Fix: changed polling from 100ms to 1ms, hardcoded

.vscode/launch.json

@@ -213,7 +213,7 @@
       "type": "coreclr",
       "request": "launch",
       "program": "",
-      "preLaunchTask": "Build Spark Sdk (Debug)",
+      "preLaunchTask": "Build Api Server (Debug)",
       "windows": {
         "program": "Bts.Spark.Sdk.Demo.exe",
       },

compose.yaml

@@ -108,37 +108,6 @@ services:
       resources:
         limits:
           memory: "${SPARKD__MEMORY:-16gb}"
-  
-  
-  sparkd-multicast-cert:
-    environment:
-      - TZ=America/Chicago
-    volumes:
-      - ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
-      - ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
-      - ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/.local/share/bts/sparkd/conf
-    build:
-      dockerfile: src/app_sparkd/Dockerfile
-      args:
-        - IMAGE=${SPARKD__IMAGE}
-        - SOURCE_DIR=${SPARKD__SOURCE_DIR}
-        - CONFIG_DIR=${SPARKD__CONFIG_DIR}
-        - PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
-        - SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
-    shm_size: "${SPARKD__SHM_SIZE:-8192mb}"
-    env_file:
-      - .env
-      - ${SPARKD__CONFIG_DIR}/.env
-    network_mode: "host"
-    entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
-    deploy:
-      restart_policy:
-        condition: any
-        delay: 3s
-      resources:
-        limits:
-          memory: "${SPARKD__MEMORY:-16gb}"
-  
   sparkd-tail:
     image: bluetradingsystems/linux_dotnet8
     volumes:

src/Directory.Build.targets

@@ -187,24 +187,32 @@
       Name="Test"
       DependsOnTargets="Build"></Target>
 
-  <Target Name="CopyNativeAssetsToOutput" AfterTargets="Build">
-    <Copy SourceFiles="@(NativeWindowsAsset)" DestinationFolder="$(OutDir)" SkipUnchangedFiles="True" Condition="Exists('%(NativeWindowsAsset.FullPath)')" />
-    <Copy SourceFiles="@(NativeLinuxAsset)" DestinationFolder="$(OutDir)" SkipUnchangedFiles="True" Condition="Exists('%(NativeLinuxAsset.FullPath)')" />
-  </Target>
+  <ItemGroup Condition="Exists('@(NativeWindowsAsset)')">
+    <Content Include="@(NativeWindowsAsset)">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+      <TargetPath>%(FileName)%(Extension)</TargetPath>
+      <Pack>false</Pack>
+    </Content>
+    <Content Include="@(NativeWindowsAsset)">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+      <TargetPath>runtimes/win-x64/native/%(FileName)%(Extension)</TargetPath>
+      <Pack>true</Pack>
+      <PackagePath>runtimes/win-x64/native</PackagePath>
+    </Content>
+  </ItemGroup>
 
-  <ItemGroup>
-    <Content Include="@(NativeWindowsAsset)"
-             Condition="Exists('@(NativeWindowsAsset)')"
-             Link="%(NativeWindowsAsset.FileName)%(NativeWindowsAsset.Extension)"
-             CopyToOutputDirectory="PreserveNewest"
-             Pack="true"
-             PackagePath="runtimes/win-x64/native/" />
-    <Content Include="@(NativeLinuxAsset)"
-             Condition="Exists('@(NativeLinuxAsset)')"
-             Link="%(NativeLinuxAsset.FileName)%(NativeLinuxAsset.Extension)"
-             CopyToOutputDirectory="PreserveNewest"
-             Pack="true"
-             PackagePath="runtimes/linux-x64/native/" />
+  <ItemGroup Condition="Exists('@(NativeLinuxAsset)')">
+    <Content Include="@(NativeLinuxAsset)">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+      <TargetPath>%(FileName)%(Extension)</TargetPath>
+      <Pack>false</Pack>
+    </Content>
+    <Content Include="@(NativeLinuxAsset)">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+      <TargetPath>runtimes/linux-x64/native/%(FileName)%(Extension)</TargetPath>
+      <Pack>true</Pack>
+      <PackagePath>runtimes/linux-x64/native</PackagePath>
+    </Content>
   </ItemGroup>
 
 </Project>

src/app_sparkd/configurations/ophir_cert_live_wb/.env

@@ -1,10 +0,0 @@
-SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_cert_live_wb
-SPARKD__DATA_DIR=/home/wedbushprod/9000/sparkdata/data
-SPARKD__IMAGE=sparkd_symbols
-SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_cert_live_wb/requirements.txt
-SPARKD__RUNTIME_CONF_DIR=/home/wedbushprod/9000/sparkdata/conf
-SPARKD__SHM_SIZE=8g
-SPARKD__MEMORY=16g
-SPARKD__CONFIG_PORT=9000
-SPARKD__QUICKBUS_PORT=9001
-SPARKD__SIM_FIX_PORT=9002

src/app_sparkd/configurations/ophir_cert_live_wb/spark.conf

@@ -1,140 +0,0 @@
-DeploymentType {
-  value {
-    type: "dev"
-  }
-}
-PublisherOptions {
-   value {
-      network_interface_a: 'ens65f1'
-      network_interface_b: 'ens65f0'
-      #these get overriden if not entered here
-      heartbeat_ms: 5000
-      heartbeat_boot_seconds: 60
-      skip_options: false
-      hot_initial: 1024
-      hot_growth: 1024
-      cold_initial: 8192
-      cold_growth: 2048
-      channel_prefix: ""
-      disable_heartbeat: false
-   }
-}
-
-CMEOptions {
-  value {
-    feed_engine {
-      name: "mdp3feed"
-      spin_time: 0
-      channels_per_thread: 3
-      data_wait: 10
-      udp_socket_buffer_size: 268435456
-    }
-    channel {
-      id: "*"
-      feed_engine: "mdp3feed"
-      use_tcp_replay: false
-      recovery_queue_size: 640000
-      lost_packet_wait_timeout_ms: 10
-      onixs_log_mode: CME_ONIXS_LOG_MODE_UNSPECIFIED
-      #max_gap_recovery_cache_size: 4
-      use_natural_refresh: false
-      join_snapshot_on_gap: false
-    }
-  }
-}
-
-Logging {
-  value {
-    initial_queue_size: 120001
-    max_queue_growth: 4
-    console {
-      default_level: "Info"
-      subsystem {
-        name: "md"
-        level: "Info"
-      }
-      subsystem {
-        name: "OrderMan"
-        level: "Info"
-      }
-    }
-  }
-}
-
-MarketDataConfig {
-  value {
-    glbx {
-       unique_check_value: 15
-       use_databento: false
-    }
-   # recording {
-   #    venue: VENUE_GLBX
-   #    num_of_seconds_to_run_file_writer: 300
-   #    num_of_seconds_to_run_db_writer : 0
-   #    n_book_levels: 10 
-   #    batch_size: 100 #for the db writer
-   #    enable_book_recording: true
-   #    enable_trade_recording:  true
-   #    enable_bbo_recording: false
-   #    enable_tbbo_recording:  false
-   #    enable_misc_recording: true
-   #}
- }
-}
-
-JetFIX {
-  value {
-    connection {
-      name: "maw_004_64"
-      venue: VENUE_GLBX
-      socket_connect_host_ip: "69.50.112.177"
-      socket_connect_port: 44040
-      sender_compid: "MAW004"
-      target_compid: "CME"
-      target_subid: "64"
-      cme_market_segment_id: 64
-      start_time: "00:10:00"
-      end_time: "23:55:00"
-      start_day: "sunday"
-      end_day: "friday"
-      seconds_between_hbs: 15
-      sender_subid: "BTS"
-      seconds_to_pause: 2
-      max_connection_attempts: 100
-      use_ilink3: true
-    }
-  }
-}
-OrdermanCfg {
-  value {
-    executor {
-      thread_name: "oman_orders"
-      poll: true 
-      hosted_actor: "MDSource"
-      hosted_actor: "OrderManager"
-      hosted_actor: "ExecutionGateway"
-    }
-    executor {
-      thread_name: "oman_slow"
-            poll: false 
-      hosted_actor: "*"
-    }
-    fallback_cust_order_handling_inst: "Y"
-  }
-}
-NotSimExecution {
-  value {
-    entries {
-      venue: VENUE_GLBX
-    }
-  }
-}
-Ports {
-   value {
-      config_port: 9000
-      qbus_port: 9001
-      glbx_sim_fix_port: 9002
-      ice_sim_fix_port: 9003
-      replicator_port: 9080
-   }
-}

src/app_sparkd/configurations/ophir_demo/.env

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

src/app_sparkd/configurations/ophir_demo/spark.conf

@@ -0,0 +1,62 @@
+JetFIX {
+  value {
+    connection {
+      name: "glbx_1"
+      venue: VENUE_GLBX
+      max_order_msgs_per_window: 300
+      window_duration_msecs: 1000
+    }
+  }
+}
+
+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
+    console {
+      default_level: "Info"
+      subsystem {
+        name: "md"
+        level: "Warn"
+      }
+      subsystem {
+        name: "OrderMan"
+        level: "Info"
+      }
+    }
+    file {
+      default_level: "Info"
+      subsystem {
+        name: "OrderMan"
+        level: "Diag"
+      }
+      subsystem {
+        name: "Http"
+        level: "Diag"
+      }
+    }
+  }
+}
+
+MarketDataConfig {
+  value {
+    replay {
+      venue: VENUE_GLBX
+    }
+  }
+}

src/app_sparkd/configurations/ophir_demo/symbols.conf

@@ -0,0 +1,8 @@
+Symbols {
+  value {
+    venues {
+      name: "VENUE_GLBX"
+      future: "ES"
+    }
+  }
+}

src/app_sparkd/configurations/ophir_prod_live_wb/spark.conf

@@ -1,152 +0,0 @@
-DeploymentType {
-  value {
-    type: "prod"
-  }
-}
-PublisherOptions {
-   value {
-      network_interface_a: 'enp193s0f0np0'
-      network_interface_b: 'enp193s0f1np1'
-      #these get overriden if not entered here
-      heartbeat_ms: 5000
-      heartbeat_boot_seconds: 60
-      skip_options: false
-      hot_initial: 1024
-      hot_growth: 1024
-      cold_initial: 8192
-      cold_growth: 2048
-      channel_prefix: ""
-      disable_heartbeat: false
-   }
-}
-
-CMEOptions {
-  value {
-    feed_engine {
-      name: "mdp3feed"
-      spin_time: 0
-      channels_per_thread: 3
-      data_wait: 10
-      udp_socket_buffer_size: 268435456
-    }
-    channel {
-      id: "*"
-      feed_engine: "mdp3feed"
-      use_tcp_replay: false
-      recovery_queue_size: 640000
-      lost_packet_wait_timeout_ms: 10
-      onixs_log_mode: CME_ONIXS_LOG_MODE_UNSPECIFIED
-      #max_gap_recovery_cache_size: 4
-      use_natural_refresh: false
-      join_snapshot_on_gap: false
-    }
-  }
-}
-
-Logging {
-  value {
-    initial_queue_size: 120001
-    max_queue_growth: 4
-    console {
-      default_level: "Info"
-      subsystem {
-        name: "md"
-        level: "Info"
-      }
-      subsystem {
-        name: "OrderMan"
-        level: "Info"
-      }
-    }
-  }
-}
-
-MarketDataConfig {
-  value {
-    glbx {
-       unique_check_value: 15
-       use_databento: false
-    }
-   # recording {
-   #    venue: VENUE_GLBX
-   #    num_of_seconds_to_run_file_writer: 300
-   #    num_of_seconds_to_run_db_writer : 0
-   #    n_book_levels: 10 
-   #    batch_size: 100 #for the db writer
-   #    enable_book_recording: true
-   #    enable_trade_recording:  true
-   #    enable_bbo_recording: false
-   #    enable_tbbo_recording:  false
-   #    enable_misc_recording: true
-   #}
- }
-}
-
-JetFIX {
-  value {
-    connection {
-      name: "u6p_7qb_54"
-      venue: VENUE_GLBX
-      socket_connect_host_ip: "205.209.201.97"
-      socket_connect_port: 10979
-      sender_compid: "U6P7QB"
-      target_compid: "CME"
-      target_subid: "54"
-      cme_market_segment_id: 54
-      start_time: "00:10:00"
-      end_time: "23:55:00"
-      start_day: "sunday"
-      end_day: "friday"
-      seconds_between_hbs: 15
-      sender_subid: "BTS"
-      seconds_to_pause: 1
-      max_order_msgs_per_window: 300
-      max_connection_attempts: 2
-      use_ilink3: true
-    }
-   connection {
-      name: "u6p_7qb_64"
-      venue: VENUE_GLBX
-      socket_connect_host_ip: "205.209.201.1"
-      socket_connect_port: 10979
-      sender_compid: "U6P7QB"
-      target_compid: "CME"
-      target_subid: "64"
-      cme_market_segment_id: 64
-      start_time: "00:10:00"
-      end_time: "23:55:00"
-      start_day: "sunday"
-      end_day: "friday"
-      seconds_between_hbs: 15
-      sender_subid: "BTS"
-      seconds_to_pause: 1
-      max_connection_attempts: 2
-      max_order_msgs_per_window: 300
-      use_ilink3: true
-    }
-  }
-}
-OrdermanCfg {
-  value {
-    executor {
-      thread_name: "oman_orders"
-      poll: true 
-      hosted_actor: "MDSource"
-      hosted_actor: "OrderManager"
-      hosted_actor: "ExecutionGateway"
-    }
-    executor {
-      thread_name: "oman_slow"
-            poll: false 
-      hosted_actor: "*"
-    }
-    fallback_cust_order_handling_inst: "Y"
-  }
-}
-NotSimExecution {
-  value {
-    entries {
-      venue: VENUE_GLBX
-    }
-  }
-}

src/app_sparkd/configurations/ophir_sim/.env

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

src/app_sparkd/configurations/ophir_sim/spark.conf

@@ -0,0 +1,104 @@
+JetFIX {
+  value {
+    connection {
+      name: "glbx_1"
+      venue: VENUE_GLBX
+      max_order_msgs_per_window: 300
+      window_duration_msecs: 1000
+    }
+  }
+}
+
+PublisherOptions {
+   value {
+      network_interface_a: 'ens3f0np0'
+      network_interface_b: 'ens3f1np1'
+      #these get overriden if not entered here
+      heartbeat_ms: 5000
+      heartbeat_boot_seconds: 60
+      skip_options: false
+      hot_initial: 1024
+      hot_growth: 1024
+      cold_initial: 8192
+      cold_growth: 2048
+      channel_prefix: ""
+      disable_heartbeat: false
+   }
+}
+
+CMEOptions {
+  value {
+    feed_engine {
+      name: "mdp3feed"
+      spin_time: 0
+      channels_per_thread: 3
+      data_wait: 10
+      udp_socket_buffer_size: 268435456
+    }
+    channel {
+      id: "*"
+      feed_engine: "mdp3feed"
+      use_tcp_replay: false
+      recovery_queue_size: 640000
+      lost_packet_wait_timeout_ms: 10
+      onixs_log_mode: CME_ONIXS_LOG_MODE_REGULAR
+      #max_gap_recovery_cache_size: 4
+      use_natural_refresh: false
+      join_snapshot_on_gap: false
+    }
+  }
+}
+
+Logging {
+  value {
+    initial_queue_size: 120001
+    max_queue_growth: 4
+    console {
+      default_level: "Info"
+      subsystem {
+        name: "md"
+        level: "Info"
+      }
+      subsystem {
+        name: "OrderMan"
+        level: "Info"
+      }
+    }
+  }
+}
+
+MarketDataConfig {
+  value {
+    glbx {
+       unique_check_value: 15
+       use_databento: false
+    }
+  }
+}
+
+# JetFIX {
+#    value {
+#     #connection: @JetFIXSimConnection.sim
+#     connection {
+#     name: "mlx_004_54"
+#     venue: VENUE_GLBX
+#     socket_connect_host_ip: "69.50.112.191"
+#     socket_connect_port: 42876
+#     sender_compid: "MLX004"
+#     target_compid: "CME"
+#     target_subid: "54"
+#     cme_market_segment_id: 54
+#     start_time: "00:10:00"
+#     end_time: "23:55:00"
+#     start_day: "sunday"
+#     end_day: "friday"
+#     seconds_between_hbs: 30
+#     sender_subid: "BTS"
+#     use_ilink3: true
+#   #   raw_data: "S4PMA"
+#   #   auto_fix_seq_num: true
+#   }
+#    }
+# }
+
+

src/app_sparkd/configurations/ophir_sim_live_wb/.env

@@ -1,5 +1,5 @@
-SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_prod_live_wb
+SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_sim_live_wb
 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__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_sim_live_wb/requirements.txt
 SPARKD__RUNTIME_CONF_DIR=/home/wedbushprod/8000/sparkdata/conf

src/app_sparkd/configurations/ophir_sim_live_wb/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/ophir_sim_live_wb/spark.conf

@@ -0,0 +1,116 @@
+JetFIX {
+  value {
+    connection {
+      name: "glbx_1"
+      venue: VENUE_GLBX
+      max_order_msgs_per_window: 300
+      window_duration_msecs: 1000
+    }
+  }
+}
+
+PublisherOptions {
+   value {
+      network_interface_a: 'enp193s0f0np0'
+      network_interface_b: 'enp193s0f0np0'
+      #these get overriden if not entered here
+      heartbeat_ms: 5000
+      heartbeat_boot_seconds: 60
+      skip_options: false
+      hot_initial: 1024
+      hot_growth: 1024
+      cold_initial: 8192
+      cold_growth: 2048
+      channel_prefix: ""
+      disable_heartbeat: false
+   }
+}
+
+CMEOptions {
+  value {
+    feed_engine {
+      name: "mdp3feed"
+      spin_time: 0
+      channels_per_thread: 3
+      data_wait: 10
+      udp_socket_buffer_size: 268435456
+    }
+    channel {
+      id: "*"
+      feed_engine: "mdp3feed"
+      use_tcp_replay: false
+      recovery_queue_size: 640000
+      lost_packet_wait_timeout_ms: 10
+      onixs_log_mode: CME_ONIXS_LOG_MODE_UNSPECIFIED:q
+      #max_gap_recovery_cache_size: 4
+      use_natural_refresh: false
+      join_snapshot_on_gap: false
+    }
+  }
+}
+
+Logging {
+  value {
+    initial_queue_size: 120001
+    max_queue_growth: 4
+    console {
+      default_level: "Info"
+      subsystem {
+        name: "md"
+        level: "Info"
+      }
+      subsystem {
+        name: "OrderMan"
+        level: "Info"
+      }
+    }
+  }
+}
+
+MarketDataConfig {
+  value {
+    glbx {
+       unique_check_value: 15
+       use_databento: false
+    }
+    recording{
+       venue: VENUE_GLBX
+       num_of_seconds_to_run_file_writer: 300
+       num_of_seconds_to_run_db_writer : 0
+       n_book_levels: 10 
+       batch_size: 100 #for the db writer
+       enable_book_recording: true
+       enable_trade_recording:  true
+       enable_bbo_recording: false
+       enable_tbbo_recording:  false
+       enable_misc_recording: true
+   }
+  }
+}
+
+# JetFIX {
+#    value {
+#     #connection: @JetFIXSimConnection.sim
+#     connection {
+#     name: "mlx_004_54"
+#     venue: VENUE_GLBX
+#     socket_connect_host_ip: "69.50.112.191"
+#     socket_connect_port: 42876
+#     sender_compid: "MLX004"
+#     target_compid: "CME"
+#     target_subid: "54"
+#     cme_market_segment_id: 54
+#     start_time: "00:10:00"
+#     end_time: "23:55:00"
+#     start_day: "sunday"
+#     end_day: "friday"
+#     seconds_between_hbs: 30
+#     sender_subid: "BTS"
+#     use_ilink3: true
+#   #   raw_data: "S4PMA"
+#   #   auto_fix_seq_num: true
+#   }
+#    }
+# }
+
+

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

@@ -78,9 +78,6 @@ namespace mbts.spark {
       public Fill.Types.FillStatus fill_status => _fill.FillStatus;
       public string fill_key => _fill.FillKey;
       public string order_key => _order.Key.ToString();
-      // public bool is_aggressor => fill_tuple.is_aggressor;
-      public string display_aggressor_flag_text =>
-         display_aggressor_flag(_fill.FillAggressorFlag);
       public bool is_selected {
          get => _is_selected;
          set {
@@ -108,13 +105,6 @@ namespace mbts.spark {
       AlgoData? _root_algo => fill_tuple.root_algo;
       AlgoDefinitionMetadata? _root_algo_meta => fill_tuple.root_algo_meta;
 
-      public static string display_aggressor_flag(FillAggressorFlag flag) =>
-         flag switch {
-            FillAggressorFlag.Aggressor => "A",
-            FillAggressorFlag.Passive => "P",
-            _ => string.Empty
-         };
-
       public static FillsRowVM update(FillsRowVM r, FillTuple ft) {
          using var _ = _change_detector.detect_changes(r);
          r._badge_fill = null;

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

@@ -295,7 +295,7 @@ namespace mbts.spark {
          add_col(
             Columns.IsAggressor,
             DefaultColumnHeaders.IsAggressor,
-            r => FillsRowVM.display_aggressor_flag(r.fill.FillAggressorFlag),
+            r => r.is_aggressor ? SpecialCharacters.CheckMark : string.Empty,
             dv_filter(new[] { false, true }, r => r.is_aggressor),
             DataGridFilterKnownTemplates.YesNo,
             fs => fs.is_aggressor,

src/cs/Bts.Spark.Api/Orders/OrdersClient.cs

@@ -11,7 +11,6 @@ namespace Spark.Api.Orders {
 
    using Spark.Api.Admin;
    using Spark.Api.MarketData;
-   using Spark.Api.Position;
    using Spark.Api.Reactive;
    using Spark.Core.Disposables;
    using Spark.Core.Reactive;
@@ -42,11 +41,12 @@ namespace Spark.Api.Orders {
          _order_service = order_service;
          var scheduler = ThreadPoolScheduler.Instance;
          if(interval is not null)
-            Log.Api.info($"originally OrdersClient polling interval {interval}");
+            logger.Information("originally OrdersClient polling interval {0}", interval);
          interval = TimeSpan.FromMilliseconds(1);
-         Log.Api.info($"OrdersClient polling interval {interval}");
+         logger.Information("OrdersClient polling interval {0}", interval);
          var bootstraps = new DisposableBuilder();
 
+         positions = position_service.subscribei_position_data().Table().Cache();
          _orders = bootstraps.emplace(
             admin_client
                .permission_filter(
@@ -76,11 +76,6 @@ namespace Spark.Api.Orders {
                .Cache()
                .ToObservable());
 
-         var raw_fills = admin_client.permission_filter(
-            order_service.subscribei_fills().Naggle(interval.Value, scheduler),
-            f => f.Account)
-            .Table();
-
          var fill_order_tuples_join = fills.LeftJoin(
             _orders,
             f => f.val.FillKey,
@@ -102,12 +97,6 @@ namespace Spark.Api.Orders {
                .Cache()
                .ToObservable());
 
-         var raw_manual_fills = admin_client
-            .permission_filter(
-               position_service.subscribei_manual_fills().Naggle(interval.Value, scheduler),
-               f => f.AccountId)
-            .Table();
-
          var manual_fill_tuples_account_join = manual_fills_securities.LeftJoin(
             admin_client.Accounts,
             mf => mf.val.RecordId,
@@ -131,11 +120,6 @@ namespace Spark.Api.Orders {
                .Cache()
                .ToObservable());
 
-         positions = bootstraps.emplace(
-            ComputedPositionsDataSource.create(raw_fills, raw_manual_fills)
-               .Cache()
-               .ToObservable());
-
          _dispose = bootstraps;
       }
       public async Task<Response> EnterOrderAsync(

src/cs/Bts.Spark.Api/Position/ComputedPositionsDataSource.cs

@@ -1,194 +0,0 @@
-#nullable enable
-namespace Spark.Api.Position {
-   using bts;
-   using bts.api;
-   using bts.api.core;
-   using bts.api.orderman;
-   using bts.api.position;
-
-   using System;
-   using System.Collections.Generic;
-   using System.Linq;
-   using System.Reactive.Linq;
-
-   public static class ComputedPositionsDataSource {
-      public static IObservable<TableUpdate<PositionUnitImmutable, int>> create(
-         IObservable<TableUpdate<FillImmutable, string>> fills,
-         IObservable<TableUpdate<ManualFillImmutable, int>> manual_fills) {
-         var record_ids = new Dictionary<AccountSecurityKey, int>();
-         int next_record_id = 1;
-
-         return Observable.CombineLatest(
-            fills,
-            manual_fills,
-            (fill_update, manual_fill_update) => build_snapshot(
-               fill_update.Index.Values,
-               manual_fill_update.Index.Values)
-               .ToDictionary(PositionUnitImmutable.key_fn))
-            .Table(PositionUnitImmutable.key_fn);
-
-         IEnumerable<PositionUnitImmutable> build_snapshot(
-            IEnumerable<FillImmutable> electronic_fills,
-            IEnumerable<ManualFillImmutable> manual_fill_rows) {
-            var positions = new SortedDictionary<AccountSecurityKey, PositionAccumulator>();
-
-            foreach (var fill in electronic_fills) {
-               if (fill.FillStatus == Fill.Types.FillStatus.Busted ||
-                  fill.SecurityKey == 0 ||
-                  fill.InternalAccountId == 0) {
-                  continue;
-               }
-               var key = new AccountSecurityKey(fill.InternalAccountId, fill.SecurityKey);
-               var acc = get_or_create(positions, key, fill.Account);
-               acc.add_electronic_fill(fill);
-               positions[key] = acc;
-            }
-
-            foreach (var fill in manual_fill_rows) {
-               if (fill.SecurityKey == 0 || fill.AccountId == 0) {
-                  continue;
-               }
-               var key = new AccountSecurityKey(fill.AccountId, fill.SecurityKey);
-               var acc = get_or_create(positions, key, fill.AccountName);
-               acc.add_manual_fill(fill);
-               positions[key] = acc;
-            }
-
-            foreach (var (key, acc) in positions) {
-               if (!record_ids.TryGetValue(key, out var record_id)) {
-                  record_id = next_record_id++;
-                  record_ids[key] = record_id;
-               }
-               yield return acc.to_position(record_id);
-            }
-         }
-
-         static PositionAccumulator get_or_create(
-            IDictionary<AccountSecurityKey, PositionAccumulator> positions,
-            AccountSecurityKey key,
-            string account_name) {
-            if (!positions.TryGetValue(key, out var acc)) {
-               return new PositionAccumulator(key.account_id, key.security_id, account_name);
-            } else if (string.IsNullOrEmpty(acc.account) && !string.IsNullOrEmpty(account_name)) {
-               acc.account = account_name;
-            }
-            return acc;
-         }
-      }
-
-      struct PositionAccumulator {
-         public PositionAccumulator(uint account_id, uint security_id, string account) {
-            this.account_id = account_id;
-            this.security_id = security_id;
-            this.account = account;
-            day = default;
-            sod = default;
-            local = default;
-            admin_day = default;
-            admin_sod = default;
-            raw_day = default;
-         }
-
-         public readonly uint account_id;
-         public readonly uint security_id;
-         public string account;
-         PositionEntryAccumulator day;
-         PositionEntryAccumulator sod;
-         PositionEntryAccumulator local;
-         PositionEntryAccumulator admin_day;
-         PositionEntryAccumulator admin_sod;
-         PositionEntryAccumulator raw_day;
-
-         public void add_electronic_fill(FillImmutable fill) {
-            var qty = fill.Side == Side.Sell ? -fill.LastShares : fill.LastShares;
-            if (is_sod(fill.FillKind)) {
-               sod.add(qty, fill.LastPrice);
-               return;
-            }
-            day.add(qty, fill.LastPrice);
-            raw_day.add(qty, fill.LastPrice);
-         }
-
-         public void add_manual_fill(ManualFillImmutable fill) {
-            var qty = fill.Side == Side.Sell ? -fill.Quantity : fill.Quantity;
-            switch (fill.FillType) {
-               case ManualFill.Types.FillType.AdminSod:
-                  sod.add(qty, fill.Price);
-                  admin_sod.add(qty, fill.Price);
-                  break;
-               case ManualFill.Types.FillType.AdminDay:
-                  day.add(qty, fill.Price);
-                  raw_day.add(qty, fill.Price);
-                  admin_day.add(qty, fill.Price);
-                  break;
-               default:
-                  day.add(qty, fill.Price);
-                  raw_day.add(qty, fill.Price);
-                  local.add(qty, fill.Price);
-                  break;
-            }
-         }
-
-         public PositionUnitImmutable to_position(int record_id) {
-            var sod_entry = sod.to_entry();
-            var day_entry = day.to_entry();
-            var raw_day_entry = raw_day.to_entry();
-            var local_entry = local.to_entry();
-            var admin_sod_entry = admin_sod.to_entry();
-            var admin_day_entry = admin_day.to_entry();
-
-            return new PositionUnitImmutable(new PositionUnit {
-               RecordId = record_id,
-               Account = account,
-               AccountId = account_id,
-               SecurityId = security_id,
-               SodLongPos = sod_entry.LongPos,
-               SodLongAvgPrice = sod_entry.LongAvgPrice,
-               SodShortPos = sod_entry.ShortPos,
-               SodShortAvgPrice = sod_entry.ShortAvgPrice,
-               DayLongPos = day_entry.LongPos,
-               DayLongAvgPrice = day_entry.LongAvgPrice,
-               DayShortPos = day_entry.ShortPos,
-               DayShortAvgPrice = day_entry.ShortAvgPrice,
-               Sod = sod_entry,
-               Day = day_entry,
-               RawDay = raw_day_entry,
-               Local = local_entry,
-               AdminSod = admin_sod_entry,
-               AdminDay = admin_day_entry
-            });
-         }
-
-         static bool is_sod(Fill.Types.FillKind kind) =>
-            kind == Fill.Types.FillKind.Sod ||
-            kind == Fill.Types.FillKind.SodSpreadLeg ||
-            kind == Fill.Types.FillKind.SodStripLeg;
-      }
-
-      struct PositionEntryAccumulator {
-         double long_qty;
-         double long_cost;
-         double short_qty;
-         double short_cost;
-
-         public void add(double signed_qty, double price) {
-            if (signed_qty > 0) {
-               long_qty += signed_qty;
-               long_cost += signed_qty * price;
-            } else if (signed_qty < 0) {
-               var abs_qty = Math.Abs(signed_qty);
-               short_qty += abs_qty;
-               short_cost += abs_qty * price;
-            }
-         }
-
-         public PositionEntry to_entry() =>
-            new() {
-               LongPos = long_qty,
-               LongAvgPrice = long_qty == 0 ? 0 : long_cost / long_qty,
-               ShortPos = short_qty,
-               ShortAvgPrice = short_qty == 0 ? 0 : short_cost / short_qty
-            };
-      }
-   }
-}

src/cs/Bts.Spark.Api/Position/PositionModel.cs

@@ -15,7 +15,6 @@ namespace Spark.Trading {
    using Spark.Api.Data;
    using Spark.Api.MarketData;
    using Spark.Api.Orders;
-   using Spark.Api.Position;
    using Spark.Api.Reactive;
    using Spark.Core;
    using Spark.Core.Data;
@@ -61,21 +60,13 @@ namespace Spark.Trading {
                .Cache()
                .ToObservable());
 
-         var raw_fills = admin_model
-            .permission_filter(
-               order_service.subscribei_fills().Naggle(interval, scheduler),
-               f => f.Account)
-            .Table();
-
-         var raw_manual_fills = admin_model
-            .permission_filter(
-               _position_service.subscribei_manual_fills().Naggle(interval, scheduler),
-               f => f.AccountId)
-            .Table();
-
          on_positions = bootstraps.emplace(
-            ComputedPositionsDataSource.create(raw_fills, raw_manual_fills)
-               .join_table(sec_resolver, pos => pos.SecurityId)
+            admin_model
+               .permission_filter(
+                  _position_service.subscribei_position_data().Naggle(interval, scheduler),
+                  p => p.AccountId)
+               .join(sec_resolver, pos => pos.SecurityId)
+               .Table()
                .Cache()
                .ToObservable());
          var users = admin_model.Users

src/cs/Bts.Spark.Sdk.Demo/TopOfBookQuoter.cs

@@ -41,8 +41,8 @@ class TopOfBookQuoter : IHostedService {
          throw new ArgumentException("Failed to parse venue", nameof(config));
       }
       var quantity = config.Quantity;
-      if (quantity == 0 || !double.IsRealNumber(quantity)) {
-         throw new ArgumentException("Quantity must be real and non-zero", nameof(config));
+      if (!(quantity > 0)) {
+         throw new ArgumentException("Quantity is not positive", nameof(config));
       }
       this.config = new(venue, contract, account, config.OffsetTicks, quantity);
    }
@@ -86,12 +86,11 @@ class TopOfBookQuoter : IHostedService {
       if (!bk.Security.HasValue) {
          return;
       }
-      var orderQty = config.Quantity;
-      var bidPrice = bk[orderQty < 0 ? Side.Sell : Side.Buy, 0].Price;
-      orderQty = Math.Abs(orderQty);
+      var bidPrice = bk[Side.Buy, 0].Price;
       var orderPrice = bidPrice;
+      var orderQty = config.Quantity;
       if (config.OffsetTicks != 0) {
-         orderPrice = bk.Security.Value.tick_factors().tick(orderPrice, config.OffsetTicks);
+         orderPrice = bk.Security.Value.tick_factors().tickdown(orderPrice, config.OffsetTicks);
       }
       if (securityToOrderId.TryGetValue(bk.SecurityId, out var orderId)
          && orders.TryGetValue(orderId, out var orderTree)

src/cs/Bts.Spark.Sdk.Demo/VenueParser.cs

@@ -4,7 +4,7 @@ using bts.api;
 
 public static class VenueParser {
    public static bool TryParse(string? venueStr, out Venue venue) {
-      if (venueStr is null || (!Enum.TryParse(venueStr, true, out venue) && !Enum.TryParse("VENUE_" + venueStr, true, out venue))) {
+      if (venueStr is null || (!Enum.TryParse(venueStr, false, out venue) && !Enum.TryParse("VENUE_" + venueStr, false, out venue))) {
          venue = Venue.Unset;
          return false;
       }

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

@@ -271,32 +271,28 @@ public class SimpleSparkClient : ISimpleSparkClient, IDisposable {
    public Task<Response> CreateLimitOrder(string account, Venue venue, string contract, Side side, double quantity, double price, string? tag) {
       var def = buildOrder(account, venue, contract, limitOrderPool);
       def.Side = side;
-      if (tag is not null)
-         def.Tag = tag;
+      def.Tag = tag;
       return ordersClient.TryEnterOrderAsync(def, price, quantity);
    }
 
    public Task<Response> CreateLimitOrder(string account, uint securityId, Side side, double quantity, double price, string? tag) {
       var def = buildOrder(account, securityId, limitOrderPool);
       def.Side = side;
-      if (tag is not null)
-         def.Tag = tag;
+      def.Tag = tag;
       return ordersClient.TryEnterOrderAsync(def, price, quantity);
    }
 
    public Task<Response> CreateMarketOrder(string account, Venue venue, string contract, Side side, double quantity, string? tag) {
       var def = buildOrder(account, venue, contract, marketOrderPool);
       def.Side = side;
-      if (tag is not null)
-         def.Tag = tag;
+      def.Tag = tag;
       return ordersClient.TryEnterOrderAsync(def, double.NaN, quantity);
    }
 
    public Task<Response> CreateMarketOrder(string account, uint securityId, Side side, double quantity, string? tag) {
       var def = buildOrder(account, securityId, marketOrderPool);
       def.Side = side;
-      if (tag is not null)
-         def.Tag = tag;
+      def.Tag = tag;
       return ordersClient.TryEnterOrderAsync(def, double.NaN, quantity);
    }
 

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

@@ -3,9 +3,9 @@
 # source: tools/cpp_helper/generate-cpps.ps1
 #
 
-CppConfig
-{
-	value
+CppConfig
+{
+	value
 	{
 		cpp_entry { key: "0A" value: 100 }
 		cpp_entry { key: "0B" value: 100 }
@@ -537,31 +537,6 @@ CppConfig
 		cpp_entry { key: "EQ1" value: 50 }
 		cpp_entry { key: "ERL" value: 5 }
 		cpp_entry { key: "ES" value: 50 }
-		cpp_entry { key: "E1A" value: 50}
-		cpp_entry { key: "E1B" value: 50}
-		cpp_entry { key: "E1C" value: 50}
-		cpp_entry { key: "E1D" value: 50}
-		cpp_entry { key: "E2A" value: 50}
-		cpp_entry { key: "E2B" value: 50}
-		cpp_entry { key: "E2C" value: 50}
-		cpp_entry { key: "E2D" value: 50}
-		cpp_entry { key: "E3A" value: 50}
-		cpp_entry { key: "E3B" value: 50}
-		cpp_entry { key: "E3C" value: 50}
-		cpp_entry { key: "E3D" value: 50}
-		cpp_entry { key: "E4A" value: 50}
-		cpp_entry { key: "E4B" value: 50}
-		cpp_entry { key: "E4C" value: 50}
-		cpp_entry { key: "E4D" value: 50}
-		cpp_entry { key: "E5A" value: 50}
-		cpp_entry { key: "E5B" value: 50}
-		cpp_entry { key: "E5C" value: 50}
-		cpp_entry { key: "E5D" value: 50}
-		cpp_entry { key: "EW" value: 50}		
-		cpp_entry { key: "EW1" value: 50}
-		cpp_entry { key: "EW2" value: 50}
-		cpp_entry { key: "EW3" value: 50}
-		cpp_entry { key: "EW4" value: 50}
 		cpp_entry { key: "ES1" value: 50 }
 		cpp_entry { key: "ES2" value: 50 }
 		cpp_entry { key: "ESB" value: 1000 }
@@ -1026,31 +1001,6 @@ CppConfig
 		cpp_entry { key: "NOO" value: 8900 }
 		cpp_entry { key: "NPG" value: 2500 }
 		cpp_entry { key: "NQ" value: 20 }
-      	cpp_entry {key: "Q1A" value: 20}
-      	cpp_entry {key: "Q1B" value: 20}
-      	cpp_entry {key: "Q1C" value: 20}
-      	cpp_entry {key: "Q1D" value: 20}
-      	cpp_entry {key: "Q2A" value: 20}
-      	cpp_entry {key: "Q2B" value: 20}
-      	cpp_entry {key: "Q2C" value: 20}
-      	cpp_entry {key: "Q2D" value: 20}
-      	cpp_entry {key: "Q3A" value: 20}
-      	cpp_entry {key: "Q3B" value: 20}
-      	cpp_entry {key: "Q3C" value: 20}
-      	cpp_entry {key: "Q3D" value: 20}
-      	cpp_entry {key: "Q4A" value: 20}
-      	cpp_entry {key: "Q4B" value: 20}
-      	cpp_entry {key: "Q4C" value: 20}
-      	cpp_entry {key: "Q4D" value: 20}
-      	cpp_entry {key: "Q5A" value: 20}
-      	cpp_entry {key: "Q5B" value: 20}
-      	cpp_entry {key: "Q5C" value: 20}
-      	cpp_entry {key: "Q5D" value: 20}
-      	cpp_entry {key: "QNE" value: 20}
-      	cpp_entry {key: "QN1" value: 20}
-      	cpp_entry {key: "QN2" value: 20}
-      	cpp_entry {key: "QN3" value: 20}
-      	cpp_entry {key: "QN4" value: 20}
 		cpp_entry { key: "NQQ" value: 20 }
 		cpp_entry { key: "NQT" value: 20 }
 		cpp_entry { key: "NR" value: 2500 }
@@ -1556,12 +1506,12 @@ CppConfig
 		cpp_entry { key: "ZT" value: 2000 }
 		cpp_entry { key: "ZW" value: 50 }
 		cpp_entry { key: "ZWT" value: 50 }
-	}
-}
+	}
+}
 
-CmeSymbolMics
-{
-	value
+CmeSymbolMics
+{
+	value
 	{
 		cme_mic { key: "0A" value: NYMEX }
 		cme_mic { key: "0B" value: NYMEX }
@@ -3062,5 +3012,5 @@ CmeSymbolMics
 		cme_mic { key: "ZT" value: CBT }
 		cme_mic { key: "ZW" value: CBT }
 		cme_mic { key: "ZWT" value: CBT }
-	}
+	}
 }

src/lib_spark/spark/orderman/ilink3/IL3Parser.cpp

@@ -70,35 +70,9 @@ bool IL3Parser::parse_common(const T &msg, ExecutionReport *data) {
    data->ice_cl_ord_id = 0;
    data->ice_company_id = 0;
    data->cfg = cfg;
-   data->fill_agg_flag = api::orderman::PASSIVE;
    return true;
 }
 
-template <class T>
-void IL3Parser::parse_fill_aggressor(const T &, ExecutionReport *data) {
-   data->fill_agg_flag = api::orderman::PASSIVE;
-}
-
-template <>
-void IL3Parser::parse_fill_aggressor(
-    const iLinkBinary::ExecutionReportTradeOutright525 &msg,
-    ExecutionReport *data) {
-   data->fill_agg_flag =
-       msg.aggressorIndicator() == iLinkBinary::BooleanFlag::True
-           ? api::orderman::AGGRESSOR
-           : api::orderman::PASSIVE;
-}
-
-template <>
-void IL3Parser::parse_fill_aggressor(
-    const iLinkBinary::ExecutionReportTradeSpread526 &msg,
-    ExecutionReport *data) {
-   data->fill_agg_flag =
-       msg.aggressorIndicator() == iLinkBinary::BooleanFlag::True
-           ? api::orderman::AGGRESSOR
-           : api::orderman::PASSIVE;
-}
-
 template <class T>
 void IL3Parser::parse_trade(const T &msg, ExecutionReport *data) {
    data->exchange_fill_id->copy_from(msg.getExecIDAsStringView());
@@ -129,7 +103,6 @@ void IL3Parser::parse_trade(const T &msg, ExecutionReport *data) {
           Price{price.mantissa() * md::pow10(price.exponent())});
    }
    data->filled_quantity = Quantity{msg.cumQty()};
-   parse_fill_aggressor(msg, data);
 }
 
 bool IL3Parser::has_account() const {

src/lib_spark/spark/orderman/ilink3/IL3Parser.h

@@ -47,8 +47,6 @@ class IL3Parser {
  private:
    template <class T> bool parse_common(const T &, ExecutionReport *);
    template <class T> void parse_trade(const T &, ExecutionReport *);
-   template <class T>
-   void parse_fill_aggressor(const T &, ExecutionReport *);
 };
 
 bool parse_report(const std::string &, IL3Parser &, ExecutionReport *);

src/lib_spark/spark/utils/object_pool.h

@@ -23,7 +23,7 @@ class object_pool {
    object_pool() : name(bts::utils::type_name<T>()) {}
 
    object_pool(std::string name, std::size_t max_count, std::size_t log_freq)
-       : max_count(max_count), log_freq(log_freq),name(std::move(name)) {}
+       : name(std::move(name)), max_count(max_count), log_freq(log_freq) {}
 
    void set_max_count(std::size_t value) { max_count = value; }