizes.Small}"
+        TextElement.FontWeight="SemiBold">
+        <Grid.ColumnDefinitions>
+          <ColumnDefinition Width="Auto" MinWidth="40" SharedSizeGroup="Orders" />
+          <ColumnDefinition Width="*" MinWidth="40" SharedSizeGroup="BidSize" />
+          <ColumnDefinition Width="Auto" MinWidth="56" SharedSizeGroup="Price" />
+          <ColumnDefinition Width="*" MinWidth="40" SharedSizeGroup="AskSize" />
+        </Grid.ColumnDefinitions>
+        <TextBlock Grid.Column="0" HorizontalAlignment="Center" Text="Orders" />
+        <TextBlock Grid.Column="1" HorizontalAlignment="Center" Text="Bid" />
+        <TextBlock Grid.Column="2" HorizontalAlignment="Center" Text="Price" />
+        <TextBlock Grid.Column="3" HorizontalAlignment="Center" Text="Ask" />
+      </Grid>
+      <ScrollViewer Grid.Row="1" x:Name="priceLevelsScrollViewer" MaxHeight="240">
+        <ItemsControl ItemsSource="{Binding PriceLevels}" ItemTemplate="{StaticResource PriceLevelItemTemplate}" />
+      </ScrollViewer>
+    </Grid>
+
+    <!-- Order Inputs -->
+    <Grid Grid.Column="0">
+      <Grid.RowDefinitions>
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="*" />
+        <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}" />
+        <RowDefinition Height="Auto" />
+      </Grid.RowDefinitions>
+
+      <!-- Buy/Sell toggle -->
+      <Grid HorizontalAlignment="Stretch" VerticalAlignment="Top">
+        <Grid.ColumnDefinitions>
+          <ColumnDefinition Width="1*" MinWidth="72" />
+          <ColumnDefinition Width="1*" MinWidth="72" />
+        </Grid.ColumnDefinitions>
+        <RadioButton
+          Grid.Column="0"
+          GroupName="Side"
+          IsChecked="{Binding Side, Converter={StaticResource SideToIsBuyConverter}}"
+          Style="{StaticResource BuyRadioButtonStyle}">
+          <TextBlock FontWeight="Bold" Foreground="{u:BTSBrush UI.default_text}">
+            Buy
+          </TextBlock>
+        </RadioButton>
+        <RadioButton
+          Grid.Column="1"
+          GroupName="Side"
+          IsChecked="{Binding Side, Converter={StaticResource SideToIsSellConverter}}"
+          Style="{StaticResource SellRadioButtonStyle}">
+          <TextBlock FontWeight="Bold" Foreground="{u:BTSBrush UI.default_text}">
+            Sell
+          </TextBlock>
+        </RadioButton>
+      </Grid>
+
+      <usp:PriceEntryControl
+        Grid.Row="2"
+        usp:OrderModificationControl.IsDirty="{Binding PriceDirty, FallbackValue={x:Null}}"
+        RegionalTick="{Binding PriceTick}"
+        Focusable="False"
+        TickDefaultValue="{Binding CurrentPrice, Converter={StaticResource TickDefaultPriceConverter}, FallbackValue={u:Double 0}}"
+        ToolTip="Price"
+        Value="{Binding Price}" />
+
+      <c:TickUpDownNullableDouble
+        Grid.Row="4"
+        usp:OrderModificationControl.IsDirty="{Binding QuantityDirty, FallbackValue={x:Null}}"
+        CommitOnEnter="True"
+        Focusable="False"
+        Increment="{Binding SizeCalculator.unit_quantity}"
+        Minimum="0"
+        TickDisplaySettings="{Binding SizeCalculator.display_settings}"
+        ToolTip="Quantity"
+        Value="{Binding SizeCalculator.display_value}" />
+
+      <uag:OrderDetailsPopupControl
+        Grid.Row="6"
+        DataContext="{Binding PropertiesVm}"
+        usp:OrderModificationControl.IsDirty="{Binding DataContext.order_type_dirty, RelativeSource={RelativeSource AncestorType=usp:OrderModificationControl}, FallbackValue={u:False}}"
+        HasEditableProperties="{Binding can_expand, FallbackValue={u:False}}"
+        IsAlgoTemplateToolBarReadOnly="True"
+        IsEnabled="{Binding DataContext.can_change_order_type, RelativeSource={RelativeSource AncestorType=usp:OrderModificationControl}, FallbackValue={u:True}}"
+        IsOpen="{Binding is_expanded, FallbackValue={u:False}}"
+        ItemsSource="{Binding algo_definitions_view}"
+        SelectedItem="{Binding selected_algo_definition}"
+        ToolTip="Order/Algo Type">
+        <uag:OrderDetailsPopupControl.Style>
+          <Style TargetType="uag:OrderDetailsPopupControl" BasedOn="{StaticResource {x:Type uag:OrderDetailsPopupControl}}">
+            <Style.Triggers>
+              <Trigger  Property="usp:OrderModificationControl.IsDirty" Value="True">
+                <Setter Property="BorderBrush" Value="{u:BTSColor UI.input_dirty_border}"/>
+              </Trigger>
+            </Style.Triggers>
+          </Style>
+        </uag:OrderDetailsPopupControl.Style>
+      </uag:OrderDetailsPopupControl>
+
+      <ComboBox
+        Grid.Row="8"
+        usp:OrderModificationControl.IsDirty="{Binding AccountDirty, FallbackValue={u:False}}"
+        IsEnabled="{Binding CanChangeAccount, FallbackValue={u:True}}"
+        ItemsSource="{Binding PropertiesVm.accounts}"
+        SelectedItem="{Binding PropertiesVm.selected_account}"
+        ToolTip="Account" />
+
+      <ComboBox
+        Grid.Row="10"
+        usp:OrderModificationControl.IsDirty="{Binding TimeInForceDirty, FallbackValue={u:False}}"
+        IsEnabled="{Binding CanChangeTimeInForce, FallbackValue={u:True}}"
+        ItemsSource="{Binding PropertiesVm.time_in_forces}" 
+        SelectedItem="{Binding PropertiesVm.selected_time_in_force}"
+        ToolTip="Time In Force" />
+
+      <Button
+        Grid.Row="12"
+        Height="NaN"
+        HorizontalAlignment="Stretch"
+        VerticalAlignment="Stretch"
+        HorizontalContentAlignment="Center"
+        VerticalContentAlignment="Center"
+        Background="Green"
+        Foreground="{u:BTSBrush UI.default_text}"
+        FontSize="{x:Static u:FontSizes.Largest}"
+        FontWeight="Bold"
+        Command="{Binding SendOrderCmd}"
+        ToolTip="{Binding Side, StringFormat='Send {0} Order'}">
+        Send
+      </Button>
+
+      <TextBlock
+        Grid.Row="14"
+        HorizontalAlignment="Center"
+        FontSize="{x:Static u:FontSizes.Small}">
+        <Hyperlink
+          Command="{Binding ShowLadderCmd}"
+          ToolTip="Open the original ladder for this security">Open full ladder</Hyperlink>
+      </TextBlock>
+    </Grid>
+  </Grid>
+</UserControl>

src/client/spark/Orders/OrderModificationLadderControl.xaml.cs

@@ -0,0 +1,51 @@
+#nullable enable
+
+using System;
+using System.Windows;
+using System.Windows.Controls;
+using System.Windows.Media.Animation;
+
+namespace mbts.ui.spark {
+   interface IOrderModificationLadderVM {
+      event Action? RequestRecenter;
+   }
+
+   /// <summary>
+   /// Interaction logic for OrderModificationLadderControl.xaml
+   /// </summary>
+   public partial class OrderModificationLadderControl : UserControl {
+      public static readonly DependencyProperty IsDirtyProperty = DependencyProperty.RegisterAttached(
+         "IsDirty", typeof(bool?), typeof(OrderModificationLadderControl), new PropertyMetadata(null));
+
+      public static bool? GetIsDirty(DependencyObject d) => d.GetValue(IsDirtyProperty) as bool?;
+      public static void SetIsDirty(DependencyObject d, bool? value) => d.SetValue(IsDirtyProperty, value);
+
+      public OrderModificationLadderControl() {
+         InitializeComponent();
+         DataContextChanged += onDataContextChanged;
+      }
+
+      void onDataContextChanged(object sender, DependencyPropertyChangedEventArgs e) {
+         if (e.OldValue is IOrderModificationLadderVM oldVm) {
+            oldVm.RequestRecenter -= recenter;
+         }
+         if (e.NewValue is IOrderModificationLadderVM newVm) {
+            newVm.RequestRecenter += recenter;
+         }
+      }
+
+      void recenter() {
+         var targetOffset = priceLevelsScrollViewer.ScrollableHeight / 2;
+         DoubleAnimation anim = new() {
+            From = priceLevelsScrollViewer.VerticalOffset,
+            To = targetOffset,
+            Duration = TimeSpan.FromSeconds(0.15)
+         };
+         Storyboard sb = new();
+         sb.Children.Add(anim);
+         Storyboard.SetTarget(anim, priceLevelsScrollViewer);
+         Storyboard.SetTargetProperty(anim, new PropertyPath(Behavior.AnimatedScrollViewerVerticalOffsetProperty));
+         sb.Begin();
+      }
+   }
+}

src/client/spark/Orders/OrderTicketLadder.xaml

@@ -0,0 +1,120 @@
+<Window
+  x:Class="mbts.ui.spark.OrderTicketLadder"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:msys="clr-namespace:bts.api;assembly=Bts.Spark.Api"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:cv="clr-namespace:mbts.ui.converters"
+  xmlns:usp="clr-namespace:mbts.ui.spark"
+  xmlns:sys="clr-namespace:System;assembly=mscorlib"
+  u:WindowStyle.SizeToContent="WidthAndHeight"
+  u:WindowStyle.TitleContent="{Binding Title, Mode=OneWay}"
+  BorderBrush="#00C000"
+  BorderThickness="1"
+  Style="{StaticResource BTSWindowTitleTemplate}">
+  <Window.Resources>
+    <ResourceDictionary>
+      <ResourceDictionary.MergedDictionaries>
+        <ResourceDictionary Source="/view/Resources/Converters.xaml"/>
+      </ResourceDictionary.MergedDictionaries>
+      <sys:Double x:Key="HorizontalSpacing">8.0</sys:Double>
+      <sys:Double x:Key="VerticalSpacing">4.0</sys:Double>
+      <sys:Double x:Key="ButtonHeight">22.0</sys:Double>
+
+      <Style x:Key="SellButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
+        <Setter Property="Background" Value="{u:BTSColor MarketData.ask_dark}" />
+        <Setter Property="Foreground" Value="White" />
+        <Setter Property="MinHeight" Value="40" />
+        <Setter Property="FontWeight" Value="Bold" />
+        <Setter Property="HorizontalAlignment" Value="Stretch" />
+        <Setter Property="VerticalAlignment" Value="Stretch" />
+        <Setter Property="Content">
+          <Setter.Value>
+            <TextBlock VerticalAlignment="Center" Text="Sell" />
+          </Setter.Value>
+        </Setter>
+        <Setter Property="Template">
+          <Setter.Value>
+            <ControlTemplate TargetType="Button">
+              <Border 
+                x:Name="Border"
+                CornerRadius="0" 
+                BorderThickness="1"
+                BorderBrush="{u:BTSColor UI.Button.normal_border}"
+                Background="{u:BTSColor MarketData.ask}"
+                Padding="2"
+                Height="Auto"
+                SnapsToDevicePixels="True">
+                  <ContentPresenter 
+                    HorizontalAlignment="Center"
+                    VerticalAlignment="Center"
+                    RecognizesAccessKey="True"
+                    Name="button_content" 
+                  />
+                </Border>
+              <ControlTemplate.Triggers>
+                <Trigger Property="IsMouseOver" Value="True">
+                  <Setter TargetName="Border" Property="Background" Value="#99c00000" />
+                  <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
+                </Trigger>
+              </ControlTemplate.Triggers>
+            </ControlTemplate>
+          </Setter.Value>
+        </Setter>
+      </Style>
+
+      <Style x:Key="BuyButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
+        <Setter Property="Background" Value="{u:BTSColor MarketData.bid_dark}" />
+        <Setter Property="Foreground" Value="White" />
+        <Setter Property="MinHeight" Value="40" />
+        <Setter Property="FontWeight" Value="Bold" />
+        <Setter Property="HorizontalAlignment" Value="Stretch" />
+        <Setter Property="VerticalAlignment" Value="Stretch" />
+        <Setter Property="Content">
+          <Setter.Value>
+            <TextBlock VerticalAlignment="Center" Text="Buy" />
+          </Setter.Value>
+        </Setter>
+        <Setter Property="Template">
+          <Setter.Value>
+            <ControlTemplate TargetType="Button">
+              <Border 
+                x:Name="Border"
+                CornerRadius="0" 
+                BorderThickness="1"
+                BorderBrush="{u:BTSColor UI.Button.normal_border}"
+                Background="{u:BTSColor MarketData.bid}"
+                Padding="2"
+                Height="Auto"
+                SnapsToDevicePixels="True">
+                <ContentPresenter 
+                  HorizontalAlignment="Center"
+                  VerticalAlignment="Center"
+                  RecognizesAccessKey="True"
+                  Name="button_content" 
+                />
+              </Border>
+              <ControlTemplate.Triggers>
+                <Trigger Property="IsMouseOver" Value="True">
+                  <Setter TargetName="Border" Property="Background" Value="#99167ed3" />
+                  <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
+                </Trigger>
+              </ControlTemplate.Triggers>
+            </ControlTemplate>
+          </Setter.Value>
+        </Setter>
+      </Style>
+    </ResourceDictionary>
+  </Window.Resources>
+  <Window.InputBindings>
+    <KeyBinding Key="Esc" Command="{x:Static SystemCommands.CloseWindowCommand}"/>
+  </Window.InputBindings>
+
+  <usp:OrderModificationLadderControl Margin="10,4" />
+
+  <u:WindowStyle.TitleContentTemplate>
+    <DataTemplate>
+      <TextBlock HorizontalAlignment="Center" FontWeight="Bold" Text="{Binding}" Style="{StaticResource TextBlock.Dark}" />
+    </DataTemplate>
+  </u:WindowStyle.TitleContentTemplate>
+</Window>

src/client/spark/Orders/OrderTicketLadder.xaml.cs

@@ -0,0 +1,15 @@
+using mbts.ui.utility;
+
+using System.Windows;
+
+namespace mbts.ui.spark {
+   /// <summary>
+   /// Interaction logic for OrderTicketLadder.xaml
+   /// </summary>
+   public partial class OrderTicketLadder : Window {
+      public OrderTicketLadder() {
+         InitializeComponent();
+         WindowUtilities.listen_for_close_requests(this);
+      }
+   }
+}

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

@@ -1,117 +1,119 @@
-#nullable enable
-namespace mbts.ui {
-   using bts.utils;
-
-   using Spark.Core.Reflection;
-
-   using System;
-   using System.Collections.Generic;
-   using System.Linq;
-   using System.Reflection;
-   using System.Windows;
-   using System.Windows.Markup;
-   using System.Windows.Media;
-
-   [MarkupExtensionReturnType]
-   class BTSColorExtension : MarkupExtension {
-      static readonly Dictionary<string, Func<BTSColor>>
-         _color_map = _normalized_color_props(typeof(BTSColors), null).ToDictionary();
-
-      public BTSColorExtension() { }
-
-      public BTSColorExtension(string? name) =>
-         Name = name;
-
-      public BTSColorExtension(string? name, string? mixture) {
-         Name = name;
-         Mixture = mixture;
-      }
-
-      [ConstructorArgument("name")]
-      public string? Name { get; set; }
-
-      [ConstructorArgument("mixture")]
-      public string? Mixture { get; set; }
-
-      public ColorMixtureMode MixtureMode { get; set; } = ColorMixtureMode.Default;
-
-      public Type? Type { get; set; }
-
-      public double Opacity { get; set; } = double.NaN;
-
-      public static BTSColor get_color(string name) =>
-         _color_map.TryGetValue(name, out var color) ?
-            color() : throw new ColorNotFoundException(name);
-
-      public override object? ProvideValue(IServiceProvider service_provider) {
-         if (service_provider is null) {
-            return null;
-         }
-         if (Name is null) {
-            throw new InvalidOperationException("Name is null");
-         }
-         if (!Opacity.is_nan() && !Opacity.is_within_range(0, 1)) {
-            throw new InvalidOperationException("Opacity (pct) must between 0 and 1 (if not NaN)");
-         }
-
-         if (Name.Contains("Launcher.Button")) {
-         }
-         var pvt = service_provider.GetValueTargetProvider() ??
-            throw new InvalidOperationException("IProvideValueTarget is null");
-         var tgt_type = Type ?? _deduce_target_type(pvt);
-         var names = Name.Split(',');
-         var mixtures = Mixture?.Split(',');
-         var color = _get_color_blend(names, mixtures, MixtureMode);
-         if (!Opacity.is_nan()) {
-            color = color.with((byte)(Opacity * byte.MaxValue));
-         }
-         return tgt_type == typeof(Color) ? (Color)color : (Brush)color;
-      }
-
-      static Type _deduce_target_type(IProvideValueTarget pvt) {
-         if (pvt.TargetProperty is null) {
-            return typeof(Color);
-         }
-         if (pvt.TargetProperty is DependencyProperty dp) {
-            return dp.PropertyType ?? throw new InvalidOperationException();
-         }
-         if (pvt.TargetObject is Setter setter) {
-            return setter.Property?.PropertyType ?? typeof(Brush);
-         }
-         return typeof(Brush);
-      }
-
-      /// <summary>
-      /// Creates a (potentially weighted) blend of colors
-      /// </summary>
-      static BTSColor _get_color_blend(string[] names, string[]? mixture, ColorMixtureMode mode) {
-         if (mixture is null || mixture.Length == 0) {
-            // create a uniform blend
-            return names.Select(get_color).blend(mode);
-         }
-         if (names.Length != mixture.Length) {
-            throw new InvalidOperationException(
-               "Names and Mixture must provide same number of elements");
-         }
-         return names.Select(get_color).Zip(mixture.Select(double.Parse)).blend();
-      }
-
-      static IEnumerable<(string, Func<BTSColor>)> _normalized_color_props(
-         Type type, string? prefix) {
-         var bts_colors = ReflectionHelper.static_property_getters<BTSColor>(type)
-            .Select(tup => (full_name(tup.name), tup.get));
-         var media_colors = ReflectionHelper.static_property_getters<Color>(type)
-            .Select(tup => (full_name(tup.name), new Func<BTSColor>(() => tup.get())));
-         var nested_types = type.GetNestedTypes(BindingFlags.Public | BindingFlags.Static);
-         var nested_colors = nested_types.SelectMany(
-            t => _normalized_color_props(t, full_name(t.Name))).ToList();
-
-         return bts_colors
-            .Concat(media_colors)
-            .Concat(nested_colors);
-
-         string full_name(string prop) =>
-            prefix is null ? prop : $"{prefix}.{prop}";
-      }
-   }
-}
+#nullable enable
+namespace mbts.ui {
+   using bts.utils;
+
+   using Spark.Core.Reflection;
+
+   using System;
+   using System.Collections.Generic;
+   using System.Linq;
+   using System.Reflection;
+   using System.Windows;
+   using System.Windows.Markup;
+   using System.Windows.Media;
+
+   [MarkupExtensionReturnType]
+   class BTSColorExtension : MarkupExtension {
+      static readonly Dictionary<string, Func<BTSColor>>
+         _color_map = _normalized_color_props(typeof(BTSColors), null).ToDictionary();
+
+      public BTSColorExtension() { }
+
+      public BTSColorExtension(string? name) =>
+         Name = name;
+
+      public BTSColorExtension(string? name, string? mixture) {
+         Name = name;
+         Mixture = mixture;
+      }
+
+      [ConstructorArgument("name")]
+      public string? Name { get; set; }
+
+      [ConstructorArgument("mixture")]
+      public string? Mixture { get; set; }
+
+      public ColorMixtureMode MixtureMode { get; set; } = ColorMixtureMode.Default;
+
+      public Type? Type { get; set; }
+
+      public double Opacity { get; set; } = double.NaN;
+
+      public static BTSColor get_color(string name) =>
+         _color_map.TryGetValue(name, out var color) ?
+            color() : throw new ColorNotFoundException(name);
+
+      public override object? ProvideValue(IServiceProvider service_provider) {
+         if (service_provider is null) {
+            return null;
+         }
+         if (Name is null) {
+            throw new InvalidOperationException("Name is null");
+         }
+         if (!Opacity.is_nan() && !Opacity.is_within_range(0, 1)) {
+            throw new InvalidOperationException("Opacity (pct) must between 0 and 1 (if not NaN)");
+         }
+
+         if (Name.Contains("Launcher.Button")) {
+         }
+         var pvt = service_provider.GetValueTargetProvider() ??
+            throw new InvalidOperationException("IProvideValueTarget is null");
+         var tgt_type = Type ?? _deduce_target_type(pvt);
+         var names = Name.Split(',');
+         var mixtures = Mixture?.Split(',');
+         var color = _get_color_blend(names, mixtures, MixtureMode);
+         if (!Opacity.is_nan()) {
+            color = color.with((byte)(Opacity * byte.MaxValue));
+         }
+         return tgt_type == typeof(Color) || tgt_type == typeof(Color?)
+            ? (Color)color
+            : (Brush)color;
+      }
+
+      static Type _deduce_target_type(IProvideValueTarget pvt) {
+         if (pvt.TargetProperty is null) {
+            return typeof(Color);
+         }
+         if (pvt.TargetProperty is DependencyProperty dp) {
+            return dp.PropertyType ?? throw new InvalidOperationException();
+         }
+         if (pvt.TargetObject is Setter setter) {
+            return setter.Property?.PropertyType ?? typeof(Brush);
+         }
+         return typeof(Brush);
+      }
+
+      /// <summary>
+      /// Creates a (potentially weighted) blend of colors
+      /// </summary>
+      static BTSColor _get_color_blend(string[] names, string[]? mixture, ColorMixtureMode mode) {
+         if (mixture is null || mixture.Length == 0) {
+            // create a uniform blend
+            return names.Select(get_color).blend(mode);
+         }
+         if (names.Length != mixture.Length) {
+            throw new InvalidOperationException(
+               "Names and Mixture must provide same number of elements");
+         }
+         return names.Select(get_color).Zip(mixture.Select(double.Parse)).blend();
+      }
+
+      static IEnumerable<(string, Func<BTSColor>)> _normalized_color_props(
+         Type type, string? prefix) {
+         var bts_colors = ReflectionHelper.static_property_getters<BTSColor>(type)
+            .Select(tup => (full_name(tup.name), tup.get));
+         var media_colors = ReflectionHelper.static_property_getters<Color>(type)
+            .Select(tup => (full_name(tup.name), new Func<BTSColor>(() => tup.get())));
+         var nested_types = type.GetNestedTypes(BindingFlags.Public | BindingFlags.Static);
+         var nested_colors = nested_types.SelectMany(
+            t => _normalized_color_props(t, full_name(t.Name))).ToList();
+
+         return bts_colors
+            .Concat(media_colors)
+            .Concat(nested_colors);
+
+         string full_name(string prop) =>
+            prefix is null ? prop : $"{prefix}.{prop}";
+      }
+   }
+}

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

@@ -380,7 +380,7 @@
                 <VisualState Name="Normal"/>
                 <VisualState Name="MouseOver">
                   <Storyboard>
-                    <ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{StaticResource u:BTSColor UI.ScrollBar.thumb_mouse_over}"/>
+                    <ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor UI.ScrollBar.thumb_mouse_over}"/>
                   </Storyboard>
                 </VisualState>
                 <VisualState Name="Pressed">

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

@@ -1,5 +1,5 @@
 <ResourceDictionary
-  x:Class="mbts.ui.spark.AuxiliaryDataResources"
+  x:Class="mbts.ui.spark.OrderAuxiliaryPopupResources"
   x:ClassModifier="internal"
   xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
   xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
@@ -17,7 +17,7 @@
     <sp:MiniOrderBookView/>
   </DataTemplate>
   <!--Header (Title Bar)-->
-  <DataTemplate DataType="{x:Type usp:AuxiliaryDataHeader}">
+  <DataTemplate DataType="{x:Type usp:OrderAuxiliaryPopupHeader}">
     <Grid MaxWidth="{Binding ActualWidth, RelativeSource={RelativeSource AncestorType=ContentPresenter}}">
       <Grid.ColumnDefinitions>
         <ColumnDefinition Width="Auto"/>
@@ -101,6 +101,20 @@
     </Grid>
   </DataTemplate>
 
+  <DataTemplate DataType="{x:Type usp:OrderTicketLadderHeader}">
+    <Grid>
+      <Grid.ColumnDefinitions>
+        <ColumnDefinition Width="Auto"/>
+        <ColumnDefinition Width="*"/>
+        <ColumnDefinition Width="Auto"/>
+        <ColumnDefinition Width="Auto"/>
+      </Grid.ColumnDefinitions>
+      <TextBlock FontWeight="Bold" Text="{Binding Title}" Style="{StaticResource TextBlock.Dark}" />
+      <CheckBox Grid.Column="2" VerticalAlignment="Center" Margin="4,0,0,0" Focusable="False" IsChecked="{Binding StaysOpen, RelativeSource={RelativeSource AncestorType=Popup}}">Keep Open</CheckBox>
+      <Button Grid.Column="3" HorizontalAlignment="Right" Margin="4" Command="{x:Static ApplicationCommands.Close}" CommandTarget="{Binding RelativeSource={RelativeSource AncestorType=HeaderedContentControl}}" Style="{StaticResource RoundCloseButton}"/>
+    </Grid>
+  </DataTemplate>
+
   <ControlTemplate x:Key="PopupChildTemplate" TargetType="HeaderedContentControl">
     <Border
       Background="{TemplateBinding Background}"

src/client/spark/view/Controls/Order/OrderAuxiliaryPopupResources.xaml.cs

@@ -0,0 +1,49 @@
+#nullable enable
+using mbts.spark;
+using mbts.ui.shell;
+
+using System.Windows;
+using System.Windows.Media;
+
+namespace mbts.ui.spark {
+   partial class OrderAuxiliaryPopupResources : ResourceDictionary {
+      public OrderAuxiliaryPopupResources() =>
+         InitializeComponent();
+
+      public static string PopupChildStyleKey => nameof(PopupChildStyleKey);
+   }
+
+   class OrderAuxiliaryPopupHeader : ViewModelBase {
+      string?
+         _title,
+         _context;
+      Color _title_foreground;
+      bool _keep_open;
+
+      public Color title_foreground { get => _title_foreground; set => Set(ref _title_foreground, value); }
+      public string? title { get => _title; set => Set(ref _title, value); }
+      public string? context { get => _context; set => Set(ref _context, value); }
+      public bool keep_open { get => _keep_open; set => Set(ref _keep_open, value); }
+   }
+
+   class OrderTicketHeader : ViewModelBase {
+      bool _keep_open;
+      public BBOVM? bbo { get; set; }
+      public bool keep_open { get => _keep_open; set => Set(ref _keep_open, value); }
+   }
+
+   class OrderTicketLadderHeader : ViewModelBase {
+      bool keepOpen;
+      string? title;
+
+      public string? Title {
+         get => title;
+         set => Set(ref title, value);
+      }
+
+      public bool KeepOpen {
+         get => keepOpen;
+         set => Set(ref keepOpen, value);
+      }
+   }
+}

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

@@ -102,6 +102,10 @@
     </Grid>
   </DataTemplate>
 
+  <DataTemplate DataType="{x:Type sp:NewOrderTicketLadderVM}">
+    <usp:OrderModificationLadderControl />
+  </DataTemplate>
+
   <DataTemplate DataType="{x:Type sp:ExistingOrderTicketVM}">
     <Grid Margin="10">
       <Grid.RowDefinitions>

src/client/spark/view/Controls/Popup/AuxiliaryDataView.xaml.cs

@@ -1,36 +0,0 @@
-using mbts.spark;
-using mbts.ui.shell;
-using System.Windows;
-using System.Windows.Controls;
-using System.Windows.Media;
-
-namespace mbts.ui.spark {
-   partial class AuxiliaryDataResources : ResourceDictionary {
-      public AuxiliaryDataResources() =>
-         InitializeComponent();
-
-      public static string PopupChildStyleKey => nameof(PopupChildStyleKey);
-   }
-
-   class AuxiliaryDataHeader : ViewModelBase {
-      string
-         _title,
-         _context;
-      Color _title_foreground;
-      bool _keep_open;
-
-      public Color title_foreground { get => _title_foreground; set => Set(ref _title_foreground, value); }
-      public string title { get => _title; set => Set(ref _title, value); }
-      public string context { get => _context; set => Set(ref _context, value); }
-      public bool keep_open { get => _keep_open; set => Set(ref _keep_open, value); }
-   }
-
-   class OrderTicketHeader : ViewModelBase {
-      bool _keep_open;
-      public BBOVM bbo { get; set; }
-      public bool keep_open { get => _keep_open; set => Set(ref _keep_open, value); }
-   }
-
-   class ConstrainedTextBlock : TextBlock {
-   }
-}

src/client/spark/view/Extensions/Command/AttachedCommands.cs

@@ -26,6 +26,39 @@ namespace mbts.ui {
       public static void SetDoubleClickParameter(DependencyObject target, object value) { target.SetValue(DoubleClickParameterProperty, value); }
       #endregion
 
+      #region MiddleClick
+      public static readonly DependencyProperty MiddleClickProperty =
+         DependencyProperty.RegisterAttached("MiddleClick", typeof(ICommand), typeof(AttachedCommands), new PropertyMetadata(onMiddleClickChanged));
+
+      static void onMiddleClickChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         var el = (UIElement)d;
+         el.ClearMouseBindings(MouseAction.MiddleClick);
+         if (e.NewValue is ICommand cmd) {
+            var mb = new MouseBinding(cmd, new MouseGesture(MouseAction.MiddleClick));
+            var bd = new Binding { Path = new PropertyPath(MiddleClickParameterProperty), Source = d };
+            BindingOperations.SetBinding(mb, InputBinding.CommandParameterProperty, bd);
+            el.InputBindings.Add(mb);
+         }
+      }
+
+      public static ICommand GetMiddleClick(DependencyObject target) =>
+         target.GetValue(MiddleClickProperty) as ICommand;
+
+      public static void SetMiddleClick(DependencyObject target, ICommand value) =>
+         target.SetValue(MiddleClickProperty, value);
+      #endregion
+
+      #region MiddleClickParameter
+      public static readonly DependencyProperty MiddleClickParameterProperty =
+         DependencyProperty.RegisterAttached("MiddleClickParameter", typeof(object), typeof(AttachedCommands));
+
+      public static object GetMiddleClickParameter(DependencyObject target) =>
+         target.GetValue(MiddleClickParameterProperty);
+
+      public static void SetMiddleClickParameter(DependencyObject target, object value) =>
+         target.SetValue(MiddleClickParameterProperty, value);
+      #endregion
+
       #region Enter
       public static readonly DependencyProperty EnterProperty = DependencyProperty.RegisterAttached("Enter", typeof(ICommand), typeof(AttachedCommands), new PropertyMetadata(OnEnterChanged));
       static void OnEnterChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {

src/cs/Bts.Spark.Api/Services/SparkApiServices.cs

@@ -8,6 +8,7 @@ using bts.api.core;
 using bts.api.orderman;
 using bts.api.position;
 using bts.co2;
+using bts.metrics;
 using bts.md;
 
 using Microsoft.Extensions.Configuration;
@@ -86,6 +87,7 @@ public static class SparkApiServices {
          services.AddSparkdService<OrderService>();
          services.AddSingleton<IOrdersClient, OrdersClient>();
       }
+      services.AddSparkdService<ShellLatencyService>();
       if (configurationSection.GetValue("EnablePosition", true)) {
          services.TryAddSingleton<ISecurityResolver>(ActivatorUtilities.GetServiceOrCreateInstance<PassiveSecurityResolver>);
          services.AddSparkdService<PositionService>()
@@ -176,6 +178,7 @@ public static class SparkApiServices {
          services.AddSparkdService<OrderService>();
          services.AddSingleton<IOrdersClient, OrdersClient>();
       }
+      services.AddSparkdService<ShellLatencyService>();
       if (isPositionsEnabled) {
          services.AddSparkdService<PositionService>();
       }

src/cs/Bts.Spark.Api/data/ticks/TickUtils.cs

@@ -3,6 +3,7 @@ using bts.api;
 using bts.data.ticks;
 using bts.utils;
 
+using mbts.co2;
 using mbts.user.settings;
 
 using Spark.Core;
@@ -113,6 +114,24 @@ namespace mbts.spark {
          return rv;
       }
 
+      public static double low_tick(NativePriceSize[] bids, NativePriceSize[] asks) {
+         double low = bids[bids.Length - 1].price;
+         if (double.IsNaN(low))
+            low = bids.LastOrDefault(nps => nps.price, p => !double.IsNaN(p), double.NaN);
+         if (double.IsNaN(low))
+            low = asks[0].price;
+         return low;
+      }
+
+      public static double high_tick(NativePriceSize[] bids, NativePriceSize[] asks) {
+         double high = asks[asks.Length - 1].price;
+         if (double.IsNaN(high))
+            high = asks.LastOrDefault(nps => nps.price, p => !double.IsNaN(p), double.NaN);
+         if (double.IsNaN(high))
+            high = bids[0].price;
+         return high;
+      }
+
       public static long? tickdiff(this ContractSpecificationImmutable spec, double x, double y) =>
          get_regional_ticks(spec).tickdiff(x, y);
 

src/cs/Bts.Spark.Sdk/AuthenticatedSimpleSparkClient.cs

@@ -3,6 +3,7 @@ namespace Bts.Spark.Sdk;
 using bts.api;
 using bts.api.core;
 using bts.api.orderman;
+using bts.metrics;
 
 using global::Spark.Api.Admin;
 using global::Spark.Api.MarketData;
@@ -28,6 +29,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
    readonly IOrdersClient ordersClient;
    readonly IAdminClient adminClient;
    readonly ISecurityResolver securityResolver;
+   readonly ShellLatencyService shellLatencyService;
    readonly ISparkLoginService loginService;
    readonly SimpleSparkClientConfig config;
    readonly ILogger<AuthenticatedSimpleSparkClient> logger;
@@ -39,6 +41,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
       IOrdersClient ordersClient,
       IAdminClient adminClient,
       ISecurityResolver securityResolver,
+      ShellLatencyService shellLatencyService,
       ISparkLoginService loginService,
       IOptions<SimpleSparkClientConfig> config,
       ILogger<AuthenticatedSimpleSparkClient> logger) {
@@ -46,6 +49,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
       this.ordersClient = ordersClient;
       this.adminClient = adminClient;
       this.securityResolver = securityResolver;
+      this.shellLatencyService = shellLatencyService;
       this.loginService = loginService;
       this.config = config.Value;
       this.logger = logger;
@@ -61,7 +65,7 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
       }
       cancellationToken.ThrowIfCancellationRequested();
       var user = loginRes.user.Value;
-      simpleClient = new(user.name, user.id, mdClient, ordersClient, adminClient, securityResolver, config.OrderPoolCapacity, config.OrderPoolReplenishInterval);
+      simpleClient = new(user.name, user.id, mdClient, ordersClient, shellLatencyService, adminClient, securityResolver, config.OrderPoolCapacity, config.OrderPoolReplenishInterval);
       simpleClientSubject.OnNext(simpleClient);
       logger.LogInformation("SimpleSparkClient started");
    }
@@ -97,6 +101,9 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
    public IObservable<TableUpdate<PriceTicker, uint>> PriceTicker(SecurityCriteria? securityCriteria) =>
       simpleClient?.PriceTicker(securityCriteria) ?? simpleClientSubject.Take(1).Select(c => c.PriceTicker(securityCriteria)).FlattenSeries();
 
+   public Task<bool> PingAsync() =>
+      simpleClient?.PingAsync() ?? pingBeforeStartAsync();
+
    public Task<Response> CreateOrder(OrderDefinition orderDef, double quantity, double price) =>
       orderOp(cli => cli.CreateOrder(orderDef, quantity, price));
 
@@ -134,4 +141,15 @@ public class AuthenticatedSimpleSparkClient : ISimpleSparkClient, IHostedService
       async Task<T> LateImpl() =>
          await op(await simpleClientSubject.FirstAsync());
    }
+
+   async Task<bool> pingBeforeStartAsync() {
+      var request = new BufferMessage() {
+         Sequence = (ulong)DateTimeOffset.UtcNow.ToUnixTimeMilliseconds(),
+         Data = "spark-sdk-ping"
+      };
+      var result = await shellLatencyService.ping_async(request);
+      return result.success &&
+         result.value.Sequence == request.Sequence &&
+         result.value.Data == request.Data;
+   }
 }

src/cs/Bts.Spark.Sdk/ExecutionFacadeSimpleSparkClient.cs

@@ -48,6 +48,9 @@ public class ExecutionFacadeSimpleSparkClient : ISimpleSparkClient {
    public IObservable<TableUpdate<PriceTicker, uint>> PriceTicker(SecurityCriteria? securityCriteria) =>
       sparkClient.PriceTicker(securityCriteria);
 
+   public Task<bool> PingAsync() =>
+      sparkClient.PingAsync();
+
    public Task<Response> CreateOrder(OrderDefinition orderDef, double quantity, double price) {
       logger.LogInformation("CreateOrder {account} {tag} {securityId} {side} {quantity} @ {price}", orderDef.Account, orderDef.Tag, orderDef.SecurityKey, orderDef.Side, quantity, price);
       return Task.FromResult(facadeResponse());

src/cs/Bts.Spark.Sdk/ISimpleSparkClient.cs

@@ -12,6 +12,8 @@ using mbts.spark;
 using System;
 
 public interface ISimpleSparkClient {
+   Task<bool> PingAsync();
+
    // Market Data
    IObservable<TableUpdate<SecurityImmutable, uint>> Securities(SecurityCriteria? securityCriteria);
    IObservable<TableUpdate<BookRecord, uint>> Books(SecurityCriteria? securityCriteria);

src/cs/Bts.Spark.Sdk/SimpleSparkClient.cs

@@ -16,12 +16,14 @@ using global::Spark.Core.Disposables;
 using global::Spark.Core.Reactive;
 
 using mbts.spark;
+using bts.metrics;
 
 using System.Reactive.Linq;
 
 public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
    readonly IMarketDataClient mdClient;
    readonly IOrdersClient ordersClient;
+   readonly ShellLatencyService shellLatencyService;
    readonly OrderPool limitOrderPool;
    readonly OrderPool marketOrderPool;
    readonly TableUpdateDemuxer<OrderRecordTupleWithRoot, uint, uint> orderSecurityDmx;
@@ -46,6 +48,7 @@ public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
       uint userId,
       IMarketDataClient mdClient,
       IOrdersClient ordersClient,
+      ShellLatencyService shellLatencyService,
       IAdminClient adminClient,
       ISecurityResolver securityResolver,
       int orderPoolCapacity,
@@ -53,6 +56,7 @@ public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
    ) {
       this.mdClient = mdClient;
       this.ordersClient = ordersClient;
+      this.shellLatencyService = shellLatencyService;
       limitOrderPool = new(orderPoolCapacity, () => new() { User = userName, UserId = userId, TimeInForce = TimeInForce.Gtc, CustomDef = new() { Limit = new() } });
       marketOrderPool = new(orderPoolCapacity, () => new() { User = userName, UserId = userId, TimeInForce = TimeInForce.Gtc, CustomDef = new() { Market = new() } });
       orderSecurityDmx = new TableUpdateDemuxer<OrderRecordTupleWithRoot, uint, uint>(o => o.order.order.Key, o => o.security_id);
@@ -140,6 +144,17 @@ public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
       }
    }
 
+   public async Task<bool> PingAsync() {
+      var request = new BufferMessage() {
+         Sequence = (ulong)DateTimeOffset.UtcNow.ToUnixTimeMilliseconds(),
+         Data = "spark-sdk-ping"
+      };
+      var result = await shellLatencyService.ping_async(request);
+      return result.success &&
+         result.value.Sequence == request.Sequence &&
+         result.value.Data == request.Data;
+   }
+
    public IObservable<TableUpdate<BookRecord, uint>> Books(SecurityCriteria? securityCriteria) {
       var booksSource = this.booksSource;
       var secFilter = securityCriteria?.ToPredicate();

src/lib_spark/spark/config/profiles/default/toggles.conf

@@ -5,9 +5,15 @@ FillsSoftCleanup {
 }
 
 OrdersSoftCleanup {
-   value {
-      enabled: true
-   }
+  value {
+     enabled: true
+  }
+}
+
+Mdp3OptionExpirationCutoff {
+  value {
+    max_days_until_expiration: 14
+  }
 }
 PlacementInQueue {
   value{

src/lib_spark/spark/config/protos/toggles.proto

@@ -32,11 +32,17 @@ message SoundNotifications {
   bool enabled = 1;
 }
 
-message FilterExpiredFills {
-  bool enabled = 1;
-}
-
-message VolumeAtPrice {
+message FilterExpiredFills {
+  bool enabled = 1;
+}
+
+// MDP3 will not publish CME options whose maturity is beyond this many days.
+// A value of zero disables this cutoff.
+message Mdp3OptionExpirationCutoff {
+  uint32 max_days_until_expiration = 1;
+}
+
+message VolumeAtPrice {
   bool enabled = 1;
 }
 
@@ -124,3 +130,8 @@ message VolSurfaceUsageUnit{
 message VolSurfaceUsage{
   repeated VolSurfaceUsageUnit items = 1;
 }
+
+message LogTrades{
+  string sec_name = 1;
+  bool log = 2;
+}

src/lib_spark/spark/md/MDProducerHandle.cpp

@@ -1,4 +1,5 @@
 #include "spark/logging/logging.h"
+#include "spark/md/log_messages/trade_latency_log.h"
 #ifndef NO_CPP0X
 #include "MDProducerHandle.h"
 #include "common.h"
@@ -133,6 +134,10 @@ void MDProducerHandle::add_trade(
       trade.set_key(key());
       _channel.add_trade(trade);
    }
+
+   log_trade_latency(
+       TradeLatencyStage::SHM_WRITTEN, security(), tradetime, price, agside,
+       volume, from_spread);
 }
 void MDProducerHandle::set_last_trade(
     TimeStamp time,

src/lib_spark/spark/md/log_messages/trade_latency_log.h

@@ -0,0 +1,124 @@
+#pragma once
+
+#include "spark/config/config.h"
+#include "spark/config/protos/toggles.pb.h"
+#include "spark/core/FMT_IMPL.h"
+#include "spark/core/time_stamp.h"
+#include "spark/logging/logging.h"
+#include "spark/md/PriceSize.h"
+#include "spark/md/Shm/FixedSecurity.h"
+#include "spark/md/protos/aggressor_side.h"
+#include "spark/utils/datetime.h"
+
+#include <string>
+#include <cstdint>
+#include <utility>
+
+namespace bts::md {
+
+enum class TradeLatencyStage {
+   MDP3_RECEIVED,
+   SHM_WRITTEN,
+};
+
+inline const char *TradeLatencyStage_Name(TradeLatencyStage stage) {
+   switch (stage) {
+   case TradeLatencyStage::MDP3_RECEIVED:
+      return "mdp3_received";
+   case TradeLatencyStage::SHM_WRITTEN:
+      return "shm_written";
+   }
+   return "unknown";
+}
+
+inline std::string format_ll_datetime(datetime::LLDateTime ts) {
+   return datetime::iso_date_time_string(datetime::ll_to_ptime(ts));
+}
+
+inline bool should_log_trade_latency(const FixedSecurity &security) {
+   const auto &cfg = config::get<config::toggles::LogTrades>();
+   if (!cfg.log() || cfg.sec_name().empty()) {
+      return false;
+   }
+   return cfg.sec_name() == security.security_desc() ||
+          cfg.sec_name() == security.symbol();
+}
+
+struct TradeLatencyLog {
+   TradeLatencyStage stage;
+   std::string sec_name;
+   uint32_t security_key;
+   int64_t trade_ts_unix_ns;
+   std::string trade_ts_iso;
+   int64_t log_ts_unix_ns;
+   std::string log_ts_iso;
+   uint64_t monotonic_log_ts_ns;
+   int64_t exchange_to_log_us;
+   double price;
+   double quantity;
+   std::string aggressor_side;
+   uint32_t total_volume;
+   bool from_spread;
+
+   TradeLatencyLog(
+       TradeLatencyStage stage,
+       const FixedSecurity &security,
+       datetime::LLDateTime trade_ts,
+       core::TimeStamp log_ts,
+       utils::TimeStamp monotonic_log_ts,
+       const PriceSize &price_size,
+       co2::AggressorSide aggressor_side,
+       uint32_t total_volume,
+       bool from_spread)
+       : stage(stage), sec_name(security.security_desc()),
+         security_key(security.key), trade_ts_unix_ns(trade_ts),
+         trade_ts_iso(format_ll_datetime(trade_ts)),
+         log_ts_unix_ns(log_ts.nanos()), log_ts_iso(log_ts.to_iso_string()),
+         monotonic_log_ts_ns(monotonic_log_ts.to_uint64()),
+         exchange_to_log_us(
+             (log_ts - core::TimeStamp::from_ptime(datetime::ll_to_ptime(trade_ts)))
+                 .total_micros()),
+         price(price_size.price()), quantity(price_size.size()),
+         aggressor_side(co2::AggressorSide_Name(aggressor_side)),
+         total_volume(total_volume), from_spread(from_spread) {}
+};
+
+inline void log_trade_latency(
+    TradeLatencyStage stage,
+    const FixedSecurity &security,
+    datetime::LLDateTime trade_ts,
+    const PriceSize &price_size,
+    co2::AggressorSide aggressor_side,
+    uint32_t total_volume,
+    bool from_spread) {
+   if (!should_log_trade_latency(security)) {
+      return;
+   }
+   const auto log_ts = core::TimeStamp::now();
+   const auto monotonic_log_ts = utils::TimeStamp::now();
+   LOG(md, Info, "[trade_latency.json]{}",
+       TradeLatencyLog(
+           stage, security, trade_ts, log_ts, monotonic_log_ts, price_size,
+           aggressor_side, total_volume, from_spread));
+}
+
+} // namespace bts::md
+
+FMT_IMPL(
+    bts::md::TradeLatencyLog,
+    l,
+    R"({{ "stage": "{}", "sec": "{}", "key": {}, "tradeTsUnixNs": {}, "tradeTsIso": "{}", "logTsUnixNs": {}, "logTsIso": "{}", "logMonoNs": {}, "exchangeToLogUs": {}, "price": {}, "qty": {}, "agg": "{}", "totalVolume": {}, "fromSpread": {} }})",
+    bts::md::TradeLatencyStage_Name(l.stage),
+    l.sec_name,
+    l.security_key,
+    l.trade_ts_unix_ns,
+    l.trade_ts_iso,
+    l.log_ts_unix_ns,
+    l.log_ts_iso,
+    l.monotonic_log_ts_ns,
+    l.exchange_to_log_us,
+    l.price,
+    l.quantity,
+    l.aggressor_side,
+    l.total_volume,
+    l.from_spread);

src/lib_spark/spark/orderman/actors/FillStore.cpp

@@ -23,6 +23,7 @@
 #include "spark/utils/overloaded.h"
 
 #include <boost/date_time/posix_time/posix_time.hpp>
+#include <cctype>
 #include <google/protobuf/timestamp.pb.h>
 #include <string>
 #include <sys/time.h>
@@ -308,15 +309,60 @@ void FillStore::on_execution_report(
 
                auto exchange_ts = std::visit(
                    overloaded{
-                       [](const orderman::ExchangeTimeStampStr &ts) {
-                          return utils::pb::to_timestamp(
+                       [&](const orderman::ExchangeTimeStampStr &ts) {
+                          auto gts = utils::pb::to_timestamp(
                               datetime::parse_FIX_timestamp(to_str(ts)));
+                          const std::string ts_str = to_str(ts);
+                          try {
+                             const auto dot_pos = ts_str.find('.');
+                             if (dot_pos != std::string::npos) {
+                                std::string frac_digits;
+                                for (std::size_t i = dot_pos + 1;
+                                     i < ts_str.size() &&
+                                     std::isdigit(static_cast<unsigned char>(
+                                         ts_str[i]));
+                                     ++i) {
+                                   frac_digits.push_back(ts_str[i]);
+                                }
+
+                                if (!frac_digits.empty()) {
+                                   if (frac_digits.size() > 9) {
+                                      frac_digits.resize(9);
+                                   }
+                                   while (frac_digits.size() < 9) {
+                                      frac_digits.push_back('0');
+                                   }
+                                   gts.set_nanos(
+                                       static_cast<int32_t>(
+                                           std::stoul(frac_digits)));
+                                }
+                             }
+                          } catch (const std::exception &e) {
+                             WARN_FN(
+                                 "on_execution_report",
+                                 "fill {} transact_time(str) raw='{}' "
+                                 "failed to inspect fractional nanos: {}",
+                                 fk, ts_str, std::string(e.what()));
+                          }
+                          INFO_FN(
+                              "on_execution_report",
+                              "fill {} transact_time(str) raw='{}' "
+                              "converted_seconds={} converted_nanos={}",
+                              fk, ts_str, gts.seconds(), gts.nanos());
+                          return gts;
                        },
-                       [](ExchangeTimeStamp64 ts) {
+                       [&](ExchangeTimeStamp64 ts) {
                           google::protobuf::Timestamp gts;
-                          auto seconds = ts.value() / 1E9;
+                          static constexpr std::uint64_t nanos_per_second =
+                              1'000'000'000ULL;
+                          auto seconds = ts.value() / nanos_per_second;
                           gts.set_seconds(seconds);
-                          gts.set_nanos(ts.value() - (seconds * 1E9));
+                          gts.set_nanos(ts.value() % nanos_per_second);
+                          INFO_FN(
+                              "on_execution_report",
+                              "fill {} transact_time(u64) raw_ns={} "
+                              "converted_seconds={} converted_nanos={}",
+                              fk, ts.value(), gts.seconds(), gts.nanos());
                           return gts;
                        }},
                    er.transact_time);

tools/py/trade_latency_stats.py

@@ -0,0 +1,106 @@
+#!/usr/bin/env python3
+
+import argparse
+import csv
+import math
+from collections import defaultdict
+from pathlib import Path
+
+
+PAIR_KEY_FIELDS = (
+    "sec",
+    "key",
+    "tradeTsUnixNs",
+    "price",
+    "qty",
+    "agg",
+    "totalVolume",
+    "fromSpread",
+)
+
+PERCENTILES = (50, 90, 95, 99)
+
+
+def parse_args() -> argparse.Namespace:
+    parser = argparse.ArgumentParser(
+        description="Print simple stats for trade latency CSV output."
+    )
+    parser.add_argument("csv_file", help="CSV file created by trade_latency_to_csv.py")
+    return parser.parse_args()
+
+
+def to_int(row: dict, key: str) -> int:
+    value = row.get(key, "")
+    return int(value) if value not in ("", None) else 0
+
+
+def percentile(values: list[float], pct: int) -> float:
+    if not values:
+        return float("nan")
+    if len(values) == 1:
+        return values[0]
+    rank = (len(values) - 1) * (pct / 100.0)
+    lower = math.floor(rank)
+    upper = math.ceil(rank)
+    if lower == upper:
+        return values[lower]
+    weight = rank - lower
+    return values[lower] * (1 - weight) + values[upper] * weight
+
+
+def print_stats(title: str, values: list[float], unit: str) -> None:
+    values = sorted(values)
+    if not values:
+        print(f"{title}: no data")
+        return
+
+    print(f"{title}:")
+    print(f"  count={len(values)}")
+    print(f"  avg={sum(values) / len(values):.3f} {unit}")
+    print(f"  min={values[0]:.3f} {unit}")
+    print(f"  max={values[-1]:.3f} {unit}")
+    for pct in PERCENTILES:
+        print(f"  p{pct}={percentile(values, pct):.3f} {unit}")
+
+
+def build_pair_key(row: dict) -> tuple[str, ...]:
+    return tuple(str(row.get(field, "")) for field in PAIR_KEY_FIELDS)
+
+
+def main() -> int:
+    args = parse_args()
+    csv_path = Path(args.csv_file)
+
+    rows = []
+    with csv_path.open("r", encoding="utf-8", newline="") as infile:
+        reader = csv.DictReader(infile)
+        for row in reader:
+            rows.append(row)
+
+    by_stage = defaultdict(list)
+    grouped = defaultdict(lambda: defaultdict(list))
+
+    for row in rows:
+        exchange_to_log_us = float(row["exchangeToLogUs"])
+        by_stage[row["stage"]].append(exchange_to_log_us)
+        grouped[build_pair_key(row)][row["stage"]].append(row)
+
+    print_stats("mdp3_received exchange_to_log_us", by_stage["mdp3_received"], "us")
+    print()
+    print_stats("shm_written exchange_to_log_us", by_stage["shm_written"], "us")
+
+    pipeline_us = []
+    for stages in grouped.values():
+        received = sorted(stages.get("mdp3_received", []), key=lambda r: to_int(r, "logMonoNs"))
+        written = sorted(stages.get("shm_written", []), key=lambda r: to_int(r, "logMonoNs"))
+        for recv_row, write_row in zip(received, written):
+            delta_us = (to_int(write_row, "logMonoNs") - to_int(recv_row, "logMonoNs")) / 1000.0
+            pipeline_us.append(delta_us)
+
+    print()
+    print_stats("pipeline mdp3_received_to_shm_written", pipeline_us, "us")
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())

tools/py/trade_latency_to_csv.py

@@ -0,0 +1,99 @@
+#!/usr/bin/env python3
+
+import argparse
+import csv
+import json
+from pathlib import Path
+
+
+CSV_FIELDS = [
+    "line_ts",
+    "line_mono_ns",
+    "stage",
+    "sec",
+    "key",
+    "tradeTsUnixNs",
+    "tradeTsIso",
+    "logTsUnixNs",
+    "logTsIso",
+    "logMonoNs",
+    "exchangeToLogUs",
+    "price",
+    "qty",
+    "agg",
+    "totalVolume",
+    "fromSpread",
+]
+
+
+def parse_args() -> argparse.Namespace:
+    parser = argparse.ArgumentParser(
+        description="Extract [trade_latency.json] log lines into CSV."
+    )
+    parser.add_argument("log_file", help="Path to the spark log file")
+    parser.add_argument(
+        "-o",
+        "--output",
+        help="Output CSV path. Defaults to <log_file>.trade_latency.csv",
+    )
+    return parser.parse_args()
+
+
+def extract_json_payload(line: str) -> dict | None:
+    marker = "[trade_latency.json]"
+    idx = line.find(marker)
+    if idx < 0:
+        return None
+    payload = line[idx + len(marker) :].strip()
+    try:
+        return json.loads(payload)
+    except json.JSONDecodeError:
+        return None
+
+
+def extract_line_columns(line: str) -> tuple[str, str]:
+    parts = line.rstrip("\n").split("|")
+    line_ts = parts[0].strip() if len(parts) > 0 else ""
+    line_mono_ns = parts[1].strip() if len(parts) > 1 else ""
+    return line_ts, line_mono_ns
+
+
+def build_row(line: str, payload: dict) -> dict:
+    line_ts, line_mono_ns = extract_line_columns(line)
+    row = {
+        "line_ts": line_ts,
+        "line_mono_ns": line_mono_ns,
+    }
+    for field in CSV_FIELDS[2:]:
+        row[field] = payload.get(field, "")
+    return row
+
+
+def main() -> int:
+    args = parse_args()
+    log_path = Path(args.log_file)
+    if args.output:
+        out_path = Path(args.output)
+    else:
+        suffix = log_path.suffix if log_path.suffix else ".log"
+        out_path = log_path.with_suffix(suffix + ".trade_latency.csv")
+
+    rows = []
+    with log_path.open("r", encoding="utf-8", errors="replace") as infile:
+        for line in infile:
+            payload = extract_json_payload(line)
+            if payload is None:
+                continue
+            rows.append(build_row(line, payload))
+
+    with out_path.open("w", newline="", encoding="utf-8") as outfile:
+        writer = csv.DictWriter(outfile, fieldnames=CSV_FIELDS)
+        writer.writeheader()
+        writer.writerows(rows)
+
+    print(f"wrote {len(rows)} rows to {out_path}")
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())