RiskManagement view updates when imported row overwrites existing one

.gitignore

@@ -37,4 +37,3 @@ trace_data/
 *.rej
 /build
 .clangd/
-*CMakeDeps.cmake

.vscode/launch.json

@@ -8,15 +8,13 @@
             "program": "${workspaceRoot}/build/ninja_debug/server/sparkd",
             "args": [
                 "run",
-                "test",
-                "-a",
-                "OutrightVanillaOrder"
+                // "test",
+                // "-a",
+                // "[ilink3]"
             ],
             "stopAtEntry": false,
             "cwd": "${workspaceRoot}/build/ninja_debug/server/",
-            "environment": [
-                { "name": "TZ", "value": "America/Chicago" }
-            ],
+            "environment": [],
             "externalConsole": false,
             "MIMode": "gdb",
             "setupCommands": [
@@ -33,9 +31,7 @@
             "request": "launch",
             "program": "/home/bts/spark/build/ninja_debug/server/sparkd",
             "args": [
-                "test",
-                "-a",
-                "[ilink3]"
+                "run"
             ],
             "stopAtEntry": false,
             "cwd": "/home/bts/spark/build/ninja_debug/server/",

CMakeLists.txt

@@ -1,6 +1,8 @@
 cmake_minimum_required(VERSION 3.5)
 project(spark)
 
+set (USE_ONIX "TRUE")
+
 if (WIN32)
   set (platform "windows")
 else ()
@@ -40,8 +42,12 @@ else ()
                                -fPIC -Wall -pedantic -Wextra -Werror \
                                -Wno-missing-braces -Wno-ignored-qualifiers \
                                --std=c++17 -fdiagnostics-color")
+
+  if (${USE_ONIX})
+    set(CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} -DUSE_ONIX")
+  endif()
+
   set (CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} -fno-omit-frame-pointer -DNDEBUG -O3")
-  set (CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} -DDEBUG")
   set (CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} -Wno-undef")
   add_subdirectory(src/server/sparkd)
   add_subdirectory(src/lib)

doc/user/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources /home/pfisher/bts/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)
+set(sources /home/ppinto/Dropbox/bts/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)

src/client/RiskUI/AssemblyInfo.cs

@@ -0,0 +1,10 @@
+using System.Windows;
+
+[assembly: ThemeInfo(
+    ResourceDictionaryLocation.None, //where theme specific resource dictionaries are located
+                                     //(used if a resource is not found in the page,
+                                     // or application resource dictionaries)
+    ResourceDictionaryLocation.SourceAssembly //where the generic resource dictionary is located
+                                              //(used if a resource is not found in the page,
+                                              // app, or any theme specific resource dictionaries)
+)]

src/client/RiskUI/CustomControl1.cs

@@ -0,0 +1,51 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using System.Windows;
+using System.Windows.Controls;
+using System.Windows.Data;
+using System.Windows.Documents;
+using System.Windows.Input;
+using System.Windows.Media;
+using System.Windows.Media.Imaging;
+using System.Windows.Navigation;
+using System.Windows.Shapes;
+
+namespace RiskUI {
+   /// <summary>
+   /// Follow steps 1a or 1b and then 2 to use this custom control in a XAML file.
+   ///
+   /// Step 1a) Using this custom control in a XAML file that exists in the current project.
+   /// Add this XmlNamespace attribute to the root element of the markup file where it is 
+   /// to be used:
+   ///
+   ///     xmlns:MyNamespace="clr-namespace:RiskUI"
+   ///
+   ///
+   /// Step 1b) Using this custom control in a XAML file that exists in a different project.
+   /// Add this XmlNamespace attribute to the root element of the markup file where it is 
+   /// to be used:
+   ///
+   ///     xmlns:MyNamespace="clr-namespace:RiskUI;assembly=RiskUI"
+   ///
+   /// You will also need to add a project reference from the project where the XAML file lives
+   /// to this project and Rebuild to avoid compilation errors:
+   ///
+   ///     Right click on the target project in the Solution Explorer and
+   ///     "Add Reference"->"Projects"->[Select this project]
+   ///
+   ///
+   /// Step 2)
+   /// Go ahead and use your control in the XAML file.
+   ///
+   ///     <MyNamespace:CustomControl1/>
+   ///
+   /// </summary>
+   public class CustomControl1 : Control {
+      static CustomControl1() {
+         DefaultStyleKeyProperty.OverrideMetadata(typeof(CustomControl1), new FrameworkPropertyMetadata(typeof(CustomControl1)));
+      }
+   }
+}

src/client/RiskUI/RiskUI.csproj

@@ -0,0 +1,24 @@
+<Project Sdk="Microsoft.NET.Sdk">
+
+  <PropertyGroup>
+    <TargetFramework>net471</TargetFramework>
+    <RootNamespace>bts</RootNamespace>
+    <LangVersion>7.2</LangVersion>
+    <TreatWarningsAsErrors>true</TreatWarningsAsErrors>
+    <WarningsAsErrors />
+    <Version>$(major).$(minor).$(patch)</Version>
+    <Version Condition="'$(version)'=='..'">1.0.0</Version>
+  </PropertyGroup>
+
+  <ItemGroup>
+    <Reference Include="PresentationCore" />
+    <Reference Include="PresentationFramework" />
+    <Reference Include="System.Xaml" />
+    <Reference Include="WindowsBase" />
+  </ItemGroup>
+  <ItemGroup>
+    <ProjectReference Include="../spark_api/spark_api.csproj" />
+    <ProjectReference Include="../Spark/Spark.csproj" />
+  </ItemGroup>
+
+</Project>

src/client/RiskUI/Themes/Generic.xaml

@@ -0,0 +1,17 @@
+<ResourceDictionary
+    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+    xmlns:local="clr-namespace:RiskUI">
+    <Style TargetType="{x:Type local:CustomControl1}">
+        <Setter Property="Template">
+            <Setter.Value>
+                <ControlTemplate TargetType="{x:Type local:CustomControl1}">
+                    <Border Background="{TemplateBinding Background}"
+                            BorderBrush="{TemplateBinding BorderBrush}"
+                            BorderThickness="{TemplateBinding BorderThickness}">
+                    </Border>
+                </ControlTemplate>
+            </Setter.Value>
+        </Setter>
+    </Style>
+</ResourceDictionary>

src/client/spark/Admin/AdminModel.cs

@@ -1,24 +1,33 @@
 using bts;
+using bts.admin.risk;
+using bts.api;
 using bts.api.admin;
 using bts.api.core;
+using bts.spark;
 using bts.utils;
 using System;
 using System.Collections.Generic;
+using System.Collections.Immutable;
 using System.ComponentModel.Composition;
 using System.Linq;
 using System.Reactive.Linq;
+using System.Threading.Tasks;
 
 namespace mbts.spark {
    [Export]
    class AdminModel : IDisposable {
       public readonly UserTuple user;
 
+      readonly AdminService _service;
+      readonly ErrorReporter _error_reporter;
       IDisposable _dispose;
       IReadOnlyDictionary<uint, string> _account_map = DictionaryHelper.empty<uint, string>();
 
       [ImportingConstructor]
-      AdminModel(AdminService service, UserTuple user) {
+      AdminModel(AdminService service, UserTuple user, SecurityStore security_store, ErrorReporter error_reporter) {
          this.user = user;
+         _service = service;
+         _error_reporter = error_reporter;
          // accounts
          on_accounts = service.subscribei_admin_data()
             .Select(up => up.all.TryGetFirst(out var ad) && ad.Users.Where(u => u.Name == user.name).TryGetSingle(out var usr) && usr.HasUserData && usr.UserData.HasAccountPermissions ?
@@ -31,6 +40,34 @@ namespace mbts.spark {
                new Dictionary<uint, string>(0))
             .Replay(1)
             .RefCount();
+         // account risk limits
+         account_security_risk_limits = service.subscribei_admin_data().Where(ad => ad.all.Any())
+            .Select(upd => {
+               AdminDataImmutable admin_data = upd.all.First();
+               return admin_data.Accounts.SelectMany(acc =>
+                  (acc.HasProprietaryRiskLimits ? acc.ProprietaryRiskLimits.SecurityLimits : Enumerable.Empty<SecurityRiskLimitUnitImmutable>())
+                  .Select(api_limit => AccountSecurityRiskLimitsDataHelper.to_client_data(acc.Id, api_limit)))
+               .ToDictionary(AccountSecurityRiskLimitsDataHelper.key_fn);
+            })
+            .Table(AccountSecurityRiskLimitsDataHelper.key_fn);
+         // this isn't the most efficient join, but the SecurityStore join is more complex than a simple
+         // left join operation, because missing securities are retrieved asynchronously, then merged back into the output sequence.
+         // Until it is known that this inefficiency is problematic, best to leave the battle-tested SecurityStore code alone.
+         account_security_risk_limits = security_store.join<
+            TableUpdate<AccountSecurityRiskLimits, AccountSecurityKey>,
+            AccountSecurityRiskLimits,
+            AccountSecurityKey,
+            TableUpdate<AccountSecurityRiskLimits, AccountSecurityKey>>(account_security_risk_limits,
+            cli_lim => cli_lim.security_key,
+            table => (table.state.Values, table.added, table.changes, table.removed, AccountSecurityRiskLimitsDataHelper.key_fn),
+            (all, added, changes, removed, key_fn) =>
+            new TableUpdate<AccountSecurityRiskLimits, AccountSecurityKey>(
+               ImmutableDictionary.CreateRange<AccountSecurityKey, AccountSecurityRiskLimits>(
+                  all.Select(tup => new KeyValuePair<AccountSecurityKey, AccountSecurityRiskLimits>(tup.val.key, risk_lim_with_sec(tup)))),
+                  added.Select(risk_lim_with_sec),
+                  changes.Select(ch => new Change<AccountSecurityRiskLimits>(risk_lim_with_sec(ch.Old), risk_lim_with_sec(ch.New))),
+                  removed.Select(risk_lim_with_sec),
+                  AccountSecurityRiskLimitsDataHelper.key_fn));
          // users
          on_users = Observable.Return(DictionaryHelper.wrap_value(user.id, user.name));
          all_user_tuples = user.permissions == UserTuple.Permissions.Admin ?
@@ -45,12 +82,16 @@ namespace mbts.spark {
                .Cache() :
                Observable.Return(TableUpdate<UserTuple, uint>.mk_empty(UserTuple.key_fn).with_added(new[] { user }));
          _dispose = on_accounts.Subscribe(map => _account_map = map);
+         // local methods
+         AccountSecurityRiskLimits risk_lim_with_sec((SecurityImmutable? sec, AccountSecurityRiskLimits val) tup) =>
+            tup.val.with(security: tup.sec);
       }
 
       public IObservable<IReadOnlyDictionary<uint, string>> on_users { get; }
       public IObservable<IReadOnlyDictionary<uint, string>> on_accounts { get; }
       public IObservable<TableUpdate<UserTuple, uint>> all_user_tuples { get; }
       public IObservable<IReadOnlyList<AccountTuple>> on_account_tuples => on_accounts.Select(d => d.Select(kv => new AccountTuple(kv.Key, kv.Value)).ToListSorted(a => a.name));
+      public IObservable<TableUpdate<AccountSecurityRiskLimits, AccountSecurityKey>> account_security_risk_limits { get; }
 
       public IObservable<Update<T, TKey>> permission_filter<T, TKey>(IObservable<Update<T, TKey>> positions, Func<T, uint> get_account_id) where TKey : IEquatable<TKey> =>
          user.permissions == UserTuple.Permissions.Admin ?
@@ -68,7 +109,86 @@ namespace mbts.spark {
       public AccountTuple? get_default_account() =>
          _account_map.Select(kv => new AccountTuple(kv.Key, kv.Value)).TryFirst();
 
+      public async Task<Result<AdminServiceOperationResult>[]> set_risk_limits(IReadOnlyDictionary<uint, IEnumerable<(uint, RiskLimits)>> state) {
+         var results = await Task.WhenAll(state.Select(impl));
+         return results;
+         async Task<Result<AdminServiceOperationResult>> impl(KeyValuePair<uint, IEnumerable<(uint, RiskLimits)>> kv) {
+            var prlimits = new ProprietaryRiskLimits();
+            foreach (var (sec, lim) in kv.Value) {
+               var api_lim = AccountSecurityRiskLimitsDataHelper.from_client_data(sec, lim);
+               prlimits.SecurityLimits.Add(api_lim);
+            }
+            return await _service.update_proprietary_risk_limits_async(new ProprietaryRiskLimitsAPIArgument {
+               AccountId = kv.Key,
+               ProprietaryRiskLimits = prlimits
+            });
+         }
+      }
+
+      public Task<(bool success, string error_msg)> add_or_update_risk_limits(uint account_key, IEnumerable<(uint security_key, RiskLimits limits)> new_limits) {
+         return _modify_risk_limits("Updating Risk Limits", account_key, add_limits);
+         //
+         ProprietaryRiskLimits add_limits(ProprietaryRiskLimits prlimits) {
+            foreach (var (security_key, limits) in new_limits) {
+               var api_limits = AccountSecurityRiskLimitsDataHelper.from_client_data(security_key, limits);
+               if (prlimits.SecurityLimits.TryGetFirstIndex(l => l.SecurityKey == security_key, out int index)) {
+                  prlimits.SecurityLimits[index] = api_limits;
+               } else {
+                  prlimits.SecurityLimits.Add(api_limits);
+               }
+            }
+            return prlimits;
+         }
+      }
+
+      public Task<(bool success, string error_msg)> delete_risk_limits(uint account_key, IEnumerable<uint> security_keys) {
+         return _modify_risk_limits("Deleting Risk Limits", account_key, remove_secs);
+         //
+         ProprietaryRiskLimits remove_secs(ProprietaryRiskLimits prlimits) {
+            var sec_key_set = new HashSet<uint>(security_keys);
+            for (int i = 0; i < prlimits.SecurityLimits.Count;) {
+               if (sec_key_set.Contains(prlimits.SecurityLimits[i].SecurityKey)) {
+                  prlimits.SecurityLimits.RemoveAt(i);
+               } else i++;
+            }
+            return prlimits;
+         }
+      }
+
       public void Dispose() =>
          Disposable.dispose(ref _dispose);
+
+      async Task<(bool success, string error_msg)> _modify_risk_limits(string op_desc, uint account_key, Func<ProprietaryRiskLimits, ProprietaryRiskLimits> modify) {
+         var api_limits = new ProprietaryRiskLimits();
+         var snapshot = await _get_current_admin_data_async();
+         if (!snapshot.HasValue)
+            return (false, "Timed out waiting for data from server.");
+         var mutable_snap = snapshot.Value.CloneToMutable();
+         if (!snapshot.Value.Accounts.TryGetFirst(acc => acc.Id == account_key, out var target_acci)) {
+            return (false, $"Account id '{account_key}' not found.");
+         }
+         var prlimits = target_acci.HasProprietaryRiskLimits ? target_acci.ProprietaryRiskLimits.CloneToMutable() : new ProprietaryRiskLimits();
+         prlimits = modify(prlimits);
+         if (prlimits is null) {
+            return (false, "Client-side modification function returned null.");
+         }
+         var req = new ProprietaryRiskLimitsAPIArgument {
+            AccountId = account_key,
+            ProprietaryRiskLimits = prlimits
+         };
+         var reply = await _error_reporter.safe_execute<AdminServiceOperationResult>(
+            () => _service.update_proprietary_risk_limits_async(req),
+            r => r.IsSuccess,
+            r => r.ErrorText,
+            op_desc);
+         return (reply.success, reply.value.ErrorText);
+      }
+
+      async Task<AdminDataImmutable?> _get_current_admin_data_async() =>
+         await _service.subscribei_admin_data()
+            .Where(upd => upd.all.Any())
+            .Select(upd => (AdminDataImmutable?)upd.all.First())
+            .FirstOrDefaultAsync(TimeSpan.FromSeconds(5));
+      //async Task<AdminDataImmutable?>
    }
-}
+}

src/client/spark/Admin/RiskLimits.cs

@@ -0,0 +1,183 @@
+using bts.api;
+using bts.api.admin;
+using bts.utils;
+using System;
+
+namespace bts.admin.risk {
+   readonly struct AccountSecurityKey : IEquatable<AccountSecurityKey> {
+      public AccountSecurityKey(uint account, uint security) {
+         this.account = account;
+         this.security = security;
+      }
+
+      public uint account { get; }
+      public uint security { get; }
+
+      public bool Equals(AccountSecurityKey other) =>
+         security == other.security &&
+         account == other.account;
+
+      public override bool Equals(object obj) =>
+         obj is AccountSecurityKey other && Equals(other);
+
+      public override int GetHashCode() =>
+         EqualityComparer.auto_phase(security.GetHashCode(), account.GetHashCode());
+
+      public static bool operator ==(AccountSecurityKey a, AccountSecurityKey b) => a.Equals(b);
+      public static bool operator !=(AccountSecurityKey a, AccountSecurityKey b) => !a.Equals(b);
+   }
+
+   readonly struct AccountSecurityRiskLimits : IEquatable<AccountSecurityRiskLimits> {
+      readonly AccountTuple? _account;
+
+      public AccountSecurityRiskLimits(AccountSecurityKey key, RiskLimits limits, SecurityImmutable? security = null, AccountTuple? account = null) {
+         this.key = key;
+         this.limits = limits;
+         this.security = security;
+         _account = account;
+      }
+
+      public AccountSecurityKey key { get; }
+      public uint account_key => key.account;
+      public uint security_key => key.security;
+      public string account_name => _account?.name;
+      public SecurityImmutable? security { get; }
+      public RiskLimits limits { get; }
+
+      public bool Equals(AccountSecurityRiskLimits other) =>
+         key.Equals(other.key) &&
+         limits.Equals(other.limits);
+
+      public override bool Equals(object obj) =>
+         obj is AccountSecurityRiskLimits other && Equals(other);
+
+      public override int GetHashCode() =>
+         EqualityComparer.auto_phase(key.GetHashCode(), limits.GetHashCode());
+   }
+
+   readonly struct RiskLimits : IEquatable<RiskLimits> {
+      public RiskLimits(
+         bool is_position_limit_enabled,
+         uint max_long_position,
+         uint max_short_position,
+         bool is_clip_limit_enabled,
+         uint clip_limit,
+         bool is_price_limit_enabled,
+         double min_price,
+         double max_price) {
+         //
+         this.is_position_limit_enabled = is_position_limit_enabled;
+         this.max_long_position = max_long_position;
+         this.max_short_position = max_short_position;
+         this.is_clip_limit_enabled = is_clip_limit_enabled;
+         this.clip_limit = clip_limit;
+         this.is_price_limit_enabled = is_price_limit_enabled;
+         this.min_price = min_price;
+         this.max_price = max_price;
+      }
+
+      // position
+      public bool is_position_limit_enabled { get; }
+      public uint max_long_position { get; }
+      public uint max_short_position { get; }
+      // clip
+      public bool is_clip_limit_enabled { get; }
+      public uint clip_limit { get; }
+      // price
+      public bool is_price_limit_enabled { get; }
+      public double min_price { get; }
+      public double max_price { get; }
+
+      public bool Equals(RiskLimits other) =>
+         is_position_limit_enabled == other.is_position_limit_enabled &&
+         max_long_position == other.max_long_position &&
+         max_short_position == other.max_short_position &&
+         is_clip_limit_enabled == other.is_clip_limit_enabled &&
+         clip_limit == other.clip_limit &&
+         is_price_limit_enabled == other.is_price_limit_enabled &&
+         min_price == other.min_price &&
+         max_price == other.max_price;
+
+      public override bool Equals(object obj) =>
+         obj is RiskLimits other && Equals(other);
+
+      public override int GetHashCode() {
+         const int non_bin_bits = 28;
+         // Evenly split the non-binary props across the first 28 bits.
+         // The last 3 bits are used to represent each of the 'is_enabled' (binary) props.
+         var hash = EqualityComparer.auto_phase(new[] {
+               max_long_position.GetHashCode(),
+               max_short_position.GetHashCode(),
+               clip_limit.GetHashCode(),
+               min_price.GetHashCode(),
+               max_price.GetHashCode()
+            }, non_bin_bits);
+         if (is_position_limit_enabled)
+            hash |= 1 << (non_bin_bits + 1);
+         if (is_clip_limit_enabled)
+            hash |= 1 << (non_bin_bits + 2);
+         if (is_price_limit_enabled)
+            hash |= 1 << (non_bin_bits + 3);
+         return hash;
+      }
+   }
+
+   static class AccountSecurityRiskLimitsDataHelper {
+      public static readonly Func<AccountSecurityRiskLimits, AccountSecurityKey> key_fn =
+         a => a.key;
+
+      // Don't make this a constructor.  Subscribers to this data are discouraged
+      // from using the server side data (client/server coupling should be minimal).
+      public static AccountSecurityRiskLimits to_client_data(uint account_key, SecurityRiskLimitUnitImmutable api_data) =>
+         new AccountSecurityRiskLimits(
+            new AccountSecurityKey(account_key, api_data.SecurityKey),
+            new RiskLimits(
+               api_data.EnforceNetPosLimits,
+               api_data.NetLongPositionLimit,
+               api_data.NetShortPositionLimit,
+               api_data.EnforceClipLimits,
+               api_data.ClipSize,
+               api_data.EnforcePriceBands,
+               api_data.MinSellPrice,
+               api_data.MaxBuyPrice));
+
+      public static AccountSecurityRiskLimits with(this AccountSecurityRiskLimits cli_data, RiskLimits? limits = null, AccountTuple? account = null, SecurityImmutable? security = null, AccountSecurityKey? key = null) =>
+         new AccountSecurityRiskLimits(
+            key ?? cli_data.key,
+            limits ?? cli_data.limits,
+            account: account ?? new AccountTuple(cli_data.account_key, cli_data.account_name),
+            security: security ?? cli_data.security);
+
+      public static RiskLimits with(this RiskLimits limits,
+         bool? is_position_limit_enabled = null,
+         uint? max_long_position = null,
+         uint? max_short_position = null,
+         bool? is_clip_limit_enabled = null,
+         uint? clip_limit = null,
+         bool? is_price_limit_enabled = null,
+         double? min_price = null,
+         double? max_price = null) =>
+         new RiskLimits(
+            is_position_limit_enabled ?? limits.is_position_limit_enabled,
+            max_long_position ?? limits.max_long_position,
+            max_short_position ?? limits.max_short_position,
+            is_clip_limit_enabled ?? limits.is_clip_limit_enabled,
+            clip_limit ?? limits.clip_limit,
+            is_price_limit_enabled ?? limits.is_price_limit_enabled,
+            min_price ?? limits.min_price,
+            max_price ?? limits.max_price);
+
+      public static SecurityRiskLimitUnit from_client_data(uint security_key, RiskLimits limits) =>
+         new SecurityRiskLimitUnit {
+            SecurityKey = security_key,
+            NetLongPositionLimit = limits.max_long_position,
+            NetShortPositionLimit = limits.max_short_position,
+            MaxBuyPrice = limits.max_price,
+            MinSellPrice = limits.min_price,
+            ClipSize = limits.clip_limit,
+            EnforceNetPosLimits = limits.is_position_limit_enabled,
+            EnforceClipLimits = limits.is_clip_limit_enabled,
+            EnforcePriceBands = limits.is_price_limit_enabled
+         };
+   }
+}

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

@@ -276,7 +276,7 @@ namespace mbts.spark {
             ob_settings.filters = new bts.shell.orderbook.FilterStates {
                statuses = new[] { OrderStatus.Working },
                sides = new[] { side },
-               security_criteria = new SecurityCriteria(security)
+               security_criteria = SecurityCriteria.from_securities(security)
             };
             _bus.post(SparkTags.ShowOrderBookTag, ob_settings);
          }

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

@@ -66,7 +66,7 @@ namespace mbts.spark {
                if (_sorted_selected_security_criteria_backing != null) {
                   _selected_security_criteria_backing = _sorted_selected_security_criteria_backing;
                } else if (_vm != null)
-                  _selected_security_criteria_backing = new SecurityCriteria(_vm.selected_rows.Select(r => r.security));
+                  _selected_security_criteria_backing = SecurityCriteria.from_securities(_vm.selected_rows.Select(r => r.security));
             }
             return _selected_security_criteria_backing;
          }
@@ -92,7 +92,7 @@ namespace mbts.spark {
                      }
                   }
                   var comp = comp_builder.to_comparer();
-                  _sorted_selected_security_criteria_backing = new SecurityCriteria(_vm.selected_rows.Ordered(comp).Select(r => r.security));
+                  _sorted_selected_security_criteria_backing = SecurityCriteria.from_securities(_vm.selected_rows.Ordered(comp).Select(r => r.security));
                }
             }
             return _sorted_selected_security_criteria_backing;

src/client/spark/Modules/Market/TimeAndSales/TimeAndSalesWindow.cs

@@ -135,7 +135,7 @@ namespace bts.shell.time_and_sales {
                .complete(selected_rows_src, always_true, get_fills_startup_data),
             // mview
             SparkCommands.ShowMarketView
-               .complete(selected_rows_src, always_true, rows => rows.Count > 0 ? new SecurityCriteria(rows.Select(r => r.security)) : _security_criteria),
+               .complete(selected_rows_src, always_true, rows => rows.Count > 0 ? SecurityCriteria.from_securities(rows.Select(r => r.security)) : _security_criteria),
             // pause
             toggle_is_paused_cmd,
             // change securities
@@ -180,7 +180,7 @@ namespace bts.shell.time_and_sales {
 
          FillsSettings get_fills_startup_data(ImmutableHashSet<TimeAndSalesRowVM> rows) =>
             new FillsSettings(new FillsFilterStates {
-               security = rows.Count > 0 ? new SecurityCriteria(rows.Select(r => r.security)) : _security_criteria
+               security = rows.Count > 0 ? SecurityCriteria.from_securities(rows.Select(r => r.security)) : _security_criteria
             });
 
          string get_is_paused_cmd_title() =>

src/client/spark/Modules/Spreader/SyntheticManagementWindow.cs

@@ -79,7 +79,7 @@ namespace mbts.spark {
             ), SparkCommands.ShowOrders.complete(() => {
                var ob_settings = bts.shell.orderbook.OrderBookStartupData.Default;
                ob_settings.filters = new bts.shell.orderbook.FilterStates {
-                  security_criteria = new SecurityCriteria(_vm.value.row_vms.Select(r => r.security))
+                  security_criteria = SecurityCriteria.from_securities(_vm.value.row_vms.Select(r => r.security))
                };
                return ob_settings;
             }), SparkCommands.window_settings_command(new DialogCommand(() => {

src/client/spark/Modules/Spreader/VM/SyntheticManagementDialogVM.cs

@@ -169,7 +169,7 @@ namespace mbts.spark {
          void _show_order_book() {
             var ob_settings = bts.shell.orderbook.OrderBookStartupData.Default;
             ob_settings.filters = new bts.shell.orderbook.FilterStates {
-               security_criteria = new SecurityCriteria(security)
+               security_criteria = SecurityCriteria.from_securities(security)
             };
             _bus.post(SparkTags.ShowOrderBookTag, ob_settings);
          }

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

@@ -302,7 +302,7 @@ namespace mbts.spark {
 
          var state = new bts.shell.orderbook.OrderBookStartupData(
             new bts.shell.orderbook.FilterStates {
-               security_criteria = new SecurityCriteria(_owner.security),
+               security_criteria = SecurityCriteria.from_securities(_owner.security),
                price = price_filter,
                statuses = new[] { OrderStatus.Working },
                order_types = AlgoID.exchange_algo_keys

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

@@ -583,7 +583,7 @@ namespace mbts.spark {
       void _show_book() {
          var ob_settings = bts.shell.orderbook.OrderBookStartupData.Default;
          ob_settings.filters = new bts.shell.orderbook.FilterStates {
-            security_criteria = new SecurityCriteria(security)
+            security_criteria = SecurityCriteria.from_securities(security)
          };
          _bus.post(SparkTags.ShowOrderBookTag, ob_settings);
       }

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

@@ -633,7 +633,7 @@ namespace bts.shell.pnl {
             case ColumnKeys.Exchange: filter.exchange = new[] { (Venue)group.Name }; break;
             case ColumnKeys.Security:
                if (group.Name is SecurityImmutable sec)
-                  filter.security = new SecurityCriteria(sec);
+                  filter.security = SecurityCriteria.from_securities(sec);
                break;
             default: throw new NotImplementedException();
          }
@@ -696,7 +696,7 @@ namespace bts.shell.pnl {
             case ColumnKeys.Exchange: filter.exchanges = new[] { (Venue)g.Name }; break;
             case ColumnKeys.Security:
                if (g.Name is SecurityImmutable sec)
-                  filter.security_criteria = new SecurityCriteria(sec);
+                  filter.security_criteria = SecurityCriteria.from_securities(sec);
                break;
             default: throw new NotImplementedException();
          }

src/client/spark/Modules/Trading/RiskManagement/Model/RiskLimitsImporter.cs

@@ -0,0 +1,105 @@
+using bts.admin.risk;
+using bts.api.core;
+using bts.collections;
+using mbts;
+using mbts.ui;
+using mbts.ui.utility;
+using System;
+using System.Collections.Generic;
+using System.IO;
+using System.Linq;
+using System.Reactive.Linq;
+using Component = bts.shell.risk_management.RiskLimitsImportConflictsView.RiskLimitsComponent;
+
+namespace bts.shell.risk_management {
+   static class RiskLimitsImporter {
+      /// <summary>
+      /// Parses the specified file and passes the results to the <paramref name="on_parsed"/> delegate.
+      /// If the parser encounters improperly formatted values, a dialog is automatically opened 
+      /// </summary>
+      /// <returns>An IDisposable that will close the import-conflicts-dialog (if it was launched).</returns>
+      public static IDisposable import_limits(string file_name, IReadOnlyDictionary<uint, SecurityMD> security_map, IReadOnlyDictionary<uint, string> account_map, Action<IEnumerable<ParsedRiskLimits>> on_parsed) {
+         if (string.IsNullOrEmpty(file_name))
+            throw new ArgumentException("File name is null or empty.", nameof(file_name));
+         if (security_map is null)
+            throw new ArgumentNullException(nameof(security_map));
+         if (account_map is null)
+            throw new ArgumentNullException(nameof(account_map));
+         if (on_parsed is null)
+            throw new ArgumentNullException(nameof(on_parsed));
+         IReadOnlyList<ParsedRiskLimits> parsed_limit_items;
+         try {
+            parsed_limit_items = RiskLimitsParser.parse_rows(
+               File.ReadAllLines(file_name),
+               MappedDictionary.create(security_map, sec_md => sec_md.security),
+               account_map)
+               .ToList();
+         } catch (Exception ex) {
+            BTSMessageBox.Error($"Error importing limits: {ex}.", RiskManagementWindow.window_type_display_name);
+            return null;
+         }
+         var conflicts = RiskLimitsParser.get_conflicts(parsed_limit_items);
+         if (conflicts.Count > 0) {
+            // init vm
+            var vm = new RiskLimitsImportVM(parsed_limit_items.Count) {
+               security_map = security_map
+            };
+            // add rows
+            foreach (var kv in conflicts) {
+               var resolve_del = RiskLimitsParser.assign_component(kv.Key);
+               foreach (var text_groups in kv.Value) {
+                  var eval = get_error_value(kv.Key);
+                  var row = new RiskLimitsImportVM.Row(kv.Key, text_groups.Key, text_groups.Value, eval, eval);
+                  vm.rows.Add(row);
+                  vm.import_request += () => {
+                     foreach (var pmf in text_groups.Value) {
+                        if (resolve_del(pmf.result, row.value) is AccountSecurityRiskLimits resolved)
+                           pmf.result = resolved;
+                     }
+                  };
+               }
+            }
+            var win = new RiskLimitsImportConflictsDialog {
+               DataContext = vm,
+               Title = RiskManagementWindow.window_type_display_name,
+               Topmost = true
+            };
+            IDisposable dispose = null;
+            vm.RequestClose += (s, e) => Disposable.dispose(ref dispose);
+            vm.import_request += () => {
+               on_parsed(parsed_limit_items);
+               Disposable.dispose(ref dispose);
+            };
+            Disposable.dispose(ref dispose);
+            vm.accounts.SetItems(account_map.Select(kv => new AccountTuple(kv.Key, kv.Value)).Cast<AccountTuple?>());
+            dispose = Disposable.Create(
+               vm,
+               Disposable.Create(close));
+            win.move_to_mouse(-200, -75);
+            win.Show();
+            return dispose;
+
+            void close() => WindowUtilities.force_close(win);
+            object get_error_value(Component component) {
+               switch (component) {
+                  case Component.MaxNetLongPosition:
+                  case Component.MaxNetShortPosition:
+                  case Component.ClipLimit:
+                     return 0;
+                  case Component.MinPrice:
+                  case Component.MaxPrice:
+                     return double.NaN;
+                  case Component.IsPositionLimitEnabled:
+                  case Component.IsClipLimitEnabled:
+                  case Component.IsPriceLimitEnabled:
+                     return false;
+                  default: return null;
+               }
+            }
+         } else {
+            on_parsed(parsed_limit_items);
+         }
+         return null;
+      }
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/Model/RiskLimitsParser.cs

@@ -0,0 +1,250 @@
+using bts.admin.risk;
+using bts.api;
+using bts.collections;
+using bts.utils;
+using mbts.ui.utility;
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+using System.Linq;
+using RiskLimitsComponent = bts.shell.risk_management.RiskLimitsImportConflictsView.RiskLimitsComponent;
+
+namespace bts.shell.risk_management {
+   class ParsedRiskLimits {
+      public readonly Guid unpersisted_id = Guid.NewGuid();
+      public AccountSecurityRiskLimits result { get; set; }
+
+      public (string text, bool success) security { get; set; }
+      public (string text, bool success) account { get; set; }
+      public (string text, bool success) max_long_position { get; set; }
+      public (string text, bool success) max_short_position { get; set; }
+      public (string text, bool success) is_position_limit_enabled { get; set; }
+      public (string text, bool success) clip_limit { get; set; }
+      public (string text, bool success) is_clip_limit_enabled { get; set; }
+      public (string text, bool success) min_price { get; set; }
+      public (string text, bool success) max_price { get; set; }
+      public (string text, bool success) is_price_limit_enabled { get; set; }
+
+      public bool Equals(ParsedRiskLimits other) => other != null && unpersisted_id == other.unpersisted_id;
+      public override bool Equals(object obj) => Equals(obj as ParsedRiskLimits);
+      public override int GetHashCode() => unpersisted_id.GetHashCode();
+   }
+
+   static class RiskLimitsParser {
+      public const string file_extension = "csv";
+
+      public static Func<AccountSecurityRiskLimits, object, object> assign_component(RiskLimitsComponent component) {
+         switch (component) {
+            case RiskLimitsComponent.Security: return (mf, val) => mf.with(key: new AccountSecurityKey(mf.account_key, ConvertUtils.try_convert<SecurityImmutable?>(val)?.Id ?? 0));
+            case RiskLimitsComponent.Account: return (mf, val) => mf.with(key: new AccountSecurityKey(ConvertUtils.try_convert<AccountTuple?>(val)?.id ?? 0, mf.key.security));
+            case RiskLimitsComponent.MaxNetLongPosition: return (mf, val) => mf.with(mf.limits.with(max_long_position: ConvertUtils.try_convert<uint>(val)));
+            case RiskLimitsComponent.MaxNetShortPosition: return (mf, val) => mf.with(mf.limits.with(max_short_position: ConvertUtils.try_convert<uint>(val)));
+            case RiskLimitsComponent.IsPositionLimitEnabled: return (mf, val) => mf.with(mf.limits.with(is_price_limit_enabled: ConvertUtils.try_convert<bool>(val)));
+            case RiskLimitsComponent.ClipLimit: return (mf, val) => mf.with(mf.limits.with(clip_limit: ConvertUtils.try_convert<uint>(val)));
+            case RiskLimitsComponent.IsClipLimitEnabled: return (mf, val) => mf.with(mf.limits.with(is_price_limit_enabled: ConvertUtils.try_convert<bool>(val)));
+            case RiskLimitsComponent.MinPrice: return (mf, val) => mf.with(mf.limits.with(min_price: ConvertUtils.try_convert(val, double.NaN)));
+            case RiskLimitsComponent.MaxPrice: return (mf, val) => mf.with(mf.limits.with(max_price: ConvertUtils.try_convert(val, double.NaN)));
+            case RiskLimitsComponent.IsPriceLimitEnabled: return (mf, val) => mf.with(mf.limits.with(is_price_limit_enabled: ConvertUtils.try_convert<bool>(val)));
+            default: throw new NotImplementedException(); 
+         }
+      }
+
+      public static ImmutableDictionary<RiskLimitsComponent, ImmutableDictionary<string, ImmutableList<ParsedRiskLimits>>> get_conflicts(IEnumerable<ParsedRiskLimits> parsed_limits) {
+         // Add all the components up front (a simple optimizatino since there aren't many),
+         // so there is no need to check for there existence as various conflicts are added.
+         // After all conflicts have been added, remove the empty entries.
+         var missing_components = EnumHelper.get_values<RiskLimitsComponent>()
+            .ToImmutableDictionary(c => c, c => ImmutableDictionary<string, ImmutableList<ParsedRiskLimits>>.Empty)
+            .ToBuilder();
+         foreach (var pmf in parsed_limits) {
+            if (!pmf.security.success) {
+               add_missing(RiskLimitsComponent.Security, pmf.security.text, pmf);
+            }
+            if (!pmf.account.success) {
+               add_missing(RiskLimitsComponent.Account, pmf.account.text, pmf);
+            }
+            if (!pmf.max_long_position.success) {
+               add_missing(RiskLimitsComponent.MaxNetLongPosition, pmf.max_long_position.text, pmf);
+            }
+            if (!pmf.max_short_position.success) {
+               add_missing(RiskLimitsComponent.MaxNetShortPosition, pmf.max_short_position.text, pmf);
+            }
+            if (!pmf.is_position_limit_enabled.success) {
+               add_missing(RiskLimitsComponent.IsPositionLimitEnabled, pmf.is_position_limit_enabled.text, pmf);
+            }
+            if (!pmf.clip_limit.success) {
+               add_missing(RiskLimitsComponent.ClipLimit, pmf.clip_limit.text, pmf);
+            }
+            if (!pmf.is_clip_limit_enabled.success) {
+               add_missing(RiskLimitsComponent.IsClipLimitEnabled, pmf.is_clip_limit_enabled.text, pmf);
+            }
+            if (!pmf.min_price.success) {
+               add_missing(RiskLimitsComponent.MinPrice, pmf.min_price.text, pmf);
+            }
+            if (!pmf.max_price.success) {
+               add_missing(RiskLimitsComponent.MaxPrice, pmf.max_price.text, pmf);
+            }
+            if (!pmf.is_price_limit_enabled.success) {
+               add_missing(RiskLimitsComponent.IsPriceLimitEnabled, pmf.is_price_limit_enabled.text, pmf);
+            }
+         }
+         // remove empty component conflicts
+         var empty_keys = missing_components.Where(kv => kv.Value.Count == 0).Select(kv => kv.Key).ToList();
+         missing_components.RemoveRange(empty_keys);
+         return missing_components.ToImmutable();
+         // local methods
+         void add_missing(RiskLimitsComponent component, string text, ParsedRiskLimits prl) {
+            if (!missing_components.TryGetValue(component, out var conflicts)) {
+               conflicts = ImmutableDictionary<string, ImmutableList<ParsedRiskLimits>>.Empty;
+            }
+            if (!conflicts.TryGetValue(text, out var affected)) {
+               affected = ImmutableList<ParsedRiskLimits>.Empty;
+            }
+            missing_components[component] = conflicts.SetItem(text, affected.Add(prl));
+         }
+      }
+
+      // This implementation prioritizes simplicity over speed.
+      // The security desc lookup could be better optimized, but the speed at which limits are imported is probably not a paramount concern.
+      public static IEnumerable<ParsedRiskLimits> parse_rows(IEnumerable<string> rows, IReadOnlyDictionary<uint, SecurityImmutable> security_map, IReadOnlyDictionary<uint, string> account_map) =>
+         parse_rows(rows,
+            reverse_lookup(MappedDictionary.create(security_map, s => s.ToString())),
+            reverse_lookup(account_map));
+
+      public static IEnumerable<ParsedRiskLimits> parse_rows(IEnumerable<string> rows, Func<string, uint> security_id_lookup, Func<string, uint> account_id_lookup) {
+         var columns = new[] {
+            (Headers.Security, Cells.security(security_id_lookup)),
+            (Headers.Account, Cells.account(account_id_lookup)),
+            (Headers.MaxNetLongPosition, Cells.max_long_position),
+            (Headers.MaxNetShortPosition, Cells.max_short_position),
+            (Headers.IsPositionLimitEnabled, Cells.is_position_limit_enabled),
+            (Headers.ClipLimit, Cells.clip_limit),
+            (Headers.IsClipLimitEnabled, Cells.is_clip_limit_enabled),
+            (Headers.MinPrice, Cells.min_price),
+            (Headers.MaxPrice, Cells.max_price),
+            (Headers.IsPriceLimitEnabled, Cells.is_price_limit_enabled)
+         }.ToDictionary(col => col.Item1, col => col.Item2.with_null_check());
+         return RowParser.parse_rows(rows, columns, Cells.delimiter);
+      }
+
+      public static Func<string, TKey> reverse_lookup<TKey>(IReadOnlyDictionary<TKey, string> map) {
+         var lookup = map.ToLookup(kv => kv.Value, kv => kv.Key);
+         return cell_text => lookup.Contains(cell_text) ? lookup[cell_text].First() : default;
+      }
+
+      static class Headers {
+         public const string
+            Security = "Security",
+            Account = "Account",
+            MaxNetLongPosition = "Max Long",
+            MaxNetShortPosition = "Max Short",
+            IsPositionLimitEnabled = "Enforce Position",
+            ClipLimit = "Clip",
+            IsClipLimitEnabled = "Enforce Clip",
+            MinPrice = "Min Price",
+            MaxPrice = "Max Price",
+            IsPriceLimitEnabled = "Enforce Price";
+      }
+
+      static class Cells {
+         public const char delimiter = ',';
+
+         public static RowParser.AssignColumnValue<ParsedRiskLimits> security(Func<string, uint> reverse_id_lookup) {
+            return impl;
+            void impl(ref ParsedRiskLimits pmf, string text) {
+               pmf.result = pmf.result.with(key: new AccountSecurityKey(pmf.result.key.account, reverse_id_lookup(text)));
+               pmf.security = (text, pmf.result.key.security != 0);
+            }
+         }
+
+         public static RowParser.AssignColumnValue<ParsedRiskLimits> account(Func<string, uint> reverse_id_lookup) {
+            return impl;
+            void impl(ref ParsedRiskLimits pmf, string text) {
+               pmf.result = pmf.result.with(key: new AccountSecurityKey(reverse_id_lookup(text), pmf.result.key.security));
+               pmf.account = (text, pmf.result.key.account != 0);
+            }
+         }
+
+         public static void max_long_position(ref ParsedRiskLimits pmf, string cell_text) {
+            if (uint.TryParse(cell_text, out uint v)) {
+               pmf.result = pmf.result.with(pmf.result.limits.with(max_long_position: v));
+               pmf.max_long_position = (cell_text, true);
+            } else {
+               pmf.max_long_position = (cell_text, false);
+            }
+         }
+
+         public static void max_short_position(ref ParsedRiskLimits pmf, string cell_text) {
+            if (uint.TryParse(cell_text, out uint v)) {
+               pmf.result = pmf.result.with(pmf.result.limits.with(max_short_position: v));
+               pmf.max_short_position = (cell_text, true);
+            } else {
+               pmf.max_short_position = (cell_text, false);
+            }
+         }
+
+         public static void is_position_limit_enabled(ref ParsedRiskLimits pmf, string cell_text) {
+            if (_try_parse_yes_no(cell_text, out var result)) {
+               pmf.result = pmf.result.with(pmf.result.limits.with(is_position_limit_enabled: result));
+               pmf.is_position_limit_enabled = (cell_text, true);
+            } else {
+               pmf.is_position_limit_enabled = (cell_text, false);
+            }
+         }
+
+         public static void clip_limit(ref ParsedRiskLimits pmf, string cell_text) {
+            if (uint.TryParse(cell_text, out uint v)) {
+               pmf.result = pmf.result.with(pmf.result.limits.with(clip_limit: v));
+               pmf.clip_limit = (cell_text, true);
+            } else {
+               pmf.clip_limit = (cell_text, false);
+            }
+         }
+
+         public static void is_clip_limit_enabled(ref ParsedRiskLimits pmf, string cell_text) {
+            if (_try_parse_yes_no(cell_text, out var result)) {
+               pmf.result = pmf.result.with(pmf.result.limits.with(is_clip_limit_enabled: result));
+               pmf.is_clip_limit_enabled = (cell_text, true);
+            } else {
+               pmf.is_clip_limit_enabled = (cell_text, false);
+            }
+         }
+
+         static bool _try_parse_yes_no(string text, out bool result) {
+            switch (text?.Trim()?.ToLower()) {
+               case "y": result = true; break;
+               case "n": result = false; break;
+               default: result = default; return false;
+            }
+            return true;
+         }
+
+         public static void min_price(ref ParsedRiskLimits pmf, string cell_text) {
+            if (double.TryParse(cell_text, out var v)) {
+               pmf.result = pmf.result.with(pmf.result.limits.with(min_price: v));
+               pmf.min_price = (cell_text, true);
+            } else {
+               pmf.min_price = (cell_text, false);
+            }
+         }
+
+         public static void max_price(ref ParsedRiskLimits pmf, string cell_text) {
+            if (double.TryParse(cell_text, out var v)) {
+               pmf.result = pmf.result.with(pmf.result.limits.with(max_price: v));
+               pmf.max_price = (cell_text, true);
+            } else {
+               pmf.max_price = (cell_text, false);
+            }
+         }
+
+         public static void is_price_limit_enabled(ref ParsedRiskLimits pmf, string cell_text) {
+            if (_try_parse_yes_no(cell_text, out var result)) {
+               pmf.result = pmf.result.with(pmf.result.limits.with(is_price_limit_enabled: result));
+               pmf.is_price_limit_enabled = (cell_text, true);
+            } else {
+               pmf.is_price_limit_enabled = (cell_text, false);
+            }
+         }
+      }
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/RiskManagementWindow.cs

@@ -0,0 +1,230 @@
+using bts.admin.risk;
+using bts.api;
+using bts.collections;
+using bts.spark;
+using bts.view;
+using mbts;
+using mbts.persist;
+using mbts.spark;
+using mbts.ui;
+using mbts.ui.settings;
+using mbts.ui.spark;
+using mbts.ui.utility;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows;
+using System.Windows.Controls;
+using System.Windows.Data;
+
+namespace bts.shell.risk_management {
+   class RiskManagementWindow : SparkWindow<RiskManagementSettings>, ISharedWindow {
+      public const string
+         window_type_id = "RiskManagement",
+         window_type_display_name = "Risk Management";
+
+      readonly IWindowSettingsManager<GridSettings> _settings_manager;
+      readonly AdminModel _model;
+      FrameworkElement _view;
+      IReadOnlyList<SparkCommand> _commands;
+      IDisposable _settings_sub, _securities_sub, _cmd_subscriptions;
+      RiskManagementSettings _settings;
+      RiskManagementVM _vm;
+      SimpleGridSettingsManagerVM<RiskManagementControl.Columns> _grid_settings_manager => _vm.grid_settings_manager;
+      SparkMenuDisplayVM _menu_display_vm;
+      IReadOnlyDictionary<uint, SecurityMD> _security_map = DictionaryHelper.empty<uint, SecurityMD>();
+
+      public RiskManagementWindow(
+         IBus bus,
+         AdminModel model,
+         IWindowSettingsManager<GridSettings> settings_manager,
+         ISaveWindow<RiskManagementSettings> isw,
+         RiskManagementSettings settings)
+         : base(window_type_display_name, bus, isw, Icons.Risk) {
+         //
+         _settings_manager = settings_manager;
+         _settings = settings;
+         _model = model;
+         thread_id = mbts.config.Configuration.get<bts.config.MultiThreadedWindows>().risk_management ? window_type_id : null;
+         _securities_sub = bus.subscribe(SparkTags.SecuritiesTag).Subscribe(sec_map => _security_map = sec_map);
+      }
+
+      public override IEnumerable<SparkCommand> Commands => _commands;
+      public override string window_type => window_type_id;
+
+      public override RiskManagementSettings SaveState =>
+         (_vm?.create() ?? RiskManagementSettings.Default).with(menu_display: _menu_display_vm.safe_create());
+
+      public override UIElement Content => _view;
+
+      public override double MinWidth =>
+         RiskManagementSettings.DefaultGrid.columns.Where(c => c.is_visible).Sum(gcs => gcs.width)
+            + SPARK_MENU_COLLAPSED_WIDTH
+            + LAUNCHER_BUTTON_BORDER_WIDTH
+            + EXTRA_FOR_NO_HORIZONTAL_SCROLLBAR_WIDTH;
+
+      public string thread_id { get; }
+
+      public override void Dispose() {
+         Disposable.dispose(ref _cmd_subscriptions);
+         _commands.empty_if_null().OfType<IDisposable>().DisposeAll();
+         Disposable.dispose(ref _securities_sub);
+         Disposable.dispose(ref _settings_sub);
+         Disposable.dispose(ref _vm);
+      }
+
+      public void thread_init() {
+         // assert nothing has been initialized yet
+         Log.assert(_menu_display_vm == null, "MenuDisplay viewmodel has already been initialized.");
+         Log.assert(_vm == null, "Viewmodel has already been initialized.");
+         Log.assert(_settings != null, "Settings is null.");
+         Log.assert(_settings_sub == null, "Grid settings subscription has already been initialized.");
+         // initialize everything: menu_display_vm, vm, settings subscription, and view
+         _menu_display_vm = _init_menu_display_vm(_settings.menu_display);
+         _vm = _init_vm(_bus.subscribe(SparkTags.SecuritiesTag), _model, _settings);
+         _settings_sub = _settings_manager.subscribe_current()
+            .OnDispatcher()
+            .Subscribe(gs => _vm.load_from(gs));
+         (_commands, _cmd_subscriptions) = _mk_commands();
+         _view = new RiskManagementControl { DataContext = _vm };
+      }
+
+      protected override void OnParentViewCreated(SparkWindowView parent_view) =>
+         _menu_display_vm.safe_bind_to_view(parent_view);
+
+      static SparkMenuDisplayVM _init_menu_display_vm(SparkMenuDisplaySettings settings) {
+         var vm = new SparkMenuDisplayVM();
+         vm.load_from(settings);
+         return vm;
+      }
+
+      static RiskManagementVM _init_vm(IObservable<IReadOnlyDictionary<uint, SecurityMD>> securities_source, AdminModel model, RiskManagementSettings settings) {
+         var vm = new RiskManagementVM(model.account_security_risk_limits, model.on_account_tuples);
+         vm.request_update_limit += update_limit;
+         vm.load_from(settings);
+         var vm_sec_sub = securities_source.OnDispatcher().Subscribe(sec_map => vm.security_map = sec_map);
+         vm.OnDisposed += _ => Disposable.dispose(ref vm_sec_sub);
+         return vm;
+         void update_limit(AccountSecurityRiskLimits lim) {
+            model.set_risk_limits(
+               MappedDictionary.create(
+               vm.build_account_limits_map(), acc_sec_lims => acc_sec_lims.Select(asl => (asl.security_key, asl.limits))))
+               .ignore();
+         }
+      }
+
+      (List<SparkCommand> cmds, IDisposable subscriptions) _mk_commands() {
+         var subs = new List<IDisposable>();
+         var cmds = new List<SparkCommand>();
+         cmds.Add(new SparkCommandCommand("Add New Limits", Icons.AddBoxes, new DialogCommand(() => {
+            if (_vm is null)
+               return null;
+            var account_id = _vm.selected_account?.id ?? 0;
+            var init_state = new RiskLimitsModification(
+               is_position_limit_enabled: true,
+               is_clip_limit_enabled: true,
+               is_price_limit_enabled: true);
+            return mk_row_editor_dialog(init_state, commit, true);
+            void commit(RiskLimitsModification result) {
+               impl();
+               async void impl() {
+                  var target_secs = await result.security_criteria.securities(_bus, TimeSpan.FromSeconds(5));
+                  if (target_secs.Count > 0) {
+                     var new_limits = result.apply(new RiskLimits());
+                     await _model.add_or_update_risk_limits(account_id, target_secs.Keys.Select(k => (k, new_limits)));
+                  }
+               }
+            }
+         })));
+         var edit_cmd = new DialogCommand(() => {
+            if (!(_vm?.selected_account).HasValue)
+               return null;
+            var account_id = _vm.selected_account.Value.id;
+            var targets = _vm.selected_rows.Select(r => r.data).ToList();
+            var init_state = RiskLimitsModification.aggregate_common_props(targets);
+            return mk_row_editor_dialog(init_state, commit, false);
+            void commit(RiskLimitsModification mod) =>
+               _vm.modify_rows(targets.WrapSelector(t => t.key, null), mod);
+         }, () => _vm.selected_rows.Count > 0, true, off_x: -300, off_y: -60);
+         _vm.selected_rows_changed += edit_cmd.RaiseCanExecuteChanged;
+         cmds.Add(new SparkCommandCommand("Edit Selected Rows", Icons.ModifyOrder, edit_cmd));
+         var revert_selected_rows_cmd = ObservantCommand.create(() => _vm?.revert(_vm.selected_rows), out var revert_selected_rows_observer);
+         subs.Add(_vm.subscribe_selected_rows()
+            .Select(srs => srs.Count > 0)
+            .And(_vm.subscribe_has_dirty_rows())
+            .OnDispatcher()
+            .Subscribe(revert_selected_rows_observer));
+         cmds.Add(new SparkCommandCommand("Revert Selected Rows", Icons.UndoCircular, revert_selected_rows_cmd));
+
+         cmds.Add(new SparkCommandCommand("Import Limits", Icons.Import,
+            FileDialogCommand.open_file(file => _vm?.import_limits(file), extensions: RiskLimitsParser.file_extension)));
+
+         var save_cmd = new SparkCommandCommand("Save", Icons.Disk, ObservantCommand.create(() => {
+            //_vm.selected_account.Value.id, _vm.rows.Where(r => r.)
+            var lims = _vm.build_account_limits_map();
+            var mlims = MappedDictionary.create(lims, l => l.Select(lim => (lim.security_key, lim.limits)));
+            _model.set_risk_limits(mlims).ignore();
+         }, out var save_observer));
+         cmds.Add(save_cmd);
+         subs.Add(_vm.subscribe_has_dirty_rows().OnDispatcher().Subscribe(save_observer));
+
+         var delete_cmd = new DelegateCommand(() => {
+            if (!(_vm?.selected_account).HasValue)
+               return;
+            var to_remove = _vm.selected_rows;
+            var account_id = _vm.selected_account.Value.id;
+            if (BTSMessageBox.Confirm($"Are you sure you want to delete the selected limits ({to_remove.Count})?", "Delete Limits")) {
+               // remove unpersisted limits first (i.e., imports), then delete the persisted ones.
+               foreach (var r in to_remove) {
+                  if (!r.is_persisted) {
+                     _vm.rows.RemoveSorted(r, _vm.row_comparer);
+                     to_remove = to_remove.Remove(r);
+                  }
+               }
+               _model.delete_risk_limits(account_id, to_remove.Select(r => r.security_key)).ignore();
+            }
+         }, () => _vm.selected_rows.Count > 0);
+         _vm.selected_rows_changed += delete_cmd.RaiseCanExecuteChanged;
+
+         cmds.Add(new SparkCommandCommand("Delete", Icons.Trash, delete_cmd));
+         // wrap the grid settings view factory in a dialogCommand here since the vm is destroyed/recreated when the security criteria changes
+         cmds.Add(SparkCommands.window_settings_command(new DialogCommand(() => {
+            if (_vm is null)
+               return null;
+            _settings_manager.instance_settings = _vm.create().grid;
+            var settings_vm = new ShellSettingsDialogVM<GridSettings, SimpleGridSettingsVM>(
+               _settings_manager,
+               us => us.risk_management_grid,
+               UserSettings.FileExtensions.GRID,
+               _grid_settings_manager.create_vm
+            );
+            settings_vm.SubscribeDisposed(literal_title_source.OnDispatcher().Subscribe(t => settings_vm.title = t));
+            var dialog = new ShellSettingsDialog { DataContext = settings_vm };
+            settings_vm.RequestClose += (s, e) => WindowUtilities.force_close(dialog);
+            return dialog;
+         })));
+         cmds.Add(_menu_display_vm.spark_cmd);
+         return (cmds, Disposable.wrap_collection(subs));
+
+         // although only the api only requires security keys,
+         // the actual securities are used in this method so the user can see them in the view
+         Window mk_row_editor_dialog(RiskLimitsModification init_state, Action<RiskLimitsModification> commit, bool is_add) {
+            var limits_vm = new RiskLimitsModificationVM(is_add) {
+               security_map = _security_map
+            };
+            limits_vm.load_from(init_state);
+            limits_vm.request_commit += () => commit(limits_vm.create());
+            var (title, icon) = is_add ? ("New Limits", Icons.AddBoxes) : ("Edit Limits", Icons.ModifyOrder);
+            var dialog = new RiskLimitParametersDialog {
+               DataContext = limits_vm,
+               Icon = icon,
+               Title = title
+            };
+            dialog.SetBinding(ContentControl.ContentProperty, new Binding());
+            WindowUtilities.listen_for_close_requests(dialog);
+            return dialog;
+         }
+      }
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/RiskManagementWindowFactory.cs

@@ -0,0 +1,34 @@
+using bts.api;
+using mbts.persist;
+using mbts.spark;
+using mbts.ui;
+using System;
+using System.Reactive.Linq;
+using System.Threading.Tasks;
+
+namespace bts.shell.risk_management {
+   class RiskManagementWindowFactory : ShellWindowFactory<RiskManagementSettings> {
+      readonly IBus _bus;
+      readonly AdminModel _model;
+      readonly UserSettingsHub _settings_hub;
+
+      public RiskManagementWindowFactory(IShellModule owner, IBus bus, UserSettingsHub settings_hub, AdminModel model) : base(owner, "RiskManagement") {
+         _bus = bus;
+         _model = model;
+         _settings_hub = settings_hub;
+         _dispose = bus.subscribe(SparkTags.ShowRiskManagement)
+            .OnDispatcher()
+            .Subscribe(show);
+
+         async void show(RiskManagementSettings settings) {
+            var win = await load(settings);
+            bus.post(SparkTags.ShowWindow, win);
+         }
+      }
+
+      public override Task<IShellWindow> load(RiskManagementSettings state) =>
+         state is null ?
+            throw new ArgumentNullException(nameof(state)) :
+            Task.FromResult<IShellWindow>(new RiskManagementWindow(_bus, _model, _settings_hub.create_risk_management_settings_manager(state.grid), this, state));
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/Settings/RiskManagementFilterSettings.cs

@@ -0,0 +1,138 @@
+using bts.admin.risk;
+using bts.utils;
+using mbts.spark.filters;
+using ProtoBuf;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace bts.shell.risk_management {
+   [ProtoContract]
+   class RiskManagementFilterSettings : IEquatable<RiskManagementFilterSettings> {
+      static readonly IEqualityComparer<RiskManagementFilterSettings> _comparer =
+         ObjectSnapshot.property_equality_comparer<RiskManagementFilterSettings>();
+
+      public RiskManagementFilterSettings() { }
+
+      public RiskManagementFilterSettings(
+         string security_regex,
+         string security_key_regex,
+         UIntMinMaxState max_long_position,
+         UIntMinMaxState max_short_position,
+         bool? is_position_limit_enabled,
+         UIntMinMaxState clip_limit,
+         bool? is_clip_limit_enabled,
+         DoubleMinMaxState min_price,
+         DoubleMinMaxState max_price,
+         bool? is_price_limit_enabled) {
+         // security
+         this.security_regex = security_regex;
+         this.security_key_regex = security_key_regex;
+         // position
+         this.max_long_position = max_long_position;
+         this.max_short_position = max_short_position;
+         this.is_position_limit_enabled = is_position_limit_enabled;
+         // clip
+         this.clip_limit = clip_limit;
+         this.is_clip_limit_enabled = is_clip_limit_enabled;
+         // price
+         this.min_price = min_price;
+         this.max_price = max_price;
+         this.is_price_limit_enabled = is_price_limit_enabled;
+      }
+
+      // security
+      [ProtoMember(1)]
+      public string security_regex { get; }
+      [ProtoMember(2)]
+      public string security_key_regex { get; }
+      // position
+      [ProtoMember(3)]
+      public UIntMinMaxState max_long_position { get; }
+      [ProtoMember(4)]
+      public UIntMinMaxState max_short_position { get; }
+      [ProtoMember(5)]
+      public bool? is_position_limit_enabled { get; }
+      // clip
+      [ProtoMember(6)]
+      public UIntMinMaxState clip_limit { get; }
+      [ProtoMember(7)]
+      public bool? is_clip_limit_enabled { get; }
+      // price
+      [ProtoMember(8)]
+      public DoubleMinMaxState min_price { get; }
+      [ProtoMember(9)]
+      public DoubleMinMaxState max_price { get; }
+      [ProtoMember(10)]
+      public bool? is_price_limit_enabled { get; }
+
+      // 'is limit enabled' items (for filter dropdown)
+      public bool[] is_position_limit_enabled_items => yes_no_filter_items(is_position_limit_enabled);
+      public bool[] is_clip_limit_enabled_items => yes_no_filter_items(is_clip_limit_enabled);
+      public bool[] is_price_limit_enabled_items => yes_no_filter_items(is_price_limit_enabled);
+
+      public static bool[] yes_no_filter_items(bool? state) =>
+          state.HasValue ? new[] { state.Value } : Array.Empty<bool>();
+
+      public static bool? yes_no_filter_state(IEnumerable<bool> selected_items) {
+         var set = new HashSet<bool>(selected_items);
+         return set.Count == 1 ? set.First() : (bool?)null;
+      }
+
+      public Func<AccountSecurityRiskLimits, bool> build_predicate() {
+         var pb = new ColumnPredicateBuilder<AccountSecurityRiskLimits>();
+         // security
+         pb.add_regex(security_regex, l => l.security.ToString());
+         pb.add_regex(security_key_regex, l => l.security_key.ToString());
+         // position
+         pb.add_numeric(max_long_position, l => l.limits.max_long_position);
+         pb.add_numeric(max_short_position, l => l.limits.max_short_position);
+         pb.add_discrete_values(is_position_limit_enabled_items, l => l.limits.is_position_limit_enabled);
+         // clip
+         pb.add_numeric(clip_limit, l => l.limits.clip_limit);
+         pb.add_discrete_values(is_clip_limit_enabled_items, l => l.limits.is_clip_limit_enabled);
+         // price
+         pb.add_numeric(min_price, l => l.limits.min_price);
+         pb.add_numeric(max_price, l => l.limits.max_price);
+         pb.add_discrete_values(is_price_limit_enabled_items, l => l.limits.is_price_limit_enabled);
+         return pb.to_predicate();
+      }
+
+      public RiskManagementFilterSettings with(
+         string security_regex = null,
+         string security_key_regex = null,
+         UIntMinMaxState max_long_position = null,
+         UIntMinMaxState max_short_position = null,
+         OptionalNullable<bool>? is_position_limit_enabled = null,
+         UIntMinMaxState clip_limit = null,
+         OptionalNullable<bool>? is_clip_limit_enabled = null,
+         DoubleMinMaxState min_price = null,
+         DoubleMinMaxState max_price = null,
+         OptionalNullable<bool>? is_price_limit_enabled = null) =>
+         //
+         new RiskManagementFilterSettings(
+            // security
+            security_regex ?? this.security_regex,
+            security_key_regex ?? this.security_key_regex,
+            // position
+            max_long_position ?? this.max_long_position,
+            max_short_position ?? this.max_short_position,
+            is_position_limit_enabled.HasValue ? is_position_limit_enabled.Value.value : this.is_position_limit_enabled,
+            // clip
+            clip_limit ?? this.clip_limit,
+            is_clip_limit_enabled.HasValue ? is_clip_limit_enabled.Value.value : this.is_clip_limit_enabled,
+            // price
+            min_price ?? this.min_price,
+            max_price ?? this.max_price,
+            is_price_limit_enabled.HasValue ? is_price_limit_enabled.Value.value : this.is_price_limit_enabled);
+
+      public bool Equals(RiskManagementFilterSettings other) =>
+         _comparer.Equals(this, other);
+
+      public override bool Equals(object obj) =>
+         obj is RiskManagementFilterSettings other && Equals(other);
+
+      public override int GetHashCode() =>
+         _comparer.GetHashCode(this);
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/Settings/RiskManagementSettings.cs

@@ -0,0 +1,93 @@
+using mbts.ui;
+using mbts.ui.settings;
+using ProtoBuf;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Windows;
+using Columns = bts.shell.risk_management.RiskManagementControl.Columns;
+using ColumnWidths = mbts.ui.controls.DIYGrid.DefaultColumnWidths;
+using ColumnHeaders = mbts.ui.controls.DIYGrid.DefaultColumnHeaders;
+
+namespace bts.shell.risk_management {
+   [ProtoContract]
+   class RiskManagementSettings {
+      [ProtoMember(3)]
+      SortingCriteria[] _sorting_criteria;
+
+      public RiskManagementSettings() { }
+      public RiskManagementSettings(
+         GridSettings grid = null,
+         RiskManagementFilterSettings filters = default,
+         IEnumerable<SortingCriteria> sorting_criteria = null,
+         uint account_id = 0,
+         SparkMenuDisplaySettings? menu_display = null) {
+         //
+         this.grid = grid;
+         this.filters = filters ?? new RiskManagementFilterSettings();
+         _sorting_criteria = sorting_criteria?.ToArray();
+         this.account_id = account_id;
+         this.menu_display = menu_display ?? SparkMenuDisplaySettings.Default;
+      }
+
+      public static RiskManagementSettings Default => new RiskManagementSettings(grid: DefaultGrid);
+      public static GridSettings DefaultGrid => new GridSettings(columns: DefaultColumns.all);
+
+      [ProtoMember(1)]
+      public GridSettings grid { get; }
+      [ProtoMember(2)]
+      public RiskManagementFilterSettings filters { get; }
+      [ProtoMember(4)]
+      public uint account_id { get; }
+      [ProtoMember(5)]
+      public SparkMenuDisplaySettings menu_display { get; }
+
+      public IReadOnlyList<SortingCriteria> sorting_criteria =>
+         _sorting_criteria ?? Array.Empty<SortingCriteria>();
+
+      public RiskManagementSettings with(
+         GridSettings grid = null,
+         RiskManagementFilterSettings filters = default,
+         IEnumerable<SortingCriteria> sorting_criteria = null,
+         uint? account_id = null,
+         SparkMenuDisplaySettings? menu_display = null) =>
+         //
+         new RiskManagementSettings(
+            grid ?? this.grid,
+            filters ?? this.filters,
+            sorting_criteria ?? this.sorting_criteria,
+            account_id ?? this.account_id,
+            menu_display ?? this.menu_display);
+
+      public static class DefaultColumns {
+         public static GridColumnSettings security => new GridColumnSettings(Columns.Security.ToString(), ColumnHeaders.Security, width: ColumnWidths.SecurityKey);
+         public static GridColumnSettings security_key => new GridColumnSettings(Columns.SecurityKey.ToString(), ColumnHeaders.SecurityKey, width: ColumnWidths.SecurityKey, is_visible: false);
+         // position
+         public static GridColumnSettings max_long => new GridColumnSettings(Columns.MaxNetLongPosition.ToString(), "Max Long", width: 60, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings max_short => new GridColumnSettings(Columns.MaxNetShortPosition.ToString(), "Max Short", width: 60, horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings is_position_limit_enabled => new GridColumnSettings(Columns.IsPositionLimitEnabled.ToString(), "Enforce Pos", width: 70, horizontal_alignment: HorizontalAlignment.Center);
+         // clip
+         public static GridColumnSettings clip_limit => new GridColumnSettings(Columns.ClipLimit.ToString(), "Clip Limit", horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings is_clip_limit_enabled => new GridColumnSettings(Columns.IsClipLimitEnabled.ToString(), "Enforce Clip", width: 70, horizontal_alignment: HorizontalAlignment.Center);
+         // price
+         public static GridColumnSettings min_price => new GridColumnSettings(Columns.MinPrice.ToString(), "Min Price", horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings max_price => new GridColumnSettings(Columns.MaxPrice.ToString(), "Max Price", horizontal_alignment: HorizontalAlignment.Right);
+         public static GridColumnSettings is_price_limit_enabled => new GridColumnSettings(Columns.IsPriceLimitEnabled.ToString(), "Enforce Price", width: 75, horizontal_alignment: HorizontalAlignment.Center);
+
+         public static IEnumerable<GridColumnSettings> all {
+            get {
+               yield return security;
+               yield return max_long;
+               yield return max_short;
+               yield return is_position_limit_enabled;
+               yield return clip_limit;
+               yield return is_clip_limit_enabled;
+               yield return min_price;
+               yield return max_price;
+               yield return is_price_limit_enabled;
+               yield return security_key;
+            }
+         }
+      }
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/VM/RiskLimitsImportConflictsVM.cs

@@ -0,0 +1,105 @@
+using bts.api;
+using bts.collections;
+using mbts;
+using mbts.collections;
+using mbts.ui;
+using mbts.ui.shell;
+using mbts.ui.utility;
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.ComponentModel;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows.Data;
+using System.Windows.Input;
+using Component = bts.shell.risk_management.RiskLimitsImportConflictsView.RiskLimitsComponent;
+
+namespace bts.shell.risk_management {
+   class RiskLimitsImportVM : DisposableViewModelBase, IRequestViewClose {
+      readonly RefCountMap<ParsedRiskLimits> _conflicts = new RefCountMap<ParsedRiskLimits>();
+      IReadOnlyDictionary<uint, SecurityMD> _security_map = DictionaryHelper.empty<uint, SecurityMD>();
+
+      public RiskLimitsImportVM(int num_limits) {
+         rows_view = CollectionViewSource.GetDefaultView(rows);
+         ok_cmd = new DelegateCommand(() => import_request?.Invoke());
+         cancel_cmd = new DelegateCommand(() => RequestClose?.Invoke(this, new EventArgs()));
+         this.num_limits = num_limits;
+         _dispose = ObservableAutoWrapper.connect_item_hooks(rows, r =>
+            r.subscribe_has_error().Subscribe(has_error => {
+               if (has_error) {
+                  if (r.affected_limits.Count(_conflicts.increment_adds_key) == 0)
+                     return;
+               } else if (r.affected_limits.Count(_conflicts.decrement_removes_key) == 0)
+                  return;
+               RaisePropertyChanged(nameof(num_successfully_parsed_limits));
+            }));
+      }
+
+      public event Action import_request;
+      public event EventHandler RequestClose;
+
+      public ObservableCollection<Row> rows { get; } = new ObservableCollection<Row>();
+      public ICollectionView rows_view { get; }
+      public int num_limits { get; }
+      public int num_successfully_parsed_limits => num_limits - _conflicts.Count;
+      // misc items sources
+      public IEnumerable<Side> sides => new[] { Side.Buy, Side.Sell };
+      public ObservableCollection<AccountTuple?> accounts { get; } = new ObservableCollection<AccountTuple?>();
+      public IReadOnlyDictionary<uint, SecurityMD> security_map {
+         get => _security_map;
+         set {
+            if (!ReferenceEquals(_security_map, value)) {
+               _security_map = value;
+               _resolve_securities();
+               RaisePropertyChanged();
+            }
+         }
+      }
+      // commands
+      public ICommand ok_cmd { get; }
+      public ICommand cancel_cmd { get; }
+
+      void _resolve_securities() {
+         if (_security_map == null)
+            return;
+         var reverse_lookup = RiskLimitsParser.reverse_lookup(MappedDictionary.create(_security_map, v => v.security.ToString()));
+         foreach (var r in rows) {
+            if (r.component == Component.Security && r.has_error) {
+               var id = reverse_lookup(r.text);
+               if (id != 0 && _security_map.TryGetValue(id, out var smd))
+                  r.value = smd.security;
+            }
+         }
+      }
+
+      public class Row : ViewModelBase, ITemplateSelectorKey {
+         readonly DelegateProperty<bool> _has_error;
+         object _value;
+         string _text;
+
+         public Row(Component component, string text, IReadOnlyCollection<ParsedRiskLimits> affected_limits, object error_value, object value) {
+            this.component = component;
+            this.text = text;
+            this.affected_limits = affected_limits;
+            _value = value;
+            _has_error = backing(nameof(has_error), () => Equals(this.value, error_value));
+         }
+
+         public Component component { get; }
+         public string text { get => _text; set => Set(ref _text, value); }
+         public IReadOnlyCollection<ParsedRiskLimits> affected_limits { get; }
+         public object value {
+            get => _value;
+            set {
+               if (Set(ref _value, value))
+                  _has_error.refresh();
+            }
+         }
+         public bool has_error => _has_error.Value;
+         string ITemplateSelectorKey.key => component.ToString();
+
+         public IObservable<bool> subscribe_has_error() => _has_error.observe_current(true);
+      }
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/VM/RiskLimitsModificationVM.cs

@@ -0,0 +1,201 @@
+using bts.admin.risk;
+using bts.api;
+using bts.utils;
+using mbts;
+using mbts.spark;
+using mbts.ui;
+using mbts.ui.shell;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Runtime.CompilerServices;
+using System.Windows.Input;
+
+namespace bts.shell.risk_management {
+   class RiskLimitsModificationVM : ViewModelBase, IValueFactory<RiskLimitsModification>, IRequestViewClose {
+      readonly DeferrableActionWrapper _result_changed;
+      RiskLimitsModification _modifications;
+      IReadOnlyDictionary<uint, SecurityMD> _security_map = DictionaryHelper.empty<uint, SecurityMD>();
+
+      public RiskLimitsModificationVM(bool can_edit_security) {
+         _result_changed = new DeferrableActionWrapper(() => result_changed?.Invoke());
+         this.can_edit_security = can_edit_security;
+         commit_cmd = new DelegateCommand(commit);
+         cancel_cmd = new DelegateCommand(close);
+         //
+         void commit() {
+            request_commit?.Invoke();
+            close();
+         }
+         void close() =>
+            RequestClose?.Invoke(this, EventArgs.Empty);
+      }
+
+      public event Action result_changed, request_commit;
+      public event EventHandler RequestClose;
+
+      public SecurityImmutable? security { get => _modifications.security; set => _set_limits(_modifications.with(security: value)); }
+      public SecurityCriteria security_criteria {
+         get => _modifications.security_criteria ?? (security.HasValue ? SecurityCriteria.from_securities(security.Value) : null);
+         set => _set_limits(_modifications.with(security_criteria: value));
+      }
+      public IReadOnlyDictionary<uint, SecurityMD> security_map {
+         get => _security_map;
+         set {
+            _security_map = value;
+            RaisePropertyChanged();
+         }
+      }
+      public bool can_edit_security { get; }
+      // position
+      public uint? max_long_position { get => _modifications.max_long_position; set => _set_limits(_modifications.with(max_long_position: value)); }
+      public uint? max_short_position { get => _modifications.max_short_position; set => _set_limits(_modifications.with(max_short_position: value)); }
+      public bool? is_position_limit_enabled { get => _modifications.is_position_limit_enabled; set => _set_limits(_modifications.with(is_position_limit_enabled: value)); }
+      // clip
+      public bool? is_clip_limit_enabled { get => _modifications.is_clip_limit_enabled; set => _set_limits(_modifications.with(is_clip_limit_enabled: value)); }
+      public uint? clip_limit { get => _modifications.clip_limit; set => _set_limits(_modifications.with(clip_limit: value)); }
+      // price
+      public double? max_price { get => _modifications.max_price; set => _set_limits(_modifications.with(max_price: value)); }
+      public double? min_price { get => _modifications.min_price; set => _set_limits(_modifications.with(min_price: value)); }
+      public bool? is_price_limit_enabled { get => _modifications.is_price_limit_enabled; set => _set_limits(_modifications.with(is_price_limit_enabled: value)); }
+
+      public ICommand commit_cmd { get; }
+      public ICommand cancel_cmd { get; }
+
+      public RiskLimitsModification create() =>
+         _modifications;
+
+      public void load_from(RiskLimitsModification value) {
+         using (_result_changed.defer_execution())
+         using (detect_property_changes())
+            _modifications = value;
+      }
+
+      void _set_limits(RiskLimitsModification new_modifications, [CallerMemberName] string prop = "") =>
+         _set_limits(new_modifications, new[] { prop });
+
+      void _set_limits(RiskLimitsModification new_modifications, params string[] invalidate_props) {
+         if (!_modifications.Equals(new_modifications)) {
+            _modifications = new_modifications;
+            RaisePropertyChanged(invalidate_props);
+            _result_changed.execute();
+         }
+      }
+   }
+
+   readonly struct RiskLimitsModification {
+      public RiskLimitsModification(
+         SecurityImmutable? security = null,
+         SecurityCriteria security_criteria = null,
+         AccountTuple? account = null,
+         uint? max_long_position = null,
+         uint? max_short_position = null,
+         bool? is_position_limit_enabled = null,
+         uint? clip_limit = null,
+         bool? is_clip_limit_enabled = null,
+         double? min_price = null,
+         double? max_price = null,
+         bool? is_price_limit_enabled = null) {
+         //
+         this.security = security;
+         this.security_criteria = security_criteria;
+         this.account = account;
+         this.max_long_position = max_long_position;
+         this.max_short_position = max_short_position;
+         this.is_position_limit_enabled = is_position_limit_enabled;
+         this.clip_limit = clip_limit;
+         this.is_clip_limit_enabled = is_clip_limit_enabled;
+         this.min_price = min_price;
+         this.max_price = max_price;
+         this.is_price_limit_enabled = is_price_limit_enabled;
+      }
+
+      public SecurityImmutable? security { get; }
+      public SecurityCriteria security_criteria { get; }
+      public AccountTuple? account { get; }
+      // position
+      public uint? max_long_position { get; }
+      public uint? max_short_position { get; }
+      public bool? is_position_limit_enabled { get; }
+      // clip
+      public uint? clip_limit { get; }
+      public bool? is_clip_limit_enabled { get; }
+      // price
+      public double? min_price { get; }
+      public double? max_price { get; }
+      public bool? is_price_limit_enabled { get; }
+
+      public static RiskLimitsModification aggregate_common_props(IEnumerable<AccountSecurityRiskLimits> limit_items) =>
+         new RiskLimitsModification(
+            _common_value(limit_items, l => l.security, s => s),
+            null,
+            _common_value(limit_items, l => new AccountTuple(l.account_key, l.account_name)),
+            _common_value(limit_items, l => l.limits.max_long_position),
+            _common_value(limit_items, l => l.limits.max_short_position),
+            _common_value(limit_items, l => l.limits.is_position_limit_enabled),
+            _common_value(limit_items, l => l.limits.clip_limit),
+            _common_value(limit_items, l => l.limits.is_clip_limit_enabled),
+            _common_value(limit_items, l => l.limits.min_price),
+            _common_value(limit_items, l => l.limits.max_price),
+            _common_value(limit_items, l => l.limits.is_price_limit_enabled));
+
+      public RiskLimits apply(RiskLimits target) =>
+         new RiskLimits(
+            is_position_limit_enabled: is_position_limit_enabled ?? target.is_position_limit_enabled,
+            max_long_position: max_long_position ?? target.max_long_position,
+            max_short_position: max_short_position ?? target.max_short_position,
+            is_clip_limit_enabled: is_clip_limit_enabled ?? target.is_clip_limit_enabled,
+            clip_limit: clip_limit ?? target.clip_limit,
+            is_price_limit_enabled: is_price_limit_enabled ?? target.is_price_limit_enabled,
+            min_price: min_price ?? target.min_price,
+            max_price: max_price ?? target.max_price);
+
+      public RiskLimitsModification with(RiskLimitsModification other_mod) =>
+         with(
+            other_mod.security.HasValue ? other_mod.security.Value : security,
+            other_mod.account.HasValue ? other_mod.account.Value : account,
+            security_criteria: other_mod.security_criteria ?? security_criteria,
+            max_long_position: other_mod.max_long_position ?? max_long_position,
+            max_short_position: other_mod.max_short_position ?? max_short_position,
+            is_position_limit_enabled: other_mod.is_position_limit_enabled ?? is_position_limit_enabled,
+            clip_limit: other_mod.clip_limit ?? clip_limit,
+            is_clip_limit_enabled: other_mod.is_clip_limit_enabled ?? is_clip_limit_enabled,
+            min_price: other_mod.min_price ?? min_price,
+            max_price: other_mod.max_price ?? max_price,
+            is_price_limit_enabled: other_mod.is_price_limit_enabled ?? is_price_limit_enabled);
+         //new RiskLimitsModification(security: other_mod.security ?? security,
+         //   security_criteria: other_mod.security ?? security);
+
+      public RiskLimitsModification with(
+         OptionalNullable<SecurityImmutable>? security = null,
+         OptionalNullable<AccountTuple>? account = null,
+         SecurityCriteria security_criteria = null,
+         OptionalNullable<uint>? max_long_position = null,
+         OptionalNullable<uint>? max_short_position = null,
+         OptionalNullable<bool>? is_position_limit_enabled = null,
+         OptionalNullable<uint>? clip_limit = null,
+         OptionalNullable<bool>? is_clip_limit_enabled = null,
+         OptionalNullable<double>? min_price = null,
+         OptionalNullable<double>? max_price = null,
+         OptionalNullable<bool>? is_price_limit_enabled = null) =>
+         //
+         new RiskLimitsModification(
+            security.HasValue ? security.Value.value : this.security,
+            security_criteria ?? this.security_criteria,
+            account.HasValue ? account.Value.value : this.account,
+            max_long_position.HasValue ? max_long_position.Value.value : this.max_long_position,
+            max_short_position.HasValue ? max_short_position.Value.value : this.max_short_position,
+            is_position_limit_enabled.HasValue ? is_position_limit_enabled.Value.value : this.is_position_limit_enabled,
+            clip_limit.HasValue ? clip_limit.Value.value : this.clip_limit,
+            is_clip_limit_enabled.HasValue ? is_clip_limit_enabled.Value.value : this.is_clip_limit_enabled,
+            min_price.HasValue ? min_price.Value.value : this.min_price,
+            max_price.HasValue ? max_price.Value.value : this.max_price,
+            is_price_limit_enabled.HasValue ? is_price_limit_enabled.Value.value : this.is_price_limit_enabled);
+
+      static T? _common_value<T>(IEnumerable<AccountSecurityRiskLimits> source, Func<AccountSecurityRiskLimits, T> get) where T : struct =>
+         _common_value(source, get, common => new T?(common));
+
+      static TResult _common_value<T, TResult>(IEnumerable<AccountSecurityRiskLimits> source, Func<AccountSecurityRiskLimits, T> get, Func<T, TResult> convert_common, TResult default_value = default) =>
+         source.Select(get).Distinct().TryGetSingle(out var common) ? convert_common(common) : default_value;
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/VM/RiskLimitsVM.cs

@@ -0,0 +1,115 @@
+using bts.admin.risk;
+using bts.api;
+using bts.utils;
+using mbts.ui;
+using mbts.ui.shell;
+using System;
+
+namespace bts.shell.risk_management {
+   class RiskLimitsVM : ViewModelBase, IEquatable<RiskLimitsVM> {
+      RiskLimitsVM(AccountSecurityKey id) =>
+         this.id = id;
+
+      public event Action request_commit;
+
+      /// The user can modify some props directly in the grid,
+      /// which may or may not give the row a new sort-position.
+      /// For this reason, the owner-viewmodel (<see cref="RiskManagementVM"/>)
+      /// is notified both immediately before, and after the changes are reflected in <see cref="data"/>.
+      /// By responding to those events, the owner-viewmodel can safely process any
+      /// sorting-changes without breaking binary search functionality.
+      /// <see cref="value_changing"/>, <see cref="value_changed"/>
+
+      /// <summary>
+      /// This event is raised just before a new value is assigned to <see cref="data"/>.
+      /// </summary>
+      public event Action<(AccountSecurityRiskLimits old_value, AccountSecurityRiskLimits new_value)> value_changing;
+      /// <summary>
+      /// This event is raised immediately after a new value is assigned to <see cref="data"/>.
+      /// </summary>
+      public event Action<(AccountSecurityRiskLimits old_value, AccountSecurityRiskLimits new_value)> value_changed;
+      public event Action is_dirty_changed;
+
+      public AccountSecurityKey id { get; }
+      public SecurityImmutable? security => data.security;
+      public string security_text => is_persisted ? security.ToString() : $"*{security}";
+      public uint security_key => data.security_key;
+      public string account_name => data.account_name;
+      public uint account_key => data.key.account;
+      // position limit
+      public bool is_position_limit_enabled { get => _limits.is_position_limit_enabled; set => _modify(new RiskLimitsModification(is_position_limit_enabled: value)); }
+      public uint max_long_position { get => _limits.max_long_position; set => _modify(new RiskLimitsModification(max_long_position: value)); }
+      public uint max_short_position { get => _limits.max_short_position; set => _modify(new RiskLimitsModification(max_short_position: value)); }
+      // clip limit
+      public bool is_clip_limit_enabled { get => _limits.is_clip_limit_enabled; set => _modify(new RiskLimitsModification(is_clip_limit_enabled: value)); }
+      public uint clip_limit { get => _limits.clip_limit; set => _modify(new RiskLimitsModification(clip_limit: value)); }
+      // price limit
+      public bool is_price_limit_enabled { get => _limits.is_price_limit_enabled; set => _modify(new RiskLimitsModification(is_price_limit_enabled: value)); }
+      public double min_price { get => _limits.min_price; set => _modify(new RiskLimitsModification(min_price: value)); }
+      public double max_price { get => _limits.max_price; set => _modify(new RiskLimitsModification(max_price: value)); }
+
+      public bool is_persisted => committed_data.HasValue;
+      public bool is_dirty => !committed_data.HasValue || !committed_data.Value.Equals(data);
+
+      public AccountSecurityRiskLimits data { get; private set; }
+      public AccountSecurityRiskLimits? committed_data { get; private set; }
+      RiskLimits _limits => data.limits;
+
+      public static RiskLimitsVM create_placeholder(AccountSecurityRiskLimits state) {
+         var vm = new RiskLimitsVM(state.key);
+         vm.load(state, false);
+         return vm;
+      }
+
+      public static RiskLimitsVM create_persisted(AccountSecurityRiskLimits state) {
+         var vm = new RiskLimitsVM(state.key);
+         vm.load(state, true);
+         return vm;
+      }
+
+      public void load(AccountSecurityRiskLimits new_state, bool is_committed) {
+         using (detect_property_changes()) {
+            bool was_dirty = is_dirty;
+            if (is_committed)
+               committed_data = new_state;
+            if (!data.Equals(new_state)) {
+               value_changing?.Invoke((data, new_state));
+               var orig_state = data;
+               data = new_state;
+               value_changed?.Invoke((orig_state, new_state));
+            }
+            if (is_dirty != was_dirty)
+               is_dirty_changed?.Invoke();
+         }
+      }
+
+      public bool Equals(RiskLimitsVM other) =>
+         other != null && id == other.id;
+
+      public override bool Equals(object obj) =>
+         Equals(obj as RiskLimitsVM);
+
+      public override int GetHashCode() =>
+         id.GetHashCode();
+
+      void _modify(RiskLimitsModification mod) {
+         var new_value = data.with(limits: mod.apply(data.limits));
+         if (committed_data.HasValue) {
+            // if the user just toggled one of the limits on/off, request an immediate update to persist the change
+            // (the on/off toggles are the only props that can be edited directly in the grid,
+            // the user might find it annoying if they have to click 'Save' just to turn the limits on/off.
+            var clims = committed_data.Value.limits;
+            load(new_value, false);
+            var revert_mod = new RiskLimitsModification(is_position_limit_enabled: clims.is_position_limit_enabled, is_clip_limit_enabled: clims.is_clip_limit_enabled, is_price_limit_enabled: clims.is_price_limit_enabled);
+            var reverted_lims = new_value = new_value.with(limits: revert_mod.apply(new_value.limits));
+            if (reverted_lims.limits.Equals(clims)) {
+               // since only the limit toggle props were reverted,
+               // the above equality indicates that only the limit toggle props were modified.
+               request_commit?.Invoke();
+            }
+         } else {
+            load(new_value, false);
+         }
+      }
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/VM/RiskManagementVM.cs

@@ -0,0 +1,478 @@
+using bts.admin.risk;
+using bts.api.core;
+using bts.collections;
+using bts.utils;
+using mbts;
+using mbts.spark;
+using mbts.spark.filters;
+using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.settings;
+using mbts.ui.shell;
+using mbts.ui.utility;
+using mbts.utils;
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+using System.Collections.ObjectModel;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Windows.Controls;
+using Columns = bts.shell.risk_management.RiskManagementControl.Columns;
+
+namespace bts.shell.risk_management {
+   class RiskManagementColumnModel : DIYGridColumnModel<Columns, AccountSecurityRiskLimits, RiskManagementFilterSettings> {
+      public RiskManagementColumnModel(Columns id, IComparer<AccountSecurityRiskLimits> data_comparer, IDataGridColumnFilter<AccountSecurityRiskLimits> filter, string filter_template, Func<RiskManagementFilterSettings, object> get_column_filter_settings, Func<RiskManagementFilterSettings, object, RiskManagementFilterSettings> set_column_filter_settings)
+         : base(id, data_comparer, filter, filter_template, get_column_filter_settings, set_column_filter_settings) {
+      }
+   }
+
+   class RiskManagementVM : DisposableViewModelBase, IHandleGridSorting, IHandleRowSelection, IValueFactory<RiskManagementSettings> {
+      static readonly IComparer<AccountSecurityRiskLimits> _data_row_id_comparer =
+         new ComparerBuilder<AccountSecurityKey>(new[] {
+            Comparer<uint>.Default.wrap<uint, AccountSecurityKey>(ask => ask.account),
+            Comparer<uint>.Default.wrap<uint, AccountSecurityKey>(ask => ask.security)
+         }).to_comparer()
+         .wrap<AccountSecurityKey, AccountSecurityRiskLimits>(r => r.key);
+
+      static IComparer<RiskLimitsVM> _row_id_comparer =>
+         _data_row_id_comparer.wrap<AccountSecurityRiskLimits, RiskLimitsVM>(r => r.data);
+
+      readonly DeferrableActionWrapper _refresh_filter_changed, _selected_rows_changed, _dirty_rows_changed;
+      readonly ColumnSortManager _sort_manager;
+      readonly ObservableCollection<RiskManagementColumnModel> _columns = new ObservableCollection<RiskManagementColumnModel>();
+      readonly Dictionary<Columns, RiskManagementColumnModel> _column_map = new Dictionary<Columns, RiskManagementColumnModel>();
+      readonly SelectorVM<AccountTuple?, uint> _accounts_vm = new SelectorVM<AccountTuple?, uint>(acc => acc?.id ?? 0) { comparer = Comparer<AccountTuple>.Default.to_nullable() };
+      IList<AccountSecurityRiskLimits> _data_rows;
+      ImmutableSortedSet<RiskLimitsVM> _selected_rows = ImmutableSortedSet.Create(_row_id_comparer);
+      IComparer<AccountSecurityRiskLimits> _data_comparer = _data_row_id_comparer;
+      IComparer<RiskLimitsVM> _row_comparer;
+      IDisposable _import_limits_op;
+      ImmutableDictionary<AccountSecurityKey, RiskLimitsVM> _dirty_rows = ImmutableDictionary<AccountSecurityKey, RiskLimitsVM>.Empty;
+      Dictionary<AccountSecurityKey, RiskLimitsVM> _imported_row_map = new Dictionary<AccountSecurityKey, RiskLimitsVM>();
+      Dictionary<AccountSecurityKey, RiskLimitsVM> _row_cache = new Dictionary<AccountSecurityKey, RiskLimitsVM>();
+
+      public RiskManagementVM(IObservable<TableUpdate<AccountSecurityRiskLimits, AccountSecurityKey>> data_source, IObservable<IReadOnlyList<AccountTuple>> accounts_source) {
+         _selected_rows_changed = new DeferrableActionWrapper(() => selected_rows_changed?.Invoke());
+         _refresh_filter_changed = new DeferrableActionWrapper(() => _filter_changed?.Invoke(_mk_filter()));
+         _dirty_rows_changed = new DeferrableActionWrapper(() => dirty_rows_changed?.Invoke(dirty_rows));
+         _sort_manager = new ColumnSortManager(_columns.OfType<ISortableDIYGridColumn>(), null);
+         _sort_manager.active_sorting_changed += () =>
+            data_comparer = _sort_manager.BuildComparer(id => _find_column(id)?.row_comparer, _data_comparer);
+         _data_rows = rows.WrapSelector(r => r.data, null);
+         _accounts_vm.selected_item_changed += () => {
+            RaisePropertyChanged(nameof(selected_account));
+            _refresh_filter_changed.execute();
+         };
+         column_map = FunctionalIndex.create<string, RiskManagementColumnModel>(_find_column);
+         grid_settings_manager = new SimpleGridSettingsManagerVM<Columns>(
+            _columns, null, ordered_cols => {
+               CollectionHelper.sync_with_never_duplicate(_columns, ordered_cols, cs => {
+                  throw new InvalidOperationException();
+               }, c => c.id.ToString(), cs => cs.id);
+            }, null);
+         /////////////////
+         // Columns
+         /////////////////
+         // security
+         mk_column_model(
+            Columns.Security,
+            wrap_comp(r => r.security),
+            new RegexFilterVM<AccountSecurityRiskLimits>(r => r.security.ToString(), null),
+            DataGridFilterKnownTemplates.Regex,
+            fs => fs.security_regex,
+            (fs, v) => fs.with(security_regex: v));
+         // security key
+         mk_column_model(
+            Columns.SecurityKey,
+            wrap_comp(r => r.security_key),
+            new RegexFilterVM<AccountSecurityRiskLimits>(r => r.security_key.ToString(), null),
+            DataGridFilterKnownTemplates.Regex,
+            fs => fs.security_key_regex,
+            (fs, v) => fs.with(security_key_regex: v));
+         // max long
+         mk_column_model(
+            Columns.MaxNetLongPosition,
+            wrap_comp(r => r.limits.max_long_position),
+            new UIntMinMax<AccountSecurityRiskLimits>(
+               r => r.limits.max_long_position,
+               null),
+            DataGridFilterKnownTemplates.UIntMinMax,
+            fs => fs.max_long_position,
+            (fs, v) => fs.with(max_long_position: v));
+         // max short
+         mk_column_model(
+            Columns.MaxNetShortPosition,
+            wrap_comp(r => r.limits.max_short_position),
+            new UIntMinMax<AccountSecurityRiskLimits>(
+               r => r.limits.max_short_position,
+               null),
+            DataGridFilterKnownTemplates.UIntMinMax,
+            fs => fs.max_short_position,
+            (fs, v) => fs.with(max_short_position: v));
+         // is position limit enabled
+         mk_is_enabled_column(
+            Columns.IsPositionLimitEnabled,
+            r => r.limits.is_position_limit_enabled,
+            (fs, yes_no_items) => fs.with(is_position_limit_enabled: RiskManagementFilterSettings.yes_no_filter_state(yes_no_items)),
+            nameof(RiskLimitsVM.is_position_limit_enabled));
+         // clip size
+         mk_column_model(
+            Columns.ClipLimit,
+            wrap_comp(r => r.limits.clip_limit),
+            new UIntMinMax<AccountSecurityRiskLimits>(r => r.limits.clip_limit, null),
+            DataGridFilterKnownTemplates.UIntMinMax,
+            fs => fs.clip_limit,
+            (fs, v) => fs.with(clip_limit: v));
+         // is clip limit enabled
+         mk_is_enabled_column(
+            Columns.IsClipLimitEnabled,
+            r => r.limits.is_clip_limit_enabled,
+            (fs, yes_no_items) => fs.with(is_clip_limit_enabled: RiskManagementFilterSettings.yes_no_filter_state(yes_no_items)),
+            nameof(RiskLimitsVM.is_clip_limit_enabled));
+         // min price
+         mk_column_model(
+            Columns.MinPrice,
+            wrap_comp(r => r.limits.min_price),
+            new DoubleMinMax<AccountSecurityRiskLimits>(r => r.limits.min_price, nameof(RiskLimitsVM.min_price)),
+            DataGridFilterKnownTemplates.DoubleMinMax,
+            fs => fs.min_price,
+            (fs, v) => fs.with(min_price: v));
+         // max price
+         mk_column_model(
+            Columns.MaxPrice,
+            wrap_comp(r => r.limits.max_price),
+            new DoubleMinMax<AccountSecurityRiskLimits>(r => r.limits.max_price, nameof(RiskLimitsVM.max_price)),
+            DataGridFilterKnownTemplates.DoubleMinMax,
+            fs => fs.max_price,
+            (fs, v) => fs.with(max_price: v));
+         // is price limit enabled
+         mk_is_enabled_column(
+            Columns.IsPriceLimitEnabled,
+            r => r.limits.is_price_limit_enabled,
+            (fs, yes_no_items) => fs.with(is_price_limit_enabled: RiskManagementFilterSettings.yes_no_filter_state(yes_no_items)),
+            nameof(RiskLimitsVM.is_price_limit_enabled));
+
+         data_comparer = new ComparerBuilder<AccountSecurityRiskLimits>(new[] {
+            wrap_comp(r => r.security),
+            _data_row_id_comparer
+         }).to_comparer();
+         _column_map = _columns.ToDictionary(c => c.id);
+         columns = ObservableAutoWrapper.SelectObservable(_columns, c => c);
+
+         var filter_source =
+            Observable.FromEvent<Func<AccountSecurityRiskLimits, bool>>(cb => _filter_changed += cb, cb => _filter_changed -= cb)
+            .StartWith(_mk_filter);
+         var filtered_data_source =
+            data_source.Filter(filter_source, AccountSecurityRiskLimitsDataHelper.key_fn);
+
+         var filter_hooks = _columns.Select(c => {
+            var f = c.filter;
+            f.filter_changed += _refresh_filter_changed.execute;
+            return Disposable.Create(() => f.filter_changed -= _refresh_filter_changed.execute);
+         }).ToList();
+         _accounts_vm.selected_item_changed += on_selected_account_changed;
+         _dispose = Disposable.Create(
+            ObservableAutoWrapper.connect_item_hooks(rows, subscribe_row_changes),
+            accounts_source.OnDispatcher().Subscribe(on_accounts),
+            Disposable.wrap_collection(filter_hooks),
+            filtered_data_source.OnDispatcher().Subscribe(on_data));
+         //////////////////
+         // local methods
+         //////////////////
+         IComparer<AccountSecurityRiskLimits> wrap_comp<T>(Func<AccountSecurityRiskLimits, T> get_value) =>
+            Comparer<T>.Default.wrap<T, AccountSecurityRiskLimits>(get_value);
+
+         RiskManagementColumnModel mk_column_model<T>(
+            Columns id,
+            IComparer<AccountSecurityRiskLimits> row_comp,
+            IDataGridColumnPersistentFilter<AccountSecurityRiskLimits, T> filter,
+            string filter_template,
+            Func<RiskManagementFilterSettings, T> get_filter_settings,
+            Func<RiskManagementFilterSettings, T, RiskManagementFilterSettings> set_filter_settings) {
+            //
+            var col = new RiskManagementColumnModel(id, row_comp,
+               filter,
+               filter_template,
+               fs => get_filter_settings(fs),
+               (fs, val) => val is T cfs ? set_filter_settings(fs, cfs) : fs);
+            _columns.Add(col);
+            return col;
+         }
+
+         // the 'is enabled' columns are special cases, bc their filters produces an array of bools
+         // (cheap way to reuse the discrete values filter template for true/false items),
+         // but the filter protobuf has a nullable<bool>, so an extra conversion must be done explicitly (hence the get_row_val param).
+         RiskManagementColumnModel mk_is_enabled_column(Columns id, Func<AccountSecurityRiskLimits, bool> get_row_val, Func<RiskManagementFilterSettings, IEnumerable<bool>, RiskManagementFilterSettings> set_filter_prop, string prop) {
+            var col = new RiskManagementColumnModel(
+               id,
+               wrap_comp(get_row_val),
+               DiscreteValuesFilterVM.Create(new[] { true, false }, get_row_val, prop),
+               DataGridFilterKnownTemplates.YesNo,
+               fs => RiskManagementFilterSettings.yes_no_filter_items(fs.is_position_limit_enabled),
+               (fs, fstate) => set_filter_prop(fs, fstate as IEnumerable<bool>));
+            _columns.Add(col);
+            return col;
+         }
+
+         IDisposable subscribe_row_changes(RiskLimitsVM row) {
+            row.value_changing += on_value_changing;
+            row.value_changed += on_value_changed;
+            row.request_commit += on_request_commit;
+            check_dirty();
+            return Disposable.Create(() => {
+               row.value_changing -= on_value_changing;
+               row.value_changed -= on_value_changed;
+               row.request_commit -= on_request_commit;
+            });
+
+            void on_value_changing((AccountSecurityRiskLimits old_value, AccountSecurityRiskLimits new_value) change) =>
+               on_row_data_changed(new Change<AccountSecurityRiskLimits>(change.old_value, change.new_value), false);
+
+            void on_value_changed((AccountSecurityRiskLimits old_value, AccountSecurityRiskLimits new_value) change) =>
+               check_dirty();
+
+            void on_request_commit() =>
+               request_update_limit?.Invoke(row.data);
+
+            void check_dirty() {
+               int dr_count = _dirty_rows.Count;
+               _dirty_rows = row.is_dirty ? _dirty_rows.Add(row.id, row) : _dirty_rows.Remove(row.id);
+               if (dr_count != _dirty_rows.Count)
+                  _dirty_rows_changed.execute();
+            }
+         }
+
+         void on_accounts(IReadOnlyList<AccountTuple> new_accounts) =>
+            _accounts_vm.update_items(new_accounts.Cast<AccountTuple?>());
+
+         void on_data(TableUpdate<AccountSecurityRiskLimits, AccountSecurityKey> table) {
+            using (_dirty_rows_changed.defer_execution())
+            using (_selected_rows_changed.defer_execution())  {
+               foreach (var lim in table.removed) {
+                  if (_row_cache.TryGetValue(lim.key, out var row)) {
+                     _data_rows.RemoveSorted(row.data, data_comparer);
+                     if (row.committed_data.HasValue)
+                        _row_cache.Remove(lim.key);
+                  }
+               }
+               foreach (var ch in table.changes) {
+                  on_row_data_changed(ch, true);
+               }
+               foreach (var lim in table.added) {
+                  if (_row_cache.TryGetValue(lim.key, out var row)) {
+                     // if row is already here, it must be an import
+                     // overwrite the import with the persisted row (this probably won't happen in practice)
+                     rows.RemoveSorted(row, row_comparer);
+                     _imported_row_map.Remove(lim.key);
+                  }
+                  var new_row = RiskLimitsVM.create_persisted(lim);
+                  _row_cache[lim.key] = new_row;
+                  rows.InsertSorted(new_row, row_comparer);
+               }
+            }
+         }
+
+         void on_row_data_changed(Change<AccountSecurityRiskLimits> change, bool is_persisted) {
+            Log.assert(_row_cache.TryGetValue(change.Old.key, out var row));
+            int old_index = CollectionHelper.binary_search(rows, row, row_comparer);
+            Log.assert(old_index >= 0);
+            int new_index = CollectionHelper.binary_search(_data_rows, change.New, _data_comparer);
+            // if the change came from the server (i.e., a persisted change that the row-vm doesn't already know about),
+            // load the new data (current modifications will be overwritten).
+            // Otherwise, the change is presumably the result of an uncommitted user-edit, which the row must already know about.
+            if (is_persisted) {
+               row.load(change.New, true);
+               if (_dirty_rows.Remove(row.id, out _dirty_rows))
+                  _dirty_rows_changed.execute();
+            }
+            if (new_index < 0)
+               new_index = ~new_index;
+            if (Math.Abs(new_index - old_index) > 1) {
+               if (new_index > old_index)
+                  new_index--;
+               rows.Move(old_index, new_index);
+            }
+         }
+
+         void on_selected_account_changed() {
+            foreach (var ir in _imported_row_map.Values) {
+               if (ir.account_key == selected_account?.id) {
+                  rows.InsertOrReplaceSorted(ir, row_comparer);
+               } else {
+                  rows.RemoveSorted(ir, row_comparer);
+               }
+            }
+         }
+      }
+
+      public event Action selected_rows_changed;
+      public event Action<AccountSecurityRiskLimits> request_update_limit;
+      public event Action<ImmutableDictionary<AccountSecurityKey, RiskLimitsVM>> dirty_rows_changed;
+      event Action<Func<AccountSecurityRiskLimits, bool>> _filter_changed;
+
+      public IReadOnlyIndex<string, RiskManagementColumnModel> column_map { get; }
+      public bool has_unpersisted_limits => false;
+      // this collection is needed to control the column order
+      public IReadOnlyObservableCollection<IDIYGridColumn> columns { get; }
+      public ObservableCollection<RiskLimitsVM> rows { get; } = new ObservableCollection<RiskLimitsVM>();
+      /// <summary>
+      /// The selected rows are provided as an <see cref="ImmutableSortedSet{T}"/> so they can be observed/accessed on different threads.
+      /// <see cref="RiskManagementVMExtensions.subscribe_selected_rows(RiskManagementVM)"/>.
+      /// </summary>
+      public ImmutableSortedSet<RiskLimitsVM> selected_rows => _selected_rows;
+      /// <summary>
+      /// The dirty rows are provided as an <see cref="ImmutableDictionary{TKey, TValue}"/> so they can be observed/accessed on different threads.
+      /// <see cref="RiskManagementVMExtensions.subscribe_has_dirty_rows(RiskManagementVM)(RiskManagementVM)"/>.
+      /// </summary>
+      public ImmutableDictionary<AccountSecurityKey, RiskLimitsVM> dirty_rows => _dirty_rows;
+      public IReadOnlyObservableCollection<AccountTuple?> accounts => _accounts_vm.items;
+      public AccountTuple? selected_account {
+         get => _accounts_vm.selected_item ?? default;
+         set => _accounts_vm.selected_item = value;
+      }
+      public SimpleGridSettingsManagerVM<Columns> grid_settings_manager { get; }
+      public IComparer<AccountSecurityRiskLimits> data_comparer {
+         get => _data_comparer;
+         private set {
+            if (value != null) {
+               _data_comparer = value;
+               _row_comparer = null;
+               rows.sync_with(rows.Ordered(row_comparer));
+               _selected_rows = _selected_rows.WithComparer(row_comparer);
+            }
+         }
+      }
+
+      public IComparer<RiskLimitsVM> row_comparer =>
+         _row_comparer ?? (_row_comparer = data_comparer?.wrap<AccountSecurityRiskLimits, RiskLimitsVM>(r => r.data));
+
+      public IReadOnlyDictionary<uint, SecurityMD> security_map { get; set; } = DictionaryHelper.empty<uint, SecurityMD>();
+
+      public IReadOnlyDictionary<uint, IEnumerable<AccountSecurityRiskLimits>> build_account_limits_map() =>
+         _data_rows.GroupBy(dr => dr.account_key)
+            .ToDictionary(g => g.Key, g => g.AsEnumerable());
+
+      public RiskManagementSettings create() {
+         var grid = grid_settings_manager.create();
+         var filters = _columns.Aggregate(new RiskManagementFilterSettings(), (fs, c) => c.assign_filter_settings(fs)); 
+         return new RiskManagementSettings(grid, filters, _sort_manager.SortingCriteria, selected_account?.id ?? 0);
+      }
+
+      public void load_from(RiskManagementSettings settings) {
+         if (settings is null)
+            throw new ArgumentNullException(nameof(settings));
+         if (settings.grid != null)
+            grid_settings_manager.load_from(settings.grid);
+         _sort_manager.SortingCriteria = settings.sorting_criteria;
+         using (_refresh_filter_changed.defer_execution()) {
+            foreach (var col in _columns)
+               col.load_from(null, settings.filters);
+            _accounts_vm.try_select(settings.account_id, true);
+         }
+      }
+
+      public void load_from(GridSettings grid) {
+         if (grid is null)
+            throw new ArgumentNullException(nameof(grid));
+         grid_settings_manager.load_from(grid);
+      }
+
+      public void modify_rows(IEnumerable<AccountSecurityKey> targets, RiskLimitsModification mod) {
+         foreach (var key in targets) {
+            if (_row_cache.TryGetValue(key, out var row)) {
+               var new_data = row.data.with(limits: mod.apply(row.data.limits));
+               row.load(new_data, false);
+            }
+         }
+      }
+
+      public void revert(IEnumerable<RiskLimitsVM> targets) {
+         foreach (var row in targets) {
+            if (row.committed_data.HasValue)
+               row.load(row.committed_data.Value, true);
+         }
+      }
+
+      public void import_limits(string file_name) {
+         Disposable.dispose(ref _import_limits_op);
+         _import_limits_op = RiskLimitsImporter.import_limits(file_name,
+            security_map,
+            accounts.Where(a => a.HasValue)
+            .ToDictionary(a => a.Value.id, a => a.Value.name),
+            add_imported_rows);
+
+         void add_imported_rows(IEnumerable<ParsedRiskLimits> imported_rows) {
+            foreach (var ir in imported_rows) {
+               var res = ir.result;
+               if (!res.security.HasValue && security_map.TryGetValue(res.security_key, out var sec_md))
+                  res = res.with(security: sec_md.security);
+               if (string.IsNullOrEmpty(res.account_name) && accounts.TryGetFirst(a => a?.id == res.account_key, out var acc))
+                  res = res.with(account: acc);
+               if (_row_cache.TryGetValue(res.key, out var old_row))
+                  rows.RemoveSorted(old_row, row_comparer);
+               var new_row = RiskLimitsVM.create_placeholder(res);
+               _row_cache[res.key] = new_row;
+               _imported_row_map[res.key] = new_row;
+               if (new_row.account_key == selected_account?.id)
+                  rows.InsertSorted(new_row, row_comparer);
+            }
+         }
+      }
+
+      void IHandleRowSelection.row_selection_changed(SelectionChangedEventArgs e) {
+         var bd = _selected_rows.ToBuilder();
+         RowSelectionHelper.apply_changes(bd, e);
+         _selected_rows = bd.ToImmutable();
+         _selected_rows_changed.execute();
+      }
+
+      void IHandleGridSorting.on_sorting(object sender, DIYGridSortingEventArgs e) {
+         _sort_manager.OnColumnClick(e.Column, KeyboardExtensions.IsShiftDown());
+         e.Handled = true;
+      }
+
+      RiskManagementColumnModel _find_column(string key_str) =>
+         Enum.TryParse(key_str, true, out Columns key) ? _find_column(key) : null;
+
+      RiskManagementColumnModel _find_column(Columns key) =>
+         _column_map.GetValueOrDefault(key);
+
+      Func<AccountSecurityRiskLimits, bool> _mk_filter() {
+         var col_filter_pred = create().filters.build_predicate();
+         if (!selected_account.HasValue)
+            return lim => false;
+         var acc_id = selected_account.Value.id;
+         return lim => lim.account_key == acc_id && (col_filter_pred is null || col_filter_pred(lim));
+      }
+   }
+
+   static class RiskManagementVMExtensions {
+      public static IObservable<ImmutableSortedSet<RiskLimitsVM>> subscribe_selected_rows(this RiskManagementVM vm) =>
+         vm is null ?
+            throw new ArgumentNullException(nameof(vm)) :
+            Observable.Create<ImmutableSortedSet<RiskLimitsVM>>(o => {
+               o.OnNext(vm.selected_rows);
+               vm.selected_rows_changed += on_selected_rows_changed;
+               return Disposable.Create(() => vm.selected_rows_changed -= on_selected_rows_changed);
+               void on_selected_rows_changed() =>
+                  o.OnNext(vm.selected_rows);
+            })
+            .SubscribeOnDispatcher();
+
+      public static IObservable<bool> subscribe_has_dirty_rows(this RiskManagementVM vm) =>
+         vm is null ?
+            throw new ArgumentNullException(nameof(vm)) :
+            Observable.Create<bool>(o => {
+               bool last_fired = vm.dirty_rows.Count > 0;
+               o.OnNext(last_fired);
+               vm.dirty_rows_changed += on_dirty_rows_changed;
+               return Disposable.Create(() => vm.dirty_rows_changed -= on_dirty_rows_changed);
+               void on_dirty_rows_changed(ImmutableDictionary<AccountSecurityKey, RiskLimitsVM> drs) {
+                  if (last_fired != drs.Count > 0)
+                     o.OnNext(last_fired = !last_fired);
+               }
+            })
+            .SubscribeOnDispatcher();
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/View/RiskLimitParametersDialog.xaml

@@ -0,0 +1,111 @@
+<Window
+  x:Class="bts.shell.risk_management.RiskLimitParametersDialog"
+  x:ClassModifier="internal"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:c="clr-namespace:mbts.ui.controls"
+  xmlns:risk="clr-namespace:bts.shell.risk_management"
+  xmlns:sys="clr-namespace:System;assembly=mscorlib"
+  u:WindowStyle.AllowResize="False"
+  u:WindowStyle.SizeToContent="WidthAndHeight"
+  FocusVisualStyle="{x:Null}"
+  Style="{StaticResource BTSDialog}"
+>
+  <Window.Resources>
+    <sys:Double x:Key="HorizontalPush">4</sys:Double>
+    <sys:Double x:Key="VerticalPush3">8</sys:Double>
+    <Thickness x:Key="ParamMargin" Left="{StaticResource HorizontalPush}"/>
+    <Style x:Key="HeaderText" TargetType="TextBlock">
+      <Setter Property="HorizontalAlignment" Value="Center"/>
+      <Setter Property="VerticalAlignment" Value="Center"/>
+      <Setter Property="Foreground" Value="{x:Static u:BTSColors.header_text_brush}"/>
+      <Setter Property="Margin" Value="4"/>
+    </Style>
+    <Style x:Key="LimitToggle" TargetType="CheckBox">
+      <Setter Property="VerticalAlignment" Value="Center"/>
+      <Setter Property="HorizontalAlignment" Value="Center"/>
+    </Style>
+  </Window.Resources>
+  <Window.ContentTemplate>
+    <DataTemplate DataType="{x:Type risk:RiskLimitsModificationVM}">
+      <Grid>
+        <Grid.RowDefinitions>
+          <RowDefinition Height="*"/>
+          <RowDefinition Height="Auto"/>
+        </Grid.RowDefinitions>
+        <Grid Margin="6">
+          <Grid.ColumnDefinitions>
+            <ColumnDefinition Width="Auto"/>
+            <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush}}"/>
+            <ColumnDefinition Width="Auto"/>
+            <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush}}"/>
+            <ColumnDefinition Width="Auto"/>
+            <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush}}"/>
+            <ColumnDefinition Width="Auto"/>
+            <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush}}"/>
+            <ColumnDefinition Width="Auto"/>
+            <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush}}"/>
+            <ColumnDefinition Width="Auto"/>
+            <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush}}"/>
+            <ColumnDefinition Width="Auto"/>
+            <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush}}"/>
+            <ColumnDefinition Width="Auto"/>
+            <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush}}"/>
+            <ColumnDefinition Width="Auto"/>
+            <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush}}"/>
+            <ColumnDefinition Width="Auto"/>
+          </Grid.ColumnDefinitions>
+          <Grid.RowDefinitions>
+            <RowDefinition Height="Auto"/>
+            <RowDefinition Height="{Binding Source={StaticResource VerticalPush3}}"/>
+            <RowDefinition Height="*"/>
+          </Grid.RowDefinitions>
+          <Rectangle Grid.ColumnSpan="17" HorizontalAlignment="Stretch" VerticalAlignment="Stretch" Fill="{x:Static u:BTSColors.header_brush}"/>
+          <TextBlock Grid.Column="0" Text="Security" Visibility="{Binding can_edit_security, Converter={StaticResource BooleanToVisibilityConverter}}" Style="{StaticResource HeaderText}"/>
+          <TextBlock Grid.Column="2" Text="Max Long" Style="{StaticResource HeaderText}"/>
+          <TextBlock Grid.Column="4" Text="Max Short" Style="{StaticResource HeaderText}"/>
+          <TextBlock Grid.Column="6" Text="Clip Limit" Style="{StaticResource HeaderText}"/>
+          <TextBlock Grid.Column="8" Text="Min Price" Style="{StaticResource HeaderText}"/>
+          <TextBlock Grid.Column="10" Text="Max Price" Style="{StaticResource HeaderText}"/>
+          <TextBlock Grid.Column="12" Text="Position Limit Enabled" Style="{StaticResource HeaderText}"/>
+          <TextBlock Grid.Column="14" Text="Clip Limit Enabled" Style="{StaticResource HeaderText}"/>
+          <TextBlock Grid.Column="16" Text="Price Limit Enabled" Style="{StaticResource HeaderText}"/>
+
+          <c:ContractPickerPopup
+            Grid.Row="2"
+            HorizontalAlignment="Stretch"
+            VerticalAlignment="Stretch"
+            CloseOnCancel="True"
+            CloseOnOK="True"
+            Header="{Binding security_criteria, Converter={x:Static c:ContractPickerPopup.SecurityCriteriaTextConverter}}"
+            Visibility="{Binding can_edit_security, Converter={StaticResource BooleanToVisibilityConverter}}"
+            IsEditMode="True"
+            IsLazy="True"
+            SecurityMap="{Binding security_map}"
+            SelectedCriteria="{Binding security_criteria}"
+            ShowDialogSkirt="True"
+            ToolTip="{Binding security_criteria, Converter={x:Static c:ContractPickerPopup.SecurityCriteriaTextConverter}}"
+            OKClick="{x:Static c:ContractPickerPopup.FlushSelectedSecurityHandler}"
+          />
+          <c:TickUpDownNullableUInt Grid.Row="2" Grid.Column="2" Value="{Binding max_long_position}"/>
+          <c:TickUpDownNullableUInt Grid.Row="2" Grid.Column="4" Value="{Binding max_short_position}"/>
+          <c:TickUpDownNullableUInt Grid.Row="2" Grid.Column="6" Value="{Binding clip_limit}"/>
+          <c:TickUpDownNullableDouble Grid.Row="2" Grid.Column="8" Value="{Binding min_price}"/>
+          <c:TickUpDownNullableDouble Grid.Row="2" Grid.Column="10" Value="{Binding max_price}"/>
+          <CheckBox Grid.Row="2" Grid.Column="12" IsChecked="{Binding is_position_limit_enabled}" Style="{StaticResource LimitToggle}"/>
+          <CheckBox Grid.Row="2" Grid.Column="14" IsChecked="{Binding is_clip_limit_enabled}" Style="{StaticResource LimitToggle}"/>
+          <CheckBox Grid.Row="2" Grid.Column="16" IsChecked="{Binding is_price_limit_enabled}" Style="{StaticResource LimitToggle}"/>
+        </Grid>
+        <c:DialogSkirt Grid.Row="1" Margin="0,6,0,0">
+          <c:DialogSkirt.RightItems>
+            <x:Array Type="{x:Type Button}">
+              <Button Content="OK" Command="{Binding commit_cmd}" IsDefault="True"/>
+              <Button Content="Cancel" Command="{Binding cancel_cmd}" IsCancel="True"/>
+            </x:Array>
+          </c:DialogSkirt.RightItems>
+        </c:DialogSkirt>
+      </Grid>
+    </DataTemplate>
+  </Window.ContentTemplate>
+</Window>

src/client/spark/Modules/Trading/RiskManagement/View/RiskLimitParametersDialog.xaml.cs

@@ -0,0 +1,11 @@
+using System.Windows;
+
+namespace bts.shell.risk_management {
+   /// <summary>
+   /// Interaction logic for RiskLimitParametersDialog.xaml
+   /// </summary>
+   partial class RiskLimitParametersDialog : Window {
+      public RiskLimitParametersDialog() =>
+         InitializeComponent();
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/View/RiskLimitsImportConflictsDialog.xaml

@@ -0,0 +1,39 @@
+<Window
+  x:Class="bts.shell.risk_management.RiskLimitsImportConflictsDialog"
+  x:ClassModifier="internal"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:risk="clr-namespace:bts.shell.risk_management"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:c="clr-namespace:mbts.ui.controls"
+  u:WindowStyle.AllowResize="True"
+  u:WindowStyle.SizeToContent="WidthAndHeight"
+  u:WindowStyle.TitleContent="Import Limits Conflicts"
+  Style="{StaticResource BTSDialogTitleTemplate}"
+>
+  <u:WindowStyle.TitleContentTemplate>
+    <DataTemplate>
+      <StackPanel Orientation="Horizontal" HorizontalAlignment="Left">
+        <Image Height="12" Margin="5,2" Source="{x:Static u:Icons.Import}"/>
+        <TextBlock Margin="4,0,0,0" Text="{Binding}"/>
+      </StackPanel>
+    </DataTemplate>
+  </u:WindowStyle.TitleContentTemplate>
+  <Window.Content>
+    <Grid>
+      <Grid.RowDefinitions>
+        <RowDefinition Height="*"/>
+        <RowDefinition Height="Auto"/>
+      </Grid.RowDefinitions>
+      <risk:RiskLimitsImportConflictsView Margin="12,10,12,8"/>
+      <c:DialogSkirt Grid.Row="1">
+        <c:DialogSkirt.RightItems>
+          <x:Array Type="{x:Type Button}">
+            <Button Command="{Binding ok_cmd}">Continue</Button>
+            <Button Command="{Binding cancel_cmd}" IsCancel="True">Cancel</Button>
+          </x:Array>
+        </c:DialogSkirt.RightItems>
+      </c:DialogSkirt>
+    </Grid>
+  </Window.Content>
+</Window>

src/client/spark/Modules/Trading/RiskManagement/View/RiskLimitsImportConflictsDialog.xaml.cs

@@ -0,0 +1,11 @@
+using System.Windows;
+
+namespace bts.shell.risk_management {
+   /// <summary>
+   /// Interaction logic for RiskLimitsImportConflictsDialog.xaml
+   /// </summary>
+   partial class RiskLimitsImportConflictsDialog : Window {
+      public RiskLimitsImportConflictsDialog() =>
+         InitializeComponent();
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/View/RiskLimitsImportConflictsView.xaml

@@ -0,0 +1,141 @@
+<UserControl
+  x:Class="bts.shell.risk_management.RiskLimitsImportConflictsView"
+  x:ClassModifier="internal"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:risk="clr-namespace:bts.shell.risk_management"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:c="clr-namespace:mbts.ui.controls"
+  xmlns:cv="clr-namespace:mbts.ui.converters"
+  MinWidth="400"
+>
+  <UserControl.Resources>
+    <Style x:Key="VerticallyCenteredText" TargetType="TextBlock">
+      <Setter Property="VerticalAlignment" Value="Center"/>
+    </Style>
+    <DataTemplate x:Key="UIntTemplate">
+      <c:TickUpDownUInt Value="{Binding value, UpdateSourceTrigger=PropertyChanged}"/>
+    </DataTemplate>
+    <DataTemplate x:Key="DoubleTemplate">
+      <c:TickUpDownDouble Value="{Binding value, UpdateSourceTrigger=PropertyChanged}"/>
+    </DataTemplate>
+    <DataTemplate x:Key="BooleanTemplate">
+      <CheckBox IsChecked="{Binding value}"/>
+    </DataTemplate>
+    <DataTemplate x:Key="PriceReadTemplate">
+      <TextBlock Text="{Binding value, Converter={StaticResource DoubleTextConverter}}" VerticalAlignment="Center"/>
+    </DataTemplate>
+    <!--Value Cell Template Selector-->
+    <u:KeyedTemplateSelector x:Key="ValueCellTemplateSelector">
+      <u:KeyedTemplateSelector.Default>
+        <DataTemplate>
+          <TextBlock Text="{Binding value}" VerticalAlignment="Center"/>
+        </DataTemplate>
+      </u:KeyedTemplateSelector.Default>
+      <u:TemplateSelectorKeyValue Key="{x:Static MinPrice, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}" Value="{StaticResource PriceReadTemplate}"/>
+      <u:TemplateSelectorKeyValue Key="{x:Static MaxPrice, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}" Value="{StaticResource PriceReadTemplate}"/>
+    </u:KeyedTemplateSelector>
+    <!--Value Cell Editing Template Selector-->
+    <u:KeyedTemplateSelector x:Key="ValueCellEditingTemplateSelector">
+      <u:TemplateSelectorKeyValue Key="{x:Static Security, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}">
+        <DataTemplate>
+          <c:ContractPickerPopup
+            HorizontalAlignment="Stretch"
+            VerticalAlignment="Stretch"
+            CloseOnCancel="True"
+            CloseOnOK="True"
+            Header="{Binding value}"
+            IsEditMode="False"
+            IsLazy="True"
+            SecurityMap="{Binding DataContext.security_map, RelativeSource={RelativeSource AncestorType=DataGrid}, Mode=OneWay}"
+            SelectedSecurity="{Binding value, Mode=TwoWay, UpdateSourceTrigger=PropertyChanged}"
+            ShowDialogSkirt="True"
+          />
+        </DataTemplate>
+      </u:TemplateSelectorKeyValue>
+      <u:TemplateSelectorKeyValue Key="{x:Static Account, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}">
+        <DataTemplate>
+          <ComboBox ItemsSource="{Binding DataContext.accounts, RelativeSource={RelativeSource AncestorType=DataGrid}}" SelectedItem="{Binding value, UpdateSourceTrigger=PropertyChanged}"/>
+        </DataTemplate>
+      </u:TemplateSelectorKeyValue>
+      <u:TemplateSelectorKeyValue Key="{x:Static MaxNetLongPosition, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}" Value="{StaticResource UIntTemplate}"/>
+      <u:TemplateSelectorKeyValue Key="{x:Static MaxNetShortPosition, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}" Value="{StaticResource UIntTemplate}"/>
+      <u:TemplateSelectorKeyValue Key="{x:Static IsPositionLimitEnabled, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}" Value="{StaticResource BooleanTemplate}"/>
+      <u:TemplateSelectorKeyValue Key="{x:Static ClipLimit, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}" Value="{StaticResource UIntTemplate}"/>
+      <u:TemplateSelectorKeyValue Key="{x:Static IsClipLimitEnabled, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}" Value="{StaticResource BooleanTemplate}"/>
+      <u:TemplateSelectorKeyValue Key="{x:Static MinPrice, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}" Value="{StaticResource DoubleTemplate}"/>
+      <u:TemplateSelectorKeyValue Key="{x:Static MaxPrice, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}" Value="{StaticResource DoubleTemplate}"/>
+      <u:TemplateSelectorKeyValue Key="{x:Static IsPriceLimitEnabled, MemberType={u:Nested risk:RiskLimitsImportConflictsView.RiskLimitsComponentNames}}" Value="{StaticResource BooleanTemplate}"/>
+    </u:KeyedTemplateSelector>
+  </UserControl.Resources>
+  <!--Content-->
+  <Grid x:Name="content_root">
+    <Grid.RowDefinitions>
+      <RowDefinition Height="Auto"/>
+      <RowDefinition Height="*"/>
+    </Grid.RowDefinitions>
+    <Grid.ColumnDefinitions>
+      <ColumnDefinition Width="Auto"/>
+      <ColumnDefinition Width="*"/>
+    </Grid.ColumnDefinitions>
+    <Image VerticalAlignment="Center" Margin="0,0,8,0">
+      <Image.Source>
+        <Binding Source="{x:Static MessageBoxImage.Exclamation}">
+          <Binding.Converter>
+            <cv:SystemIconConverter/>
+          </Binding.Converter>
+        </Binding>
+      </Image.Source>
+    </Image>
+    <Canvas x:Name="text_canvas" Grid.Column="1" HorizontalAlignment="Stretch"/>
+    <TextBlock Grid.Column="1" TextWrapping="Wrap" Width="{Binding ActualWidth, ElementName=text_canvas}">
+      <Run Text="{Binding num_successfully_parsed_limits, Mode=OneWay}"/>
+      <Run Text="/"/>
+      <Run Text="{Binding num_limits, Mode=OneWay}"/>
+      <Run Text=" limit items have been successfully converted."/>
+      <Run Text="Resolve conflicts below by selecting a value to assign each affected limit item,"/>
+      <Run Text="or modify individual limit items in the main window."/>
+      <LineBreak/>
+      <LineBreak/>
+      <Run Text="Click 'Continue' to proceed to the main window."/>
+    </TextBlock>
+    <DataGrid
+      x:Name="data_grid"
+      u:DataGridBehavior.SingleClickEdit="True"
+      Grid.Row="1"
+      Grid.ColumnSpan="2"
+      AutoGenerateColumns="False"
+      CanUserAddRows="False"
+      CanUserDeleteRows="False"
+      CanUserReorderColumns="False"
+      CanUserSortColumns="True"
+      HeadersVisibility="All"
+      ItemsSource="{Binding rows_view}"
+      Margin="0,8,0,0"
+      MinRowHeight="17"
+      RowHeaderWidth="22"
+    >
+      <DataGrid.CellStyle>
+        <Style TargetType="DataGridCell" BasedOn="{StaticResource DataGridCellBaseStyle}">
+          <Setter Property="VerticalContentAlignment" Value="Stretch"/>
+        </Style>
+      </DataGrid.CellStyle>
+      <DataGrid.RowStyle>
+        <Style TargetType="DataGridRow">
+          <Setter Property="IsSelected" Value="{Binding is_selected, Mode=TwoWay, UpdateSourceTrigger=PropertyChanged}"/>
+          <Style.Triggers>
+            <DataTrigger Binding="{Binding IsSelected, RelativeSource={RelativeSource Self}}" Value="True">
+              <Setter Property="Background" Value="{StaticResource SelectedRowBackground}"/>
+            </DataTrigger>
+          </Style.Triggers>
+        </Style>
+      </DataGrid.RowStyle>
+      <DataGrid.Columns>
+        <DataGridTextColumn Header="Component" Binding="{Binding component}" ElementStyle="{StaticResource VerticallyCenteredText}" IsReadOnly="True"/>
+        <DataGridTextColumn Header="Text" Binding="{Binding text}" ElementStyle="{StaticResource VerticallyCenteredText}" IsReadOnly="True"/>
+        <DataGridTextColumn Header="Affected Limit Items" Binding="{Binding affected_limits.Count}" ElementStyle="{StaticResource VerticallyCenteredText}" IsReadOnly="True"/>
+        <DataGridTemplateColumn Header="Value" CellTemplateSelector="{StaticResource ValueCellTemplateSelector}" CellEditingTemplateSelector="{StaticResource ValueCellEditingTemplateSelector}"/>
+      </DataGrid.Columns>
+    </DataGrid>
+  </Grid>
+</UserControl>

src/client/spark/Modules/Trading/RiskManagement/View/RiskLimitsImportConflictsView.xaml.cs

@@ -0,0 +1,38 @@
+using System.Windows.Controls;
+
+namespace bts.shell.risk_management {
+   /// <summary>
+   /// Interaction logic for RiskLimitsImportConflictsView.xaml
+   /// </summary>
+   partial class RiskLimitsImportConflictsView : UserControl {
+      public RiskLimitsImportConflictsView() =>
+         InitializeComponent();
+
+      public enum RiskLimitsComponent {
+         Security,
+         Account,
+         MaxNetLongPosition,
+         MaxNetShortPosition,
+         IsPositionLimitEnabled,
+         ClipLimit,
+         IsClipLimitEnabled,
+         MinPrice,
+         MaxPrice,
+         IsPriceLimitEnabled
+      }
+
+      public static class RiskLimitsComponentNames {
+         public static readonly string
+            Security = RiskLimitsComponent.Security.ToString(),
+            Account = RiskLimitsComponent.Account.ToString(),
+            MaxNetLongPosition = RiskLimitsComponent.MaxNetLongPosition.ToString(),
+            MaxNetShortPosition = RiskLimitsComponent.MaxNetShortPosition.ToString(),
+            IsPositionLimitEnabled = RiskLimitsComponent.IsPositionLimitEnabled.ToString(),
+            ClipLimit = RiskLimitsComponent.ClipLimit.ToString(),
+            IsClipLimitEnabled = RiskLimitsComponent.IsClipLimitEnabled.ToString(),
+            MinPrice = RiskLimitsComponent.MinPrice.ToString(),
+            MaxPrice = RiskLimitsComponent.MaxPrice.ToString(),
+            IsPriceLimitEnabled = RiskLimitsComponent.IsPriceLimitEnabled.ToString();
+      }
+   }
+}

src/client/spark/Modules/Trading/RiskManagement/View/RiskManagementControl.xaml

@@ -0,0 +1,181 @@
+<UserControl
+  x:Class="bts.shell.risk_management.RiskManagementControl"
+  x:ClassModifier="internal"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006" 
+  xmlns:d="http://schemas.microsoft.com/expression/blend/2008" 
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:c="clr-namespace:mbts.ui.controls"
+  xmlns:cv="clr-namespace:mbts.ui.converters"
+  xmlns:risk="clr-namespace:bts.shell.risk_management"
+  xmlns:sys="clr-namespace:System;assembly=mscorlib"
+  mc:Ignorable="d" 
+  d:DataContext="{d:DesignInstance risk:RiskManagementVM, IsDesignTimeCreatable=True}"
+  Background="{StaticResource CommonBackground}"
+>
+  <UserControl.Resources>
+    <cv:BooleanToObjectConverter x:Key="IsDirtyOpacityConverter">
+      <cv:BooleanToObjectConverter.ValueForFalse>
+        <sys:Double>1.0</sys:Double>
+      </cv:BooleanToObjectConverter.ValueForFalse>
+      <cv:BooleanToObjectConverter.ValueForTrue>
+        <sys:Double>0.6</sys:Double>
+      </cv:BooleanToObjectConverter.ValueForTrue>
+    </cv:BooleanToObjectConverter>
+    <Style x:Key="TextCell" TargetType="c:TextCell">
+      <Setter Property="VerticalAlignment" Value="Center"/>
+      <Setter Property="Padding" Value="2,0"/>
+      <Setter Property="HorizontalAlignment" Value="Stretch"/>
+      <Setter Property="HorizontalContentAlignment" Value="{Binding Path='(c:DIYGrid.Column).horizontal_alignment', RelativeSource={RelativeSource Self}}"/>
+      <Setter Property="VerticalContentAlignment" Value="Center"/>
+      <Setter Property="VerticalAlignment" Value="Stretch"/>
+      <Setter Property="Background" Value="{Binding Path='(c:DIYGrid.Column).background_color', RelativeSource={RelativeSource Self}, Converter={x:Static cv:ColorToBrushConverter.Instance}}"/>
+      <Setter Property="Foreground" Value="{Binding Path='(c:DIYGrid.Column).font_color', RelativeSource={RelativeSource Self}, Converter={x:Static cv:ColorToBrushConverter.Instance}}"/>
+      <Setter Property="FontFamily" Value="{Binding Path='(c:DIYGrid.Column).font_family', RelativeSource={RelativeSource Self}}"/>
+      <Setter Property="FontWeight" Value="{Binding Path='(c:DIYGrid.Column).font_weight', RelativeSource={RelativeSource Self}}"/>
+      <Setter Property="FontSize" Value="{Binding Path='(c:DIYGrid.Column).font_size', RelativeSource={RelativeSource Self}}"/>
+      <Setter Property="Opacity" Value="{Binding is_dirty, Converter={StaticResource IsDirtyOpacityConverter}}"/>
+    </Style>
+    <Style x:Key="CellBorder" TargetType="Border">
+      <Setter Property="HorizontalAlignment" Value="Stretch"/>
+      <Setter Property="VerticalAlignment" Value="Stretch"/>
+      <Setter Property="Background" Value="{Binding Path='(c:DIYGrid.Column).background_color', RelativeSource={RelativeSource Self}, Converter={x:Static cv:ColorToBrushConverter.Instance}}"/>
+      <Setter Property="Padding" Value="2,0"/>
+    </Style>
+    <Style x:Key="LimitToggleSwitch" TargetType="CheckBox" BasedOn="{StaticResource {x:Type CheckBox}}">
+      <Setter Property="Foreground" Value="{Binding Path='(c:DIYGrid.Column).font_color', RelativeSource={RelativeSource AncestorType=Border}, Converter={x:Static cv:ColorToBrushConverter.Instance}}"/>
+      <Setter Property="HorizontalAlignment" Value="{Binding Path='(c:DIYGrid.Column).horizontal_alignment', RelativeSource={RelativeSource AncestorType=Border}}"/>
+      <Setter Property="VerticalAlignment" Value="Center"/>
+    </Style>
+  </UserControl.Resources>
+  <AdornerDecorator>
+    <Grid>
+      <Grid.RowDefinitions>
+        <RowDefinition Height="Auto"/>
+        <RowDefinition Height="*" />
+      </Grid.RowDefinitions>
+      <Grid Margin="4,6">
+        <Grid.ColumnDefinitions>
+          <ColumnDefinition Width="Auto"/>
+          <ColumnDefinition Width="*"/>
+        </Grid.ColumnDefinitions>
+        <TextBlock VerticalAlignment="Center">Account:</TextBlock>
+        <ComboBox Grid.Column="1" Margin="8,0" ItemsSource="{Binding accounts}" SelectedItem="{Binding selected_account}"/>
+      </Grid>
+      <c:DIYGrid
+        Grid.Row="1"
+        c:DIYGrid.ColumnModels="{Binding columns}"
+        c:DIYGrid.SyncWithColumnGeometry="True"
+        Rows="{Binding rows}"
+        RowHeight="{u:DPIDouble 21.6}"
+      >
+        <c:DIYGrid.Resources>
+          <ResourceDictionary Source="/view/Controls/DataGridEx/Filters/Views/FilterTemplates.xaml"/>
+        </c:DIYGrid.Resources>
+        <c:DIYGrid.Columns>
+          <c:DIYGridColumnCollection/>
+        </c:DIYGrid.Columns>
+        <c:DIYGrid.CachedColumnParams>
+          <x:Array Type="{x:Type sys:String}">
+            <sys:String>font_weight</sys:String>
+            <sys:String>font_size</sys:String>
+            <sys:String>font_brush</sys:String>
+            <sys:String>font_family</sys:String>
+            <sys:String>horizontal_alignment</sys:String>
+          </x:Array>
+        </c:DIYGrid.CachedColumnParams>
+
+        <c:DIYGrid.RowTemplate>
+          <DataTemplate DataType="{x:Type risk:RiskLimitsVM}">
+            <Grid c:DIYGrid.SyncWithColumnGeometry="True" Height="{Binding RowHeight, RelativeSource={RelativeSource AncestorType=c:DIYGrid}}">
+              <!--Security-->
+              <c:TextCell
+                c:DIYGrid.ColumnKey="Security"
+                c:DIYGrid.Column="{Binding Path='DataContext.column_map[Security]', RelativeSource={RelativeSource AncestorType=c:DIYGrid}}"
+                Text="{Binding security_text}"
+                Style="{StaticResource TextCell}"
+              />
+              <c:TextCell
+                c:DIYGrid.ColumnKey="SecurityKey"
+                c:DIYGrid.Column="{Binding Path='DataContext.column_map[SecurityKey]', RelativeSource={RelativeSource AncestorType=c:DIYGrid}}"
+                Text="{Binding security_key}"
+                Style="{StaticResource TextCell}"
+              />
+              <!--Position-->
+              <c:TextCell
+                c:DIYGrid.ColumnKey="MaxNetLongPosition"
+                c:DIYGrid.Column="{Binding Path='DataContext.column_map[MaxNetLongPosition]', RelativeSource={RelativeSource AncestorType=c:DIYGrid}}"
+                Text="{Binding max_long_position}"
+                Style="{StaticResource TextCell}"
+              />
+              <c:TextCell
+                c:DIYGrid.ColumnKey="MaxNetShortPosition"
+                c:DIYGrid.Column="{Binding Path='DataContext.column_map[MaxNetShortPosition]', RelativeSource={RelativeSource AncestorType=c:DIYGrid}}"
+                Text="{Binding max_short_position}"
+                Style="{StaticResource TextCell}"
+              />
+              <Border
+                c:DIYGrid.ColumnKey="IsPositionLimitEnabled"
+                c:DIYGrid.Column="{Binding Path='DataContext.column_map[IsPositionLimitEnabled]', RelativeSource={RelativeSource AncestorType=c:DIYGrid}}"
+                Style="{StaticResource CellBorder}"
+              >
+                <CheckBox
+                  IsChecked="{Binding is_position_limit_enabled}"
+                  Style="{StaticResource LimitToggleSwitch}"
+                />
+              </Border>
+              <!--Clip-->
+              <c:TextCell
+                c:DIYGrid.ColumnKey="ClipLimit"
+                c:DIYGrid.Column="{Binding Path='DataContext.column_map[ClipLimit]', RelativeSource={RelativeSource AncestorType=c:DIYGrid}}"
+                Text="{Binding clip_limit}"
+                Style="{StaticResource TextCell}"
+              />
+              <Border
+                c:DIYGrid.ColumnKey="IsClipLimitEnabled"
+                c:DIYGrid.Column="{Binding Path='DataContext.column_map[IsClipLimitEnabled]', RelativeSource={RelativeSource AncestorType=c:DIYGrid}}"
+                Style="{StaticResource CellBorder}"
+              >
+                <CheckBox
+                  IsChecked="{Binding is_clip_limit_enabled}"
+                  Style="{StaticResource LimitToggleSwitch}"
+                />
+              </Border>
+              <!--Price-->
+              <c:TextCell
+                c:DIYGrid.ColumnKey="MinPrice"
+                c:DIYGrid.Column="{Binding Path='DataContext.column_map[MinPrice]', RelativeSource={RelativeSource AncestorType=c:DIYGrid}}"
+                Text="{Binding min_price, StringFormat='#,0.0000'}"
+                Style="{StaticResource TextCell}"
+              />
+              <c:TextCell
+                c:DIYGrid.ColumnKey="MaxPrice"
+                c:DIYGrid.Column="{Binding Path='DataContext.column_map[MaxPrice]', RelativeSource={RelativeSource AncestorType=c:DIYGrid}}"
+                Text="{Binding max_price, StringFormat='#,0.0000'}"
+                Style="{StaticResource TextCell}"
+              />
+              <Border
+                c:DIYGrid.ColumnKey="IsPriceLimitEnabled"
+                c:DIYGrid.Column="{Binding Path='DataContext.column_map[IsPriceLimitEnabled]', RelativeSource={RelativeSource AncestorType=c:DIYGrid}}"
+                Style="{StaticResource CellBorder}"
+              >
+                <CheckBox
+                  IsChecked="{Binding is_price_limit_enabled}"
+                  Style="{StaticResource LimitToggleSwitch}"
+                />
+              </Border>
+              <!--<Border
+                c:DIYGrid.ColumnKey="IsDirty"
+                c:DIYGrid.Column="{Binding Path='DataContext.column_map[IsDirty]', RelativeSource={RelativeSource AncestorType=c:DIYGrid}}"
+                Style="{StaticResource CellBorder}"
+              >
+                <Image Source="{x:Static u:Icons.CheckMark}" Visibility="{Binding is_persisted, Converter={StaticResource BooleanToVisibilityConverter}}"/>
+              </Border>-->
+            </Grid>
+          </DataTemplate>
+        </c:DIYGrid.RowTemplate>
+      </c:DIYGrid>
+    </Grid>
+  </AdornerDecorator>
+</UserControl>

src/client/spark/Modules/Trading/RiskManagement/View/RiskManagementControl.xaml.cs

@@ -0,0 +1,33 @@
+using mbts.ui.controls;
+using System.Windows.Controls;
+
+namespace bts.shell.risk_management {
+   /// <summary>
+   /// Interaction logic for RiskManagementControl.xaml
+   /// </summary>
+   partial class RiskManagementControl : UserControl {
+      public RiskManagementControl() {
+         InitializeComponent();
+      }
+
+      public enum Columns {
+         None,
+         Security,
+         MaxNetLongPosition,
+         MaxNetShortPosition,
+         ClipLimit,
+         MinPrice,
+         MaxPrice,
+         IsPositionLimitEnabled,
+         IsClipLimitEnabled,
+         IsPriceLimitEnabled,
+         SecurityKey
+      }
+   }
+
+   class RiskManagementColumn : DIYGrid.ColumnBase<RiskManagementControl.Columns> {
+      protected override void on_key_initialized(RiskManagementControl.Columns key) {
+         id = key.ToString();
+      }
+   }
+}

src/client/spark/Modules/Trading/TradingShellModule.cs

@@ -2,6 +2,7 @@
 using bts.api.position;
 using bts.shell.fills;
 using bts.shell.manual_fills;
+using bts.shell.risk_management;
 using bts.spark;
 using mbts.persist;
 using mbts.spark;
@@ -27,6 +28,7 @@ namespace bts.shell {
       readonly PNLWindowFactory _plwf;
       readonly AlgoStudioWindowFactory _aswf;
       readonly ManualFillsWindowFactory _mfwf;
+      readonly RiskManagementWindowFactory _rmwf;
       //
       List<SparkCommand> _actions;
 
@@ -54,6 +56,7 @@ namespace bts.shell {
             _old_plwf = new PAndLWindowFactory(this, bus, settings_hub, orders_model);
          _aswf = new AlgoStudioWindowFactory(this, bus, orders_model, error_reporter);
          _mfwf = new ManualFillsWindowFactory(this, bus, orders_model);
+         _rmwf = new RiskManagementWindowFactory(this, bus, settings_hub, orders_model.admin_model);
       }
 
       public ImageSource icon => Icons.Trades;
@@ -77,7 +80,8 @@ namespace bts.shell {
                   SparkCommands.PickLadder,
                   SparkCommands.PickOrderTicket,
                   SparkCommands.ShowAlgoStudio.complete(() => new AlgoStudioWindowFactory.StartupData()),
-                  SparkCommands.ShowManualFills().complete(() => ManualFillsSettings.Default)
+                  SparkCommands.ShowManualFills().complete(() => ManualFillsSettings.Default),
+                  SparkCommands.ShowRiskManagement.complete(() => RiskManagementSettings.Default)
                });
             }
             return _actions;
@@ -95,6 +99,7 @@ namespace bts.shell {
                yield return _old_plwf;
             yield return _aswf;
             yield return _mfwf;
+            yield return _rmwf;
          }
       }
 

src/client/spark/Security/SecurityStore.cs

@@ -155,9 +155,32 @@ namespace bts {
          Disposable.dispose(ref _dispose);
       }
 
-      public IObservable<Update<(SecurityImmutable? sec, T val), TKey>> join<T,TKey>(
-             IObservable<Update<T, TKey>> source, Func<T,security_key> skeyfn) where TKey : IEquatable<TKey> {
-         return Observable.Create<Update<(SecurityImmutable?, T), TKey>>(observer => {
+      public IObservable<Update<(SecurityImmutable? sec, T val), TKey>> join<T, TKey>(
+             IObservable<Update<T, TKey>> source, Func<T, security_key> skeyfn) where TKey : IEquatable<TKey> {
+         return join(source, skeyfn, get_incremental_props, mk_update);
+
+         (IEnumerable<T> all, IEnumerable<T> added, IEnumerable<Change<T>> changes, IEnumerable<T> removed, Func<T, TKey> key_extractor) get_incremental_props(Update<T, TKey> upd_in) =>
+            (upd_in.all, upd_in.added, upd_in.changes, upd_in.removed, upd_in.key_extractor);
+
+         Update<(SecurityImmutable? sec, T val), TKey> mk_update(
+            IEnumerable<(SecurityImmutable? sec, T val)> all,
+            IEnumerable<(SecurityImmutable? sec, T val)> added,
+            IEnumerable<Change<(SecurityImmutable? sec, T val)>> changes,
+            IEnumerable<(SecurityImmutable? sec, T val)> removed,
+            Func<(SecurityImmutable?, T), TKey> key_extractor) =>
+            //
+            new Update<(SecurityImmutable? sec, T val), TKey>(
+               all, added, changes, removed, key_extractor);
+      }
+
+      public IObservable<TOut> join<TIn, T, TKey, TOut>(
+         IObservable<TIn> source,
+         Func<T,security_key> skeyfn,
+         Func<TIn, (IEnumerable<T> all, IEnumerable<T> added, IEnumerable<Change<T>> changes, IEnumerable<T> removed, Func<T, TKey> key_extractor)> get_incremental_props,
+         Func<IEnumerable<(SecurityImmutable? sec, T val)>, IEnumerable<(SecurityImmutable? sec, T val)>, IEnumerable<Change<(SecurityImmutable? sec, T val)>>, IEnumerable<(SecurityImmutable? sec, T val)>, Func<(SecurityImmutable?, T), TKey>, TOut> create_result_update)
+         where TKey : IEquatable<TKey> {
+         //
+         return Observable.Create<TOut>(observer => {
             var state = ImmutableDictionary<TKey, (SecurityImmutable? s, T t)>.Empty;
             var gate = new object();
             // We get thie function from the first source update
@@ -186,11 +209,11 @@ namespace bts {
                      state = builder.ToImmutable();
                      // fire update
                      observer.OnNext(
-                        new Update<(SecurityImmutable?, T), TKey>(
-                           state.Values, 
-                           Enumerable.Empty<(SecurityImmutable?,T)>(), 
-                           changed, 
-                           Enumerable.Empty<(SecurityImmutable?,T)>(), 
+                        create_result_update(
+                           state.Values,
+                           Enumerable.Empty<(SecurityImmutable?, T)>(),
+                           changed,
+                           Enumerable.Empty<(SecurityImmutable?, T)>(),
                            rowkeyfn));
                   }
                }
@@ -198,10 +221,11 @@ namespace bts {
 
             return Disposable.Create(
                // Fire update when source changes
-               source.Subscribe((update) => {
+               source.Subscribe((update_in) => {
+                  var update = get_incremental_props(update_in);
                   lock (gate) {
                      rowkeyfn = rowkeyfn ?? (i => update.key_extractor(i.Item2));
-                     var relevant_securities = get_and_ensure_securities(update.added.Concat(update.changed).Select(skeyfn));
+                     var relevant_securities = get_and_ensure_securities(update.added.Concat(update.changes.New()).Select(skeyfn));
 
                      var added = new List<(SecurityImmutable?, T)>();
                      var changed = new List<Change<(SecurityImmutable? s, T t)>>();
@@ -238,8 +262,7 @@ namespace bts {
                      }
                      state = builder.ToImmutable();
 
-                     observer.OnNext(new Update<(SecurityImmutable?, T t), TKey>(
-                        state.Values, added, changed, removed, rowkeyfn));
+                     observer.OnNext(create_result_update(state.Values, added, changed, removed, rowkeyfn));
                   }
                }),
                // Also fire update when securities change

src/client/spark/core/Bus/SparkCommands.cs

@@ -28,6 +28,9 @@ namespace bts.spark {
       public static PartialCommand<bts.shell.orderbook.OrderBookStartupData> ShowOrders =>
          SparkCommand.create("Order Book", Icons.Book, SparkTags.ShowOrderBookTag);
 
+      public static PartialCommand<shell.risk_management.RiskManagementSettings> ShowRiskManagement =>
+         SparkCommand.create("Risk Management", Icons.Risk, SparkTags.ShowRiskManagement);
+
       // Fills
       public static PartialCommand<FillsSettings> ShowFills(KeyGesture key_gesture = null) =>
          SparkCommand.create("Fills", Icons.Payment, SparkTags.ShowFillsTag, key_gesture);

src/client/spark/core/Bus/SparkTags.cs

@@ -63,6 +63,7 @@ namespace mbts.spark {
       public static ITag<IObservable<SecurityMD>> ShowLinkedLadder { get; } = new SparkTag<IObservable<SecurityMD>>("Linked Ladder");
       public static ITag<SecurityCriteria> ShowMarketViewTag { get; } = new SparkTag<SecurityCriteria>("Show MarketView");
       public static ITag<bts.shell.orderbook.OrderBookStartupData> ShowOrderBookTag { get; } = new SparkTag<bts.shell.orderbook.OrderBookStartupData>(nameof(ShowOrderBookTag));
+      public static ITag<bts.shell.risk_management.RiskManagementSettings> ShowRiskManagement { get; } = new SparkTag<bts.shell.risk_management.RiskManagementSettings>(nameof(ShowRiskManagement));
       public static ITag<PAndLWindowFactory.PAndLStartupData> ShowPAndLTag { get; } = new SparkTag<PAndLWindowFactory.PAndLStartupData>(nameof(ShowPAndLTag));
       public static ITag<bts.shell.pnl.PNLSettings> ShowPNLTag { get; } = new SparkTag<bts.shell.pnl.PNLSettings>(nameof(ShowPNLTag));
       public static ITag<(SecurityImmutable security, ExecutionStrategyImmutable strategy)> ShowSyntheticCloneTag { get; } = new SparkTag<(SecurityImmutable security, ExecutionStrategyImmutable strategy)>(nameof(ShowSyntheticCloneTag));

src/client/spark/core/ShellInterface/UserSettings/ISettingsMigrationRule.cs

@@ -17,6 +17,7 @@ namespace bts.settings {
    interface IMarketViewGridSettingsMigrationRule : ISettingsMigrationRule<GridSettings> { }
    interface IPAndLGridSettingsMigrationRule : ISettingsMigrationRule<GridSettings> { }
    interface IPNLSettingsMigrationRule : ISettingsMigrationRule<PNLSettings> { }
+   interface IRiskManagementMigrationRule : ISettingsMigrationRule<GridSettings> { }
    interface ISyntheticManagementMigrationRule : ISettingsMigrationRule<GridSettings> { }
 
    static class SettingsMigrationHelper {

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

@@ -61,6 +61,8 @@ namespace mbts.spark {
       PNLSettings _pnl;
       [ProtoMember(14)]
       GlobalAlertSettings _alerts;
+      [ProtoMember(15)]
+      GridSettings _risk_management_grid;
 
       public UserSettings() { }
 
@@ -74,6 +76,7 @@ namespace mbts.spark {
       public GridSettings market_view_grid => _market_view_grid ?? (_market_view_grid = bts.shell.MarketViewWindowFactory.StartupData.DefaultGridSettings);
       public GridSettings time_and_sales_grid => _time_and_sales_grid ?? (_time_and_sales_grid = GridSettings.Default.with(bts.shell.time_and_sales.TimeAndSalesSettings.DefaultColumns.all));
       public GridSettings fills_grid => _fills_grid ?? (_fills_grid = bts.shell.fills.FillsSettings.DefaultGridSettings);
+      public GridSettings risk_management_grid => _risk_management_grid ?? (_risk_management_grid = bts.shell.risk_management.RiskManagementSettings.DefaultGrid);
       public GridSettings synthetic_management_grid => _synthetic_management_grid ?? (_synthetic_management_grid = bts.shell.SyntheticManagementWindowFactory.StartupData.DefaultGridSettings);
       public GridSettings pnl_grid => _pnl_grid ?? (_pnl_grid = bts.shell.PAndLWindowFactory.PAndLStartupData.DefaultGridSettings);
       public PNLSettings pnl => _pnl ?? (_pnl = PNLSettings.Default);
@@ -91,7 +94,8 @@ namespace mbts.spark {
          GridSettings provided_pnl_gridsettings = null,
          PNLSettings pnl = null,
          bts.shell.orderbook.OrderBookGridSettings order_book_grid = null,
-         GlobalAlertSettings alerts = null) {
+         GlobalAlertSettings alerts = null,
+         GridSettings risk_management_grid = null) {
          var us = new UserSettings(ladder_profiles ?? _ladder_profiles) {
             _ladder = ladder ?? _ladder,
             _notification = notification ?? _notification,
@@ -102,7 +106,8 @@ namespace mbts.spark {
             _pnl_grid = provided_pnl_gridsettings ?? _pnl_grid, 
             _pnl = pnl ?? _pnl,
             _order_book_grid = order_book_grid ?? _order_book_grid,
-            _alerts = alerts ?? _alerts
+            _alerts = alerts ?? _alerts,
+            _risk_management_grid = risk_management_grid ?? _risk_management_grid
          };
          us._last_ladder_profile_id = Math.Max(_last_ladder_profile_id, us.ladder_profiles.Select(p => p.id).MaxOrDefault());
          return us;

src/client/spark/core/ShellInterface/UserSettings/UserSettingsHub.cs

@@ -26,6 +26,7 @@ namespace mbts.persist {
          _fills_propi = ImmutableProperty.create<UserSettings, GridSettings>(us => us.fills_grid, (us, gs) => us.with(provided_fills_gridsettings: gs)),
          _mview_propi = ImmutableProperty.create<UserSettings, GridSettings>(us => us.market_view_grid, (us, gs) => us.with(provided_market_view_gridsettings: gs)),
          _pandl_propi = ImmutableProperty.create<UserSettings, GridSettings>(us => us.pnl_grid, (us, gs) => us.with(provided_pnl_gridsettings: gs)),
+         _risk_propi = ImmutableProperty.create<UserSettings, GridSettings>(us => us.risk_management_grid, (us, gs) => us.with(risk_management_grid: gs)),
          _synth_propi = ImmutableProperty.create<UserSettings, GridSettings>(us => us.synthetic_management_grid, (us, gs) => us.with(provided_synthetic_management_gridsettings: gs));
 
       static readonly IImmutableProperty<UserSettings, PNLSettings>
@@ -37,6 +38,7 @@ namespace mbts.persist {
       readonly IEnumerable<IMarketViewGridSettingsMigrationRule> _mview_migration_rules;
       readonly IEnumerable<IPAndLGridSettingsMigrationRule> _pandl_migration_rules;
       readonly IEnumerable<IPNLSettingsMigrationRule> _pnl_migration_rules;
+      readonly IEnumerable<IRiskManagementMigrationRule> _risk_migration_rules;
       readonly IEnumerable<ISyntheticManagementMigrationRule> _synth_migration_rules;
       readonly IUserPersist _persist;
 
@@ -49,6 +51,7 @@ namespace mbts.persist {
          [ImportMany]IEnumerable<IMarketViewGridSettingsMigrationRule> mview_migration_rules,
          [ImportMany]IEnumerable<IPAndLGridSettingsMigrationRule> pandl_migration_rules,
          [ImportMany]IEnumerable<IPNLSettingsMigrationRule> pnl_migration_rules,
+         [ImportMany]IEnumerable<IRiskManagementMigrationRule> risk_migration_rules,
          [ImportMany]IEnumerable<ISyntheticManagementMigrationRule> synth_migration_rules) {
          //
          _persist = persist;
@@ -56,6 +59,7 @@ namespace mbts.persist {
          _mview_migration_rules = mview_migration_rules ?? Enumerable.Empty<IMarketViewGridSettingsMigrationRule>();
          _pandl_migration_rules = pandl_migration_rules ?? Enumerable.Empty<IPAndLGridSettingsMigrationRule>();
          _pnl_migration_rules = pnl_migration_rules ?? Enumerable.Empty<IPNLSettingsMigrationRule>();
+         _risk_migration_rules = risk_migration_rules ?? Enumerable.Empty<IRiskManagementMigrationRule>();
          _synth_migration_rules = synth_migration_rules ?? Enumerable.Empty<ISyntheticManagementMigrationRule>();
          init();
          async void init() {
@@ -68,6 +72,7 @@ namespace mbts.persist {
                      _mview_migration_rules.merge().wrap(_mview_propi),
                      _pandl_migration_rules.merge().wrap(_pandl_propi),
                      _pnl_migration_rules.merge().wrap(_pnl_propi),
+                     _risk_migration_rules.merge().wrap(_risk_propi),
                      _synth_migration_rules.merge().wrap(_synth_propi)
                   };
                   SettingsMigrationHelper.apply_quiet(ref s, wrapped_rules);
@@ -142,6 +147,12 @@ namespace mbts.persist {
             _pnl_migration_rules,
             _pnl_propi);
 
+      public IWindowSettingsManager<GridSettings> create_risk_management_settings_manager(GridSettings instance_settings) =>
+         _create_settings_manager(
+            instance_settings,
+            _risk_migration_rules,
+            _risk_propi);
+
       public IWindowSettingsManager<GridSettings> create_synth_settings_manager(GridSettings instance_settings) =>
          _create_settings_manager(
             instance_settings,
@@ -170,4 +181,4 @@ namespace mbts.persist {
          }
       }
    }
-}
+}

src/client/spark/core/Utility/ObjectSnapshot.cs

@@ -3,6 +3,7 @@ using mbts;
 using mbts.ui.shell;
 using mbts.utils;
 using System;
+using System.Collections;
 using System.Collections.Generic;
 using System.ComponentModel;
 using System.Linq;
@@ -10,6 +11,13 @@ using System.Reactive.Linq;
 using System.Reflection;
 
 namespace bts.utils {
+   class PropertyEqualityComparerAttribute : Attribute {
+      public PropertyEqualityComparerAttribute(Type comparer_type) =>
+         this.comparer_type = comparer_type ?? throw new ArgumentNullException(nameof(comparer_type));
+
+      public Type comparer_type { get; }
+   }
+
    interface IPropertyChangedDetector<T> where T : IRaiseNotifyPropertyChanged {
       IDisposable detect_changes(T target);
    }
@@ -68,6 +76,42 @@ namespace bts.utils {
       public static IObservable<bool> dirty_monitor<T>(T instance, PropertyInfo[] props) where T : INotifyPropertyChanged =>
          _dirty_monitor(instance, props.ToDictionary(p => p.Name, p => new PropNode(p, p.GetValue(instance))));
 
+      public static Func<T, int> property_hash_code_delegate<T>(string prop) =>
+         DelegateStore<T>.property_hash_code(prop);
+
+      public static Func<T, int> property_hash_code_delegate<T>(IEnumerable<string> props) {
+         var prop_hash_code_dels = props.Select(DelegateStore<T>.property_hash_code).ExceptNull().ToArray();
+         return impl;
+         int impl(T a) =>
+            EqualityComparer.auto_phase(prop_hash_code_dels.Select(peq => peq(a)));
+      }
+
+      public static Func<T, T, bool> property_equals_delegate<T>(string prop) =>
+         DelegateStore<T>.property_equals(prop);
+
+      public static Func<T, T, bool> property_equals_delegate<T>(IEnumerable<string> props) {
+         var prop_equals_dels = props.Select(DelegateStore<T>.property_equals).ExceptNull().ToArray();
+         return impl;
+         bool impl(T a, T b) =>
+            prop_equals_dels.All(peq => peq(a, b));
+      }
+
+      public static IEqualityComparer<T> property_equality_comparer<T>() {
+         var prop_infos = PropertyInfoStore<T>.all_props;
+         return property_equality_comparer<T>(
+            prop_infos.Select(p => p.Name),
+            // hash code should NEVER include mutable props
+            prop_infos.Where(pi => !pi.CanWrite).Select(p => p.Name));
+      }
+
+      public static IEqualityComparer<T> property_equality_comparer<T>(IEnumerable<string> props) =>
+         property_equality_comparer<T>(props, props);
+
+      public static IEqualityComparer<T> property_equality_comparer<T>(IEnumerable<string> equals_props, IEnumerable<string> hash_code_props) =>
+         EqualityComparer.Create(
+            property_equals_delegate<T>(equals_props),
+            property_hash_code_delegate<T>(hash_code_props));
+
       static IObservable<bool> _dirty_monitor<T>(T instance, Dictionary<string, PropNode> prop_map) where T : INotifyPropertyChanged =>
          Observable.Create<bool>(o => {
             var dirty_props = new HashSet<string>();
@@ -106,6 +150,8 @@ namespace bts.utils {
          PropertyInfo prop_info { get; }
          Func<T, object> getter { get; }
          Action<T, object> setter { get; }
+         Func<T, T, bool> property_equals { get; }
+         Func<T, int> property_hash_code { get; }
          (Action<T> initialize, Func<T, bool> refresh) create_snapshot();
          (Action initialize, Func<bool> refresh) create_snapshot(T source);
       }
@@ -139,6 +185,15 @@ namespace bts.utils {
          public static Action<T, object> setter(string prop_name) =>
             accessor_data.TryGetValue(prop_name, out var dels) ? dels.setter : null;
 
+         public static Func<T, T, bool> property_equals(string prop_name) =>
+            accessor_data.TryGetValue(prop_name, out var dels) ? dels.property_equals : null;
+
+         public static Func<T, int> property_hash_code(string prop_name) =>
+            accessor_data.TryGetValue(prop_name, out var dels) ? dels.property_hash_code : null;
+
+         public static IPropertyAccessorData<T> get_accessor(string prop_name) =>
+            accessor_data.GetValueOrDefault(prop_name);
+
          static DelegateStore() {
             var prop_dels = new Dictionary<string, IPropertyAccessorData<T>>();
             var accessor_type_cache = new Dictionary<Type, Type>();
@@ -185,6 +240,7 @@ namespace bts.utils {
       class PropertyAccessorData<T, TValue> : IPropertyAccessorData<T, TValue> {
          readonly Func<T, object> _ng_get;
          readonly Action<T, object> _ng_set;
+         IEqualityComparer<TValue> _property_equals_comp;
 
          public PropertyAccessorData(PropertyInfo prop_info) {
             this.prop_info = prop_info;
@@ -200,11 +256,27 @@ namespace bts.utils {
                setter = set_method.CreateDelegate(typeof(Action<T, TValue>)) as Action<T, TValue>;
                _ng_set = (src, val) => setter(src, (TValue)val);
             }
+            if (prop_info.GetCustomAttribute<PropertyEqualityComparerAttribute>()?.comparer_type is Type comp_type) {
+               _property_equals_comp = Activator.CreateInstance(comp_type) as IEqualityComparer<TValue>;
+            }
+            if (_property_equals_comp is null) {
+               _property_equals_comp = EqualityComparer<TValue>.Default;
+            }
          }
 
          public Func<T, TValue> getter { get; }
          public Action<T, TValue> setter { get; }
          public PropertyInfo prop_info { get; }
+         public Func<T, T, bool> property_equals {
+            get {
+               return impl;
+               bool impl(T a, T b) =>
+                  _property_equals_comp.Equals(getter(a), getter(b));
+            }
+         }
+         public Func<T, int> property_hash_code =>
+            a => _property_equals_comp.GetHashCode(getter(a));
+
          Func<T, object> IPropertyAccessorData<T>.getter => _ng_get;
          Action<T, object> IPropertyAccessorData<T>.setter => _ng_set;
 

src/client/spark/core/Utility/SelectionModel.cs

@@ -1,6 +1,11 @@
-using System;
+using bts.collections;
+using bts.utils;
+using mbts.ui.shell;
+using System;
 using System.Collections.Generic;
+using System.Collections.ObjectModel;
 using System.Collections.Specialized;
+using System.Linq;
 using System.Reactive.Linq;
 
 namespace mbts.ui.utility {
@@ -153,6 +158,95 @@ namespace mbts.ui.utility {
          _try_match_item(_item_to_value(item), out match);
    }
 
+   class SelectorVM<T, TKey> {
+      readonly IEqualityComparer<T> _eq_comparer;
+      readonly IEqualityComparer<TKey> _key_comparer;
+      readonly Func<T, TKey> _key_fn;
+      readonly ObservableCollection<T> _items = new ObservableCollection<T>();
+      readonly Dictionary<TKey, T> _map;
+      /// not as noisy as <see cref="ObservableCollection{T}.CollectionChanged"/>,
+      /// this event is only raised after a batch collection change has been completed.
+      /// <see cref="update_items(IEnumerable{T})"/>.
+      IComparer<T> _comparer;
+      T _selected_item;
+      TKey _pending_selected_item_key;
+      bool _is_pending_selection;
+
+      public SelectorVM(Func<T, TKey> key_fn)
+         : this(key_fn, EqualityComparer<TKey>.Default) { }
+
+      public SelectorVM(Func<T, TKey> key_fn, IEqualityComparer<TKey> key_comparer) {
+         _key_fn = key_fn ?? throw new ArgumentNullException(nameof(key_fn));
+         _key_comparer = key_comparer ?? throw new ArgumentNullException(nameof(key_comparer));
+         _eq_comparer = EqualityComparer.Create(_key_fn, _key_comparer);
+         _map = new Dictionary<TKey, T>(key_comparer);
+         items = ObservableAutoWrapper.create_read_only_wrapper(_items);
+      }
+
+      public event Action selected_item_changed;
+
+      public IReadOnlyObservableCollection<T> items { get; }
+      public T selected_item {
+         get => _selected_item;
+         set {
+            if (!_eq_comparer.Equals(_selected_item, value)) {
+               _selected_item = value;
+               selected_item_changed?.Invoke();
+            }
+         }
+      }
+      public IComparer<T> comparer {
+         get => _comparer;
+         set {
+            _comparer = value;
+            if (value != null)
+               _update_items(items, false);
+         }
+      }
+
+      public bool try_select(T item, bool wait_for_item_to_arrive = false) =>
+         try_select(_key_fn(item), wait_for_item_to_arrive);
+
+      public bool try_select(TKey item_key, bool wait_for_item_to_arrive = false) {
+         if (_map.TryGetValue(item_key, out var item)) {
+            selected_item = item;
+            return true;
+         } else if (wait_for_item_to_arrive) {
+            _pending_selected_item_key = item_key;
+            _is_pending_selection = true;
+         }
+         return false;
+      }
+
+      public void update_items(IEnumerable<T> items) =>
+         _update_items(items, true);
+
+      void _update_items(IEnumerable<T> items, bool map_changed) {
+         // The currently selected item may be removed during this collection change.
+         // After the items have been changed, attempt to re-select the last selected item;
+         // if there is already a particular 'pending selection,' attempt to select that instead.
+         var target_key = _is_pending_selection ? _pending_selected_item_key : _key_fn(_selected_item);
+         if (map_changed)
+            _map.Clear();
+         if (items is null) {
+            _items.Clear();
+         } else {
+            if (_comparer != null) {
+               items = items.Ordered(_comparer);
+            }
+            _items.sync_with(items);
+         }
+         if (map_changed) {
+            foreach (var i in this.items)
+               _map[_key_fn(i)] = i;
+         }
+         if (_map.Count != this.items.Count)
+            throw new InvalidOperationException("Map and items are out of sync (different item counts).");
+         if (try_select(target_key, _is_pending_selection || _items.Count == 0) && _is_pending_selection)
+            _is_pending_selection = false;
+      }
+   }
+
    static class SelectionModelExtensions {
       public static IObservable<TValue> observe_selected_item<TItem, TValue>(this SelectionModel<TItem, TValue> selection_model, bool notify_on_subscribe = false) =>
          Observable.Create<TValue>(o => {
@@ -166,4 +260,4 @@ namespace mbts.ui.utility {
          return Disposable.Create(() => selection_model.Changed -= callback);
       }
    }
-} 
+} 

src/client/spark/view/Controls/DIYGrid/CellRender/TextCell.cs

@@ -229,7 +229,10 @@ namespace mbts.ui.controls {
       public string Text { get => GetValue(TextProperty) as string; set => SetValue(TextProperty, value); }
       #endregion
 
-      protected override Size ArrangeOverride(Size finalSize) => finalSize;
+      protected override Size ArrangeOverride(Size finalSize) {
+         _gcr.available_size = finalSize;
+         return finalSize;
+      }
 
       protected override Size MeasureOverride(Size availableSize) {
          _gcr.available_size = availableSize;

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

@@ -237,6 +237,15 @@ namespace mbts.ui.controls {
          Color? _background_color_override;
          object _header_copy;
          bool _is_visible;
+         IDisposable _model_hooks;
+
+         static ColumnBase() {
+            WidthProperty.OverrideMetadata(typeof(ColumnBase),
+               new PropertyMetadata((d, e) => {
+                  if (d is ColumnBase cb)
+                     cb.width_changed?.Invoke((double)e.NewValue);
+               }));
+         }
 
          protected ColumnBase() {
             var gs = GridSettings.Default;
@@ -256,10 +265,25 @@ namespace mbts.ui.controls {
             get => GetValue(SortDirectionProperty) as ListSortDirection?;
             set => SetValue(SortDirectionProperty, value);
          }
+         ListSortDirection? ISortableDIYGridColumn.SortDirection {
+            get => SortDirection;
+            set => SetCurrentValue(SortDirectionProperty, value);
+         }
+
+         #region IsVisible
+         public static readonly DependencyProperty IsVisibleProperty =
+            WPFHelper.create_dp<bool, ColumnBase>(nameof(IsVisible), (o, v) => o.is_visible = v);
+
+         public bool IsVisible {
+            get => (bool)GetValue(IsVisibleProperty);
+            set => SetValue(IsVisibleProperty, value);
+         }
+         #endregion
 
          public event Action<ColumnBase, ListSortDirection?> sort_direction_changed;
          public event Action font_params_changed;
          public event Action<bool> is_visible_changed;
+         public event Action<double> width_changed;
 
          public string id { get; set; }
          public string sort_member_path { get; set; }
@@ -273,6 +297,7 @@ namespace mbts.ui.controls {
                   _is_visible = value;
                   is_visible_changed?.Invoke(value);
                   raise_prop_changed();
+                  SetCurrentValue(IsVisibleProperty, value);
                }
             }
          }
@@ -297,6 +322,29 @@ namespace mbts.ui.controls {
             set => base.Header = (_header_copy = value);
          }
 
+         public void set_model(IDIYGridColumnModel model) {
+            Disposable.dispose(ref _model_hooks);
+            model.width = Width;
+            width_changed += on_width_changed;
+            model.width_changed += on_model_width_changed;
+            model.result_changed += on_result_changed;
+            _model_hooks = Disposable.Create(() => {
+               width_changed -= on_width_changed;
+               model.width_changed -= on_model_width_changed;
+            });
+            void on_model_width_changed(double value) {
+               if (!DoubleUtil.AreClose(value, Width))
+                  SetCurrentValue(WidthProperty, value);
+            }
+            void on_width_changed(double value) {
+               model.width_changed -= on_model_width_changed;
+               model.width = value;
+               model.width_changed += on_model_width_changed;
+            }
+            void on_result_changed() =>
+               load_from(model.create());
+         }
+
          /// important: don't access any dependency props in here.
          /// this may be called from a thread other than that of this dispatcher (i.e., when <see cref="IShellWindow.GetState(System.IO.Stream)"/> is called).
          public GridColumnSettings create() =>
@@ -327,9 +375,8 @@ namespace mbts.ui.controls {
             }
             if (original_width != settings.width) {
                original_width = settings.width;
-               Width = original_width;
+               SetCurrentValue(WidthProperty, original_width);
             }
-            //
          }
 
          // 'fallback' font-params (aka 'grid-level' font-params)

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

@@ -9,10 +9,10 @@ using System.Reactive.Linq;
 namespace mbts.ui {
    class ColumnSortManager {
       readonly List<ISortableDIYGridColumn> _visible_sorting = new List<ISortableDIYGridColumn>();
-      readonly IList<ISortableDIYGridColumn> _columns;
+      readonly IEnumerable<ISortableDIYGridColumn> _columns;
       readonly string _primary_key;
 
-      public ColumnSortManager(IList<ISortableDIYGridColumn> columns, string primary_key) {
+      public ColumnSortManager(IEnumerable<ISortableDIYGridColumn> columns, string primary_key) {
          _columns = columns;
          _primary_key = primary_key;
       }

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

@@ -1,4 +1,18 @@
-namespace mbts.ui.controls {
+using bts.utils;
+using mbts.spark;
+using mbts.spark.filters;
+using mbts.ui.settings;
+using mbts.ui.shell;
+using System;
+using System.Collections;
+using System.Collections.Generic;
+using System.ComponentModel;
+using System.Reflection;
+using System.Runtime.CompilerServices;
+using System.Windows;
+using System.Windows.Media;
+
+namespace mbts.ui.controls {
    class DIYGridColumn : DIYGrid.ColumnBase<string> {
       public DIYGridColumn()
          : base() {
@@ -6,4 +20,194 @@
          Width = 60;
       }
    }
+
+   interface IDIYGridColumnModel : DIYGrid.IFilterableColumn, IValueFactoryVM<GridColumnSettings> {
+      string id { get; }
+      string column_template { get; }
+      IComparer row_comparer { get; }
+      double width { get; set; }
+      event Action<double> width_changed;
+      event Action result_changed;
+   }
+
+   interface IDIYGridColumnFactory {
+      DIYGrid.ColumnBase create_view();
+   }
+
+   class DIYGridColumnModel<TKey> : ViewModelBase, IDIYGridColumnModel, ISortableDIYGridColumn<TKey>, ISortableDIYGridColumn, IValueFactoryVM<GridColumnSettings> where TKey : struct {
+      readonly DeferrableActionWrapper _result_changed;
+
+         FontWeight _fallback_font_weight;
+         Color _fallback_font_color;
+         Color _fallback_background_color;
+         double _fallback_font_size;
+         FontFamily _fallback_font_family;
+
+      double _width = 60;
+      bool _is_visible = true;
+      ListSortDirection? _sort_direction;
+      object _custom_header;
+      string _display_name;
+      HorizontalAlignment _horizontal_alignment = HorizontalAlignment.Left;
+      Color? _background_color_override, _font_color_override;
+      FontWeight? _font_weight_override;
+
+      public DIYGridColumnModel(TKey id, IComparer row_comparer, IDataGridColumnFilter filter, string filter_template = null, string column_template = null) {
+         this.id = id;
+         this.row_comparer = row_comparer;
+         this.filter = filter;
+         this.filter_template = filter_template;
+         this.column_template = column_template;
+         _result_changed = new DeferrableActionWrapper(() => result_changed?.Invoke());
+      }
+
+      public event Action result_changed;
+      public event Action<double> width_changed;
+
+      public TKey id { get; }
+      string IDIYGridColumnModel.id => id.ToString();
+      public IComparer row_comparer { get; }
+      public string display_name {
+         get => _display_name;
+         set {
+            if (value != _display_name) {
+               _display_name = value;
+               _result_changed.execute();
+               RaisePropertyChanged();
+               if (_custom_header is null) {
+                  RaisePropertyChanged(nameof(header));
+               }
+            }
+         }
+      }
+      public object header => _custom_header ?? display_name;
+      public object custom_header { get => _custom_header;
+         set {
+            if (value != _custom_header) {
+               _custom_header = value;
+               RaisePropertyChanged(nameof(custom_header), nameof(header));
+            }
+         }
+      }
+      public double width {
+         get => _width;
+         set {
+            if (_set(ref _width, value, DoubleUtil.AreClose))
+               width_changed?.Invoke(value);
+         }
+      }
+      public bool is_visible { get => _is_visible; set => _set(ref _is_visible, value); }
+      public ListSortDirection? sort_direction { get => _sort_direction; set => Set(ref _sort_direction, value); }
+      public Color? background_color_override { get => _background_color_override; set => _set(ref _background_color_override, value); }
+      public Color? font_color_override { get => _font_color_override; set => _set(ref _font_color_override, value); }
+      public FontWeight? font_weight_override { get => _font_weight_override; set => _set(ref _font_weight_override, value); }
+      public FontFamily font_family => _fallback_font_family;
+      public FontWeight font_weight => _font_weight_override ?? _fallback_font_weight;
+      public Color font_color => font_color_override ?? _fallback_font_color;
+      public Color background_color => background_color_override ?? _fallback_background_color;
+      public double font_size => _fallback_font_size;
+      public HorizontalAlignment horizontal_alignment { get => _horizontal_alignment; set => _set(ref _horizontal_alignment, value); }
+      public IDataGridColumnFilter filter { get; }
+      public string column_template { get; }
+      public string filter_template { get; }
+
+      string IDIYGridColumn.id => id.ToString();
+      ListSortDirection? ISortableDIYGridColumn.SortDirection { get => sort_direction; set => sort_direction = value; }
+
+      public GridColumnSettings create() =>
+         new GridColumnSettings(
+            id: id.ToString(),
+            display_name: display_name,
+            is_visible: is_visible,
+            font_color_override: font_color_override,
+            font_weight_override: font_weight_override,
+            width: width,
+            background_color_override: background_color_override,
+            horizontal_alignment: horizontal_alignment);
+
+      public void set_fallback_font_params(FontFamily font_family, double font_size, Color font_color, FontWeight font_weight, Color background_color) {
+         using (ReflectionHelper.detect_property_changes(this, RaisePropertyChanged, nameof(font_family), nameof(font_size), nameof(font_color), nameof(font_weight), nameof(background_color))) {
+            _fallback_font_family = font_family;
+            _fallback_font_size = font_size;
+            _fallback_font_color = font_color;
+            _fallback_background_color = background_color;
+            _fallback_font_weight = font_weight;
+         }
+      }
+
+      public void load_from(GridColumnSettings value) {
+         if (!value.strong_id<TKey>().Equals(id))
+            throw new ArgumentException("Column id in settings object does not match the column model's id.", nameof(value));
+         using (_result_changed.defer_execution())
+         using (_detect_result_changed())
+         using (detect_property_changes(nameof(font_color), nameof(font_weight), nameof(background_color))) {
+            display_name = value.display_name;
+            is_visible = value.is_visible;
+            font_color_override = value.font_color_override;
+            font_weight_override = value.font_weight_override;
+            background_color_override = value.background_color_override;
+            width = value.width;
+            horizontal_alignment = value.horizontal_alignment;
+         }
+      }
+
+      IDisposable _detect_result_changed() {
+         var orig_state = create();
+         return Disposable.Create(() => {
+            var curr_state = create();
+            if (!orig_state.Equals(curr_state))
+               result_changed?.Invoke();
+         });
+      }
+
+      bool _set<T>(ref T backing, T new_value, [CallerMemberName]string prop = null) =>
+         _set(ref backing, new_value, EqualityComparer<T>.Default, prop);
+
+      bool _set<T>(ref T backing, T new_value, Func<T, T, bool> equals, [CallerMemberName] string prop = null) =>
+         // Technically, the GetHashCode impl could disagree with the equals delegate.
+         // However, this doesn't matter because the _set method only uses IEqualityComparer.Equals (not GetHashCode).
+         // It didn't seem worth the trouble of changing the method signature, as there is no conceivable reason why that method
+         // would ever be changed to use GetHashCode.
+         _set(ref backing, new_value, EqualityComparer.Create(equals, a => a.GetHashCode()), prop);
+
+      bool _set<T>(ref T backing, T new_value, IEqualityComparer<T> comparer, [CallerMemberName]string prop = null) {
+         if (Set(ref backing, new_value, comparer, prop)) {
+            _result_changed.execute();
+            return true;
+         }
+         return false;
+      }
+   }
+
+   class DIYGridColumnModel<TKey, TRow, TGridFilter> : DIYGridColumnModel<TKey> where TKey : struct {
+      readonly Func<TGridFilter, object> _get_column_filter_settings;
+      readonly Func<TGridFilter, object, TGridFilter> _set_column_filter_settings;
+
+      public DIYGridColumnModel(TKey id, IComparer<TRow> row_comparer, IDataGridColumnFilter<TRow> filter, string filter_template, Func<TGridFilter, object> get_column_filter_settings, Func<TGridFilter, object, TGridFilter> set_column_filter_settings)
+         : base(id, row_comparer.to_non_generic(), filter, filter_template) {
+         _get_column_filter_settings = get_column_filter_settings;
+         _set_column_filter_settings = set_column_filter_settings;
+         this.row_comparer = row_comparer;
+         this.filter = filter;
+      }
+
+      public new IComparer<TRow> row_comparer { get; }
+
+      public new IDataGridColumnFilter<TRow> filter { get; }
+
+      public void load_from(GridColumnSettings column_settings, TGridFilter grid_filter_settings) {
+         if (column_settings != null)
+            load_from(column_settings);
+         if (_get_column_filter_settings != null && grid_filter_settings != null)
+            filter?.load_state(_get_column_filter_settings(grid_filter_settings));
+      }
+
+      public TGridFilter assign_filter_settings(TGridFilter target) {
+         if (_set_column_filter_settings != null) {
+            var filter_settings = filter.get_state();
+            target = _set_column_filter_settings(target, filter_settings);
+         }
+         return target;
+      }
+   }
 }

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

@@ -1,4 +1,5 @@
 using bts;
+using bts.collections;
 using bts.utils;
 using mbts.spark.filters;
 using mbts.ui.controls.adorners;
@@ -867,6 +868,83 @@ namespace mbts.ui.controls {
       public static void SetColumnKey(DependencyObject d, object value) => d.SetValue(ColumnKeyProperty, value);
       #endregion
 
+      #region Column
+      public static readonly DependencyProperty ColumnProperty =
+         DependencyProperty.RegisterAttached("Column", typeof(object), typeof(DIYGrid), new PropertyMetadata());
+
+      public static object GetColumn(DependencyObject d) => d.GetValue(ColumnProperty);
+      public static void SetColumn(DependencyObject d, object value) => d.SetValue(ColumnProperty, value);
+      #endregion
+
+      #region ColumnModels
+      public static readonly DependencyProperty ColumnModelsProperty =
+         DependencyProperty.RegisterAttached("ColumnModels", typeof(IReadOnlyObservableCollection<IDIYGridColumn>),
+            typeof(DIYGrid),
+            new PropertyMetadata(null, OnColumnModelsChanged));
+
+      static void OnColumnModelsChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
+         IDisposable hook = null;
+         if (e.NewValue is IEnumerable<IDIYGridColumnModel> col_models) {
+            resort();
+            if (e.NewValue is INotifyCollectionChanged col_models_notifier) {
+               hook = CollectionHelper.buffer_collection_changed_callback(col_models_notifier, resort, TimeSpan.FromSeconds(0.3), TimeSpan.Zero);
+            }
+            void resort() {
+               if (d is DIYGrid grid) {
+                  var cols = grid.Columns;
+                  if (cols != null) {
+                     var col_map = cols.ToDictionary(c => c.id);
+                     var sorted_cols = col_models.Select(cm => {
+                        if (col_map.TryGetValue(cm.id, out var cb))
+                           return cb;
+                        if (cm is IDIYGridColumnFactory col_factory) {
+                           cb = col_factory.create_view();
+                        } else if (!string.IsNullOrEmpty(cm.column_template)) {
+                           cb = grid.TryFindResource(cm.column_template) as ColumnBase;
+                        }
+                        if (cb is null) {
+                           cb = new DIYGridColumn { id = cm.id };
+                           BindingOperations.SetBinding(cb, ColumnBase.HeaderProperty, new Binding(nameof(DIYGridColumnModel<int>.header)) { Source = cm });
+                           BindingOperations.SetBinding(cb, ColumnBase.SortDirectionProperty, new Binding(nameof(DIYGridColumnModel<int>.sort_direction)) { Source = cm, Mode = BindingMode.TwoWay });
+                           cb.set_model(cm);
+                           BindingOperations.SetBinding(cb, ColumnBase.IsVisibleProperty, new Binding(nameof(DIYGridColumnModel<int>.is_visible)) { Source = cm });
+                           if (cm is IFilterableColumn fc) {
+                              DataGridFilterProperties.SetFilter(cb, fc.filter);
+                              DataGridFilterProperties.SetFilterTemplate(cb, grid.FindResource(fc.filter_template) as DataTemplate);
+                              BindingOperations.SetBinding(cb, DataGridFilterProperties.FilterActiveProperty, new Binding(nameof(IDataGridColumnFilter.active)) { Source = fc.filter });
+                              BindingOperations.SetBinding(cb, DataGridFilterProperties.FilterOpenProperty, new Binding(nameof(IDataGridColumnFilter.open)) { Source = fc.filter });
+                           }
+                        }
+                        return cb;
+                     }).ToList();
+                     CollectionHelper.sync_with_never_duplicate(cols, sorted_cols);
+                  }
+               }
+            }
+         }
+         SetColumnModelsHooks(d, hook);
+      }
+
+      public static IReadOnlyObservableCollection<IDIYGridColumn> GetColumnModels(DependencyObject d) =>
+         d.GetValue(ColumnModelsProperty) as IReadOnlyObservableCollection<IDIYGridColumn>;
+
+      public static void SetColumnModels(DependencyObject d, IReadOnlyObservableCollection<IDIYGridColumn> value) =>
+         d.SetValue(ColumnModelsProperty, value);
+
+      static readonly DependencyPropertyKey ColumnModelsHooksPropertyKey =
+         DependencyProperty.RegisterAttachedReadOnly("ColumnModelsHooks", typeof(IDisposable),
+            typeof(DIYGrid),
+            new PropertyMetadata(null, FrameworkElementLifeDependencyHelper.DisposeOld));
+
+      internal static DependencyProperty ColumnModelsHooksProperty => ColumnModelsHooksPropertyKey.DependencyProperty;
+
+      internal static IDisposable GetColumnModelsHooks(DependencyObject d) =>
+         d.GetValue(ColumnModelsHooksProperty) as IDisposable;
+
+      static void SetColumnModelsHooks(DependencyObject d, IDisposable value) =>
+         d.SetValue(ColumnModelsHooksPropertyKey, value);
+      #endregion
+
       #region SyncWithColumnGeometrySource
       public static readonly DependencyProperty SyncWithColumnGeometrySourceProperty =
          DependencyProperty.RegisterAttached(

src/client/spark/view/Controls/DIYGrid/Settings/SimpleGridSettingsManager.cs

@@ -1,5 +1,6 @@
 using bts.utils;
 using mbts.spark;
+using mbts.ui.controls;
 using mbts.ui.settings;
 using mbts.ui.shell;
 using mbts.utils;
@@ -121,4 +122,111 @@ namespace mbts.ui {
          }
       }
    }
+
+   class SimpleGridSettingsManagerVM<TColumnKey> : ViewModelBase, IObserver<GridSettings> where TColumnKey : struct {
+      readonly IReadOnlyList<DIYGridColumnModel<TColumnKey>> _columns;
+      readonly Property<GridSettings> _grid_settings;
+      readonly DelegateProperty<FontFamily> _font_family;
+      readonly DelegateProperty<FontWeight> _font_weight;
+      readonly DelegateProperty<double> _font_size;
+      readonly DelegateProperty<SolidColorBrush> _font_color, _selection_highlight, _background_color;
+      readonly IReadOnlyDictionary<string, ImmutableColumnSettingStore> _column_flags;
+      readonly Action<IEnumerable<GridColumnSettings>> _sync_column_order;
+      readonly Action _invalidate_rows;
+
+      public SimpleGridSettingsManagerVM(
+         IReadOnlyList<DIYGridColumnModel<TColumnKey>> columns,
+         IReadOnlyDictionary<string, GridColumnSettingsFeatureFlags> column_flags,
+         Action<IEnumerable<GridColumnSettings>> sync_column_order,
+         Action invalidate_rows) {
+         //
+         _columns = columns;
+         _sync_column_order = sync_column_order;
+         _invalidate_rows = invalidate_rows;
+         _column_flags = (column_flags ?? DictionaryHelper.empty<string, GridColumnSettingsFeatureFlags>())
+            .ToDictionary(kv => kv.Key, kv => ImmutableColumnSettingStore.create(kv.Value));
+         _grid_settings = backing(nameof(grid_settings), GridSettings.Default);
+         _font_family = backing(nameof(font_family), () => new FontFamily(grid_settings.font_family), nameof(grid_settings));
+         _font_weight = backing(nameof(font_weight), () => grid_settings.font_weight, nameof(grid_settings));
+         _font_size = backing(nameof(font_size), () => grid_settings.font_size, nameof(font_size));
+         _font_color = backing(nameof(font_color), () => grid_settings.font_color.rgb_solid_brush().frozen(), nameof(grid_settings));
+         _selection_highlight = backing(nameof(selection_highlight), () => grid_settings.selection_highlight.to_brush().frozen(), nameof(grid_settings));
+         _background_color = backing(nameof(background_color), () => grid_settings.background_color.argb_color().to_solid_brush().frozen(), nameof(grid_settings));
+      }
+
+      public GridSettings grid_settings => _grid_settings.Value;
+      public FontFamily font_family => _font_family.Value;
+      public FontWeight font_weight => _font_weight.Value;
+      public double font_size => _font_size.Value;
+      public SolidColorBrush font_color => _font_color.Value;
+      public SolidColorBrush selection_highlight => _selection_highlight.Value;
+      public SolidColorBrush background_color => _background_color.Value;
+
+      public SimpleGridSettingsVM create_vm(GridSettings settings) {
+         var vm = new SimpleGridSettingsVM(_column_flags.ToDictionary(kv => kv.Key, kv => kv.Value.flags));
+         vm.load_from(settings);
+         return vm;
+      }
+
+      public GridSettings create() {
+         // IMPORTANT: don't overwrite current sorting
+         _grid_settings.set(grid_settings.with(_columns.Select(c => {
+            var col_settings = c.create();
+            if (_column_flags.TryGetValue(c.id.ToString(), out ImmutableColumnSettingStore store))
+               col_settings = store.apply(col_settings);
+            return col_settings;
+         })));
+         return grid_settings;
+      }
+
+      /// <summary>
+      /// This will overwrite the columns' immutable-value store (unlike the IObserver&lt;<see cref="GridSettings"/>&gt; 'OnNext' implementation)
+      /// </summary>
+      public void load_from(GridSettings grid) => _load_from_core(grid, true);
+
+      void IObserver<GridSettings>.OnCompleted() { }
+      void IObserver<GridSettings>.OnError(Exception error) { }
+      void IObserver<GridSettings>.OnNext(GridSettings grid) {
+         if (grid.columns != null) {
+            var cols_with_applied_flags = grid.columns.ToList();
+            for (int i = 0; i < cols_with_applied_flags.Count; i++) {
+               if (_column_flags.TryGetValue(cols_with_applied_flags[i].id, out ImmutableColumnSettingStore store)) {
+                  cols_with_applied_flags[i] = store.apply(cols_with_applied_flags[i]);
+               }
+            }
+            grid = grid.with(cols_with_applied_flags);
+         }
+         _load_from_core(grid, false);
+      }
+
+      void _load_from_core(GridSettings grid, bool reset_immutable_flag_stores) {
+         grid = grid ?? GridSettings.Default;
+         _grid_settings.set(grid);
+         foreach (var col in _columns) {
+            col.set_fallback_font_params(new FontFamily(grid.font_family), grid.font_size, grid.font_color.rgb_color(), grid.font_weight, grid.background_color.argb_color());
+         }
+         // ** in the unfortunate event that we botch backwards compatability, and the columns don't bear a 1:1 relationship with the column-settings
+         // don't add insult to injury by crashing **
+         if (grid_settings.columns != null) {
+            if (reset_immutable_flag_stores) {
+               foreach (var kv in _column_flags) {
+                  if (grid.columns.TryGetFirst(c => c.id == kv.Key, out GridColumnSettings cs))
+                     kv.Value.store(cs);
+               }
+            }
+            if (_columns != null) {
+               var col_settings_id_map = grid_settings.columns.ToDictionary(cs => cs.id);
+               var columns_id_map = _columns.ToDictionary(c => c.id.ToString());
+               if (col_settings_id_map.Count == columns_id_map.Count && col_settings_id_map.Count == grid_settings.columns.Count)
+                  _sync_column_order?.Invoke(grid_settings.columns);
+               // ** don't assume that columns:column_settings have a perfect 1:1 relationship (they should, but it is possible we accidentally break the settings as grids/uis change) **
+               foreach (var col in _columns) {
+                  if (col_settings_id_map.TryGetValue(col.id.ToString(), out GridColumnSettings cs))
+                     col.load_from(cs);
+               }
+            }
+            _invalidate_rows?.Invoke();
+         }
+      }
+   }
 }

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

@@ -60,6 +60,7 @@ namespace mbts.spark.filters {
          TimeFilter = "TimeFilterTemplate",
          DiscreteValues = "DiscreteValuesTemplate",
          DiscreteValuesCollectionView = "DiscreteValuesCollectionViewTemplate",
+         SecurityCriteriaCriteria = "SecurityCriteriaCriteria",
          EnumValues = "EnumValuesTemplate",
          Regex = "RegexTemplate",
          YesNo = "YesNoTemplate";

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

@@ -12,6 +12,8 @@ namespace mbts.spark.filters {
       ICommand cancel { get; }
       bool filter(object row);
       event Action filter_changed;
+      void load_state(object state);
+      object get_state();
    }
 
    interface IDataGridColumnFilter<in TRow> : IDataGridColumnFilter {
@@ -20,6 +22,6 @@ namespace mbts.spark.filters {
 
    interface IDataGridColumnPersistentFilter<in TRow, TState> : IDataGridColumnFilter<TRow> {
       void load_state(TState state);
-      TState get_state();
+      new TState get_state();
    }
-}
+}

src/client/spark/view/Controls/DataGridEx/Filters/VM/FilterVMBase.cs

@@ -1,5 +1,6 @@
 using mbts.ui;
 using mbts.ui.shell;
+using mbts.utils;
 using System;
 using System.Windows.Input;
 
@@ -53,6 +54,15 @@ namespace mbts.spark.filters {
          _raise_filter_changed();
       }
 
+      object IDataGridColumnFilter.get_state() =>
+         get_state();
+
+      void IDataGridColumnFilter.load_state(object state) {
+         if (state is TState fstate)
+            load_state(fstate);
+         else if (state != null) throw ExceptionBuilder.Argument.not_of_type<TState>(nameof(state), state?.GetType());
+      }
+
       protected abstract bool _get_active();
       protected abstract bool _filter(TValue value);
       protected abstract void _load_state_internal(TState state);
@@ -111,4 +121,4 @@ namespace mbts.spark.filters {
       bool IDataGridColumnFilter.filter(object row) =>
          filter(ConvertUtils.try_convert<TRow>(row));
    }
-}
+}

src/client/spark/view/Controls/DataGridEx/Filters/VM/SecurityCriteriaFilterVM.cs

@@ -1,5 +1,7 @@
 using bts.api;
 using System;
+using System.Collections.Generic;
+using System.Linq;
 
 namespace mbts.spark.filters {
    class SecurityCriteriaFilter<TRow> : FilterVMBase<TRow, SecurityImmutable, SecurityCriteria>, IDisposable {
@@ -43,4 +45,50 @@ namespace mbts.spark.filters {
       void _set_default_values() =>
          _security_criteria = model.result_criteria;
    }
-}
+
+   class SecurityCriteriaCriteriaFilter<TRow> : FilterVMBase<TRow, SecurityCriteria, SecurityCriteria>, IDisposable {
+      SecurityCriteria _security_criteria;
+
+      public SecurityCriteriaCriteriaFilter(Func<TRow, SecurityCriteria> get_row_val, string prop_name)
+         : base(get_row_val, prop_name) { }
+
+      public ContractPickerModel model { get; }
+
+      public void Dispose() =>
+         model.security_criteria_clause_changed -= _on_security_criteria_clause_changed;
+
+      public override SecurityCriteria get_state() =>
+         _security_criteria;
+
+      protected override bool _filter(SecurityCriteria value) {
+         if ((_security_criteria?.clauses).is_null_or_empty())
+            return true;
+         if (!_security_criteria.is_defined())
+            return true;
+         if ((value?.clauses).is_null_or_empty())
+            return false;
+         var result = value.clauses.Any(c => c.is_defined && _security_criteria.clauses.Any(fclause => c.is_subset_of(fclause)));
+         return result;
+      }
+
+      protected override void _load_state_internal(SecurityCriteria state) =>
+         _security_criteria = state;
+
+      protected override void _clear() {
+         _close();
+         using (_clear_properties())
+            _set_default_values();
+      }
+
+      protected override bool _get_active() =>
+         _security_criteria != null && _security_criteria.clauses.Length > 0;
+
+      void _on_security_criteria_clause_changed(object sender, SecurityCriteriaClauseChangedEventsArgs e) {
+         _security_criteria = model.result_criteria;
+         _raise_filter_changed();
+      }
+
+      void _set_default_values() =>
+         _security_criteria = model.result_criteria;
+   }
+}

src/client/spark/view/Controls/DataGridEx/Filters/VM/TupleFilterVM.cs

@@ -1,6 +1,7 @@
 using bts;
 using mbts.ui;
 using mbts.ui.shell;
+using mbts.utils;
 using System;
 using System.Windows.Input;
 
@@ -60,16 +61,24 @@ namespace mbts.spark.filters {
       public TCompoundState get_state() =>
          _get_state(_filter1.get_state(), _filter2.get_state());
 
+      object IDataGridColumnFilter.get_state() =>
+         get_state();
+
       public void load_state(TCompoundState state) {
          _filter1.load_state(_get_filter1_state(state));
          _filter2.load_state(_get_filter2_state(state));
       }
 
+      void IDataGridColumnFilter.load_state(object state) {
+         if (state is TCompoundState cstate)
+            load_state(cstate);
+         else throw ExceptionBuilder.Argument.not_of_type<TCompoundState>(nameof(state), state?.GetType());
+      }
+
       protected void _raise_request_update() =>
          RequestUpdate?.Invoke();
 
-
       bool IDataGridColumnFilter.filter(object row) =>
          filter(ConvertUtils.try_convert<TRow>(row));
    }
-}
+}

src/client/spark/view/Controls/DataGridEx/Filters/Views/FilterTemplates.xaml

@@ -165,6 +165,18 @@
       />
     </usp:FilterContentControl>
   </DataTemplate>
+  <DataTemplate x:Key="{x:Static filters:DataGridFilterKnownTemplates.SecurityCriteriaCriteria}">
+    <usp:FilterContentControl
+      ApplyCommandParameter="{Binding}"
+      ApplyCommand="{x:Static c:DataGridFilterProperties.CommitCommand}"
+      ClearCommandParameter="{Binding}"
+      ClearCommand="{x:Static c:DataGridFilterProperties.ClearCommand}"
+    >
+      <msp:ContractPickerView DataContext="{Binding model}">
+        
+      </msp:ContractPickerView>
+    </usp:FilterContentControl>
+  </DataTemplate>
   <DataTemplate x:Key="AlgoTypeTemplate">
     <usp:FilterContentControl
       ApplyCommandParameter="{Binding}"

src/client/spark/view/Converters/ColorToBrushConverter.cs

@@ -5,6 +5,8 @@ using System.Windows.Media;
 
 namespace mbts.ui.converters {
    class ColorToBrushConverter : IValueConverter {
+      public static ColorToBrushConverter Instance => new ColorToBrushConverter();
+
       public object Convert(object value, Type targetType, object parameter, CultureInfo culture) {
          if (value is Color color) return new SolidColorBrush(color);
          if (value is BTSColor bts_color) return new SolidColorBrush(bts_color);

src/client/spark/view/Spark/ContractPicker/SecurityCriteria.cs

@@ -9,19 +9,13 @@ using System.Reactive.Linq;
 namespace mbts.spark {
    [ProtoContract]
    class SecurityCriteria : IEquatable<SecurityCriteria> {
-      public SecurityCriteria()
-      {
+      public SecurityCriteria() {
          clauses = new SecurityCriteriaClause[] { };
       }
 
-      public SecurityCriteria(IEnumerable<SecurityCriteriaClause> c)
-      {
+      public SecurityCriteria(IEnumerable<SecurityCriteriaClause> c) {
          clauses = c.ToArray();
       }
-      internal SecurityCriteria(IEnumerable<SecurityImmutable> securities) {
-         clauses = new[] { new SecurityCriteriaClause(securities) };
-      }
-      internal SecurityCriteria(params SecurityImmutable[] securities) : this(securities.AsEnumerable()) { }
 
       [ProtoMember(1)]
       public SecurityCriteriaClause[] clauses;
@@ -31,8 +25,11 @@ namespace mbts.spark {
             new SecurityCriteriaClause (security_keys: keys.ToArray())
          });
 
-      internal static SecurityCriteria from_securities(ISet<SecurityImmutable> securities) =>
-         new SecurityCriteria(securities ?? Enumerable.Empty<SecurityImmutable>());
+      internal static SecurityCriteria from_securities(params SecurityImmutable[] securities) =>
+         from_securities(securities.AsEnumerable());
+
+      internal static SecurityCriteria from_securities(IEnumerable<SecurityImmutable> securities) =>
+         new SecurityCriteria(new[] { SecurityCriteriaClause.from_securities(securities) });
 
       internal static Func<SecurityCriteria, IObservable<IEnumerable<SecurityImmutable>>> get_to_securities(IBus bus) =>
          new Func<SecurityCriteria, IObservable<IEnumerable<SecurityImmutable>>>(sc => to_securities(sc, bus));
@@ -61,8 +58,27 @@ namespace mbts.spark {
          this.pretty_name = pretty_name;
       }
 
-      public SecurityCriteriaClause(IEnumerable<SecurityImmutable> securities)
-         : this(security_keys: securities.Select(s => s.Id).ToArray()) { }
+      public static SecurityCriteriaClause from_securities(IEnumerable<SecurityImmutable> securities) {
+         var num_secs = securities.SoftCount();
+         uint[] keys;
+         string pretty_name = null;
+         if (num_secs.HasValue) {
+            keys = new uint[num_secs.Value];
+            int i = 0;
+            if (keys.Length == 1) {
+               foreach (var s in securities) {
+                  keys[i++] = s.Id;
+                  pretty_name = s.ToString();
+               }
+            } else {
+               foreach (var s in securities)
+                  keys[i++] = s.Id;
+            }
+         } else {
+            keys = securities.Select(s => s.Id).ToArray();
+         }
+         return new SecurityCriteriaClause(security_keys: keys, pretty_name: pretty_name);
+      }
 
       [ProtoMember(1)]
       public readonly string pretty_name;

src/client/spark/view/Spark/ContractPicker/SecurityCriteriaExtensions.cs

@@ -24,6 +24,12 @@ namespace mbts.spark {
          return self == null ? all_secs : all_secs.Values.Where(s => ContractPickerModel.security_in_criteria(self, s)).ToDictionary(key => key.Id);
       }
 
+      public static async Task<IReadOnlyDictionary<uint,SecurityImmutable>> securities(this SecurityCriteria self, IBus bus, TimeSpan timeout) {
+         var md_map = await bus.subscribe(SparkTags.SecuritiesTag).FirstOrDefaultAsync(timeout, DictionaryHelper.empty<uint, SecurityMD>());
+         var all_secs = md_map.Values.Select(md => md.security).ToDictionary(key => key.Id);
+         return self == null ? all_secs : all_secs.Values.Where(s => ContractPickerModel.security_in_criteria(self, s)).ToDictionary(key => key.Id);
+      }
+
       public static IObservable<IEnumerable<SecurityImmutable>> subscribe(this SecurityCriteria self, IBus bus) {
          var md_source = bus.subscribe(SparkTags.SecuritiesTag);
          return self == null ? md_source.Select(kv => kv.Values.Select(smd => smd.security)) :

src/client/spark/view/Utility/IValueChangedEventArgs.cs

@@ -0,0 +1,20 @@
+using System;
+
+namespace mbts.ui {
+   interface IValueChangedEventArgs<out T> {
+      T value { get; }
+   }
+
+   static class ValueChangedEventArgs {
+      public static IValueChangedEventArgs<T> create<T>(Func<T> get_value) =>
+         new LazyImpl<T>(new Lazy<T>(get_value));
+
+      class LazyImpl<T> : IValueChangedEventArgs<T> {
+         readonly Lazy<T> _value;
+         public LazyImpl(Lazy<T> value) =>
+            _value = value;
+
+         public T value => _value.Value;
+      }
+   }
+}

src/client/spark_api/Co2/MDConsumerHandle.cs

@@ -260,13 +260,13 @@ namespace mbts.co2 {
       }
 
       // If Size is wrong remember to update from 
-      [StructLayout(LayoutKind.Sequential, Size = 704)]
+      [StructLayout(LayoutKind.Sequential, Size = 712)]
       internal struct ColdEntry {
          public int exchange_status;
          // Last trade
          public AtomicPriceSize last_trade;
          public ulong total_volume;
-         public utils.LLDateTime last_trade_time;         
+         public utils.LLDateTime last_trade_time;
 
          //// Settlement
          public UInt64 misc_timestamp;

src/client/spark_api/security/ExchangeSpecificUitlities.cs

@@ -24,7 +24,7 @@ static class ExchangeSpecificUitlities{
       }
 
       public static bool is_ice_lots(SecurityImmutable sec){
-         return sec.Ice.MarketDescription.Contains("ICE Lots");
+         return sec.Ice.IsIceLots;
       }
 
       public static bool is_tas(SecurityImmutable sec){
@@ -33,25 +33,36 @@ static class ExchangeSpecificUitlities{
 
       #endregion
 
-      #region CPP
+      #region CPP      
       public static double get_future_cpp (SecurityImmutable sec){
-         if(sec.Symbol == "HHD")
-            // only futures in HHD are the dailies, everything
-            // else is a strip or spread
-            return 1;
+         // TODO, this should be part of the security
+         if(sec.Symbol == "HHD")            
+            return 2500;
          if(is_ice_lots(sec))
             return 2500;
          else{
-            var days_in_month = DateTime.DaysInMonth(Convert.ToInt32(sec.Future.ExpirationYear),
-                                                   Convert.ToInt32(sec.Future.ExpirationMonth));
-            return days_in_month; // because the size is multiplied by 2500 already
+            // other futures - HNG, HHD, HEN - are like daily
+            // strips
+            UInt32 days_in_month = 31;
+            var mm = sec.Future.ExpirationMonth;
+            if(mm <=11)
+                days_in_month = Convert.ToUInt32(
+                   DateTime.DaysInMonth(
+                                 Convert.ToInt32(sec.Future.ExpirationYear),
+                                 // expects 1-12
+                                 Convert.ToInt32(sec.Future.ExpirationMonth+1)));
+            else
+               // TODO : sometimes Jan is 12 !
+               days_in_month = 31;
+            return days_in_month * 2500;
          }
       }
-
+      
       public static double get_spread_cpp(SecurityImmutable sec){
+         // for purpose of pnl we are 0'ing out the spread pnl
          return 0;
       }
-
+   
       public static double get_strip_cpp(PNLUnitImmutable pnl,
                                        SecurityImmutable sec){
          // add up all the legs

src/client/spark_api/utils/EqualityComparer.cs

@@ -77,16 +77,17 @@ namespace bts.utils {
 
       public static int auto_phase(params int[] hash_codes) =>
          auto_phase(Array.AsReadOnly(hash_codes));
-       
+
       public static int auto_phase<T>(IEnumerable<T> items) =>
          auto_phase(items.Take(_max_auto_phase_buckets).ToList());
 
-      public static int auto_phase<T>(IReadOnlyList<T> hash_codes) {
+      public static int auto_phase<T>(IReadOnlyList<T> hash_codes, int bit_span = 32) {
+         Log.assert(bit_span > 0 && bit_span <= 32);
          // don't divide by zero
          if (hash_codes.Count == 0)
             return 0;
          int size = Math.Min(hash_codes.Count, _max_auto_phase_buckets);
-         int bits_per_hash = 32 / size;
+         int bits_per_hash = bit_span / size;
          int phase = 1 << (bits_per_hash - 1);
          int rv = hash_codes[0].GetHashCode() % phase;
          /// The idea is to split the 32 to bits into evenly sized buckets for each hash code item.

src/client/spark_api/utils/Log.cs

@@ -36,7 +36,6 @@ namespace bts {
       Plugin,
       Sdk,
       Http,
-      iLink3
       // Please keep this list in sync with logging.h/logging.cpp
    }
    

src/client/spark_core/Collections/Extensions/EnumerableExtensions.cs

@@ -252,6 +252,17 @@ namespace System.Collections.Generic {
          return false;
       }
 
+      public static bool TryGetFirstIndex<T>(this IEnumerable<T> source, Func<T, bool> predicate, out int index) {
+         if (source == null) throw new ArgumentNullException(nameof(source));
+         index = 0;
+         foreach (T element in source) {
+            if (predicate(element))
+               return true;
+            index++;
+         }
+         return false;
+      }
+
       public static bool TryGetSingle<T>(this IEnumerable<T> source, out T result) {
          if (source == null) throw new ArgumentNullException(nameof(source));
          using (var en = source.GetEnumerator()) {
@@ -716,4 +727,4 @@ namespace System.Collections.Generic {
          IEnumerator IEnumerable.GetEnumerator() => _list.GetEnumerator();
       }
    }
-}
+}

src/client/spark_core/Collections/Extensions/ImmutableDictionaryExtensions.cs

@@ -0,0 +1,24 @@
+using System.Collections.Immutable;
+
+namespace bts.collections {
+   static class ImmutableDictionaryExtensions {
+      /// <summary>
+      /// Adds the specified key/value pair if the dictionary does not already contain the key, otherwise replaces the value for that key.
+      /// </summary>
+      /// <returns><see cref="true"/> if a new key was added; otherwise <see cref="false"/>.</returns>
+      public static bool AddOrSet<TKey, TValue>(this ImmutableDictionary<TKey, TValue> dictionary, TKey key, TValue value, out ImmutableDictionary<TKey, TValue> result) {
+         int orig_count = dictionary.Count;
+         result = dictionary.SetItem(key, value);
+         return result.Count != orig_count;
+      }
+
+      /// <summary>
+      /// Removes the entry with specified key.
+      /// </summary>
+      /// <returns><see cref="true"/> if the entry was removed; otherwise <see cref="false"/>.</returns>
+      public static bool Remove<TKey, TValue>(this ImmutableDictionary<TKey, TValue> dictionary, TKey key, out ImmutableDictionary<TKey, TValue> result) {
+         result = dictionary.Remove(key);
+         return result.Count != dictionary.Count;
+      }
+   }
+}

src/client/spark_core/Collections/Extensions/ImmutableSetExtensions.cs

@@ -25,5 +25,21 @@ namespace bts.collections {
             bd.Remove(v);
          return bd.ToImmutable();
       }
+
+      public static bool Add<T>(this ImmutableHashSet<T> source, T value, out ImmutableHashSet<T> result) {
+         int orig_count = source.Count;
+         result = source.Add(value);
+         return result.Count != orig_count;
+      }
+
+      public static ImmutableHashSet<T> AddRange<T>(this ImmutableHashSet<T> source, IEnumerable<T> value) {
+         if (source is null)
+            throw new ArgumentNullException(nameof(source));
+         if (value is null)
+            throw new ArgumentNullException(nameof(value));
+         var bd = source.ToBuilder();
+         bd.AddRange(value);
+         return bd.ToImmutable();
+      }
    }
-}
+}

src/client/spark_core/Collections/Extensions/ListExtensions.cs

@@ -28,6 +28,15 @@ namespace bts.collections {
          list.Insert(i < 0 ? ~i : i, value);
       }
 
+      public static void InsertOrReplaceSorted<T>(this IList<T> list, T item, IComparer<T> comparer) {
+         int i = CollectionHelper.binary_search(list, item, comparer);
+         if (i < 0) {
+            list.Insert(~i, item);
+         } else {
+            list[i] = item;
+         }
+      }
+
       public static bool RemoveSorted<T>(this IList<T> list, T item, IComparer<T> comparer) {
          int i = CollectionHelper.binary_search(list, item, comparer);
          if (i < 0)

src/client/spark_core/Collections/IReadOnlyIndex.cs

@@ -0,0 +1,21 @@
+using System;
+
+namespace bts.collections {
+   interface IReadOnlyIndex<TKey, TValue> {
+      TValue this[TKey key] { get; }
+   }
+
+   static class FunctionalIndex {
+      public static FunctionalIndex<TKey, TValue> create<TKey, TValue>(Func<TKey, TValue> get_value) =>
+         new FunctionalIndex<TKey, TValue>(get_value);
+   }
+
+   class FunctionalIndex<TKey, TValue> : IReadOnlyIndex<TKey, TValue> {
+      readonly Func<TKey, TValue> _get_value;
+
+      public FunctionalIndex(Func<TKey, TValue> get_value) =>
+         _get_value = get_value ?? throw new ArgumentNullException(nameof(get_value));
+
+      public TValue this[TKey key] => _get_value(key);
+   }
+}

src/client/spark_core/utils/CallbackBuffer.cs

@@ -0,0 +1,88 @@
+using mbts;
+using System;
+using System.Threading.Tasks;
+
+namespace bts.utils {
+   public static class CallbackBuffer {
+      public static IDisposable buffer_callback(Func<Action, IDisposable> attach_callback, Action callback, TimeSpan delay_before_callback, TimeSpan delay_after_callback) {
+         bool is_disposed = false, is_busy = false, dirty = false;
+         object locker = new object();
+         var detach = attach_callback(callback_buffer_impl);
+         return Disposable.Create(() => {
+            lock (locker) {
+               if (is_disposed)
+                  return;
+               is_disposed = true;
+               dirty = false;
+            }
+            Disposable.dispose(ref detach);
+         });
+         async void callback_buffer_impl() {
+            lock (locker) {
+               if (is_busy) {
+                  dirty = true;
+                  return;
+               }
+               is_busy = true;
+            }
+            while (true) {
+               if (delay_before_callback > TimeSpan.Zero) {
+                  await Task.Delay(delay_before_callback);
+               }
+               lock (locker) {
+                  if (is_disposed) {
+                     is_busy = false;
+                     dirty = false;
+                     break;
+                  }
+               }
+               callback();
+               if (delay_after_callback > TimeSpan.Zero) {
+                  await Task.Delay(delay_after_callback);
+               }
+               lock (locker) {
+                  if (!dirty) {
+                     is_busy = false;
+                     break;
+                  }
+                  dirty = false;
+               }
+            }
+         }
+      }
+
+      public static IDisposable buffer_async_callback(Func<Action, IDisposable> attach_callback, Func<Task> async_callback) {
+         bool is_disposed = false, is_busy = false, dirty = false;
+         object locker = new object();
+         var detach = attach_callback(callback_buffer_impl);
+         return Disposable.Create(() => {
+            lock (locker) {
+               if (is_disposed)
+                  return;
+               is_disposed = true;
+               dirty = false;
+            }
+            Disposable.dispose(ref detach);
+         });
+         async void callback_buffer_impl() {
+            lock (locker) {
+               if (is_busy) {
+                  dirty = true;
+                  return;
+               }
+               is_busy = true;
+            }
+            while (true) {
+               await async_callback();
+               lock (locker) {
+                  if (!dirty || is_disposed) {
+                     is_busy = false;
+                     break;
+                  }
+                  dirty = false;
+               }
+            }
+         }
+      }
+   }
+}

src/client/spark_core/utils/CollectionHelper.cs

@@ -1,9 +1,11 @@
-using System;
+using mbts;
+using System;
 using System.Collections;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
 using System.Collections.Specialized;
 using System.Linq;
+using System.Threading.Tasks;
 
 namespace bts.utils {
    static class CollectionHelper {
@@ -77,6 +79,30 @@ namespace bts.utils {
          return ~hi;
       }
 
+      public static IDisposable buffer_collection_changed_callback(INotifyCollectionChanged source, Action callback, TimeSpan delay_before_callback, TimeSpan delay_after_callback) {
+         //   return CallbackBuffer.buffer_callback(attach_callback, callback, delay_before_callback, delay_after_callback);
+         //   IDisposable attach_callback(Action cb) {
+         //      source.CollectionChanged += on_collection_changed;
+         //      return Disposable.Create(() => source.CollectionChanged -= on_collection_changed);
+         //      void on_collection_changed(object sender, NotifyCollectionChangedEventArgs e) =>
+         //         cb();
+         //   }
+         return CallbackBuffer.buffer_async_callback(attach_callback, impl);
+         IDisposable attach_callback(Action cb) {
+            source.CollectionChanged += on_collection_changed;
+            return Disposable.Create(() => source.CollectionChanged -= on_collection_changed);
+            void on_collection_changed(object sender, NotifyCollectionChangedEventArgs e) =>
+               cb();
+         }
+         async Task impl() {
+            if (delay_before_callback > TimeSpan.Zero)
+               await Task.Delay(delay_before_callback);
+            callback();
+            if (delay_after_callback > TimeSpan.Zero)
+               await Task.Delay(delay_after_callback);
+         }
+      }
+
       public static void reflect_change<T, TData>(IList<T> target, IEnumerable<TData> source, Func<TData, T> create_item, Action<T> on_removed, NotifyCollectionChangedEventArgs e) {
          switch (e.Action) {
             case NotifyCollectionChangedAction.Add:

src/client/spark_core/utils/Exceptions/ExceptionBuilder.cs

@@ -9,11 +9,16 @@ namespace mbts.utils {
          public static ArgumentException unexpected_case<T>(T value, string name) =>
             new ArgumentException($"Unexpected {typeof(T)} '{value}.'", name);
 
-         public static ArgumentException not_of_type<T>(object value, string name) =>
-            not_of_type(value, name, typeof(T));
+         public static ArgumentException not_of_type<T>(string name, Type actual = null) =>
+            actual is null ?
+               not_of_type(name, typeof(T)) :
+               not_of_type(name, typeof(T), actual);
 
-         public static ArgumentException not_of_type(object value, string name, Type t) =>
-            new ArgumentException($"Value is not of the expected type '{t}.'");
+         public static ArgumentException not_of_type(string name, Type t) =>
+            new ArgumentException(Format.NotOfType(t), name);
+
+         public static ArgumentException not_of_type(string name, Type expected, Type actual) =>
+            new ArgumentException(Format.NotOfType(expected, actual), name);
 
          public static ArgumentException null_or_empty(string name) =>
             new ArgumentException("Value is null or empty.", name);
@@ -49,6 +54,8 @@ namespace mbts.utils {
          public static string LessThanOrEqualTo(int value) => $"{Messages.LessThanOrEqualTo} {value}.";
          public static string GreaterThan(int value) => $"{Messages.GreaterThan} {value}.";
          public static string GreaterThanOrEqualTo(int value) => $"{Messages.GreaterThanOrEqualTo} {value}.";
+         public static string NotOfType(Type type) => $"Argument is not of expected type '{type}.'";
+         public static string NotOfType(Type expected, Type actual) => $"Argument is not of expected type '{expected}' (actually '{actual}').";
       }
 
       public static class Messages {
@@ -59,4 +66,4 @@ namespace mbts.utils {
             GreaterThanOrEqualTo = "Greater than or equal to";
       }
    }
-}
+}

src/client/spark_core/utils/ObservableExtensions.cs

@@ -1,230 +1,241 @@
-using mbts;
-using System.Reactive.Subjects;
-using System.Threading;
-using System.Threading.Tasks;
-
-namespace System.Reactive.Linq {
-   public static class ObservableExtensions {
-      /// <summary>
-      /// <para>Creates an "Observable Heartbeat" that will publish true/false to indicate whether or not the heartbeat is detected, it will only send updates when the 'heartbeat status' has changed.</para>
-      /// <para>Whenever the source produces an update, the heartbeat evaluates to true and the heartbeat duration clock is reset.</para>
-      /// <para>Whenever heartbeat duration clock expires, the heartbeat evaluates to false.</para>
-      /// </summary>
-      /// <typeparam name="T">Type of data produced by the source (bears no impact on the resultant observable heartbeat</typeparam>
-      /// <param name="source">The source that will indicate alive/dead by publishing updates within the duration period</param>
-      /// <param name="duration">The amount of time that must pass without receiving an update from the source to determine the heartbeat is not detected</param>
-      /// <returns>An "Observable Heartbeat"</returns>
-      public static IObservable<bool> AsHeartbeat<T>(this IObservable<T> source, TimeSpan duration) {
-         IObservable<bool> dead = source.Throttle(duration).Select(_ => false);
-         IObservable<bool> alive = source.Select(_ => true);
-         return dead.Merge(alive).DistinctUntilChanged();
-      }
-
-      public static IObservable<T> BufferLatest<T>(this IObservable<T> source, TimeSpan throttle) =>
-         source.Buffer(throttle).Where(vals => vals.Count > 0).Select(vals => vals[vals.Count - 1]);
-
-      public static IObservable<(T1, T2)> CombineLatest<T1, T2>(this IObservable<T1> source, IObservable<T2> second) =>
-         source.CombineLatest(second, (v1, v2) => (v1, v2));
-
-      public static async Task<(T result, bool success)> FirstAsyncTask<T>(this IObservable<T> source, TimeSpan timeout) where T : class =>
-         await source.Select(val => (val, true)).Merge(Observable.Return((default(T), false)).Delay(timeout)).FirstAsync();
-
-      public static async Task<(T result, bool success)> FirstAsyncTask<T>(this IObservable<T> source, Func<T, bool> predicate, TimeSpan timeout) where T : class =>
-         await source.Where(predicate).Select(val => (val, true)).Merge(Observable.Return((default(T), false)).Delay(timeout)).FirstAsync();
-
-      public static async Task<(TResult result, bool success)> FirstAsyncTask<T, TResult>(this IObservable<T> source, Func<T, bool> predicate, Func<T, TResult> selector, TimeSpan timeout) where T : class =>
-         await source.Where(predicate).Select(val => (selector(val), true)).Merge(Observable.Return((default(TResult), false)).Delay(timeout)).FirstAsync();
-
-      /// <summary>
-      /// A less verbose way to call <see cref="Observable.FromEvent{Action{TEventArgs}, TEventArgs}(Action{Action{TEventArgs}}, Action{Action{TEventArgs}})"/>.
-      /// </summary>
-      public static IObservable<T> FromAction<T>(Action<T> event_source) =>
-         Observable.FromEvent<Action<T>, T>(cb => event_source += cb, cb => event_source -= cb);
-
-      public static IObservable<T> FromEvent<T>(Action<Action> add_handler, Action<Action> remove_handler, Func<T> selector) =>
-         Observable.Create<T>(o => {
-            callback();
-            add_handler(callback);
-            return Disposable.Create(() => remove_handler(callback));
-            void callback() => o.OnNext(selector());
-         });
-
-      public static IObservable<T> FromEventThrottle<T>(Action<Action<T>> add_handler, Action<Action<T>> remove_handler, TimeSpan throttle) =>
-         FromEventThrottle<T>(cb => {
-            add_handler(cb);
-            return Disposable.Create(() => remove_handler(cb));
-         }, throttle);
-
-      public static IObservable<T> FromEventThrottle<T>(Func<Action<T>, IDisposable> add_handler, TimeSpan throttle) =>
-         Observable.Create<T>(o => {
-            T last_value = default;
-            bool busy = false, dirty = false;
-            return add_handler(callback);
-            async void callback(T value) {
-               last_value = value;
-               if (busy) {
-                  dirty = true;
-               } else {
-                  busy = true;
-                  do {
-                     dirty = false;
-                     o.OnNext(last_value);
-                     await Task.Delay(throttle);
-                  } while (dirty);
-                  busy = false;
-               }
-            }
-         });
-
-
-      public static IObservable<TResult> FromEventThrottle<T, TResult>(Action<Action<T>> add_handler, Action<Action<T>> remove_handler, Func<T, TResult> selector, TimeSpan throttle) =>
-         FromEventThrottle(cb => {
-            add_handler(cb);
-            return Disposable.Create(() => remove_handler(cb));
-         }, selector, throttle);
-
-      public static IObservable<TResult> FromEventThrottle<T, TResult>(Func<Action<T>, IDisposable> add_handler, Func<T, TResult> selector, TimeSpan throttle) =>
-         Observable.Create<TResult>(o => {
-            T last_value = default;
-            bool busy = false, dirty = false;
-            return add_handler(callback);
-            async void callback(T value) {
-               last_value = value;
-               if (busy) {
-                  dirty = true;
-               } else {
-                  busy = true;
-                  do {
-                     var result = selector(last_value);
-                     dirty = false;
-                     o.OnNext(result);
-                     await Task.Delay(throttle);
-                  } while (dirty);
-                  busy = false;
-               }
-            }
-         });
-
-      public static IObservable<(TSource prev, TSource curr)> PairWithPrevious<TSource>(this IObservable<TSource> source) =>
-         PairWithPrevious(source, default);
-
-      public static IObservable<(TSource prev, TSource curr)> PairWithPrevious<TSource>(this IObservable<TSource> source, TSource default_value) =>
-         source.Scan<TSource, (TSource prev, TSource curr)>((default_value, default_value), (last, next) => (last.curr, next));
-
-      public static IObservable<T> RefCountReplay<T>(this IObservable<T> source, int buffer_size) {
-         if (buffer_size < 0) throw new ArgumentException("Buffer size is less than zero.", nameof(buffer_size));
-         if (buffer_size == 0) return source.Publish().RefCount();
-         int num_subscribers = 0;
-         ReplaySubject<T> replay = new ReplaySubject<T>(buffer_size);
-         IDisposable source_sub = null;
-         return Observable.Create<T>(o => {
-            if (Interlocked.Increment(ref num_subscribers) == 1)
-               source_sub = source.Subscribe(replay.OnNext);
-            IDisposable sub = replay.Subscribe(o);
-            return Disposable.Create(() => {
-               sub.Dispose();
-               if (Interlocked.Decrement(ref num_subscribers) == 0)
-                  source_sub.Dispose();
-            });
-         });
-      }
-
-      /// <summary>
-      /// Uses each element of a source observable to create an inner observable of <typeparamref name="TResult"/>, unlike <see cref="Observable.SelectMany{TSource, TResult}(IObservable{TSource}, Func{TSource, IObservable{TResult}})"/>,
-      /// each inner sequence is terminated when the next one begins.
-      /// <para/>In other words, observers are notified by the inner observerables in &quot;series,&quot; rather than &quot;parallel.&quot; 
-      /// </summary>
-      /// <typeparam name="TSource">The type of elements in the source (outer) sequence.</typeparam>
-      /// <typeparam name="TResult">The type of elements in the inner sequences.</typeparam>
-      /// <param name="source">A sequence of elements to create a series of inner sequences.</param>
-      /// <param name="select_next">A function to create an inner sequence.</param>
-      /// <returns>An IDisposable object used to unsubscribe from the source (outer) sequence, and the latest inner sequence.</returns>
-      public static IObservable<TResult> SelectManyInSeries<TSource, TResult>(this IObservable<TSource> source, Func<TSource, IObservable<TResult>> select_next) =>
-         Observable.Create<TResult>(o => {
-            object locker = new object();
-            bool is_disposed = false;
-            IDisposable inner_sub = null;
-            IDisposable outer_sub = source.Subscribe(on_outer);
-            return Disposable.Create(dispose);
-            // local methods
-            void on_outer(TSource value) {
-               lock (locker) {
-                  if (!is_disposed) {
-                     inner_sub?.Dispose();
-                     inner_sub = select_next(value)?.Subscribe(o.OnNext);
-                  }
-               }
-            }
-            void dispose() {
-               IDisposable temp_outer_sub = null, temp_inner_sub = null;
-               lock (locker) {
-                  is_disposed = true;
-                  temp_outer_sub = outer_sub;
-                  outer_sub = null;
-                  temp_inner_sub = inner_sub;
-                  inner_sub = null;
-               }
-               temp_outer_sub?.Dispose();
-               temp_inner_sub?.Dispose();
-            }
-         });
-
-      public static IObservable<T> StartWith<T>(this IObservable<T> source, Func<T> get_value) =>
-         Observable.Create<T>(o => {
-            o.OnNext(get_value());
-            return source.Subscribe(o);
-         });
-
-      public static IObservable<T> StartWith<T>(this IObservable<T> source, Func<T> get_value, Func<bool> can_get_value) =>
-         Observable.Create<T>(o => {
-            if (can_get_value())
-               o.OnNext(get_value());
-            return source.Subscribe(o);
-         });
-
-      public static IDisposable Subscribe<T>(this IObservable<T> source, params IObserver<T>[] observers) {
-         return source.Subscribe(on_next, on_error, on_completed);
-         // local methods
-         void on_next(T value) {
-            for (int i = 0; i < observers.Length; i++)
-               observers[i].OnNext(value);
-         }
-         void on_error(Exception error) {
-            for (int i = 0; i < observers.Length; i++)
-               observers[i].OnError(error);
-         }
-         void on_completed() {
-            for (int i = 0; i < observers.Length; i++)
-               observers[i].OnCompleted();
-         }
-      }
-
-      /// <summary>
-      /// An inner subscription is made for each value in the source sequence using the specified delegate (<paramref name="subscribe_value"/>).
-      /// When a new value arrives, the subscription for the previous value is disposed before <paramref name="subscribe_value"/> is invoked with the new value.
-      /// </summary>
-      /// <typeparam name="T">The type of elements in the source sequence.</typeparam>
-      /// <param name="source">A sequence of elements to invoke a subscribe function on.</param>
-      /// <param name="subscribe_value">A function used to subscribe each source element.</param>
-      /// <returns>An IDisposable object used to unsubscribe from the source sequence, and dispose the latest value subscription.</returns>
-      public static IDisposable SubscribeEach<T>(this IObservable<T> source, Func<T, IDisposable> subscribe_value) {
-         IDisposable value_sub = null;
-         IDisposable source_sub = source.Subscribe(on_source);
-         return Disposable.Create(dispose);
-         // local methods
-         void on_source(T value) {
-            Disposable.dispose(ref value_sub);
-            value_sub = subscribe_value(value);
-         }
-         void dispose() {
-            Disposable.dispose(ref source_sub);
-            Disposable.dispose(ref value_sub);
-         }
-      }
-
-      // was sick of this scenario: observable_source.Select(enumerable => enumerable.FirstOrDefault(where)).Where(val => val != null)
-      // with structs it was even more annoying because they can't be null
-      public static IObservable<TResult> TrySelect<T, TResult>(this IObservable<T> source, Func<T, (TResult result, bool success)> try_select) =>
-         source.Select(try_select).Where(ts => ts.success).Select(ts => ts.result);
-   }
-}
+using mbts;
+using System.Reactive.Subjects;
+using System.Reactive.Threading.Tasks;
+using System.Threading;
+using System.Threading.Tasks;
+
+namespace System.Reactive.Linq {
+   public static class ObservableExtensions {
+      public static IObservable<bool> And(this IObservable<bool> source1, IObservable<bool> source2) =>
+         source1.CombineLatest(source2).Select(tup => tup.Item1 && tup.Item2);
+
+      /// <summary>
+      /// <para>Creates an "Observable Heartbeat" that will publish true/false to indicate whether or not the heartbeat is detected, it will only send updates when the 'heartbeat status' has changed.</para>
+      /// <para>Whenever the source produces an update, the heartbeat evaluates to true and the heartbeat duration clock is reset.</para>
+      /// <para>Whenever heartbeat duration clock expires, the heartbeat evaluates to false.</para>
+      /// </summary>
+      /// <typeparam name="T">Type of data produced by the source (bears no impact on the resultant observable heartbeat</typeparam>
+      /// <param name="source">The source that will indicate alive/dead by publishing updates within the duration period</param>
+      /// <param name="duration">The amount of time that must pass without receiving an update from the source to determine the heartbeat is not detected</param>
+      /// <returns>An "Observable Heartbeat"</returns>
+      public static IObservable<bool> AsHeartbeat<T>(this IObservable<T> source, TimeSpan duration) {
+         IObservable<bool> dead = source.Throttle(duration).Select(_ => false);
+         IObservable<bool> alive = source.Select(_ => true);
+         return dead.Merge(alive).DistinctUntilChanged();
+      }
+
+      public static IObservable<T> BufferLatest<T>(this IObservable<T> source, TimeSpan throttle) =>
+         source.Buffer(throttle).Where(vals => vals.Count > 0).Select(vals => vals[vals.Count - 1]);
+
+      public static IObservable<(T1, T2)> CombineLatest<T1, T2>(this IObservable<T1> source, IObservable<T2> second) =>
+         source.CombineLatest(second, (v1, v2) => (v1, v2));
+
+      public static async Task<(T result, bool success)> FirstAsyncTask<T>(this IObservable<T> source, TimeSpan timeout) where T : class =>
+         await source.Select(val => (val, true)).Merge(Observable.Return((default(T), false)).Delay(timeout)).FirstAsync();
+
+      public static async Task<(T result, bool success)> FirstAsyncTask<T>(this IObservable<T> source, Func<T, bool> predicate, TimeSpan timeout) where T : class =>
+         await source.Where(predicate).Select(val => (val, true)).Merge(Observable.Return((default(T), false)).Delay(timeout)).FirstAsync();
+
+      public static async Task<(TResult result, bool success)> FirstAsyncTask<T, TResult>(this IObservable<T> source, Func<T, bool> predicate, Func<T, TResult> selector, TimeSpan timeout) where T : class =>
+         await source.Where(predicate).Select(val => (selector(val), true)).Merge(Observable.Return((default(TResult), false)).Delay(timeout)).FirstAsync();
+
+      public static Task<T> FirstOrDefaultAsync<T>(this IObservable<T> source, TimeSpan timeout, T default_value = default) {
+         var cts = new CancellationTokenSource(timeout);
+         var main_task = source.FirstOrDefaultAsync().ToTask(cts.Token);
+         var result_task = main_task.ContinueWith(t => t.Status == TaskStatus.RanToCompletion ? t.Result : default_value);
+         return result_task;
+      }
+
+      /// <summary>
+      /// A less verbose way to call <see cref="Observable.FromEvent{Action{TEventArgs}, TEventArgs}(Action{Action{TEventArgs}}, Action{Action{TEventArgs}})"/>.
+      /// </summary>
+      public static IObservable<T> FromAction<T>(Action<T> event_source) =>
+         Observable.FromEvent<Action<T>, T>(cb => event_source += cb, cb => event_source -= cb);
+
+      public static IObservable<T> FromEvent<T>(Action<Action> add_handler, Action<Action> remove_handler, Func<T> selector) =>
+         Observable.Create<T>(o => {
+            callback();
+            add_handler(callback);
+            return Disposable.Create(() => remove_handler(callback));
+            void callback() => o.OnNext(selector());
+         });
+
+      public static IObservable<T> FromEventThrottle<T>(Action<Action<T>> add_handler, Action<Action<T>> remove_handler, TimeSpan throttle) =>
+         FromEventThrottle<T>(cb => {
+            add_handler(cb);
+            return Disposable.Create(() => remove_handler(cb));
+         }, throttle);
+
+      public static IObservable<T> FromEventThrottle<T>(Func<Action<T>, IDisposable> add_handler, TimeSpan throttle) =>
+         Observable.Create<T>(o => {
+            T last_value = default;
+            bool busy = false, dirty = false;
+            return add_handler(callback);
+            async void callback(T value) {
+               last_value = value;
+               if (busy) {
+                  dirty = true;
+               } else {
+                  busy = true;
+                  do {
+                     dirty = false;
+                     o.OnNext(last_value);
+                     await Task.Delay(throttle);
+                  } while (dirty);
+                  busy = false;
+               }
+            }
+         });
+
+
+      public static IObservable<TResult> FromEventThrottle<T, TResult>(Action<Action<T>> add_handler, Action<Action<T>> remove_handler, Func<T, TResult> selector, TimeSpan throttle) =>
+         FromEventThrottle(cb => {
+            add_handler(cb);
+            return Disposable.Create(() => remove_handler(cb));
+         }, selector, throttle);
+
+      public static IObservable<TResult> FromEventThrottle<T, TResult>(Func<Action<T>, IDisposable> add_handler, Func<T, TResult> selector, TimeSpan throttle) =>
+         Observable.Create<TResult>(o => {
+            T last_value = default;
+            bool busy = false, dirty = false;
+            return add_handler(callback);
+            async void callback(T value) {
+               last_value = value;
+               if (busy) {
+                  dirty = true;
+               } else {
+                  busy = true;
+                  do {
+                     var result = selector(last_value);
+                     dirty = false;
+                     o.OnNext(result);
+                     await Task.Delay(throttle);
+                  } while (dirty);
+                  busy = false;
+               }
+            }
+         });
+
+      public static IObservable<(TSource prev, TSource curr)> PairWithPrevious<TSource>(this IObservable<TSource> source) =>
+         PairWithPrevious(source, default);
+
+      public static IObservable<(TSource prev, TSource curr)> PairWithPrevious<TSource>(this IObservable<TSource> source, TSource default_value) =>
+         source.Scan<TSource, (TSource prev, TSource curr)>((default_value, default_value), (last, next) => (last.curr, next));
+
+      public static IObservable<T> RefCountReplay<T>(this IObservable<T> source, int buffer_size) {
+         if (buffer_size < 0) throw new ArgumentException("Buffer size is less than zero.", nameof(buffer_size));
+         if (buffer_size == 0) return source.Publish().RefCount();
+         int num_subscribers = 0;
+         ReplaySubject<T> replay = new ReplaySubject<T>(buffer_size);
+         IDisposable source_sub = null;
+         return Observable.Create<T>(o => {
+            if (Interlocked.Increment(ref num_subscribers) == 1)
+               source_sub = source.Subscribe(replay.OnNext);
+            IDisposable sub = replay.Subscribe(o);
+            return Disposable.Create(() => {
+               sub.Dispose();
+               if (Interlocked.Decrement(ref num_subscribers) == 0)
+                  source_sub.Dispose();
+            });
+         });
+      }
+
+      /// <summary>
+      /// Uses each element of a source observable to create an inner observable of <typeparamref name="TResult"/>, unlike <see cref="Observable.SelectMany{TSource, TResult}(IObservable{TSource}, Func{TSource, IObservable{TResult}})"/>,
+      /// each inner sequence is terminated when the next one begins.
+      /// <para/>In other words, observers are notified by the inner observerables in &quot;series,&quot; rather than &quot;parallel.&quot; 
+      /// </summary>
+      /// <typeparam name="TSource">The type of elements in the source (outer) sequence.</typeparam>
+      /// <typeparam name="TResult">The type of elements in the inner sequences.</typeparam>
+      /// <param name="source">A sequence of elements to create a series of inner sequences.</param>
+      /// <param name="select_next">A function to create an inner sequence.</param>
+      /// <returns>An IDisposable object used to unsubscribe from the source (outer) sequence, and the latest inner sequence.</returns>
+      public static IObservable<TResult> SelectManyInSeries<TSource, TResult>(this IObservable<TSource> source, Func<TSource, IObservable<TResult>> select_next) =>
+         Observable.Create<TResult>(o => {
+            object locker = new object();
+            bool is_disposed = false;
+            IDisposable inner_sub = null;
+            IDisposable outer_sub = source.Subscribe(on_outer);
+            return Disposable.Create(dispose);
+            // local methods
+            void on_outer(TSource value) {
+               lock (locker) {
+                  if (!is_disposed) {
+                     inner_sub?.Dispose();
+                     inner_sub = select_next(value)?.Subscribe(o.OnNext);
+                  }
+               }
+            }
+            void dispose() {
+               IDisposable temp_outer_sub = null, temp_inner_sub = null;
+               lock (locker) {
+                  is_disposed = true;
+                  temp_outer_sub = outer_sub;
+                  outer_sub = null;
+                  temp_inner_sub = inner_sub;
+                  inner_sub = null;
+               }
+               temp_outer_sub?.Dispose();
+               temp_inner_sub?.Dispose();
+            }
+         });
+
+      public static IObservable<T> StartWith<T>(this IObservable<T> source, Func<T> get_value) =>
+         Observable.Create<T>(o => {
+            o.OnNext(get_value());
+            return source.Subscribe(o);
+         });
+
+      public static IObservable<T> StartWith<T>(this IObservable<T> source, Func<T> get_value, Func<bool> can_get_value) =>
+         Observable.Create<T>(o => {
+            if (can_get_value())
+               o.OnNext(get_value());
+            return source.Subscribe(o);
+         });
+
+      public static IDisposable Subscribe<T>(this IObservable<T> source, params IObserver<T>[] observers) {
+         return source.Subscribe(on_next, on_error, on_completed);
+         // local methods
+         void on_next(T value) {
+            for (int i = 0; i < observers.Length; i++)
+               observers[i].OnNext(value);
+         }
+         void on_error(Exception error) {
+            for (int i = 0; i < observers.Length; i++)
+               observers[i].OnError(error);
+         }
+         void on_completed() {
+            for (int i = 0; i < observers.Length; i++)
+               observers[i].OnCompleted();
+         }
+      }
+
+      /// <summary>
+      /// An inner subscription is made for each value in the source sequence using the specified delegate (<paramref name="subscribe_value"/>).
+      /// When a new value arrives, the subscription for the previous value is disposed before <paramref name="subscribe_value"/> is invoked with the new value.
+      /// </summary>
+      /// <typeparam name="T">The type of elements in the source sequence.</typeparam>
+      /// <param name="source">A sequence of elements to invoke a subscribe function on.</param>
+      /// <param name="subscribe_value">A function used to subscribe each source element.</param>
+      /// <returns>An IDisposable object used to unsubscribe from the source sequence, and dispose the latest value subscription.</returns>
+      public static IDisposable SubscribeEach<T>(this IObservable<T> source, Func<T, IDisposable> subscribe_value) {
+         IDisposable value_sub = null;
+         IDisposable source_sub = source.Subscribe(on_source);
+         return Disposable.Create(dispose);
+         // local methods
+         void on_source(T value) {
+            Disposable.dispose(ref value_sub);
+            value_sub = subscribe_value(value);
+         }
+         void dispose() {
+            Disposable.dispose(ref source_sub);
+            Disposable.dispose(ref value_sub);
+         }
+      }
+
+      // was sick of this scenario: observable_source.Select(enumerable => enumerable.FirstOrDefault(where)).Where(val => val != null)
+      // with structs it was even more annoying because they can't be null
+      public static IObservable<TResult> TrySelect<T, TResult>(this IObservable<T> source, Func<T, (TResult result, bool success)> try_select) =>
+         source.Select(try_select).Where(ts => ts.success).Select(ts => ts.result);
+   }
+}

src/client/spark_core/utils/OptionalNullable.cs

@@ -0,0 +1,15 @@
+namespace bts.utils {
+   // Mainly used as an optional override of nullable data arg.
+   //    Explanation: the 'with' method pattern typically interprets null args to mean "keep the existing value."
+   //    However, this makes it impossible for the caller to overwrite an existing value with null.
+   //    This struct is designed (or at least was originally) to address this use-case.
+   //    It is analagous to escape chars.
+   readonly struct OptionalNullable<T> where T : struct {
+      public OptionalNullable(T? value) => this.value = value;
+
+      public T? value { get; }
+
+      public static implicit operator OptionalNullable<T>(T? value) =>
+         new OptionalNullable<T>(value);
+   }
+}

src/data_files/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources files/audit_ilink3.py;files/audit_upload.sh;files/audit_uploader.py;files/cert_secure_logon.txt;files/example.conf;files/futures.coconut.xz;files/onixs_ice/ConnectivityConfiguration.APITest.xml;files/onixs_ice/ConnectivityConfiguration.APITest.xml.orig;files/onixs_ice/ConnectivityConfiguration.PerfTest.xml;files/onixs_ice/ConnectivityConfiguration.Production.xml;files/perf_trace/compiled.css;files/perf_trace/index.html;files/perf_trace/jquery-3.3.1.min.js;files/perf_trace/main.js;files/perf_trace/perf_log.sql;files/perf_trace/perf_trace_analysis.sql;files/perf_trace/plotly-latest.min.js)
+set(sources files/cert_secure_logon.txt;files/futures.coconut.xz;files/onixs_ice/ConnectivityConfiguration.APITest.xml;files/onixs_ice/ConnectivityConfiguration.APITest.xml.orig;files/onixs_ice/ConnectivityConfiguration.PerfTest.xml;files/onixs_ice/ConnectivityConfiguration.Production.xml;files/perf_trace/compiled.css;files/perf_trace/index.html;files/perf_trace/jquery-3.3.1.min.js;files/perf_trace/main.js;files/perf_trace/perf_log.sql;files/perf_trace/perf_trace_analysis.sql;files/perf_trace/plotly-latest.min.js)

src/data_files/files/audit_ilink3.py

@@ -1,405 +0,0 @@
-import json
-import csv
-import datetime, time
-import argparse, os
-
-
-def valid_file(f):
-    if not os.path.exists(f):
-        # Argparse uses the ArgumentTypeError to give a rejection message like:
-        # error: argument input: x does not exist
-        raise argparse.ArgumentTypeError("{0} does not exist".format(f))
-    return f
-
-def valid_date(s):
-    try:
-        return datetime.datetime.strptime(s, "%Y%m%d")
-    except ValueError:
-        raise argparse.ArgumentTypeError("Not a valid date: '{0}'.".format(s))
-
-def print_headers():
-    # From https://www.cmegroup.com/confluence/display/EPICSANDBOX/iLink+3+-+Minimum+Acceptable+Audit+Trail+Elements+-+Data+Definitions+and+Validation+Rules
-    line_to_write = "Sending Timestamps,Message Direction,Operator ID,Session ID,Manual Order Indicator,Message Type,Instrument,Order Flow ID,\
-CME Globex Order ID,Client Order ID,Order Request ID,Buy/Sell Indicator,Quantity,Limit Price,Stop Price,Order Type,Order Qualifier,IFM Flag,\
-Display Quantity,Minimum Quantity,Country of Origin,Fill Price,Fill Quantity,Cumulative Quantity,Remaining Quantity,Aggressor Flag,Source of Cancellation,\
-Reject Reason,CME Globex Message ID,Cross ID,Quote Request ID,Message Quote ID,Quote Set ID,Quote Entry ID,Bid Price,Bid Size,Offer Price,Offer Size,\
-Processed Entries,Party Details List Request ID,ListUpdateAction,Self-Matching Prevention ID,Self-Match Prevention Instr,Customer Type Indicator,\
-AvgPxGroupID,Average Px Ind,CmtaGiveUpCD,Origin,Clearing Trade Price Type,Customer Handling Instr,Executing Firm ID,Account Number,Take Up Firm,Take up Account"
-
-    with open (args.output_file, 'w') as the_file:
-                    the_file.write(line_to_write)
-                    the_file.write("\n")
-
-def set_blanks():
-    return ""
-
-def get_value(json_key):
-    prices = ["Price", "LastPx", "StopPx"]
-    if json_key in json_data:
-        if json_key in prices:
-            x = json_data[json_key]
-            return x['mantissa']/100000000000
-        else:
-            return json_data[json_key]
-    else:
-        return ""
-
-
-# Column 1  - Sending Timestamps
-def SendingTimeEpoch(epochtime):   #1
-    #TIME = time.strftime('%Y%m%d-%H:%M:%S.{}'.format(epochtime/1000000000), time.gmtime(epochtime/1000000000))
-    TIME = datetime.datetime.fromtimestamp(int(epochtime) / 1e9).strftime('%Y%m%d-%H:%M:%S.%f')
-    return TIME
-
-# Column 2 - Message Direction
-def direction(whichway):
-    if whichway == '<':    
-        DIRECTION = "FROM CME"
-    else:                       
-        DIRECTION = "TO CME"     
-    return DIRECTION
-
-# Column 3 - Operator ID
-def SenderID(sender):
-    if "SenderID" in json_data:
-        SENDER = json_data["SenderID"] 
-        return SENDER
-    else:
-        return SESSIONID
-
-
-# Column 4 - Session ID
-
-# Column 5 - Manual Order Indicator
-def ManualOrderIndicator(manual):
-    if "ManualOrderIndicator" in json_data:
-        if manual == "Manual":
-            return "1"
-        else:
-            return "0"
-
-# Column 6 - Message Type
-def MessageType(msg_type,orderstatus):
-    if msg_type == "NewOrderSingle514":
-       return "D" 
-    elif msg_type == "ExecutionReportNew522":
-        return "8--0"
-    if "ExecutionReportTrade" in msg_type:
-        if orderstatus == "PartiallyFilled":
-            return "8--1"
-        else:
-            return "8--2"
-    elif msg_type == "ExecutionReportCancel534":
-        return "8--4"
-    elif msg_type == "ExecutionReportModify531":
-        return "8--5"
-    elif msg_type == "ExecutionReportCancel534":
-        return "8--H"
-    elif msg_type == "ExecutionReportReject523":
-        return "8--8"
-    elif msg_type == "OrderCancelReplaceReject536":
-        return "9--2"
-    elif msg_type == "OrderCancelReject535":
-        return "9--1"
-    elif msg_type == "PartyDetailsDefinitionRequest518":
-        return "CX"
-    elif msg_type == "PartyDetailsDefinitionRequestAck519":
-        return "CY"
-    elif msg_type == "OrderCancelRequest516":
-        return "F"
-    elif msg_type == "OrderCancelReplaceRequest515":
-        return "G"
-    
-    
-
-# Column 12 - Buy-Sell Indicator/Side
-def Side(indicator):
-    if "Side" in json_data:
-        if indicator == "Buy":
-            return "1"
-        else:
-            return "2"
-
-# Column 16 - Order Type/OrdType
-def OrdType(ordertype):
-    if "OrdType" in json_data:
-        if ordertype == "MarketWithProtection" or ordertype == "MarketwithProtection":
-            return "1"
-        elif ordertype == "Limit":
-            return "2"
-        elif ordertype == "StopWithProtection" or ordertype == "StopwithProtection":
-            return "3"
-        elif ordertype == "StopLimit":
-            return "4"
-        elif ordertype == "MarketLimit":
-            return "K"
-        else:
-            return ""
-
-# Column 17 - Order Qualifier/TimeInForce
-def TimeInForce(orderqual):
-    if "TimeInForce" in json_data:
-        if orderqual == "Day":
-            return "0"
-        elif orderqual == "GTC":
-            return "1"
-        elif orderqual == "FAK":
-            return "3"
-        elif orderqual == "GTD":
-            return "6"
-        else:
-            return ""
-
-# Column 18 IFM Flag/OFMOverride
-def OFMOverride(imfflag):
-    if "OFMOverride" in json_data:
-        if imfflag == "Enabled":
-            return "1"
-        else:
-            return "0"
-
-# Column 19 Display Quantity/DisplayQty
-def DisplayQty(qty):
-    if "DisplayQty" in json_data:
-        if str(qty) == "0":
-            return ""
-        elif str(qty) == "4294967295":
-            return ""
-        else:
-            return qty
-
-
-# Column 26 - Aggressor Flag/AggressorIndicator
-def AggressorIndicator(aggressor):
-    if "AggressorIndicator" in json_data:
-        if aggressor == "True":
-            return "1"
-        else:
-            return "0"
-
-# Column 27 - Source of Cancellation/ExecRestatementReason
-def ExecRestatementReason(sourcecancel):
-    if "ExecRestatementReason" in json_data:
-        if sourcecancel == "Exchange":
-            return "8"
-        elif sourcecancel == "CancelledNotBest":
-            return "9"
-        elif sourcecancel == "CancelOnDisconnect":
-            return "100"
-        elif sourcecancel == "CancelRestingDueToSelfMatchPrevention":
-            return "103"
-        elif sourcecancel == "CancelFromCMEGlobexCreditControlsViolation":
-            return "104"
-        elif sourcecancel == "CancelFromCMEOne":
-            return "105"
-        elif sourcecancel == "CancelFromRiskManagementAPI":
-            return "106"
-        elif sourcecancel == "CancelAggressingDueToSelfMatchPrevention":
-            return "107"
-        elif sourcecancel == "CancelDueToVolatilityQuoteOptionLessThanMinOrderSize":
-            return "108"
-        else:
-            return ""
-
-# Column 43 - Self-Match Prevention Instr/SelfMatchPreventionInstruction
-def SelfMatchPreventionInstruction(instr):
-    if "SelfMatchPreventionInstruction" in json_data:
-        if instr == "CancelOldest":
-            return "O"
-        elif instr == "CancelNewest":
-            return "N"
-        else:
-            return ""
-
-# Column 44 - Customer Type Indicator/CustOrderCapacity
-def CustOrderCapacity(custord):
-    if "CustOrderCapacity" in json_data:
-        if custord == "NULL_VALUE":
-            return ""
-        elif custord == "Membertradingfortheirownaccount":
-            return "1"
-        elif custord == "ClearingFirmtradingforitsproprietaryaccount":
-            return "2"
-        elif custord == "Membertradingforanothermember":
-            return "3"
-        else:
-            return "4" 
-
-# Column 46 - Average Px Ind/AvgPxInd
-def AvgPxInd(avgpxindicator):
-    if "AvgPxInd" in json_data:
-        if avgpxindicator == "NULL_VALUE":
-            return ""
-        else:
-            return avgpxindicator
-
-# Column 48 - Origin/ClearingAccountType
-def ClearingAccountType(accounttype):
-    if "ClearingAccountType" in json_data:
-        if accounttype == "Customer":
-            return "0"
-        elif accounttype == "Firm":
-            return "1"
-        else:
-            return ""
-
-# Column 49 - Clearing Trade Price Type/ClearingTradePriceType
-def ClearingTradePriceType(clrtrdprice):
-    if "ClearingTradePriceType" in json_data:
-        if clrtrdprice == "NULL_VALUE":
-            return "0"
-        else:
-            return "3"
-
-# Column 50 - Customer Handling Instr/CustOrderHandlingInst
-def CustOrderHandlingInst(custorderinst):
-    if "CustOrderHandlingInst" in json_data:
-        if custorderinst == "ClientElectronic":
-            return "C"
-        elif custorderinst == "TEST":
-            return "D"
-        else:
-            return ""
-
-# Column 51 and 52 - Getting the Firm and Account Number
-def partyid(partydetailid,column):
-    for x in partydetailid:
-        role = x['PartyDetailRole']
-        id = x['PartyDetailID']
-        if column == "51" and role == "ExecutingFirm":
-            return id
-        if column == "52" and role == "CustomerAccount":
-            return id
-
-
-parser = argparse.ArgumentParser()
-parser.add_argument("json_log", help="the json log[.gz] you wish to process", type=valid_file)
-parser.add_argument("output_file", help="the destination csv file you wish to write")
-parser.add_argument("-d", "--date", help="the date you wish to parse from the log, specified as YYYYmmdd",
-                    default=datetime.datetime.today().strftime("%Y%m%d"), type=valid_date)
-args = parser.parse_args()
-
-print_headers()
-
-list_types = ['NewOrderSingle514', 'OrderCancelReplaceRequest515', 'OrderCancelRequest516', 'PartyDetailsDefinitionRequest518', 'PartyDetailsDefinitionRequestAck519', \
-        'ExecutionReportNew522', 'ExecutionReportReject523', 'ExecutionReportTradeOutright525', 'ExecutionReportTradeSpread526', 'ExecutionReportTradeSpreadLeg527', \
-        'ExecutionReportModify531', 'ExecutionReportCancel534', 'OrderCancelReject535', 'OrderCancelReplaceReject536', ]
-
-# Note that the timedeltas specificed in trade_day_start and trade_day_end
-# are based on Chicago times; as such, this script should run on a machine
-# set to a Chicago timezone. A future impromovement would be to determine
-# the current machine's timezone and determine the appropriate offset
-# versus Chicago time, but for now we assume this will run on a Chicago
-# tz machine.
-input_as_datetime = args.date
-trade_day_start = input_as_datetime - datetime.timedelta(days=1) + datetime.timedelta(hours=16, minutes=30)
-trade_day_utc_start = time.gmtime((time.mktime(trade_day_start.timetuple())))
-trade_day_end = input_as_datetime + datetime.timedelta(hours=16)
-trade_day_utc_end = time.gmtime((time.mktime(trade_day_end.timetuple())))
-
-file_opener = None
-if args.json_log.endswith(".gz"):
-    import gzip
-    file_opener = gzip.open
-else:
-    file_opener = open
-
-
-#inputFile = open(fileInput) #open json file
-#outputFile = open(fileOutput, 'w') #load csv file
-# Get Session
-with file_opener(args.json_log) as json_file:
-    for line in json_file:
-        data = json.loads(line)
-        json_data = data['msg_json']
-        if "Session" in json_data:
-            SESSIONID = json_data["Session"]
-
-#inputFile = open(fileInput) #open json file
-#outputFile = open(fileOutput, 'w') #load csv file
-with file_opener(args.json_log) as json_file:
-    for line in json_file:
-        data = json.loads(line)
-        line_timestamp = time.strptime(data['time'], "%Y%m%d-%H:%M:%S.%f")
-        if trade_day_utc_start <= line_timestamp <= trade_day_utc_end:
-            json_data = data['msg_json']
-            NAME = json_data["Name"]
-            if NAME in list_types:
-                EXECUTING_FIRM_ID = ""
-                ACCOUNT_NUMBER = ""
-                DIRECTION = direction(data['direction'])
-                # Set Blanks
-                blank_json = {'QuoteReqID': '', 'QuoteID': '', 'QuoteSetID': '', 'QuoteEntryID': '', 'BidPx': '', 'BidSize': '', 'OfferPx': '', \
-                'OfferSize': '', 'NoProcessedEntries': '', 'ListUpdateAction': '', 'MinQty': '', 'AvgPxGroupID': '', \
-                'CmtaGiveUpCD': '', 'TAKE_UP_FIRM': '', 'TAKE_UP_ACCOUNT': '',}
-
-                # No Data Processing
-                straight_json = {'SecurityID': '', 'ClOrdID': '', 'OrderID': '', 'OrderRequestID': '', 'OrderQty': '', \
-                'Location': '', 'LastQty': '', 'CumQty': '', 'LeavesQty': '', 'Text': '', 'SideTradeID': '', 'CrossID': '', 'SelfMatchPreventionID': '', \
-                'Price': '', 'StopPx': '', 'LastPx': '', 'PartyDetailsListReqID': '', 'OrdStatus': ''}
-                        
-                # Processing Data
-                process_json = {'SendingTimeEpoch': '', 'ManualOrderIndicator': '', 'SenderID': '', 'Side': '', 'OrdType': '', 'TimeInForce': '', \
-                'OFMOverride': '', 'AggressorIndicator': '', 'ExecRestatementReason': '', 'SelfMatchPreventionInstruction': '', 'CustOrderCapacity': '', \
-                'AvgPxInd': '', 'ClearingAccountType': '', 'ClearingTradePriceType': '', 'CustOrderHandlingInst': '', 'DisplayQty': ''}
-                
-                for d in straight_json:
-                    test = get_value(d)
-                    if test != "None" or test != "":
-                        if "," in str(test):
-                            test = test.replace(",",";")
-                        if "4294967295" in str(test):
-                            test = ""
-                        if "us;" in str(test):
-                            test = test.upper()
-                        if d == "SelfMatchPreventionID" and len(str(test)) > 8:
-                            test = ""
-                        straight_json[d] = test
-                    else:
-                        straight_json[d] = ''
-                        
-                for d in process_json:
-                    if d in json_data:
-                        function = locals()[d]
-                        test = function(json_data[d])
-                        if test != "None":
-                            process_json[d] = test
-                        else:
-                            process_json[d] = ''
-                    elif d == "SenderID":
-                        function = locals()[d]
-                        test = function(SenderID)
-                        if test != "None":
-                            process_json[d] = test
-
-                # Party Message Fields
-                # Column 51 - Executing Firm ID
-                if "NoPartyDetails" in json_data:
-                    EXECUTING_FIRM_ID = partyid(json_data['NoPartyDetails'], "51")
-                    # Column 52 - Party Account Number
-                    ACCOUNT_NUMBER = partyid(json_data['NoPartyDetails'], "52")
-                
-                line_to_write = process_json['SendingTimeEpoch'] + "," + DIRECTION + "," + process_json['SenderID'] + "," + SESSIONID + "," + process_json['ManualOrderIndicator'] + "," + \
-                MessageType(NAME,straight_json['OrdStatus']) + "," + str(straight_json['SecurityID']) + "," + str(straight_json['ClOrdID']) + "," + str(straight_json['OrderID']) + "," + str(straight_json['ClOrdID']) + "," + \
-                str(straight_json['OrderRequestID']) + "," + process_json['Side'] + "," + str(straight_json['OrderQty']) + "," + str(straight_json['Price']) + "," + \
-                str(straight_json['StopPx'])  + "," + process_json['OrdType'] + "," + process_json['TimeInForce'] + "," + process_json['OFMOverride'] + "," + str(process_json['DisplayQty']) + "," + \
-                blank_json['MinQty'] + "," + straight_json['Location'] + "," + str(straight_json['LastPx']) + "," + str(straight_json['LastQty']) + "," + str(straight_json['CumQty']) + "," + \
-                str(straight_json['LeavesQty']) + "," + process_json['AggressorIndicator'] + "," + process_json['ExecRestatementReason'] + "," + str(straight_json['Text']) + "," + \
-                str(straight_json['SideTradeID']) + "," + str(straight_json['CrossID']) + "," + blank_json['QuoteReqID'] + "," + blank_json['QuoteID'] + "," + blank_json['QuoteSetID'] + "," + \
-                blank_json['QuoteEntryID'] + "," + blank_json['BidPx'] + "," + blank_json['BidSize'] + "," + blank_json['OfferPx'] + "," + blank_json['OfferSize'] + "," + \
-                blank_json['NoProcessedEntries'] + "," + str(straight_json['PartyDetailsListReqID']) + "," + blank_json['ListUpdateAction'] + "," + str(straight_json['SelfMatchPreventionID']) + "," + \
-                process_json['SelfMatchPreventionInstruction'] + "," + process_json['CustOrderCapacity'] + "," + blank_json['AvgPxGroupID'] + "," + process_json['AvgPxInd'] + "," + \
-                blank_json['CmtaGiveUpCD'] + "," + str(process_json['ClearingAccountType']) + "," + process_json['ClearingTradePriceType'] + "," + process_json['CustOrderHandlingInst'] + "," + \
-                EXECUTING_FIRM_ID + "," + str(ACCOUNT_NUMBER) + "," + blank_json['TAKE_UP_FIRM'] + "," + blank_json['TAKE_UP_ACCOUNT']
-
-                
-                #print(line_to_write)
-
-                with open (args.output_file, 'a') as the_file:
-                    the_file.write(line_to_write)
-                    the_file.write("\n")
-        
-
-
-
- 

src/data_files/files/audit_upload.sh

@@ -1,73 +0,0 @@
-#/bin/bash
-
-function help_and_exit()
-{
-  echo
-  echo Usage: $0 [option]... config_file
-  echo 
-  echo Can also be used in cron like the following
-  echo 40 16 * * 1-5 /usr/bin/docker exec spark_10000 bash /sparkbin/data_files/audit_upload.sh /sparkdata/data/audit_uploads/example.conf
-  echo example.conf included.  The location of the conf file should be relative to the docker container, not the host
-  echo
-  echo Options are as follows:
-  echo "     -d|--date YYYYMMDD              Example is 20180731"
-  echo "  Help: "
-  echo "     -h|--help                       Display this message."
-  echo
-  exit 1
-}
-
-DATE=$(date +%Y%m%d)
-ORIG_DIR=$(pwd)
-ERROR_LEVEL="0"
-
-while getopts "d:h" option; do
-    case $option in
-        d) DATE=$OPTARG ;;
-        h) help_and_exit;;
-        \?) echo "Invalid option: -$OPTARG" >&2;
-        exit 1;;
-    esac
-done
-
-shift $((OPTIND-1))
-
-CONFIG_FILE=$1
-
-declare -A conf_vars; while read line; do conf_vars[${line%=*}]=${line#*=}; done <$CONFIG_FILE
-
-SESSION_ID=${conf_vars[session_id]}
-FCM=${conf_vars[fcm]}
-CLIENT=${conf_vars[client]}
-
-cd /sparkbin/data_files
-
-for SESSION in $(ls /sparkdata/data/ilink3/); do
-   if [[ $SESSION == *$SESSION_ID* ]]; then
-      echo "Session is $SESSION"
-      SESSION_DAY=$(date +%Y-%m-%d)
-      if [[ $SESSION == "cme_"* ]]; then 
-         SESSION_DAY=$(date -d "$DATE -$(date -d $DATE +%u) days" +"%Y-%m-%d")
-         AUDIT_SCRIPT="audit_ilink3.py"
-      fi
-      echo $SESSION_DAY
-      if [[ ! -d  /sparkdata/data/ilink3/$SESSION/audit_logs ]]; then
-         mkdir -p /sparkdata/data/ilink3/$SESSION/audit_logs
-      fi
-      if [[ -d /sparkdata/data/ilink3/$SESSION/$SESSION_DAY ]]; then
-         echo "Starting the creation of the audit log" 
-         python $AUDIT_SCRIPT -d $DATE /sparkdata/data/ilink3/$SESSION/$SESSION_DAY/log /sparkdata/data/ilink3/$SESSION/audit_logs/"$FCM"_audit_"$SESSION"_"$DATE".csv
-      fi
-      if [[ ! -d /sparkdata/data/md_audit ]]; then
-         mkdir /sparkdata/data/md_audit
-      fi
-      if [[ -d /sparkdata/data/md_audit ]]; then
-         # Running the MD Audit csv generation
-         cd /sparkbin
-         ./sparkd adminreport md > /sparkdata/data/md_audit/"$FCM"_md_"$CLIENT"_"$DATE".csv
-         cd /sparkbin/data_files
-      fi
-      echo "Uploading to the (s)FTP Server"
-      python audit_uploader.py --config_file="$CONFIG_FILE" --datestamp $DATE --session="$SESSION" --client="$CLIENT" --fcm="$FCM" 
-   fi 
-done

src/data_files/files/audit_uploader.py

@@ -1,150 +0,0 @@
-import getopt, sys, datetime
-import paramiko, ftplib
-
-#########################################################
-#                  Commandline Args                     #
-#########################################################
-
-def usage():
-    print "-------------------------------------------------------"
-    print "-Usage:                                               -"
-    print "-------------------------------------------------------"
-    print "-    --config_file= : Path to upload config file      -"
-    print "-                      -if no path is specified look  -"
-    print "-                       in the working directory.     -"    
-    print "-                                                     -"
-    print "-    --help         : Print this message              -"
-    print "-                                                     -"
-    print "-    --datestamp=   : Optional, defaults to today     -"
-    print "-                       -replaces *datestamp in the   -"
-    print "-                        the upload config file       -"
-    print "-                                                     -"
-    print "-    --fcm          : Optional, spark input           -"
-    print "-                                                     -"
-    print "-    --session      : Optional, spark jf session      -"
-    print "-------------------------------------------------------"
-
-fcm = ''
-session = ''
-
-try:
-   options, arguments = getopt.getopt(sys.argv[1:],"h",['config_file=', 'datestamp=', 'help', 'fcm=', 'client=', 'session='])
-except getopt.GetoptError, err:
-    print str(err)
-    usage()
-    sys.exit(2)
-
-for option, value in options:
-    if option in ("-h","--h","-help","--help"):
-        usage()
-        sys.exit()
-    elif option in ("-config_file","--config_file"):
-        config_file = value
-    elif option in ("-datestamp","--datestamp"):
-        datestamp = value
-    elif option in ("-fcm","--fcm"):
-        fcm = value
-    elif option in ("-client","--client"):
-        client = value
-    elif option in ("-session","--session"):
-        session = value
-
-for argument in arguments:
-    if argument in ("h", "help"):
-        usage()
-        sys.exit()
-    else:
-        print "Unrecognized commandline argument. Type help for usage."
-        sys.exit()
-
-if len(options) <= 0:
-    print "Requires a config file to run."
-    usage()
-    sys.exit()
-
-
-#########################################################
-#              Read Config Function                     #
-#########################################################
-
-def read_config_file(config_file, datestamp=datetime.datetime.today().strftime('%Y%m%d'), fcm=fcm, session=session):
-        '''
-        Parse our config file that gets passed in as a commandline parameter.
-        All config keys must be of the form key=value. White space is ignored.
-        All config keys must be seperated by a newline character.
-        Called during initialization.
-        '''
-        upload_config = {}
-        config_file = open(config_file, 'r')        
-        config_file = config_file.read()
-        for config in config_file.split("\n"):
-            if '=' in config:
-                cleaned_key = config.split('=')[0].strip().upper()
-                cleaned_value = config.split('=')[1].strip()
-                if '*datestamp*' in cleaned_value:
-                    cleaned_value = cleaned_value.replace('*datestamp*',datestamp)
-                if '*fcm*' in cleaned_value:
-                    cleaned_value = cleaned_value.replace('*fcm*',fcm)
-                if '*client*' in cleaned_value:
-                    cleaned_value = cleaned_value.replace('*client*',client)
-                if '*session*' in cleaned_value:
-                    cleaned_value = cleaned_value.replace('*session*',session)                    
-                upload_config[cleaned_key] = cleaned_value
-            else:
-                pass
-        return upload_config   
-
-#########################################################
-#             FTP File Transfer Function                #
-#########################################################
-def putfile_ftp(file, put_path, site, user, password, port=21, verbose=True):
-    if verbose: print 'Uploading', file
-    local = open(file, 'rb')    
-    remote = ftplib.FTP(site)   
-    remote.login(user, password)         
-    remote.storbinary(put_path, local, 1024)
-    remote.quit()
-    local.close()
-    if verbose: print 'Upload done.'
-
-#########################################################
-#            SFTP File Transfer Function                #
-#########################################################
-def putfile_sftp(file, put_path, site, username, password, port=22, verbose=True):
-    transport = paramiko.Transport((site, port))
-    transport.connect(username = username, password = password)
-    sftp = paramiko.SFTPClient.from_transport(transport)
-    sftp.put(file, put_path)
-    sftp.close()
-    transport.close()
-
-
-#########################################################
-#                       Main                            #
-#########################################################
-#if datestamp != None:
-#    upload_config = read_config_file(config_file, datestamp)
-#else:
-#    upload_config = read_config_file(config_file)
-
-try:
-    datestamp
-except NameError:
-    upload_config = read_config_file(config_file)
-else:
-    upload_config = read_config_file(config_file, datestamp)
-
-
-
-print upload_config
-
-if upload_config["PROTOCOL_PUT"] in ['FTP','ftp']:
-    print "Protocol = FTP"
-    putfile_ftp(upload_config["GET_ILINK3_FILE_PATH"] + upload_config["GET_ILINK3_FILE_NAME"], upload_config["PUT_ILINK3_FILE_PATH"] + upload_config["PUT_ILINK3_FILE_NAME"], upload_config["PUT_HOST"], upload_config["USERNAME_PUT"], upload_config["PASSWORD_PUT"], upload_config["PORT_PUT"] )
-    putfile_ftp(upload_config["GET_MD_FILE_PATH"] + upload_config["GET_MD_FILE_NAME"], upload_config["PUT_MD_FILE_PATH"] + upload_config["PUT_MD_FILE_NAME"], upload_config["PUT_HOST"], upload_config["USERNAME_PUT"], upload_config["PASSWORD_PUT"], upload_config["PORT_PUT"] )
-elif upload_config["PROTOCOL_PUT"] in ['SFTP','sftp']:
-    print "Protocol = SFTP"
-    putfile_sftp(upload_config["GET_ILINK3_FILE_PATH"] + upload_config["GET_ILINK3_FILE_NAME"], upload_config["PUT_ILINK3_FILE_PATH"] + upload_config["PUT_ILINK3_FILE_NAME"], upload_config["PUT_HOST"], upload_config["USERNAME_PUT"], upload_config["PASSWORD_PUT"], int(upload_config["PORT_PUT"]) )
-    putfile_sftp(upload_config["GET_MD_FILE_PATH"] + upload_config["GET_MD_FILE_NAME"], upload_config["PUT_MD_FILE_PATH"] + upload_config["PUT_MD_FILE_NAME"], upload_config["PUT_HOST"], upload_config["USERNAME_PUT"], upload_config["PASSWORD_PUT"], int(upload_config["PORT_PUT"]) )
-
-

src/data_files/files/cert_secure_logon.txt

@@ -1,19 +1,12 @@
-Session ID           Access ID                      Secret Key                                         Creation Date        Expiration Date      Environment          
-
-M4D                  lLtjH74y1Kh5XUJTLyH2           f1K_tROQp2lTIplVp34WxKa7xDUgfFnIteolfik061o        2019-09-03           2020-09-03           CERT                 
-
-MC1                  VEMlkDuLz74OVHSuacQB           IuHyYT3b-9KUo3WsuXykt-fXsjzp7L-JOrdCSQZLNl0        2019-09-03           2020-09-03           CERT                 
-
-MC5                  77lzSUwPLlM9obaXh2mK           z6aA9qfASDKfZkYTVKFqJd-78i0HZ2Q9ec3CKCYIqHg        2019-09-03           2020-09-03           CERT                 
-
-MC7                  RphzI3rn71oGUEiYnX9e           y6OvvPPyoyj2S8YAnE1gFduXT8v29HIMjO5EngYxSNg        2019-09-03           2020-09-03           CERT                 
-
-MC8                  PYBIm2TI9gFPIxmHbuYl           6o-ZolGH2DdeQOlGtJ5Zqoh_kg7VdbxkmjeOHmigKwU        2019-09-03           2020-09-03           CERT                 
-
-NGG                  RYcigz3bSLIIBBF2A2Hq           qB1dm9VkTKeXcdQpFzla8B3_jwTgya_-Fk5iyEJvr2E        2020-06-15           2021-06-15           NEWRELEASE           
-
-NGF                  o4OTmmTLQ7Lv4g6bCm26           HbD3FneMyb9Fu-FkCDLscCczHqFcFE2PyWv978RXGyA        2019-12-20           2020-12-20           NEWRELEASE           
-
-UZE                  EeFdZ1FPepk6U4k3xBZA           2LjEtdLvBLLB1QuDJ4KiJW6M4dF6IHWd_UKmo7p3_Us        2020-06-24           2021-06-24           NEWRELEASE           
-
-VAE                  Y8iqatTewuoHX16gghw8           FNcCB3Ks1qleS56quYzH4V7zAu78YY2bCdLRi9tmU9E        2020-06-24           2021-06-24           NEWRELEASE           
+Session ID           Access ID                      Secret Key                                         Creation Date        Expiration Date      Environment          
+
+M4D                  lLtjH74y1Kh5XUJTLyH2           f1K_tROQp2lTIplVp34WxKa7xDUgfFnIteolfik061o        2019-09-03           2020-09-03           CERT                 
+
+MC1                  VEMlkDuLz74OVHSuacQB           IuHyYT3b-9KUo3WsuXykt-fXsjzp7L-JOrdCSQZLNl0        2019-09-03           2020-09-03           CERT                 
+
+MC5                  77lzSUwPLlM9obaXh2mK           z6aA9qfASDKfZkYTVKFqJd-78i0HZ2Q9ec3CKCYIqHg        2019-09-03           2020-09-03           CERT                 
+
+MC7                  RphzI3rn71oGUEiYnX9e           y6OvvPPyoyj2S8YAnE1gFduXT8v29HIMjO5EngYxSNg        2019-09-03           2020-09-03           CERT                 
+
+MC8                  PYBIm2TI9gFPIxmHbuYl           6o-ZolGH2DdeQOlGtJ5Zqoh_kg7VdbxkmjeOHmigKwU        2019-09-03           2020-09-03           CERT                 
+

src/data_files/files/example.conf

@@ -1,16 +0,0 @@
-fcm=FCM
-client=NAME
-session_id=ses
-put_host=ftpc.example.com
-port_put=2222
-username_put=user
-password_put=password
-protocol_put=sftp
-get_ilink3_file_path=/sparkdata/data/ilink3/*session*/audit_logs/
-put_ilink3_file_path=/
-get_ilink3_file_name=*fcm*_audit_*session*_*datestamp*.csv
-put_ilink3_file_name=*fcm*_audit_*session*_*datestamp*.csv
-get_md_file_path=/sparkdata/data/md_audit/
-put_md_file_path=/
-get_md_file_name=*fcm*_md_*client*_*datestamp*.csv
-put_md_file_name=*fcm*_md_*client*_*datestamp*.csv

src/lib/CMakeDeps.cmake

@@ -1 +1 @@
-set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/service_helpers/PositionUtilities.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/BasePositionService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/MarketDataService.proto;api/services/MoneyFileService.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/position_cfg.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/AlgoTypes.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/position_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/subprocess.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/sod.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;jetfix/codec/FIXArray.cpp;jetfix/common/OutFIX.cpp;jetfix/connection/AsyncReader.cpp;jetfix/connection/IConnection.cpp;jetfix/connection/SocketConnection.cpp;jetfix/gateway/CoreGateway.cpp;jetfix/gateway/JetFIXGateway.cpp;jetfix/gateway/Session.cpp;jetfix/store/FIXFileStore.cpp;jetfix/store/session_name.cpp;jetfix/tests/async_reader_tests.cpp;jetfix/tests/decoding_tests.cpp;jetfix/tests/fix_encoding_stream_tests.cpp;jetfix/tests/fix_fragment_tests.cpp;jetfix/tests/jetfix_performance_tests.cpp;jetfix/tests/sample_fix.cpp;jetfix/tests/store_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/Product.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityMapper.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/service/MarketDataServiceServer.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;md/vendor/OnixsUtils.cpp;mercury/actors/IPollableActor.cpp;mercury/broker/Broker.cpp;mercury/broker/BrokerProxy.cpp;mercury/broker/ILocalBroker.cpp;mercury/broker/IRemoteBroker.cpp;mercury/common/mercury_common.cpp;mercury/events/TimerEvent.cpp;mercury/executor/Executor.cpp;mercury/topics/Topic.cLine truncated
+set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/service_helpers/PositionUtilities.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/BasePositionService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/MarketDataService.proto;api/services/MoneyFileService.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/position_cfg.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/AlgoTypes.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/position_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/subprocess.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/sod.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;jetfix/codec/FIXArray.cpp;jetfix/common/OutFIX.cpp;jetfix/connection/AsyncReader.cpp;jetfix/connection/IConnection.cpp;jetfix/connection/SocketConnection.cpp;jetfix/gateway/CoreGateway.cpp;jetfix/gateway/JetFIXGateway.cpp;jetfix/gateway/Session.cpp;jetfix/store/FIXFileStore.cpp;jetfix/store/session_name.cpp;jetfix/tests/async_reader_tests.cpp;jetfix/tests/decoding_tests.cpp;jetfix/tests/fix_encoding_stream_tests.cpp;jetfix/tests/fix_fragment_tests.cpp;jetfix/tests/jetfix_performance_tests.cpp;jetfix/tests/sample_fix.cpp;jetfix/tests/store_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/Product.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityMapper.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/service/MarketDataServiceServer.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;md/vendor/OnixsUtils.cpp;mercury/actors/IPollableActor.cpp;mercury/broker/Broker.cpp;mercury/broker/BrokerProxy.cpp;mercury/broker/ILocalBroker.cpp;mercury/broker/IRemoteBroker.cpp;mercury/common/mercury_common.cpp;mercury/events/TimerEvent.cpp;mercury/executor/Executor.cpp;mercury/topics/Topic.cLine truncated

src/lib/api/service_compiler/plugin.py

@@ -319,7 +319,7 @@ if __name__ == "__main__":
 
     if DEBUG: 
         for f in response.file:
-            print (f.content)
+            print f.content
     else:
         output = response.SerializeToString()
         sys.stdout.write(output)

src/lib/api/service_helpers/AdminServiceUtils.cpp

@@ -292,6 +292,22 @@ const BTSAccount* AdminServiceUtils::find_account (const AdminData& data,
          return account_ptr;
    return nullptr;
 }
+SecurityRiskLimitUnit const* AdminServiceUtils::get_sec_limit (
+                                                   const AdminData& data,
+                                                   uint32_t account_id,
+                                                   uint32_t sec_key){
+   const BTSAccount* acct_ptr = find_account(data, account_id,false);
+   if(acct_ptr != nullptr){
+      if(acct_ptr->has_proprietary_risk_limits()){
+         const auto& prop_limits = acct_ptr->proprietary_risk_limits();
+         for (const auto& l : prop_limits.security_limits()){
+            if(l.security_key() == sec_key)
+               return &l;
+         }
+      }
+   }
+   return nullptr;
+}
 std::vector<const BTSAccount*> AdminServiceUtils::accounts (
                                                       const AdminData& data,
                                                       bool include_deleted){
@@ -580,9 +596,7 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(const bt
      rv.set_session(conn_ptr->name());
      rv.set_operator_id(cme_user_data->operator_id());
      rv.set_location(cme_user_data->location());
-
      rv.set_smp_id(cme_user_data->smp_id());
-
      if (cme_user_data->smp_instruction()== "O")
         rv.set_smp_instruction(api::orderman::SelfMatchPreventionInstruction::SELF_MATCH_PREVENTION_INSTRUCTION_CANCEL_RESTING);
      else if (cme_user_data->smp_instruction()== "N")
@@ -696,7 +710,26 @@ void AdminServiceUtils::update_account(bts::api::admin::AdminData& admin_data,
    validate_account_update (admin_data, updated_account, result);
    if (result.is_success()){
       bts::api::admin::BTSAccount* account_ptr = find_account(admin_data, updated_account.id());
+      // prop_limits are not overwritten when the account is updated
+      // from the risk portal
+      const ProprietaryRiskLimits prop_limits = account_ptr->proprietary_risk_limits();
       account_ptr->CopyFrom(updated_account);
+      account_ptr->mutable_proprietary_risk_limits()->CopyFrom(prop_limits);
+   }
+}
+void AdminServiceUtils::update_proprietary_risk(
+                           AdminData& data,
+                           const ProprietaryRiskLimitsAPIArgument& arg,
+                           AdminServiceOperationResult& result){
+   BTSAccount* acct_ptr = find_account(data,arg.account_id());
+   if(acct_ptr == nullptr){
+      result.set_is_success(false);
+      result.set_error_text("Could not find account id");
+      return;
+   }
+   else{
+      result.set_is_success(true);
+      acct_ptr->mutable_proprietary_risk_limits()->CopyFrom(arg.proprietary_risk_limits());
    }
 }
 void AdminServiceUtils::delete_account (bts::api::admin::AdminData& admin_data,

src/lib/api/service_helpers/AdminServiceUtils.h

@@ -83,6 +83,9 @@ public:
    static const BTSAccount* find_account (const AdminData& data,
                                           uint32_t id,
                                           bool include_deleted=false);
+   static SecurityRiskLimitUnit const*  get_sec_limit (const AdminData& data,
+                                                      uint32_t account_id,
+                                                      uint32_t sec_key);
    // this function is an indirection layer for account access
    // so deletions are dealt in a more deliberate manner
    static std::vector<const BTSAccount*> accounts (const AdminData& data,
@@ -142,6 +145,10 @@ public:
    static void update_account(AdminData& data,
                               const BTSAccount& updated_account,
                               AdminServiceOperationResult& result);
+   static void update_proprietary_risk(
+                           AdminData& data,
+                           const ProprietaryRiskLimitsAPIArgument& arg,
+                           AdminServiceOperationResult& result);
    static void delete_account (AdminData& admin_data,
                                const IDAPIArgument& id,
                                AdminServiceOperationResult& result);

src/lib/api/service_helpers/PositionUtilities.cpp

@@ -81,9 +81,9 @@ void PositionUtilities::apply_fill (PositionEntry& pos,
                                     const Fill& f,
                                     bool is_add){
    // strip legs are not applied to positions
-   if(f.fill_kind() == Fill::FILL_KIND_STRIP_LEG ||
-      f.fill_kind() == Fill::FILL_KIND_SOD_STRIP_LEG)
-      return;
+   // if(f.fill_kind() == Fill::FILL_KIND_STRIP_LEG ||
+   //    f.fill_kind() == Fill::FILL_KIND_SOD_STRIP_LEG)
+   //    return;
    PositionUtilities::apply_fill(pos,
                                  f.side(),
                                  f.last_price(),
@@ -113,6 +113,13 @@ void PositionUtilities::total_position(const PositionUnit& p,
                 p.admin_day().short_pos() + p.admin_sod().short_pos();
 }
 
+void PositionUtilities::day_position(const PositionUnit& p,
+                                     uint32_t& total_long,
+                                     uint32_t& total_short){
+   total_long = p.day().long_pos() + p.admin_day().long_pos();
+   total_short = p.day().short_pos() + p.admin_day().short_pos();
+}
+
 PositionEntry PositionUtilities::add_positions (
                                  const std::vector<PositionEntry const*>& v){
    double long_pos = 0, long_price = 0, short_pos = 0, short_price = 0;

src/lib/api/service_helpers/PositionUtilities.h

@@ -39,6 +39,10 @@ public:
                               uint32_t& total_long,
                               uint32_t& total_short);
 
+   static void day_position(const bts::api::position::PositionUnit& p,
+                            uint32_t& total_long,
+                            uint32_t& total_short);
+
    static bts::api::position::PositionEntry add_positions (
        const std::vector<bts::api::position::PositionEntry const*>& v);
    

src/lib/api/services/AdminService.proto

@@ -7,6 +7,31 @@ import "lib/api/apicore.proto";
 import "lib/domain_model/Security.proto";
 import "lib/api/services/OrderService.proto";
 
+/************************************************************************/
+/********************************DJ prop*********************************/
+/************************************************************************/
+
+message SecurityRiskLimitUnit{
+   uint32 security_key = 10;
+   bool enforce_net_pos_limits = 20;
+   uint32 net_long_position_limit = 30;
+   uint32 net_short_position_limit = 40;
+   bool enforce_clip_limits = 50;
+   uint32 clip_size = 60;
+   bool enforce_price_bands = 70;
+   double min_sell_price = 80;
+   double max_buy_price = 90;
+}
+
+message ProprietaryRiskLimits{
+   repeated SecurityRiskLimitUnit security_limits = 10;
+}
+
+message ProprietaryRiskLimitsAPIArgument{
+   uint32 account_id = 10;   
+   ProprietaryRiskLimits proprietary_risk_limits = 20;
+}
+
 /************************************************************************/
 /********************************Gen (temp)******************************/
 /************************************************************************/
@@ -152,6 +177,7 @@ message BTSAccount{
    // extra parameters for risk enforcement
    RiskLimitEnforcement risk_limit_enforcement=120;
    AccountLossLimit account_loss_limit = 130;
+   ProprietaryRiskLimits proprietary_risk_limits = 1000;
 }
 
 message RiskLimitEnforcement{
@@ -497,4 +523,6 @@ service AdminService {
    rpc md_entitlement_data(bts.api.VoidMessage) returns (stream MDEntitlementReportUnit);
    // misc
    rpc md_permissions_data(bts.api.VoidMessage) returns (stream UserSymbolMDPermissionUnit);
+   // prop sec limits
+   rpc update_proprietary_risk_limits (ProprietaryRiskLimitsAPIArgument) returns (AdminServiceOperationResult);
 }

src/lib/api/services/OrderService.proto

@@ -386,9 +386,7 @@ message NativeOrderState {
   RoutingRecord routing_record = 5;
   NativeOrderType native_type = 6;
   string last_transact_time = 7;
-  uint64 last_transact_time_unix_ns = 9;
   double stop_px = 8;
-  uint64 exchange_order_id_u64 = 10;
 }
 
 // Custom order states
@@ -457,8 +455,7 @@ enum TimeInForce {
   TIME_IN_FORCE_UNDEFINED = 0;
   TIME_IN_FORCE_DAY = 48;
   TIME_IN_FORCE_GTC = 49;
-  TIME_IN_FORCE_IOC = 51; // FAK
-  TIME_IN_FORCE_DATE = 52;
+  TIME_IN_FORCE_IOC = 51;
 }
 
 enum ManualOrderIndicator {

src/lib/config/defaults/MarketData.conf

@@ -6,6 +6,7 @@ MarketDataConfig {
    rule: "DeploymentType.type == 'PROD'"
    value {
       use_sim: false
+      use_onix: false
    }
 }
 
@@ -45,12 +46,6 @@ CMEOptions {
     }
 }
 
-ICEPublisherOptions {
-   value { 
-      network_interface: "eth1"
-   }
-}
-
 #to make this work in dev clone the operations repo
 #go here: c:\\code\\bts\\operations\\ice\\ICE_iMpactMulticastFeed_GettingStarted-1_1_36\\bin\\easyTunnel>
 #modify the easyTunnelProxy.properties file to replace 

src/lib/config/defaults/keycode.conf

@@ -1,10 +1,13 @@
-#nusers: 1
-#allow concurrent : true
-#expires: 2021-Jan-01 00:00:00   637450560000000000
-#generation_time: 2020-Apr-03 18:39:31.010863   5248901378137496534
+
+
+#nusers: 100000
+#allow concurrent : false
+#expires: 3020-May-18 00:00:00   952822656000000000
+#generation_time: 2020-Aug-11 14:19:03.379579   5249013541861183694
 EncryptedKeyCode {
    value {
-      keycode: "BJBQWsbdTXWa/iLmOf3ekE8vP/NYkf0Q/nUsp/rJ78Ze3W9pNXICCMabmmsr1xOM7aqRIclPgZd955uSSfvFkdNWFTxwPQ5IfnDGopj3QdhUVxhzgVLaXHN+vC0H/MWrDQ5K4WY5J/6VXgUn1LSN/2HNb5iR2sKXeh3Alamg87YtCWEi+scelffE7HK5ERT/3A3Y/e0pqUFhP6xouIjHRhC2FRBb6OoJQVvFwVDADSuKZNo9B6GhC3H0YdHqjFhGDoky5ecgzeKIX8uWJEQNnQXQJ0iTgQ95+YR5IMU+XWdlVfSrc0fuTmj3YWcBQ8Kl2ItEcobyZzJYega3tu6Ftw=="
+      keycode: "hrelQBN4n0kURYKYLwp2nzYTaxeyJZoGs//hN9rkyyVTgp1EQpyOnZHo7klNF8r9Ci8QV8aD0Yp66FvhtWqLFkNWCZ4pp48HzC34pdRzVbXjTmyEMK6iz/nBLE/VuYtBoXihlxIqOjTwnv4sNeAgboSOadVvGY3mRb3b9tMEIRTSbuq+KdPuTM2y/swL8fg53PNLclkqzU9f6mI/250RmnCvWzZf7Liu6TBWfQAI2RfGKP1+blewONFHqkeSA/fVkGfdiZy7cJOqak9VrxzLsJwqAK5DGMNv/kk4jceT3mF3xaSzoEzbge3ekk/SxXkuAKFrT6fxrr/v381SeHoHSw=="
    }
 }
 
+

src/lib/config/protos/UI.proto

@@ -58,6 +58,7 @@ message MultiThreadedWindows {
    optional bool algo_studio = 6 [default = true];
    optional bool ladder = 7 [default = true];
    optional bool synthetic_management = 8 [default = true];
+   optional bool risk_management = 10 [default = false];
 }
 
 message LadderKnobs {

src/lib/config/protos/jetfix.proto

@@ -9,9 +9,9 @@ message JetFIX {
     enum JetFIXPlatform {
 	   GLBX = 1;
 	   CBOE = 6;
-           SIM = 2;
-           ICE = 3;
-           SIMICE = 4;
+      SIM = 2;
+      ICE = 3;
+      SIMICE = 4;
     }
     optional JetFIXPlatform platform = 15                       [default = GLBX];
     
@@ -87,7 +87,6 @@ message JetFIX {
 
     optional uint32 max_connection_attempts = 346               [default=10];
     optional bool auto_fix_seq_num = 347                        [default=false];
-    optional bool use_ilink3       = 348                        [default=false] ;
    }
 
   repeated Connection connection = 10;
@@ -117,4 +116,4 @@ message CMECannedSecureLogon {
 "MC8                  AbEEtBn63WIAuItPDz1c           n3ndjYb03Hx6wBO3me35HoONyDgO5TZKWk0tDSaX9KA        2018-04-05           2019-04-05           CERT                 \n"
 "T39                  UWggBgHWAe07aqW3ps2I           tbb3it0rUQSSTa0TC9QcRwkrHEMDLWhaJH4VQ0FqGB4        2018-04-05           2019-04-05           NEWRELEASE           \n"
 					  ];
-}
+}

src/lib/domain_model/Security.h

@@ -219,24 +219,129 @@ inline bool test_price_equality(double price_1, double price_2) {
 // ice specialization /////////////////////////////////////////////////////////
 ///////////////////////////////////////////////////////////////////////////////
 
-inline bool is_ice_spread(const bts::api::ICEExchangeData& ice_data){
-   const auto& strip = ice_data.strip_name();
-   return strip.find("/") != std::string::npos;
+// TODO, move this to its own file
+
+static const uint32_t days_in_month[] = {31,28,31,30,31,30,31,31,30,31,30,31};
+
+inline Quantity from_exchange_qty (Quantity exchange_qty,
+                                   const bts::api::Security& sec){
+   return Quantity(exchange_qty.value()/sec.ice().exchange_qty_mult());
+}
+
+inline Quantity to_exchange_qty (Quantity internal_qty,
+                                   const bts::api::Security& sec){
+   return Quantity(internal_qty.value()*sec.ice().exchange_qty_mult());
+}
+
+inline bool is_spread(const bts::api::Security& sec){
+   return sec.has_ice() && sec.has_spread() && 
+          sec.ice().strip_name().find("/") != std::string::npos;
 }
 
 inline bool is_strip(const bts::api::Security& sec){
-   return sec.has_ice() && sec.has_spread() &&  !is_ice_spread(sec.ice());
+   auto rv = sec.has_ice() && sec.has_spread() && 
+             !is_spread(sec);
+   if(rv != sec.ice().is_strip())
+      LOG(OrderMan, Error, "Sec:{} is_strip incorrect, expected:{}",
+                           sec.id(),rv);
+   return rv;             
 }
 
 inline bool is_spread_of_strips(const bts::api::Security& sec){
-   if(sec.has_spread())
-      if (sec.has_ice()){
-         const auto& spr = sec.spread();
-         for (const auto& l : spr.legs())
-            // assumption : either all legs are strips or none
-            return is_strip(l.security());
+   bool all_legs_strip = false;
+   if(is_spread(sec)){
+      all_legs_strip = true;
+      for (const auto& l : sec.spread().legs())
+         all_legs_strip = all_legs_strip && is_strip(l.security());
+   }
+   return all_legs_strip;
+}
+
+inline bool is_strip_with_no_leg_fills(const bts::api::Security& sec){
+   return sec.has_ice() &&
+          sec.symbol() == "HHD" &&
+          is_strip(sec);
+}
+
+inline bool is_daily_contract(const api::Security& s){
+   return s.symbol() == "HHD";
+}
+
+inline bool is_tas(const api::Security& s){
+   return s.has_ice() && 
+          s.ice().market_description().find("TAS") != std::string::npos;
+}
+
+// risk qty is the qty used for risk purposes for 
+// 1 lot of this security.
+// daily futures and ice lots are considered 1,
+// other futures (HNG,HIS,HEN etc) are the days
+// in the month
+inline uint32_t get_fut_risk_qty(const api::Security& s){
+   bts_assert(s.has_future());
+   bts_assert(s.has_ice());
+   if(is_daily_contract(s))
+      return 1;
+   else if(s.ice().is_ice_lots())
+      return 1;
+   else{
+      auto mm = s.future().expiration_month();
+      if(mm <=11)
+         return days_in_month[mm];
+      else{
+         LOG(persist, Error, "Illegal month:{} for sec:{}",
+                              mm, s.id());
+         // TODO
+         // Jan is showing as 12 sometimes
+         return 31;
       }
-   return false;
+   }
+}
+
+inline uint32_t get_spread_direct_risk_qty(const api::Security& s){
+   bts_assert(s.has_spread());
+   bts_assert(s.has_ice());
+   if(s.ice().is_ice_lots())
+      return 1;
+   else
+      return 30;
+}
+
+inline uint32_t get_risk_qty (const api::Security& s){
+   if(s.has_future())
+      return get_fut_risk_qty(s);
+   else if (s.has_spread())
+      return get_spread_direct_risk_qty(s);
+   else{
+      bts_assert(false);
+      return 0.0;
+   }
+}
+
+inline void get_parent_child_relationships(
+                     const std::map<uint32_t, api::Security const*>& sec_map,
+                     std::map<uint32_t, api::Security const*>& out_res){
+   auto find_master_future = 
+      [&](const api::Security& child_f) -> api::Security const* {
+         for (const auto& kp : sec_map){
+            const auto& f = *kp.second;
+            if(f.has_ice() && 
+               f.has_future() &&
+               !f.ice().is_ice_lots() &&
+               !is_tas(f) &&
+               f.symbol() == child_f.symbol() &&
+               f.future().expiration_year() == child_f.future().expiration_year() &&
+               f.future().expiration_month() == child_f.future().expiration_month() &&
+               f.future().expiration_day() == child_f.future().expiration_day())
+               return &f;
+         }
+         return nullptr;
+      };
+   for (const auto& kp : sec_map){
+      const auto& f = *kp.second;
+      if(f.has_ice() && f.has_future() && f.ice().is_ice_lots())
+         out_res[kp.first] = find_master_future(f);
+   }
 }
 
 } // namespace securities

src/lib/domain_model/Security.proto

@@ -116,6 +116,9 @@ message ICEExchangeData {
    string strip_name = 140;
    string mic_code = 150;
    bool is_strip = 160;
+   bool is_ice_lots = 170;
+   // for example 2500 for HNG, this is the qty the exchange needs to see
+   uint32 exchange_qty_mult = 180;   
 }
 
 message FutureContract {

src/lib/jetfix/codec/FIXEncodingStream.h

@@ -52,7 +52,7 @@ class FIXEncodingStream {
       auto msg_offset = _buffer.size();
 
       _current_msg = FIXFragment(_buffer);
-      _begin_string_bm = _current_msg.add<fix::BeginString>(std::string_view {"FIX.4.2"});
+      _begin_string_bm = _current_msg.add<fix::BeginString>("FIX.4.2");
       _body_length_bm = _current_msg.add<fix::BodyLength>(0, 6);
 
       char mt_encoding[4];

src/lib/jetfix/codec/FieldDefinitions.h

@@ -85,7 +85,6 @@ typedef StringField<307> UnderlyingSecurityDesc;
 typedef StringField<336> TradingSessionID;
 typedef StringField<35> MsgType;
 typedef StringField<37> OrderID;
-typedef BigIntField<37> OrderIDu64;
 typedef StringField<41> OrigClOrdID;
 typedef StringField<440> ClearingAccount;
 typedef StringField<48> SecurityID;

src/lib/jetfix/codec/Fields.h

@@ -2,8 +2,6 @@
 
 #include <memory>
 #include <boost/date_time/posix_time/posix_time.hpp>
-#include <string_view>
-
 #include "lib/jetfix/codec/ReaderCursor.h"
 #include "lib/utils/meta_programming.h"
 #include "lib/utils/datetime.h"
@@ -205,13 +203,6 @@ public:
    static std::pair<uint32_t,uint32_t> write (char*buffer,std::string const &str)
    {return write (buffer,str.data (),str.size ());}
 
-
-#if __cplusplus >= 201703L
-   static uint32_t max_value_size (std::string_view const&str) {return str.size ();}
-   static std::pair<uint32_t,uint32_t> write (char*buffer,std::string_view const &str)
-   {return write (buffer,str.data (),str.size ());}
-#endif
-
    static std::pair<uint32_t,uint32_t> write (char*buffer,const char*str,uint32_t sz)
    {
       memcpy (buffer,str,sz);