Merge branch 'master' of bitbucket.org:bluetradesys/spark into vwap

# Conflicts:
#	src/client/spark_historical/Notebooks/roll_cover.ipynb

.gitignore

@@ -34,7 +34,7 @@ trace_data/
 /doc/user/public/*
 .ionide/*
 /.ignore
-*.rej
+CMakeDeps.cmake
 /build
-.clangd/
-*CMakeDeps.cmake
+.fake
+.ionide

.vscode/launch.json

@@ -1,41 +1,13 @@
 {
     "version": "0.2.0",
     "configurations": [
-        {
-            "name": "Spark Local",
-            "type": "cppdbg",
-            "request": "launch",
-            "program": "${workspaceRoot}/build/ninja_debug/server/sparkd",
-            "args": [
-                "run",
-                "test",
-                "-a",
-                "OutrightVanillaOrder"
-            ],
-            "stopAtEntry": false,
-            "cwd": "${workspaceRoot}/build/ninja_debug/server/",
-            "environment": [
-                { "name": "TZ", "value": "America/Chicago" }
-            ],
-            "externalConsole": false,
-            "MIMode": "gdb",
-            "setupCommands": [
-                {
-                    "description": "Enable pretty-printing for gdb",
-                    "text": "-enable-pretty-printing",
-                    "ignoreFailures": true
-                }
-            ]
-        },
         {
             "name": "SparkVM Launch",
             "type": "cppdbg",
             "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/",
@@ -72,9 +44,10 @@
                 "debuggerPath": "/usr/bin/gdb"
             },
             "sourceFileMap": {
-                "/home/bts/spark/": "${workspaceRoot}"
+                "/home/bts/spark/": "${workspaceRoot}",
+                "/home/bts/spark_host/": "${workspaceRoot}",
             }
-        },
+        },     
         {
             "name": "(gdb) Launch",
             "type": "cppdbg",
@@ -126,19 +99,87 @@
             "externalConsole": true,
             "requireExactSource": false
         },
+            {
+         "name": "sparkcmd Launch",
+         "type": "clr",
+         "request": "launch",
+         "program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
+         "args": [
+            "vol", 
+            "--server",
+             //"--rstart", "11/22/2019",
+             //"--rend", "11/25/2019",
+             //"--rsymbol", "ES",
+             //"--rsecuritytype", "Synthetic",
+             //"--post_process_file_type", "Trade",
+             //"--upload_to_aws", 
+         ],
+         "cwd": "${workspaceRoot}",
+         "stopAtEntry": false,
+         "externalConsole": true,
+         "requireExactSource": false
+      },  
+      {
+         "name": "sparkcmd simulation",
+         "type": "clr",
+         "request": "launch",
+         "program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
+         "args": [
+            "historical",
+            "--rstart", "11/26/2019",
+            "--rend", "11/26/2019",
+            "--rsymbol", "ZN",
+            "--rsecuritytype", "Synthetic",
+            "--algo_security", "ZNH0;ZNZ9-ZNH0;ZNZ9",
+            "--algo_type", "RoundTrip",
+            "--algo_params", "size=10;tick_size=0.015625,0.0078125,0.015625;hedge_factors=1,1,-1",
+            "--skip_preanalysis", "true",         
+         ],
+         "cwd": "${workspaceRoot}",
+         "stopAtEntry": false,
+         "externalConsole": true,
+         "requireExactSource": false
+      },       
         {
             "name": "Excel Launch",
             "type": "clr",
             "request": "launch",
-            "program": "C:/Program Files/Microsoft Office/Office14/EXCEL.EXE",
+            "program": "C:/Program Files/Microsoft Office/Office16/EXCEL.EXE",
             "args": [
                 "${workspaceRoot}/build/Debug/bin/net471/spark_excel-addin64-packed.xll"
             ],
-            "cwd": "${workspaceRoot}",
+            "cwd": "${workspaceRoot}/build/Debug/bin/net471/",
             "stopAtEntry": false,
             "externalConsole": true,
             "requireExactSource": false
         },
+      {
+         "name": "Win C++ Launch",
+         "type": "cppvsdbg",
+         "request": "launch",
+         "program": "C:/Program Files/Microsoft Office/Office16/EXCEL.EXE",
+         "args": [
+            "${workspaceRoot}/build/Debug/bin/net471/spark_excel-addin64-packed.xll"
+         ],
+         "cwd": "${workspaceRoot}/build/Debug/bin/net471/",
+         "stopAtEntry": false,
+         "environment": [],
+         "externalConsole": false
+      },        
+        {
+           "name": "Fix Launch",
+           "type": "clr",
+           "request": "launch",
+           "program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
+           "args": [
+              "fix",
+              "-order_session",
+           ],
+           "cwd": "${workspaceRoot}/build/Debug/bin/net471/",
+           "stopAtEntry": false,
+           "externalConsole": true,
+           "requireExactSource": false
+        },        
         {
             "name": "Client Tests",
             "type": "clr",
@@ -154,11 +195,18 @@
             "requireExactSource": false
         },
         {
-            "name": "Client Attach",
+            "name": ".NET Framework Attach",
             "type": "clr",
             "request": "attach",
             "processId": "${command:pickProcess}"
         },
+         {
+            "name": ".NET Core Attach",
+            "type": "coreclr",
+            "request": "attach",
+            "processId": "${command:pickProcess}",
+            "requireExactSource": false
+         },        
         {
             "name": "Spreader Tests",
             "type": "cppdbg",
@@ -365,20 +413,24 @@
                 "quoteArgs": true
             },
             "sourceFileMap": {
-                "/home/bts/spark/": "${workspaceRoot}"
+                "/home/bts/spark_host/": "${workspaceRoot}"
             },
             "justMyCode": true
         },
         {
-            "name": ".NET Core Remote Launch",
+            "name": "sparkcmd vsdbg (c#)",
             "type": "coreclr",
             "request": "launch",
-            "program": "/usr/bin/dotnet",
+            "program": "sparkcmd",
             "args": [
-                "sparkcmd.dll",
-                "test",
-                "test_join_create_and_takeout_market"
+            "historical",
+            "--rstart", "11/20/2019",
+            "--rend", "11/20/2019",
+            "--rsymbol", "CL",
+            "--rsecuritytype", "Spread",
+            "--post_process_db", "mbo_history",
             ],
+            "env": {"LD_LIBRARY_PATH" : "."},
             "stopAtEntry": false,
             "cwd": "/home/bts/spark/build/ninja_debug/server",
             "pipeTransport": {
@@ -389,11 +441,77 @@
                 "debuggerPath": "/home/bts/vsdbg/vsdbg",
                 "pipeCwd": "${workspaceRoot}",
                 "quoteArgs": true
-            },
+            },           
             "sourceFileMap": {
                 "/home/bts/spark/": "${workspaceRoot}"
             },
             "justMyCode": false
-        },
+        },                  
+         {
+            "name": "sparkcmd gdb (c++)",
+            "type": "cppdbg",
+            "request": "launch",
+            "program": "/home/bts/spark/build/ninja_debug/server/sparkcmd",
+            "args": [
+            "historical",
+            "--rstart", "10/21/2019",
+            "--rend", "10/21/2019",
+            "--rsymbol", "CL",
+            "--rsecuritytype", "Future",
+            "--algo_security", "CLX9",
+            "--algo_type", "TWAP",
+            "--algo_params", "'size=100;profit_ticks=1;tick_size=1,1,1;;hedge_factors=1,1,-1'",
+            "--skip_preanalysis", "true",
+            ],   
+            "stopAtEntry": false,
+            "cwd": "/home/bts/spark/build/ninja_debug/server/",
+            "environment": [],
+            "externalConsole": true,
+            "MIMode": "gdb",
+            "preLaunchTask": "",
+            "logging": {
+               "engineLogging": false
+            },
+            "setupCommands": [
+               {
+                  "description": "Enable pretty-printing for gdb",
+                  "text": "enable pretty-printer",
+                  "ignoreFailures": true
+               },
+               {
+                  "description": "Skip STL",
+                  "text": "skip -gfi /usr/include/c++/7/bits/*.h",
+                  "ignoreFailures": true
+               },
+               {
+                  "description": "LD LIBRARY",
+                  "text": "set env LD_LIBRARY_PATH=.",
+                  "ignoreFailures": false
+               }
+            ],
+            "pipeTransport": {
+               "pipeCwd": "${workspaceRoot}",
+               "pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
+               "pipeArgs": [
+                  "bts@sparkvm"
+               ],
+               "debuggerPath": "/usr/bin/gdb"
+            },
+            "sourceFileMap": {
+               "/home/bts/spark/": "${workspaceRoot}"
+            }
+         },
+         {
+            "name": "Jupyter notebook",
+            "type": "coreclr",
+            "request": "launch",
+            "program": "jupyter",
+            "args": ["notebook", "--notebook-dir=c:\\code\\bts\\spark\\src\\client\\spark_historical\\Notebooks"],
+            "cwd": "${workspaceFolder}",
+            "stopAtEntry": false,
+            "console": "internalConsole",
+            
+         },
+         
     ]
 }

CMakeLists.txt

@@ -41,7 +41,6 @@ else ()
                                -Wno-missing-braces -Wno-ignored-qualifiers \
                                --std=c++17 -fdiagnostics-color")
   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)
@@ -49,6 +48,7 @@ else ()
   add_subdirectory(doc/user)
   add_subdirectory(src/sdk)
   add_subdirectory(src/data_files)
+  add_subdirectory(src/client)
 
   add_custom_command(OUTPUT ${CMAKE_BINARY_DIR}/server
     COMMAND mkdir -p ${CMAKE_BINARY_DIR}/server
@@ -56,11 +56,21 @@ else ()
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/web ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/data_files ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/lib/libspark.so ${CMAKE_BINARY_DIR}/server
-    COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.16.0.0 ${CMAKE_BINARY_DIR}/server
+    COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.13.0.0 ${CMAKE_BINARY_DIR}/server
     COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libACE-5.7.5.so ${CMAKE_BINARY_DIR}/server
     COMMAND mkdir ARGS -p ${CMAKE_BINARY_DIR}/server/plugins
     COMMENT "Creating server runtime layout"
+    DEPENDS sparkd data_files_dir spark_client_dir
     DEPENDS sparkd data_files_dir)  
 
   add_custom_target(server_layout ALL DEPENDS ${CMAKE_BINARY_DIR}/server)
+  
+if(${CMAKE_BUILD_TYPE} STREQUAL "Debug")
+   add_custom_command(TARGET server_layout POST_BUILD
+      COMMAND ln -fs ${CMAKE_BINARY_DIR}/../${CMAKE_BUILD_TYPE}/bin/netcoreapp3.1/linux-x64/sparkcmd ${CMAKE_BINARY_DIR}/server/ ) 
+else()
+   add_custom_command(TARGET server_layout POST_BUILD
+      COMMAND ln -fs ${CMAKE_BINARY_DIR}/../${CMAKE_BUILD_TYPE}/bin/netcoreapp3.1/linux-x64/publish/sparkcmd ${CMAKE_BINARY_DIR}/server/ ) 
+endif()
+      
 endif()

debug.log

@@ -0,0 +1 @@
+[0108/231015.447:ERROR:file_io.cc(89)] ReadExactly: expected 36, observed 0

doc/api/content/server/getting-started/download.md

@@ -68,21 +68,12 @@ To update your Spark SDK simply download an unzip a new [spark_sdk.zip](https://
 
 To preserve the old image so you can go back to it later run `docker tag spark_sdk spark_sdk:your_custom_tag` before loading the new SDK image.
 
-### Re-build the Dev Container
-
-If you are using Visual Studio Code you also need to rebuild the dev-container so it picks up the new image.
-
-#### Inside VSCode
-To re-build from inside Visual Studio Code.  Click the 'Remote Explorer' icon on the left hand side. 
-You should see your spark_sdk project listed under the Containers section.  Right click on it and select **rebuild-container**.
-
-#### Command Line
-To re-build from the command line run `docker ps -a` and find the row with the spark_sdk image. 
+<!--
+Then stop, remove and restart spark_sdk.
 ```
-CONTAINER ID        IMAGE                          COMMAND                  CREATED              STATUS                      PORTS                                NAMES
-54d96cfa3888        spark_sdk                      "/bin/sh -c 'echo Co…"   About a minute ago   Up About a minute           127.0.0.1:9000-9001->9000-9001/tcp   quizzical_lichterman
-```
-Then run `docker rm 54d96cfa3888` (use your container id instead of 54d96cfa3888)  or `docker rm quizzical_lichterman` (use your container name).
-
+c:\bts> docker stop spark_sdk
+c:\bts> docker rm spark_sdk
+c:\bts> docker run -d -v %cd%:/sdk --name spark_sdk bluetradingsytems/spark_sdk
 
+``` -->
 

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/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)

doc/user/content/release_notes/_index.md

@@ -1,29 +1,9 @@
-+++
++++
 title = "Release notes"
 weight = 3
 sort_by = "weight"
 insert_anchor_links = "right"
 +++
-## 2.16.2
-### User Visible Change
-  - Synthetic creation dialog has a "fractional" checkbox next to the tick settings.  Users may uncheck this box to enter integer tick sizes, so the synthetic security's prices will be displayed without decimals, or fractional units.
-## 2.16.1
-### Bug Fixes
-  - OrderBook's algo state parameters (in the panel on the right side) are sorted alphabetically
-## 2.16.0
-### Bug Fixes
-  - Solved an issue that could result in incorrect ladder levels
-  - Solved an issue that could lead to incorrect routing of orders in the event of certain MSGW changes
-### API Changes
-  - Add C# client side API samples for order entry, position monitoring and market data observation
-
-## 2.15.10
-### Bug Fixes
-  - Solved an issue that could cause the user interface to fail when playing some alert sounds
-### API Changes
-  - Added settlement and position information to the API
-  - Added the ability for user algos to report custom state to the user interface
-  - Added the ability for algos to discover all active securities
 ## 2.15.3
 ### Bug Fixes
   - Fixed a bug where some CME currency spreads exhibited incorrect tick values
@@ -728,4 +708,3 @@ insert_anchor_links = "right"
 - Start, Day and Total PnL columns are painted with a red or green background color based on if the pnl value is negative or positive respectively
 - Corrected cash per point values, used in pnl calculations, for a number of products
 - PnL report will now remember any customizations you make to filtering and/or sorting criteria
-

global.json

@@ -1,6 +0,0 @@
-{
-  "sdk": {
-    "version": "2.1.508",
-    "rollForward": "latestMajor"
-  }
-}

spark_client.sln

@@ -23,6 +23,12 @@ Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_test", "src\client\sp
 EndProject
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_excel", "src\client\spark_excel\spark_excel.csproj", "{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}"
 EndProject
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_fix", "src\client\spark_fix\spark_fix.csproj", "{D8031C13-7BEA-430A-BB60-40927D15CFC3}"
+EndProject
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_historical", "src\client\spark_historical\spark_historical.csproj", "{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}"
+EndProject
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_analytics", "src\client\spark_analytics\spark_analytics.csproj", "{22DBF34A-961F-4620-91B8-21B0C257A8C6}"
+EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
 		Debug|Any CPU = Debug|Any CPU
@@ -219,6 +225,74 @@ Global
 		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x64.Build.0 = Release|x64
 		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x86.ActiveCfg = Release|x64
 		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x86.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Debug|Any CPU.ActiveCfg = Debug|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Debug|x64.ActiveCfg = Debug|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Debug|x64.Build.0 = Debug|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Debug|x86.ActiveCfg = Debug|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|Any CPU.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|Any CPU.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|x64.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|x64.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|x86.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|x86.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Release|Any CPU.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Release|x64.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Release|x64.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Release|x86.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|Any CPU.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|Any CPU.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|x64.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|x64.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|x86.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|x86.Build.0 = Release|x64
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Debug|x64.Build.0 = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Debug|x86.ActiveCfg = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Debug|x86.Build.0 = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.MinSizeRel|Any CPU.ActiveCfg = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.MinSizeRel|Any CPU.Build.0 = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.MinSizeRel|x86.ActiveCfg = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.MinSizeRel|x86.Build.0 = Debug|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Release|Any CPU.Build.0 = Release|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Release|x64.ActiveCfg = Release|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Release|x64.Build.0 = Release|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Release|x86.ActiveCfg = Release|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.Release|x86.Build.0 = Release|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.RelWithDebInfo|Any CPU.ActiveCfg = Release|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.RelWithDebInfo|Any CPU.Build.0 = Release|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.RelWithDebInfo|x64.ActiveCfg = Release|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.RelWithDebInfo|x64.Build.0 = Release|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.RelWithDebInfo|x86.ActiveCfg = Release|Any CPU
+		{5F64A360-43F4-4AD8-8B04-3C3F4424BCBC}.RelWithDebInfo|x86.Build.0 = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Debug|x64.ActiveCfg = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Debug|x64.Build.0 = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Debug|x86.ActiveCfg = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Debug|x86.Build.0 = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.MinSizeRel|Any CPU.ActiveCfg = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.MinSizeRel|Any CPU.Build.0 = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.MinSizeRel|x64.Build.0 = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.MinSizeRel|x86.ActiveCfg = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.MinSizeRel|x86.Build.0 = Debug|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Release|Any CPU.Build.0 = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Release|x64.ActiveCfg = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Release|x64.Build.0 = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Release|x86.ActiveCfg = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.Release|x86.Build.0 = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.RelWithDebInfo|Any CPU.ActiveCfg = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.RelWithDebInfo|Any CPU.Build.0 = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.RelWithDebInfo|x64.ActiveCfg = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.RelWithDebInfo|x64.Build.0 = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.RelWithDebInfo|x86.ActiveCfg = Release|Any CPU
+		{22DBF34A-961F-4620-91B8-21B0C257A8C6}.RelWithDebInfo|x86.Build.0 = Release|Any CPU
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE
@@ -229,4 +303,7 @@ Global
 	GlobalSection(Performance) = preSolution
 		HasPerformanceSessions = true
 	EndGlobalSection
+	GlobalSection(Performance) = preSolution
+		HasPerformanceSessions = true
+	EndGlobalSection
 EndGlobal

src/client/CMakeLists.txt

@@ -0,0 +1,19 @@
+
+cmake_minimum_required(VERSION 3.5)
+project(spark_client)
+include(${CMAKE_SOURCE_DIR}/tools/safe_dep_glob.cmake)
+
+file(GLOB_RECURSE spark_client_sources RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} *.cs)
+file(GLOB_RECURSE spark_client_csproj RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} *.csproj)
+file(GLOB_RECURSE spark_ui_sources RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} spark/*.cs)
+file(GLOB_RECURSE spark_ui_csproj RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} spark/*.csproj)
+list(REMOVE_ITEM spark_ui_sources ${spark_client_sources} )
+list(REMOVE_ITEM spark_ui_csproj ${spark_client_csproj} )
+
+add_custom_command(OUTPUT ${CMAKE_BINARY_DIR}/../
+   COMMAND /bin/bash ${CMAKE_CURRENT_SOURCE_DIR}/build_spark_dotnetcore.sh
+   ARGS ${CMAKE_BUILD_TYPE} ${CMAKE_BINARY_DIR}
+   COMMENT "Building sparkcmd in netcore3"
+   DEPENDS libspark ${spark_client_sources} ${spark_client_csproj} ${CMAKE_CURRENT_SOURCE_DIR}/build_spark_dotnetcore.sh)
+
+   add_custom_target(spark_client_dir ALL DEPENDS ${CMAKE_BINARY_DIR}/../)   

src/client/Directory.Build.props

@@ -5,6 +5,7 @@
     <SparkRoot>$([System.IO.Path]::GetFullPath($(MSBuildThisFileDirectory)\..\..))</SparkRoot>
     <SourceRoot>$([System.IO.Path]::GetFullPath($(SparkRoot)\src))</SourceRoot>
     <Externals>$(SparkRoot)\externals\windows</Externals>
+    <Externals Condition=" '$(OS)' != 'Windows_NT' ">$(SparkRoot)/externals/linux</Externals>
     <DepotName>$([System.IO.Path]::GetFileName($([System.IO.Path]::GetFullPath($(SparkRoot)))))</DepotName>
     <ErrorReport>None</ErrorReport>
     <Prefer32Bit>False</Prefer32Bit>
@@ -19,24 +20,25 @@
     <OutputPath>$(BaseOutputPath)\bin</OutputPath>
     <BaseIntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</BaseIntermediateOutputPath>
     <IntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</IntermediateOutputPath>
+    <BaseIntermediateOutputPath Condition=" '$(OS)' != 'Windows_NT' ">$(BaseOutputPath)\linuxobj\$(MSBuildProjectName)</BaseIntermediateOutputPath>
+    <IntermediateOutputPath Condition=" '$(OS)' != 'Windows_NT' ">$(BaseOutputPath)\linuxobj\$(MSBuildProjectName)</IntermediateOutputPath>
     <GenDir>$(BaseOutputPath)\gen\$(MSBuildProjectName)</GenDir>
 </PropertyGroup>
 
-<PropertyGroup Condition="'$(VCTargetsPath)'==''">
-    <VCTargetsPath>C:\Program Files (x86)\Microsoft Visual Studio\2017\Professional\Common7\IDE\VC\VCTargets</VCTargetsPath>
-</PropertyGroup>
 
 <Import Project="$(ComputerSpecificConfig)" Condition="Exists($(ComputerSpecificConfig))" />
 
 <ItemGroup>
     <AvailableItemName Include="Proto2">
-        <Targets>CompileProto3</Targets>
+        <Targets Condition=" '$(OS)' == 'Windows_NT' " >CompileProto2</Targets>
+        <Targets Condition=" '$(OS)' != 'Windows_NT' " >CompileProto2Linux</Targets>
     </AvailableItemName>
     <AvailableItemName Include="Proto3">
-        <Targets>CompileProto3</Targets>
+        <Targets Condition=" '$(OS)' == 'Windows_NT' " >CompileProto3</Targets>
+        <Targets Condition=" '$(OS)' != 'Windows_NT' " >CompileProto3Linux</Targets>
     </AvailableItemName>
     <AvailableItemName Include="Proto3Excel">
-        <Targets>CompileProto3Excel</Targets>
+        <Targets Condition=" '$(OS)' == 'Windows_NT' ">CompileProto3Excel</Targets>
     </AvailableItemName>    
 </ItemGroup>
 
@@ -47,6 +49,14 @@
     <protogen>$(Externals)\bin\protogen.exe</protogen>
 </PropertyGroup>
 
+<PropertyGroup Label="ProtoBuf" Condition=" '$(OS)' != 'Windows_NT' ">
+    <ProtocPluginBase>$(SparkRoot)/src/lib/api/service_compiler</ProtocPluginBase>
+    <ProtoInclude>$(Externals)/include</ProtoInclude>
+    <protoc>$(Externals)/bin/protoc</protoc>
+    <protoc_rename>$(Externals)/bin/lowercase_files.sh</protoc_rename>
+    <protogen>$(Externals)/bin/protogen</protogen>
+</PropertyGroup>
+
 <ItemDefinitionGroup>
     <Proto2>
     </Proto2>

src/client/Directory.Build.targets

@@ -3,7 +3,7 @@
 
 
 <Target Name="CompileProto2" 
-    Condition="'@(Proto2)'!=''"
+    Condition="'@(Proto2)'!='' AND '$(OS)' == 'Windows_NT' "
     Inputs="$(MSBuildProjectFile);$(protogen);%(Proto2.FullPath)" 
     Outputs="$(GenDir)\proto2\%(Proto2.filename).cs"
     AfterTargets="PreBuildEvent">
@@ -28,7 +28,7 @@
     passes wipes out the additional compile includes that we add.
 -->
 <Target Name="CompileProto3" AfterTargets="GetAssemblyVersion"
-    Condition="'@(Proto3)'!=''"
+    Condition="'@(Proto3)'!=''  AND '$(OS)' == 'Windows_NT' "
     Inputs="$(protoc);
     %(Proto3.Identity);$(ProtocPluginBase)\plugin.py;
     $(ProtocPluginBase)\templates\c#\client.pb.cs;
@@ -58,7 +58,7 @@
 </Target>
 
 <Target Name="CompileProto3Excel" AfterTargets="GetAssemblyVersion"
-    Condition="'@(Proto3Excel)'!=''"
+    Condition="'@(Proto3Excel)'!='' AND '$(OS)' == 'Windows_NT' "
     Inputs="$(protoc);
     %(Proto3Excel.Identity);$(ProtocPluginBase)\plugin.py;
     $(ProtocPluginBase)\templates\excel\excel.pb.cs;"
@@ -82,12 +82,74 @@
     </ItemGroup>
 </Target>
 
+
+<Target Name="CompileProto2Linux" 
+    Condition="'@(Proto2)'!='' AND '$(OS)' != 'Windows_NT' "
+    Inputs="$(MSBuildProjectFile);$(protogen);%(Proto2.FullPath)" 
+    Outputs="$(GenDir)/proto2/%(Proto2.filename).cs"
+    AfterTargets="PreBuildEvent">
+    <PropertyGroup>
+        <SourceRelativeFile>$([System.String]::Copy('%(proto2.fullpath)').Replace($(SourceRoot), ''))</SourceRelativeFile>
+        <SourceRelativeDir>$([System.IO.Path]::GetDirectoryName($(SourceRelativeFile)))</SourceRelativeDir>
+        <WorkingDirectory>$(GenDir)/proto2</WorkingDirectory>
+    </PropertyGroup>
+    <MakeDir Directories="$(WorkingDirectory)" />
+    <Copy SourceFiles="%(Proto2.FullPath)" DestinationFolder="$(WorkingDirectory)" SkipUnchangedFiles="True" UseHardLinksIfPossible="True" />
+    <Error Text="protogen.exe does not exist. If you forgot to clone with externals try: git submodule update --init --recursive" Condition="!Exists($(protogen))" />
+    <Message Importance="High" Text="Doing Proto2 %(proto2.filename)" />
+    <Exec Command="PYTHONPATH=$(Externals)/python $(Protogen) %(Proto2.filename)%(proto2.extension) --csharp_out=. -I. -I$(SourceRoot) -I$(Externals)/include"
+          WorkingDirectory="$(WorkingDirectory)" />
+    <ItemGroup>
+        <Compile Include="$(WorkingDirectory)/%(Proto2.filename).cs" />
+    </ItemGroup>
+</Target>
+
+<Target Name="CompileProto3Linux" AfterTargets="GetAssemblyVersion"
+    Condition="'@(Proto3)'!='' AND '$(OS)' != 'Windows_NT' "
+    Inputs="$(protoc);
+    %(Proto3.Identity);$(ProtocPluginBase)/plugin.py;
+    $(ProtocPluginBase)/templates/c#/client.pb.cs;
+    $(ProtocPluginBase)/templates/c#/server.pb.cs;
+    $(ProtocPluginBase)/templates/c#/immutable.pb.cs;"
+    Outputs="%(Proto3.OutCS);%(Proto3.OutCSServer);%(Proto3.OutCSClient);%(Proto3.OutCSImmutable)">
+    <MakeDir Directories="%(Proto3.OutBase)" />
+    <MakeDir Directories="$(IntermediateOutputPath)/gen" />
+   
+    <Message Importance="High" Text="Generating service %(Proto3.FileName)" />
+    <Exec Command="
+       PYTHONPATH=$(Externals)/python $(protoc) \
+       %(Proto3.FullPath) \
+       --error_format=gcc \
+       --proto_path=$(protoinc):$(SourceRoot) \
+       --plugin=&apos;protoc-gen-service=$(ProtocPluginBase)/plugin.py&apos; \
+       --service_out=lang=c#,strip_out_path=1:%(Proto3.OutBase) \
+       --csharp_out=%(CompileOptions)%(Proto3.OutBase)"
+      WorkingDirectory="%(relativedir)" />    
+      
+    <!-- <Exec Command="$(protoc_rename) %(Proto3.OutBase)"  />    -->
+            
+    <ItemGroup>
+       <Compile Include="%(Proto3.OutCS)" />
+       <Compile Include="%(Proto3.OutCSClient)" />
+       <Compile Include="%(Proto3.OutCSServer)" />
+       <Compile Include="%(Proto3.OutCSImmutable)" />
+    </ItemGroup>
+</Target>
+
+<!-- <Target Name="RenameProto3Linux" AfterTargets="CompileProto3Linux"
+   Condition="'@(Proto3)'!='' AND '$(OS)' != 'Windows_NT' ">
+   <Move SourceFiles="$(OutBase)\Apicore.cs" DestinationFiles="$(OutBase)\apicore.cs" />  
+   <Move SourceFiles="$(OutBase)\Apioptions.cs" DestinationFiles="$(OutBase)\apioptions.cs" />  
+   <Move SourceFiles="$(OutBase)\Co2.cs" DestinationFiles="$(OutBase)\co2.cs" />  
+</Target> -->
+
+
 <Target Name="AfterClean" AfterTargets="Clean">
     <Delete Files="%(Proto3.OutCS)" />
     <Delete Files="%(Proto3.OutCSClient)" />
     <Delete Files="%(Proto3.OutCSServer)" />
     <Delete Files="%(Proto3.OutCSImmutable)" />
-    <Delete Files="$(GenDir)\proto2\*" />
+    <Delete Files="$(GenDir)/proto2/*" />
     <Delete Files="%(Proto3Excel.OutCSExcel)" />
 </Target>
 

src/client/build_spark_dotnetcore.sh

@@ -0,0 +1,14 @@
+#!/bin/bash
+
+#$1 = Debug / Release (CMAKE_BUILD_TYPE), $2 = CMAKE_BINARY_DIR
+cd "$(dirname "$0")"
+echo $PWD dotnet build -c $1 ./sparkcmd/
+dotnet build -c $1 -o $2/../$1/bin/netcoreapp3.1/linux-x64 ./sparkcmd/ 
+
+if [ "$1" == "Release" ]
+then
+   dotnet publish -c $1 -o $2/../$1/bin/netcoreapp3.1/linux-x64 ./sparkcmd/ 
+   ln -fs $2/src/lib/libspark.so $2/../$1/bin/netcoreapp3.1/linux-x64/publish
+fi
+
+ln -fs $2/src/lib/libspark.so $2/../$1/bin/netcoreapp3.1/linux-x64

src/client/spark/AlgoProvider/AlgoProviderFactory.cs

@@ -1,193 +0,0 @@
-using bts;
-using bts.api;
-using bts.api.core;
-using mbts.ui.utility;
-using mbts.utils;
-using System;
-using System.Collections.Generic;
-using System.Collections.Immutable;
-using System.ComponentModel.Composition;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Text.RegularExpressions;
-using AlgoType = bts.api.orderman.CustomOrderDefinition.CustomOneofCase;
-
-namespace mbts.spark {
-   class AlgoProviderFactory {
-      [ImportingConstructor]
-      AlgoProviderFactory(IAlgoStudioModel studio_model, DynamicOrderHelper dynamic_helper, ISecurityAuxiliaryDataModel security_auxiliary_model) {
-         var from_conf = config.Configuration.get<bts.config.AlgoTypeRuleSet>();
-         if (from_conf.rules.Count == 0) {
-            // There seems to be a config race bug, where the returned config values are empty, despite having entries in spark.conf.
-            // [John]I've only noticed it happen when attached to the debugger,
-            // but best to have a contingency plan in place anyways, to prevent any chance of regression.
-            // The fallback sets below mimic the old hardcoded algo type arrays.
-            var full_algo_set = new AlgoTypeSetImmutable(
-               ImmutableHashSet.CreateRange(EnumHelper.get_values_except(
-                  // non-factory algos
-                  AlgoType.None,
-                  AlgoType.Dynamic,
-                  AlgoType.Composite,
-                  // obsolete algos
-                  AlgoType.Oco,
-                  AlgoType.TimeBox,
-                  AlgoType.Pricer,
-                  AlgoType.Tick,
-                  AlgoType.Trigger,
-                  AlgoType.QueueHolder)),
-               ImmutableHashSet.CreateRange(dynamic_helper.dynamic_types));
-            var rules = new[] {
-               // Glbx: Futures/Spreads
-               new SecurityAlgoTypeSetImmutable(
-                  new SecurityCriteriaClause(
-                     exchanges: new[] { Venue.Glbx },
-                     security_types: new[] { SecurityType.Future, SecurityType.Spread }),
-                  new AlgoTypeSetImmutable(
-                     full_algo_set.factory_types.Except(new[] { AlgoType.Spreader }),
-                     full_algo_set.dynamic_types)),
-               // Gen: Futures/Spreads
-               new SecurityAlgoTypeSetImmutable(
-                  new SecurityCriteriaClause(
-                     exchanges: EnumHelper.get_values_except(Venue.Glbx, Venue.Unset).ToArray(),
-                     security_types: new[] { SecurityType.Future, SecurityType.Spread }),
-                  new AlgoTypeSetImmutable(
-                     full_algo_set.factory_types.Except(new[] { AlgoType.Spreader, AlgoType.GlbxIceberg }),
-                     full_algo_set.dynamic_types)),
-               // Gen: Synthetics
-               new SecurityAlgoTypeSetImmutable(
-                  new SecurityCriteriaClause(
-                     security_types: new[] { SecurityType.Synthetic }),
-                  new AlgoTypeSetImmutable(
-                     ImmutableHashSet.CreateRange(new[] {
-                        AlgoType.Spreader,
-                        AlgoType.Iceberg,
-                        AlgoType.Lean,
-                        AlgoType.Join,
-                        AlgoType.Cover,
-                        AlgoType.Offset,
-                        AlgoType.Top,
-                        AlgoType.Splitter,
-                        AlgoType.Scratch,
-                        AlgoType.Prorata
-                     }),
-                  full_algo_set.dynamic_types))
-             };
-            // attachable
-            var attachable_algos =
-               ImmutableHashSet.CreateRange(new[] {
-                  AlgoType.Iceberg,
-                  AlgoType.Lean,
-                  AlgoType.Join,
-                  AlgoType.Cover,
-                  AlgoType.Top,
-                  AlgoType.Offset,
-                  AlgoType.Scratch,
-                  AlgoType.Prorata
-               });
-            var attachable_rules = Array.ConvertAll(rules,
-               satsi => new SecurityAlgoTypeSetImmutable(
-                  satsi.security_criteria,
-                  new AlgoTypeSetImmutable(
-                     satsi.algo_type_set.factory_types.Intersect(attachable_algos),
-                     satsi.algo_type_set.dynamic_types)));
-
-            Log.Config.warn($"Failed to load AlgoTypes config, falling back to the following algo set rules:" +
-               "\n\tStandard\n" +
-               rules.fmt_diagnostic("\n\t\t") +
-               "\n\n\tAttachable\n" +
-               attachable_rules.fmt_diagnostic("\n\t\t"));
-
-            security_algo_provider = new AlgoProvider(rules, studio_model, dynamic_helper, security_auxiliary_model);
-            attachable_algo_provider = new AttachableAlgoProvider(attachable_rules, studio_model, dynamic_helper, security_auxiliary_model);
-         } else {
-            var algo_type_data =
-               EnumHelper.get_values_except(AlgoType.Dynamic, AlgoType.Composite, AlgoType.None)
-              .Select(t => _get_type_data(t))
-              .Concat(dynamic_helper.dynamic_types.Select(dt => _get_type_data(AlgoType.Dynamic, dt)))
-              .ToListLazy();
-            var conf_sets = from_conf.rules.Select(r => _to_security_algo_set(r, dynamic_helper, algo_type_data)).ToList();
-            security_algo_provider = new AlgoProvider(conf_sets.Select(tup => tup.standard).ToList(), studio_model, dynamic_helper, security_auxiliary_model);
-            attachable_algo_provider = new AttachableAlgoProvider(conf_sets.Select(tup => tup.attachable).ToList(), studio_model, dynamic_helper, security_auxiliary_model);
-         }
-      }
-
-      [Export]
-      public IAlgoProvider security_algo_provider { get; }
-      [Export]
-      public IAttachableAlgoProvider attachable_algo_provider { get; }
-
-      static (string name, AlgoType factory, string dynamic) _get_type_data(AlgoType type, string dynamic_type = null) {
-         string type_name = type.ToString();
-         return (type_name, type, dynamic_type ?? type_name);
-      }
-
-      static SecurityCriteriaClause _to_clause(bts.config.AlgoTypeContext context) =>
-         context == null ?
-            new SecurityCriteriaClause() :
-            new SecurityCriteriaClause(
-               exchanges: context.exchanges?.Select(EnumHelper.parse<Venue>)?.ToArray(),
-               security_types: context.security_types?.Select(EnumHelper.parse<Security.ContractOneofCase>)?.Select(t => t.security_type())?.ToArray(),
-               symbols: context.symbols?.ToArray());
-
-      static (SecurityAlgoTypeSetImmutable standard, SecurityAlgoTypeSetImmutable attachable) _to_security_algo_set(
-         bts.config.AlgoTypeRule rule,
-         DynamicOrderHelper dynamic_helper,
-         IEnumerable<(string name, AlgoType factory, string dynamic)> algo_type_data) {
-         //
-         var factory_types = ImmutableHashSet<AlgoType>.Empty.ToBuilder();
-         var dynamic_types = ImmutableHashSet<string>.Empty.ToBuilder();
-         var attachable_factory_types = ImmutableHashSet<AlgoType>.Empty.ToBuilder();
-         var attachable_dynamic_types = ImmutableHashSet<string>.Empty.ToBuilder();
-         foreach (var a in rule.algos) {
-            if (Enum.TryParse(a.name, out AlgoType sys_algo) && sys_algo != AlgoType.Composite && sys_algo != AlgoType.Dynamic) {
-               on_sys_match(sys_algo, a.is_attachable);
-            }
-            else if (dynamic_helper.try_parse(a.name, out var dyn_type)) {
-               on_dyn_match(dyn_type, a.is_attachable);
-            } else {
-               foreach (var (name, factory, dynamic) in algo_type_data) {
-                  if (Regex.Match(name, a.name).Success) {
-                     switch (factory) {
-                        case AlgoType.None:
-                        case AlgoType.Composite:
-                           // unexpected, but no need to crash
-                           continue;
-                        case AlgoType.Dynamic:
-                           on_dyn_match(dynamic, a.is_attachable);
-                           break;
-                        default:
-                           on_sys_match(factory, a.is_attachable);
-                           break;
-                     }
-                  }
-               }
-            }
-         }
-         return (
-            // standard
-            new SecurityAlgoTypeSetImmutable(
-               _to_clause(rule.context),
-               new AlgoTypeSetImmutable(
-                  factory_types.ToImmutable(),
-                  dynamic_types.ToImmutable())),
-            // attachable
-            new SecurityAlgoTypeSetImmutable(
-               _to_clause(rule.context),
-            new AlgoTypeSetImmutable(
-               attachable_factory_types.ToImmutable(),
-               attachable_dynamic_types.ToImmutable())));
-
-         // local methods
-         void on_sys_match(AlgoType sys_algo, bool is_attachable) {
-            factory_types.Add(sys_algo);
-            if (is_attachable)
-               attachable_factory_types.Add(sys_algo);
-         }
-         void on_dyn_match(string dyn_algo, bool is_attachable) {
-            dynamic_types.Add(dyn_algo);
-            if (is_attachable)
-               attachable_dynamic_types.Add(dyn_algo);
-         }
-      }
-   }
-}

src/client/spark/AlgoProvider/AlgoTypeSet.cs

@@ -1,132 +0,0 @@
-using bts.api.core;
-using bts.api.orderman;
-using mbts.spark.utilities;
-using mbts.utils;
-using System;
-using System.Collections.Generic;
-using System.Collections.Immutable;
-using System.Linq;
-using System.Reactive.Linq;
-using System.Text;
-using AlgoType = bts.api.orderman.CustomOrderDefinition.CustomOneofCase;
-
-namespace mbts.spark {
-   readonly struct AlgoTypeSetImmutable {
-      public static readonly AlgoTypeSetImmutable empty = new AlgoTypeSetImmutable(ImmutableHashSet<AlgoType>.Empty, ImmutableHashSet<string>.Empty);
-      public readonly ImmutableHashSet<AlgoType> factory_types;
-      public readonly ImmutableHashSet<string> dynamic_types;
-
-      public AlgoTypeSetImmutable(
-         ImmutableHashSet<AlgoType> factory_types,
-         ImmutableHashSet<string> dynamic_types) {
-         this.factory_types = factory_types;
-         this.dynamic_types = dynamic_types;
-      }
-   }
-
-   readonly struct SecurityAlgoTypeSetImmutable {
-      public readonly SecurityCriteriaClause security_criteria;
-      public readonly AlgoTypeSetImmutable algo_type_set;
-
-      public SecurityAlgoTypeSetImmutable(SecurityCriteriaClause security_criteria, AlgoTypeSetImmutable algo_type_set, CustomOrderDefinitionImmutable? default_algo = null) {
-         this.security_criteria = security_criteria;
-         this.algo_type_set = algo_type_set;
-      }
-   }
-
-   static class AlgoTypeSetExtensions {
-      public static string fmt_diagnostic(this IEnumerable<SecurityAlgoTypeSetImmutable> rules, string line_delim = "\n") {
-         var sb = new StringBuilder();
-         int rule_count = 1;
-         using (var en = rules.GetEnumerator()) {
-            if (en.MoveNext()) {
-               string line_delim_tab1 = line_delim + "\t";
-               string line_delim_tab2 = line_delim + "\t\t";
-               append_rule(en.Current);
-               while (en.MoveNext()) {
-                  sb.AppendLine();
-                  append_rule(en.Current);
-               }
-               //
-               void append_rule(SecurityAlgoTypeSetImmutable r) {
-                  sb.Append(line_delim + $"**RULE {rule_count++}**");
-                  sb.Append(line_delim_tab1);
-                  sb.Append("Security Criteria: ");
-                  sb.Append(r.security_criteria.is_defined ? string.Join("; ", r.security_criteria.fmt_diagnostic_msgs()) : "(Undefined)");
-                  sb.Append(line_delim_tab1);
-                  // Factory
-                  sb.Append("Factory Types:");
-                  sb.Append(line_delim_tab2);
-                  sb.Append(string.Join(line_delim_tab2, r.algo_type_set.factory_types));
-                  sb.Append(line_delim_tab1);
-                  // Dynamic
-                  sb.Append("Dynamic Types:");
-                  sb.Append(line_delim_tab2);
-                  sb.Append(string.Join(line_delim_tab2, r.algo_type_set.dynamic_types));
-               }
-            }
-         }
-         return sb.ToString();
-      }
-
-      public static AlgoTypeSetImmutable intersect_with(this AlgoTypeSetImmutable a, AlgoTypeSetImmutable b) =>
-         new AlgoTypeSetImmutable(a.factory_types.Intersect(b.factory_types), a.dynamic_types.Intersect(b.dynamic_types));
-
-      public static AlgoTypeSetImmutable union_with(this AlgoTypeSetImmutable a, AlgoTypeSetImmutable b) =>
-         new AlgoTypeSetImmutable(a.factory_types.Union(b.factory_types), a.dynamic_types.Union(b.dynamic_types));
-
-      public static IEnumerable<AlgoData> define_algos(
-         this AlgoTypeSetImmutable algo_set,
-         DynamicOrderHelper dynamic_helper,
-         Func<CustomOrderDefinitionImmutable, CustomOrderDefinitionImmutable> fit_to_type = null,
-         uint display_qty_divisor = 1) =>
-         //
-         algo_set.factory_types
-         .Select(algo_type => {
-            var def = OrderDataHelper.Defaults.CustomOrderDefinitionImmutable(algo_type);
-            if (fit_to_type != null)
-               def = fit_to_type(def);
-            // multiply quantity props by display qty divisor to get appropriate actual value 
-            if (display_qty_divisor > 1) {
-               switch (def.CustomCase) {
-                  case AlgoType.Iceberg:
-                     var mdef = def.CloneToMutable();
-                     mdef.Iceberg.ShowQuantity *= display_qty_divisor;
-                     def = new CustomOrderDefinitionImmutable(mdef);
-                     break;
-               }
-            }
-            return def;
-         })
-         .Concat(algo_set.dynamic_types.Select(dynamic_helper.create_custom_defi))
-         .Select(AlgoData.from_custom_def);
-
-      public static ImmutableDictionary<AlgoKey, AlgoData> match_algos(
-         this IEnumerable<SecurityAlgoTypeSetImmutable> security_algo_sets,
-         SecurityCriteriaClause clause,
-         DynamicOrderHelper dynamic_helper,
-         Func<CustomOrderDefinitionImmutable, CustomOrderDefinitionImmutable> fit_to_type = null,
-         uint display_qty_divisor = 1) {
-         //
-         ImmutableDictionary<AlgoKey, AlgoData> rv = null;
-         foreach (var set in security_algo_sets) {
-            if (!clause.is_subset_of(set.security_criteria)) {
-               continue;
-            } else if (rv == null) {
-               rv = ImmutableDictionary.CreateRange(
-                  set.algo_type_set.define_algos(dynamic_helper, fit_to_type, display_qty_divisor)
-                  .Select(a => new KeyValuePair<AlgoKey, AlgoData>(a.key, a)));
-            } else {
-               foreach (var kv in rv) {
-                  if (kv.Value.value.CustomCase == AlgoType.Dynamic) {
-                     if (!set.algo_type_set.dynamic_types.Contains(kv.Value.value.Dynamic.DynamicOrderType))
-                        rv = rv.Remove(kv.Key);
-                  } else if (!set.algo_type_set.factory_types.Contains(kv.Value.value.CustomCase))
-                     rv = rv.Remove(kv.Key);
-               }
-            }
-         }
-         return rv ?? ImmutableDictionary<AlgoKey, AlgoData>.Empty;
-      }
-   }
-}

src/client/spark/AlgoProvider/IAlgoProvider.cs

@@ -1,234 +0,0 @@
-using bts.api;
-using bts.api.core;
-using bts.api.orderman;
-using bts.utils;
-using mbts.spark.utilities;
-using mbts.ui.utility;
-using mbts.utils;
-using System;
-using System.Collections.Generic;
-using System.Collections.Immutable;
-using System.Linq;
-using System.Reactive.Linq;
-
-namespace mbts.spark {
-   interface IAlgoProvider {
-      AlgoTypeSetImmutable get_permitted_algos(SecurityImmutable security);
-      AlgoTypeSetImmutable get_permitted_algos(SecurityCriteriaClause clause);
-      IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos();
-      IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos(SecurityImmutable security);
-      IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos(SecurityCriteriaClause clause);
-   }
-
-   // This interface is used to distinguish the attachable algo provider
-   // from the standard one wrt MEF export/import.
-   interface IAttachableAlgoProvider : IAlgoProvider { }
-
-   class AlgoProvider : IAlgoProvider {
-      readonly IEnumerable<SecurityAlgoTypeSetImmutable> _security_algo_types;
-      readonly IAlgoStudioModel _studio_model;
-      readonly ISecurityAuxiliaryDataModel _security_auxiliary_model;
-      readonly IObservable<TableUpdate<AlgoData, AlgoKey>> _studio_algos_source;
-      readonly DynamicOrderHelper _dynamic_helper;
-      readonly AlgoTypeSetImmutable _full_set;
-
-      public AlgoProvider(IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets, IAlgoStudioModel studio_model, DynamicOrderHelper dynamic_helper, ISecurityAuxiliaryDataModel security_auxiliary_model) {
-         _security_algo_types = algo_sets;
-         _studio_model = studio_model;
-         _dynamic_helper = dynamic_helper;
-         _full_set = new AlgoTypeSetImmutable(
-            ImmutableHashSet.CreateRange(
-               EnumHelper.get_values_except(CustomOrderDefinition.CustomOneofCase.None, CustomOrderDefinition.CustomOneofCase.Dynamic, CustomOrderDefinition.CustomOneofCase.Composite)),
-            ImmutableHashSet.CreateRange(dynamic_helper.dynamic_types));
-         _security_auxiliary_model = security_auxiliary_model;
-         /// initialize <see cref="_studio_algos_source"/> with an empty table, so the
-         /// <see cref="UpdateExtensions.AppendTable{T, TKey}(IObservable{TableUpdate{T, TKey}}, IEnumerable{T})"/>
-         /// calls made by the 'subscribe_algos' methods will fire at least once, even if the underlying
-         /// studio algos stream is empty have been created (this would be the case if the user had not yet created any studio algos).
-         /// <see cref="subscribe_algos"/>,
-         /// <see cref="subscribe_algos(SecurityCriteriaClause)"/>,
-         /// <see cref="subscribe_algos(SecurityImmutable)"/>
-         _studio_algos_source = studio_model.definitions
-            .StartWith(TableUpdate<AlgoData, AlgoKey>.mk_empty(AlgoData.key_fn))
-            .Cache();
-      }
-
-      public AlgoTypeSetImmutable get_permitted_algos(SecurityImmutable security) =>
-         _security_algo_types.Where(p => p.security_criteria.includes(security))
-            .Select(sec_algos => sec_algos.algo_type_set)
-            .Aggregate(_full_set, (result, algos) => result.intersect_with(algos));
-
-      public AlgoTypeSetImmutable get_permitted_algos(SecurityCriteriaClause clause) =>
-         _security_algo_types.Where(p => p.security_criteria.is_subset_of(clause))
-            .Select(sec_algos => sec_algos.algo_type_set)
-            .Aggregate(_full_set, (result, algos) => result.intersect_with(algos));
-
-      public IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos() =>
-         _studio_algos_source
-         .AppendTable(_security_algo_types
-            .Select(s => s.algo_type_set)
-            .Aggregate(AlgoTypeSetImmutable.empty, (a, b) => a.union_with(b))
-            .define_algos(_dynamic_helper));
-
-      public IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos(SecurityCriteriaClause security_clause) {
-         var system_algos = _security_algo_types.match_algos(
-            security_clause,
-            _dynamic_helper,
-            def => _fit_to_type(def, security_clause, _security_algo_types));
-
-         return _studio_algos_source.Select(
-            a => (algo: a, fitted_def: _fit_to_type(a.value, security_clause, _security_algo_types)),
-            tup => tup.algo.key)
-         .Select(tup => AlgoData.create(tup.fitted_def, tup.algo.name, tup.algo.key), a => a.key)
-         .AppendTable(system_algos.Values);
-      }
-
-      public IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_algos(SecurityImmutable security) {
-         var clause = new SecurityCriteriaClause(
-            exchanges: new[] { security.Exchange },
-            security_types: new[] { security.security_type() });
-         // i.e., non-studio algos
-         var system_algos = _security_algo_types.match_algos(
-            clause,
-            _dynamic_helper,
-            def => _fit_to_type(def, security, _security_algo_types),
-            _security_auxiliary_model.get_display_quantity_divisor(security));
-
-         return _studio_algos_source.Select(
-            a => (algo: a, fitted_def: _fit_to_type(a.value, security, _security_algo_types)),
-            tup => tup.algo.key)
-         // filter out algos that use an unsupported root, because this would have the effect of duplicating the default algo
-         // (e.g., GlbxIceberg orders would be converted to Limit/Spreader orders for non-Glbx securities).
-         .Filter(tup => tup.fitted_def.actual().CustomCase == tup.algo.value.actual().CustomCase, tup => tup.algo.key)
-         .Select(tup => AlgoData.create(tup.fitted_def, tup.algo.name, tup.algo.key), AlgoData.key_fn)
-         .AppendTable(system_algos.Values);
-      }
-
-      protected virtual void assign_fallback_algo(CustomOrderDefinition mdef, SecurityCriteriaClause security_clause) {
-         if (security_clause.security_types.empty_if_null().Contains(Security.ContractOneofCase.Synthetic.security_type())) {
-            mdef.Spreader = new SpreaderOrderDefinition();
-         } else {
-            mdef.Limit = new LimitOrderDefinition();
-         }
-      }
-
-      protected virtual void assign_fallback_algo(CustomOrderDefinition mdef, SecurityImmutable security) {
-         if (security.ContractCase == Security.ContractOneofCase.Synthetic) {
-            mdef.Spreader = new SpreaderOrderDefinition {
-               Security = security.CloneToMutable()
-            };
-         } else {
-            mdef.Limit = new LimitOrderDefinition();
-         }
-      }
-
-      CustomOrderDefinitionImmutable _fit_to_type(CustomOrderDefinitionImmutable defi, SecurityCriteriaClause security_clause, IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets) {
-         var mroot = defi.CloneToMutable();
-         if (_fit_to_type(mroot, security_clause, algo_sets)) {
-            defi = new CustomOrderDefinitionImmutable(mroot);
-         }
-         return defi;
-      }
-
-      CustomOrderDefinitionImmutable _fit_to_type(CustomOrderDefinitionImmutable defi, SecurityImmutable security, IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets) {
-         var mroot = defi.CloneToMutable();
-         if (_fit_to_type(mroot, security, algo_sets)) {
-            defi = new CustomOrderDefinitionImmutable(mroot);
-         }
-         return defi;
-      }
-
-      bool _fit_to_type(CustomOrderDefinition mdef, SecurityCriteriaClause security_clause, IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets) {
-         while (mdef.CustomCase == CustomOrderDefinition.CustomOneofCase.Composite)
-            mdef = mdef.Composite.Definition;
-         var sec_sets = algo_sets.Where(s => security_clause.is_subset_of(s.security_criteria));
-         if (mdef.CustomCase == CustomOrderDefinition.CustomOneofCase.Dynamic) {
-            if (!algo_sets.All(s => s.algo_type_set.dynamic_types.Contains(mdef.Dynamic.DynamicOrderType))) {
-               assign_fallback_algo(mdef, security_clause);
-               return true;
-            }
-         } else if (!sec_sets.All(s => s.algo_type_set.factory_types.Contains(mdef.CustomCase))) {
-            assign_fallback_algo(mdef, security_clause);
-            return true;
-         }
-         return OrderDataHelper.get_child_algo_data(mdef).Count(cad => _fit_to_type(cad.get_child(mdef), security_clause, algo_sets)) > 0;
-      }
-
-      bool _fit_to_type(CustomOrderDefinition mdef, SecurityImmutable security, IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets) {
-         while (mdef.CustomCase == CustomOrderDefinition.CustomOneofCase.Composite)
-            mdef = mdef.Composite.Definition;
-         var sec_sets = algo_sets.Where(s => s.security_criteria.includes(security));
-         if (mdef.CustomCase == CustomOrderDefinition.CustomOneofCase.Dynamic) {
-            if (!sec_sets.All(s => s.algo_type_set.dynamic_types.Contains(mdef.Dynamic.DynamicOrderType))) {
-               assign_fallback_algo(mdef, security);
-               return true;
-            }
-         } else if (!sec_sets.All(s => s.algo_type_set.factory_types.Contains(mdef.CustomCase))) {
-            assign_fallback_algo(mdef, security);
-            return true;
-         }
-         return OrderDataHelper.get_child_algo_data(mdef).Count(cad => _fit_to_type(cad.get_child(mdef), security, algo_sets)) > 0;
-      }
-   }
-
-   class AttachableAlgoProvider : AlgoProvider, IAttachableAlgoProvider {
-      public AttachableAlgoProvider(IEnumerable<SecurityAlgoTypeSetImmutable> algo_sets, IAlgoStudioModel studio_model, DynamicOrderHelper dynamic_helper, ISecurityAuxiliaryDataModel security_auxiliary_model)
-         : base(algo_sets, studio_model, dynamic_helper, security_auxiliary_model) { }
-
-      // arbitrarily assign LimitOrderDefinition (this is just a placeholder; the real child is the attach target algo).
-      // Note: although 'None' might seem approrpriate, the server requires a valid definition (perhaps this will change in the future).
-      protected override void assign_fallback_algo(CustomOrderDefinition mdef, SecurityCriteriaClause security_clause) =>
-         mdef.Limit = new LimitOrderDefinition();
-
-      // arbitrarily assign LimitOrderDefinition (this is just a placeholder; the real child is the attach target algo).
-      // Note: although 'None' might seem approrpriate, the server requires a valid definition (perhaps this will change in the future).
-      protected override void assign_fallback_algo(CustomOrderDefinition mdef, SecurityImmutable security) =>
-         mdef.Limit = new LimitOrderDefinition();
-   }
-
-   static class AlgoProviderExtensions {
-      // This stream filters out composite algos that are not subsets of the non-composite algo types in the table
-      // (normally, such composites are 'auto-fit,' meaning the algo nodes that are not part of the set are replaced with ones that are).
-      // For example, consider a composite algo the following structure: Offset -> GlbxIceberg.
-      // If an update arrives with these noncomposite types: "Iceberg, Limit, Market," that composite algo is not a subset of the non-composite algo types,
-      // because GlbxIceberg is not in the table, so it would only be added to the table if/when GlbxIceberg arrives.
-      public static IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_complete_algos(this IAlgoProvider algo_provider, bool allow_undefined_child = false) =>
-         subscribe_complete_algos(algo_provider.subscribe_algos(), allow_undefined_child);
-
-      public static IObservable<TableUpdate<AlgoData, AlgoKey>> subscribe_complete_algos(IObservable<TableUpdate<AlgoData, AlgoKey>> source, bool allow_undefined_child = false) =>
-         Observable.Create<TableUpdate<AlgoData, AlgoKey>>(o => {
-            var last_out = TableUpdate<AlgoData, AlgoKey>.mk_empty(AlgoData.key_fn);
-            var incomplete_composites = ImmutableHashSet<AlgoData>.Empty;
-            return source.Subscribe(table => {
-               var bd = last_out.to_builder();
-               foreach (var algo in incomplete_composites.Where(a => _validate_algo_structure(a.value, table.state, allow_undefined_child))) {
-                  incomplete_composites = incomplete_composites.Remove(algo);
-                  bd.add_or_update(algo);
-               }
-               foreach (var a in table.removed.Concat(table.changes.Old()))
-                  bd.remove(a.key);
-               foreach (var a in table.added.Concat(table.changed)) {
-                  if (_validate_algo_structure(a.value, table.state, allow_undefined_child)) {
-                     bd.add_or_update(a);
-                  } else {
-                     incomplete_composites = incomplete_composites.Add(a);
-                  }
-               }
-               o.OnNext(last_out = bd.to_table());
-            });
-         });
-
-      static bool _validate_algo_structure(CustomOrderDefinitionImmutable custom_def, IReadOnlyDictionary<AlgoKey, AlgoData> allowed_algo_parts, bool allow_undefined_child) =>
-         OrderDataHelper.enumerate_algo_structure(custom_def)
-         .Select((algo_node, index) =>
-            // None is an acceptable algo type as long as it's not the root algo (i.e., index > 0)
-            (index > 0 && allow_undefined_child && algo_node.type == CustomOrderDefinition.CustomOneofCase.None) || _is_part_contained(algo_node, allowed_algo_parts))
-         .All();
-
-      static bool _is_part_contained((CustomOrderDefinition.CustomOneofCase type, string dyn, uint studio_id, uint spreader_sec) structure, IReadOnlyDictionary<AlgoKey, AlgoData> state) =>
-         structure.type == CustomOrderDefinition.CustomOneofCase.Composite ||
-         structure.type == CustomOrderDefinition.CustomOneofCase.Dynamic ?
-            state.ContainsKey(AlgoKey.from_dynamic_type(structure.dyn)) :
-            state.ContainsKey(AlgoKey.from_known_type(structure.type));
-   }
-}

src/client/spark/Images/Icons.cs

@@ -27,7 +27,6 @@ namespace mbts.ui {
          CheckMarkGeometryKey = nameof(CheckMarkGeometryKey),
          CopyWFGeometryKey = nameof(CopyWFGeometryKey),
          CopyBoxesGeometryKey = nameof(CopyBoxesGeometryKey),
-         CurrencyExchangeGeometryKey = nameof(CurrencyExchangeGeometryKey),
          DataEditGeometryKey = nameof(DataEditGeometryKey),
          DetachAlgosKey = nameof(DetachAlgosKey),
          DiskGeometryKey = nameof(DiskGeometryKey),
@@ -162,7 +161,6 @@ namespace mbts.ui {
       public static ImageSource Clock { get { return load_resource_and_freeze("Clock"); } }
       public static ImageSource CopyWF => create_icon(CopyWFGeometryKey);
       public static ImageSource CopyBoxes => create_icon(CopyBoxesGeometryKey, null, _copy_boxes_pen);
-      public static ImageSource CurrencyExchange => create_icon(CurrencyExchangeGeometryKey);
       public static ImageSource DataEdit => create_icon(DataEditGeometryKey);
       public static ImageSource Defrag { get { return load_resource_and_freeze("Defrag"); } }
       public static ImageSource DetachAlgos => create_icon_and_rotate(DetachAlgosKey, Brushes.Red);

src/client/spark/Images/Vector/Icons.xaml

@@ -62,10 +62,6 @@
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   </sys:String>
 
-  <sys:String x:Key="{x:Static mbts:Icons.CurrencyExchangeGeometryKey}">
-    M0,24L15.324005,24C16.042007,24.785004,16.875,25.460999,17.800003,26L2,26 2,30 23.087997,30 23.087006,27.424988C23.771011,27.423004,24.439011,27.352997,25.085999,27.225983L25.085999,30C25.085999,31.10199,24.189011,32,23.085999,32L2,32C0.89700317,32,0,31.10199,0,30z M22.484015,13.026998L23.475018,13.026998 23.475018,13.856997C24.151018,13.885996,24.605021,14.016996,24.93902,14.167996L24.646021,15.233995C24.38302,15.129995 23.919018,14.912995 23.191017,14.912995 22.535015,14.912995 22.323015,15.176995 22.323015,15.440995 22.323015,15.751994 22.676016,15.950994 23.535017,16.251994 24.73702,16.647994 25.222021,17.166993 25.222021,18.015992 25.222021,18.854991 24.58502,19.571991 23.424017,19.759991L23.424017,20.72199 22.434015,20.72199 22.434015,19.825991C21.757013,19.797991,21.101011,19.627991,20.71701,19.420991L21.019012,18.317992C21.444014,18.533992 22.040014,18.731992 22.697016,18.731992 23.272017,18.731992 23.666018,18.524992 23.666018,18.147992 23.666018,17.788992 23.343018,17.562993 22.596016,17.326993 21.515013,16.987993 20.777012,16.516994 20.777012,15.601995 20.777012,14.771996 21.404013,14.119996 22.484015,13.922997z M0.065009117,12.384011L13.628021,12.384011C13.320021,13.018011,13.075021,13.687011,12.89902,14.384011L2.065011,14.384011 2.065011,18.384011 12.68002,18.384011C12.77602,19.075011,12.93702,19.743011,13.16102,20.384011L0.065009117,20.384011z M23.060013,10.460008C19.480015,10.460008 16.568016,13.368006 16.568016,16.943003 16.568016,20.519001 19.480015,23.426999 23.060013,23.427 26.640011,23.426999 29.55201,20.519001 29.55201,16.943003 29.55201,13.368006 26.640011,10.460008 23.060013,10.460008z M23.060013,8.4600086C27.74201,8.4600086 31.552008,12.266006 31.552008,16.943003 31.552008,21.621 27.74201,25.426998 23.060013,25.426998 18.378014,25.426998 14.568016,21.621 14.568016,16.943003 14.568016,12.266006 18.378014,8.4600086 23.060013,8.4600086z M2.0000181,2L2.0000181,6 23.08602,6 23.08602,2z M2.0000181,0L23.08602,0C24.18902,0,25.08602,0.89699936,25.08602,2L25.08602,6.6599998C24.430019,6.5310001 23.753019,6.4599991 23.060019,6.4599991 21.06402,6.4599991 19.20402,7.0300007 17.614019,8L1.8119812E-05,8 1.8119812E-05,2C1.8066406E-05,0.89699936,0.89701813,0,2.0000181,0z
-  </sys:String>
-
   <sys:String x:Key="{x:Static mbts:Icons.DocumentAddGeometryKey}">
     M10.830011,12.05L13.334007,12.05 13.334007,16.535997 17.819998,16.535997 17.819998,19.03902 13.334007,19.03902 13.334007,23.525016 10.830988,23.525016 10.830988,19.03902 6.3460046,19.03902 6.3449975,16.53499 10.830988,16.535997z M2.2799975,2.4149805L2.2799975,29.580015 22.121998,29.580015 22.121998,8.500008 15.83599,8.500008 15.83599,2.4149805z M0,0L15.83599,0 17.125998,0 22.681996,5.439977 24.407,7.125007 24.407,32.000001 0,32.000001z
   </sys:String>
@@ -280,7 +276,6 @@
       m464.867188 0c-25.988282 0-47.132813 21.144531-47.132813 47.132812v313.75c0 49.324219 11.660156 98.710938 33.71875 142.824219 2.539063 5.082031 7.734375 8.292969 13.414063 8.292969 5.683593 0 10.875-3.210938 13.417968-8.292969 22.054688-44.113281 33.714844-93.503906 33.714844-142.824219v-313.75c0-25.988281-21.144531-47.132812-47.132812-47.132812zm0 30c9.445312 0 17.132812 7.6875 17.132812 17.132812v33.199219h-34.265625v-33.199219c0-9.445312 7.683594-17.132812 17.132813-17.132812zm17.132812 323.46875h-34.265625v-243.136719h34.265625zm-17.132812 105.4375c-8.71875-24.277344-14.1875-49.734375-16.222657-75.4375h32.445313c-2.035156 25.707031-7.507813 51.160156-16.222656 75.4375zm0 0
     </sys:String>
   </x:Array>
-
   <sys:String x:Key="{x:Static mbts:Icons.CheckMarkGeometryKey}">
     F1M9.97498,1.22334L4.6983,9.09834 4.52164,9.09834 0,5.19331 1.27664,3.52165 4.255,6.08833 8.33331,1.52588E-05 9.97498,1.22334z
   </sys:String>

src/client/spark/Modules/Market/MarketShellModule.cs

@@ -17,7 +17,7 @@ namespace bts.shell {
    class MarketShellModule : IShellModule {
       [ImportingConstructor]
       public MarketShellModule(IBus bus, MDConsumer consumer, UserSettingsHub settings_hub, OrdersModel orders_model) {
-         _tsf = new TimeAndSalesWindowFactory(this, bus, consumer, settings_hub, orders_model.security_auxiliary_model);
+         _tsf = new TimeAndSalesWindowFactory(this, bus, consumer, settings_hub);
          _mvf = new MarketViewWindowFactory(this, bus, settings_hub, orders_model);
       }
 

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

@@ -1,12 +1,10 @@
 using bts.api;
 using bts.api.orderman;
 using bts.collections;
-using bts.utils;
 using mbts.co2;
 using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.controls;
-using mbts.ui.shell;
 using mbts.ui.spark;
 using mbts.ui.utility;
 using mbts.utils;
@@ -26,6 +24,7 @@ namespace mbts.spark {
          readonly AnimationManager _animation = new AnimationManager();
          readonly ObservableCollection<OrderRecordImmutable> _orders = new ObservableCollection<OrderRecordImmutable>();
          readonly ObservableFilterCollection<OrderRecordImmutable> _working_orders, _working_bids, _working_asks;
+         readonly string _security_text, _security_key_text;
          readonly Property<double> _bid_price, _ask_price, _last_price, _day_change, _settlement, _session_high, _session_low;
          readonly Property<bool> _last_price_from_spread;
          readonly CellProperty<int> _position;
@@ -34,51 +33,48 @@ namespace mbts.spark {
          readonly CellProperty<bool> _inside_bids, _inside_asks;
          readonly CellProperty<int> _working_bid_volume, _working_ask_volume;
          readonly CellProperty<double> _working_best_bid, _working_best_ask;
+         readonly CellProperty<string> _working_bids_text, _working_asks_text;
          readonly MyOrderSummarizer _order_summarizer = new MyOrderSummarizer();
          readonly MDDisplayHelper.SizeFormatter _size_formatter = MDDisplayHelper.get_formatter(MarketSizeDisplay.get_default());
-         PropertyAutoWrapper<uint, uint>
-            _bid_direct_size,
-            _bid_implied_size,
-            _bid_merged_size,
-            _ask_direct_size,
-            _ask_implied_size,
-            _ask_merged_size;
+         Property<uint> _bid_direct_size, _bid_merged_size, _ask_direct_size, _ask_merged_size;
          double _raw_day_position;
+         string _bid_merged_size_text, _ask_merged_size_text;
          ulong _bbo_ref, _last_ref;
-         uint? _display_qty_divisor_backing;
 
          public Row(IBus bus, SecurityMD smd, OrdersModel orders_model) : base(smd) {
             _bus = bus;
             _orders_model = orders_model;
+            _security_text = smd.security.ToString();
+            _security_key_text = security_key.ToString();
             string format_price(double price) => security.ContractSpec.format(price);
-            _position = new CellProperty<int>(this, nameof(position), fmt_display_qty_int);
+            _position = new CellProperty<int>(this, nameof(position), 0);
             _bid_price = backing(nameof(bid_price), double.NaN);
             _ask_price = backing(nameof(ask_price), double.NaN);
             _last_price = backing(nameof(last_price), double.NaN);
-            _last_size = new CellProperty<uint>(this, nameof(last_size), fmt_display_qty_uint);
+            _last_size = new CellProperty<uint>(this, nameof(last_size), 0);
             _day_change = backing(nameof(day_change), double.NaN);
             _session_low = backing(nameof(session_low), double.NaN);
             _session_high = backing(nameof(session_high), double.NaN);
             _last_price_from_spread = backing(nameof(last_price_from_spread), false);
             _settlement = backing(nameof(settlement), double.NaN);
-            _volume = new CellProperty<ulong>(this, nameof(volume), fmt_display_qty_ulong, 0);
+            _volume = new CellProperty<ulong>(this, nameof(volume), 0);
             _inside_bids = new CellProperty<bool>(this, nameof(inside_bids));
             _inside_asks = new CellProperty<bool>(this, nameof(inside_asks));
             _working_bid_volume = new CellProperty<int>(this, nameof(working_bid_volume));
             _working_ask_volume = new CellProperty<int>(this, nameof(working_ask_volume));
             //
-            _bid_direct_size = backing(nameof(bid_direct_size), 0u, convert_display_qty_uint);
-            _bid_implied_size = backing(nameof(bid_implied_size), 0u, convert_display_qty_uint);
-            _bid_merged_size = backing(nameof(bid_merged_size), 0u, convert_display_qty_uint);
-            _ask_direct_size = backing(nameof(ask_direct_size), 0u, convert_display_qty_uint);
-            _ask_implied_size = backing(nameof(ask_implied_size), 0u, convert_display_qty_uint);
-            _ask_merged_size = backing(nameof(ask_merged_size), 0u, convert_display_qty_uint);
+            _bid_direct_size = backing(nameof(bid_direct_size), default(uint));
+            _bid_merged_size = backing(nameof(bid_merged_size), default(uint));
+            _ask_direct_size = backing(nameof(ask_direct_size), default(uint));
+            _ask_merged_size = backing(nameof(ask_merged_size), default(uint));
             //
             _working_orders = new ObservableFilterCollection<OrderRecordImmutable>(_orders, o => o.is_active());
             _working_bids = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Buy);
             _working_asks = new ObservableFilterCollection<OrderRecordImmutable>(_working_orders, o => o.Def.Side == Side.Sell);
             _working_best_bid = new CellProperty<double>(this, nameof(working_best_bid), format_price, double.NaN);
             _working_best_ask = new CellProperty<double>(this, nameof(working_best_ask), format_price, double.NaN);
+            _working_bids_text = new CellProperty<string>(this, nameof(working_bids_text), string.Empty);
+            _working_asks_text = new CellProperty<string>(this, nameof(working_asks_text), string.Empty);
             //
             default_command = new DelegateCommand(_show_ladder);
             bid_price_click = new DelegateCommand(() => _show_order_ticket(MarketViewView.Columns.Bid));
@@ -94,45 +90,17 @@ namespace mbts.spark {
             _animation.AnimationsChanged += on_animations_changed;
             void on_animations_changed() => RaisePropertyChanged(nameof(animations));
             _dispose = Disposable.Create(
-               attach_prop_changed_cb(_bid_direct_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(bid_direct_size_text))),
-               attach_prop_changed_cb(_bid_implied_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(bid_implied_size_text))),
-               attach_prop_changed_cb(_bid_merged_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(bid_merged_size_text))),
-               attach_prop_changed_cb(_ask_direct_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(ask_direct_size_text))),
-               attach_prop_changed_cb(_ask_implied_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(ask_implied_size_text))),
-               attach_prop_changed_cb(_ask_merged_size, mk_echo_prop_changed_cb<(uint,uint)>(nameof(ask_merged_size_text))),
                _orders_model.on_security_root_orders(security.Id).OnDispatcher().Subscribe(_on_orders),
                _position.OnDispatcher().Subscribe(v => _animation.animate_position(v.newval > v.oldval)),
                _orders_model.on_security_positions(security.Id).OnDispatcher().Subscribe(t => {
-                  if (Set(ref _raw_day_position, t.state.Values.Sum(p => p.Item2.raw_day_pos()), nameof(raw_day_position))) {
-                     RaisePropertyChanged(nameof(raw_day_position_text));
+                  if (Set(ref _raw_day_position, t.state.Values.Sum(p => p.Item2.raw_day_pos()), nameof(raw_day_position)))
                      raise_invalidated();
-                  }
                }),
                _inside_bids.OnDispatcher().Subscribe(v => _animation.animate_working_bids_inside(v.newval)),
                _inside_asks.OnDispatcher().Subscribe(v => _animation.animate_working_asks_inside(v.newval)),
                _day_change.OnDispatcher().Subscribe(v => _animation.animate_day_change(v.newval > v.oldval)),
                Disposable.Create(() => _animation.AnimationsChanged -= on_animations_changed)
             );
-
-            uint convert_display_qty_uint(uint value) =>
-               value.safe_divide(_display_qty_divisor);
-
-            string fmt_display_qty_int(int value) =>
-               value.safe_divide(_display_qty_divisor).ToString();
-
-            string fmt_display_qty_uint(uint value) =>
-               value.safe_divide(_display_qty_divisor).ToString();
-
-            string fmt_display_qty_ulong(ulong value) =>
-               value.safe_divide(_display_qty_divisor).ToString();
-
-            PropertyChange<T> mk_echo_prop_changed_cb<T>(params string[] props) =>
-               (oldval, newval) => RaisePropertyChanged(props);
-
-            IDisposable attach_prop_changed_cb<TView, TModel>(PropertyAutoWrapper<TModel, TView> prop, PropertyChange<(TModel, TView)> callback) {
-               prop.changed += callback;
-               return Disposable.Create(() => prop.changed -= callback);
-            }
          }
 
          public event Action invalidated;
@@ -141,63 +109,32 @@ namespace mbts.spark {
          public bool inside_bids => _inside_bids.value;
          public bool inside_asks => _inside_asks.value;
          public int position => _position.value;
-         public string position_text => _position.text;
          public double raw_day_position => _raw_day_position;
-         public string raw_day_position_text => SparkUtils.fmt_position(_raw_day_position.safe_divide(_display_qty_divisor));
          public double last_price => _last_price.Value;
          public bool last_price_from_spread => _last_price_from_spread.Value;
          public uint last_size => _last_size.value;
-         public string last_size_text => _last_size.text;
-         // bid price/size
          public double bid_price => _bid_price.Value;
-         public uint bid_direct_size => _bid_direct_size.model;
-         public uint bid_implied_size => _bid_merged_size.model - _bid_direct_size.model;
-         public uint bid_merged_size => _bid_merged_size.model;
-         // bid size text
-         public string bid_direct_size_text => _bid_direct_size.view.ToString();
-         public string bid_implied_size_text => _bid_implied_size.view.ToString();
-         public string bid_merged_size_text => _bid_merged_size.view.ToString();
-         // ask price/size
+         public uint bid_direct_size => _bid_direct_size.Value;
+         public uint bid_implied_size => _bid_merged_size.Value - _bid_direct_size.Value;
+         public uint bid_merged_size => _bid_merged_size.Value;
+         public string bid_merged_size_text => _bid_merged_size_text ?? (_bid_merged_size_text = _size_formatter(_bid_merged_size.Value, bid_implied_size));
          public double ask_price => _ask_price.Value;
-         public uint ask_direct_size => _ask_direct_size.model;
-         public uint ask_implied_size => _ask_implied_size.model;
-         public uint ask_merged_size => _ask_merged_size.model;
-         // ask size text
-         public string ask_direct_size_text => _ask_direct_size.view.ToString();
-         public string ask_implied_size_text => _ask_implied_size.view.ToString();
-         public string ask_merged_size_text => _ask_merged_size.view.ToString();
-         //
+         public uint ask_direct_size => _ask_direct_size.Value;
+         public uint ask_implied_size => _ask_merged_size.Value - _ask_direct_size.Value;
+         public uint ask_merged_size => _ask_merged_size.Value;
+         public string ask_merged_size_text => _ask_merged_size_text ?? (_ask_merged_size_text = _size_formatter(_ask_merged_size.Value, ask_implied_size));
          public ulong volume => _volume.value;
-         public string volume_text => _volume.text;
          public double settlement => _settlement.Value;
          public double day_change => _day_change.Value;
          public double session_low => _session_low.Value;
          public double session_high => _session_high.Value;
          public int working_bid_volume => _working_bid_volume.value;
          public int working_ask_volume => _working_ask_volume.value;
-         public string working_bids_text => OrderUtils.order_collection_summary(
-            _order_summarizer.best_working_bid,
-            _order_summarizer.best_working_bid_qty.safe_divide(_display_qty_divisor),
-            _order_summarizer.working_bid_qty.safe_divide(_display_qty_divisor),
-            security.ContractSpec);
-         public string working_asks_text => OrderUtils.order_collection_summary(
-            _order_summarizer.best_working_ask,
-            _order_summarizer.best_working_ask_qty.safe_divide(_display_qty_divisor),
-            _order_summarizer.working_ask_qty.safe_divide(_display_qty_divisor),
-            security.ContractSpec);
+         public string working_bids_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_bid, _order_summarizer.best_working_bid_qty, _order_summarizer.working_bid_qty, security.ContractSpec);
+         public string working_asks_text => OrderUtils.order_collection_summary(_order_summarizer.best_working_ask, _order_summarizer.best_working_ask_qty, _order_summarizer.working_ask_qty, security.ContractSpec);
          public double working_best_bid => _working_best_bid.value;
          public double working_best_ask => _working_best_ask.value;
-         // ice props
-         public string market_description => security.market_description();
-         public string cleared_alias => security.cleared_alias();
-         public string product_description => security.product_name();
-         public string hub_alias => security.hub_alias();
-         public string strip_name => security.strip_name();
-         public string mic_code => security.mic_code();
-         // animations
          public IList<ui.spark.CellAnimation> animations => _animation.get_animations().ToList();
-         public ObservableCollection<RowAnimation> row_animations { get; } = new ObservableCollection<RowAnimation>();
-         // commands
          public ICommand bid_price_click { get; }
          public ICommand bid_merged_size_click { get; }
          public ICommand bid_direct_size_click { get; }
@@ -209,30 +146,27 @@ namespace mbts.spark {
          public ICommand ask_implied_size_click { get; }
          public ICommand working_asks_click { get; }
          public ICommand default_command { get; }
+         public string market_description {get;}
+         public string cleared_alias { get; }
+         public string product_description { get; }
+         public string hub_alias { get; }
+         public string strip_name{ get; }
+         public string mic_code { get; }
+
+         public ObservableCollection<RowAnimation> row_animations { get; } = new ObservableCollection<RowAnimation>();
 
          public IReadOnlyList<DIYGrid.IGridCellStore> cell_stores => new DIYGrid.IGridCellStore[0];
          #endregion
 
-         uint _display_qty_divisor => _display_qty_divisor_backing ??
-            (_display_qty_divisor_backing = _orders_model.security_auxiliary_model.get_display_quantity_divisor(security)).Value;
-
          public void raise_invalidated() => invalidated?.Invoke();
 
          public void refresh() {
             bool dirty = false;
             if (md.md.get_bbo(ref _bbo_ref, out NativePriceSize b, out NativePriceSize a)) {
                _bid_price.set(b.price);
-               // don't use the '||' operator - every 'set_new' call must be made
-               // (the operation mustn't terminate the first time a set_new call returns true).
-               dirty |= (
-                  _bid_direct_size.set_new(b.direct_size) |
-                  _bid_implied_size.set_new(b.implied_size) |
-                  _bid_merged_size.set_new(b.size) |
-                  _ask_direct_size.set_new(a.direct_size) |
-                  _ask_implied_size.set_new(a.implied_size) |
-                  _ask_merged_size.set_new(a.size));
-
+               refresh_size(ref b, _bid_direct_size, _bid_merged_size, ref _bid_merged_size_text, nameof(bid_merged_size_text));
                _ask_price.set(a.price);
+               refresh_size(ref a, _ask_direct_size, _ask_merged_size, ref _ask_merged_size_text, nameof(ask_merged_size_text));
                _inside_bids.on_next_distinct(_bid_price.Value >= _working_best_bid.value, ref dirty);
                _inside_asks.on_next_distinct(_ask_price.Value <= _working_best_ask.value, ref dirty);
             }
@@ -249,6 +183,16 @@ namespace mbts.spark {
             _volume.on_next_distinct(md.md.total_volume, ref dirty);
             if (dirty)
                invalidated?.Invoke();
+
+            void refresh_size(ref NativePriceSize nps, Property<uint> direct, Property<uint> merged, ref string text, string text_prop) {
+               if (nps.size != merged.Value || nps.direct_size != direct.Value) {
+                  merged.set(nps.size);
+                  direct.set(nps.direct_size);
+                  text = null;
+                  dirty = true;
+                  RaisePropertyChanged(text_prop);
+               }
+            }
          }
 
          public bool Equals(Row other) =>

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

@@ -9,7 +9,6 @@ using mbts.ui.utility;
 using System;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
-using System.Linq;
 using System.Reactive.Linq;
 using System.Windows.Data;
 using System.Windows.Media;
@@ -19,9 +18,6 @@ using static mbts.ui.spark.MarketViewView;
 
 namespace mbts.spark {
    partial class MarketViewVM : SecurityMDGrid<MarketViewVM.Row, SecurityMD> {
-      static IReadOnlyList<Func<MarketViewVM, IDataGridColumnFilter<Row>>> _filter_getters =
-         ObjectSnapshot.property_delegates_of_type<MarketViewVM, IDataGridColumnFilter<Row>>();
-
       readonly IBus _bus;
       readonly OrdersModel _orders_model;
       IWindowSettingsManager<GridSettings> _settings_manager;
@@ -41,21 +37,21 @@ namespace mbts.spark {
          const double working_orders_col_width = 105;
          IMultiValueConverter price_converter = new ui.spark.converters.TickDisplayConverter();
          add_col(Columns.Security, "Security", r => r.security.ToString(), nameof(Row.security), DefaultColumnWidths.Security, security_filter, DataGridFilterKnownTemplates.Regex);
-         add_col(Columns.Volume, "Volume", r => r.volume_text, nameof(Row.volume), DefaultColumnWidths.Volume, volume_filter, DataGridFilterKnownTemplates.ULongMinMax);
+         add_col(Columns.Volume, "Volume", r => r.volume.ToString(), nameof(Row.volume), DefaultColumnWidths.Volume, volume_filter, DataGridFilterKnownTemplates.ULongMinMax);
          add_col(Columns.LastSpd, "Spd", r => r.last_price_from_spread ? "S" : "", nameof(Row.last_price_from_spread), DefaultColumnWidths.Side, last_price_from_spread_filter, DataGridFilterKnownTemplates.Regex);
          add_col(Columns.Last, "Last", r => r.format_price(r.last_price), nameof(Row.last_price), DefaultColumnWidths.Price, last_price_filter, DataGridFilterKnownTemplates.DoubleMinMax);         
-         add_col(Columns.LastSize, merged_size_col_header, r => r.last_size_text, nameof(Row.last_size), DefaultColumnWidths.Size, last_size_filter, DataGridFilterKnownTemplates.UIntMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.Position, "Pos", r => r.position_text, nameof(Row.position), DefaultColumnWidths.Size, position_filter, DataGridFilterKnownTemplates.IntMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.RawDayPosition, "Raw Day Pos", r => r.raw_day_position_text, nameof(Row.raw_day_position), DefaultColumnWidths.Size, raw_day_position_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.LastSize, merged_size_col_header, r => r.last_size.ToString(), nameof(Row.last_size), DefaultColumnWidths.Size, last_size_filter, DataGridFilterKnownTemplates.UIntMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.Position, "Pos", r => r.position.ToString(), nameof(Row.position), DefaultColumnWidths.Size, position_filter, DataGridFilterKnownTemplates.IntMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.RawDayPosition, "Raw Day Pos", r => SparkUtils.fmt_position(r.raw_day_position), nameof(Row.raw_day_position), DefaultColumnWidths.Size, raw_day_position_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_working_orders_col(Columns.WorkingBids, working_col_header, nameof(Row.working_bids_text), nameof(Row.working_best_bid), nameof(Row.working_bids_click), working_bid_volume_filter, BTSColors.MarketData.bid, System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.BidImpliedSize, implied_size_col_header, r => r.bid_implied_size_text, nameof(Row.bid_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.BidDirectSize, direct_size_col_header, r => r.bid_direct_size_text, nameof(Row.bid_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.BidImpliedSize, implied_size_col_header, r => r.bid_implied_size.ToString(), nameof(Row.bid_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.BidDirectSize, direct_size_col_header, r => r.bid_direct_size.ToString(), nameof(Row.bid_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, bid_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_merged_size_col(Columns.BidMergedSize, merged_size_col_header, nameof(Row.bid_merged_size), nameof(Row.bid_merged_size_text), nameof(Row.bid_merged_size_click), bid_merged_size_filter, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_price_col(Columns.Bid, "Bid", nameof(Row.bid_price), nameof(Row.bid_price_click), bid_price_filter, BTSColors.header_text, BTSColors.MarketData.bid, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_price_col(Columns.Ask, "Ask", nameof(Row.ask_price), nameof(Row.ask_price_click), ask_price_filter, BTSColors.header_text, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_merged_size_col(Columns.AskMergedSize, merged_size_col_header, nameof(Row.ask_merged_size), nameof(Row.ask_merged_size_text), nameof(Row.ask_merged_size_click), ask_merged_size_filter, BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.AskDirectSize, direct_size_col_header, r => r.ask_direct_size_text, nameof(Row.ask_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
-         add_col(Columns.AskImpliedSize, implied_size_col_header, r => r.ask_implied_size_text, nameof(Row.ask_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.AskDirectSize, direct_size_col_header, r => r.ask_direct_size.ToString(), nameof(Row.ask_direct_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_direct_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
+         add_col(Columns.AskImpliedSize, implied_size_col_header, r => r.ask_implied_size.ToString(), nameof(Row.ask_implied_size), DefaultColumnWidths.ImpliedDirectMergedSize, ask_implied_size_filter, DataGridFilterKnownTemplates.UIntMinMax, font_color: BTSColors.MarketData.ask, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_hl_working_orders_col(Columns.WorkingAsks, working_col_header, nameof(Row.working_asks_text), nameof(Row.working_best_ask), nameof(Row.working_asks_click), working_ask_volume_filter, BTSColors.MarketData.ask, System.Windows.HorizontalAlignment.Right);
          add_col(Columns.Settlement, "Settlement", r => r.format_price(r.settlement), nameof(Row.settlement), DefaultColumnWidths.Settlement, settlement_filter, DataGridFilterKnownTemplates.DoubleMinMax, h_alignment: System.Windows.HorizontalAlignment.Right);
          add_col(Columns.DayChange, "Change", r => r.format_price(r.day_change), nameof(Row.day_change), DefaultColumnWidths.Price, day_change_filter, DataGridFilterKnownTemplates.DoubleMinMax, true, h_alignment: System.Windows.HorizontalAlignment.Right);
@@ -155,16 +151,14 @@ namespace mbts.spark {
                      working_ask_volume_filter.load_state(filters.working_ask_volume);
                      volume_filter.load_state(filters.volume);
                      security_key_filter.load_state(filters.security_key);
-                     market_description_filter.load_state(filters.market_description);
-                     cleared_alias_filter.load_state(filters.cleared_alias);
-                     product_description_filter.load_state(filters.product_description);
-                     hub_alias_filter.load_state(filters.hub_alias);
-                     strip_name_filter.load_state(filters.strip_name);
-                     mic_code_filter.load_state(filters.mic_code);
                   }
                   rows_view.set_sort_descriptions(s.sorting_criterion, columns);
                }
-            }), DataGridFilterHelper.hook_filters(rows_view, _filters),
+            }), DataGridFilterHelper.hook_filters(rows_view, security_filter,
+            bid_price_filter, bid_merged_size_filter, bid_direct_size_filter, bid_implied_size_filter,
+            ask_price_filter, ask_merged_size_filter, ask_direct_size_filter, ask_implied_size_filter,
+            last_price_filter, last_price_from_spread_filter, last_size_filter, day_change_filter, settlement_filter,
+            session_low_filter, session_high_filter, position_filter, raw_day_position_filter, working_bid_volume_filter, working_ask_volume_filter, volume_filter, security_key_filter),
             settings_manager.subscribe_current().OnDispatcher().Subscribe(grid_settings_manager),
             WorkLoop.Start("MarketView", _refresh)
          );
@@ -239,15 +233,13 @@ namespace mbts.spark {
       public IDataGridColumnPersistentFilter<Row, ULongMinMaxState> volume_filter { get; } = new ULongMinMax<Row>(r => r.volume, nameof(Row.volume));
       public IDataGridColumnPersistentFilter<Row, string> security_key_filter { get; } = new RegexFilterVM<Row>(r => r.security_key.ToString(), nameof(Row.security_key));
       
-      public IDataGridColumnPersistentFilter<Row, string> market_description_filter { get; } = new RegexFilterVM<Row>(r => r.market_description, nameof(Row.market_description));
-      public IDataGridColumnPersistentFilter<Row, string> cleared_alias_filter { get; } = new RegexFilterVM<Row>(r => r.cleared_alias, nameof(Row.cleared_alias));
-      public IDataGridColumnPersistentFilter<Row, string> product_description_filter { get; } = new RegexFilterVM<Row>(r => r.product_description, nameof(Row.product_description));
-      public IDataGridColumnPersistentFilter<Row, string> hub_alias_filter { get; } = new RegexFilterVM<Row>(r => r.hub_alias, nameof(Row.hub_alias));
-      public IDataGridColumnPersistentFilter<Row, string> strip_name_filter { get; } = new RegexFilterVM<Row>(r => r.strip_name, nameof(Row.strip_name));
-      public IDataGridColumnPersistentFilter<Row, string> mic_code_filter { get; } = new RegexFilterVM<Row>(r => r.mic_code, nameof(Row.mic_code));
-
-      IEnumerable<IDataGridColumnFilter<Row>> _filters =>
-         _filter_getters.Select(fn => fn(this));
+      public IDataGridColumnPersistentFilter<Row, string> market_description_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.MarketDescription : "", nameof(Row.market_description));
+      public IDataGridColumnPersistentFilter<Row, string> cleared_alias_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.ClearedAlias : "", nameof(Row.cleared_alias));
+      public IDataGridColumnPersistentFilter<Row, string> product_description_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.ProductName : "", nameof(Row.product_description));
+      public IDataGridColumnPersistentFilter<Row, string> hub_alias_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.HubAlias : "", nameof(Row.hub_alias));
+      public IDataGridColumnPersistentFilter<Row, string> strip_name_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.StripName : "", nameof(Row.strip_name));
+      public IDataGridColumnPersistentFilter<Row, string> mic_code_filter { get; } = new RegexFilterVM<Row>(r => r.security.HasIce ? r.security.Ice.MicCode : "", nameof(Row.mic_code));
+      
 
       public FilterStates get_filter_states() {
          return new FilterStates {

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

@@ -22,15 +22,12 @@ namespace bts.shell.time_and_sales {
          .to_safe();
 
       readonly TradeMessageImmutable _trade;
-      readonly Func<SecurityImmutable?, uint> _get_display_qty_divisor;
-      uint? _display_size;
 
-      public TimeAndSalesRowVM(int row_key, SecurityImmutable security, TradeMessageImmutable trade, Func<SecurityImmutable?, uint> get_display_qty_divisor) {
+      public TimeAndSalesRowVM(int row_key, SecurityImmutable security, TradeMessageImmutable trade) {
          this.row_key = row_key;
          this.security = security;
          _trade = trade;
          trade_key = trade.Key;
-         _get_display_qty_divisor = get_display_qty_divisor ?? new Func<SecurityImmutable?, uint>(sec => 1);
       }
 
       public event Action invalidated;
@@ -42,8 +39,6 @@ namespace bts.shell.time_and_sales {
       public DateTime time => ((ulong)_trade.Time).lldatetime().ToLocalTime();
       public double price => _trade.price();
       public uint size => _trade.Size;
-      public uint display_size => _display_size ??
-         (_display_size = size.safe_divide(_get_display_qty_divisor(security))).Value;
       public AggressorSide aggressor_side => _trade.AggressorSide;
 
       public void raise_invalidated() =>

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

@@ -40,7 +40,6 @@ namespace bts.shell.time_and_sales {
          _refresh_filter,
          _refresh_sort,
          _refresh_selected_rows;
-      readonly Func<SecurityImmutable?, uint> _get_display_qty_divisor;
       IComparer<TimeAndSalesRowVM> _comparer_backing;
       Func<TimeAndSalesRowVM, bool> _filter_backing;
       ImmutableHashSet<TimeAndSalesRowVM> _selected_rows = ImmutableHashSet<TimeAndSalesRowVM>.Empty;
@@ -59,9 +58,8 @@ namespace bts.shell.time_and_sales {
          _filter_change_count,
          _sort_change_count;
 
-      public TimeAndSalesVM(IWindowSettingsManager<GridSettings> settings_manager, Func<SecurityImmutable?, uint> get_display_qty_divisor) {
+      public TimeAndSalesVM(IWindowSettingsManager<GridSettings> settings_manager) {
          _sort_manager = new ColumnSortManager(columns.WrapSelector(c => c as ISortableDIYGridColumn, null), TimeAndSalesView.Columns.RowKey.ToString());
-         _get_display_qty_divisor = get_display_qty_divisor ?? new Func<SecurityImmutable?, uint>(sec => 1);
          _comparer_backing = _sort_manager.BuildComparer(_get_column_comparer);
          _log = new LoggerContext(Log.Ui, $"Time And Sales VM ({Interlocked.Increment(ref _id_counter)})", null);
          _settings_manager = settings_manager;
@@ -97,7 +95,7 @@ namespace bts.shell.time_and_sales {
             System.Windows.HorizontalAlignment.Right);
          add_column(
             TimeAndSalesView.Columns.Size,
-            r => r.display_size.ToString(),
+            r => r.size.ToString(),
             DefaultColumnHeaders.Size,
             DefaultColumnWidths.Size,
             size_filter,
@@ -306,7 +304,7 @@ namespace bts.shell.time_and_sales {
          }
          var all_rows_bd = _all_rows.ToBuilder();
          foreach (var t in trades) {
-            var r = _row_factory.create(t.security, t.trade, _get_display_qty_divisor);
+            var r = _row_factory.create(t.security, t.trade);
             all_rows_bd.Add(r);
             if (_filter_backing == null || _filter_backing(r))
                rows.InsertSorted(r, _comparer);
@@ -402,11 +400,11 @@ namespace bts.shell.time_and_sales {
          // the row key must be unique to each row in the collection
          int _row_id_counter;
 
-         public TimeAndSalesRowVM create(TradeInfo trade_info, Func<SecurityImmutable?, uint> get_display_qty_divisor) =>
-            new TimeAndSalesRowVM(_row_id_counter++, trade_info.security, trade_info.trade, get_display_qty_divisor);
+         public TimeAndSalesRowVM create(TradeInfo trade_info) =>
+            new TimeAndSalesRowVM(_row_id_counter++, trade_info.security, trade_info.trade);
 
-         public TimeAndSalesRowVM create(SecurityImmutable security, TradeMessageImmutable trade, Func<SecurityImmutable?, uint> get_display_qty_divisor) =>
-            new TimeAndSalesRowVM(_row_id_counter++, security, trade, get_display_qty_divisor);
+         public TimeAndSalesRowVM create(SecurityImmutable security, TradeMessageImmutable trade) =>
+            new TimeAndSalesRowVM(_row_id_counter++, security, trade);
       }
    }
 }

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

@@ -26,7 +26,6 @@ namespace bts.shell.time_and_sales {
       readonly TimeAndSalesWindowFactory _factory;
       readonly IWindowSettingsManager<GridSettings> _settings_manager;
       readonly bool _can_pause_updates;
-      readonly Func<SecurityImmutable?, uint> _get_display_qty_divisor;
       TimeAndSalesVM _vm;
       TimeAndSalesModel _model;
       SecurityCriteria _security_criteria_backing;
@@ -36,21 +35,12 @@ namespace bts.shell.time_and_sales {
       SparkMenuDisplayVM _menu_display_vm;
       IDisposable _subscriptions;
 
-      public TimeAndSalesWindow(
-         TimeAndSalesWindowFactory factory,
-         IBus bus,
-         MDConsumer consumer,
-         TimeAndSalesSettings state,
-         ImageSource icon,
-         IWindowSettingsManager<GridSettings> settings_manager,
-         bool can_pause_updates,
-         Func<SecurityImmutable?, uint> get_display_qty_divisor)
+      public TimeAndSalesWindow(TimeAndSalesWindowFactory factory, IBus bus, MDConsumer consumer, TimeAndSalesSettings state, ImageSource icon, IWindowSettingsManager<GridSettings> settings_manager, bool can_pause_updates)
          : base("Time And Sales", bus, factory, SparkCommands.ShowTimeAndSales.icon) {
          Log.assert(state != null);
          _consumer = consumer;
          _factory = factory;
          _state = state ?? TimeAndSalesSettings.Default(new SecurityCriteria());
-         _get_display_qty_divisor = get_display_qty_divisor ?? new Func<SecurityImmutable?, uint>(sec => 1);
          if (_state.security_criteria == null)
             _state = _state.with(new SecurityCriteria());
          _security_criteria_backing = _state.security_criteria;
@@ -96,7 +86,7 @@ namespace bts.shell.time_and_sales {
             _settings_manager.instance_settings = _state.grid;
          _menu_display_vm = new SparkMenuDisplayVM();
          _menu_display_vm.load_from(_state.menu_display);
-         _vm = new TimeAndSalesVM(_settings_manager, _get_display_qty_divisor);
+         _vm = new TimeAndSalesVM(_settings_manager);
          var selected_rows_src = Observable.Create<ImmutableHashSet<TimeAndSalesRowVM>>(o => {
             _vm.selected_rows_changed += o.OnNext;
             return Disposable.Create(() => _vm.selected_rows_changed -= o.OnNext);

src/client/spark/Modules/Market/TimeAndSalesWindowFactory.cs

@@ -20,15 +20,12 @@ namespace bts.shell {
       readonly MDConsumer _consumer;
       readonly UserSettingsHub _settings_hub;
       readonly TimeAndSalesConfig _time_and_sales_conf;
-      readonly ISecurityAuxiliaryDataModel _security_auxiliary_model;
       IReadOnlyDictionary<uint, SecurityMD> _securities = new Dictionary<uint, SecurityMD>();
 
-      public TimeAndSalesWindowFactory(IShellModule module, IBus bus, MDConsumer consumer, UserSettingsHub settings_hub, ISecurityAuxiliaryDataModel security_auxiliary_model)
-         : base(module, "TimeAndSales") {
+      public TimeAndSalesWindowFactory(IShellModule module, IBus bus, MDConsumer consumer, UserSettingsHub settings_hub) : base(module, "TimeAndSales") {
          _bus = bus;
          _consumer = consumer;
          _settings_hub = settings_hub;
-         _security_auxiliary_model = security_auxiliary_model;
          _time_and_sales_conf = new TimeAndSalesConfig(Configuration.get<bts.config.TimeAndSalesOptions>());
          _dispose = Disposable.Create(
             bus.subscribe(SparkTags.SecuritiesTag).Subscribe(s => _securities = s),
@@ -41,8 +38,7 @@ namespace bts.shell {
       public override Task<IShellWindow> load(TimeAndSalesSettings state) =>
          Task.FromResult<IShellWindow>(new TimeAndSalesWindow(this, _bus, _consumer, state, SparkCommands.PickTimeAndSales.icon,
             new WindowSettingsManager<GridSettings>(_settings_hub, state.grid, s => s.time_and_sales_grid, (s, g) => s.with(time_and_sales:g)),
-            _time_and_sales_conf.can_pause_updates,
-            _security_auxiliary_model.get_display_quantity_divisor));
+            _time_and_sales_conf.can_pause_updates));
 
       public async void show(SecurityCriteria criteria) {
          var w = await load(new TimeAndSalesSettings(criteria));

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

@@ -549,48 +549,24 @@
               </u:BindingUpdateGroupCollection>
             </u:Behavior.BindingUpdateGroups>
           </TextBox>
-          <StackPanel
+          <TextBlock
             x:Name="PART_TickFactors_Label"
             Grid.Column="2"
+            VerticalAlignment="Center"
+            Margin="{StaticResource Margin.LHeaderPanelItem}"
+            Text="Ticks"
             IsEnabled="True"
-            Orientation="Horizontal"
             Visibility="{Binding LegTuples.Count, RelativeSource={RelativeSource TemplatedParent}, Converter={StaticResource IntNotZeroVisibilityConverter}}"
-           >
-            <TextBlock
-              VerticalAlignment="Center"
-              Margin="{StaticResource Margin.LHeaderPanelItem}"
-              Text="Ticks ("
-            />
-            <CheckBox
-              Margin="1,0,0,0"
-              IsChecked="{Binding UseFractionalTicks, RelativeSource={RelativeSource TemplatedParent}}"
-              VerticalAlignment="Center"
-              VerticalContentAlignment="Center"
-              Padding="0"
-            >
-              fractional
-            </CheckBox>
-            <TextBlock VerticalAlignment="Center" Margin="1,0,0,0">)</TextBlock>
-          </StackPanel>
-          <Grid
+          />
+          <c:TickFactorsPicker
             x:Name="PART_TickFactors_Picker"
             Grid.Column="3"
-            IsEnabled="True"
             Margin="{StaticResource Margin.LHeaderPanelItem}"
+            HorizontalAlignment="Stretch"
+            IsEnabled="True"
+            SelectedTickFactors="{Binding TickFactors, RelativeSource={RelativeSource TemplatedParent}, Mode=TwoWay}"
             Visibility="{Binding LegTuples.Count, RelativeSource={RelativeSource TemplatedParent}, Converter={StaticResource IntNotZeroVisibilityConverter}}"
-          >
-            <c:TickFactorsPicker
-              HorizontalAlignment="Stretch"
-              SelectedTickFactors="{Binding TickFactors, RelativeSource={RelativeSource TemplatedParent}, Mode=TwoWay}"
-              Visibility="{Binding UseFractionalTicks, RelativeSource={RelativeSource TemplatedParent}, Converter={x:Static cv:BooleanToVisibilityConverter.HiddenInstance}}"
-            />
-            <c:TickUpDownInt
-              HorizontalAlignment="Stretch"
-              Minimum="1"
-              Value="{Binding IntegerTickSize, RelativeSource={RelativeSource TemplatedParent}}"
-              Visibility="{Binding UseFractionalTicks, RelativeSource={RelativeSource TemplatedParent}, Converter={StaticResource FalseVisibilityConverter}}"
-            />
-          </Grid>
+          />
           <TextBlock
             x:Name="PART_Pricing_Label"
             Grid.Column="4"

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

@@ -52,26 +52,6 @@ namespace mbts.ui.spark {
       public TickFactors TickFactors { get => GetValue(TickFactorsProperty) as TickFactors; set => SetValue(TickFactorsProperty, value); }
       #endregion
 
-      #region UseFractionalTicks
-      public static readonly DependencyProperty UseFractionalTicksProperty = WPFHelper.create_dp<bool, ExecutionStrategyEditor>(
-         nameof(UseFractionalTicks), FrameworkPropertyMetadataOptions.BindsTwoWayByDefault, true);
-
-      public bool UseFractionalTicks {
-         get => (bool)GetValue(UseFractionalTicksProperty);
-         set => SetValue(UseFractionalTicksProperty, value);
-      }
-      #endregion
-
-      #region IntegerTickSize
-      public static readonly DependencyProperty IntegerTickSizeProperty = WPFHelper.create_dp<int, ExecutionStrategyEditor>(
-         nameof(IntegerTickSize), FrameworkPropertyMetadataOptions.BindsTwoWayByDefault, 1);
-
-      public int IntegerTickSize {
-         get => (int)GetValue(IntegerTickSizeProperty);
-         set => SetValue(IntegerTickSizeProperty, value);
-      }
-      #endregion
-
       #region IsNew
       public static readonly DependencyProperty IsNewProperty =
          DependencyProperty.Register(

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

@@ -46,7 +46,7 @@ namespace bts.shell {
 
       async void _show_synthetic_create(SecurityCriteria security_criteria) {
          var found_securities = await security_criteria.securities(_bus);
-         var respect_clause_security_ordering_is_possible = security_criteria.clauses.Any(clause => clause.security_keys != null && clause.security_keys.Length > 0);
+         var respect_clause_security_ordering_is_possible = security_criteria.clauses.Any(clause => clause.security_keys != null && clause.security_keys.Count > 0);
          if (!respect_clause_security_ordering_is_possible) {
             _show_synthetic_create(found_securities.Values.ToList());
          } else {

src/client/spark/Modules/Spreader/SyntheticEditorView.xaml

@@ -36,8 +36,6 @@
       ContractPickerModel="{Binding contract_picker_model}"
       HedgePricing="{Binding hedge_pricing}"
       HedgePricingItemsSource="{Binding hedge_pricing_options}"
-      UseFractionalTicks="{Binding use_fractional_ticks}"
-      IntegerTickSize="{Binding integer_tick_size}"
     />
     <c:DialogSkirtOKCancel Grid.Row="1" OKCommand="{Binding commit}" CloseOnOK="False"/>
   </Grid>

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

@@ -2,6 +2,7 @@
 using bts.collections;
 using bts.shell;
 using bts.spark;
+using bts.utils;
 using mbts.ui;
 using mbts.ui.shell;
 using mbts.ui.spark;
@@ -29,16 +30,8 @@ namespace mbts.spark {
       readonly Property<bool> _has_working_orders, _can_add_leg;
 
       Security _synthetic;
-      bool
-         _set_name_automatically,
-         _set_ticks_automatically,
-         _set_quantities_automatically,
-         _set_price_mults_automatically,
-         _is_setting_quantities,
-         _is_setting_price_mults,
-         _use_fractional_ticks = true;
+      bool _set_name_automatically, _set_ticks_automatically, _set_quantities_automatically, _set_price_mults_automatically, _is_setting_quantities, _is_setting_price_mults;
       TickFactors _tick_factors;
-      int _integer_tick_size = 1;
       ExecutionStrategyImmutable _strategy;
       HedgePricing _hedge_pricing;
 
@@ -51,10 +44,6 @@ namespace mbts.spark {
          : this(synthetic, strategy, false) {
          ExceptionAssert.InvalidOperation.That(synthetic.Id != 0, "This constructor may only be used for already-existing synthetic securities (id must be non-zero).");
          _tick_factors = TickUtils.get_regional_ticks(synthetic.ContractSpec).low_tick;
-         if (TickUtils.is_integer_tick(synthetic.ContractSpec)) {
-            _use_fractional_ticks = false;
-            _integer_tick_size = DoubleHelper.to_optional_int32(synthetic.ContractSpec.LowTick) ?? 0;
-         }
          title = $"Edit '{synthetic.Synthetic.Name}'";
          icon = Icons.ModifySynthetic;
          _has_working_orders = backing(nameof(has_working_orders), security_has_working_orders.OnDispatcher());
@@ -85,7 +74,9 @@ namespace mbts.spark {
          icon = Icons.Synthetics;
          _has_working_orders = backing(nameof(has_working_orders), false);
          contract_picker_model = new ContractPickerModel(bus, false, null, new SecurityCriteria(new[] {
-            new SecurityCriteriaClause(exchanges: EnumHelper.get_values_except(Venue.Bts).ToArray())
+            new SecurityCriteriaClause() {
+               exchanges = EnumHelper.get_values_except(Venue.Bts).ToArray()
+            }
          }));
          contract_picker_model.cancel_action += _close_new_leg_popup;
          contract_picker_model.ok_action += () => {
@@ -140,14 +131,14 @@ namespace mbts.spark {
                flash_error_msg("Name already taken", SparkUtils.UI.MessageFlashDuration, nameof(name)).ignore();
                valid = false;
             }
-            if (use_fractional_ticks ? (_tick_factors == null || !_tick_factors.is_valid()) : integer_tick_size == 0) {
-               flash_error_msg("Please select ticks", SparkUtils.UI.MessageFlashDuration, use_fractional_ticks ? nameof(tick_factors) : nameof(integer_tick_size)).ignore();
+            if (_tick_factors == null || !_tick_factors.is_valid()) {
+               flash_error_msg("Please select ticks", SparkUtils.UI.MessageFlashDuration, nameof(tick_factors)).ignore();
                valid = false;
             }
             if (valid) {
                _synthetic.Synthetic.Legs.SetItems(leg_tuples.Select(l => l.leg));
                _synthetic.Symbol = _deduce_symbol(_synthetic);
-               _synthetic.ContractSpec = use_fractional_ticks ? _tick_factors.to_spec() : TickUtils.create_integer_tick_spec(integer_tick_size);
+               _synthetic.ContractSpec = _tick_factors.to_spec();
                uint? id = await model.create_synthetic(new SecurityImmutable(_synthetic));
                if (id.HasValue && id != 0) {
                   if (await model.save_strategy(id.Value, get_strategy())) {
@@ -304,20 +295,6 @@ namespace mbts.spark {
       public bool has_working_orders => _has_working_orders.Value;
       public bool is_new { get; }
       public bool is_new_leg_popup_open { get; set; }
-      public bool use_fractional_ticks {
-         get => _use_fractional_ticks;
-         set {
-            if (Set(ref _use_fractional_ticks, value))
-               _set_ticks_automatically = false;
-         }
-      }
-      public int integer_tick_size {
-         get => _integer_tick_size;
-         set {
-            if (Set(ref _integer_tick_size, value))
-               _set_ticks_automatically = false;
-         }
-      }
       public bool can_add_leg => _can_add_leg.Value;
       public SyntheticContract.Types.PriceCalc price_calc { get => _synthetic.Synthetic.PriceCalc; set => _synthetic.Synthetic.PriceCalc = value; }
       public ObservableCollection<LegSpreaderParamsTuple> leg_tuples { get; } = new ObservableCollection<LegSpreaderParamsTuple>();
@@ -346,16 +323,6 @@ namespace mbts.spark {
          _strategy = strategy;
          hedge_pricing = strategy.HedgePricing;
          leg_tuples.SetItems(_get_legs(_synthetic, strategy));
-         if (synthetic.HasContractSpec) {
-            /// assign the fields <see cref="_use_fractional_ticks"/> and <see cref="_integer_tick_size"/>,
-            /// rather than the properties <see cref="use_fractional_ticks"/> and <see cref="integer_tick_size"/>
-            /// because the setters of the former flip <see cref="_set_ticks_automatically"/> to false if the value changes.
-            /// This behavior causes the ticks to be automatically deduced as legs are added/removed,
-            /// until the user explicitly enters a different value (as the properties are bound to tick input controls in the view).
-            Set(ref _use_fractional_ticks, !TickUtils.is_integer_tick(synthetic.ContractSpec), nameof(use_fractional_ticks));
-            if (!use_fractional_ticks)
-               Set(ref _integer_tick_size, DoubleHelper.to_optional_int32(synthetic.ContractSpec.LowTick) ?? 0, nameof(integer_tick_size));
-         }
          RaisePropertyChanged(nameof(name), nameof(tick_factors));
       }
 

src/client/spark/Modules/Trading/AlgoStudio/Model/AlgoData.cs

@@ -9,8 +9,6 @@ namespace mbts.spark {
    // This is a core data type on the front end, so data validation is strict, as bad values may yield weird/difficult to track bugs.
    // Descriptive factory methods are favored over public constructors, as they are less likely to be misused.
    struct AlgoData : IEquatable<AlgoData> {
-      public static readonly Func<AlgoData, AlgoKey> key_fn = a => a.key;
-
       public readonly CustomOrderDefinitionImmutable value;
       public readonly string name;
       public readonly AlgoKey key;

src/client/spark/Modules/Trading/AlgoStudio/Model/AlgoKey.cs

@@ -128,7 +128,6 @@ namespace mbts.spark {
       }
 
       public bool is_persisted => mode == Mode.Persisted;
-      public bool is_composite => _composite_key.HasValue || _unpersisted.HasValue;
 
       public uint persisted => _composite_key.Value;
       public Guid unpersisted => _unpersisted.Value;
@@ -200,15 +199,6 @@ namespace mbts.spark {
          }
          return EqualityComparer.phase_hash(hash, phase_mult);
       }
-      public override string ToString() {
-         switch (mode) {
-            case Mode.Dynamic: return $"Dynamic: {dynamic_type}";
-            case Mode.Factory: return $"Factory: {factory}";
-            case Mode.Persisted: return $"Composite: {persisted}";
-            case Mode.Unpersisted: return $"(Composite): {unpersisted}";
-            default: return mode.ToString();
-         }
-      }
 
       public static bool operator ==(AlgoKey a, AlgoKey b) => a.Equals(b);
       public static bool operator !=(AlgoKey a, AlgoKey b) => !a.Equals(b);

src/client/spark/Modules/Trading/AlgoStudio/Model/AlgoStudioFlatDefinitionModel.cs

@@ -12,20 +12,20 @@ namespace mbts.spark {
    [Export(typeof(IAlgoStudioModel))]
    class AlgoStudioFlatDefinitionModel : IAlgoStudioModel, IDisposable {
       readonly AlgoDefinitionService _service;
-      readonly UserTuple _user;
+      readonly AdminModel _admin_model;
       readonly ErrorReporter _error_reporter;
       IReadOnlyDictionary<AlgoKey, AlgoData> _algos = DictionaryHelper.empty<AlgoKey, AlgoData>();
       IDisposable _dispose;
 
       [ImportingConstructor]
-      public AlgoStudioFlatDefinitionModel(AlgoDefinitionService service, IAlgoDefinitionMetadataService metadata_service, UserTuple user, ErrorReporter error_reporter) {
+      public AlgoStudioFlatDefinitionModel(AlgoDefinitionService service, IAlgoDefinitionMetadataService metadata_service, AdminModel admin_model, ErrorReporter error_reporter) {
          _service = service;
          this.metadata_service = metadata_service;
-         _user = user;
+         _admin_model = admin_model;
          _error_reporter = error_reporter;
          definitions =
             service.subscribei_algo_definitions()
-            .Filter(r => r.Metadata.IsActive && _user.can_access_user_data(r.Metadata.CreatorUserId))
+            .Filter(r => r.Metadata.IsActive && _admin_model.user.can_access_user_data(r.Metadata.CreatorUserId))
             .SelectKeyValue(_definition_data, d => d.key)
             .Table()
             .Cache();
@@ -37,7 +37,7 @@ namespace mbts.spark {
 
       public async Task<AlgoData?> save_definition(AlgoData definition_data) {
          var (value, success) = await _error_reporter.safe_execute(() => _service.save_algo_definition_async(
-            _with_key(new AlgoDefinitionUpdateRequest { UserId = _user.id, Algo = _api_definition(definition_data) }, definition_data.key)),
+            _with_key(new AlgoDefinitionUpdateRequest { UserId = _admin_model.user.id, Algo = _api_definition(definition_data) }, definition_data.key)),
             r => r.Success, r => r.ErrorMessage, "saving definition");
          if (success)
             return _definition_data(new AlgoDefinitionRecordImmutable(value.Record));
@@ -93,4 +93,4 @@ namespace mbts.spark {
          }
       }
    }
-}
+}

src/client/spark/Modules/Trading/AlgoStudio/Model/Metadata/AlgoDefinitionMetadata.cs

@@ -11,8 +11,6 @@ namespace mbts.spark {
    /// decouple the client-side key type from the server-side one, so both key types may evolve independently moving forward.
    /// </summary>
    struct AlgoDefinitionMetadata : IEquatable<AlgoDefinitionMetadata> {
-      public static readonly Func<AlgoDefinitionMetadata, AlgoKey> key_fn = m => m.id;
-
       public readonly AlgoKey id, default_template;
       readonly AlgoKey[] _favorite_templates;
       public readonly bool is_favorite, is_hidden;

src/client/spark/Modules/Trading/AlgoStudio/Utils/AlgoCollectionHelper.cs

@@ -35,21 +35,34 @@ namespace mbts.spark {
                Comparer<IAlgoVM>.Create(_CompareUtils.compare_names)
             }).to_comparer().to_safe();
 
-      public static void update_persisted_definitions(ObservableKeyedCollection<AlgoDefinitionVM, AlgoKey> target, TableUpdate<AlgoData, AlgoKey> update, Func<AlgoData, AlgoDefinitionVM> factory) =>
-         update_persisted_definitions(target, update.added, update.changed, update.removed.Select(AlgoData.key_fn), factory);
-
-      public static void update_persisted_definitions(ObservableKeyedCollection<AlgoDefinitionVM, AlgoKey> target, IEnumerable<AlgoData> added, IEnumerable<AlgoData> changed, IEnumerable<AlgoKey> removed, Func<AlgoData, AlgoDefinitionVM> factory) {
-         foreach (var k in removed)
-            target.Remove(k);
-         foreach (var d in changed)
+      public static void update_persisted_definitions(ObservableKeyedCollection<AlgoDefinitionVM, AlgoKey> target, TableUpdate<AlgoData, AlgoKey> update, Func<AlgoData, AlgoDefinitionVM> factory) {
+         foreach (var d in update.removed)
+            target.Remove(d.key);
+         foreach (var d in update.changed)
             target[d.key].load(d);
-         foreach (var d in added) {
+         foreach (var d in update.added) {
             if (target.TryGetValue(d.key, out AlgoDefinitionVM def)) {
                def.load(d);
             } else target.Add(factory(d));
          }
       }
 
+      public static void update_persisted_definition_wrappers(IDictionary<AlgoKey, IAlgoVM> target, TableUpdate<AlgoData, AlgoKey> update, Func<AlgoData, AlgoDefinitionVM> factory) {
+         foreach (var d in update.removed)
+            target.Remove(d.key);
+         foreach (var d in update.changed) {
+            var vm = target[d.key];
+            if (vm is AlgoVMWrapper wrapper) {
+               wrapper.value.load(d);
+            } else vm.load_from(d.value);
+         }
+         foreach (var d in update.added) {
+            if (target.TryGetValue(d.key, out IAlgoVM def)) {
+               def.load_from(d.value);
+            } else target.Add(d.key, new AlgoVMWrapper(factory(d)));
+         }
+      }
+
       public static void commit_all(this IEnumerable<AlgoParamRowVM> algo_param_rows) =>
          algo_param_rows.Select(r => r.param).commit_all();
 

src/client/spark/Modules/Trading/AlgoStudio/VM/AlgoDefinitionVM.cs

@@ -42,21 +42,21 @@ namespace mbts.spark {
       readonly Property<string> _name, _abbreviation;
       readonly ObservableKeyedCollection<IAlgoVM, AlgoKey> _algo_roots = new ObservableKeyedCollection<IAlgoVM, AlgoKey>(vm => vm.id);
       readonly DeferrableActionWrapper _refresh_on_local_changes;
+      readonly Property<AlgoFormats> _selected_format;
       readonly EnumMaskInt32<AlgoEditingPermissions> _permissions_mask = new EnumMaskInt32<AlgoEditingPermissions>();
 
       int? _favorite_index;
       Brush _badge_fill;
       Snapshot? _committed;
       AlgoDefinitionMetadata _metadata;
-      IDisposable _loaded_data_hook;
 
-      public static AlgoDefinitionVM create(OrdersModel model, AlgoData data, AlgoEditingPermissions editing_permissions = (AlgoEditingPermissions)int.MaxValue) =>
-         new AlgoDefinitionVM(model, data, editing_permissions);
+      public static AlgoDefinitionVM create(OrdersModel model, AlgoData data, AlgoFormats init_format = AlgoFormats.Exchange, AlgoEditingPermissions editing_permissions = (AlgoEditingPermissions)int.MaxValue) =>
+         new AlgoDefinitionVM(model, data, init_format, editing_permissions);
 
-      public static AlgoDefinitionVM create_placeholder(OrdersModel model, CustomOrderDefinitionImmutable def, string name) =>
-         new AlgoDefinitionVM(model, AlgoData.create_unpersisted(def, name), (AlgoEditingPermissions)int.MaxValue);
+      public static AlgoDefinitionVM create_placeholder(OrdersModel model, CustomOrderDefinitionImmutable def, string name, AlgoFormats init_format) =>
+         new AlgoDefinitionVM(model, AlgoData.create_unpersisted(def, name), init_format, (AlgoEditingPermissions)int.MaxValue);
 
-      AlgoDefinitionVM(OrdersModel model, AlgoData def_data, AlgoEditingPermissions init_permissions) {
+      AlgoDefinitionVM(OrdersModel model, AlgoData def_data, AlgoFormats init_format, AlgoEditingPermissions init_permissions) {
          // init core data
          _model = model;
          _permissions_mask.mask = init_permissions;
@@ -80,6 +80,7 @@ namespace mbts.spark {
          // init backing props
          _name = backing(nameof(name), def_data.name);
          _abbreviation = backing(nameof(abbreviation), string.Empty);
+         _selected_format = backing(nameof(selected_format), init_format);
          _is_favorite = backing(nameof(is_favorite), () => _favorite_index.HasValue);
          _is_expanded = backing(nameof(is_expanded), true);
          _is_selected = backing(nameof(is_selected), true);
@@ -132,6 +133,17 @@ namespace mbts.spark {
                   break;
             }
             var permission_src = _permissions_mask.observe_result();
+            resources.Add(_selected_format.observe_current(true).CombineLatest(permission_src, (fmt, perms) => (fmt, perms))
+               .SubscribeEach(t => {
+                  if ((t.perms & AlgoEditingPermissions.AllowEditStructure) != 0) {
+                     using (_refresh_on_local_changes.defer_execution()) {
+                        var algo_data = model.factory.default_algos(t.fmt);
+                        var default_algo = AlgoKey.from_known_type(OrderDataHelper.get_default_algo(t.fmt));
+                        return this.load_algo_data_recursive(algo_data, default_algo);
+                     }
+                  }
+                  return Disposable.empty;
+               }));
             resources.Add(permission_src.Subscribe(_ => RaisePropertyChanged(nameof(editing_permissions))));
             resources.Add(this.connect_data(permission_src));
             resources.Add(this.connect_data(Observable.Return(model)));
@@ -190,6 +202,9 @@ namespace mbts.spark {
       public EnabledValueVM<Color> custom_badge_color { get; } = new EnabledValueVM<Color>();
       public ObservableCollection<ColorPaletteVM> custom_badge_color_palettes { get; } = new ObservableCollection<ColorPaletteVM>();
       public Brush badge_fill => _badge_fill;
+      // format
+      public AlgoFormats selected_format { get => _selected_format.Value; set => _selected_format.set(value); }
+      public ObservableCollection<AlgoFormats> formats { get; } = new ObservableCollection<AlgoFormats> { AlgoFormats.Exchange, AlgoFormats.Spreader, AlgoFormats.Exchange | AlgoFormats.Spreader };
       // visual states
       public ObservableCollection<string> edit_pane_visual_states => _edit_pane_vs_model.states;
       public ObservableCollection<string> tree_view_visual_states => _tree_view_vs_model.states;
@@ -221,20 +236,12 @@ namespace mbts.spark {
          get => algo_root;
          set => algo_root = value;
       }
-      IAlgoVM IAlgoParamVM<IAlgoVM>.display_value {
-         get => algo_root;
-         set => algo_root = value;
-      }
       bool IAlgoParamVM.has_value => _algo_root != null;
       bool IAlgoParamVM.is_enabled { get; set; } = true;
       object IAlgoParamVM.value {
          get => algo_root;
          set => algo_root = (IAlgoVM)value;
       }
-      object IAlgoParamVM.display_value {
-         get => algo_root;
-         set => algo_root = (IAlgoVM)value;
-      }
       AlgoParamPermissions _permissions = AlgoParamPermissions.ReadWrite;
       AlgoParamPermissions IAlgoParamVM.permissions { get => _permissions; set => _permissions = value; }
 
@@ -255,14 +262,17 @@ namespace mbts.spark {
       void IObserver<(IReadOnlyDictionary<AlgoKey, AlgoData> algo_data, AlgoKey? default_algo)>.OnError(Exception error) { }
       #endregion
 
-      void _load_algo_data(IReadOnlyDictionary<AlgoKey, AlgoData> data, AlgoKey? default_algo) {
-         Disposable.dispose(ref _loaded_data_hook);
-         _algo_roots.SyncWithDictionary(data, d => OrderTypeVMFactory.create(d, is_expanded: true));
-         _loaded_data_hook = ObservableAutoWrapper.connect_item_hooks(algo_roots, vm =>
-            ObservableAutoWrapper.connect_item_actions(vm.child_algo_selectors, s => s.load_algo_data(data, null)));
-         if (algo_root == null || !_algo_roots.ContainsKey(algo_root.id)) {
-            if (default_algo.HasValue && _algo_roots.TryGetValue(default_algo.Value, out IAlgoVM match))
+      void _load_algo_data(IReadOnlyDictionary<AlgoKey, AlgoData> algo_data, AlgoKey? default_algo) {
+         var orig_algo = algo_root?.id;
+         _algo_roots.SyncWithDictionary(algo_data, d => OrderTypeVMFactory.create(d, is_expanded: true));
+         if (!try_select(orig_algo) && !try_select(default_algo))
+            algo_root = algo_roots.FirstOrDefault();
+         //
+         bool try_select(AlgoKey? algo_key) {
+            if (algo_key.HasValue && _algo_roots.TryGetValue(algo_key.Value, out IAlgoVM match)) {
                algo_root = match;
+               return true;
+            } else return false;
          }
       }
 
@@ -328,7 +338,7 @@ namespace mbts.spark {
 
       // pass a copy of the persisted state - rather than use local values - because if something goes wrong, it is better to be in sync with data fresh from the server/api.
       public AlgoDefinitionVM to_persisted(AlgoData def) =>
-         new AlgoDefinitionVM(_model, def, editing_permissions_mask);
+         new AlgoDefinitionVM(_model, def, selected_format, editing_permissions_mask);
 
       public AlgoData create_algo_def() =>
          AlgoData.create(algo_root == null ? new CustomOrderDefinitionImmutable(new CustomOrderDefinition()) : algo_root.definition, name, key);
@@ -350,6 +360,7 @@ namespace mbts.spark {
 
       void _assign_from_data(Snapshot state) {
          _assign_from_data(state.data);
+         _selected_format.set(state.format);
          _abbreviation.set(state.abbreviation);
          custom_badge_color.set_nullable(state.custom_badge_color);
       }
@@ -410,36 +421,41 @@ namespace mbts.spark {
       }
 
       Snapshot _snapshot() =>
-         new Snapshot(create_algo_def(), abbreviation, custom_badge_color.get_nullable());
+         new Snapshot(create_algo_def(), abbreviation, custom_badge_color.get_nullable(), selected_format);
 
       public struct Snapshot : IEquatable<Snapshot> {
          public readonly AlgoData data;
          public readonly string abbreviation;
          public readonly Color? custom_badge_color;
+         public readonly AlgoFormats format;
 
-         public Snapshot(AlgoData data, string abbreviation, Color? custom_badge_color) {
+         public Snapshot(AlgoData data, string abbreviation, Color? custom_badge_color, AlgoFormats format) {
             this.data = data;
             this.abbreviation = abbreviation;
             this.custom_badge_color = custom_badge_color;
+            this.format = format;
          }
 
          public bool Equals(Snapshot other) =>
             data == other.data &&
             abbreviation == other.abbreviation &&
-            custom_badge_color == other.custom_badge_color;
+            custom_badge_color == other.custom_badge_color &&
+            format == other.format;
 
          public override bool Equals(object obj) => EqualityComparer.equals_obj(this, obj);
          public override int GetHashCode() =>
             EqualityComparer.aggregate_hash(
                data.GetHashCode(),
                abbreviation?.GetHashCode() ?? 0,
-               custom_badge_color?.GetHashCode() ?? 0);
+               custom_badge_color?.GetHashCode() ?? 0,
+               (int)format);
 #if DEBUG
          public override string ToString() {
             var sb = new System.Text.StringBuilder();
             sb.Append($"name: {data.name}; ");
             sb.Append($"abbrev.: {abbreviation}; ");
             sb.Append($"badge: {custom_badge_color} ");
+            sb.Append($"fmt: {format} ");
             sb.Append($"def: {data.value}");
             return sb.ToString();
          }
@@ -453,6 +469,7 @@ namespace mbts.spark {
          public bool Equals(Snapshot x, Snapshot y) =>
             x.abbreviation == y.abbreviation &&
             x.custom_badge_color == y.custom_badge_color &&
+            x.format == y.format &&
             x.data.key == y.data.key &&
             x.data.name == y.data.name &&
             x.data.value.Equals(y.data.value);

src/client/spark/Modules/Trading/AlgoStudio/VM/AlgoStudioVM.cs

@@ -1,11 +1,7 @@
 using bts;
-using bts.api;
-using bts.api.core;
 using bts.api.orderman;
-using bts.collections;
 using bts.utils;
 using mbts.collections;
-using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.shell;
 using mbts.ui.utility;
@@ -41,6 +37,7 @@ namespace mbts.spark {
    }
 
    class AlgoStudioVM : DisposableViewModelBase {
+      static readonly AlgoFormats _studio_formats = AlgoFormats.Exchange;
       readonly OrdersModel _model;
       readonly Property<AlgoDefinitionVM> _selected_definition;
       readonly Property<IAlgoVM> _editable_content;
@@ -73,24 +70,12 @@ namespace mbts.spark {
          _revert_cmd_tooltip = backing(nameof(revert_cmd_tooltip), get_revert_tooltip);
          //
          _dispose = new CompositeDisposable(
-            _model.subscribe_complete_algos(allow_undefined_child: true).OnDispatcher().Subscribe(_definitions_update_buffer),
-            _definitions_update_buffer.OnDispatcher()
-            .SubscribeEach(u => {
-               u.FilterIncremental(a => a.key.is_composite, out var added, out var changes, out var removed);
-               AlgoCollectionHelper.update_persisted_definitions(
-                  _definitions, added, changes.New(), removed.Select(AlgoData.key_fn), algo => AlgoDefinitionVM.create(_model, algo));
+            _model.algo_model.definitions.Subscribe(_definitions_update_buffer),
+            _definitions_update_buffer.OnDispatcher().Subscribe(u => {
+               var orig_selected_def = selected_definition;
+               AlgoCollectionHelper.update_persisted_definitions(_definitions, u, d => AlgoDefinitionVM.create(model, d, _studio_formats));
                if (selected_definition == null)
                   selected_definition = definitions.FirstOrDefault();
-               // Load the algo building blocks (i.e., factory and dynamic algos):
-               //    - Composite algos cannot reference other composite algos - that would create awkward dependency issues as composite algos can be modified/deleted.
-               //    - Spreader algos are filtered out as well, because that don't actually mean anything to the algo structure.
-               //      Synthetic securities in our system are defined by a set of contract legs, and a [single]strategy.
-               //      Note: synthetic strategy templates, however, could be introduced at a later date (no reason why 1 synthetic security couldn't have several ExecutionStrategies).
-               var algo_building_blocks = new FilteredDictionary<AlgoKey, AlgoData>(
-                  u.state,
-                  a => a.key.mode == AlgoKey.Mode.Dynamic || (a.key.mode == AlgoKey.Mode.Factory && a.key.factory != CustomOrderDefinition.CustomOneofCase.Spreader));
-               return ObservableAutoWrapper.connect_item_actions(_definitions.AsCollection(),
-                  d => ((IAlgoSelector)d).load_algo_data(algo_building_blocks, null));
             }),
             _model.algo_model.metadata_service.subscribe_metadata().OnDispatcher().Subscribe(meta => {
                _persisted_meta = meta;
@@ -140,7 +125,7 @@ namespace mbts.spark {
          }
 
          void add_definition_common(CustomOrderDefinitionImmutable def, string name) {
-            var new_def = AlgoDefinitionVM.create_placeholder(_model, def, name);
+            var new_def = AlgoDefinitionVM.create_placeholder(_model, def, name, _studio_formats);
             _definitions.Add(new_def);
             selected_definition = new_def;
             request_view_focus_name?.Invoke(new_def);

src/client/spark/Modules/Trading/AlgoStudio/VM/AlgoVMWrapper.cs

@@ -0,0 +1,214 @@
+using bts.api;
+using bts.api.orderman;
+using bts.collections;
+using bts.spark;
+using mbts.spark.utilities;
+using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.shell;
+using mbts.utils;
+using System;
+using System.Collections.Generic;
+using System.Collections.ObjectModel;
+using System.Collections.Specialized;
+using System.ComponentModel;
+using System.Reactive.Disposables;
+using System.Reactive.Linq;
+using System.Threading.Tasks;
+using System.Windows.Input;
+
+namespace mbts.spark {
+   class AlgoVMWrapper : DisposableViewModelBase, IAlgoVM,
+      IObserver<SecurityMD?>,
+      IObserver<SecurityImmutable?>,
+      IObserver<OrdersModel>,
+      IObserver<AlgoEditingPermissions> {
+      static readonly HashSet<string>
+         _algo_root_echo_props = new HashSet<string> {
+            nameof(is_expanded),
+            nameof(editing_permissions),
+            nameof(definition),
+            nameof(display_name)
+         };
+      static readonly IReadOnlyDictionary<string, string>
+         _value_echo_props = new Dictionary<string, string> {
+            { nameof(AlgoDefinitionVM.name), nameof(display_name) },
+            { nameof(AlgoDefinitionVM.abbreviation), nameof(abbreviation) },
+            { nameof(AlgoDefinitionVM.badge_fill), nameof(meta) }
+         };
+      readonly ObservableAggregateCollection<IAlgoSelector> _child_algo_selectors = new ObservableAggregateCollection<IAlgoSelector>();
+      readonly ObservableAggregateCollection<IAlgoParamVM> _algo_params = new ObservableAggregateCollection<IAlgoParamVM>();
+      readonly DisposableContainer _value_hooks = new DisposableContainer();
+      Action _definition_changed = () => { };
+      _ObservedData? _data_cache;
+      AlgoDefinitionVM _value;
+
+      public AlgoVMWrapper(AlgoDefinitionVM algo_definition_vm) {
+         value = algo_definition_vm;
+         _dispose = new CompositeDisposable(_value_hooks) {
+            _child_algo_selectors.clear_collections,
+            _algo_params.clear_collections,
+            () => _value?.Dispose()
+         };
+      }
+
+      public event Action definition_changed { add => _definition_changed += value; remove => _definition_changed -= value; }
+
+      public AlgoDefinitionVM value {
+         get => _value;
+         set {
+            if (_value != value) {
+               _value?.Dispose();
+               _value = value;
+               _value_hooks.replace(_set_hooks(value));
+               RaisePropertyChanged(nameof(value));
+            }
+         }
+      }
+      public AlgoKey id => _value.key;
+      public CustomOrderDefinition.CustomOneofCase order_type => _algo_root?.order_type ?? CustomOrderDefinition.CustomOneofCase.None;
+      public OrderMetadata meta {
+         get {
+            if (_value != null) {
+               if (_value.custom_badge_color.enabled)
+                  return new OrderMetadata { Color = value.custom_badge_color.value.rgb_color(), KeyBinding = value.abbreviation.if_null_or_empty(value.name) };
+               else if (_value.algo_root != null)
+                  return _value.algo_root.meta;
+            }
+            return OrderDataHelper.get_metadata(order_type);
+         }
+      }
+      public AlgoEditingPermissions editing_permissions => _value?.editing_permissions ?? AlgoEditingPermissions.None;
+      public bool can_expand => _algo_root?.can_expand ?? false;
+      public bool is_expanded {
+         get => _value.algo_root?.is_expanded ?? false;
+         set {
+            if (_value != null)
+               _value.is_expanded = value;
+         }
+      }
+      public string display_name => _value?.name ?? string.Empty;
+      public string abbreviation => _value?.abbreviation;
+      public AlgoDisplayGroup group => _value?.group ?? AlgoDisplayGroup.BTS;
+      public CustomOrderDefinitionImmutable definition => _algo_root?.definition ?? new CustomOrderDefinitionImmutable(new CustomOrderDefinition());
+      public ObservableCollection<IAlgoSelector> child_algo_selectors => _child_algo_selectors;
+      [EditorBrowsable(EditorBrowsableState.Never)]
+      public ObservableCollection<IAlgoSelector> child_algo_selectors_view {
+         get {
+            _value?.algo_root?.ensure_init();
+            return _child_algo_selectors;
+         }
+      }
+      public IReadOnlyObservableCollection<IAlgoParamVM> algo_params => _algo_params;
+      [EditorBrowsable(EditorBrowsableState.Never)]
+      public dynamic children_vm => _algo_root?.children_vm;
+
+      IAlgoVM _algo_root => _value?.algo_root;
+
+      public void assign_to(CustomOrderDefinition value) => _algo_root?.assign_to(value);
+      public bool key_match(KeyEventArgs e) => _algo_root?.key_match(e) ?? false;
+      public void load_from(CustomOrderDefinitionImmutable value) => _algo_root?.load_from(value);
+      public void load_many(IEnumerable<CustomOrderDefinitionImmutable> values) => _algo_root?.load_many(values);
+      void IAlgoVM.ensure_init() => _value?.algo_root?.ensure_init();
+
+      IDisposable _set_hooks(AlgoDefinitionVM vm) {
+         var algo_root_subs = new DisposableContainer();
+         vm.PropertyChanged += on_value_prop_changed;
+         return new CompositeDisposable(
+            vm.observe_algo_root().Subscribe(r => {
+               algo_root_subs.replace(null);
+               _child_algo_selectors.clear_collections();
+               _algo_params.clear_collections();
+               if (r != null) {
+                  if (_data_cache.HasValue) {
+                     _data_cache.Value.forward_to(r);
+                  }
+                  _child_algo_selectors.add_collection(r.child_algo_selectors);
+                  _algo_params.add_collection(r.algo_params);
+                  ((INotifyPropertyChanged)r).PropertyChanged += on_algo_root_prop_changed;
+                  algo_root_subs.replace(new CompositeDisposable(
+                     r.subscribe_definition().Subscribe(_ => _definition_changed?.Invoke())) {
+                     () => ((INotifyPropertyChanged)r).PropertyChanged -= on_algo_root_prop_changed
+                  });
+               }
+               RaisePropertyChanged(nameof(group));
+            }),
+            algo_root_subs) {
+            () => vm.PropertyChanged -= on_value_prop_changed
+         };
+         void on_algo_root_prop_changed(object sender, PropertyChangedEventArgs e) {
+            if (_algo_root_echo_props.Contains(e.PropertyName))
+               RaisePropertyChanged(e.PropertyName);
+         }
+         void on_value_prop_changed(object sender, PropertyChangedEventArgs e) {
+            if (_value_echo_props.TryGetValue(e.PropertyName, out string wrapper_prop))
+               RaisePropertyChanged(wrapper_prop);
+         }
+      }
+
+      // permissions
+      void IObserver<AlgoEditingPermissions>.OnNext(AlgoEditingPermissions value) {
+         _data_cache = _data_cache?.with(value) ?? new _ObservedData(value, default, default, default);
+         (_algo_root as IObserver<AlgoEditingPermissions>)?.OnNext(value);
+      }
+      void IObserver<AlgoEditingPermissions>.OnError(Exception error) { }
+      void IObserver<AlgoEditingPermissions>.OnCompleted() { }
+      // model
+      void IObserver<OrdersModel>.OnNext(OrdersModel value) {
+         _data_cache = _data_cache?.with(value) ?? new _ObservedData(default, value, default, default);
+         (_algo_root as IObserver<OrdersModel>)?.OnNext(value);
+      }
+      void IObserver<OrdersModel>.OnError(Exception error) { }
+      void IObserver<OrdersModel>.OnCompleted() { }
+      // security
+      void IObserver<SecurityImmutable?>.OnNext(SecurityImmutable? value) {
+         _data_cache = _data_cache?.with(value) ?? new _ObservedData(default, default, value, default);
+         (_algo_root as IObserver<SecurityImmutable?>)?.OnNext(value);
+      }
+      void IObserver<SecurityImmutable?>.OnError(Exception error) { }
+      void IObserver<SecurityImmutable?>.OnCompleted() { }
+      // security md
+      void IObserver<SecurityMD?>.OnNext(SecurityMD? value) {
+         _data_cache = _data_cache?.with(value) ?? new _ObservedData(default, default, default, value);
+         (_algo_root as IObserver<SecurityMD?>)?.OnNext(value);
+      }
+      void IObserver<SecurityMD?>.OnError(Exception error) { }
+      void IObserver<SecurityMD?>.OnCompleted() { }
+
+      struct _ObservedData {
+         public readonly AlgoEditingPermissions permissions;
+         public readonly OrdersModel model;
+         public readonly SecurityImmutable? security;
+         public readonly SecurityMD? security_md;
+
+         public _ObservedData(AlgoEditingPermissions permissions, OrdersModel model, SecurityImmutable? security, SecurityMD? security_md) {
+            this.permissions = permissions;
+            this.model = model;
+            this.security = security;
+            this.security_md = security_md;
+         }
+
+         public void forward_to(IAlgoVM recipient) {
+            (recipient as IObserver<AlgoEditingPermissions>)?.OnNext(permissions);
+            if (model != null)
+               (recipient as IObserver<OrdersModel>)?.OnNext(model);
+            if (security_md.HasValue)
+               (recipient as IObserver<SecurityMD?>)?.OnNext(security_md);
+            if (security.HasValue)
+               (recipient as IObserver<SecurityImmutable?>)?.OnNext(security);
+         }
+
+         public _ObservedData with(AlgoEditingPermissions? permissions) =>
+            new _ObservedData(permissions ?? this.permissions, model, security, security_md);
+
+         public _ObservedData with(OrdersModel model) =>
+            new _ObservedData(permissions, model, security, security_md);
+
+         public _ObservedData with(SecurityImmutable? security) =>
+            new _ObservedData(permissions, model, security, security_md);
+
+         public _ObservedData with(SecurityMD? security_md) =>
+            new _ObservedData(permissions, model, security, security_md);
+      }
+   }
+}

src/client/spark/Modules/Trading/AlgoStudio/View/AlgoEditorGridView/AlgoEditorGridView.xaml

@@ -199,30 +199,18 @@
                 Grid.Column="1"
                 HorizontalAlignment="Center"
                 Foreground="{u:BTSColor MarketData.bid}"
+                Text="{Binding DataContext.bbo.bid_size, RelativeSource={RelativeSource AncestorType=usp:AlgoEditorGridView}}"
                 ToolTip="Best Bid Size"
-              >
-                <TextBlock.Text>
-                  <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}">
-                    <Binding Path="DataContext.bbo.bid_size" RelativeSource="{RelativeSource AncestorType=usp:AlgoEditorGridView}" Mode="OneWay"/>
-                    <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=usp:AlgoEditorGridView}" Mode="OneWay"/>
-                  </MultiBinding> 
-                </TextBlock.Text>
-              </TextBlock>
+              />
               <TextBlock
                 x:Name="ask_text"
                 Grid.Column="2"
                 HorizontalAlignment="Center"
                 Margin="4,0"
                 Foreground="{u:BTSColor MarketData.ask}"
+                Text="{Binding DataContext.bbo.ask_size, RelativeSource={RelativeSource AncestorType=usp:AlgoEditorGridView}}"
                 ToolTip="Best Ask Size"
-              >
-                <TextBlock.Text>
-                  <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}">
-                    <Binding Path="DataContext.bbo.ask_size" RelativeSource="{RelativeSource AncestorType=usp:AlgoEditorGridView}" Mode="OneWay"/>
-                    <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=usp:AlgoEditorGridView}" Mode="OneWay"/>
-                  </MultiBinding> 
-                </TextBlock.Text>
-              </TextBlock>
+              />
             </Grid>
             <DataTemplate.Triggers>
               <DataTrigger Binding="{Binding path_disambiguation}" Value="{x:Static sys:String.Empty}">
@@ -284,14 +272,6 @@
               </Grid>
             </DataTemplate>
           </u:TemplateSelectorKeyValue>
-          <!--TODO: replace all the param.value bindings with param.display_value.
-              The reason this has not already been done is that the display_value property is new,
-              and only necessary for the size param as of 6/8/2020 (slightly more uniform code doesn't warrant rocking the boat).-->
-          <u:TemplateSelectorKeyValue Key="{x:Static usp:AlgoParamTemplateKeys.Size}">
-            <DataTemplate>
-              <TextBlock Text="{Binding param.display_value}"/>
-            </DataTemplate>
-          </u:TemplateSelectorKeyValue>
         </usp:AlgoParamTemplateSelector.KeyedTemplates>
         <!--Bool-->
         <usp:AlgoParamTemplateSelector.BoolTemplate>
@@ -302,7 +282,7 @@
         <!--Double-->
         <usp:AlgoParamTemplateSelector.DoubleTemplate>
           <DataTemplate>
-            <TextBlock Text="{Binding param.display_value, Converter={StaticResource DoubleTextConverter}}"/>
+            <TextBlock Text="{Binding param.value, Converter={StaticResource DoubleTextConverter}}"/>
           </DataTemplate>
         </usp:AlgoParamTemplateSelector.DoubleTemplate>
         <!--Enum-->
@@ -380,22 +360,6 @@
               />
             </DataTemplate>
           </u:TemplateSelectorKeyValue>
-          <!--TODO: replace all the param.value bindings with param.display_value.
-              The reason this has not already been done is that the display_value property is new,
-              and only necessary for the size param as of 6/8/2020 (slightly more uniform code doesn't warrant rocking the boat).-->
-          <u:TemplateSelectorKeyValue Key="{x:Static usp:AlgoParamTemplateKeys.Size}">
-            <DataTemplate>
-              <c:TickUpDownNullableInt Focusable="False" HorizontalAlignment="Stretch" Value="{Binding param.display_value, UpdateSourceTrigger=PropertyChanged}" ArrowKeyTickModifiers="Ctrl">
-                <c:TickUpDownNullableInt.CommandBindings>
-                  <CommandBinding Command="{x:Static u:NavigationHelper.MoveFocusCommand}" Executed="{x:Static u:NavigationHelper.KeyboardMoveFocusExecuted}"/>
-                </c:TickUpDownNullableInt.CommandBindings>
-                <c:TickUpDownNullableInt.InputBindings>
-                  <KeyBinding Key="Up" Command="{x:Static u:NavigationHelper.MoveFocusCommand}" CommandParameter="{x:Static FocusNavigationDirection.Up}"/>
-                  <KeyBinding Key="Down" Command="{x:Static u:NavigationHelper.MoveFocusCommand}" CommandParameter="{x:Static FocusNavigationDirection.Down}"/>
-                </c:TickUpDownNullableInt.InputBindings>
-              </c:TickUpDownNullableInt>
-            </DataTemplate>
-          </u:TemplateSelectorKeyValue>
         </usp:AlgoParamTemplateSelector.KeyedTemplates>
         <!--Bool-->
         <usp:AlgoParamTemplateSelector.BoolTemplate>
@@ -406,7 +370,7 @@
         <!--Double-->
         <usp:AlgoParamTemplateSelector.DoubleTemplate>
           <DataTemplate>
-            <c:TickUpDownDouble x:Name="tick_up_down" Focusable="False" HorizontalAlignment="Stretch" Value="{Binding param.display_value, UpdateSourceTrigger=PropertyChanged}" ArrowKeyTickModifiers="Ctrl">
+            <c:TickUpDownDouble x:Name="tick_up_down" Focusable="False" HorizontalAlignment="Stretch" Value="{Binding param.value, UpdateSourceTrigger=PropertyChanged}" ArrowKeyTickModifiers="Ctrl">
               <c:TickUpDownDouble.CommandBindings>
                 <CommandBinding Command="{x:Static u:NavigationHelper.MoveFocusCommand}" Executed="{x:Static u:NavigationHelper.KeyboardMoveFocusExecuted}"/>
               </c:TickUpDownDouble.CommandBindings>

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

@@ -39,6 +39,31 @@ namespace mbts.spark {
          }
       }
 
+      static IDisposable _wrap_rows(AlgoDefinitionVM algo_def, ObservableAggregateCollection<AlgoParamRowVM> rows, bool include_algo_type_rows) {
+         AlgoParamRowVM root = null;
+         ObservableAggregateCollection<AlgoParamRowVM> algo_params;
+         if (include_algo_type_rows) {
+            // while normal params live and die with the selected algo-type (when the algo-type changes, they are removed, and replaced with params for the new algo type),
+            // the algo-type row is constant (it is the row with the algo-type dropdown, which the user may use to select different algos).
+            algo_params = new ObservableAggregateCollection<AlgoParamRowVM>();
+            rows.add_collection(new ObservableAppendCollection<AlgoParamRowVM>(algo_params, root = new AlgoSelectorParamRowVM(new AlgoVMWrapper(algo_def), algo_def, null)).AsReadOnly());
+         } else {
+            algo_params = rows;
+         }
+         return algo_def.observe_algo_root().SubscribeEach(a => {
+            algo_params.clear_collections();
+            if (a == null)
+               return Disposable.empty;
+            var child_rows = new ObservableAggregateCollection<AlgoParamRowVM>();
+            /// Note: the order of operations here matters
+            ///   <see cref="_wrap_rows(IAlgoVM, AlgoParamRowVM, ObservableAggregateCollection{AlgoParamRowVM}, bool)" /> has the potential to trigger a lot of CollectionChanged events (depending on how deep the algo-tree is).
+            ///   There is no need to burden the aggregate 'rows' with echoing all of these events, if the child-row collection is finished changing when it is added to the aggregate.
+            var hook = _wrap_rows(a, root, child_rows, include_algo_type_rows);
+            algo_params.add_collection(child_rows.AsReadOnly());
+            return hook;
+         });
+      }
+
       static IDisposable _wrap_rows(IAlgoVM algo_root, AlgoParamRowVM parent, ObservableAggregateCollection<AlgoParamRowVM> all_rows, bool include_algo_type_rows) {
          var wrapped_params = new ObservableAutoWrapper<AlgoParamRowVM, IAlgoParamVM>(algo_root.algo_params, pvm => new AlgoParamRowVM(algo_root, pvm, parent));
          var selector_params = new ObservableCollection<AlgoParamRowVM>();
@@ -60,4 +85,4 @@ namespace mbts.spark {
          }
       }
    }
-}
+}

src/client/spark/Modules/Trading/AlgoStudio/View/AlgoEditorView.xaml

@@ -106,7 +106,7 @@
     </GroupBox.Header>
     <ContentControl
       Grid.IsSharedSizeScope="True"
-      Content="{Binding algo_root}"
+      Content="{Binding algo_root, Converter={x:Static usp:AlgoContentTemplateSelector.DataContextConverter}}"
       ContentTemplateSelector="{StaticResource AlgoTemplateSelector}"
       Margin="{StaticResource Margin.TP1}"
       Visibility="{Binding algo_root.can_expand, Converter={StaticResource BooleanToVisibilityConverter}}"

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

@@ -5,6 +5,7 @@ using bts.collections;
 using bts.shell.fills;
 using bts.spark;
 using bts.utils;
+using bts.utils.csv;
 using mbts.collections;
 using mbts.persist;
 using mbts.spark.filters;
@@ -23,6 +24,7 @@ using System.Linq;
 using System.Reactive.Disposables;
 using System.Reactive.Linq;
 using System.Windows.Data;
+using System.Windows.Input;
 using System.Windows.Media;
 using static bts.api.orderman.Fill.Types;
 using static bts.shell.FillsWindowFactory;
@@ -122,7 +124,7 @@ namespace mbts.spark {
          add_col(Columns.Account, DefaultColumnHeaders.Account, r => r.account, dv_filter_rx(_model.factory.subscribe_accounts().Select(d => d.Values.Ordered()), r => r.account), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.Account);
          add_col(Columns.Exchange, DefaultColumnHeaders.Exchange, r => r.exchange.ToString(), dv_filter(EnumHelper.get_values<Venue>().ToArray(), r => r.security.exchange_or_default()), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.Exchange);
          add_col(Columns.TimeInForce, DefaultColumnHeaders.TimeInForce, r => r.time_in_force.ToString(), dv_filter(EnumHelper.get_values<TimeInForce>().ToArray(), r => r.order?.time_in_force() ?? TimeInForce.Undefined), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.TimeInForce);
-         add_col(Columns.Size, DefaultColumnHeaders.Size, r => r.display_size.ToString(), new DoubleMinMax<FillTuple>(r => r.fill.LastShares), DataGridFilterKnownTemplates.UIntMinMax, DefaultColumnWidths.Size);
+         add_col(Columns.Size, DefaultColumnHeaders.Size, r => r.size.ToString(), new DoubleMinMax<FillTuple>(r => r.fill.LastShares), DataGridFilterKnownTemplates.UIntMinMax, DefaultColumnWidths.Size);
          add_col(Columns.Price, DefaultColumnHeaders.Price, r => r.format_price(r.price), new DoubleMinMax<FillTuple>(r => r.fill.LastPrice), DataGridFilterKnownTemplates.DoubleMinMax, DefaultColumnWidths.Price);
          add_col(Columns.FillKind, DefaultColumnHeaders.FillKind, r => r.fill_kind.ToString(), dv_filter(EnumHelper.get_values<FillKind>().ToArray(), r => r.fill.FillKind), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.FillKind);
          add_col(Columns.FillStatus, DefaultColumnHeaders.FillStatus, r => r.fill_status.ToString(), dv_filter(EnumHelper.get_values<FillStatus>().ToArray(), r => r.fill.FillStatus), DataGridFilterKnownTemplates.DiscreteValues, DefaultColumnWidths.FillKind);
@@ -286,7 +288,6 @@ namespace mbts.spark {
          Color? _root_algo_badge_color;
          OrderMetadata _order_metadata;
          bool _is_selected;
-         double? _display_size;
 
          public Row(FillTuple fill_tuple, OrdersModel model) : 
             base(fill_tuple.security ?? SecurityDataHelper.Defaults.SecurityImmutable) {
@@ -307,12 +308,11 @@ namespace mbts.spark {
          public Side side => _fill.Side;
          public double price => _fill.LastPrice;
          public double size => _fill.LastShares;
-         public double display_size => _display_size ??
-            (_display_size = size.safe_divide(_model.security_auxiliary_model.get_display_quantity_divisor(security))).Value;
          public FillKind fill_kind => _fill.FillKind;
          public FillStatus fill_status => _fill.FillStatus;
          public string fill_key => _fill.FillKey;
          public string order_key => _order.Key.ToString();
+         public string symbol => fill_tuple.security?.Symbol;
          public bool is_selected {
             get => _is_selected;
             set => Set(ref _is_selected, value);
@@ -333,6 +333,28 @@ namespace mbts.spark {
          public override bool Equals(object obj) => Equals(obj as Row);
          public override int GetHashCode() => _fill.FillKey.GetHashCode() ^ _order.Key.GetHashCode();
 
+         public static System.Collections.Specialized.OrderedDictionary csv_ordered_properties =>
+            CsvHelper.create_ordering_maintainer(typeof(Row),
+               new string[] {
+                  nameof(security),
+                  nameof(symbol),
+                  nameof(order_type),
+                  nameof(root_algo_display_name),
+                  nameof(side),
+                  nameof(fill_time),
+                  nameof(user),
+                  nameof(account),
+                  nameof(exchange),
+                  nameof(time_in_force),
+                  nameof(size),
+                  nameof(price),
+                  nameof(fill_kind),
+                  nameof(fill_status),
+                  nameof(fill_key),
+                  nameof(order_key),
+                  nameof(security_key)
+               });
+
          public event Action invalidated;
          void IRowVM.raise_invalidated() => invalidated?.Invoke();
       }

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

@@ -87,15 +87,6 @@ namespace mbts.spark {
       public static bool operator !=(LadderColumnSettings x, LadderColumnSettings y) => !(x == y);
    }
 
-   [ProtoContract]
-   class LadderOrderLimits : IEquatable<LadderOrderLimits> {
-      [ProtoMember(1)]
-      public ToggleInt32Proto max_settlement_cross_ticks { get; set; }
-
-      public bool Equals(LadderOrderLimits other) =>
-         other != null && max_settlement_cross_ticks == other.max_settlement_cross_ticks;
-   }
-
    [ProtoContract]
    class HistogramBarAnimation : IEquatable<HistogramBarAnimation> {
       // this class is 100% mutable (there are literally 0 readonly members),
@@ -323,8 +314,6 @@ namespace mbts.spark {
    // Settings are liable to change in the near future, so an internal IEqualityComparer simply won't do as it risks becoming out of date.
    [ProtoContract]
    class LadderSettings : IEquatable<LadderSettings> {
-      // RESERVED ProtoMember indices
-      //    900-999: dj settings
       const double _default_order_entry_panel_width = 110.0;
       const double _default_zoom_factor = 1.0;
       const bool _default_show_warn_on_cross = true;
@@ -603,9 +592,6 @@ namespace mbts.spark {
       [ProtoMember(61), DefaultValue(true)]
       public bool status_message_visible { get; set; }
 
-      [ProtoMember(900)]
-      public LadderOrderLimits ladder_order_limits { get; set; }
-
       public void sanitize() =>
          sanitize(this);
 
@@ -711,8 +697,7 @@ namespace mbts.spark {
          a.enforce_max_clip == b.enforce_max_clip &&
          a.max_clip == b.max_clip &&
          a.price_display_format == b.price_display_format &&
-         a.status_message_visible == b.status_message_visible &&
-         a.ladder_order_limits.safe_equals(b.ladder_order_limits);
+         a.status_message_visible == b.status_message_visible;
 
       public bool Equals(LadderSettings other) =>
          profile_equals(this, other) &&

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

@@ -100,7 +100,6 @@ namespace bts.shell {
          ShellWindowVM shell_window_vm = null;
          IShellWindow shell_window = null;
          var title_source = new LazyObservable<string>(() => ShellWindowExtensions.literal_title_source(shell_window, shell_window_vm));
-         LadderVM vm = null;
          var view = new Lazy<UIElement>(() => {
             // resources
             var model = new LadderModel(md, _orders_model, _mbo);
@@ -114,6 +113,7 @@ namespace bts.shell {
             /// In response to that event, 'needs_resync' is set to true. This causes 'last_value' to be refreshed when the next caller requests the latest settings
             /// (i.e., an IObserver subscribing to the settings_source, or the settings-dialog viewmodel).
             bool initialized = false, needs_resync = false;
+            LadderVM vm = null;
             var settings_subject = new Subject<LadderSettings>();
             var settings_source = Observable.Create<LadderSettings>(o => {
                ensure_synced();
@@ -272,11 +272,10 @@ namespace bts.shell {
             (v, s) => save(_get_state(((LadderView)v).vm, settings_id), s),
             icon: Icons.Ladder,
             thread_id: _thread_id_provider.next_id(),
-            swvm => {
-               shell_window_vm = swvm;
+            vm => {
+               shell_window_vm = vm;
                title_source.connect();
-            },
-            key_event_args => vm?.key_down(key_event_args));
+            });
       }
 
       async void _show_windows(IImmutableSet<uint> securities) {

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

@@ -4,7 +4,6 @@ using bts.shell.orderbook;
 using mbts.persist;
 using mbts.ui;
 using mbts.ui.shell;
-using mbts.ui.spark;
 using System;
 using System.Collections;
 using System.Collections.Generic;
@@ -144,7 +143,7 @@ namespace mbts.spark {
             string candidate = string.Empty;
             if (a.HasValue) {
                var algo_name = a.Value.name;
-               var words = algo_name.Split(delim, StringSplitOptions.RemoveEmptyEntries);
+               var words = algo_name.Split(delim);
                if (words.Length == 1) {
                   var single_word = words[0];
                   if (single_word.Length > 1) {
@@ -153,7 +152,7 @@ namespace mbts.spark {
                      candidate = single_word;
                   }
                } else {
-                  candidate = string.Join(string.Empty, words.Take(2).Select(w => w.Substring(0, 1)));
+                  candidate = words.Take(2).Select(w => w.Substring(0, 1)).list_string(string.Empty);
                }
             }
             return candidate.ToUpper();
@@ -170,8 +169,7 @@ namespace mbts.spark {
       }
 
       private void _set_badge_text() {
-         var fmt = MDDisplayHelper.get_value_formatter(_owner.display_quantity_divisor);
-         text_lines = BadgeRender.format(side, quantity, filled, _current_badge_style, fmt);
+         text_lines = BadgeRender.format(side, quantity, filled, _current_badge_style);
          RaisePropertyChanged(nameof(text_lines));
       }
 

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

@@ -3,11 +3,9 @@ using bts.api;
 using bts.api.orderman;
 using bts.collections;
 using bts.persist.algo;
-using bts.proto;
 using bts.shell.orderbook;
 using bts.utils;
 using mbts.collections;
-using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.controls;
 using mbts.ui.controls.color_picker;
@@ -46,8 +44,7 @@ namespace mbts.spark {
       LadderSettings.NetChangeTerms _price_format;
       LadderSettings.PriceDisplayFormat _price_display_format;
       double _order_entry_panel_width, _zoom_factor;
-      bool _auto_clear, _show_warn_on_cross, _enforce_max_clip, _enforce_max_settlement_cross_ticks;
-      int _max_settlement_cross_ticks;
+      bool _auto_clear, _show_warn_on_cross, _enforce_max_clip;
       LadderSettings _current;
       LadderColumnSettingsVM
          _orders = new OrdersColumnSettingsVM(),
@@ -116,16 +113,7 @@ namespace mbts.spark {
          foreach (var c in _observable_components)
             c.PropertyChanged += on_prop_changed;
          favorite_algos_vm.items.CollectionChanged += on_favorite_algo_items_CollectionChanged;
-         _algo_definitions.AddRange(_model.get_permitted_algos(security).factory_types
-            .Select(OrderDataHelper.Defaults.CustomOrderDefinitionImmutable)
-            .Select(AlgoData.from_custom_def)
-            .Select(algo_factory));
-         _algo_definitions.AddRange(_model.get_permitted_algos(security).dynamic_types
-            .Select(dyn_type => new CustomOrderDefinitionImmutable(new CustomOrderDefinition {
-               Dynamic = _model.dynamic_helper.create_def(dyn_type)
-            }))
-            .Select(AlgoData.from_custom_def)
-            .Select(algo_factory));
+         _algo_definitions.AddRange(_model.factory.default_algos(security).Values.Select(algo_factory));
          _dispose = new CompositeDisposable(
             _model.factory.subscribe_accounts().OnDispatcher().Subscribe(acc_map => {
                _accounts.SyncWithDictionary(MappedDictionary.create(acc_map, account_factory));
@@ -154,7 +142,7 @@ namespace mbts.spark {
                c.PropertyChanged -= on_prop_changed;
          }
          AccountTuple? account_factory(uint key, string name) => new AccountTuple(key, name);
-         AlgoDefinitionVM algo_factory(AlgoData data) => AlgoDefinitionVM.create(_model, data);
+         AlgoDefinitionVM algo_factory(AlgoData data) => AlgoDefinitionVM.create(_model, data, is_synthetic ? AlgoFormats.Spreader : AlgoFormats.Exchange);
       }
 
       public event Action result_changed;
@@ -202,8 +190,6 @@ namespace mbts.spark {
       public bool show_warn_on_cross { get => _show_warn_on_cross; set => Set(ref _show_warn_on_cross, value); }
       public bool enforce_max_clip { get => _enforce_max_clip; set => Set(ref _enforce_max_clip, value); }
       public uint max_clip { get => _max_clip.Value; set => _max_clip.Value = value; }
-      public bool enforce_max_settlement_cross_ticks { get => _enforce_max_settlement_cross_ticks; set => Set(ref _enforce_max_settlement_cross_ticks, value); }
-      public int max_settlement_cross_ticks { get => _max_settlement_cross_ticks; set => Set(ref _max_settlement_cross_ticks, value); }
 
       // favorites
       public FavoriteAlgosVM favorite_algos_vm { get; }
@@ -384,10 +370,6 @@ namespace mbts.spark {
             show_warn_on_cross = settings.show_warn_on_cross;
             enforce_max_clip = settings.enforce_max_clip;
             max_clip = settings.max_clip;
-            if (settings.ladder_order_limits != null) {
-               enforce_max_settlement_cross_ticks = settings.ladder_order_limits.max_settlement_cross_ticks.is_enabled;
-               max_settlement_cross_ticks = settings.ladder_order_limits.max_settlement_cross_ticks.value;
-            }
          }
       }
 
@@ -466,10 +448,6 @@ namespace mbts.spark {
          clone.show_warn_on_cross = show_warn_on_cross;
          clone.enforce_max_clip = enforce_max_clip;
          clone.max_clip = max_clip;
-         if (clone.ladder_order_limits == null)
-            clone.ladder_order_limits = new LadderOrderLimits();
-         clone.ladder_order_limits.max_settlement_cross_ticks =
-            new ToggleInt32Proto(max_settlement_cross_ticks, enforce_max_settlement_cross_ticks);
          return clone;
       }
 

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

@@ -1,6 +1,6 @@
 using bts.api;
 using bts.api.orderman;
-using bts.proto;
+using bts.collections;
 using bts.shell;
 using bts.spark;
 using bts.utils;
@@ -8,7 +8,6 @@ using mbts.co2;
 using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.shell;
-using mbts.ui.spark;
 using mbts.utils;
 using System;
 using System.Collections.Generic;
@@ -67,8 +66,6 @@ namespace mbts.spark {
          current_settings = init;
          this.settings = settings;
          _equality = TickUtils.tick_equality_comparer(_model.security.ContractSpec);
-         display_quantity_divisor = model.order_gateway.security_auxiliary_model.get_display_quantity_divisor(model.security);
-         size_calculator.display_divisor = display_quantity_divisor;
          _slot_price_vs_orders = new Dictionary<double, LadderOrderVM>(_equality);
          this.order_properties_vm = order_properties_vm;
          _high = backing(nameof(high), double.NaN);
@@ -260,11 +257,7 @@ namespace mbts.spark {
 
       public IBus bus => _bus;
 
-      public event Action
-         on_tick,
-         request_settings_dialog,
-         request_recenter,
-         settings_invalidated;
+      public event Action on_tick, request_settings_dialog, settings_invalidated;
 
       public MDConsumerHandle md => _model.md;
       // we return only entries who have piqs and whose piqs are not uint.Max
@@ -299,7 +292,6 @@ namespace mbts.spark {
          remove => _on_disposed_impl -= value;
       }
       public SecurityImmutable security => _model.security;
-      public uint display_quantity_divisor { get; }
       public LadderSettings current_settings { get; private set; }
       public double high => _high.Value;
       public double low => _low.Value;
@@ -377,14 +369,14 @@ namespace mbts.spark {
          get {
             string rv = null;
             if (show_day_position)
-               rv = SparkUtils.fmt_position(day_position / display_quantity_divisor);
+               rv = SparkUtils.fmt_position(day_position);
             if (show_raw_day_position) {
-               var raw_day_text = SparkUtils.fmt_position(raw_day_position / display_quantity_divisor);
+               var raw_day_text = SparkUtils.fmt_position(raw_day_position);
                rv = rv == null ? raw_day_text : $"{rv} / {raw_day_text}";
             }
             if (show_account_position) {
-               var acc_text = SparkUtils.fmt_position(position / display_quantity_divisor);
-               rv = rv == null ? acc_text : $"{rv} ({acc_text})";
+               var acc_text = SparkUtils.fmt_position(position);
+               rv = rv == null ? SparkUtils.fmt_position(position) : $"{rv} ({acc_text})";
             }
             return rv ?? "";
          }
@@ -398,8 +390,7 @@ namespace mbts.spark {
       public uint last_column_width { get => _last_column_width.Value; set => _last_column_width.set(value); }
       public uint piq_column_width { get => _piq_column_width.Value; set => _piq_column_width.set(value); }
       public uint volume_column_width { get => _volume_column_width.Value; set => _volume_column_width.set(value); }
-      public uint actual_alternate_order_size =>
-         (current_settings?.alternate_order_size ?? 0) * Math.Max(1, display_quantity_divisor);
+      public uint alternate_order_size_from_settings => current_settings.alternate_order_size;
       public bool show_warn_on_cross_from_settings => current_settings.show_warn_on_cross;
       public bool enforce_max_clip_from_settings => current_settings.enforce_max_clip;
       public uint max_clip_from_settings => current_settings.max_clip;
@@ -453,27 +444,15 @@ namespace mbts.spark {
       public void key_down(KeyEventArgs e) {
          if (order_properties_vm == null)
             return;
-         switch (e.Key) {
-            case Key.Space:
-               if (KeyboardExtensions.IsShiftDown()) {
-                  // only recenter this ladder
-                  request_recenter?.Invoke();
-               } else {
-                  // recenter all ladders
-                  _bus?.post(SparkTags.RequestRecenterLadder, null);
-               }
-               e.Handled = true;
-               break;
-            default:
-               // the ctrl modifier requirement helps avoid keyboard-input collisions w/ algo-templates popup
-               if (KeyboardExtensions.IsCtrlDown()) {
-                  var new_algo = order_properties_vm.algo_definitions.FirstOrDefault(o => o.algo_root.key_match(e));
-                  if (new_algo != null) {
-                     order_properties_vm.selected_algo_definition = new_algo;
-                     e.Handled = true;
-                  }
-               }
-               break;
+         if (KeyboardExtensions.IsDown(Key.Space)) {
+            _bus?.post(SparkTags.RequestRecenterLadder, null);
+         }
+         // the ctrl modifier requirement helps avoid keyboard-input collisions w/ algo-templates popup
+         if (!KeyboardExtensions.IsCtrlDown()) return;
+         var new_algo = order_properties_vm.algo_definitions.FirstOrDefault(o => o.algo_root.key_match(e));
+         if (new_algo != null) {
+            order_properties_vm.selected_algo_definition = new_algo;
+            e.Handled = true;
          }
       }
 
@@ -490,11 +469,11 @@ namespace mbts.spark {
       public Task send_order_async((double price, Side? side, MouseButton button) args) {
          if (order_properties_vm != null && args.button != MouseButton.Middle) {
             var size_from_alternate = args.button == MouseButton.Right;
-            if (!DoubleHelper.IsNaNOrInfinity(args.price) && args.side.HasValue && !HasErrors && !order_properties_vm.HasErrors && (!size_from_alternate || actual_alternate_order_size > 0)) {
+            if (!DoubleHelper.IsNaNOrInfinity(args.price) && args.side.HasValue && !HasErrors && !order_properties_vm.HasErrors && (!size_from_alternate || current_settings.alternate_order_size > 0)) {
                if (!size_from_alternate && (!size_calculator.value.HasValue || size_calculator.value.Value == 0)) {
                   size_calculator.flash_error();
                } else {
-                  uint size = size_from_alternate ? actual_alternate_order_size : (uint)Math.Abs(size_calculator.value ?? 0);
+                  uint size = size_from_alternate ? current_settings.alternate_order_size : (uint)Math.Abs(size_calculator.value ?? 0);
                   // enforce max clip
                   if (enforce_max_clip_from_settings && size > max_clip_from_settings) {
                      size = max_clip_from_settings;
@@ -507,10 +486,6 @@ namespace mbts.spark {
       }
 
       public async Task send_order_async(Side side, uint size, double price) {
-         if (!_validate_price(side, price, out var invalid_price_msg)) {
-            status_update(new Activity { security = security, message = invalid_price_msg, category = ActivityLogCategory.order });
-            return;
-         }
          var order = order_properties_vm.create(side);
          if (order.CustomDef != null) {
             if (order.CustomDef.Stop != null) {
@@ -531,7 +506,7 @@ namespace mbts.spark {
          if (fav_algo != null) {
             if (_favorite_algo_map.TryGetValue(fav_algo.key, out var d)) {
                if (!d.flags.HasFlag(LadderFavoriteAlgoFlags.Sticky) && !order_properties_vm.try_pop_selected_algo_definition()) {
-                  var key = new AlgoKey(OrderDataHelper.get_default_algo(security.ContractCase));
+                  var key = new AlgoKey(OrderDataHelper.get_default_algo(OrderDataHelper.get_algo_format(security.ContractCase)));
                   if (order_properties_vm.try_get_algo_definition(key, out var r)) {
                      order_properties_vm.selected_algo_definition = r;
                   }
@@ -542,23 +517,6 @@ namespace mbts.spark {
          }
       }
 
-      bool _validate_price(Side side, double price, out string msg) {
-         msg = null;
-         if (!price.is_real()) {
-            msg = "not a real number";
-         } else if (settlement.is_real()) {
-            var ticks_from_settle = security.ContractSpec.tickdiff(price, settlement);
-            if (ticks_from_settle.HasValue) {
-               var max_cross = (current_settings?.ladder_order_limits?.max_settlement_cross_ticks)?.as_nullable();
-               if (max_cross.HasValue) {
-                  if (side == Side.Sell ? ticks_from_settle < (-1 * max_cross.Value) : ticks_from_settle > max_cross.Value)
-                     msg = $"exceeds settle cross ticks limit ({ticks_from_settle.Value})";
-               }
-            }
-         }
-         return msg == null;
-      }
-
       void _update_header() {
          bool last_updated = md.get_last_trade(ref _last_trade_time, out NativePriceSize last, out DateTime time, out ulong volume);
          if (_misc_time != _model.md.misc_timestamp || last_updated) {

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

@@ -46,12 +46,12 @@ namespace mbts.spark {
       void _reset_ladder_vm() {
          if (_value == null && !_security_md.HasValue)
             return;
-         _value?.Dispose();
-         _value = _security_md.HasValue ?
-            LadderVM.create_readonly(_bus,
-               new LadderModel(security_md.Value, _model, _model.mbo_service,
-               new Func<OrderSecurity, bool>(osec => _selected_order_tree.Contains(osec.order.Key))),
-               Observable.Return(LadderSettings.sanitize(LadderSettings.Default))) : null;
+         Disposable.replace(ref _value,
+            _security_md.HasValue ?
+               LadderVM.create_readonly(_bus,
+                  new LadderModel(security_md.Value, _model, _model.mbo_service,
+                  new Func<OrderSecurity, bool>(osec => _selected_order_tree.Contains(osec.order.Key))),
+                  Observable.Return(LadderSettings.sanitize(LadderSettings.Default))) : null);
          RaisePropertyChanged(nameof(value));
       }
    }

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

@@ -53,7 +53,7 @@ namespace mbts.spark {
       readonly RefValueContainer<IEnumerable<VolumeAtPriceLevelImmutable>> _volume_container =
          new RefValueContainer<IEnumerable<VolumeAtPriceLevelImmutable>>();
 
-      IDisposable _settings_sub, _volume_sub, _tick_sub, _vm_sub;
+      IDisposable _settings_sub, _volume_sub, _tick_sub;
       ScrollViewer _scrollViewer;
       LadderSettings _settings;
       LadderVM _vm;
@@ -66,8 +66,7 @@ namespace mbts.spark {
       double _last_origin_price;
       MarketBreakLines _mkt_break_lines;
       NativePriceSize _last_trade;
-      Func<NativePriceSize, string> _fmt_mkt_depth_item_impl = MDDisplayHelper.get_formatter_nps(MarketSizeDisplay.get_default());
-      Func<uint, string> _fmt_mkt_quantity_impl = v => v.ToString();
+      Func<NativePriceSize, string> _fmt_size = MDDisplayHelper.get_formatter_nps(MarketSizeDisplay.get_default());
       int _old_tooltip_row = int.MaxValue;
       NativePriceSize? _old_last_trade;
       string _direction_arrow = string.Empty;
@@ -353,9 +352,7 @@ namespace mbts.spark {
                return;
             }
          } else if (_vm != null) {
-            uint size = e.ChangedButton == MouseButton.Right ?
-               _vm.actual_alternate_order_size :
-               _vm.size_calculator.value ?? 0;
+            uint size = e.ChangedButton == MouseButton.Right ? _vm.alternate_order_size_from_settings : _vm.size_calculator.value ?? 0;
             
             // does the size violate the local max clip
             if (_vm.enforce_max_clip_from_settings && size > _vm.max_clip_from_settings) {
@@ -471,7 +468,7 @@ namespace mbts.spark {
             security_id: _vm.model.security.Id,
             price_level: price_for_point(point)
          );
-         var model = new MBOPopupModel(_vm.model.mbo_service, _vm.model.security, query, fmt_mbo_qty);
+         var model = new MBOPopupModel(_vm.model.mbo_service, _vm.model.security, query);
          // Load the first set of orders so we know if there are any before showing the popup
          var result = await model.load_orders();
          if (result.success && result.value.orders.Count > 0) {
@@ -492,8 +489,6 @@ namespace mbts.spark {
             };
             view.RequestClose += (o, _) => popup.IsOpen = false;
          }
-         string fmt_mbo_qty(int value) =>
-            value < 0 ? $"-{_fmt_mkt_quantity((uint)value)}" : _fmt_mkt_quantity((uint)value);
       }
 
       protected override void OnMouseDoubleClick(MouseButtonEventArgs e) {
@@ -539,44 +534,13 @@ namespace mbts.spark {
          _size_from_row(row, _price_list, _asks, _vm.security.ContractSpec);
 
       uint _volume_from_row(int row) {
-         const int max_tries = 3;
-         var errors = new List<string>(0);
-         int num_tries = 0;
-         for (; num_tries < max_tries; num_tries++) {
-            try {
-               var rv = impl();
-               if (num_tries > 0) {
-                  log_errors(true);
-               }
-               return rv;
-            } catch (Exception ex) {
-               errors.Add(ex.ToString());
-            }
-         }
-         log_errors(false);
-         return 0;
-
-         void log_errors(bool succeeded) {
-            // Only log distinct errors to avoid useless noise.
-            // It's likely that the exception will always be the same (IndexOutOfRange),
-            // however, this bug is not fully understood, so assume nothing.
-            var error_msg = string.Join("; ", errors.Distinct());
-            if (succeeded) {
-               Log.Ui.error($"Ladder '{security}' got volume for row at index '{row}' after {num_tries + 1} attempts (price_list array length is {_price_list.Length}).  The following exceptions were observed: {error_msg}");
-            } else {
-               Log.Ui.error($"Ladder '{security}' failed to get volume for row at index '{row}' after {max_tries} attempts (price_list array length is {_price_list.Length}): {error_msg}");
-            }
-         }
-
-         uint impl() {
-            if (_price_list.SafeTryGetAt(row, out var price)) {
-               var vapls = _volume_container.read_new_value();
-               if (vapls != null) {
-                  return vapls.SelectFirstOrDefault(v => MathUtils.epsilon_equals(v.Price, price), v => v.Volume);
-               }
-            }
-            return 0u;
+         if (_price_list.SafeTryGetAt(row, out var price)) {
+            var vapls = _volume_container.read_new_value();
+            if (vapls != null) {
+               return vapls.SelectFirstOrDefault(v => MathUtils.epsilon_equals(v.Price, price), v => v.Volume);
+            } 
          }
+         return 0u;
       }
 
 
@@ -661,7 +625,7 @@ namespace mbts.spark {
             }
             void render_market_col(NativePriceSize[] depth) {
                var mid = LadderRender.index_of(_price_list, _last_origin_price, _price_comparer);
-               LadderRender.render_sizes(column.visual_tup.visual, column.visual_tup.glyph_context, mid, _price_list, depth, _settings.row_height, security.ContractSpec, column.settings, _fmt_mkt_depth_item);
+               LadderRender.render_sizes(column.visual_tup.visual, column.visual_tup.glyph_context, mid, _price_list, depth, _settings.row_height, security.ContractSpec, column.settings, _fmt_size);
             }
          }
          _apply_column_visual_offset();
@@ -699,22 +663,10 @@ namespace mbts.spark {
             _price_comparer = Comparer<double>.Create((x, y) => security.ContractSpec.tick_equals(x, y) ? 0 : y.CompareTo(x));
             _price_dirty = true;
             _piq_dirty = true;
-            // **use local vm to protect against re-assignment,
-            // so the events are unhooked from the same instance to which they were added
-            // when the subs are disposed.
-            var local_vm = _vm;
-            local_vm.on_tick += _tick;
-            local_vm.request_recenter += on_request_recenter;
+            _vm.on_tick += _tick;
             _settings_sub = _vm.settings.OnDispatcher().Subscribe(_settings_updated);
             _volume_sub = _vm.model.order_gateway.md_auxiliary_model.security_volume_at_price(security.Id).Subscribe(t => _volume_container.write_value(t.state.Values));
-            // **unhook from local_vm.request_recenter.
-            // todo: organize these subs into a single entity, prob _vm_subs.
-            // This hasn't already been done bc the ladder a bit fragile, so changes must be carefully implemented,
-            // with meticulous attention to detail.
-            _tick_sub = Disposable.Create(() => local_vm.on_tick -= _tick);
-            _vm_sub = Disposable.Create(() => local_vm.request_recenter -= on_request_recenter);
-            void on_request_recenter() =>
-               RecenterCommand?.ExecuteIfCan(null);
+            _tick_sub = Disposable.Create(() => _vm.on_tick -= _tick);
          }
       }
 
@@ -751,7 +703,7 @@ namespace mbts.spark {
                   _hide_tool_tip();
                }
 
-               tooltip_view.Content = _fmt_mkt_quantity(volume);
+               tooltip_view.Content = $"{volume}";
                tooltip_view.IsOpen = true;
                this.ToolTip = tooltip_view;
             } else {
@@ -867,7 +819,7 @@ namespace mbts.spark {
                if (last_trade_changed) {
                   var last_index = LadderRender.index_of(_price_list, _last_trade.price, _price_comparer);
                   if (last_index > 0)
-                     LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column, _fmt_mkt_quantity);
+                     LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column);
                }
                if (depth_changed)
                   _refresh_sizes();
@@ -909,21 +861,21 @@ namespace mbts.spark {
       void _refresh_last_trade() {
          var last_index = LadderRender.index_of(_price_list, _last_trade.price, _price_comparer);
          if (last_index > 0)
-            LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column, _fmt_mkt_quantity);
+            LadderRender.render_last(_last_vis_tup.visual, _last_vis_tup.glyph_context, _last_trade, last_index, _settings.row_height, _settings.last_column);
       }
 
       void _refresh_piq() {
          if (!_settings.piq_column.show)
             return;
          int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
-         LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, origin_index, _price_list, _vm.price_vs_piq, _settings.row_height, security.ContractSpec, _settings.piq_column, _fmt_mkt_quantity);
+         LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, origin_index, _price_list, _vm.price_vs_piq, _settings.row_height, security.ContractSpec, _settings.piq_column);
       }
 
       void _refresh_sizes() {
          Log.assert_d(_price_list != null);
          int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
-         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, _bids, _settings.row_height, security.ContractSpec, _settings.bid_column, _fmt_mkt_depth_item);
-         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, _asks, _settings.row_height, security.ContractSpec, _settings.ask_column, _fmt_mkt_depth_item);
+         LadderRender.render_sizes(_bid_vis_tup.visual, _bid_vis_tup.glyph_context, origin_index, _price_list, _bids, _settings.row_height, security.ContractSpec, _settings.bid_column, _fmt_size);
+         LadderRender.render_sizes(_ask_vis_tup.visual, _ask_vis_tup.glyph_context, origin_index, _price_list, _asks, _settings.row_height, security.ContractSpec, _settings.ask_column, _fmt_size);
       }
 
       /// <summary>
@@ -945,17 +897,7 @@ namespace mbts.spark {
          if (vapls != null) {
             Log.assert_d(_price_list != null);
             var last_index = LadderRender.index_of(_price_list, _last_trade.price, _price_comparer);
-            LadderRender.render_volumes(
-               _volume_vis_tup.visual,
-               _volume_vis_tup.glyph_context,
-               _price_list,
-               vapls,
-               _settings.row_height,
-               security.ContractSpec,
-               _settings.volume_column,
-               last_index,
-               _get_last_arrow_string(),
-               _fmt_mkt_quantity);
+            LadderRender.render_volumes(_volume_vis_tup.visual, _volume_vis_tup.glyph_context, _price_list, vapls, _settings.row_height, security.ContractSpec, _settings.volume_column, last_index, _get_last_arrow_string());
             _old_last_trade = _last_trade;
          }
 
@@ -978,7 +920,7 @@ namespace mbts.spark {
             } 
             // regardless of if we've arrived here via a new Last (and new direction arrow)
             // or we're reusing the old one, this format bit is the same
-            return $"{_direction_arrow} {_fmt_mkt_quantity(_last_trade.size)} ";
+            return $"{_direction_arrow} {_last_trade.size} ";
          }
       }
 
@@ -1083,7 +1025,7 @@ namespace mbts.spark {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
          return double.IsNaN(best_bid) ?
-            double.IsNaN(best_ask) ? _vm.settlement : security.ContractSpec.tickdown(best_ask) :
+            double.IsNaN(best_ask) ? _vm.low : security.ContractSpec.tickdown(best_ask) :
             best_bid;
       }
 
@@ -1091,7 +1033,7 @@ namespace mbts.spark {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
          return double.IsNaN(best_ask) ?
-            double.IsNaN(best_bid) ? _vm.settlement : best_bid :
+            double.IsNaN(best_bid) ? security.ContractSpec.tickdown(_vm.high) : best_bid :
             security.ContractSpec.tickdown(best_ask);
       }
 
@@ -1099,7 +1041,7 @@ namespace mbts.spark {
          double best_bid = _get_top_price(_bids);
          double best_ask = _get_top_price(_asks);
          return double.IsNaN(best_bid) ?
-            double.IsNaN(best_ask) ? _vm.settlement : security.ContractSpec.tickdown(best_ask) :
+            double.IsNaN(best_ask) ? 0.5 * (_vm.low + _vm.high) : security.ContractSpec.tickdown(best_ask) :
             double.IsNaN(best_ask) ? best_bid : TickUtils.mid_tick(security.ContractSpec, best_bid, best_ask);
       }
 
@@ -1136,9 +1078,7 @@ namespace mbts.spark {
          GlyphContext glyph_context(LadderColumnSettings cs) =>
             GlyphContext.create(cs.font_family, cs.font_weight);
 
-         var mkt_qty_display_divisor = _vm?.display_quantity_divisor ?? 1;
-         _fmt_mkt_depth_item_impl = MDDisplayHelper.get_formatter_nps(_settings.size_display, mkt_qty_display_divisor);
-         _fmt_mkt_quantity_impl = MDDisplayHelper.get_value_formatter(mkt_qty_display_divisor);
+         _fmt_size = MDDisplayHelper.get_formatter_nps(_settings.size_display);
          _set_columns();
          _apply_column_visual_offset();
          if (prev_row_height != _settings.row_height)
@@ -1187,22 +1127,6 @@ namespace mbts.spark {
          }
          visible_columns_changed?.Invoke();
       }
-
-      // This is designed to be a redundant null check for _fmt_mkt_depth_item_impl.
-      string _fmt_mkt_depth_item(NativePriceSize value) {
-         // Assign the impl delegate to a local variable, just in case it is reassigned on another thread.
-         // This shouldn't happen, but better to avoid the potential null ref just in case it does. Expect the unexpected.
-         var impl = _fmt_mkt_depth_item_impl;
-         return impl is null ? MDDisplayHelper.get_formatter_nps(MarketSizeDisplay.get_default())?.ToString() ?? "Error" : impl(value);
-      }
-
-      // This is designed to be a redundant null check for _fmt_mkt_quantity_impl.
-      string _fmt_mkt_quantity(uint value) {
-         // Assign the impl delegate to a local variable, just in case it is reassigned on another thread.
-         // This shouldn't happen, but better to avoid the potential null ref just in case it does. Expect the unexpected.
-         var impl = _fmt_mkt_quantity_impl;
-         return impl is null ? value.ToString() : impl(value);
-      }
  
       void _init_tactile_adorner() {
          Disposable.dispose(ref _tactile_adorner);

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

@@ -12,24 +12,20 @@ using System.Linq;
 using System.Threading.Tasks;
 using System.Windows;
 using System.Windows.Media;
-using bts.utils;
 
 namespace mbts.spark {
    static class BadgeRender {
       // IMPORTANT: the return values for this method MUST BE IN SYNC with the "format" method, else "measure_height" and "LadderRender.measure_row_height" will be broken.
       static int _line_count_for_style(LadderSettings.BadgeStyle badge_style) => badge_style == LadderSettings.BadgeStyle.Alternate ? 2 : 1;
       // IMPORTANT: at the risk of being redundant, see above comment.
-      public static IReadOnlyList<string> format(Side side, uint quantity, uint filled, LadderSettings.BadgeStyle style, Func<uint, string> fmt_value = null) {
-         if (fmt_value is null)
-            fmt_value = FormattingDelegates.default_string<uint>();
+      public static IReadOnlyList<string> format(Side side, uint quantity, uint filled, LadderSettings.BadgeStyle style) {
          switch (style) {
             case LadderSettings.BadgeStyle.Alternate:
-               var working_qty = quantity > filled ? quantity - filled : 0;
                return new[] {
-                  $"{side.abbreviate()}:{fmt_value(filled)}",
-                  $"W:{fmt_value(working_qty)}"
+                  $"{side.abbreviate()}:{filled}",
+                  $"W:{quantity - filled}"
                };
-            default: return new[] { $"{fmt_value(filled)}/{fmt_value(quantity)}" };
+            default: return new[] { $"{filled}/{quantity}" };
          }
       }
 
@@ -197,17 +193,16 @@ namespace mbts.spark {
       }
 
       public static void render_volumes(
-         DrawingVisual dv,
-         GlyphContext glyph_context,
-         double[] prices,
-         IEnumerable<VolumeAtPriceLevelImmutable> data,
-         double row_height,
-         ContractSpecificationImmutable spec,
-         VolumeColumnSettings settings,
-         int last_index,
-         string last_size_and_direction,
-         Func<uint, string> fmt_value) {
-         //
+        DrawingVisual dv,
+        GlyphContext glyph_context,
+        double[] prices,
+        IEnumerable<VolumeAtPriceLevelImmutable> data,
+        double row_height,
+        ContractSpecificationImmutable spec,
+        VolumeColumnSettings settings,
+        int last_index,
+        string last_size_and_direction
+        ) {
          if (!data.Any()) {
             _clear_visual(dv);
             return;
@@ -229,8 +224,6 @@ namespace mbts.spark {
             _clear_visual(dv);
             return;
          }
-         if (fmt_value is null)
-            fmt_value = FormattingDelegates.default_string<uint>();
          // inflate the max so that the graph never fills the available space
          double max = data.Max(v => v.Volume) * 1.1;
          _render_cells(dv, row_height, data.Select(d => (d.Price, d)), settings.general, prices, spec, render_cell);
@@ -262,11 +255,11 @@ namespace mbts.spark {
                }
                x_bar += width;
                if (show_numbers)
-                  numbers_text.Add(fmt_value(v));
+                  numbers_text.Add(v.ToString());
             }
 
             if (settings.total.show_numbers) {
-               numbers_text.Add(fmt_value(vap.Volume));
+               numbers_text.Add(vap.Volume.ToString());
             }
             if (settings.show_ltq && last_trade_here) {
                numbers_text.Clear();
@@ -316,33 +309,19 @@ namespace mbts.spark {
          }
       }
 
-      internal static void render_last(DrawingVisual dv, GlyphContext glyph_context, NativePriceSize last, int index, double row_height, LadderColumnSettings settings, Func<uint, string> fmt_value) {
-         if (fmt_value is null)
-            fmt_value = FormattingDelegates.default_string<uint>();
+      internal static void render_last(DrawingVisual dv, GlyphContext glyph_context, NativePriceSize last, int index, double row_height, LadderColumnSettings settings) {
          using (var dc = dv.RenderOpen()) {
-            var gr = format_text(fmt_value(last.size), index, row_height, settings, glyph_context);
+            var gr = format_text(last.size.ToString(), index, row_height, settings, glyph_context);
             dc.DrawGlyphRun(settings.foreground.rgb_brush(), gr);
          }
       }
 
       // this is basically a copy of redner_sizes up above
-      internal static void render_piqs(
-         DrawingVisual dv,
-         GlyphContext glyph_context,
-         int origin_index,
-         double[] prices,
-         IEnumerable<(double price, uint piq)> pvp,
-         double row_height,
-         ContractSpecificationImmutable spec,
-         LadderColumnSettings settings,
-         Func<uint, string> fmt_value) {
-         //
+      internal static void render_piqs(DrawingVisual dv, GlyphContext glyph_context, int origin_index, double[] prices, IEnumerable<(double price, uint piq)> pvp, double row_height, ContractSpecificationImmutable spec, LadderColumnSettings settings) {
          using (var dc = dv.RenderOpen()) {
             using (_draw_with_clip(dc, settings, row_height, prices.Length)) {
                if (!prices.within_range(origin_index) || pvp.is_null_or_empty())
                   return;
-               if (fmt_value is null)
-                  fmt_value = FormattingDelegates.default_string<uint>();
                var foreground = settings.foreground.rgb_brush();
                int curr_index = origin_index;
                double curr_price = prices[curr_index];
@@ -353,7 +332,7 @@ namespace mbts.spark {
                   curr_index += tick_diff;
                   curr_price = price;
                   if (curr_index >= 0 && curr_index < prices.Length) {
-                     var gr = format_text(fmt_value(entry.piq), curr_index, row_height, settings, glyph_context);
+                     var gr = format_text(entry.piq.ToString(), curr_index, row_height, settings, glyph_context);
                      dc.DrawGlyphRun(foreground, gr);
                   } else break;
                }
@@ -392,4 +371,4 @@ namespace mbts.spark {
          using (dv.RenderOpen()) { }
       }
    }
-}
+}

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

@@ -1019,47 +1019,45 @@
       <Grid HorizontalAlignment="Left" Margin="6">
         <Grid.RowDefinitions>
           <RowDefinition Height="Auto"/>
-          <RowDefinition Height="{Binding Source={StaticResource VerticalPush1}}"/>
           <RowDefinition Height="Auto" />
           <RowDefinition Height="{Binding Source={StaticResource VerticalPush1}}"/>
-          <RowDefinition Height="*"/>
+          <RowDefinition Height="Auto"/>
         </Grid.RowDefinitions>
         <Grid.ColumnDefinitions>
           <ColumnDefinition Width="Auto"/>
+          <ColumnDefinition Width="Auto"/>
+          <ColumnDefinition Width="50"/>
           <ColumnDefinition Width="{Binding Source={StaticResource HorizontalPush3}}"/>
           <ColumnDefinition Width="*"/>
         </Grid.ColumnDefinitions>
         <!-- market cross -->
-        <CheckBox Grid.Column="0" VerticalContentAlignment="Center" IsChecked="{Binding show_warn_on_cross}">
-          <TextBlock
-            Style="{StaticResource EnableDisableFeatureText}"
-            IsEnabled="{Binding show_warn_on_cross}"
-            Text="Warn on Market Cross"
-          />
+        <CheckBox Name="warn" Grid.Column="0" FlowDirection="RightToLeft" IsChecked="{Binding show_warn_on_cross}">
+          <CheckBox.Resources>
+            <Style TargetType="{x:Type Path}">
+              <Setter Property="FlowDirection" Value="LeftToRight"/>
+            </Style>
+          </CheckBox.Resources>
         </CheckBox>
+        <TextBlock Grid.Column="1"
+                   Style="{StaticResource EnableDisableFeatureText}"
+                   IsEnabled="{Binding ElementName=warn, Path=IsChecked}"
+                   Text="Warn on Market Cross" />
         <!-- max order qty -->
-        <CheckBox Grid.Row="2" Grid.Column="0" VerticalContentAlignment="Center" IsChecked="{Binding enforce_max_clip}">
-          <TextBlock
-            Style="{StaticResource EnableDisableFeatureText}"
-            IsEnabled="{Binding enforce_max_clip}"
-            Text="Max Order Quantity"
-          />
+        <CheckBox Name="enforce_max_clip" Grid.Row="1" Grid.Column="0" FlowDirection="RightToLeft" IsChecked="{Binding enforce_max_clip}">
+          <CheckBox.Resources>
+            <Style TargetType="{x:Type Path}">
+              <Setter Property="FlowDirection" Value="LeftToRight"/>
+            </Style>
+          </CheckBox.Resources>
         </CheckBox>
-        <c:TickUpDownUInt
-          Grid.Row="2"
-          Grid.Column="2"
-          IsEnabled="{Binding enforce_max_clip}"
-          Value="{Binding max_clip}"
-          Width="60"
-        />
-        <CheckBox Grid.Row="4" VerticalContentAlignment="Center" IsChecked="{Binding enforce_max_settlement_cross_ticks}">
-          <TextBlock
-            Style="{StaticResource EnableDisableFeatureText}"
-            IsEnabled="{Binding enforce_max_settlement_cross_ticks}"
-            Text="Max Ticks from Settlement"
-          />
-        </CheckBox>
-        <c:TickUpDownInt Grid.Row="4" Grid.Column="2" IsEnabled="{Binding enforce_max_settlement_cross_ticks}" Value="{Binding max_settlement_cross_ticks}"/>
+        <TextBlock Grid.Row="1" Grid.Column="1"
+                   Style="{StaticResource EnableDisableFeatureText}"
+                   IsEnabled="{Binding ElementName=enforce_max_clip, Path=IsChecked}"
+                   MinWidth="{Binding ElementName=warn, Path=ActualWidth}"
+                   Text="Max Order Quantity"/>
+        <c:TickUpDownUInt Grid.Row="1" Grid.Column="2"
+                          IsEnabled="{Binding ElementName=enforce_max_clip, Path=IsChecked}"
+                          Value="{Binding max_clip}" />
       </Grid>
     </TabItem>
     <TabItem Header="Mini Order Book">

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

@@ -426,26 +426,9 @@
                      Text="{Binding left_panel_width, Converter={StaticResource VolumeTextConverter}}"
                      Margin="0,0,0,4"
                      Visibility="{Binding show_volume, Converter={StaticResource BooleanToVisibilityConverter}}"/>
-              <TextBlock
-                Grid.Column="2"
-                Grid.Row="5"
-                FontWeight="Bold"
-                Margin="0,0,0,4"
-                Visibility="{Binding show_volume, Converter={StaticResource BooleanToVisibilityConverter}}"
-              >
-                <TextBlock.Text>
-                  <MultiBinding>
-                    <MultiBinding.Converter>
-                      <converters:MultiValueConverterPipe>
-                        <x:Static MemberType="{x:Type converters:DynamicDoubleDivisorConverter}" Member="Instance"/>
-                        <x:Static MemberType="{x:Type converters:ValueConverters}" Member="SimpleString"/>
-                      </converters:MultiValueConverterPipe>
-                    </MultiBinding.Converter>
-                    <Binding Path="volume" Mode="OneWay"/>
-                    <Binding Path="display_quantity_divisor" Mode="OneTime"/>
-                  </MultiBinding>
-                </TextBlock.Text>
-              </TextBlock>
+              <TextBlock Grid.Column="2" Grid.Row="5" Text="{Binding volume, Mode=OneWay}" FontWeight="Bold"
+                     Margin="0,0,0,4"
+                     Visibility="{Binding show_volume, Converter={StaticResource BooleanToVisibilityConverter}}"/>
             </Grid>
             <!-- Account combobox -->
             <ComboBox DataContext="{Binding order_properties_vm}" Margin="2,10,2,2" 
@@ -524,7 +507,7 @@
               mbts:TextBoxBehavior.IncrementDecrementOnMouseClick="True"
               HorizontalContentAlignment="Right"
               Margin="2"
-              Text="{Binding size_calculator.display_value, Mode=TwoWay, UpdateSourceTrigger=PropertyChanged}"
+              Text="{Binding size_calculator.value, Mode=TwoWay, UpdateSourceTrigger=PropertyChanged}"
               ContextMenu="{x:Null}"
             />
             <!-- Qty quick buttons -->
@@ -539,14 +522,7 @@
               </ItemsControl.ItemsPanel>
               <ItemsControl.ItemTemplate>
                 <DataTemplate>
-                  <Button Margin="2" Command="{Binding Path=DataContext.size_calculator.click, RelativeSource={RelativeSource AncestorType=ItemsControl}}" Content="{Binding}" Focusable="False">
-                    <Button.CommandParameter>
-                      <MultiBinding Converter="{x:Static converters:DynamicDoubleMultiplierConverter.Instance}">
-                        <Binding/>
-                        <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=spark:LadderView}"/>
-                      </MultiBinding>
-                    </Button.CommandParameter>
-                  </Button>
+                  <Button Margin="2" Command="{Binding Path=DataContext.size_calculator.click, RelativeSource={RelativeSource AncestorType=ItemsControl}}" CommandParameter="{Binding}" Content="{Binding}" Focusable="False"/>
                 </DataTemplate>
               </ItemsControl.ItemTemplate>
             </ItemsControl>

src/client/spark/Modules/Trading/Ladder/View/LadderView.xaml.cs

@@ -93,7 +93,6 @@ namespace mbts.spark {
          _ui_scaler.MouseDoubleClick += _ui_scaler_MouseDoubleClick;
          this.PreviewMouseWheel += LadderView_PreviewMouseWheel;
          this.PreviewMouseDown += LadderView_PreviewMouseDown;
-         PreviewKeyDown += (s, e) => vm.key_down(e);
       }
 
       IDisposable _connect_left_panel_scroll() {

src/client/spark/Modules/Trading/ManualFills/ManualFillRow.cs

@@ -3,7 +3,6 @@ using bts.api.position;
 using bts.utils;
 using mbts;
 using mbts.spark;
-using mbts.ui;
 using mbts.ui.shell;
 using System;
 using System.Collections.Generic;
@@ -26,27 +25,24 @@ namespace bts.shell.manual_fills {
       readonly Property<bool> _is_dirty;
       readonly Property<EditableItemState> _editable_item_state;
       readonly DelegateProperty<bool> _is_valid;
-      readonly DisplayQuantityMultiplier<uint> _size = DisplayQuantityMultiplier.create_uint();
-      readonly Func<SecurityImmutable?, uint> _get_display_qty_divisor;
       SecurityImmutable? _security;
       AccountTuple? _account;
       UserTuple? _user;
       Side _side;
+      uint _size;
       double _price;
       bool _is_selected;
       ManualFillData? _data;
       IDisposable _committed_snapshot;
 
-      public ManualFillRow(ManualFillData data, Func<SecurityImmutable?, uint> get_display_qty_divisor) {
+      public ManualFillRow(ManualFillData data) {
          _data = data;
-         _get_display_qty_divisor = get_display_qty_divisor ?? new Func<SecurityImmutable?, uint>(sec => 1);
          key = data.key;
          _security = data.value.security;
          _account = data.value.account;
          _user = data.value.user;
          _side = data.value.manual_fill.Side;
-         _size.actual_value = data.value.manual_fill.Quantity;
-         _size.conversion_data = new QuantityConversionData(_get_display_qty_divisor(data.value.security), QuantityConversionData.OpType.DivideActual);
+         _size = data.value.manual_fill.Quantity;
          _price = data.value.manual_fill.Price;
          if (placeholder_key.HasValue) {
             _is_dirty = backing(nameof(is_dirty), false);
@@ -57,7 +53,6 @@ namespace bts.shell.manual_fills {
             _editable_item_state = backing(nameof(editable_item_state), _is_dirty, ch => ch.newval ? EditableItemState.Modified : EditableItemState.None);
          }
          _is_valid = backing(nameof(is_valid), () => _validate(this));
-         _dispose = _size.connect_owner(this, nameof(size), nameof(display_size));
       }
 
       public event Action<bool> is_selected_changed;
@@ -70,10 +65,8 @@ namespace bts.shell.manual_fills {
       public SecurityImmutable? security {
          get => _security;
          set {
-            if (_set(ref _security, value)) {
-               _size.conversion_data = new QuantityConversionData(_get_display_qty_divisor(value), QuantityConversionData.OpType.DivideActual);
+            if (_set(ref _security, value))
                RaisePropertyChanged(nameof(spec));
-            }
          }
       }
       public ContractSpecificationImmutable? spec => security.spec_or_default();
@@ -82,8 +75,7 @@ namespace bts.shell.manual_fills {
       public UserTuple? user { get => _user; set => _set(ref _user, value); }
       // side/size/price
       public Side side { get => _side; set => _set(ref _side, value); }
-      public uint size { get => _size.actual_value; set => _size.actual_value = value; }
-      public uint display_size { get => _size.display_value; set => _size.display_value = value; }
+      public uint size { get => _size; set => _set(ref _size, value); }
       public double price { get => _price; set => _set(ref _price, value); }
       // is selected
       public bool is_selected {

src/client/spark/Modules/Trading/ManualFills/ManualFillRowEditor.xaml

@@ -71,7 +71,7 @@
       <ComboBox Grid.Row="2" Grid.Column="2" ItemsSource="{DynamicResource ResourceKey={x:Static u:ResourceKeys.Accounts}}" SelectedItem="{Binding account}"/>
       <ComboBox Grid.Row="2" Grid.Column="4" ItemsSource="{DynamicResource ResourceKey={x:Static u:ResourceKeys.Users}}" SelectedItem="{Binding user}"/>
       <ComboBox Grid.Row="2" Grid.Column="6" ItemsSource="{DynamicResource ResourceKey={x:Static u:ResourceKeys.Sides}}" SelectedItem="{Binding side}" Width="48"/>
-      <c:TickUpDownUInt Grid.Row="2" Grid.Column="8" MinWidth="40" Value="{Binding display_size}"/>
+      <c:TickUpDownUInt Grid.Row="2" Grid.Column="8" MinWidth="40" Value="{Binding size}"/>
       <usp:PriceEntryControl Grid.Row="2" Grid.Column="10" MinWidth="55" Value="{Binding price}" ContractSpec="{Binding spec}"/>
     </Grid>
     <c:DialogSkirt Grid.Row="1" Margin="0,6,0,0">

src/client/spark/Modules/Trading/ManualFills/ManualFillsModel.cs

@@ -1,5 +1,4 @@
-using bts.api;
-using bts.api.core;
+using bts.api.core;
 using bts.api.position;
 using bts.collections;
 using mbts.spark;
@@ -104,8 +103,5 @@ namespace bts.shell.manual_fills {
 
       public async Task<bool> update_fills(IEnumerable<ManualFill> fills) =>
          await _model.update_manual_fills(fills);
-
-      public uint get_display_qty_divisor(SecurityImmutable? security) =>
-         _model.security_auxiliary_model.get_display_quantity_divisor(security);
    }
 }

src/client/spark/Modules/Trading/ManualFills/ManualFillsVM.cs

@@ -68,7 +68,7 @@ namespace bts.shell.manual_fills {
             RXCollection.connect(_persisted_rows,
                _model.manual_fills.OnDispatcher(),
                Observable.Return(Comparer<ManualFillData>.Create((a, b) => a.key.CompareTo(b.key))),
-               mfd => new ManualFillRow(mfd, model.get_display_qty_divisor),
+               mfd => new ManualFillRow(mfd),
                mfr => mfr.data),
             _bus.subscribe(SparkTags.SecuritiesTag).OnDispatcher().Subscribe(m => {
                security_map = new FilteredDictionary<uint, SecurityMD>(m, smd => smd.security.ContractCase == Security.ContractOneofCase.Future);
@@ -126,8 +126,7 @@ namespace bts.shell.manual_fills {
                new ManualFillKey(_placeholder_id_counter++),
                new ManualFillTuple(new ManualFillImmutable(new ManualFill {
                   Side = Side.Buy
-               }), null, accounts.FirstOrDefault(), users.FirstOrDefault())),
-            _model.get_display_qty_divisor);
+               }), null, accounts.FirstOrDefault(), users.FirstOrDefault())));
 
       void _add_fill(ManualFillRow new_row) =>
          _placeholder_rows.InsertSorted((new_row ?? (new_row = row_factory())).placeholder_key.HasValue ?
@@ -211,20 +210,11 @@ namespace bts.shell.manual_fills {
             } else {
                add_imported_fills();
             }
-            void add_imported_fills() {
-               _placeholder_rows.InsertSorted(parsed_fills.Select(mk_row), _row_key_comparer);
-
-               ManualFillRow mk_row(ParsedManualFill pmf) {
-                  var data = new ManualFillData(
-                     new ManualFillKey(_placeholder_id_counter++),
-                     new ManualFillTuple(
-                        new ManualFillImmutable(pmf.result),
-                        pmf.result.SecurityKey != 0 && security_map.TryGetValue(pmf.result.SecurityKey, out var smd) ? smd.security : (SecurityImmutable?)null,
-                        accounts.FirstOrDefault(a => a?.id == pmf.result.AccountId),
-                        users.FirstOrDefault(a => a?.id == pmf.result.UserId)));
-                  return new ManualFillRow(data, _model.get_display_qty_divisor);
-               }
-            }
+            void add_imported_fills() =>
+               _placeholder_rows.InsertSorted(parsed_fills.Select(pmf => new ManualFillRow(new ManualFillData(new ManualFillKey(_placeholder_id_counter++), new ManualFillTuple(new ManualFillImmutable(pmf.result),
+                  pmf.result.SecurityKey != 0 && security_map.TryGetValue(pmf.result.SecurityKey, out var smd) ? smd.security : (SecurityImmutable?)null,
+                  accounts.FirstOrDefault(a => a?.id == pmf.result.AccountId),
+                  users.FirstOrDefault(a => a?.id == pmf.result.UserId))))), _row_key_comparer);
          } catch (Exception ex) {
             BTSMessageBox.Error($"Error importing fills: {ex}.", ManualFillsWindowFactory.window_name);
          }

src/client/spark/Modules/Trading/ManualFills/ManualFillsView.xaml

@@ -212,12 +212,12 @@
           <DataGridTemplateColumn c:DataGridEx.CellKey="{x:Static Size, MemberType={u:Nested usp:ManualFillsView.Columns}}" Header="Qty" SortMemberPath="side">
             <DataGridTemplateColumn.CellTemplate>
               <DataTemplate>
-                <TextBlock Text="{Binding display_size}" VerticalAlignment="Center"/>
+                <TextBlock Text="{Binding size}" VerticalAlignment="Center"/>
               </DataTemplate>
             </DataGridTemplateColumn.CellTemplate>
             <DataGridTemplateColumn.CellEditingTemplate>
               <DataTemplate>
-                <c:TickUpDownUInt MinWidth="40" Value="{Binding display_size, UpdateSourceTrigger=PropertyChanged}"/>
+                <c:TickUpDownUInt MinWidth="40" Value="{Binding size, UpdateSourceTrigger=PropertyChanged}"/>
               </DataTemplate>
             </DataGridTemplateColumn.CellEditingTemplate>
           </DataGridTemplateColumn>

src/client/spark/Modules/Trading/OrderBook/OrderBookColumns.cs

@@ -597,19 +597,19 @@ namespace mbts.spark {
 
       public class SizeColumn : OrderbookColumnBase<UIntMinMaxState>, IRenderColumn<OrderBookRowVM> {
          public SizeColumn(IDataGridColumnPersistentFilter<OrderSecurityRootPair, UIntMinMaxState> filter)
-            : base(Columns.Size, "Qty", r => r.display_quantity.ToString(), DefaultColumnWidths.Size, filter, DataGridFilterKnownTemplates.UIntMinMax, _wrap_comparer(r => r.quantity)) { }
+            : base(Columns.Size, "Qty", r => r.quantity.ToString(), DefaultColumnWidths.Size, filter, DataGridFilterKnownTemplates.UIntMinMax, _wrap_comparer(r => r.quantity)) { }
 
          public void draw(OrderBookRowVM row, DrawingContext dc, ColumnGeometry position, double row_height) =>
-            CellRender.draw_text(dc, _get_glyph_context(row), font_size, row.display_quantity.ToString(), position, row_height,
+            CellRender.draw_text(dc, _get_glyph_context(row), font_size, row.quantity.ToString(), position, row_height,
                RenderUtils.get_side_brush(row), null, horizontal_alignment, VerticalAlignment.Center, DefaultCellPadding);
       }
 
       public class FilledColumn : OrderbookColumnBase<UIntMinMaxState>, IRenderColumn<OrderBookRowVM> {
          public FilledColumn(IDataGridColumnPersistentFilter<OrderSecurityRootPair, UIntMinMaxState> filter)
-            : base(Columns.Filled, "Filled Qty", r => r.display_filled_quantity.ToString(), DefaultColumnWidths.Size, filter, DataGridFilterKnownTemplates.UIntMinMax, _wrap_comparer(r => r.filled_quantity)) { }
+            : base(Columns.Filled, "Filled Qty", r => r.filled_quantity.ToString(), DefaultColumnWidths.Size, filter, DataGridFilterKnownTemplates.UIntMinMax, _wrap_comparer(r => r.filled_quantity)) { }
 
          public void draw(OrderBookRowVM row, DrawingContext dc, ColumnGeometry position, double row_height) =>
-            CellRender.draw_text(dc, _get_glyph_context(row), font_size, row.display_filled_quantity.ToString(), position, row_height,
+            CellRender.draw_text(dc, _get_glyph_context(row), font_size, row.filled_quantity.ToString(), position, row_height,
                RenderUtils.get_side_brush(row), null, horizontal_alignment, VerticalAlignment.Center, DefaultCellPadding);
       }
 
@@ -1163,7 +1163,7 @@ namespace mbts.spark {
 
          public override FrameworkElement view_factory() {
             var tick_up_down = new TickUpDownNullableUIntCommit();
-            tick_up_down.SetBinding(TickUpDownNullableUIntCommit.SourceValueProperty, nameof(OrderBookRowVM.prospective_display_quantity));
+            tick_up_down.SetBinding(TickUpDownNullableUIntCommit.SourceValueProperty, nameof(OrderBookRowVM.prospective_quantity));
             tick_up_down.SetBinding(TickUpDownNullableUIntCommit.OnCommitProperty, nameof(OrderBookRowVM.modify_order_quantity_andor_price));
             tick_up_down.InputBindings.Add(_create_keyinput_binding(Key.Enter, nameof(OrderBookRowVM.modify_order_quantity_andor_price)));
             tick_up_down.InputBindings.Add(_create_keyinput_binding(Key.Escape, nameof(OrderBookRowVM.revert_prospective_order_quantity_andor_price)));

src/client/spark/Modules/Trading/OrderBook/OrderBookRowVM.cs

@@ -4,6 +4,7 @@ using bts.api.orderman;
 using bts.collections;
 using bts.spark;
 using bts.utils;
+using bts.utils.csv;
 using mbts.ui;
 using mbts.ui.controls;
 using System;
@@ -11,6 +12,7 @@ using System.Collections.Generic;
 using System.ComponentModel;
 using System.Reactive.Linq;
 using System.Runtime.CompilerServices;
+using System.Linq;
 using System.Windows.Input;
 using System.Windows.Media;
 using Columns = mbts.spark.OrderBookGridView.ColumnKeys;
@@ -29,16 +31,16 @@ namespace mbts.spark {
       int _depth_level;
       SecurityImmutable? _security => order_tuple.order.security;
       // for mini-ob 
-      DisplayQuantityMultiplier<uint> _prospective_qty_translator_backing;
-      uint _display_qty_divisor_backing;
-      bool _display_qty_divisor_dirty = true;
+      uint _prospective_quantity;
       double _prospective_price;
       Action<bool> _on_selection_changed;
 
       public OrderBookRowVM(OrderBookVM owner, OrderSecurityRootPair order_tuple, bool is_expanded, Action<bool> on_selection_changed) {
          _owner = owner;
          this.order_tuple = order_tuple;
+         is_visible = !is_child;
          _is_expanded = is_expanded;
+         prospective_quantity = this.quantity;
          prospective_price = this.price;
          _on_selection_changed = on_selection_changed;
       }
@@ -60,6 +62,35 @@ namespace mbts.spark {
       public event Action<(OrderSecurityRootPair oldval, OrderSecurityRootPair newval)> updated;
       public event PropertyChangedEventHandler PropertyChanged;
 
+      public static System.Collections.Specialized.OrderedDictionary csv_ordered_properties =>
+            CsvHelper.create_ordering_maintainer(
+               typeof(OrderBookRowVM), 
+               new string[] {
+                  nameof(security_text),
+                  nameof(symbol),
+                  nameof(time_created),
+                  nameof(last_change),
+                  nameof(user),
+                  nameof(account),
+                  nameof(exchange),
+                  nameof(time_in_force),
+                  nameof(order_type),
+                  nameof(root_algo_display_name),
+                  nameof(order_sub_type),
+                  nameof(side),
+                  nameof(quantity),
+                  nameof(filled_quantity),
+                  nameof(price),
+                  nameof(avg_price),
+                  nameof(last_price),
+                  nameof(piq),
+                  nameof(status),
+                  // last message (could contains commas, so skipping)
+                  nameof(security_key),
+                  nameof(order_key),
+                  nameof(parent_order_key),
+               });
+
       // Core
       public OrderSecurityRootPair order_tuple { get; private set; }
       public OrderRecordImmutable order => order_tuple.order.order;
@@ -95,18 +126,14 @@ namespace mbts.spark {
       public string last_price_text => _fmt_price(last_price);
       public string avg_price_text => _fmt_price(avg_price);
       public uint quantity => order.quantity();
-      public uint display_quantity => quantity.safe_divide(_display_qty_divisor);
       public uint filled_quantity => order.filled();
-      public uint display_filled_quantity => filled_quantity.safe_divide(_display_qty_divisor);
       public string last_msg => order.last_msg();
-      // piq
       public uint piq => order_tuple.order.piq ?? uint.MaxValue;
-      public string piq_text => piq == uint.MaxValue ? string.Empty : piq.safe_divide(_display_qty_divisor).ToString();
-
+      public string piq_text => piq == uint.MaxValue ? string.Empty : piq.ToString();
       public bool is_non_terminal => order.is_non_terminal();
       public bool is_attachable { get => _is_attachable; set => SetVisual(ref _is_attachable, value); }
       public bool is_detachable { get => _is_detachable; set => SetVisual(ref _is_detachable, value); }
-      public string filled_status_desc => order.filled_status_description(security.spec_or_default(), _display_qty_divisor);
+      public string filled_status_desc => order.filled_status_description(security.spec_or_default());
 
       // Root Algo
       public CustomOrderDefinition.CustomOneofCase root_algo_order_type => order_tuple.root.algo.value.CustomCase;
@@ -117,6 +144,7 @@ namespace mbts.spark {
       // Tree
       public bool is_parent { get => _is_parent; set => Set(ref _is_parent, value); }
       public bool is_child => order.has_parent();
+      public bool is_visible { get; set; }
       public bool is_expanded {
          get => _is_expanded;
          set {
@@ -134,12 +162,12 @@ namespace mbts.spark {
          }
       }
       public uint prospective_quantity {
-         get => _prospective_qty_translator.actual_value;
-         set => _prospective_qty_translator.actual_value = value;
-      }
-      public uint prospective_display_quantity {
-         get => _prospective_qty_translator.display_value;
-         set => _prospective_qty_translator.display_value = value;
+         get => _prospective_quantity;
+         set {
+            if (Set(ref _prospective_quantity, value)) {
+               RaisePropertyChanged(nameof(is_qty_dirty));
+            }
+         }
       }
       public double prospective_price {
          get => _prospective_price;
@@ -229,28 +257,6 @@ namespace mbts.spark {
          }
       }
 
-      uint _display_qty_divisor {
-         get {
-            _sync_display_qty_if_dirty();
-            return _display_qty_divisor_backing;
-         }
-      }
-
-      IDisplayTranslator<uint> _prospective_qty_translator {
-         get {
-            if (_prospective_qty_translator_backing == null) {
-               _prospective_qty_translator_backing = DisplayQuantityMultiplier.create_uint();
-               _prospective_qty_translator_backing.conversion_data = new QuantityConversionData(_display_qty_divisor, QuantityConversionData.OpType.DivideActual);
-               _prospective_qty_translator_backing.actual_value = quantity;
-               _prospective_qty_translator.value_changed += () =>
-                  RaisePropertyChanged(nameof(is_qty_dirty));
-            } else {
-               _sync_display_qty_if_dirty();
-            }
-            return _prospective_qty_translator_backing;
-         }
-      }
-
       #region IHierarchicalRow
       bool IHierarchicalRow.is_parent => is_parent;
       bool IHierarchicalRow.is_expanded => is_expanded;
@@ -294,35 +300,22 @@ namespace mbts.spark {
          if ((Columns.OrderType & dirty) != 0)
             RaisePropertyChanged(nameof(order_type), nameof(order_metadata));
          // quantity
+         if ((Columns.Size & dirty) != 0) {
+            RaisePropertyChanged(nameof(quantity), nameof(is_qty_dirty));
+            // we need to update the prospective_quantity here b/c an update could have come in while the row was in edit mode
+            // via the Mini OB update column mechanism (vs the EditableQty column)
+            // prospecive price does not need to be updated in the same manner b/c if the price is changed, the whole
+            // row will no longer match the filter
+            prospective_quantity = quantity;
+         }
          // price
          if ((Columns.Price & dirty) != 0) {
             RaisePropertyChanged(nameof(price));
             RaisePropertyChanged(nameof(is_price_dirty));
          }
          // security
-         if ((Columns.Security & dirty) != 0) {
-            _display_qty_divisor_dirty = true;
-            RaisePropertyChanged(
-               // security props
-               nameof(security),
-               nameof(security_text),
-               // qty props
-               nameof(display_quantity),
-               nameof(prospective_quantity),
-               nameof(prospective_display_quantity),
-               nameof(is_qty_dirty),
-               //
-               nameof(piq_text),
-               nameof(display_filled_quantity));
-         }
-         if ((Columns.Size & dirty) != 0) {
-            RaisePropertyChanged(nameof(quantity), nameof(display_quantity));
-            if (_prospective_qty_translator_backing != null)
-               _prospective_qty_translator_backing.actual_value = quantity;
-         }
-         if ((Columns.Filled & dirty) != 0) {
-            RaisePropertyChanged(nameof(filled_quantity), nameof(display_filled_quantity));
-         }
+         if ((Columns.Security & dirty) != 0)
+            RaisePropertyChanged(nameof(security), nameof(security_text));
          // badge fill
          if (old_order_tuple.order.meta?.badge_color != order_tuple.order.meta?.badge_color) {
             // invalidate by setting to null (will be re-instantiated in the public getter)
@@ -399,15 +392,6 @@ namespace mbts.spark {
          security.Value.ContractSpec.format(v) :
          Math.Round(v, _unknown_security_price_num_fractional_digits, MidpointRounding.AwayFromZero).ToString(_unknown_security_price_format_string);
 
-      void _sync_display_qty_if_dirty() {
-         if (_display_qty_divisor_dirty) {
-            _display_qty_divisor_dirty = false;
-            _display_qty_divisor_backing = _owner.get_display_qty_divisor(security);
-            if (_prospective_qty_translator_backing != null)
-               _prospective_qty_translator_backing.conversion_data = new QuantityConversionData(_display_qty_divisor_backing, QuantityConversionData.OpType.DivideActual);
-         }
-      }
-
       void RaisePropertyChanged(params string[] props) {
          var pc = PropertyChanged;
          if (pc == null)
@@ -446,7 +430,6 @@ namespace mbts.spark {
                Columns.LastMessage |
                Columns.Piq,
             filled_status_desc_mask =
-               Columns.Security |
                Columns.Filled |
                Columns.AvgFilled |
                Columns.Status;

src/client/spark/Modules/Trading/OrderBook/OrderBookVM.cs

@@ -51,7 +51,6 @@ namespace mbts.spark {
       readonly OrderParamsAggregator _selected_params_mon;
       readonly CommonValueMonitor<SecurityImmutable?> _selected_security_mon = new CommonValueMonitor<SecurityImmutable?>();
       readonly RightPanelModel _right_panel = new RightPanelModel();
-      readonly CustomStateSynchronizer _custom_state_sync;
       OrderBookFillsGridSettings _cached_fills_settings = OrderBookStartupData.DefaultFillsGrid;
       double
          _raw_right_panel_width = OrderBookStartupData.Default.right_panel_width,
@@ -86,7 +85,7 @@ namespace mbts.spark {
          _model = model;
          _selected_params_mon = new OrderParamsAggregator(model.dynamic_helper, _selection_change_throttle, k => _cached_orders.TryGetValue(k, out var o) ? o.order : (OrderSecurityAlgo?)null);
          ladder_vm = new LadderVMContainer(bus, model);
-         order_mod_vm = new OrderParamsVM(this, AlgoEditingPermissions.AllowEditValues);
+         order_mod_vm = new OrderParamsVM(this, AlgoFormats.Exchange, AlgoEditingPermissions.AllowEditValues);
          order_mod_vm.algo_vm.editing_permissions_mask = AlgoEditingPermissions.None;
          order_mod_vm.algo_vm.algo_root = null;
          _show_order_params = backing(nameof(show_order_params), () => (_right_panel.visible_components & OrderBookRightPanelSettings.Components.Params) != 0);
@@ -99,7 +98,7 @@ namespace mbts.spark {
          };
          _can_attach_selected_orders = backing(nameof(can_attach_selected_orders), () => _attachable_selected_orders.Count == selected_rows.Count && selected_rows.Count > 0);
          _can_detach_selected_orders = backing(nameof(can_detach_selected_orders), () => _detachable_selected_orders.Count == selected_rows.Count && selected_rows.Count > 0);
-         attach_vm = new OrderParamsVM(this, AlgoEditingPermissions.AllowEditStructure | AlgoEditingPermissions.AllowEditValues);
+         attach_vm = new OrderParamsVM(this, AlgoFormats.Attachable, AlgoEditingPermissions.AllowEditStructure | AlgoEditingPermissions.AllowEditValues);
          _settings_manager = settings_manager;
          _columns = new OrderBookColumnCollection(bus, model, model.on_order_securities.Select(x => (x.added.Values, x.removed.Values)));
          // we use an ObservableAppendCollection b/c the mini-ob needs a cancel column at the front
@@ -125,8 +124,6 @@ namespace mbts.spark {
          _row_collection.CollectionChanged += _row_collection_CollectionChanged;
          _current_row = backing<OrderBookRowVM>(nameof(current_row));
          _columns.filter_changed += _on_filter_changed;
-         _custom_state_sync = new CustomStateSynchronizer(this);
-         // commands
          collapse_all_rows_command = new DelegateCommand(_row_collection.collapse_all);
          expand_all_rows_command = new DelegateCommand(_row_collection.expand_all);
          var modify_selected_orders_async_cmd = new AsyncCommand(_modify_selected_orders_async, () => _selected_params_mon.all_active && order_mod_vm.is_dirty);
@@ -191,7 +188,6 @@ namespace mbts.spark {
                security_plurality = p;
                RaisePropertyChanged(nameof(security_plurality));
             }),
-            _current_row.Subscribe(_ => _custom_state_sync.sync()),
             orders_source.OnDispatcher().Subscribe(t => {
                if (_selected_rows.Count == 0) {
                   _cached_orders = t.state;
@@ -211,8 +207,6 @@ namespace mbts.spark {
                      }
                   }
                }
-               _custom_state_sync.sync(true);
-               orders_changed?.Invoke();
             }),
             model.on_orders_can_attach.OnDispatcher().Subscribe(table => {
                _cached_attachable = new MappedDictionary<uint, KeyValuePair<uint, bool>, bool>(table.state, kv => kv.Value);
@@ -244,22 +238,7 @@ namespace mbts.spark {
             }),
             grid_settings_manager,
             order_mod_vm.algo_vm.connect_data(Observable.Return(model)),
-            order_mod_vm.algo_vm.connect_data(
-               /// This is not the same security source used to populate <see cref="OrderParamsVM.security_md"/>.
-               /// The latter is always synced with the root of the selected row(s),
-               /// while this source is synced with that row with one exception:
-               ///   If the root row's algo has a spreader algo (possibly nested),
-               ///   the synthetic security is taken instead of the root security.
-               ///   This has the affect of passing the synthetic security to the spreader algo viewmodel,
-               ///   which then uses the security to populate the synthetic params ui.
-               /// TODO (maybe): clean this design up; the different security sources make it precarious.
-               /// One idea is to pass a special data type to the algo vm (which contains the spreader
-               /// security and execution strategy), which is only observed by the spreader algo vm.
-               _selected_params_mon.subscribe_security().StartWith((SecurityImmutable?)null).CombineLatest(
-               _selected_params_mon.subscribe_spreader_security().StartWith((SecurityImmutable?)null),
-               (root_sec, spreader_sec) => (root_sec, spreader_sec))
-               .Select(tup => tup.spreader_sec ?? tup.root_sec)
-               .OnDispatcher()),
+            order_mod_vm.algo_vm.connect_data(_selected_params_mon.subscribe_spreader_security()),
             order_mod_vm,
             attach_vm,
             _show_fills.observe_current(true)
@@ -344,32 +323,32 @@ namespace mbts.spark {
          }
 
          void on_begin_attaching() {
-            Disposable.dispose(ref attach_vm_hooks);
-            attach_vm_hooks = Disposable.Create(
-               _selected_security_mon.SubscribeThrottled(_selection_change_throttle).to_security_md(bus).OnDispatcher().SubscribeEach(newval => {
-                  attach_vm.security_md = newval;
-                  if (newval.HasValue) {
-                     return _model.subscribe_algos(newval.Value.security, true)
-                     .OnDispatcher()
-                     .Subscribe(t => ((IAlgoSelector)attach_vm.algo_vm).load_algo_data(t.state, null));
-                  }
-                  return null;
-               }),
-               connect_common_selected_params(attach_vm),
-               attach_vm.algo_vm.observe_algo_root().Subscribe(algo_root => {
-                  bool show_price, show_size;
-                  if (algo_root == null) {
-                     show_price = false;
-                     show_size = false;
-                  } else {
-                     show_price = AttachConf.show_price(algo_root.order_type);
-                     show_size = AttachConf.show_size(algo_root.order_type);
-                  }
-                  attach_vm.price_permissions = bool_to_perm(show_price);
-                  attach_vm.size_permissions = bool_to_perm(show_size);
-                  AlgoParamPermissions bool_to_perm(bool b) =>
-                     b ? AlgoParamPermissions.ReadWrite : AlgoParamPermissions.None;
-               }));
+            Disposable.replace(ref attach_vm_hooks,
+               Disposable.Create(
+                  connect_common_selected_params(attach_vm),
+                  attach_vm.algo_vm.observe_algo_root().Subscribe(algo_root => {
+                     bool show_price, show_size;
+                     if (algo_root == null) {
+                        show_price = false;
+                        show_size = false;
+                     } else {
+                        show_price = AttachConf.show_price(algo_root.order_type);
+                        show_size = AttachConf.show_size(algo_root.order_type);
+                     }
+                     attach_vm.price_permissions = bool_to_perm(show_price);
+                     attach_vm.size_permissions = bool_to_perm(show_size);
+                     AlgoParamPermissions bool_to_perm(bool b) =>
+                        b ? AlgoParamPermissions.ReadWrite : AlgoParamPermissions.None;
+                  }),
+                  // custom templates (created by user)
+                  _model.algo_model.definitions.OnDispatcher().Subscribe(u =>
+                     AlgoCollectionHelper.update_persisted_definition_wrappers(attach_vm.algo_vm.algo_roots_index, u, mk_algo_def_vm))));
+            // vm factory
+            AlgoDefinitionVM mk_algo_def_vm(AlgoData fd) {
+               var vm = AlgoDefinitionVM.create(_model, fd, OrderDataHelper.get_algo_format(_selected_params_mon.security?.ContractCase), AlgoEditingPermissions.AllowEditValues);
+               vm.selected_format = OrderDataHelper.get_algo_format(_selected_params_mon.security?.ContractCase);
+               return vm;
+            }
          }
          void on_end_attaching() => Disposable.dispose(ref attach_vm_hooks);
 
@@ -380,11 +359,11 @@ namespace mbts.spark {
                   modify_selected_orders_async_cmd.RaiseCanExecuteChanged();
                   revert_selected_orders_cmd.RaiseCanExecuteChanged();
                }),
-               _selected_params_mon.subscribe_security().to_security_md(bus).OnDispatcher().Subscribe(newval => order_mod_vm.security_md = newval),
                connect_common_selected_params(order_mod_vm));
 
          IDisposable connect_common_selected_params(OrderParamsVM vm) =>
             Disposable.Create(
+               _selected_params_mon.subscribe_security().OnDispatcher().to_security_md(bus).OnDispatcher().Subscribe(newval => vm.security_md = newval),
                _selected_params_mon.subscribe_price().OnDispatcher().Subscribe(vm.on_common_price),
                _selected_params_mon.subscribe_size().OnDispatcher().Subscribe(vm.on_common_size),
                _selected_params_mon.subscribe_account().OnDispatcher().Subscribe(newval => vm.selected_account = newval));
@@ -396,7 +375,7 @@ namespace mbts.spark {
       }
 
       public event Action<OrderRecordImmutable?> selected_order_changed;
-      public event Action begin_attaching, end_attaching, orders_changed;
+      public event Action begin_attaching, end_attaching;
       public event Action<(IEnumerable, bool)> request_selection;
 
       public ObservableAppendCollection<DIYGrid.ColumnBase> columns { get; }
@@ -416,7 +395,6 @@ namespace mbts.spark {
          }
       }
       public OrderRecordImmutable? current_order => current_row?.order;
-      public ObservableCollection<NamedValueVM> current_algo_custom_state { get; } = new ObservableCollection<NamedValueVM>();
       public AlgoDefinitionVM algo_vm => order_mod_vm.algo_vm;
       public OrderParamsVM order_mod_vm { get; }
       public FillsVMContainer fills_vm { get; } = new FillsVMContainer();
@@ -496,28 +474,6 @@ namespace mbts.spark {
       public IObservable<bool> subscribe_show_fills() => _show_fills.observe_current(true);
       public IObservable<bool> subscribe_show_ladder() => _show_ladder.observe_current(true);
       public IObservable<bool> subscribe_show_order_params() => _show_order_params.observe_current(true);
-      public IObservable<OrderSecurityAlgo?> subscribe_single_selected_order() =>
-         Observable.Create<OrderSecurityAlgo?>(o => {
-            OrderSecurityAlgo? last_fired = null;
-            orders_changed += notify;
-            _current_row.Changed += on_current_row_changed;
-            notify();
-            return Disposable.Create(dispose);
-            // local methods
-            void notify() {
-               var next = current_row == null ? (OrderSecurityAlgo?)null : current_row.order_tuple.order;
-               if (next != last_fired)
-                  o.OnNext(last_fired = next);
-            }
-
-            void on_current_row_changed(OrderBookRowVM oldval, OrderBookRowVM newval) =>
-               notify();
-
-            void dispose() {
-               orders_changed -= notify;
-               _current_row.Changed -= on_current_row_changed;
-            }
-         });
 
       public void row_selection_changed(SelectionChangedEventArgs e) {
          try {
@@ -547,7 +503,6 @@ namespace mbts.spark {
             _can_attach_selected_orders.refresh();
             _can_detach_selected_orders.refresh();
             selected_order_changed?.Invoke(current_order);
-            _custom_state_sync.sync();
          } catch (Exception ex) {
             // [John]I observed a strange null-reference exception in this callback when the launcher was shutting down (see https://bluetradesys.atlassian.net/browse/SPARK-2089)
             Log.Ui.error($"[{nameof(OrderBookVM)}] Error handling selection change: {ex}");
@@ -654,9 +609,6 @@ namespace mbts.spark {
 
       public OrderMetadata get_metadata(OrderBookRowVM row) => _model.factory.get_metadata(row.order.actual_order_type());
 
-      internal uint get_display_qty_divisor(SecurityImmutable? security) =>
-         _model.security_auxiliary_model.get_display_quantity_divisor(security);
-
       internal void show_order_modify(OrderBookRowVM row) =>
          _bus.post(SparkTags.ShowModifyOrderTag, row.order_key);
 
@@ -771,62 +723,24 @@ namespace mbts.spark {
          }
       }
 
-      class CustomStateSynchronizer {
-         readonly OrderBookVM _vm;
-         OrderBookRowVM _synced_row;
-
-         public CustomStateSynchronizer(OrderBookVM vm) =>
-            _vm = vm;
-
-         public void sync(bool force_refresh = false) {
-            var row = _vm.current_row != null &&
-               _vm.selected_rows.Select(r => r.order_tuple.root.order.Key).Distinct().TryGetSingle(out uint droot) &&
-               _vm.current_row.order_tuple.root.order.Key == droot ?
-                  _vm.current_row : null;
-            if (force_refresh || row != _synced_row) {
-               _synced_row = row;
-               _refresh();
-            }
-         }
-
-         void _refresh() {
-            _vm.current_algo_custom_state.Clear();
-            if (_synced_row == null)
-               return;
-            var dcs = _synced_row.order.dynamic_custom_state();
-            // while dcs is not expected to be null, best to play it safe and double check.
-            if (dcs.is_null_or_empty()) {
-               var descendent_rows = _vm._row_collection.get_descendent_rows(_synced_row.order_key);
-               if (_vm._row_collection.filter != null)
-                  descendent_rows = descendent_rows.Where(child => _vm._row_collection.filter(child.order_tuple));
-               foreach (var dr in descendent_rows) {
-                  dcs = dr.order.dynamic_custom_state();
-                  if (!dcs.is_null_or_empty())
-                     break;
-               }
-            }
-            foreach (var p in dcs.empty_if_null().OrderBy(kv => kv.Key))
-               _vm.current_algo_custom_state.Add(new NamedValueVM(p.Key, DynamicOrderHelper.fmt_param(p.Value)));
-         }
-      }
-
       public class OrderParamsVM : DisposableViewModelBase {
          readonly SelectorProperty<AccountTuple, AccountTuple?> _accounts;
          readonly OrderBookVM _owner;
          readonly Property<bool> _is_dirty;
          IRaiseCanExecuteChangedCommand _payup_bid_cmd, _payup_ask_cmd;
          IAlgoParamVM<double> _price_param;
-         AlgoParamVM<uint?> _size_param;
+         IAlgoParamVM<uint?> _size_param;
          AlgoParamPermissions
             _price_permissions = AlgoParamPermissions.ReadOnly | AlgoParamPermissions.Write,
             _size_permissions = AlgoParamPermissions.ReadOnly | AlgoParamPermissions.Write;
          SecurityMD? _security_md;
 
-         public OrderParamsVM(OrderBookVM owner, AlgoEditingPermissions init_permissions) {
+         public OrderParamsVM(OrderBookVM owner, AlgoFormats init_format, AlgoEditingPermissions init_permissions) {
             _owner = owner;
             algo_vm = AlgoDefinitionVM.create(
                owner._model,
                AlgoData.create_unpersisted(OrderDataHelper.Defaults.CustomOrderDefinitionImmutable(CustomOrderDefinition.CustomOneofCase.Iceberg), CustomOrderDefinition.CustomOneofCase.Iceberg.display_name()),
+               init_format: init_format,
                editing_permissions: init_permissions);
             _accounts = backing(
                nameof(selected_account),
@@ -852,9 +766,7 @@ namespace mbts.spark {
                      _price_param = null;
                      _size_param = null;
                   } else {
-                     _size_param = new AlgoParamVM<uint?>("size", "Size", owner._selected_params_mon.size, EqualityComparer<uint?>.Default,
-                        to_display_value: v => v.HasValue ? v.Value / display_quantity_divisor : v,
-                        from_display_value: v => v.HasValue ? v.Value * display_quantity_divisor : v) {
+                     _size_param = new AlgoParamVM<uint?>("size", "Size", owner._selected_params_mon.size) {
                         permissions = _size_permissions & _param_permissions
                      };
                      var price_param = new AlgoParamVM<double>("price", "Price", owner._selected_params_mon.price, spec?.tick_equality_comparer() ?? MathUtils.epsilon_eq_comparer) {
@@ -893,16 +805,14 @@ namespace mbts.spark {
          public ReadOnlyObservableCollection<AccountTuple> accounts => _accounts.items;
          public AccountTuple? selected_account { get => _accounts.selected_item; set => _accounts.selected_item = value; }
          public SecurityImmutable? security => _owner._selected_params_mon.security;
-         /// <see cref="security_md"/> should be synced with the root of the selected row(s),
          public SecurityMD? security_md {
             get => _security_md;
             set {
                if (Set(ref _security_md, value)) {
-                  RaisePropertyChanged(nameof(security), nameof(spec), nameof(display_quantity_divisor));
+                  RaisePropertyChanged(nameof(security), nameof(spec));
                   bbo.security_md = value;
                   _payup_bid_cmd.RaiseCanExecuteChanged();
                   _payup_ask_cmd.RaiseCanExecuteChanged();
-                  _size_param?.refresh_display_value();
                }
             }
          }
@@ -924,7 +834,6 @@ namespace mbts.spark {
          public AlgoDefinitionVM algo_vm { get; }
          public IReadOnlyObservableCollection<AlgoParamRowVM> param_rows { get; }
          public BBOVM bbo { get; }
-         public uint display_quantity_divisor => _owner.get_display_qty_divisor(security);
          public ICommand send_order { get; }
          public ICommand payup_bid_cmd => _payup_bid_cmd;
          public ICommand payup_ask_cmd => _payup_ask_cmd;

src/client/spark/Modules/Trading/OrderBook/OrderBookWindow.cs

@@ -1,17 +1,15 @@
-using bts;
-using bts.api;
+using bts.api;
 using bts.api.orderman;
 using bts.shell;
 using bts.shell.fills;
 using bts.shell.orderbook;
 using bts.spark;
+using bts.utils.csv;
 using bts.view;
 using mbts.persist;
-using mbts.spark.utilities;
 using mbts.ui;
 using mbts.ui.extensions;
 using mbts.ui.spark;
-using mbts.ui.utilities;
 using mbts.ui.utility;
 using mbts.utils;
 using System;
@@ -27,10 +25,7 @@ namespace mbts.spark {
       const string _window_type = "OrderBook", _default_title = "Order Book";
       readonly INotificationService _notification_service;
       readonly IWindowSettingsManager<OrderBookGridSettings> _settings_manager;
-      readonly bool _can_edit_specific_algo_params;
       IDisposable _attachment_exit_sub;
-      // initialized in thread_init
-      List<IDisposable> _thread_init_resources;
       OrderBookStartupData _state;
       OrdersModel _model;
       OrderBookVM _vm;
@@ -40,14 +35,13 @@ namespace mbts.spark {
       SparkCommand[] _commands;
 
       public OrderBookWindow(OrdersModel model, OrderBookWindowFactory factory, IBus bus, INotificationService notification_service,
-         OrderBookStartupData state, ImageSource icon, IWindowSettingsManager<OrderBookGridSettings> settings_manager, bool can_edit_specific_algo_params)
+         OrderBookStartupData state, ImageSource icon, IWindowSettingsManager<OrderBookGridSettings> settings_manager)
          : base(_default_title, bus, factory, SparkCommands.ShowOrders.icon) {
          _model = model;
          _factory = factory;
          _notification_service = notification_service;
          _state = state;
          _settings_manager = settings_manager;
-         _can_edit_specific_algo_params = can_edit_specific_algo_params;
          thread_id = config.Configuration.get<bts.config.MultiThreadedWindows>().order_book ? "OrderBook" : null;
       }
 
@@ -71,14 +65,12 @@ namespace mbts.spark {
       public string thread_id { get; }
 
       public override void Dispose() {
-         Disposable.dispose(_thread_init_resources);
+         _commands.OfType<IDisposable>().DisposeAll();
          Disposable.dispose(ref _attachment_exit_sub);
          Disposable.dispose(ref _vm);
       }
 
       public void thread_init() {
-         Log.assert(_thread_init_resources == null, $"{nameof(_thread_init_resources)} must be initialized in thread_init.");
-         _thread_init_resources = new List<IDisposable>();
          _menu_display_vm = new SparkMenuDisplayVM();
          if (_state != null)
             _menu_display_vm.load_from(_state.menu_display);
@@ -156,15 +148,6 @@ namespace mbts.spark {
             can_execute: () => _vm.selected_orders.Any(x => passes_recreate_search_criteria(x))
          );
          recreate_selected_orders_command.group = CommandGroups.Modify;
-         ICommand edit_algo_params_cmd;
-         if (_can_edit_specific_algo_params) {
-            _thread_init_resources.Add(CommandHelper.bind_param_source(
-               new DialogCommand<OrderSecurityAlgo?, Window>(mk_algo_params_dialog, has_algo_params),
-               _vm.subscribe_single_selected_order(),
-               out edit_algo_params_cmd, true));
-         } else {
-            edit_algo_params_cmd = DelegateCommand.empty;
-         }
 
          var attach_selected_orders_command = new SparkCommandCommand(
             "Attach To Selected",
@@ -212,22 +195,15 @@ namespace mbts.spark {
          show_grid_settings_command.group = CommandGroups.Auxiliary;
 
          _commands = new SparkCommand[] {
-            // modify commands
+            new SparkCommandCommand("Export to csv", Icons.Export, FileDialogCommand.export_csv(() => _vm.rows.ToCsv(OrderBookRowVM.csv_ordered_properties), "OrderBook")),
             toggle_show_right_panel_command,
             attach_selected_orders_command,
             detach_selected_orders_command,
             recreate_selected_orders_command,
-            new SparkCommandCommand("Algo Params...", Icons.Algo, edit_algo_params_cmd) {
-               group = CommandGroups.Modify,
-               show_in_toolbar = false,
-               show_in_context_menu = _can_edit_specific_algo_params
-            },
-            // cancel commands
             cancel_selected_orders_command,
             cancel_buy_orders_command,
             cancel_sell_orders_command,
             cancel_all_orders_command,
-
             toggle_collapse_all_command,
             toggle_expand_all_command,
             show_grid_settings_command,
@@ -236,12 +212,9 @@ namespace mbts.spark {
             hidden_cmd(new SparkCommandCommand(OrderBookView.CommandDescriptions.RevertOrders, null, _vm.revert_selected_orders_cmd, OrderBookView.KeyboardShortcuts.RevertOrders)),
             _menu_display_vm.spark_cmd
          };
-         _thread_init_resources.AddRange(_commands.OfType<IDisposable>());
-         _thread_init_resources.Add(_vm.as_demuxer()
-            .subscribe<bool>(nameof(OrderBookVM.show_right_panel))
-            .Subscribe(_ => toggle_show_right_panel_command.title = get_toggle_show_right_panel_cmd_title()));
+         _vm.as_demuxer().subscribe<bool>(nameof(OrderBookVM.show_right_panel))
+            .Subscribe(_ => toggle_show_right_panel_command.title = get_toggle_show_right_panel_cmd_title());
          _vm.selected_order_changed += vm_selected_order_changed;
-         _thread_init_resources.Add(Disposable.Create(() => _vm.selected_order_changed -= vm_selected_order_changed));
          // local methods
          string get_toggle_show_right_panel_cmd_title() =>
             _vm.show_right_panel ? OrderBookView.CommandDescriptions.HideRightPanel : OrderBookView.CommandDescriptions.ShowRightPanel;
@@ -263,36 +236,6 @@ namespace mbts.spark {
             attach_selected_orders_command.raiseCanExecuteChanged();
             detach_selected_orders_command.raiseCanExecuteChanged();
          }
-
-         bool has_algo_params(OrderSecurityAlgo? order) =>
-            order.HasValue && !OrderDataHelper.get_metadata(order.Value.algo.value.CustomCase).NoProps;
-
-         Window mk_algo_params_dialog(OrderSecurityAlgo? order) {
-            if (!has_algo_params(order))
-               return null;
-            var algo_def = AlgoDefinitionVM.create(_model, order.Value.algo, editing_permissions: AlgoEditingPermissions.AllowEditValues);
-            var algo_params_vm = new OrderBookAlgoParamsVM(algo_def, order.Value.order.is_non_terminal());
-            var dialog = new OrderBookAlgoParamsDialog {
-               Content = algo_params_vm
-            };
-            ui.WindowStyle.SetTitleContent(dialog, algo_def);
-            dialog.Closed += (s, e) => {
-               Disposable.dispose(ref algo_params_vm);
-               dialog = null;
-            };
-            algo_params_vm.RequestCommit += commit;
-            algo_params_vm.RequestClose += (s, e) => close_dialog();
-            return dialog;
-
-            void close_dialog() {
-               dialog?.Close();
-               dialog = null;
-            }
-            void commit(CustomOrderDefinitionImmutable value) {
-               _model.update_order(order.Value.order, new_algo: value).ignore();
-               close_dialog();
-            }
-         }
       }
 
       protected override void OnParentViewCreated(SparkWindowView parent_view) {

src/client/spark/Modules/Trading/OrderBook/OrderBookWindowFactory.cs

@@ -1,7 +1,6 @@
 using bts.api;
 using bts.shell.orderbook;
 using bts.spark;
-using mbts.config;
 using mbts.persist;
 using mbts.spark;
 using mbts.ui;
@@ -16,11 +15,8 @@ namespace bts.shell {
       readonly INotificationServiceDataCache _notification_service_data_cache;
       readonly OrdersModel _model;
       readonly UserSettingsHub _settings_hub;
-      readonly OrderBookConfig _config;
 
       public OrderBookWindowFactory(IShellModule owner, IBus bus, INotificationService notification_service, INotificationServiceDataCache notification_service_data_cache, OrdersModel model, UserSettingsHub settings_hub) : base(owner, "SparkOrderBookWindow") {
-         var raw_config = Configuration.get<bts.config.OrderBookOptions>();
-         _config = new OrderBookConfig(raw_config.can_edit_specific_algo_params);
          _bus = bus;
          _notification_service = notification_service;
          _notification_service_data_cache = notification_service_data_cache;
@@ -33,8 +29,7 @@ namespace bts.shell {
          var settings_manager = new WindowSettingsManager<OrderBookGridSettings>(_settings_hub, state.grid_settings_wrapper(),
             us => us.order_book_grid ?? OrderBookStartupData.DefaultGrid,
             (us, s) => us.with(order_book_grid: s));
-         var w = new OrderBookWindow(_model, this, _bus, _notification_service, state,
-            SparkCommands.ShowOrders.icon, settings_manager.as_non_shared(), _config.can_edit_specific_algo_params);
+         var w = new OrderBookWindow(_model, this, _bus, _notification_service, state, SparkCommands.ShowOrders.icon, settings_manager.as_non_shared());
          return Task.FromResult<IShellWindow>(w);
       }
 
@@ -42,12 +37,5 @@ namespace bts.shell {
          var w = await load(startup_data);
          _bus.post(SparkTags.ShowWindow, w);
       }
-
-      readonly struct OrderBookConfig {
-         public readonly bool can_edit_specific_algo_params;
-
-         public OrderBookConfig(bool can_edit_specific_algo_params) =>
-            this.can_edit_specific_algo_params = can_edit_specific_algo_params;
-      }
    }
 }

src/client/spark/Modules/Trading/OrderBook/View/OrderBookAlgoParamsDialog.xaml

@@ -1,40 +0,0 @@
-<Window
-  x:Class="bts.shell.orderbook.OrderBookAlgoParamsDialog"
-  x:ClassModifier="internal"
-  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
-  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
-  xmlns:sp="clr-namespace:mbts.spark"
-  xmlns:ob="clr-namespace:bts.shell.orderbook"
-  xmlns:usp="clr-namespace:mbts.ui.spark"
-  xmlns:u="clr-namespace:mbts.ui"
-  xmlns:c="clr-namespace:mbts.ui.controls"
-  u:WindowStyle.SizeToContent="WidthAndHeight"
-  Margin="0"
-  Padding="0"
-  Style="{StaticResource BTSWindowTitleTemplate}"
->
-  <u:WindowStyle.TitleContentTemplate>
-    <DataTemplate DataType="{x:Type sp:AlgoDefinitionVM}">
-      <StackPanel HorizontalAlignment="Left" Orientation="Horizontal">
-        <usp:OrderTypeItem Margin="4,0" DisplayName="{Binding name, StringFormat='{}{0} Params'}" BadgeFill="{Binding badge_fill}"/>
-      </StackPanel>
-    </DataTemplate>
-  </u:WindowStyle.TitleContentTemplate>
-  <Window.ContentTemplate>
-    <DataTemplate DataType="{x:Type ob:OrderBookAlgoParamsVM}">
-      <Grid>
-        <Grid.RowDefinitions>
-          <RowDefinition Height="*"/>
-          <RowDefinition Height="Auto"/>
-        </Grid.RowDefinitions>
-        <usp:AlgoEditorGridView
-          Width="390"
-          Margin="5"
-          AlgoParamRows="{Binding param_rows}"
-          CanUserChangeAlgoRoot="False"
-        />
-        <c:DialogSkirt Grid.Row="1" RightItems="{Binding dialog_skirt}"/>
-      </Grid>
-    </DataTemplate>
-  </Window.ContentTemplate>
-</Window>

src/client/spark/Modules/Trading/OrderBook/View/OrderBookAlgoParamsDialog.xaml.cs

@@ -1,49 +0,0 @@
-using bts.api.orderman;
-using bts.collections;
-using mbts.spark;
-using mbts.ui;
-using mbts.ui.controls;
-using mbts.ui.shell;
-using System;
-using System.Collections.Generic;
-using System.Windows;
-
-namespace bts.shell.orderbook {
-   /// <summary>
-   /// Interaction logic for OrderBookAlgoParamsDialog.xaml
-   /// </summary>
-   partial class OrderBookAlgoParamsDialog : Window {
-      public OrderBookAlgoParamsDialog() =>
-         InitializeComponent();
-   }
-
-   class OrderBookAlgoParamsVM : DisposableViewModelBase, IRequestViewClose {
-      readonly ObservableAggregateCollection<AlgoParamRowVM> _param_rows = new ObservableAggregateCollection<AlgoParamRowVM>();
-      readonly DialogSkirtItem _commit, _cancel;
-
-      public OrderBookAlgoParamsVM(AlgoDefinitionVM algo_definition, bool can_user_edit) {
-         this.algo_definition = algo_definition;
-         _dispose = AlgoParamRowsHelper.connect(algo_definition, _param_rows, false);
-         _commit = new DialogSkirtItem("OK", new DelegateCommand(commit, () => can_user_edit)) { is_default = true };
-         _cancel = new DialogSkirtItem("Cancel", new DelegateCommand(close)) { is_cancel = true };
-         // local methods
-         void commit() {
-            RequestCommit?.Invoke(new CustomOrderDefinitionImmutable(algo_definition.algo_root.created_assigned()));
-            close();
-         }
-         void close() => RequestClose?.Invoke(this, EventArgs.Empty);
-      }
-
-      public event EventHandler RequestClose;
-      public event Action<CustomOrderDefinitionImmutable> RequestCommit;
-
-      public AlgoDefinitionVM algo_definition { get; }
-      public IReadOnlyObservableCollection<AlgoParamRowVM> param_rows => _param_rows;
-      public IEnumerable<DialogSkirtItem> dialog_skirt {
-         get {
-            yield return _commit;
-            yield return _cancel;
-         }
-      }
-   }
-}

src/client/spark/Modules/Trading/OrderBook/View/OrderBookView.xaml

@@ -62,7 +62,7 @@
         </Setter>
       </Style>
       <Style x:Key="{x:Static usp:OrderParamsPanel.BestBidSizeButtonStyleKey}" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-        <Setter Property="Command" Value="{Binding DataContext.size_calculator.set_actual_value_command, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
+        <Setter Property="Command" Value="{Binding DataContext.size_calculator.set_value_command, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
         <Setter Property="CommandParameter" Value="{Binding BestBidSize, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
         <Setter Property="ToolTip">
           <Setter.Value>
@@ -82,7 +82,7 @@
         </Setter>
       </Style>
       <Style x:Key="{x:Static usp:OrderParamsPanel.BestAskSizeButtonStyleKey}" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-        <Setter Property="Command" Value="{Binding DataContext.size_calculator.set_actual_value_command, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
+        <Setter Property="Command" Value="{Binding DataContext.size_calculator.set_value_command, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
         <Setter Property="CommandParameter" Value="{Binding BestAskSize, RelativeSource={RelativeSource AncestorType=usp:OrderParamsPanel}}"/>
         <Setter Property="ToolTip">
           <Setter.Value>
@@ -101,7 +101,7 @@
           <TextBlock.Inlines>
             <Run Text="{Binding security, Mode=OneWay}" FontWeight="Bold"/>
             <Run Text="{Binding side, Mode=OneWay}" Foreground="{Binding side, Converter={StaticResource SideToBrushConverter}}"/>
-            <Run Text="{Binding display_quantity, Mode=OneWay}"/>
+            <Run Text="{Binding quantity, Mode=OneWay}"/>
             <Run>@</Run>
             <Run>
               <Run.Text>
@@ -484,7 +484,6 @@
           <Border Padding="12,12,12,6">
             <Grid>
               <Grid.RowDefinitions>
-                <RowDefinition Height="Auto"/>
                 <RowDefinition Height="Auto"/>
                 <RowDefinition Height="*"/>
               </Grid.RowDefinitions>
@@ -496,45 +495,7 @@
                 AlgoParamRows="{Binding param_rows}"
                 IsReadOnly="{Binding DataContext.can_user_modify_selected_orders, ElementName=Root, Converter={StaticResource NotConverter}}"
               />
-              <c:ExpanderToggleButton
-                x:Name="algo_state_toggle"
-                Grid.Row="1"
-                BorderThickness="0"
-                Content="Algo State"
-                HorizontalContentAlignment="Left"
-                Margin="0,4,0,0"
-                VerticalAlignment="Top"
-                Visibility="{Binding current_algo_custom_state.Count, Converter={StaticResource IntNotZeroVisibilityConverter}}"
-              />
-              <c:DIYGrid Grid.Row="1" Rows="{Binding current_algo_custom_state}" Margin="0,28,0,4">
-                <c:DIYGrid.Visibility>
-                  <MultiBinding>
-                    <MultiBinding.Converter>
-                      <cv:MultiValueConverterPipe>
-                        <cv:BooleanAndConverter/>
-                        <cv:BooleanToVisibilityConverter/>
-                      </cv:MultiValueConverterPipe>
-                    </MultiBinding.Converter>
-                    <Binding Path="current_algo_custom_state.Count" Mode="OneWay" Converter="{StaticResource IntNotZeroConverter}"/>
-                    <Binding Path="IsChecked" ElementName="algo_state_toggle"/>
-                  </MultiBinding>
-                </c:DIYGrid.Visibility>
-                <c:DIYGrid.Columns>
-                  <c:DIYGridColumnCollection>
-                    <c:DIYGridColumn id="Name" Header="Param" Width="176"/>
-                    <c:DIYGridColumn id="Value" Header="Value" Width="176"/>
-                  </c:DIYGridColumnCollection>
-                </c:DIYGrid.Columns>
-                <c:DIYGrid.RowTemplate>
-                  <DataTemplate>
-                    <Grid c:DIYGrid.SyncWithColumnGeometry="True">
-                      <c:TextCell c:DIYGrid.ColumnKey="Name" Text="{Binding name}"/>
-                      <c:TextCell c:DIYGrid.ColumnKey="Value" Text="{Binding value}"/>
-                    </Grid>
-                  </DataTemplate>
-                </c:DIYGrid.RowTemplate>
-              </c:DIYGrid>
-              <StackPanel Grid.Row="2" HorizontalAlignment="Right" VerticalAlignment="Top" Margin="0,8,0,0" Orientation="Horizontal">
+              <StackPanel Grid.Row="1" HorizontalAlignment="Right" VerticalAlignment="Top" Margin="0,8,0,0" Orientation="Horizontal">
                 <Button x:Name="modify_orders_button" Command="{Binding modify_selected_orders_cmd}">
                   <Button.Margin>
                     <Thickness Right="{StaticResource DialogSkirtButtonPadding.Right}"/>

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

@@ -5,7 +5,6 @@ using bts.utils;
 using mbts;
 using mbts.spark;
 using mbts.spark.utilities;
-using mbts.ui;
 using mbts.ui.controls;
 using mbts.utils;
 using System;
@@ -141,18 +140,15 @@ namespace bts.shell.pnl {
       public PositionPriceSize summary =>
          new PositionPriceSize(long_data.working_total, long_data.avg_price, short_data.working_total, short_data.avg_price);
 
-      public static WorkingOrderData Create(IEnumerable<OrderRecordImmutable> orders, QuantityConversionData qty_conversion) =>
-         Create(orders.Select(o => (o, qty_conversion)));
+      public static WorkingOrderData Create(IEnumerable<OrderRecordImmutable> orders) =>
+         orders.Aggregate(Empty, (seed, order) => seed.Add(order));
 
-      public static WorkingOrderData Create(IEnumerable<(OrderRecordImmutable order, QuantityConversionData qty_conversion)> orders) =>
-         orders.Aggregate(Empty, (seed, tup) => seed.Add(tup.order, tup.qty_conversion));
-
-      public WorkingOrderData Add(OrderRecordImmutable order, QuantityConversionData qty_conversion) {
+      public WorkingOrderData Add(OrderRecordImmutable order) {
          if (order.working_quantity() <= 0)
             return new WorkingOrderData(long_data, short_data);
          switch (order.side()) {
-            case Side.Buy: return new WorkingOrderData(long_data.Add(order, qty_conversion), short_data);
-            case Side.Sell: return new WorkingOrderData(long_data, short_data.Add(order, qty_conversion));
+            case Side.Buy: return new WorkingOrderData(long_data.Add(order), short_data);
+            case Side.Sell: return new WorkingOrderData(long_data, short_data.Add(order));
             default: throw ExceptionBuilder.Argument.unexpected_case(order.side(), "order.side");
          }
       }
@@ -169,21 +165,18 @@ namespace bts.shell.pnl {
    }
 
    readonly struct WorkingOrderSideData {
-      public readonly double avg_price, display_avg_price;
-      public readonly ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable order, QuantityConversionData qty_conversion)>> data;
+      public readonly double avg_price;
+      public readonly ImmutableSortedDictionary<double, ImmutableDictionary<uint, OrderRecordImmutable>> data;
       public readonly int working_total;
-      public readonly int display_working_total;
 
-      WorkingOrderSideData(double avg_price, int working_total, double display_avg_price, int display_working_total, ImmutableSortedDictionary<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>> data) {
+      WorkingOrderSideData(double avg_price, int working_total, ImmutableSortedDictionary<double, ImmutableDictionary<uint, OrderRecordImmutable>> data) {
          this.avg_price = avg_price;
          this.working_total = working_total;
-         this.display_avg_price = display_avg_price;
          this.data = data;
-         this.display_working_total = display_working_total;
       }
 
-      public static WorkingOrderSideData EmptyLong => new WorkingOrderSideData(double.NaN, 0, double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>>(new ReverseComparer<double>(OrderDataHelper.PriceComparer)));
-      public static WorkingOrderSideData EmptyShort => new WorkingOrderSideData(double.NaN, 0, double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>>(OrderDataHelper.PriceComparer));
+      public static WorkingOrderSideData EmptyLong => new WorkingOrderSideData(double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, OrderRecordImmutable>>(new ReverseComparer<double>(OrderDataHelper.PriceComparer)));
+      public static WorkingOrderSideData EmptyShort => new WorkingOrderSideData(double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, OrderRecordImmutable>>(OrderDataHelper.PriceComparer));
 
       public double top_price =>
          data.Count > 0 ?
@@ -192,35 +185,23 @@ namespace bts.shell.pnl {
 
       public int top_volume =>
          data.Count > 0 ?
-            data.Values.First().Values.Sum(o => o.order.working_quantity()) :
+            data.Values.First().Values.Sum(o => o.working_quantity()) :
             0;
 
-      public int display_top_volume =>
-         data.Count > 0 ?
-            data.Values.First().Values.Sum(o => o.qty_conversion.to_display(o.order.working_quantity())) :
-            0;
-
-      public WorkingOrderSideData Add(OrderRecordImmutable order_record) =>
-         Add(order_record, new QuantityConversionData());
-
-      public WorkingOrderSideData Add(OrderRecordImmutable order_record, QuantityConversionData qty_conversion) {
+      public WorkingOrderSideData Add(OrderRecordImmutable order_record) {
+         uint order = order_record.Key;
          int working_qty = order_record.working_quantity();
+         double price = order_record.price();
          if (working_qty <= 0)
             throw new ArgumentException(nameof(working_qty));
-         uint order = order_record.Key;
-         int dworking_qty = qty_conversion.to_display(working_qty);
-         double price = order_record.price();
          if (working_total == 0) {
-            Log.assert(display_working_total == 0);
-            return new WorkingOrderSideData(price, working_qty, display_avg_price, dworking_qty, data.Add(price, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>.Empty.Add(order, (order_record, qty_conversion))));
+            return new WorkingOrderSideData(price, working_qty, data.Add(price, ImmutableDictionary<uint, OrderRecordImmutable>.Empty.Add(order, order_record)));
          } else return new WorkingOrderSideData(
               avg_price + ((price - avg_price) * ((double)working_qty / (working_total + working_qty))),
               working_total + working_qty,
-              display_avg_price + ((price - display_avg_price) * ((double)dworking_qty / (display_working_total + dworking_qty))),
-              display_working_total + dworking_qty,
               data.SetItem(price, data.TryGetValue(price, out var curr) ?
-                 curr.Add(order, (order_record, qty_conversion)) :
-                 ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>.Empty.Add(order, (order_record, qty_conversion))));
+                 curr.Add(order, order_record) :
+                 ImmutableDictionary<uint, OrderRecordImmutable>.Empty.Add(order, order_record)));
       }
 
       public WorkingOrderSideData Remove(uint order, double price) {
@@ -229,30 +210,22 @@ namespace bts.shell.pnl {
             throw new KeyNotFoundException(nameof(price));
          if (!wdata.TryGetValue(order, out var worder))
             throw new KeyNotFoundException(nameof(order));
-         var wqty = worder.order.working_quantity();
-         var dwqty = worder.qty_conversion.to_display(wqty);
+         var wqty = worder.working_quantity();
          wdata = wdata.Remove(order);
          if (wdata.Count == 0)
             tmp_data = tmp_data.Remove(price);
          if (tmp_data.Count == 0)
-            return new WorkingOrderSideData(double.NaN, 0, double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, (OrderRecordImmutable, QuantityConversionData)>>(data.KeyComparer));
+            return new WorkingOrderSideData(double.NaN, 0, ImmutableSortedDictionary.Create<double, ImmutableDictionary<uint, OrderRecordImmutable>>(data.KeyComparer));
          return new WorkingOrderSideData(
             avg_price - ((price - avg_price) * (wqty / (working_total - wqty))),
             working_total - wqty,
-            display_avg_price - ((price - display_avg_price) * (dwqty / (display_working_total - dwqty))),
-            display_working_total - dwqty,
             tmp_data);
       }
 
       public override string ToString() {
          if (data.Count > 0) {
             var best_order = data.Values.First().Values.First();
-            return OrderUtils.order_collection_summary(
-               best_order.order.price(),
-               display_avg_price,
-               best_order.qty_conversion.to_display(best_order.order.working_quantity()),
-               display_working_total,
-               SecurityDataHelper.Defaults.ContractSpecificationImmutable);
+            return OrderUtils.order_collection_summary(best_order.price(), avg_price, best_order.working_quantity(), working_total, SecurityDataHelper.Defaults.ContractSpecificationImmutable);
          }
          return string.Empty;
       }
@@ -275,25 +248,21 @@ namespace bts.shell.pnl {
 
       public readonly PNLKey key;
       public readonly SecurityImmutable? security;
-      public readonly QuantityConversionData qty_conversion;
       public readonly string account_name;
       public readonly PNLCalculationType calc_type;
       public readonly PositionPriceSize day, raw_day, sod;
       public readonly WorkingOrderData working;
 
       public readonly double
-         default_cpp,
+         cpp,
          bid_price,
          ask_price,
          last_price,
          settlement_price;
 
-      public readonly double? override_cpp;
-
       public PNLRowData(
          PNLKey key,
-         double default_cpp = 0,
-         double? override_cpp = null,
+         double cpp = 0,
          double bid_price = 0,
          double ask_price = 0,
          double last_price = 0,
@@ -304,12 +273,10 @@ namespace bts.shell.pnl {
          WorkingOrderData? working = null,
          SecurityImmutable? security = null,
          string account_name = null,
-         PNLCalculationType calc_type = PNLCalculationType.Mid,
-         QuantityConversionData? qty_conversion = null) {
+         PNLCalculationType calc_type = PNLCalculationType.Mid) {
          //
          this.key = key;
-         this.default_cpp = default_cpp;
-         this.override_cpp = override_cpp;
+         this.cpp = cpp;
          this.bid_price = bid_price;
          this.ask_price = ask_price;
          this.last_price = last_price;
@@ -321,7 +288,6 @@ namespace bts.shell.pnl {
          this.security = security;
          this.account_name = account_name;
          this.calc_type = calc_type;
-         this.qty_conversion = qty_conversion ?? new QuantityConversionData();
       }
 
       [Flags]
@@ -339,9 +305,6 @@ namespace bts.shell.pnl {
          AskLTESettle = Ask | Settle | 1 << 7
       }
 
-      public string symbol => security?.pnl_symbol() ?? string.Empty;
-      public double effective_cpp => override_cpp ?? default_cpp;
-
       /// Market/Calc
       public double mid_price => (bid_price + ask_price) / 2;
       public double pnl_price {
@@ -381,155 +344,117 @@ namespace bts.shell.pnl {
          }
       }
       /// Sod
-      public double sod_pnl => effective_cpp *
+      public double sod_pnl => cpp *
          DoubleUtil.nan_to_zero_sum(
             sod_long_avg_price_delta_raw * sod_long_pos,
             sod_short_avg_price_delta_raw * sod_short_pos
          );
       // long
       public double sod_long_pos => sod.long_pos;
-      public double sod_long_avg_price => effective_cpp * sod.long_avg;
+      public double sod_long_avg_price => cpp * sod.long_avg;
       public double sod_long_avg_price_raw => sod.long_avg;
-      public double sod_long_avg_price_delta => effective_cpp * sod_long_avg_price_delta_raw;
+      public double sod_long_avg_price_delta => cpp * sod_long_avg_price_delta_raw;
       public double sod_long_avg_price_delta_raw => sod.long_pos == 0 ? double.NaN : long_pnl_price - sod.long_avg;
       // short
       public double sod_short_pos => sod.short_pos;
-      public double sod_short_avg_price => effective_cpp * sod.short_avg;
+      public double sod_short_avg_price => cpp * sod.short_avg;
       public double sod_short_avg_price_raw => sod.short_avg;
-      public double sod_short_avg_price_delta => effective_cpp * sod_short_avg_price_delta_raw;
+      public double sod_short_avg_price_delta => cpp * sod_short_avg_price_delta_raw;
       public double sod_short_avg_price_delta_raw => sod.short_pos == 0 ? double.NaN : sod.short_avg - short_pnl_price;
       // net
       public double sod_net_pos => sod.net_pos;
-      public double sod_net_avg_price_delta => effective_cpp * sod_net_avg_price_delta_raw;
+      public double sod_net_avg_price_delta => cpp * sod_net_avg_price_delta_raw;
       public double sod_net_avg_price_delta_raw =>
          MathUtils.weighted_average(
             sod_long_avg_price_delta_raw, sod.long_pos,
             sod_short_avg_price_delta_raw, sod.short_pos);
-      // display
-      public double display_sod_net_pos => qty_conversion.to_display(sod_net_pos);
-      public double display_sod_long_pos => qty_conversion.to_display(sod_long_pos);
-      public double display_sod_short_pos => qty_conversion.to_display(sod_short_pos);
 
       /// Day
-      public double day_pnl => effective_cpp *
+      public double day_pnl => cpp *
          DoubleUtil.nan_to_zero_sum(
             day_long_avg_price_delta_raw * day_long_pos,
             day_short_avg_price_delta_raw * day_short_pos
          );
       // long
       public double day_long_pos => day.long_pos;
-      public double day_long_avg_price => effective_cpp * day.long_avg;
+      public double day_long_avg_price => cpp * day.long_avg;
       public double day_long_avg_price_raw => day.long_avg;
-      public double day_long_avg_price_delta => effective_cpp * day_long_avg_price_delta_raw;
+      public double day_long_avg_price_delta => cpp * day_long_avg_price_delta_raw;
       public double day_long_avg_price_delta_raw => day.long_pos == 0 ? double.NaN : long_pnl_price - day.long_avg;
       // short
       public double day_short_pos => day.short_pos;
-      public double day_short_avg_price => effective_cpp * day.short_avg;
+      public double day_short_avg_price => cpp * day.short_avg;
       public double day_short_avg_price_raw => day.short_avg;
-      public double day_short_avg_price_delta => effective_cpp * day_short_avg_price_delta_raw;
+      public double day_short_avg_price_delta => cpp * day_short_avg_price_delta_raw;
       public double day_short_avg_price_delta_raw => day.short_pos == 0 ? double.NaN : day.short_avg - short_pnl_price;
       public bool has_day_trades => day.long_pos > 0 || day.short_pos > 0;
       // net
       public double day_net_pos => day.net_pos;
-      public double day_net_avg_price_delta => effective_cpp * day_net_avg_price_delta_raw;
+      public double day_net_avg_price_delta => cpp * day_net_avg_price_delta_raw;
       public double day_net_avg_price_delta_raw =>
          MathUtils.weighted_average(
             day_long_avg_price_delta_raw, day.long_pos,
             day_short_avg_price_delta_raw, day.short_pos);
-      // display
-      public double display_day_net_pos => qty_conversion.to_display(day_net_pos);
-      public double display_day_long_pos => qty_conversion.to_display(day_long_pos);
-      public double display_day_short_pos => qty_conversion.to_display(day_short_pos);
 
       /// Raw Day
       public double raw_day_long_pos => raw_day.long_pos;
       public double raw_day_short_pos => raw_day.short_pos;
       public double raw_day_net_pos => raw_day.net_pos;
-      // display
-      public double display_raw_day_net_pos => qty_conversion.to_display(raw_day_net_pos);
-      public double display_raw_day_long_pos => qty_conversion.to_display(raw_day_long_pos);
-      public double display_raw_day_short_pos => qty_conversion.to_display(raw_day_short_pos);
 
       /// Total
       public double total_pnl => DoubleUtil.nan_to_zero_sum(sod_pnl, day_pnl);
       // long
       public double total_long_pos => DoubleUtil.nan_to_zero_sum(sod.long_pos, day.long_pos);
-      public double total_long_avg_price => effective_cpp * total_long_avg_price_raw;
+      public double total_long_avg_price => cpp * total_long_avg_price_raw;
       public double total_long_avg_price_raw => DoubleUtil.nan_to_zero_sum(sod.long_avg, day.long_avg);
-      public double total_long_avg_price_delta => effective_cpp * total_long_avg_price_delta_raw;
+      public double total_long_avg_price_delta => cpp * total_long_avg_price_delta_raw;
       public double total_long_avg_price_delta_raw =>
          MathUtils.weighted_average(
             sod_long_avg_price_delta_raw, sod.long_pos,
             day_long_avg_price_delta_raw, day.long_pos);
       // short
       public double total_short_pos => DoubleUtil.nan_to_zero_sum(sod.short_pos, day.short_pos);
-      public double total_short_avg_price => effective_cpp * total_short_avg_price_raw;
+      public double total_short_avg_price => cpp * total_short_avg_price_raw;
       public double total_short_avg_price_raw => DoubleUtil.nan_to_zero_sum(sod.short_avg, day.short_avg);
-      public double total_short_avg_price_delta => effective_cpp * total_short_avg_price_delta_raw;
+      public double total_short_avg_price_delta => cpp * total_short_avg_price_delta_raw;
       public double total_short_avg_price_delta_raw =>
          MathUtils.weighted_average(
             sod_short_avg_price_delta_raw, sod.short_pos,
             day_short_avg_price_delta_raw, day.short_pos);
       // net
       public double total_net_pos => DoubleUtil.nan_to_zero_sum(sod.long_pos, -sod.short_pos, day.long_pos, -day.short_pos);
-      public double total_net_avg_price_delta => effective_cpp * total_net_avg_price_delta_raw;
+      public double total_net_avg_price_delta => cpp * total_net_avg_price_delta_raw;
       public double total_net_avg_price_delta_raw =>
          MathUtils.weighted_average(
             total_long_avg_price_delta_raw, total_long_pos,
             total_short_avg_price_delta_raw, total_short_pos);
-      // display
-      public double display_total_net_pos => qty_conversion.to_display(total_net_pos);
-      public double display_total_long_pos => qty_conversion.to_display(total_long_pos);
-      public double display_total_short_pos => qty_conversion.to_display(total_short_pos);
 
       #region Working
       // long
       public double working_long_pos => working.long_data.working_total;
-      public double working_long_avg_price => effective_cpp * working_long_avg_price_raw;
-      public double working_long_top_price => effective_cpp * working_long_top_price_raw;
+      public double working_long_avg_price => cpp * working_long_avg_price_raw;
+      public double working_long_top_price => cpp * working_long_top_price_raw;
       public double working_long_top_price_raw => working.top_bid;
       public double working_long_avg_price_raw => working.long_data.avg_price;
-      public double working_long_avg_price_delta => effective_cpp * working_long_avg_price_delta_raw;
+      public double working_long_avg_price_delta => cpp * working_long_avg_price_delta_raw;
       public double working_long_avg_price_delta_raw => working_long_pos == 0 ? double.NaN : long_pnl_price - working_long_avg_price_raw;
       // short
       public double working_short_pos => working.short_data.working_total;
-      public double working_short_avg_price => effective_cpp * working_short_avg_price_raw;
-      public double working_short_top_price => effective_cpp * working_short_top_price_raw;
+      public double working_short_avg_price => cpp * working_short_avg_price_raw;
+      public double working_short_top_price => cpp * working_short_top_price_raw;
       public double working_short_top_price_raw => working.top_ask;
       public double working_short_avg_price_raw => working.short_data.avg_price;
-      public double working_short_avg_price_delta => effective_cpp * working_short_avg_price_delta_raw;
+      public double working_short_avg_price_delta => cpp * working_short_avg_price_delta_raw;
       public double working_short_avg_price_delta_raw => working_short_pos == 0 ? double.NaN : working_short_avg_price_raw - short_pnl_price;
       // net
       public double working_net_pos => working_long_pos - working_short_pos;
-      public double working_net_avg_price_delta => effective_cpp * working_net_avg_price_delta_raw;
+      public double working_net_avg_price_delta => cpp * working_net_avg_price_delta_raw;
       public double working_net_avg_price_delta_raw =>
          MathUtils.weighted_average(
             working_long_avg_price_delta_raw, working_long_pos,
             working_short_avg_price_delta_raw, working_short_pos);
-      // display
-      public double display_working_net_pos => qty_conversion.to_display(working_net_pos);
-      public double display_working_long_pos => qty_conversion.to_display(working_long_pos);
-      public double display_working_short_pos => qty_conversion.to_display(working_short_pos);
       #endregion
 
-      public PNLRowData with(SecurityImmutable? security = null, string account_name = null, WorkingOrderData? working = null, PNLCalculationType? calc_type = null) =>
-         new PNLRowData(
-            key,
-            default_cpp,
-            override_cpp,
-            bid_price,
-            ask_price,
-            last_price,
-            settlement_price,
-            sod,
-            day,
-            raw_day,
-            working ?? this.working,
-            security ?? this.security,
-            account_name ?? this.account_name,
-            calc_type ?? this.calc_type,
-            qty_conversion: qty_conversion);
-
       WaterfallPriceFlags _waterfall_flags() {
          var flags = WaterfallPriceFlags.None;
          if (!double.IsNaN(bid_price)) flags |= WaterfallPriceFlags.Bid;
@@ -571,8 +496,7 @@ namespace bts.shell.pnl {
 
       public bool Equals(PNLRowData other) =>
          key == other.key &&
-         default_cpp == other.default_cpp &&
-         override_cpp == other.override_cpp &&
+         cpp == other.cpp &&
          security.HasValue == other.security.HasValue &&
          account_name == other.account_name &&
          sod == other.sod &&
@@ -584,8 +508,7 @@ namespace bts.shell.pnl {
          settlement_price.Equals(other.settlement_price) &&
          calc_type.Equals(other.calc_type) &&
          raw_day == other.raw_day &&
-         working.summary == other.working.summary &&
-         qty_conversion == other.qty_conversion;
+         working.summary == other.working.summary;
 
       public override bool Equals(object obj) =>
          obj is PNLRowData other && Equals(other);
@@ -600,12 +523,9 @@ namespace bts.shell.pnl {
    }
 
    static class PNLRowDataFactory {
-      public static PNLRowData create((SecurityImmutable? sec, PNLUnitImmutable value, QuantityConversionData qty_conversion) t) {
-         var (default_cpp, override_cpp) = t.value.pnl_cpp_tuple(t.sec);
-         return new PNLRowData(
-            new PNLKey(t.value.Pos.AccountId, t.value.Pos.SecurityId),
-            default_cpp,
-            override_cpp,
+      public static PNLRowData create((SecurityImmutable? sec, PNLUnitImmutable value) t) =>
+         new PNLRowData(new PNLKey(t.value.Pos.AccountId, t.value.Pos.SecurityId),
+            t.value.CashValue,
             t.value.BidPrice,
             t.value.AskPrice,
             t.value.LastPrice,
@@ -615,27 +535,25 @@ namespace bts.shell.pnl {
             t.value.Pos.raw_day_pps(),
             WorkingOrderData.Empty,
             t.sec,
-            t.value.Pos.Account,
-            qty_conversion: t.qty_conversion);
-      }
+            t.value.Pos.Account);
    }
 
    static class PNLDataExtensions {
-      public static string pnl_symbol(this SecurityImmutable security) {
-         return bts.api.ExchangeSpecificUitlities.get_pnl_symbol(security);
-      }
-
-      // while override_cpp could use double.NaN to indicate the lack of an override,
-      // the nullable double makes it clear that it is an optional value.
-      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable? security) =>
-         security.HasValue ?
-            pnl_cpp_tuple(pnl_unit, security.Value) :
-            (pnl_unit.CashValue, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
-
-      public static (double default_cpp, double? override_cpp) pnl_cpp_tuple(this PNLUnitImmutable pnl_unit, SecurityImmutable security) {
-         // TODO: actual impl
-         double calced_pnl = bts.api.ExchangeSpecificUitlities.get_cpp(pnl_unit,security);
-         return (calced_pnl, pnl_unit.HasCppOverride ? pnl_unit.CppOverride.Value : (double?)null);
-      }
+      // Note: PNLRowData is passed by ref because it is fairly large struct, and since it is a readonly struct, we know it cannot be modified (so might as well avoid excessive copying).
+      public static PNLRowData with(this PNLRowData pnl_data, SecurityImmutable? security = null, string account_name = null, WorkingOrderData? working = null, PNLCalculationType? calc_type = null) =>
+         new PNLRowData(
+            pnl_data.key,
+            pnl_data.cpp,
+            pnl_data.bid_price,
+            pnl_data.ask_price,
+            pnl_data.last_price,
+            pnl_data.settlement_price,
+            pnl_data.sod,
+            pnl_data.day,
+            pnl_data.raw_day,
+            working ?? pnl_data.working,
+            security ?? pnl_data.security,
+            account_name ?? pnl_data.account_name,
+            calc_type ?? pnl_data.calc_type);
    }
-}
+}

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

@@ -16,15 +16,7 @@ namespace bts.shell.pnl {
          decimal sod_long_pos,
          decimal sod_short_pos,
          decimal working_long_pos = 0,
-         decimal working_short_pos = 0,
-         decimal? display_day_long_pos = null,
-         decimal? display_day_short_pos = null,
-         decimal? display_raw_day_long_pos = null,
-         decimal? display_raw_day_short_pos = null,
-         decimal? display_sod_long_pos = null,
-         decimal? display_sod_short_pos = null,
-         decimal? display_working_long_pos = null,
-         decimal? display_working_short_pos = null) {
+         decimal working_short_pos = 0) {
          //
          this.day_pnl = day_pnl;
          this.day_long_pos = day_long_pos;
@@ -36,15 +28,6 @@ namespace bts.shell.pnl {
          this.sod_short_pos = sod_short_pos;
          this.working_long_pos = working_long_pos;
          this.working_short_pos = working_short_pos;
-         // display
-         this.display_day_long_pos = display_day_long_pos ?? day_long_pos;
-         this.display_day_short_pos = display_day_short_pos ?? day_short_pos;
-         this.display_raw_day_long_pos = display_raw_day_long_pos ?? raw_day_long_pos;
-         this.display_raw_day_short_pos = display_raw_day_short_pos ?? raw_day_short_pos;
-         this.display_sod_long_pos = display_sod_long_pos ?? sod_long_pos;
-         this.display_sod_short_pos = display_sod_short_pos ?? sod_short_pos;
-         this.display_working_long_pos = display_working_long_pos ?? working_long_pos;
-         this.display_working_short_pos = display_working_short_pos ?? working_short_pos;
       }
 
       // sod
@@ -52,48 +35,24 @@ namespace bts.shell.pnl {
       public decimal sod_long_pos { get; }
       public decimal sod_short_pos { get; }
       public decimal sod_net_pos => sod_long_pos - sod_short_pos;
-      // sod display
-      public decimal display_sod_long_pos { get; }
-      public decimal display_sod_short_pos { get; }
-      public decimal display_sod_net_pos => display_sod_long_pos - display_sod_short_pos;
-
       // day
       public decimal day_pnl { get; }
       public decimal day_long_pos { get; }
       public decimal day_short_pos { get; }
       public decimal day_net_pos => day_long_pos - day_short_pos;
-      // display
-      public decimal display_day_long_pos { get; }
-      public decimal display_day_short_pos { get; }
-      public decimal display_day_net_pos => display_day_long_pos - display_day_short_pos;
-
       // raw day
       public decimal raw_day_long_pos { get; }
       public decimal raw_day_short_pos { get; }
       public decimal raw_day_net_pos => raw_day_long_pos - raw_day_short_pos;
-      // display
-      public decimal display_raw_day_long_pos { get; }
-      public decimal display_raw_day_short_pos { get; }
-      public decimal display_raw_day_net_pos => display_raw_day_long_pos - display_raw_day_short_pos;
-
       // total
       public decimal total_pnl => sod_pnl + day_pnl;
       public decimal total_net_pos => total_long_pos - total_short_pos;
       public decimal total_long_pos => sod_long_pos + day_long_pos;
       public decimal total_short_pos => sod_short_pos + day_short_pos;
-      // display
-      public decimal display_total_long_pos => display_sod_long_pos + display_day_long_pos;
-      public decimal display_total_short_pos => display_sod_short_pos + display_day_short_pos;
-      public decimal display_total_net_pos => display_total_long_pos - display_total_short_pos;
-
       // working
       public decimal working_long_pos { get; }
-      public decimal working_short_pos { get; }
       public decimal working_net_pos => working_long_pos - working_short_pos;
-      // display
-      public decimal display_working_long_pos { get; }
-      public decimal display_working_short_pos { get; }
-      public decimal display_working_net_pos => display_working_long_pos - display_working_short_pos;
+      public decimal working_short_pos { get; }
 
       public bool Equals(PNLNormalizedData other) =>
          day_pnl == other.day_pnl &&
@@ -105,17 +64,6 @@ namespace bts.shell.pnl {
          sod_long_pos == other.sod_long_pos &&
          sod_short_pos == other.sod_short_pos &&
          working_long_pos == other.working_long_pos &&
-         working_short_pos == other.working_short_pos &&
-         // display
-         sod_long_pos == other.sod_long_pos &&
-         sod_short_pos == other.sod_short_pos &&
-         day_long_pos == other.day_long_pos &&
-         day_short_pos == other.day_short_pos &&
-         raw_day_long_pos == other.raw_day_long_pos &&
-         raw_day_short_pos == other.raw_day_short_pos &&
-         total_long_pos == other.total_long_pos &&
-         total_short_pos == other.total_short_pos &&
-         working_long_pos == other.working_long_pos &&
          working_short_pos == other.working_short_pos;
 
       public override bool Equals(object obj) =>
@@ -154,16 +102,7 @@ namespace bts.shell.pnl {
             a.sod_long_pos + b.sod_long_pos,
             a.sod_short_pos + b.sod_short_pos,
             a.working_long_pos + b.working_long_pos,
-            a.working_short_pos + b.working_short_pos,
-            // display
-            a.display_day_long_pos + b.display_day_long_pos,
-            a.display_day_short_pos + b.display_day_short_pos,
-            a.display_raw_day_long_pos + b.display_raw_day_long_pos,
-            a.display_raw_day_short_pos + b.display_raw_day_short_pos,
-            a.display_sod_long_pos + b.display_sod_long_pos,
-            a.display_sod_short_pos + b.display_sod_short_pos,
-            a.display_working_long_pos + b.display_working_long_pos,
-            a.display_working_short_pos + b.display_working_short_pos);
+            a.working_short_pos + b.working_short_pos);
 
       public static PNLNormalizedData operator -(PNLNormalizedData a, PNLNormalizedData b) =>
          new PNLNormalizedData(
@@ -176,15 +115,6 @@ namespace bts.shell.pnl {
             a.sod_long_pos - b.sod_long_pos,
             a.sod_short_pos - b.sod_short_pos,
             a.working_long_pos - b.working_long_pos,
-            a.working_short_pos - b.working_short_pos,
-            // display
-            a.display_day_long_pos - b.display_day_long_pos,
-            a.display_day_short_pos - b.display_day_short_pos,
-            a.display_raw_day_long_pos - b.display_raw_day_long_pos,
-            a.display_raw_day_short_pos - b.display_raw_day_short_pos,
-            a.display_sod_long_pos - b.display_sod_long_pos,
-            a.display_sod_short_pos - b.display_sod_short_pos,
-            a.display_working_long_pos - b.display_working_long_pos,
-            a.display_working_short_pos - b.display_working_short_pos);
+            a.working_short_pos - b.working_short_pos);
    }
 }

src/client/spark/Modules/Trading/PNL/PNLWindowFactory.cs

@@ -1,5 +1,4 @@
 using bts.api;
-using bts.api.position;
 using bts.collections;
 using bts.settings;
 using bts.shell.pnl;
@@ -12,7 +11,6 @@ using mbts.persist;
 using mbts.spark;
 using mbts.ui;
 using mbts.ui.controls;
-using mbts.ui.controls.property_editor;
 using mbts.ui.settings;
 using mbts.ui.spark;
 using mbts.ui.utility;
@@ -24,7 +22,6 @@ using System.ComponentModel;
 using System.ComponentModel.Composition;
 using System.Linq;
 using System.Reactive.Linq;
-using System.Threading;
 using System.Threading.Tasks;
 using System.Windows;
 using System.Windows.Media;
@@ -37,13 +34,11 @@ namespace bts.shell {
       readonly UserSettingsHub _settings_hub;
       readonly PNLConfig _pnl_conf;
       readonly IShellWindowThreadIDProvider _thread_id_provider;
-      readonly IPositionModel _position_model;
 
-      public PNLWindowFactory(IShellModule owner, IBus bus, UserSettingsHub settings_hub, OrdersModel orders_model, IPositionModel position_model) : base(owner, _window_type) {
+      public PNLWindowFactory(IShellModule owner, IBus bus, UserSettingsHub settings_hub, OrdersModel orders_model) : base(owner, _window_type) {
          _bus = bus;
          _orders_model = orders_model;
          _settings_hub = settings_hub;
-         _position_model = position_model;
          _pnl_conf = new PNLConfig(Configuration.get<bts.config.PNLOptions>());
          _thread_id_provider = ShellWindowThreadIDFactory.create(_window_type, Configuration.get<bts.config.MultiThreadedWindows>().pnl);
          _dispose = bus.subscribe(SparkTags.ShowPNLTag).OnDispatcher().Subscribe(_show);
@@ -110,8 +105,6 @@ namespace bts.shell {
                   menu_display: menu_display_vm.create());
                return new PNLSaveState { use_defaults = false, settings = state };
             };
-
-            IDisposable cpp_override_dialog = null;
             IEnumerable<SparkCommand> commands = new[] {
                new SparkCommandCommand("Collapse All", Icons.RightArrow, new DelegateCommand(() => vm.set_all_expanded(false))),
                new SparkCommandCommand("Expand All", Icons.DownArrow, new DelegateCommand(() => vm.set_all_expanded(true))),
@@ -123,26 +116,6 @@ namespace bts.shell {
                   show_in_context_menu = _pnl_conf.show_pause_resume,
                   show_in_toolbar = _pnl_conf.show_pause_resume
                },
-               new SparkCommandCommand("Override CPP...", Icons.CurrencyExchange, new DelegateCommand(() => {
-                  Disposable.dispose(ref cpp_override_dialog);
-                  var security_keys = vm.selected_rows.Select(r => r.security_key.value).Distinct().ToList();
-                  double initial_cpp = vm.selected_rows.Select(r => r.cpp.value).Distinct().SafeSingleOrDefault();
-                  override_cpp_async().ignore();
-                  async Task override_cpp_async() {
-                     try {
-                        var cts = new CancellationTokenSource();
-                        cpp_override_dialog = Disposable.Create(new Action(cts.Cancel));
-                        var (cpp, committed) = await PropertyEditor.get_double_async("Override CPP", "value", cts.Token, initial_cpp);
-                        if (committed && cpp.is_real_positive())
-                           await _position_model.override_cpp_async(security_keys, cpp);
-                     } catch (Exception ex) {
-                        Log.Ui.warn($"Error overriding cpp: {ex}.");
-                     }
-                  }
-               })) {
-                  show_in_context_menu = true,
-                  show_in_toolbar = false
-               },
                SparkCommands.window_settings_command(new DialogCommand(() => {
                   settings_manager.instance_settings = get_save_state().settings;
                   var dialog_vm = new ShellSettingsDialogVM<PNLSettings, PNLSettingsVM>(
@@ -217,7 +190,6 @@ namespace bts.shell {
                         cached_columns.RemoveRange(e.OldItems.OfType<DIYGrid.ColumnBase>());
                }),
                Disposable.wrap_collection(commands.OfType<IDisposable>()),
-               Disposable.Create(() => Disposable.dispose(ref cpp_override_dialog)),
                menu_display_vm,
                vm);
             return (content, commands, get_save_state, dispose);
@@ -412,17 +384,5 @@ namespace bts.shell {
             return false;
          }
       }
-
-      [Export(typeof(IPNLSettingsMigrationRule))]
-      class InitializeDataFormattingMigrationRule : IPNLSettingsMigrationRule {
-         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
-            if (settings != null && settings.data_formatting == null) {
-               new_settings = settings.with(data_formatting: PNLSettings.Default.data_formatting);
-               return true;
-            }
-            new_settings = null;
-            return false;
-         }
-      }
    }
 }

src/client/spark/Modules/Trading/PNL/Settings/PNLFilterStates.cs

@@ -204,11 +204,11 @@ namespace bts.shell.pnl {
          // impl (add all)
          bd.add_discrete_values(fs.account, d => d.key.account_id);
          bd.add_discrete_values(fs.exchange, d => d.security.exchange_or_default());
-         bd.add_discrete_values(fs.symbol, d => d.symbol);
+         bd.add_discrete_values(fs.symbol, d => d.security.symbol_or_default());
          bd.add_discrete_values(fs.security_type, d => d.security.HasValue ? d.security.Value.ContractCase : Security.ContractOneofCase.None);
          bd.add_regex(fs.security, d => d.security.ToString());
          bd.add_regex(fs.security_key, d => d.key.security_id.ToString());
-         bd.add_numeric(fs.cpp, d => d.effective_cpp);
+         bd.add_numeric(fs.cpp, d => d.cpp);
          /// sod
          bd.add_numeric(fs.sod_pnl, d => d.sod_pnl);
          bd.add_numeric(fs.sod_long_pos, d => d.sod_long_pos);

src/client/spark/Modules/Trading/PNL/Settings/VM/PNLDataFormattingVM.cs

@@ -1,52 +0,0 @@
-using bts.utils;
-using mbts.spark;
-using mbts.ui.shell;
-using System;
-using System.Collections.Generic;
-
-namespace bts.shell.pnl {
-   class PNLDataFormattingVM : ViewModelBase, IValueFactory<PNLDataFormatting> {
-      const uint _min_decimal_places = 1, _max_decimal_places = 6;
-      uint _market_price_decimal_places, _fill_price_decimal_places;
-
-      public uint market_price_decimal_places {
-         get => _market_price_decimal_places;
-         set => Set(ref _market_price_decimal_places, value);
-      }
-      public uint fill_price_decimal_places {
-         get => _fill_price_decimal_places;
-         set => Set(ref _fill_price_decimal_places, value);
-      }
-      public IEnumerable<uint> decimal_place_options {
-         get {
-            for (uint n = _min_decimal_places; n <= _max_decimal_places; n++)
-               yield return n;
-         }
-      }
-
-      public PNLDataFormatting create() =>
-         new PNLDataFormatting {
-            fill_price_display = new DoubleFormatting {
-               tick_factors = new mbts.user.settings.TickFactors(
-                  Math.Pow(10, MathUtils.within_range(_min_decimal_places, _max_decimal_places, fill_price_decimal_places)),
-                  1)
-            },
-            market_price_display = new DoubleFormatting {
-               tick_factors = new mbts.user.settings.TickFactors(
-                  Math.Pow(10, MathUtils.within_range(_min_decimal_places, _max_decimal_places, market_price_decimal_places)),
-                  1)
-            }
-         };
-
-      public void load_from(PNLDataFormatting value) {
-         if (value != null) {
-            if (value.market_price_display?.tick_factors != null) {
-               market_price_decimal_places = (uint)Math.Log10(value.market_price_display.tick_factors.tick_base);
-            }
-            if (value.fill_price_display?.tick_factors != null) {
-               fill_price_decimal_places = (uint)Math.Log10(value.fill_price_display.tick_factors.tick_base);
-            }
-         }
-      }
-   }
-}

src/client/spark/Modules/Trading/PNL/Settings/VM/PNLSettingsVM.cs

@@ -14,6 +14,7 @@ using System;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
 using System.Collections.Specialized;
+using System.Dynamic;
 using System.Linq;
 using ColumnKeys = bts.shell.pnl.PNLView.Columns;
 
@@ -51,7 +52,6 @@ namespace bts.shell.pnl {
       public SimpleGridSettingsVM core_settings_vm { get; }
       public PNLGroupRowAppearanceVM group_row_defaults { get; } = new PNLGroupRowAppearanceVM();
       public PNLCellAppearanceVM header_row_defaults { get; } = new PNLCellAppearanceVM();
-      public PNLDataFormattingVM data_formatting_vm { get; } = new PNLDataFormattingVM();
       public PNLCalculationType calculation_type { get => _calculation_type; set => Set(ref _calculation_type, value); }
       public IEnumerable<PNLCalculationType> calculation_types => EnumHelper.get_values_except(PNLCalculationType.None, PNLCalculationType.Same, PNLCalculationType.Opposite);
       public PNLHeaderRowDisplay header_row_display { get => _header_row_display; set => Set(ref _header_row_display, value); }
@@ -63,7 +63,6 @@ namespace bts.shell.pnl {
          var s = _last_loaded == null ? new PNLSettings() : SparkUtils.clone_proto(_last_loaded);
          s.calculation_type = _calculation_type;
          s.grid = core_settings_vm.create();
-         s.data_formatting = data_formatting_vm.create();
          // move anchor cols to the left, order wrt grouping hierarchy
          List<GridColumnSettings> new_cols = null;
          IEnumerable<GridColumnSettings> cols = s.grid.columns;
@@ -137,7 +136,6 @@ namespace bts.shell.pnl {
          _last_loaded = value;
          header_row_defaults.load(value.header_cell_appearance.to_appearance());
          group_row_defaults.load_from((value.group_cell_appearance.to_appearance(), value.group_background_colors.WrapSelectorRO(c => c.argb_color())));
-         data_formatting_vm.load_from(value.data_formatting);
          var column_map = _map_column_data(value.grid.columns, value.animations);
          var group_column_map = _map_column_data(value.group_columns, value.group_header_animations);
          var header_column_map = _map_column_data(value.header_columns, value.header_row_animations);
@@ -156,7 +154,7 @@ namespace bts.shell.pnl {
             anchor_items.WrapSelector(a => a.key, k => _anchor_cache[k]).sync_with(value.anchors.Intersect(PNLSettings.anchorable_columns));
          header_row_display = value.header_row_display;
          calculation_type = value.calculation_type;
-      }
+       }
 
       PNLSettings IValueFactory<PNLSettings>.create() => get_result();
       void IValueFactory<PNLSettings>.load_from(PNLSettings value) => load(value);

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

@@ -14,7 +14,7 @@ namespace bts.shell.pnl {
       public readonly DIYGridAnimationModel<PNLView.Columns, TRow> animation_model = new DIYGridAnimationModel<PNLView.Columns, TRow>(TimeSpan.FromSeconds(0.3));
 
       static readonly Func<WorkingOrderSideData, string> _fmt_working_order_data =
-         d => OrderUtils.order_collection_summary(d.top_price, d.display_top_volume, d.display_working_total);
+         d => OrderUtils.order_collection_summary(d.top_price, d.top_volume, d.working_total);
 
       static readonly IComparer<WorkingOrderSideData> _working_total_comparer =
          Comparer<int>.Default.wrap<int, WorkingOrderSideData>(d => d.working_total);        

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

@@ -55,11 +55,11 @@ namespace bts.shell.pnl {
    }
 
    class PNLCellVM<TRow, TValue> : ViewModelBase, IObserver<PNLAnimation>, IPNLCellVM<TRow>, IComparable<PNLCellVM<TRow, TValue>>, IComparable {
+      readonly Func<TValue, string> _fmt;
       readonly Func<TRow, TValue> _get;
       readonly IEqualityComparer<TValue> _eq_comparer;
       readonly IComparer<TValue> _comparer;
       readonly PNLView.Columns _column;
-      Func<TValue, string> _fmt;
       IComparer _value_comparer;
       Color
          _foreground = Colors.Black,
@@ -123,15 +123,6 @@ namespace bts.shell.pnl {
          set => Set(ref _font_weight, value);
       }
 
-      public Func<TValue, string> format {
-         get => _fmt;
-         set {
-            _fmt = value;
-            _text = null;
-            RaisePropertyChanged(nameof(text));
-         }
-      }
-
       public void on_row(TRow row) =>
          value = _get(row);
 

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

@@ -22,13 +22,7 @@ namespace bts.shell.pnl {
       bool _refresh_normalized_data = true, _is_selected;
       PNLNormalizedData _normalized_data;
 
-      public PNLRowVM(
-         PNLRowData data,
-         ImmutableDictionary<ColumnKeys, PNLCellAppearance> default_appearances,
-         IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers,
-         Func<double, string> fmt_fill_price,
-         Func<double, string> fmt_market_price) {
-         //
+      public PNLRowVM(PNLRowData data, ImmutableDictionary<ColumnKeys, PNLCellAppearance> default_appearances, IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers) {
          this.data = data;
          _animator = new PNLCellEmbeddedAnimationModel<PNLRowData>(default_appearances, triggers);
          _animator.on_row(data);
@@ -36,41 +30,41 @@ namespace bts.shell.pnl {
          account_name_cell = _cell_map.add(ColumnKeys.Account, d => d.account_name);
          security_type_cell = _cell_map.add(ColumnKeys.SecurityType, d => d.security?.ContractCase ?? Security.ContractOneofCase.None);
          exchange_cell = _cell_map.add(ColumnKeys.Exchange, d => d.security?.Exchange ?? Venue.Unset);
-         symbol_cell = _cell_map.add(ColumnKeys.Symbol, d => d.symbol);
-         security_cell = _cell_map.add(ColumnKeys.Security, d => (d.security), null, EqualityComparer<SecurityImmutable?>.Default, Comparer<SecurityImmutable>.Default.to_nullable());
+         symbol_cell = _cell_map.add(ColumnKeys.Symbol, d => d.security?.Symbol ?? string.Empty);
+         security_cell = _cell_map.add(ColumnKeys.Security, d => d.security, null, EqualityComparer<SecurityImmutable?>.Default, Comparer<SecurityImmutable>.Default.to_nullable());
          security_key = _cell_map.add(ColumnKeys.SecurityKey, d => d.key.security_id);
-         cpp = _cell_map.add(ColumnKeys.CPP, d => d.effective_cpp);
+         cpp = _cell_map.add(ColumnKeys.CPP, d => d.cpp);
          // sod
          sod_pnl = _cell_map.add_pnl_double(ColumnKeys.SODPNL, d => d.sod_pnl);
-         sod_net_pos = _cell_map.add_net_pos(ColumnKeys.SODNetPos, d => d.display_sod_net_pos);
-         sod_long_pos = _cell_map.add_long_pos(ColumnKeys.SODLongPos, d => d.display_sod_long_pos);
+         sod_net_pos = _cell_map.add_net_pos(ColumnKeys.SODNetPos, d => d.sod_net_pos);
+         sod_long_pos = _cell_map.add_long_pos(ColumnKeys.SODLongPos, d => d.sod_long_pos);
          sod_long_avg_price = _cell_map.add_long_price(ColumnKeys.SODLongAvgPrice, d => d.sod_long_avg_price_raw);
-         sod_short_pos = _cell_map.add_short_pos(ColumnKeys.SODShortPos, d => d.display_sod_short_pos);
+         sod_short_pos = _cell_map.add_short_pos(ColumnKeys.SODShortPos, d => d.sod_short_pos);
          sod_short_avg_price = _cell_map.add_short_price(ColumnKeys.SODShortAvgPrice, d => d.sod_short_avg_price_raw);
          // day
          day_pnl = _cell_map.add_pnl_double(ColumnKeys.DayPNL, d => d.day_pnl);
-         day_net_pos = _cell_map.add_net_pos(ColumnKeys.DayNetPos, d => d.display_day_net_pos);
-         day_long_pos = _cell_map.add_long_pos(ColumnKeys.DayLongPos, d => d.display_day_long_pos);
+         day_net_pos = _cell_map.add_net_pos(ColumnKeys.DayNetPos, d => d.day_net_pos);
+         day_long_pos = _cell_map.add_long_pos(ColumnKeys.DayLongPos, d => d.day_long_pos);
          day_long_avg_price = _cell_map.add_long_price(ColumnKeys.DayLongAvgPrice, d => d.day_long_avg_price_raw);
-         day_short_pos = _cell_map.add_short_pos(ColumnKeys.DayShortPos, d => d.display_day_short_pos);
+         day_short_pos = _cell_map.add_short_pos(ColumnKeys.DayShortPos, d => d.day_short_pos);
          day_short_avg_price = _cell_map.add_short_price(ColumnKeys.DayShortAvgPrice, d => d.day_short_avg_price_raw);
          has_day_trades = _cell_map.add(ColumnKeys.HasDayTrades, d => d.has_day_trades, _fmt_has_day_trades);
          // raw day
-         raw_day_net_pos = _cell_map.add_net_pos(ColumnKeys.RawDayNetPos, d => d.display_raw_day_net_pos);
-         raw_day_long_pos = _cell_map.add_long_pos(ColumnKeys.RawDayLongPos, d => d.display_raw_day_long_pos);
-         raw_day_short_pos = _cell_map.add_short_pos(ColumnKeys.RawDayShortPos, d => d.display_raw_day_short_pos);
+         raw_day_net_pos = _cell_map.add_net_pos(ColumnKeys.RawDayNetPos, d => d.raw_day_net_pos);
+         raw_day_long_pos = _cell_map.add_long_pos(ColumnKeys.RawDayLongPos, d => d.raw_day_long_pos);
+         raw_day_short_pos = _cell_map.add_short_pos(ColumnKeys.RawDayShortPos, d => d.raw_day_short_pos);
          // working
-         working_net_pos = _cell_map.add_net_pos(ColumnKeys.WorkingNetPos, d => d.display_working_net_pos);
+         working_net_pos = _cell_map.add_net_pos(ColumnKeys.WorkingNetPos, d => d.working_net_pos);
          working_long_pos = _cell_map.add_working_long(ColumnKeys.WorkingLongPos, d => d.working.long_data, d => d.bid_price);
          working_long_avg_price = _cell_map.add_long_price(ColumnKeys.WorkingLongAvgPrice, d => d.working_long_avg_price_raw);
          working_short_pos = _cell_map.add_working_short(ColumnKeys.WorkingShortPos, r => r.working.short_data, r => r.ask_price);
          working_short_avg_price = _cell_map.add_short_price(ColumnKeys.WorkingShortAvgPrice, d => d.working_short_avg_price_raw);
          // total
          total_pnl = _cell_map.add_pnl_double(ColumnKeys.TotalPNL, d => d.total_pnl);
-         total_net_pos = _cell_map.add_net_pos(ColumnKeys.TotalNetPos, d => d.display_total_net_pos);
-         total_long_pos = _cell_map.add_long_pos(ColumnKeys.TotalLongPos, d => d.display_total_long_pos);
+         total_net_pos = _cell_map.add_net_pos(ColumnKeys.TotalNetPos, d => d.total_net_pos);
+         total_long_pos = _cell_map.add_long_pos(ColumnKeys.TotalLongPos, d => d.total_long_pos);
          total_long_avg_price = _cell_map.add_long_price(ColumnKeys.TotalLongAvgPrice, d => d.total_long_avg_price_raw);
-         total_short_pos = _cell_map.add_short_pos(ColumnKeys.TotalShortPos, d => d.display_total_short_pos);
+         total_short_pos = _cell_map.add_short_pos(ColumnKeys.TotalShortPos, d => d.total_short_pos);
          total_short_avg_price = _cell_map.add_short_price(ColumnKeys.TotalShortAvgPrice, d => d.total_short_avg_price_raw);
          // market
          bid_price = _cell_map.add_price_double(ColumnKeys.BidPrice, d => d.bid_price);
@@ -79,7 +73,6 @@ namespace bts.shell.pnl {
          last_price = _cell_map.add_price_double(ColumnKeys.LastPrice, d => d.last_price);
          settlement_price = _cell_map.add_price_double(ColumnKeys.SettlementPrice, d => d.settlement_price);
 
-         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
          _cell_map.on_row(data);
          _cell_map.set_appearances(_animator.cell_appearances);
          _dispose = _cell_map.animation_model.OnDispatcher().Subscribe(new_animations => {
@@ -119,16 +112,7 @@ namespace bts.shell.pnl {
                   sod_long,
                   sod_short,
                   DoubleUtil.round_to_decimal(data.working_long_pos),
-                  DoubleUtil.round_to_decimal(data.working_short_pos),
-                  // display
-                  DoubleUtil.round_to_decimal(data.display_day_long_pos),
-                  DoubleUtil.round_to_decimal(data.display_day_short_pos),
-                  DoubleUtil.round_to_decimal(data.display_raw_day_long_pos),
-                  DoubleUtil.round_to_decimal(data.display_raw_day_short_pos),
-                  DoubleUtil.round_to_decimal(data.display_sod_long_pos),
-                  DoubleUtil.round_to_decimal(data.display_sod_short_pos),
-                  DoubleUtil.round_to_decimal(data.display_working_long_pos),
-                  DoubleUtil.round_to_decimal(data.display_working_short_pos));
+                  DoubleUtil.round_to_decimal(data.working_short_pos));
                if (_normalized_data != nd) {
                   _normalized_data = nd;
                   updated?.Invoke(nd);
@@ -192,7 +176,6 @@ namespace bts.shell.pnl {
       public PNLCellVM<PNLRowData, double> pnl_price { get; }
 
       public IList<mbts.ui.spark.CellAnimation> animations { get; private set; }
-
       public bool is_selected {
          get => _is_selected;
          set {
@@ -201,35 +184,6 @@ namespace bts.shell.pnl {
          }
       }
 
-      IEnumerable<PNLCellVM<PNLRowData, double>> _market_price_cells {
-         get {
-            yield return pnl_price;
-            yield return last_price;
-            yield return bid_price;
-            yield return mid_price;
-            yield return ask_price;
-            yield return settlement_price;
-         }
-      }
-
-      // includes sod, day, total, and working avg price columns
-      IEnumerable<PNLCellVM<PNLRowData, double>> _fill_price_cells {
-         get {
-            // sod
-            yield return sod_long_avg_price;
-            yield return sod_short_avg_price;
-            // day
-            yield return day_long_avg_price;
-            yield return day_short_avg_price;
-            // total
-            yield return total_long_avg_price;
-            yield return total_short_avg_price;
-            // working
-            yield return working_long_avg_price;
-            yield return working_short_avg_price;
-         }
-      }
-
       public void update(PNLRowData data) {
          _refresh_normalized_data = true;
          this.data = data;
@@ -238,10 +192,9 @@ namespace bts.shell.pnl {
          _cell_map.set_appearances(_animator.cell_appearances);
       }
 
-      public void on_settings(ImmutableDictionary<ColumnKeys, PNLCellAppearance> defaults, IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers, Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
+      public void on_settings(ImmutableDictionary<ColumnKeys, PNLCellAppearance> defaults, IReadOnlyList<IPNLAnimationTrigger<PNLRowData>> triggers) {
          _animator.on_settings(defaults, triggers);
          _cell_map.set_appearances(_animator.cell_appearances);
-         _set_price_formatting_delegates(fmt_fill_price, fmt_market_price);
       }
 
       public bool Equals(PNLRowVM other) =>
@@ -252,14 +205,5 @@ namespace bts.shell.pnl {
 
       public override string ToString() =>
          $"account: {account_name} exchange: {exchange} symbol: {symbol} security: {security} buy_quantity: {day_long_pos} sell_quantity: {day_short_pos} pnl: {total_pnl}";
-
-      void _set_price_formatting_delegates(Func<double, string> fmt_fill_price, Func<double, string> fmt_market_price) {
-         foreach (var cell in _fill_price_cells) {
-            cell.format = fmt_fill_price;
-         }
-         foreach (var cell in _market_price_cells) {
-            cell.format = fmt_market_price;
-         }
-      }
    }
-}
+}

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

@@ -41,9 +41,6 @@ namespace bts.shell.pnl {
       readonly IBus _bus;
       readonly OrdersModel _orders_model;
       readonly IObservableCollectionAddRemoveOnly<PNLRowVM> _selected_rows = new ObservableSortedCollection<PNLRowVM>(PNLRowVM.key_comparer);
-      /// treat <see cref="_rows_data_wrapper"/> and <see cref="_rows_key_wrapper"/>
-      /// as IReadOnlyLists - don't call any mutation methods.
-      /// The only reason they are ILists is for the binary_search methods.
       readonly IList<PNLRowData> _rows_data_wrapper;
       readonly IList<PNLKey> _rows_key_wrapper;
       readonly DeferrableActionWrapper _refresh_filter;
@@ -54,7 +51,6 @@ namespace bts.shell.pnl {
       IReadOnlyList<(ColumnKeys key, ListSortDirection direction)> _sorting_hierarchy;
       Brush _selection_highlight;
       Color _grid_background_color = Colors.Transparent;
-      Func<double, string> _fmt_fill_price_backing, _fmt_market_price_backing;
       bool _is_paused;
       // default appearances
       ImmutableDictionary<ColumnKeys, PNLCellAppearance>
@@ -78,7 +74,7 @@ namespace bts.shell.pnl {
       PNLVM(IBus bus, OrdersModel orders_model, PNLSettings settings, IObservable<TableUpdate<PNLRowData, PNLKey>> pnl_source) {
          _bus = bus;
          _orders_model = orders_model;
-         _rows_data_wrapper = rows.WrapSelector(r => r.data, null);
+         _rows_data_wrapper = rows.WrapSelector(r => r.data, d => new PNLRowVM(d, _default_appearances, _triggers));
          _rows_key_wrapper = rows.WrapSelector(r => r.key, null);
          _rows_view = new PNLRowCollectionView(rows, _default_group_appearances, _group_triggers);
          _calculation_type = backing(nameof(calculation_type), PNLCalculationType.Waterfall);
@@ -92,12 +88,6 @@ namespace bts.shell.pnl {
          });
          // filters
          account_filter = DiscreteValuesFilterVM.Common.account<PNLRowData>(orders_model, r => new AccountTuple(r.key.account_id, r.account_name), nameof(PNLRowVM.account_name));
-         symbol_filter = DiscreteValuesFilterVM.CreateTableUpdate<PNLRowData, string, string>(
-            r => r.symbol,
-            sym => sym,
-            out var symbol_filter_items_observer,
-            out var symbol_filter_items_view);
-         symbol_filter_items_view.CustomSort = Comparer<string>.Default.to_safe().to_non_generic();
          _refresh_filter = new DeferrableActionWrapper(() => _filter_changed?.Invoke(get_filters_states().build_predicate()));
          var filter_src = Observable.Create<Func<PNLRowData, bool>>(o => {
             o.OnNext(get_filters_states().build_predicate());
@@ -118,11 +108,9 @@ namespace bts.shell.pnl {
             ).FilterWithRaw(filter_src, PNLRowData.key_fn, null)
             .OnDispatcher()
             .Subscribe(_update),
-            _symbols_source(pnl_source).OnDispatcher().Subscribe(symbol_filter_items_observer),
             Disposable.Create(() => {
                foreach (var f in _all_filters)
                   f.filter_changed -= _refresh_filter.execute;
-               _all_filters.OfType<IDisposable>().DisposeAll();
                rows.DisposeAll();
                _rows_view.Groups.OfTypeSafe<IDisposable>().DisposeAll();
             }));
@@ -199,14 +187,14 @@ namespace bts.shell.pnl {
       /// security
       public IDataGridColumnPersistentFilter<PNLRowData, uint[]> account_filter { get; }
       public IDataGridColumnPersistentFilter<PNLRowData, Venue[]> exchange_filter { get; } = DiscreteValuesFilterVM.Common.exchange<PNLRowData>(r => r.security.exchange_or_default(), nameof(PNLRowVM.exchange));
-      public IDataGridColumnPersistentFilter<PNLRowData, string[]> symbol_filter { get; }
+      public IDataGridColumnPersistentFilter<PNLRowData, string[]> symbol_filter { get; } = DiscreteValuesFilterVM.Common.symbol<PNLRowData>(r => r.security.symbol_or_default(), nameof(PNLRowVM.symbol));
       public IDataGridColumnPersistentFilter<PNLRowData, string> security_filter { get; } = new RegexFilterVM<PNLRowData>(r => r.security?.ToString(), nameof(PNLRowData.security));
       public IDataGridColumnPersistentFilter<PNLRowData, string> security_key_filter { get; } = new RegexFilterVM<PNLRowData>(r => r.key.security_id.ToString());
       public IDataGridColumnPersistentFilter<PNLRowData, SecurityType[]> security_type_filter { get; } = DiscreteValuesFilterVM.Create<PNLRowData, SecurityType>(
          EnumHelper.get_values_except(SecurityType.Option, SecurityType.Synthetic).ToArray(),
          r => r.security?.ContractCase ?? SecurityType.None,
          nameof(PNLRowData.security));
-      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> cpp_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.effective_cpp);
+      public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> cpp_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.cpp);
       /// sod
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_pnl_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod_pnl);
       public IDataGridColumnPersistentFilter<PNLRowData, DoubleMinMaxState> sod_long_pos_filter { get; } = new DoubleMinMax<PNLRowData>(r => r.sod.long_pos);
@@ -250,15 +238,6 @@ namespace bts.shell.pnl {
       IEnumerable<IDataGridColumnFilter<PNLRowData>> _all_filters =>
          _filter_getters.Select(get => get(this));
 
-      Func<double, string> _fmt_fill_price {
-         get => _fmt_fill_price_backing ?? FormattingDelegates.Price.Value;
-         set => _fmt_fill_price_backing = value;
-      }
-      Func<double, string> _fmt_market_price {
-         get => _fmt_market_price_backing ?? FormattingDelegates.Price.Value;
-         set => _fmt_market_price_backing = value;
-      }
-
       public static IComparer<PNLRowVM> get_column_comparer(ColumnKeys column) =>
          _get_column_comparer(column).row_comparer;
 
@@ -381,10 +360,8 @@ namespace bts.shell.pnl {
          _triggers = settings.triggers();
          _group_triggers = settings.group_triggers();
          _header_triggers = settings.header_triggers();
-         _fmt_fill_price = settings.data_formatting?.fill_price_display?.get_formatting_delegate();
-         _fmt_market_price = settings.data_formatting?.market_price_display?.get_formatting_delegate();
          foreach (var r in rows)
-            r.on_settings(_default_appearances, _triggers, _fmt_fill_price, _fmt_market_price);
+            r.on_settings(_default_appearances, _triggers);
          total_aggregate.on_settings(settings.header_background_color, _default_header_appearances, _header_triggers);
          selected_aggregate.on_settings(settings.header_background_color,_default_header_appearances, _header_triggers);
          void map_appearances(ref ImmutableDictionary<ColumnKeys, PNLCellAppearance> from, IEnumerable<GridColumnSettings> col_settings, PNLCellAppearance fallback_appearance) {
@@ -565,16 +542,6 @@ namespace bts.shell.pnl {
             yield return col_hash.Contains(c.id) ? c.with(is_visible: false) : c;
       }
 
-      // combines the known system symbols
-      static IObservable<TableUpdate<string, string>> _symbols_source(IObservable<TableUpdate<PNLRowData, PNLKey>> pnl_source) =>
-         pnl_source
-            // ensure this fires once immediatey, because the known symbols are appended to the first update
-            // (observers shouldn't have to wait for the pnl source to tick to see them).
-            .StartWith(TableUpdate<PNLRowData, PNLKey>.mk_empty(PNLRowData.key_fn))
-            .distinct_on(PNLRowData.key_fn, r => r.symbol, s => s)
-            .Filter(sym => !string.IsNullOrEmpty(sym))
-            .AppendTable(mbts.co2.UserSymbol.get_all().Select(u => u.symbol).Distinct().ToList());
-
       #region Fills Popup Utils
       static void _append_key_filters(fills.FillsFilterStates f, ColumnKeys key) {
          switch (key) {
@@ -767,7 +734,7 @@ namespace bts.shell.pnl {
             }
          }
          foreach (var v in filtered.added) {
-            var r = new PNLRowVM(v.with(calc_type: calculation_type), _default_appearances, _triggers, _fmt_fill_price, _fmt_market_price);
+            var r = new PNLRowVM(v.with(calc_type: calculation_type), _default_appearances, _triggers);
             rows.InsertSorted(r, PNLRowVM.key_comparer);
                total_pnl += r.normalized_data;
          }

src/client/spark/Modules/Trading/PNL/View/PNLRowCollectionView.cs

@@ -112,27 +112,27 @@ namespace bts.shell.pnl {
          });
          // sod
          sod_pnl = _cell_map.add_pnl(ColumnKeys.SODPNL, d => d.sod_pnl);
-         sod_net_pos = _cell_map.add_net_pos(ColumnKeys.SODNetPos, d => d.display_sod_net_pos);
-         sod_long_pos = _cell_map.add_long_pos(ColumnKeys.SODLongPos, d => d.display_sod_long_pos);
-         sod_short_pos = _cell_map.add_short_pos(ColumnKeys.SODShortPos, d => d.display_sod_short_pos);
+         sod_net_pos = _cell_map.add_net_pos(ColumnKeys.SODNetPos, d => d.sod_net_pos);
+         sod_long_pos = _cell_map.add_long_pos(ColumnKeys.SODLongPos, d => d.sod_long_pos);
+         sod_short_pos = _cell_map.add_short_pos(ColumnKeys.SODShortPos, d => d.sod_short_pos);
          // day
          day_pnl = _cell_map.add_pnl(ColumnKeys.DayPNL, d => d.day_pnl);
-         day_net_pos = _cell_map.add_net_pos(ColumnKeys.DayNetPos, d => d.display_day_net_pos);
-         day_long_pos = _cell_map.add_long_pos(ColumnKeys.DayLongPos, d => d.display_day_long_pos);
-         day_short_pos = _cell_map.add_short_pos(ColumnKeys.DayShortPos, d => d.display_day_short_pos);
+         day_net_pos = _cell_map.add_net_pos(ColumnKeys.DayNetPos, d => d.day_net_pos);
+         day_long_pos = _cell_map.add_long_pos(ColumnKeys.DayLongPos, d => d.day_long_pos);
+         day_short_pos = _cell_map.add_short_pos(ColumnKeys.DayShortPos, d => d.day_short_pos);
          // raw day
-         raw_day_net_pos = _cell_map.add_net_pos(ColumnKeys.RawDayNetPos, d => d.display_raw_day_net_pos);
-         raw_day_long_pos = _cell_map.add_long_pos(ColumnKeys.RawDayLongPos, d => d.display_raw_day_long_pos);
-         raw_day_short_pos = _cell_map.add_short_pos(ColumnKeys.RawDayShortPos, d => d.display_raw_day_short_pos);
+         raw_day_net_pos = _cell_map.add_net_pos(ColumnKeys.RawDayNetPos, d => d.raw_day_net_pos);
+         raw_day_long_pos = _cell_map.add_long_pos(ColumnKeys.RawDayLongPos, d => d.raw_day_long_pos);
+         raw_day_short_pos = _cell_map.add_short_pos(ColumnKeys.RawDayShortPos, d => d.raw_day_short_pos);
          // total
          total_pnl = _cell_map.add(ColumnKeys.TotalPNL, d => d.total_pnl, FormattingDelegates.Price<decimal>.Value);
-         total_net_pos = _cell_map.add(ColumnKeys.TotalNetPos, d => d.display_total_net_pos);
-         total_long_pos = _cell_map.add(ColumnKeys.TotalLongPos, d => d.display_total_long_pos);
-         total_short_pos = _cell_map.add(ColumnKeys.TotalShortPos, d => d.display_total_short_pos);
+         total_net_pos = _cell_map.add(ColumnKeys.TotalNetPos, d => d.total_net_pos);
+         total_long_pos = _cell_map.add(ColumnKeys.TotalLongPos, d => d.total_long_pos);
+         total_short_pos = _cell_map.add(ColumnKeys.TotalShortPos, d => d.total_short_pos);
          // working
-         working_net_pos = _cell_map.add(ColumnKeys.WorkingNetPos, d => d.display_working_net_pos);
-         working_long_pos = _cell_map.add(ColumnKeys.WorkingLongPos, d => d.display_working_long_pos);
-         working_short_pos = _cell_map.add(ColumnKeys.WorkingShortPos, d => d.display_working_short_pos);
+         working_net_pos = _cell_map.add(ColumnKeys.WorkingNetPos, d => d.working_net_pos);
+         working_long_pos = _cell_map.add(ColumnKeys.WorkingLongPos, d => d.working_long_pos);
+         working_short_pos = _cell_map.add(ColumnKeys.WorkingShortPos, d => d.working_short_pos);
 
          _cell_map.on_row(data);
          _cell_map.set_appearances(_animator.cell_appearances);

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

@@ -619,7 +619,7 @@
             <!--Symbol-->
             <pnl:PNLColumn
               c:DataGridFilterProperties.Filter="{Binding DataContext.symbol_filter, Source={u:DirectReference _grid}}"
-              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DiscreteValuesCollectionView}}"
+              c:DataGridFilterProperties.FilterTemplate="{StaticResource {x:Static ft:DataGridFilterKnownTemplates.DiscreteValues}}"
               c:DataGridFilterProperties.FilterActive="{Binding DataContext.symbol_filter.active, Source={u:DirectReference _grid}}"
               c:DataGridFilterProperties.FilterOpen="{Binding DataContext.symbol_filter.open, Source={u:DirectReference _grid}}"
               key="Symbol"

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

@@ -1,5 +1,4 @@
 using bts.api;
-using bts.api.position;
 using bts.shell.fills;
 using bts.shell.manual_fills;
 using bts.spark;
@@ -39,7 +38,6 @@ namespace bts.shell {
             UserSettingsHub settings_hub, 
             OrdersModel orders_model,
             md.MBOService mbo,
-            IPositionModel position_model,
             ErrorReporter error_reporter) {
          /// Unlike our <see cref="SparkCommand"/> members, <see cref="IShellWindowFactory"/> members must be instantiated immediately,
          /// as they are responsible for launching windows in response to a SparkTag being published to the bus.
@@ -49,7 +47,7 @@ namespace bts.shell {
          _fwf = new FillsWindowFactory(this, bus, settings_hub, orders_model);
          _pnl_conf = new PNLConfig(mbts.config.Configuration.get<bts.config.PNLOptions>());
          if (_pnl_conf.show_new_pnl)
-            _plwf = new PNLWindowFactory(this, bus, settings_hub, orders_model, position_model);
+            _plwf = new PNLWindowFactory(this, bus, settings_hub, orders_model);
          if (_pnl_conf.show_old_pnl)
             _old_plwf = new PAndLWindowFactory(this, bus, settings_hub, orders_model);
          _aswf = new AlgoStudioWindowFactory(this, bus, orders_model, error_reporter);

src/client/spark/Orders/AlgoParamVM.cs

@@ -10,7 +10,6 @@ namespace mbts.spark {
    class AlgoParamVM<T> : IAlgoParamVM<T>, INotifyPropertyChanged, ITemplateSelectorKey {
       readonly IEqualityComparer<T> _comparer;
       readonly string _template_key;
-      readonly Func<T, T> _to_display_value, _from_display_value;
       AlgoParamPermissions _permissions;
       bool _is_enabled, _has_value;
       T _committed_value, _value;
@@ -21,15 +20,13 @@ namespace mbts.spark {
       public AlgoParamVM(string id, string display_name, T value, string template_key = null)
          : this(id, display_name, value, EqualityComparer<T>.Default, template_key) { }
 
-      public AlgoParamVM(string id, string display_name, T value, IEqualityComparer<T> comparer, string template_key = null, Func<T, T> to_display_value = null, Func<T, T> from_display_value = null) {
+      public AlgoParamVM(string id, string display_name, T value, IEqualityComparer<T> comparer, string template_key = null) {
          this.id = id;
          this.display_name = display_name;
          _value = value;
          _committed_value = value;
          _comparer = comparer;
          _template_key = template_key;
-         _to_display_value = to_display_value;
-         _from_display_value = from_display_value;
       }
 
       public event PropertyChangedEventHandler PropertyChanged;
@@ -46,10 +43,6 @@ namespace mbts.spark {
                _toggle_is_dirty();
          }
       }
-      public T display_value {
-         get => _to_display_value == null ? value : _to_display_value(value);
-         set => this.value = _from_display_value == null ? value : _from_display_value(value);
-      }
       public AlgoParamPermissions permissions {
          get => _permissions;
          set {
@@ -61,7 +54,6 @@ namespace mbts.spark {
       public bool has_value { get => _has_value; set => _set(ref _has_value, value); }
       public bool is_dirty { get; private set; }
       object IAlgoParamVM.value { get => value; set => this.value = (T)value; }
-      object IAlgoParamVM.display_value { get => display_value; set => display_value = (T)value; }
 
       string ITemplateSelectorKey.key => _template_key;
 
@@ -72,9 +64,6 @@ namespace mbts.spark {
          }
       }
 
-      public void refresh_display_value() =>
-         PropertyChanged?.Invoke(this, new PropertyChangedEventArgs(nameof(display_value)));
-
       public IObservable<T> subscribe_value() {
          return Observable.Create<T>(o => {
             o.OnNext(_value);
@@ -124,7 +113,6 @@ namespace mbts.spark {
             value_changed(_value, _value = new_value);
          }
          PropertyChanged?.Invoke(this, new PropertyChangedEventArgs(nameof(value)));
-         PropertyChanged?.Invoke(this, new PropertyChangedEventArgs(nameof(display_value)));
       }
 
       void _toggle_is_dirty() {

src/client/spark/Orders/ExistingOrderTicketVM.cs

@@ -18,7 +18,6 @@ namespace mbts.spark {
       readonly Property<TimeInForce> _current_time_in_force;
       readonly Property<CustomOrderDefinition.CustomOneofCase> _current_order_type;
       readonly Property<bool> _price_dirty, _size_dirty, _account_dirty, _time_in_force_dirty, _order_type_dirty;
-      uint _display_quantity_divisor = 1;
 
       public ExistingOrderTicketVM(OrdersModel model, IObservable<(SecurityMD? security_md, OrderRecordImmutable order)> order_source, IObservable<int[]> calculator_buttons) {
          uint? key = null;
@@ -41,7 +40,7 @@ namespace mbts.spark {
             (val, curr) => !double.IsNaN(val) && val != curr));
          _size_dirty = backing(
             nameof(size_dirty),
-            size_calculator.observe_actual_value()
+            size_calculator.observe_current(true)
             .CombineLatest(_current_size.observe_current(true),
             (val, curr) => val.HasValue && val.Value != curr));
          _account_dirty = backing(
@@ -84,17 +83,14 @@ namespace mbts.spark {
          _dispose = Disposable.Create(
             size_calculator,
             properties_vm,
-            security_md_source.OnDispatcher().Subscribe(smd => {
-               bbo.security_md = smd;
-               display_quantity_divisor = model.security_auxiliary_model.get_display_quantity_divisor(smd.security);
-            }),
+            security_md_source.OnDispatcher().Subscribe(smd => bbo.security_md = smd),
             bbo,
             order_source.OnDispatcher().Subscribe(ort => {
                key = ort.order.Key;
                if (DoubleHelper.IsNaNOrInfinity(price))
                   price = ort.order.State.Price;
                if (!size_calculator.value.HasValue || !size_calculator.value_setter_called)
-                  size_calculator.bypass_value_setter(ort.order.State.Quantity, true);
+                  size_calculator.bypass_value_setter(ort.order.State.Quantity);
             }),
             Observable.Merge(_price_dirty, _size_dirty, _account_dirty, _time_in_force_dirty, _order_type_dirty).OnDispatcher().Subscribe(_ => RaisePropertyChanged(nameof(dirty_items_text))),
             _price_dirty.observe_current(true).CombineLatest(_size_dirty.observe_current(true), (pd, sd) => pd || sd).DistinctUntilChanged().OnDispatcher().Subscribe(modify_order));
@@ -108,13 +104,6 @@ namespace mbts.spark {
       public OrderPropertiesEditorVM properties_vm { get; }
       public double price { get => _price.Value; set => _price.Value = value; }
       public CalculatorLogic size_calculator { get; }
-      public uint display_quantity_divisor {
-         get => _display_quantity_divisor;
-         private set {
-            Set(ref _display_quantity_divisor, value);
-            size_calculator.display_divisor = value;
-         }
-      }
       public double current_price => _current_price.Value;
       public uint current_size => _current_size.Value;
       public AccountTuple current_account => _current_account.Value;
@@ -148,4 +137,4 @@ namespace mbts.spark {
          if (_order_type_dirty.Value) yield return "type";
       }
    }
-}
+}

src/client/spark/Orders/NewOrderTicketVM.cs

@@ -31,7 +31,6 @@ namespace mbts.spark {
 
    class NewOrderTicketVM : DisposableViewModelBase, IRequestViewClose {
       readonly Property<SecurityImmutable> _security;
-      uint _display_quantity_divisor = 1;
 
       public NewOrderTicketVM(OrdersModel model, SecurityMD security_md, OrderDefinitionImmutable def, double price, uint size, IObservable<int[]> calculator_buttons)
          : this(model, Observable.Return(security_md), Observable.Return(new InlineOrderTicketProperties(model, def, price, size)), calculator_buttons) { }
@@ -62,10 +61,7 @@ namespace mbts.spark {
          set_price_command = new DelegateCommand<double>(set_price);
          _dispose = Disposable.Create(
             bbo,
-            security_md_source.OnDispatcher().Subscribe(smd => {
-               bbo.security_md = smd;
-               display_quantity_divisor = model.security_auxiliary_model.get_display_quantity_divisor(smd.security);
-            }),
+            security_md_source.OnDispatcher().Subscribe(smd => bbo.security_md = smd),
             size_calculator = new CalculatorLogic(0, calculator_buttons),
             props_source.OnDispatcher().Subscribe(p => on_props(p.price, p.size))
          );
@@ -87,13 +83,6 @@ namespace mbts.spark {
       public SecurityImmutable security => _security.Value;
       public double price { get; set; }
       public CalculatorLogic size_calculator { get; }
-      public uint display_quantity_divisor {
-         get => _display_quantity_divisor;
-         private set {
-            Set(ref _display_quantity_divisor, value);
-            size_calculator.display_divisor = value;
-         }
-      }
       public OrderPropertiesEditorVM properties_vm { get; }
       public BBOVM bbo { get; }
       public bool close_on_send { get; set; }

src/client/spark/Orders/OrderDataHelper.cs

@@ -1,6 +1,5 @@
 using bts;
 using bts.api;
-using bts.api.core;
 using bts.api.orderman;
 using bts.collections;
 using bts.spark;
@@ -27,13 +26,11 @@ namespace mbts.spark.utilities {
       public readonly Func<CustomOrderDefinition, CustomOrderDefinition> get_child;
       public readonly Action<CustomOrderDefinition, CustomOrderDefinition> assign_child;
 
-      public ChildAlgoData(
-         string name,
-         Func<IMessage, CustomOrderDefinition> get_child_from_impl,
-         Action<IMessage, CustomOrderDefinition> assign_child_to_impl,
-         Func<CustomOrderDefinition, CustomOrderDefinition> get_child,
-         Action<CustomOrderDefinition, CustomOrderDefinition> assign_child) {
-         //
+      public ChildAlgoData(string name, Func<IMessage, CustomOrderDefinition> get_child_from_impl, 
+                           Action<IMessage, CustomOrderDefinition> assign_child_to_impl, 
+                           Func<CustomOrderDefinition, CustomOrderDefinition> get_child, 
+                           Action<CustomOrderDefinition, CustomOrderDefinition> assign_child) 
+      {
          this.name = name;
          this.get_child = get_child;
          this.assign_child = assign_child;
@@ -49,19 +46,13 @@ namespace mbts.spark.utilities {
       static readonly OrderMetadata _default_order_metadata = new OrderMetadata { KeyBinding = "", Color = BTSColors.Orders.default_order };
       readonly AdminModel _admin_model;
       readonly DynamicOrderHelper _dynamic_helper;
-      readonly IAlgoProvider _security_algo_provider;
       readonly IReadOnlyDictionary<OneOf<CustomOrderDefinition.CustomOneofCase, string>, string> _algo_abbreviation_index;
-      readonly IReadOnlyDictionary<string, DynamicOrderDescriptor> _dynamic_descriptors;
       IDisposable _dispose;
 
       [ImportingConstructor]
-      public OrderFactory(OrderService service, AdminModel admin_model, DynamicOrderHelper dynamic_helper, IAlgoProvider security_algo_provider) {
+      public OrderFactory(AdminModel admin_model, DynamicOrderHelper dynamic_helper) {
          _admin_model = admin_model;
          _dynamic_helper = dynamic_helper;
-         _dynamic_descriptors = service.get_registered_dynamic_order_types(new VoidMessage())
-            .DynamicOrderDesc
-            .ToDictionary(d => d.DynamicOrderType);
-         _security_algo_provider = security_algo_provider;
          var algo_name_index = new HashSet<OneOf<CustomOrderDefinition.CustomOneofCase, string>>(OneOf<CustomOrderDefinition.CustomOneofCase, string>.ValueEqualityComparer);
          // add standard types
          algo_name_index.AddRange(
@@ -95,13 +86,66 @@ namespace mbts.spark.utilities {
       public IEnumerable<CustomOrderDefinition.CustomOneofCase> default_order_types() =>
          OrderDataHelper.exchange_order_types;
 
+      public IEnumerable<CustomOrderDefinition.CustomOneofCase> default_order_types(SecurityImmutable? security) =>
+         security.HasValue ? default_order_types(security.Value) : OrderDataHelper.exchange_order_types;
+
+      public IEnumerable<CustomOrderDefinition.CustomOneofCase> default_order_types(SecurityImmutable security) {
+         switch (security.ContractCase) {
+            case Security.ContractOneofCase.Synthetic: return OrderDataHelper.spreader_order_types;
+            default: return OrderDataHelper.exchange_order_types;
+         }
+      }
+
+      public IEnumerable<CustomOrderDefinition.CustomOneofCase> default_order_types(SecurityImmutable? security, bool is_child = false) =>
+         security.HasValue ? default_order_types(security.Value, is_child) : default_order_types();
+
+      public IEnumerable<TimeInForce> default_time_in_forces() =>
+         EnumHelper.get_values_except(TimeInForce.Undefined);
+
+      public IEnumerable<TimeInForce> default_time_in_forces(SecurityImmutable security, bool is_child = false) =>
+         default_time_in_forces();
+
       public IEnumerable<TimeInForce> default_time_in_forces(SecurityImmutable security, CustomOrderDefinition.CustomOneofCase order_type, bool is_child = false) {
-         var tifs = EnumHelper.get_values_except(TimeInForce.Undefined);
+         var tifs = default_time_in_forces(security, is_child);
          if (order_type != CustomOrderDefinition.CustomOneofCase.Limit) {
             tifs = tifs.Except(new[] { TimeInForce.Ioc });
          }
          return tifs;
       }
+
+      public IEnumerable<TimeInForce> default_time_in_forces(SecurityImmutable? security, bool is_child = false) =>
+         security.HasValue ? default_time_in_forces(security.Value, is_child) : default_time_in_forces();
+
+      public LadderSettings default_ladder_settings(SecurityImmutable security) {
+         var settings = LadderSettings.Default;
+         if (security.ContractCase == Security.ContractOneofCase.Synthetic)
+            settings.default_order_type = CustomOrderDefinition.CustomOneofCase.Spreader;
+         return settings;
+      }
+
+      public Dictionary<AlgoKey, AlgoData> default_algos() =>
+         default_algos((SecurityImmutable?)null);
+
+      public Dictionary<AlgoKey, AlgoData> default_algos(SecurityImmutable? security) =>
+         default_algos(default_order_types(security));
+
+      public Dictionary<AlgoKey, AlgoData> default_algos(AlgoFormats algo_format) =>
+         default_algos(OrderDataHelper.get_format_algo_types(algo_format));
+
+      public Dictionary<AlgoKey, AlgoData> default_algos(IEnumerable<CustomOrderDefinition.CustomOneofCase> types) {
+         var def_map = new Dictionary<AlgoKey, AlgoData>();
+         foreach (var ot in types.Except(new[] { CustomOrderDefinition.CustomOneofCase.Dynamic, CustomOrderDefinition.CustomOneofCase.Composite })) {
+            var data = AlgoData.from_custom_def(OrderDataHelper.Defaults.CustomOrderDefinitionImmutable(ot));
+            def_map[data.key] = data;
+         }
+         var dynamic_defs = new List<CustomOrderDefinitionImmutable>();
+         _dynamic_helper.add_dynamic_order_defs(dynamic_defs, custom_order);
+         foreach (var dd in dynamic_defs) {
+            var data = AlgoData.from_custom_def(dd);
+            def_map[data.key] = data;
+         }
+         return def_map;
+      }
       #endregion
 
       public OrderDefinitionImmutable order(SecurityImmutable security) =>
@@ -112,7 +156,7 @@ namespace mbts.spark.utilities {
             SecurityKey = security.Id,
             Side = Side.Buy,
             TimeInForce = TimeInForce.Day,
-            CustomDef = OrderDataHelper.Defaults.CustomOrderDefinition(),
+            CustomDef = custom_order(),
             CtiCode = CTICode.CtiCode1,
             CustomerOrFirm = CustomerOrFirm.Firm,
             // this will be the tag 50 on CME orders
@@ -129,6 +173,9 @@ namespace mbts.spark.utilities {
          return rv;
       }
 
+      public string abbreviate_algo(CustomOrderDefinitionImmutable defi) =>
+         abbreviate_algo(_simple_algo_id(defi));
+
       public string abbreviate_algo(OneOf<CustomOrderDefinition.CustomOneofCase, string> id) {
          if (id == null)
             throw new ArgumentNullException(nameof(id));
@@ -140,6 +187,26 @@ namespace mbts.spark.utilities {
       }
 
       // mutable definitions
+      public CustomOrderDefinition custom_order() => OrderDataHelper.Defaults.CustomOrderDefinition();
+      public MarketOrderDefinition market_order() => OrderDataHelper.Defaults.MarketOrderDefinition();
+      public LimitOrderDefinition limit_order() => OrderDataHelper.Defaults.LimitOrderDefinition();
+      public StopOrderDefinition stop_order() => OrderDataHelper.Defaults.StopOrderDefinition();
+      public StopLimitOrderDefinition stop_limit_order() => OrderDataHelper.Defaults.StopLimitOrderDefinition();
+      public GLBXIcebergOrderDefinition glbx_iceberg_order() => OrderDataHelper.Defaults.GLBXIcebergOrderDefinition();
+      public IcebergOrderDefinition iceberg_order() => OrderDataHelper.Defaults.IcebergOrderDefinition();
+      public TimeBoxOrderDefinition time_box_order() => OrderDataHelper.Defaults.TimeBoxOrderDefinition();
+      public TickOrderDefinition tick_order() => OrderDataHelper.Defaults.TickOrderDefinition();
+      public LeanOrderDefinition lean_order() => OrderDataHelper.Defaults.LeanOrderDefinition();
+      public JoinOrderDefinition join_order() => OrderDataHelper.Defaults.JoinOrderDefinition();
+      public TopOrderDefinition top_order() => OrderDataHelper.Defaults.TopOrderDefinition();
+      public CoverOrderDefinition cover_order() => OrderDataHelper.Defaults.CoverOrderDefinition();
+      public OCOOrderDefinition oco_order() => OrderDataHelper.Defaults.OCOOrderDefinition();
+      public PricerOrderDefinition pricer_order() => OrderDataHelper.Defaults.PricerOrderDefinition();
+      public OffsetOrderDefinition offset_order() => OrderDataHelper.Defaults.OffsetOrderDefinition();
+      public TriggerOrderDefinition trigger_order() => OrderDataHelper.Defaults.TriggerOrderDefinition();
+      public DynamicOrderDefinition dynamic_order() => OrderDataHelper.Defaults.DynamicOrderDefinition();
+      public SpreaderOrderDefinition spreader_order() => OrderDataHelper.Defaults.SpreaderOrderDefinition();
+      public SplitterOrderDefinition splitter_order() => OrderDataHelper.Defaults.SplitterOrderDefinition();
       public SpreaderOrderDefinition spreader_order(SecurityImmutable security, ExecutionStrategyImmutable strategy) =>
          new SpreaderOrderDefinition {
             Security = security.CloneToMutable(),
@@ -147,8 +214,40 @@ namespace mbts.spark.utilities {
          };
 
       // immutable definitions
+      public CustomOrderDefinitionImmutable custom_orderi(CustomOrderDefinition.CustomOneofCase order_type) => new CustomOrderDefinitionImmutable(custom_order(order_type));
       public SpreaderOrderDefinitionImmutable spreader_orderi(SecurityImmutable security, ExecutionStrategyImmutable strategy) => new SpreaderOrderDefinitionImmutable(spreader_order(security, strategy));
 
+      public CustomOrderDefinition custom_order(CustomOrderDefinition.CustomOneofCase order_type) {
+         var rv = new CustomOrderDefinition();
+         switch (order_type) {
+            case CustomOrderDefinition.CustomOneofCase.Market: rv.Market = market_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Limit: rv.Limit = limit_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Stop: rv.Stop = stop_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.StopLimit: rv.StopLimit = stop_limit_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.GlbxIceberg: rv.GlbxIceberg = glbx_iceberg_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Iceberg: rv.Iceberg = iceberg_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.TimeBox: rv.TimeBox = time_box_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Tick: rv.Tick = tick_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Lean: rv.Lean = lean_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Join: rv.Join = join_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Top: rv.Top = top_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Cover: rv.Cover = cover_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Oco: rv.Oco = oco_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Pricer: rv.Pricer = pricer_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Offset: rv.Offset = offset_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Trigger: rv.Trigger = trigger_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Spreader: rv.Spreader = spreader_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Splitter: rv.Splitter = splitter_order(); break;
+            case CustomOrderDefinition.CustomOneofCase.Dynamic: rv.Dynamic = dynamic_order(); break;
+               //case CustomOrderDefinition.CustomOneofCase.QueueHolder: rv.QueueHolder = queue_holder_order(); break;
+            default:
+               OrderTypeVMFactory.GenericOrderFactory.setup_generic_custom_order(rv, order_type);
+               break;            
+         }
+         return rv;
+      }
+
+      public OrderMetadata get_metadata(IMessage order_type_def) => get_metadata(OrderDataHelper.get_order_type(order_type_def));
       public OrderMetadata get_metadata(OrderRecordImmutable order) => get_metadata(order.Def.CustomDef.CustomCase);
       public OrderMetadata get_metadata(CustomOrderDefinition.CustomOneofCase order_type) {
          switch (order_type) {
@@ -179,6 +278,14 @@ namespace mbts.spark.utilities {
 
       public void Dispose() =>
          Disposable.dispose(ref _dispose);
+
+      static OneOf<CustomOrderDefinition.CustomOneofCase, string> _simple_algo_id(CustomOrderDefinitionImmutable defi) {
+         switch (defi.CustomCase) {
+            case CustomOrderDefinition.CustomOneofCase.Dynamic:
+               return new OneOf<CustomOrderDefinition.CustomOneofCase, string>(defi.Dynamic.DynamicOrderType);
+            default: return new OneOf<CustomOrderDefinition.CustomOneofCase, string>(defi.CustomCase);
+         }
+      }
    }
 
    static class OrderDataHelper {
@@ -194,6 +301,8 @@ namespace mbts.spark.utilities {
          }
       }
 
+      public static OneofDescriptor oneof_descriptor => _oneof_desc;
+
       const double _price_error_margin = 0.0000001;
       const decimal _price_error_margin_decimal = 0.0000001m;
 
@@ -211,10 +320,10 @@ namespace mbts.spark.utilities {
       });
 
       public static readonly IComparer<decimal> PriceComparerDecimal = Comparer<decimal>.Create((a, b) => {
-         decimal diff = a - b;
-         if (diff <= _price_error_margin_decimal && diff >= -_price_error_margin_decimal)
-            return 0;
-         return diff > 0 ? 1 : -1;
+            decimal diff = a - b;
+            if (diff <= _price_error_margin_decimal && diff >= -_price_error_margin_decimal)
+               return 0;
+            return diff > 0 ? 1 : -1;
       });
 
       const string _primary_child_field = "child";
@@ -269,7 +378,7 @@ namespace mbts.spark.utilities {
             switch (cd.CustomCase) {
                case CustomOrderDefinition.CustomOneofCase.Composite: studio = cd.Composite.AlgoTemplateKey; break;
                case CustomOrderDefinition.CustomOneofCase.Dynamic: dyn = cd.Dynamic.DynamicOrderType; break;
-               case CustomOrderDefinition.CustomOneofCase.Spreader: spreader_sec = cd.Spreader.Security?.Id ?? 0; break;
+               case CustomOrderDefinition.CustomOneofCase.Spreader: spreader_sec = cd.Spreader.Security.Id; break;
             }
             yield return (cd.CustomCase, dyn, studio, spreader_sec);
          }
@@ -357,6 +466,22 @@ namespace mbts.spark.utilities {
             child_data.TryGetFirst(out best_match) ? best_match : (ChildAlgoData?)null;
       }
 
+      public static CustomOrderDefinition create_algo(CustomOrderDefinition.CustomOneofCase algo_type) {
+         var algo = new CustomOrderDefinition();
+         if (_algo_type_case_descriptor_data.TryGetValue(algo_type, out AlgoTypeCaseDescriptorData desc))
+            desc.type_case_descriptor.Accessor.SetValue(algo, ProtoHelper.mutable_factory(ProtoHelper.get_field_type(desc.type_case_descriptor)));
+         return algo;
+      }
+
+      public static bool append_algo_node(CustomOrderDefinition target, CustomOrderDefinition.CustomOneofCase algo_type) {
+         if (_algo_type_case_descriptor_data.TryGetValue(algo_type, out var desc)) {
+            var node = ProtoHelper.mutable_factory(ProtoHelper.get_field_type(desc.type_case_descriptor));
+            desc.type_case_descriptor.Accessor.SetValue(target, node);
+            return true;
+         }
+         return false;
+      }
+
       public static IReadOnlyList<ChildAlgoData> get_child_algo_data(CustomOrderDefinition.CustomOneofCase algo_type) =>
          _algo_type_case_descriptor_data.TryGetValue(algo_type, out AlgoTypeCaseDescriptorData d) ? d.child_algo_data : Array.Empty<ChildAlgoData>();
       #endregion
@@ -410,60 +535,143 @@ namespace mbts.spark.utilities {
          }
       }
 
-      public static CustomOrderDefinition.CustomOneofCase get_default_algo(Security.ContractOneofCase security_type) {
-         switch (security_type) {
-            case Security.ContractOneofCase.Synthetic: return CustomOrderDefinition.CustomOneofCase.Spreader;
-            default: return CustomOrderDefinition.CustomOneofCase.Limit;
+      public static AlgoFormats get_algo_format(Security.ContractOneofCase? security_type) =>
+         security_type.HasValue ? get_algo_format(security_type.Value) : AlgoFormats.Exchange;
+
+      public static AlgoFormats get_algo_format(Security.ContractOneofCase security_type) =>
+         security_type == Security.ContractOneofCase.Synthetic ? AlgoFormats.Spreader : AlgoFormats.Exchange;
+
+      public static HashSet<CustomOrderDefinition.CustomOneofCase> get_format_algo_types(AlgoFormats f) {
+         var rv = new HashSet<CustomOrderDefinition.CustomOneofCase>();
+         if ((f & AlgoFormats.Exchange) == AlgoFormats.Exchange) {
+            rv.AddRange(exchange_order_types);
+            if ((f & AlgoFormats.Spreader) == AlgoFormats.Spreader) {
+               rv.IntersectWith(spreader_order_types);
+            }
+         } else if ((f & AlgoFormats.Spreader) == AlgoFormats.Spreader) {
+            rv.AddRange(spreader_order_types);
          }
+         if ((f & AlgoFormats.Attachable) == AlgoFormats.Attachable)
+            rv.AddRange(attachable_order_types);
+         if ((f & AlgoFormats.DefaultPlaceholder) == AlgoFormats.DefaultPlaceholder)
+            rv.Add(CustomOrderDefinition.CustomOneofCase.None);
+         return rv;
+      }
+
+      public static CustomOrderDefinition.CustomOneofCase get_default_algo(AlgoFormats f) {
+         switch (f) {
+            case AlgoFormats.Exchange: return CustomOrderDefinition.CustomOneofCase.Limit;
+            case AlgoFormats.Spreader: return CustomOrderDefinition.CustomOneofCase.Spreader;
+            default: return CustomOrderDefinition.CustomOneofCase.None;
+         }
+      }
+
+      public static IReadOnlyDictionary<AlgoKey, AlgoData> get_format_algo_data(AlgoFormats f) {
+         var algo_types = get_format_algo_types(f);
+         var algo_dict = algo_types.Select(at => AlgoData.from_custom_def(Defaults.CustomOrderDefinitionImmutable(at))).ToDictionaryCrushed(a => a.key);
+         return algo_dict;
+      }
+
+      public static HashSet<CustomOrderDefinition.CustomOneofCase> get_algo_types_present(CustomOrderDefinitionImmutable def) {
+         return new HashSet<CustomOrderDefinition.CustomOneofCase>(impl(def.CloneToMutable()));
+         // hide mutable-def implementation
+         IEnumerable<CustomOrderDefinition.CustomOneofCase> impl(CustomOrderDefinition mdef) {
+            yield return mdef.CustomCase;
+            foreach (var sd in get_child_algo_data(mdef)) {
+               var child = sd.get_child(mdef);
+               if (child != null) {
+                  yield return child.CustomCase;
+                  foreach (var t in impl(child))
+                     yield return t;
+               }
+            }
+         }
+      }
+
+      public static CustomOrderDefinitionImmutable? fit_to_type(CustomOrderDefinitionImmutable defi, Security.ContractOneofCase security_type, bool fit_all_to_spreader = false) {
+         var mdef = defi.CloneToMutable();
+         switch (security_type) {
+            case Security.ContractOneofCase.Synthetic:
+               mdef = spreader_impl(mdef);
+               break;
+            default:
+               mdef = outright_impl(mdef);
+               break;
+         }
+         if (mdef == null)
+            return null;
+         return new CustomOrderDefinitionImmutable(mdef);
+         // local methods
+         CustomOrderDefinition spreader_impl(CustomOrderDefinition def) {
+            if (def == null) {
+               def = new CustomOrderDefinition { Spreader = new SpreaderOrderDefinition() };
+            } else {
+               switch (def.CustomCase) {
+                  case CustomOrderDefinition.CustomOneofCase.Limit:
+                  case CustomOrderDefinition.CustomOneofCase.None:
+                     def = new CustomOrderDefinition { Spreader = new SpreaderOrderDefinition() };
+                     break;
+                  case CustomOrderDefinition.CustomOneofCase.Stop:
+                  case CustomOrderDefinition.CustomOneofCase.StopLimit:
+                  case CustomOrderDefinition.CustomOneofCase.Market:
+                  case CustomOrderDefinition.CustomOneofCase.GlbxIceberg:
+                     def = fit_all_to_spreader ? new CustomOrderDefinition { Spreader = new SpreaderOrderDefinition() } : null;
+                     break;
+                  default:
+                     var desc_data = _algo_type_case_descriptor_data[def.CustomCase];
+                     foreach (var cad in desc_data.child_algo_data) {
+                        var child = spreader_impl(cad.get_child(def));
+                        if (child == null)
+                           return null;
+                        var type_def = (IMessage)desc_data.type_case_descriptor.Accessor.GetValue(def);
+                        cad.assign_child_to_impl(type_def, child);
+                     }
+                     break;
+               }
+            }
+            return def;
+         }
+         CustomOrderDefinition outright_impl(CustomOrderDefinition def) {
+            if (def == null) {
+               def = new CustomOrderDefinition { Limit = new LimitOrderDefinition() };
+            } else {
+               switch (def.CustomCase) {
+                  case CustomOrderDefinition.CustomOneofCase.Spreader:
+                  case CustomOrderDefinition.CustomOneofCase.None:
+                     def = new CustomOrderDefinition { Limit = new LimitOrderDefinition() };
+                     break;
+                  default:
+                     foreach (var cad in get_child_algo_data(def)) {
+                        var child = outright_impl(cad.get_child(def));
+                        if (child == null)
+                           return null;
+                        cad.assign_child(def, child);
+                     }
+                     break;
+               }
+            }
+            return def;
+         }
+      }
+      
+      static CustomOrderDefinition.CustomOneofCase[] algo_config(
+         Func<bts.config.AlgoPermissions, List<string>> selector)
+      {
+         var conf = mbts.config.Configuration.get<bts.config.AlgoPermissions>();
+         return selector(conf).Select(x => 
+         {
+            return (CustomOrderDefinition.CustomOneofCase)System.Enum.Parse(typeof(CustomOrderDefinition.CustomOneofCase), x, true);
+         }).ToArray();
       }
 
       public static readonly CustomOrderDefinition.CustomOneofCase[]
 
          // exchange_order_types are the types which can be submitted on an exchange security
-         exchange_order_types = new[] {
-            CustomOrderDefinition.CustomOneofCase.Market,
-            CustomOrderDefinition.CustomOneofCase.Limit,
-            CustomOrderDefinition.CustomOneofCase.Stop,
-            CustomOrderDefinition.CustomOneofCase.StopLimit,
-            CustomOrderDefinition.CustomOneofCase.GlbxIceberg,
-            CustomOrderDefinition.CustomOneofCase.Iceberg,
-            CustomOrderDefinition.CustomOneofCase.Lean,
-            CustomOrderDefinition.CustomOneofCase.Join,
-            CustomOrderDefinition.CustomOneofCase.Cover,
-            CustomOrderDefinition.CustomOneofCase.Top,
-            CustomOrderDefinition.CustomOneofCase.Offset,
-            CustomOrderDefinition.CustomOneofCase.Splitter,
-            CustomOrderDefinition.CustomOneofCase.Scratch,
-            CustomOrderDefinition.CustomOneofCase.Prorata,
-         },
-         spreader_order_types = new[] {
-            CustomOrderDefinition.CustomOneofCase.Spreader,
-            CustomOrderDefinition.CustomOneofCase.Iceberg,
-            CustomOrderDefinition.CustomOneofCase.Lean,
-            CustomOrderDefinition.CustomOneofCase.Join,
-            CustomOrderDefinition.CustomOneofCase.Cover,
-            CustomOrderDefinition.CustomOneofCase.Top,
-            CustomOrderDefinition.CustomOneofCase.Splitter,
-            CustomOrderDefinition.CustomOneofCase.Scratch,
-            CustomOrderDefinition.CustomOneofCase.Prorata,
-         },
-         attachable_order_types = new[] {
-            CustomOrderDefinition.CustomOneofCase.Iceberg,
-            CustomOrderDefinition.CustomOneofCase.Lean,
-            CustomOrderDefinition.CustomOneofCase.Join,
-            CustomOrderDefinition.CustomOneofCase.Cover,
-            CustomOrderDefinition.CustomOneofCase.Top,
-            CustomOrderDefinition.CustomOneofCase.Offset,
-            CustomOrderDefinition.CustomOneofCase.Scratch,
-            CustomOrderDefinition.CustomOneofCase.Prorata,
-         },
-         outright_order_types = new[] {
-            CustomOrderDefinition.CustomOneofCase.Market,
-            CustomOrderDefinition.CustomOneofCase.Limit,
-            CustomOrderDefinition.CustomOneofCase.Stop,
-            CustomOrderDefinition.CustomOneofCase.StopLimit,
-            CustomOrderDefinition.CustomOneofCase.GlbxIceberg,
-         };
+         exchange_order_types = algo_config(x => x.exchange_order_types),
+         spreader_order_types = algo_config(x => x.spreader_order_types),
+         attachable_order_types = algo_config(x => x.attachable_order_types),
+         outright_order_types = algo_config(x => x.outright_order_types);
+         
       public static readonly CustomOrderDefinition.CustomOneofCase[] all_order_types = exchange_order_types.Union(spreader_order_types).ToArray();
 
       public static void copy_values(CustomOrderDefinitionImmutable source, ref CustomOrderDefinition target) =>
@@ -527,6 +735,12 @@ namespace mbts.spark.utilities {
 
          public static bool equals(CustomOrderDefinitionImmutable a, CustomOrderDefinitionImmutable b) => custom_order_defi_comparer.Equals(a, b);
 
+         public static bool structure_equals(CustomOrderDefinitionImmutable a, CustomOrderDefinitionImmutable b) {
+            return impl(a.CloneToMutable(), b.CloneToMutable());
+            bool impl(CustomOrderDefinition ma, CustomOrderDefinition mb) =>
+               ma.CustomCase == mb.CustomCase && get_child_algo_data(ma).All(cad => impl(cad.get_child(ma), cad.get_child(mb)));
+         }
+
          public static bool iceberg_equals(IcebergOrderDefinitionImmutable a, IcebergOrderDefinitionImmutable b) =>
             a.ShowQuantity.Equals(b.ShowQuantity) && a.HasChild ? b.HasChild && equals(a.Child, b.Child) : !b.HasChild;
 
@@ -788,6 +1002,7 @@ namespace mbts.spark.utilities {
             }
          };
 
+         public static OrderDefinitionImmutable OrderDefinitionImmutable { get; } = new OrderDefinitionImmutable(OrderDefinition);
          public static OrderRecordImmutable OrderRecordImmutable { get; } = new OrderRecordImmutable(OrderRecord);
 
          public static CustomOrderDefinition CustomOrderDefinition() => new CustomOrderDefinition { Limit = LimitOrderDefinition() };
@@ -840,6 +1055,9 @@ namespace mbts.spark.utilities {
          public static TriggerOrderDefinition TriggerOrderDefinition() => new TriggerOrderDefinition { Child = CustomOrderDefinition(), TriggerCondition = new TriggerCondition(), TriggerAction = new TriggerAction(), };
          public static DynamicOrderDefinition DynamicOrderDefinition() => new DynamicOrderDefinition();
          public static SpreaderOrderDefinition SpreaderOrderDefinition() => new SpreaderOrderDefinition { ExecutionStrategy = new ExecutionStrategy() };
+
+         public static SplitterOrderDefinition SplitterOrderDefinition() => new SplitterOrderDefinition();
       }
    }
+   
 }

src/client/spark/Orders/OrderModificationControl.xaml

@@ -85,7 +85,7 @@
         usp:OrderModificationControl.IsDirty="{Binding size_dirty, FallbackValue={x:Null}}"
         CommitOnEnter="True"
         Focusable="False"
-        Value="{Binding size_calculator.display_value}"
+        Value="{Binding size_calculator.value}"
       />
     </Grid>
     <Grid Grid.Column="2">
@@ -114,26 +114,15 @@
         <ColumnDefinition/>
       </Grid.ColumnDefinitions>
       <Button
-        Command="{Binding size_calculator.set_actual_value_command}"
-        CommandParameter="{Binding bbo.bid_size}"
-        Foreground="{u:BTSColor MarketData.bid}"
-      >
-        <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}">
-          <Binding Path="bbo.bid_size"/>
-          <Binding Path="display_quantity_divisor"/>
-        </MultiBinding>
-      </Button>
+        Content="{Binding bbo.bid_size}" Command="{Binding size_calculator.set_value_command}"
+        CommandParameter="{Binding bbo.bid_size}" Foreground="{u:BTSColor MarketData.bid}"
+      />
       <Button
         Grid.Column="2"
-        Command="{Binding size_calculator.set_actual_value_command}"
+        Content="{Binding bbo.ask_size}" Command="{Binding size_calculator.set_value_command}"
         CommandParameter="{Binding bbo.ask_size}"
         Foreground="{u:BTSColor MarketData.ask}"
-      >
-        <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}">
-          <Binding Path="bbo.ask_size"/>
-          <Binding Path="display_quantity_divisor"/>
-        </MultiBinding>
-      </Button>
+      />
     </Grid>
     <Grid Grid.Row="4" Grid.RowSpan="3">
       <Grid.RowDefinitions>
@@ -150,18 +139,9 @@
         <ItemsControl.ItemTemplate>
           <DataTemplate>
             <Button
-              Margin="2,4,2,0"
-              Content="{Binding}"
-              Focusable="False"
+              Margin="2,4,2,0" Content="{Binding}" Focusable="False" CommandParameter="{Binding}"
               Command="{Binding Path=DataContext.click, RelativeSource={RelativeSource AncestorType=ItemsControl}}"
-            >
-              <Button.CommandParameter>
-                <MultiBinding Converter="{x:Static cv:DynamicDoubleMultiplierConverter.Instance}">
-                  <Binding/>
-                  <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=usp:OrderModificationControl}"/>
-                </MultiBinding>
-              </Button.CommandParameter>
-            </Button>
+            />
           </DataTemplate>
         </ItemsControl.ItemTemplate>
       </ItemsControl>

src/client/spark/Orders/OrderPropertiesEditorVM.cs

@@ -82,8 +82,13 @@ namespace mbts.spark {
             CustomSort = AlgoCollectionHelper.algo_definition_vm_comparer.to_non_generic(),
             IsLiveSorting = true
          };
-         algo_definitions_view.Filter = d =>
-            !(d.key.mode == AlgoKey.Mode.Persisted && _algo_metadata.TryGetValue(d.key, out AlgoDefinitionMetadata meta) && meta.is_hidden);
+         algo_definitions_view.Filter = d => {
+            if (d.key.mode == AlgoKey.Mode.Persisted && _algo_metadata.TryGetValue(d.key, out AlgoDefinitionMetadata meta) && meta.is_hidden)
+               return false;
+            var sec_fmt = OrderDataHelper.get_algo_format(security.ContractCase);
+            return (d.selected_format & sec_fmt) == sec_fmt;
+         };
+         _algo_definitions_view.LiveFilteringProperties.Add(nameof(AlgoDefinitionVM.selected_format));
          _algo_definitions_view.LiveSortingProperties.Add(nameof(AlgoDefinitionVM.group));
          _algo_definitions_view.LiveSortingProperties.Add(nameof(AlgoDefinitionVM.name));
          algo_definitions_view.GroupDescriptions.Add(new PropertyGroupDescription(nameof(AlgoDefinitionVM.group)));
@@ -162,27 +167,33 @@ namespace mbts.spark {
                undo_definition_observer,
                redo_definition_observer,
                revert_definition_observer),
-            security_source.SelectManyInSeries(model.subscribe_algo_meta_tuples)
-            .OnDispatcher()
-            .Subscribe(table => {
-               using (_selected_algo_definition.begin_update()) {
-                  foreach (var (algo, meta) in table.removed)
-                     _algo_definitions.Remove(algo.key);
-                  foreach (var (algo, meta) in table.changed) {
-                     var vm = _algo_definitions[algo.key];
-                     vm.load(algo);
-                     vm.favorite_index = _get_favorite_algo_index(vm.key);
-                  }
-                  foreach (var (algo, meta) in table.added) {
-                     var vm = AlgoDefinitionVM.create(_model, algo, AlgoEditingPermissions.AllowEditValues);
-                     vm.favorite_index = _get_favorite_algo_index(vm.key);
-                     _algo_definitions.Add(vm);
-                  }
-               }
+            security_md_source.Select(smd => model.factory.default_algos(smd.security)).Table(s => s.key).Subscribe(factory_defs => {
+               using (_selected_algo_definition.begin_update())
+                  AlgoCollectionHelper.update_persisted_definitions(_algo_definitions, factory_defs, fd => {
+                     var vm = AlgoDefinitionVM.create(_model, fd, init_format: OrderDataHelper.get_algo_format(security.ContractCase), editing_permissions: AlgoEditingPermissions.AllowEditValues);
+                     vm.selected_format = OrderDataHelper.get_algo_format(security.ContractCase);
+                     return vm;
+                  });
+            }),
+            model.algo_model.definitions.Subscribe(_definitions_buffer),
+            _definitions_buffer.OnDispatcher().Subscribe(u => {
+               AlgoCollectionHelper.update_persisted_definitions(_algo_definitions, u, def_data => {
+                  var def_vm = AlgoDefinitionVM.create(model, def_data, OrderDataHelper.get_algo_format(security.ContractCase), AlgoEditingPermissions.AllowEditValues);
+                  def_vm.selected_format = OrderDataHelper.get_algo_format(security.ContractCase);
+                  def_vm.favorite_index = _get_favorite_algo_index(def_vm.key);
+                  return def_vm;
+               });
             }),
             model.algo_model.metadata_service.subscribe_metadata().OnDispatcher().Subscribe(_on_template_metadata),
             ObservableAutoWrapper.connect_item_hooks(algo_definitions, vm =>
-               Disposable.Create(vm.connect_data(nullable_security_md_source), vm),
+               Disposable.Create(
+                  vm.connect_data(nullable_security_md_source),
+                  security_source.Subscribe(s => {
+                     var fmt = OrderDataHelper.get_algo_format(s.ContractCase);
+                     foreach (var d in algo_definitions)
+                        d.selected_format = fmt;
+                  }),
+                  vm),
                true)) {
             () => Disposable.dispose(ref _algo_param_rows_hook)
          };
@@ -314,11 +325,13 @@ namespace mbts.spark {
       public bool open_algo_popup_on_select { get => _open_algo_popup_on_select; set => Set(ref _open_algo_popup_on_select, value); }
       // commands
       public ICommand save_definition_cmd { get; }
+      public ICommand save_template_cmd { get; }
       public ICommand revert_definition_cmd { get; }
       public ICommand set_default_algo_params_cmd { get; }
       public ICommand revert_algo_params_cmd { get; }
       public ICommand undo_definition_cmd { get; }
       public ICommand redo_definition_cmd { get; }
+      public ICommand remove_template_cmd { get; }
       public ICommand toggle_is_favorite_cmd { get; }
 
       public IObservable<AccountTuple?> observe_account(bool start_immediately = false) =>
@@ -383,4 +396,4 @@ namespace mbts.spark {
          algo_definitions_view.Refresh();
       }
    }
-}
+}

src/client/spark/Orders/OrderTicket.xaml

@@ -1,16 +1,13 @@
-<Window
-  x:Class="mbts.ui.spark.OrderTicket"
-  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
-  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
-  xmlns:msys="clr-namespace:bts.api;assembly=spark_api"
-  xmlns:u="clr-namespace:mbts.ui"
-  xmlns:cv="clr-namespace:mbts.ui.converters"
-  xmlns:usp="clr-namespace:mbts.ui.spark"
-  xmlns:sys="clr-namespace:System;assembly=mscorlib"
-  u:WindowStyle.SizeToContent="WidthAndHeight"
-  u:WindowStyle.TitleContent="{Binding bbo, Mode=OneWay}"
-  Style="{StaticResource BTSWindowTitleTemplate}"
->
+<Window x:Class="mbts.ui.spark.OrderTicket"
+        xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+        xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+        xmlns:msys="clr-namespace:bts.api;assembly=spark_api"
+        xmlns:u="clr-namespace:mbts.ui"
+        xmlns:usp="clr-namespace:mbts.ui.spark"
+        xmlns:sys="clr-namespace:System;assembly=mscorlib"
+        u:WindowStyle.SizeToContent="WidthAndHeight"
+        u:WindowStyle.TitleContent="{Binding bbo, Mode=OneWay}"
+        Style="{StaticResource BTSWindowTitleTemplate}">
   <Window.Resources>
     <ResourceDictionary>
       <ResourceDictionary.MergedDictionaries>
@@ -126,12 +123,7 @@
       <TextBlock>
         <TextBlock.Inlines>
           <Run Text="{Binding security, Mode=OneWay}" FontWeight="Bold"/>
-          <Run Foreground="{u:BTSColor MarketData.bid}" FontSize="10">
-            <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}" Mode="OneWay" StringFormat="({0})">
-              <Binding Path="bid_size" Mode="OneWay"/>
-              <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
-            </MultiBinding>
-          </Run>
+          <Run Foreground="{u:BTSColor MarketData.bid}" FontSize="10" Text="{Binding bid_size, Mode=OneWay, StringFormat='{}({0})'}"/>
           <Run Foreground="{u:BTSColor MarketData.bid}" FontWeight="Bold">
             <Run.Text>
               <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
@@ -148,12 +140,7 @@
               </MultiBinding>
             </Run.Text>
           </Run>
-          <Run Foreground="{u:BTSColor MarketData.ask}" FontSize="10">
-            <MultiBinding Converter="{x:Static cv:DynamicDoubleDivisorConverter.Instance}" Mode="OneWay" StringFormat="({0})">
-              <Binding Path="ask_size" Mode="OneWay"/>
-              <Binding Path="DataContext.display_quantity_divisor" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
-            </MultiBinding>
-          </Run>
+          <Run Foreground="{u:BTSColor MarketData.ask}" FontSize="10" Text="{Binding ask_size, Mode=OneWay, StringFormat='{}({0})'}"/>
         </TextBlock.Inlines>
       </TextBlock>
     </DataTemplate>

src/client/spark/Orders/OrderTypeVMs/CompositeAlgoVM.cs

@@ -4,7 +4,9 @@ using mbts.ui;
 using System;
 using System.Collections.Specialized;
 using System.Reactive.Linq;
+using System.Threading.Tasks;
 using AlgoDef = bts.api.orderman.CustomOrderDefinition;
+using AlgoDefi = bts.api.orderman.CustomOrderDefinitionImmutable;
 using CompositeDef = bts.api.orderman.CompositeOrderDefinition;
 using CompositeDefi = bts.api.orderman.CompositeOrderDefinitionImmutable;
 
@@ -19,7 +21,6 @@ namespace mbts.spark {
             : base(id, display_name, editing_permissions) { }
 
          public override string abbreviation => _studio_meta?.abbreviation ?? base.abbreviation;
-         public override AlgoDisplayGroup group => AlgoDisplayGroup.Studio;
          public override OrderMetadata meta {
             get {
                var m = new OrderMetadata { KeyBinding = string.Empty, NoProps = false };
@@ -65,4 +66,4 @@ namespace mbts.spark {
          protected override void validate() => base.validate();
       }
    }
-}
+}

src/client/spark/Orders/OrderTypeVMs/DefaultAlgoVM.cs

@@ -8,6 +8,7 @@ using System;
 using System.Collections.Generic;
 using System.Collections.ObjectModel;
 using System.ComponentModel;
+using System.Threading.Tasks;
 using System.Windows.Input;
 using AlgoDef = bts.api.orderman.CustomOrderDefinition;
 using AlgoDefi = bts.api.orderman.CustomOrderDefinitionImmutable;
@@ -18,6 +19,7 @@ namespace mbts.spark {
       static readonly AlgoDefi _empty = new AlgoDefi(new AlgoDef());
       readonly ObservableAggregateCollection<IAlgoParamVM> _algo_params = new ObservableAggregateCollection<IAlgoParamVM>();
       readonly VersionContainer<AlgoDefi> _definition;
+      AlgoFormats _format;
       AlgoEditingPermissions _editing_permissions;
       SecurityMD? _security_md;
       OrdersModel _model;
@@ -82,8 +84,10 @@ namespace mbts.spark {
       void IObserver<SecurityMD?>.OnNext(SecurityMD? security_md) {
          var orig_group = group;
          _security_md = security_md;
+         if (security_md.HasValue)
+            _format = OrderDataHelper.get_algo_format(security_md.Value.security.ContractCase);
          var orig_def = definition;
-         var fmt_type = OrderDataHelper.get_default_algo(security_md.HasValue ? security_md.Value.security.ContractCase : bts.api.Security.ContractOneofCase.None);
+         var fmt_type = OrderDataHelper.get_default_algo(_format);
          switch (fmt_type) {
             case AlgoType.None: _clear_impl(); break;
             default:

src/client/spark/Orders/OrderTypeVMs/DynamicOrderHelper.cs

@@ -2,6 +2,7 @@ using bts.api;
 using bts.api.orderman;
 using bts.utils;
 using Google.Protobuf.Reflection;
+using mbts.utils;
 using System;
 using System.Collections.Generic;
 using System.ComponentModel.Composition;
@@ -14,44 +15,16 @@ namespace mbts.spark {
       static readonly IReadOnlyDictionary<DynamicOrderParam.ValueOneofCase, (FieldDescriptor field_descriptor, Type field_type)> _descriptor_case_index =
          ProtoHelper.get_oneof_descriptor_index<DynamicOrderParam, DynamicOrderParam.ValueOneofCase>(nameof(DynamicOrderParam.ValueCase));
 
-      readonly Dictionary<string, DynamicOrderDescriptor> _dyn_types = new Dictionary<string, DynamicOrderDescriptor>(StringComparer.CurrentCultureIgnoreCase);
+      readonly RegisteredDynamicOrderTypes _dynamic_types;
 
       [ImportingConstructor]
-      DynamicOrderHelper(OrderService order_service) {
-         foreach (var dt in order_service.get_registered_dynamic_order_types(new VoidMessage()).DynamicOrderDesc)
-            _dyn_types[dt.DynamicOrderType] = dt;
-      }
+      DynamicOrderHelper(OrderService order_service) =>
+         _dynamic_types = order_service.get_registered_dynamic_order_types(new VoidMessage());
 
-      public IEnumerable<string> dynamic_types => _dyn_types.Keys;
-
-      public static string fmt_param(DynamicOrderParam dyn_param) {
-         if (dyn_param == null)
-            return null;
-         switch (dyn_param.ValueCase) {
-            case DynamicOrderParam.ValueOneofCase.AsArray:
-               return string.Join(", ", dyn_param.AsArray.Element.Select(fmt_param));
-            case DynamicOrderParam.ValueOneofCase.AsBool:
-               return dyn_param.AsBool.ToString();
-            case DynamicOrderParam.ValueOneofCase.AsDouble:
-               return dyn_param.AsDouble.ToString();
-            case DynamicOrderParam.ValueOneofCase.AsEnumerated:
-               return dyn_param.AsEnumerated.EnumValue;
-            case DynamicOrderParam.ValueOneofCase.AsInt32:
-               return dyn_param.AsInt32.ToString();
-            case DynamicOrderParam.ValueOneofCase.AsQuantity:
-               return dyn_param.AsQuantity.ToString();
-            case DynamicOrderParam.ValueOneofCase.AsString:
-               return dyn_param.AsString;
-            default:
-               // implement additional cases as needed
-               // (as of 4/17/20, this method is only used to format
-               // dynamic orders' CustomState params in the orderbook)
-               return $"({dyn_param.ValueCase})";
-         }
-      }
+      public IEnumerable<string> dynamic_types => _dynamic_types.DynamicOrderDesc.Select(d => d.DynamicOrderType);
 
       public void add_dynamic_order_defs(List<CustomOrderDefinitionImmutable> defs, Func<CustomOrderDefinition.CustomOneofCase, CustomOrderDefinition> factory) {
-         foreach (var d in _dyn_types.Values) {
+         foreach (var d in _dynamic_types.DynamicOrderDesc) {
             var dorder = factory(CustomOrderDefinition.CustomOneofCase.Dynamic);
             dorder.Dynamic.DynamicOrderType = d.DynamicOrderType;
             var ddef = dorder.Dynamic;
@@ -61,20 +34,8 @@ namespace mbts.spark {
          }
       }
 
-      public bool try_parse(string str, out string dynamic_type) {
-         if (_dyn_types.TryGetValue(str, out var desc)) {
-            dynamic_type = desc.DynamicOrderType;
-            return true;
-         }
-         dynamic_type = null;
-         return false;
-      }
-
       internal DynamicOrderDescriptor get_descriptor(string dynamic_type) =>
-         _dyn_types.TryGetValue(dynamic_type, out var desc) ? desc : new DynamicOrderDescriptor();
-
-      internal CustomOrderDefinitionImmutable create_custom_defi(string dynamic_type) =>
-         new CustomOrderDefinitionImmutable(new CustomOrderDefinition { Dynamic = create_def(dynamic_type) });
+         _dynamic_types.DynamicOrderDesc.FirstOrDefault(d => d.DynamicOrderType == dynamic_type) ?? new DynamicOrderDescriptor();
 
       internal DynamicOrderDefinition create_def(string dynamic_type) {
          var desc = get_descriptor(dynamic_type);

src/client/spark/Orders/OrderTypeVMs/GenericOrderHelper.cs

@@ -33,7 +33,7 @@ namespace mbts.spark
          {
             return;
          } 
-         var ev = fd.EnumType.Values.FirstOrDefault(x => x.Name == value)?.Number;
+         var ev = fd.EnumType.Values.First(x => x.Name == value)?.Number;
          if(ev.HasValue)
             fd.Accessor.SetValue(message, ev.Value);
       }

src/client/spark/Orders/OrderTypeVMs/GenericOrderParamVM.cs

@@ -28,15 +28,17 @@ namespace mbts.spark
       where TMutable : class, IMessage, new() 
    {
       TMutable _message;
+      readonly protected Func<IMessage, IMessage> _message_override;
 
-      protected GenericOrderParamVM(FieldDescriptor descriptor)
+      protected GenericOrderParamVM(FieldDescriptor descriptor, Func<IMessage, IMessage> message_override = null)
       {
          _message = new TMutable();
+         _message_override = message_override;
          this.descriptor = descriptor;
       }
 
       public FieldDescriptor descriptor { get; set; }
-      public Google.Protobuf.IMessage message 
+      public virtual Google.Protobuf.IMessage message 
       {
          get => _message;
          set 
@@ -53,11 +55,12 @@ namespace mbts.spark
       where TMutable : class, IMessage, new()
    {
       readonly Func<TModel, TView> _convert;
-      readonly Func<TView, TModel> _convert_back;
+      readonly Func<TView, TModel> _convert_back;      
       TView _value;
 
-      public GenericOrderParamVM(FieldDescriptor field_descriptor, Func<TModel, TView> convert, Func<TView, TModel> convert_back) : 
-         base(field_descriptor) 
+      public GenericOrderParamVM(FieldDescriptor field_descriptor, Func<TModel, TView> convert, 
+                                 Func<TView, TModel> convert_back, Func<IMessage, IMessage> message_override = null) : 
+         base(field_descriptor, message_override) 
       {
          _convert = convert;
          _convert_back = convert_back;
@@ -68,7 +71,8 @@ namespace mbts.spark
          get => _value;
          set 
          {
-            this.descriptor.Accessor.SetValue(this.message, _convert_back(_value = value));
+            this.descriptor.Accessor.SetValue( _message_override == null ? this.message : _message_override(this.message), 
+                                              _convert_back(_value = value));
             RaisePropertyChanged();
          }
       }
@@ -84,7 +88,7 @@ namespace mbts.spark
 
       protected override void on_param_changed() 
       {
-         _value = _convert(ConvertUtils.try_convert<TModel>(this.descriptor.Accessor.GetValue(this.message)));
+         _value = _convert(ConvertUtils.try_convert<TModel>(this.descriptor.Accessor.GetValue(_message_override == null ? this.message : _message_override(this.message))));
          RaisePropertyChanged(nameof(value));
       }
    }
@@ -92,8 +96,8 @@ namespace mbts.spark
    class GenericOrderEnumeratedVM<TMutable> : GenericOrderParamVM<TMutable>, IGenericOrderParamVM<string>
       where TMutable : class, IMessage, new()   
    {
-      public GenericOrderEnumeratedVM(FieldDescriptor descriptor)
-         : base(descriptor)
+      public GenericOrderEnumeratedVM(FieldDescriptor descriptor, Func<IMessage, IMessage> message_override = null)
+         : base(descriptor, message_override)
       {
          elements = new ObservableCollection<string>(_get_elements(descriptor));
       }
@@ -102,11 +106,13 @@ namespace mbts.spark
 
       public string selected_element 
       {
-         get => GenericOrderHelper.get_enumerated_value(message, descriptor);
+         get => GenericOrderHelper.get_enumerated_value(_message_override == null ? this.message : _message_override(this.message),
+                                                        descriptor);
          set 
          {
             var orig = selected_element;
-            GenericOrderHelper.set_enumerated_value(message, descriptor, value);
+            GenericOrderHelper.set_enumerated_value(_message_override == null ? this.message : _message_override(this.message), 
+                                                    descriptor, value);
             if (selected_element != orig)
                RaisePropertyChanged();
          }
@@ -148,22 +154,23 @@ namespace mbts.spark
    class GenericOrderQuantityVM<TMutable> : GenericOrderParamVM<TMutable>, IGenericOrderParamVM<QuantityMeasureImmutable?>
       where TMutable : class, IMessage, new()
    {
-      public GenericOrderQuantityVM(FieldDescriptor descriptor)
-         : base(descriptor) { }
+      public GenericOrderQuantityVM(FieldDescriptor descriptor, Func<IMessage, IMessage> message_override = null)
+         : base(descriptor, message_override) { }
 
       QuantityMeasureImmutable? IGenericOrderParamVM<QuantityMeasureImmutable?>.value { get => quantity; set => quantity= value; }
       public QuantityMeasureImmutable? quantity 
       {
-         get => GenericOrderHelper.get_quantity_value(message, descriptor);
+         get => GenericOrderHelper.get_quantity_value(_message_override == null ? this.message : _message_override(this.message), 
+                                                      descriptor);
          set 
          {
             var orig = quantity;
-            GenericOrderHelper.set_quantity_value(message, descriptor, value);
+            GenericOrderHelper.set_quantity_value(_message_override == null ? this.message : _message_override(this.message), 
+                                                  descriptor, value);
             if (quantity != orig)
                RaisePropertyChanged();
          }
       }      
-
       public IObservable<QuantityMeasureImmutable?> subscribe_value() 
       {
          return Observable.Create<QuantityMeasureImmutable?>(o =>
@@ -174,10 +181,9 @@ namespace mbts.spark
                o.OnNext(quantity);
          });
       }
-
       protected override void on_param_changed()
       {
          RaisePropertyChanged(nameof(quantity));
       }
-   }   
+   }
 }

src/client/spark/Orders/OrderTypeVMs/GenericOrderVM.cs

@@ -2,6 +2,7 @@
 using bts.api;
 using bts.api.orderman;
 using bts.collections;
+using bts.spark;
 using Google.Protobuf;
 using Google.Protobuf.Reflection;
 using mbts.collections;
@@ -14,19 +15,21 @@ using System.Collections.ObjectModel;
 using System.ComponentModel;
 using System.Linq;
 using System.Reactive.Linq;
-using System.Reflection;
 using AlgoType = bts.api.orderman.CustomOrderDefinition.CustomOneofCase;
 
 namespace mbts.spark {
-   static partial class OrderTypeVMFactory {
-      internal class GenericOrderFactory {
-         static public IAlgoVM create_vm(AlgoKey key, AlgoType algo_type, string display_name, AlgoEditingPermissions editing_permissions) {
+   static partial class OrderTypeVMFactory 
+   {
+      internal class GenericOrderFactory
+      {
+         static public IAlgoVM create_vm(AlgoKey key, AlgoType algo_type, string display_name, AlgoEditingPermissions editing_permissions)
+         {
             var prop = typeof(CustomOrderDefinition).GetProperty(algo_type.ToString(),
-               BindingFlags.Instance | BindingFlags.Public);
+               System.Reflection.BindingFlags.Instance | System.Reflection.BindingFlags.Public);
             var rt = prop.PropertyType;
 
             var propi = typeof(CustomOrderDefinitionImmutable).GetProperty(algo_type.ToString(),
-               BindingFlags.Instance | BindingFlags.Public);
+               System.Reflection.BindingFlags.Instance | System.Reflection.BindingFlags.Public);
             var rti = propi.PropertyType;
 
             var vmt = typeof(GenericOrderVM<,>);
@@ -35,33 +38,38 @@ namespace mbts.spark {
             object vm = Activator.CreateInstance(makevm, key, algo_type, display_name, editing_permissions);
             return (IAlgoVM)vm;
          }
-         static public void setup_generic_custom_order(CustomOrderDefinition custom, CustomOrderDefinition.CustomOneofCase type) {
+         static public void setup_generic_custom_order(CustomOrderDefinition custom, CustomOrderDefinition.CustomOneofCase type)
+         {
             var prop = typeof(CustomOrderDefinition).GetProperty(type.ToString(),
-               BindingFlags.Instance | BindingFlags.Public);
+               System.Reflection.BindingFlags.Instance | System.Reflection.BindingFlags.Public);
             var rt = prop.PropertyType;
             var rtt = Activator.CreateInstance(rt);
-
+            
             var ci = rt.GetProperties().Where(x => x.PropertyType == typeof(CustomOrderDefinition));
-            foreach (var cid in ci)
+            foreach(var cid in ci)
                cid.SetValue(rtt, new CustomOrderDefinition { Limit = new LimitOrderDefinition() });
             prop.SetValue(custom, rtt);
          }
-      }
-
+      }      
+      
       class GenericOrderVM<TMutable, TImmutable> : OrderTypeVMBase<TMutable, TImmutable>
-         where TMutable : class, IMessage, new() where TImmutable : struct, IImmutableMessage {
+         where TMutable : class, IMessage, new() where TImmutable : struct, IImmutableMessage
+      {         
          readonly ObservableKeyedCollection<GenericOrderParamVM<TMutable>, string> _parameters =
             new ObservableKeyedCollection<GenericOrderParamVM<TMutable>, string>(vm => vm.descriptor.Name);
          readonly AlgoType _algo_type;
 
          public GenericOrderVM(AlgoKey key, AlgoType algo_type, string display_name, AlgoEditingPermissions editing_permissions)
-            : base(key, display_name, editing_permissions) {
+            : base(key, display_name, editing_permissions) 
+         {
             _algo_type = algo_type;
             _parameters = new ObservableKeyedCollection<GenericOrderParamVM<TMutable>, string>(vm => vm.descriptor.Name);
             _resources.AddRange(
-               ObservableAutoWrapper.connect_item_hooks(_parameters, p => {
+               ObservableAutoWrapper.connect_item_hooks(_parameters, p =>
+               {
                   p.PropertyChanged += on_param_prop_changed;
-                  return Disposable.Create(() => {
+                  return Disposable.Create(() => 
+                  {
                      p.PropertyChanged -= on_param_prop_changed;
                      remove_property(p.descriptor.Name);
                      p.Dispose();
@@ -72,113 +80,128 @@ namespace mbts.spark {
          }
 
          public string algo_type => _algo_type.ToString();
-         public override string abbreviation =>
+         public override string abbreviation => 
             model == null ? display_name : model.factory.abbreviate_algo(new OneOf<CustomOrderDefinition.CustomOneofCase, string>(_algo_type));
          public override AlgoDisplayGroup group => AlgoDisplayGroup.API;
          public ObservableCollection<GenericOrderParamVM<TMutable>> parameters => _parameters;
 
-         protected override void on_model_internal() =>
+         protected override void on_model_internal() 
+         {
             _sync_generic_params();
+         }
 
-         void _sync_generic_params() {
-            if (model != null) {
-               MessageDescriptor desc = new TMutable().Descriptor;
+         void _sync_generic_params()
+         {
+            if (model != null)
+            {               
+               Google.Protobuf.Reflection.MessageDescriptor desc = new TMutable().Descriptor;               
                _parameters.SyncWithDictionary(
-                  desc.Fields.InDeclarationOrder().Where(_is_value_param_desc).ToDictionary(p => p.Name), _mk_param_vm);
+                  desc.Fields.InDeclarationOrder().Where(_is_value_param_desc).ToDictionary(p => p.Name), x => _mk_param_vm(x));
+               add_message_params(desc);
             }
          }
-
-         static bool _is_value_param_desc(FieldDescriptor desc) =>
-            (desc.FieldType != FieldType.Message ||
+         void add_message_params(Google.Protobuf.Reflection.MessageDescriptor desc)
+         {
+            var msgs = desc.Fields.InDeclarationOrder().Where(x => !_is_value_param_desc(x) && 
+                                                              x.MessageType.ClrType != typeof(CustomOrderDefinition) );
+            foreach(var message_field in msgs)
+            {
+               foreach (var fd in message_field.MessageType.Fields.InDeclarationOrder())
+               {
+                  if(_is_value_param_desc(fd)) //one level deep
+                  {
+                     var mk = _mk_param_vm(fd, 
+                     outside_object => 
+                     {                        
+                        var msgfield = message_field.Accessor.GetValue(outside_object);
+                        if(msgfield == null)
+                        {
+                           message_field.Accessor.SetValue(outside_object, Activator.CreateInstance(message_field.MessageType.ClrType));
+                           msgfield = message_field.Accessor.GetValue(outside_object);
+                        }
+                        return (IMessage)msgfield;
+                     });
+                     if(mk == null) 
+                        continue;
+                        
+                     if(!_parameters.Add(mk))
+                        _parameters.Add(message_field.Name + "_" + mk.descriptor.Name, mk);                     
+                  }
+               }
+            }            
+         }
+         
+         static bool _is_value_param_desc(FieldDescriptor desc)
+         {
+            return (desc.FieldType != Google.Protobuf.Reflection.FieldType.Message || 
                _is_quantity_measure_desc(desc));
-
-         static bool _is_quantity_measure_desc(FieldDescriptor desc) =>
-            desc.FieldType == FieldType.Message &&
-               desc.MessageType.FullName == typeof(bts.spark.QuantityMeasure).FullName;
-
-         protected override IEnumerable<ChildAlgoData> get_selector_data() =>
-            OrderDataHelper.get_child_algo_data(_algo_type);
-
-         GenericOrderParamVM<TMutable> _mk_param_vm(FieldDescriptor descriptor) {
-            ExceptionAssert.Argument.NotNull(descriptor, nameof(descriptor));
-            if (descriptor.FieldType == FieldType.Message &&
-                descriptor.MessageType.FullName == typeof(bts.spark.QuantityMeasure).FullName) {
-               var qm = new GenericOrderQuantityVM<TMutable>(descriptor);
-               return attached(qm, GenericOrderHelper.get_quantity_value, GenericOrderHelper.set_quantity_value);
-            } else if (descriptor.FieldType == FieldType.Enum) {
-               return EnumParamFactory.create(this, descriptor);
-            } else if (descriptor.FieldType == FieldType.Bool) {
-               return mk<bool?, bool>(descriptor, v => v, v => v.GetValueOrDefault());
-            } else if (descriptor.FieldType == FieldType.Double || descriptor.FieldType == FieldType.Float) {
-               return mk<double, double>(descriptor, v => v, v => v, double.NaN);
-            } else if (descriptor.FieldType == FieldType.Int32) {
-               return mk<int?, int>(descriptor, v => v, v => v.GetValueOrDefault());
-            } else if (descriptor.FieldType == FieldType.UInt32) {
-               return mk<uint?, uint>(descriptor, v => v, v => v.GetValueOrDefault());
-            } else if (descriptor.FieldType == FieldType.String) {
-               return mk<string, string>(descriptor, v => v, v => v);
-            } else return null;
          }
 
-         GenericOrderParamVM<TMutable, TView, TModel> mk<TView, TModel>(
-            FieldDescriptor fdesc,
-            Func<TModel, TView> convert,
-            Func<TView, TModel> convert_back,
-            TView default_value = default) {
-            //
-            var pvm = new GenericOrderParamVM<TMutable, TView, TModel>(fdesc, convert, convert_back);
-            return attached(pvm, get_from_param, assign_to_param, default_value);
+         static bool _is_quantity_measure_desc(FieldDescriptor desc)
+         {
+            return desc.FieldType == Google.Protobuf.Reflection.FieldType.Message &&
+               desc.MessageType.FullName == typeof(bts.spark.QuantityMeasure).FullName;
+         }
+
+         protected override IEnumerable<ChildAlgoData> get_selector_data() 
+         {
+            var v = OrderDataHelper.get_child_algo_data(_algo_type);
+            return v;
+         }
+
+         GenericOrderParamVM<TMutable> _mk_param_vm(FieldDescriptor descriptor, Func<IMessage, IMessage> message_override = null) 
+         {
+            ExceptionAssert.Argument.NotNull(descriptor, nameof(descriptor));
+
+            if (descriptor.FieldType == FieldType.Message && 
+                descriptor.MessageType.FullName == typeof(bts.spark.QuantityMeasure).FullName)
+            {
+               var qm = new GenericOrderQuantityVM<TMutable>(descriptor, message_override);
+               return attached(qm, GenericOrderHelper.get_quantity_value, GenericOrderHelper.set_quantity_value, message_override);
+            }
+            else if(descriptor.FieldType == FieldType.Enum)
+            {
+               var pvm = new GenericOrderEnumeratedVM<TMutable>(descriptor, message_override);
+               attached(pvm, GenericOrderHelper.get_enumerated_value, GenericOrderHelper.set_enumerated_value, message_override);
+               return pvm;
+            }
+            else if (descriptor.FieldType == FieldType.Bool)
+               return mk<bool?, bool>(descriptor, v => v, v => v.GetValueOrDefault(), message_override);
+            else if (descriptor.FieldType == FieldType.Double || descriptor.FieldType == FieldType.Float)
+               return mk<double, double>(descriptor, v => v, v => v, message_override, double.NaN);
+            else if (descriptor.FieldType == FieldType.Int32)
+               return mk<int?, int>(descriptor, v => v, v => v.GetValueOrDefault(), message_override);
+            else if (descriptor.FieldType == FieldType.UInt32)
+               return mk<uint?, uint>(descriptor, v => v, v => v.GetValueOrDefault(), message_override);
+            else if (descriptor.FieldType == FieldType.String)
+               return mk<string, string>(descriptor, v => v, v => v, message_override);
+            else
+               return null;
+         }
+         GenericOrderParamVM<TMutable, TView, TModel> mk<TView, TModel>(FieldDescriptor fdesc, Func<TModel, TView> convert, Func<TView, TModel> convert_back, 
+                                                                        Func<IMessage, IMessage> message_override = null, TView default_value = default)
+         {
+            var pvm = new GenericOrderParamVM<TMutable, TView, TModel>(fdesc, convert, convert_back, message_override);
+            return attached<TView, GenericOrderParamVM<TMutable, TView, TModel>>(pvm, get_from_param, assign_to_param,
+                                                                                 message_override, default_value);
+
             TView get_from_param(IMessage param, FieldDescriptor fd) => convert(ConvertUtils.try_convert<TModel>(fdesc.Accessor.GetValue(param)));
             void assign_to_param(IMessage param, FieldDescriptor fd, TView value) => fdesc.Accessor.SetValue(param, convert_back(value));
          }
 
-         TParam attached<T, TParam>(
-            TParam pvm,
-            Func<IMessage, FieldDescriptor, T>
-            selector, Action<IMessage, FieldDescriptor, T> assign_to_param,
-            T default_value = default)
-            where TParam : GenericOrderParamVM<TMutable>, IGenericOrderParamVM<T> {
-            //
-            add_property(
+         TParam attached<T, TParam>(TParam pvm, Func<IMessage, FieldDescriptor, T> selector, Action<IMessage, FieldDescriptor, T> assign_to_param, 
+                                    Func<IMessage, IMessage> message_override = null, T default_value = default) where TParam : GenericOrderParamVM<TMutable>, IGenericOrderParamVM<T>
+         {
+            add_property<T>(
                pvm.descriptor.Name,
-               mdef => mdef != null ? selector(mdef, pvm.descriptor) : default_value,
-               (mdef, v) => assign_to_param(mdef, pvm.descriptor, v),
+               mdef => mdef != null ? selector( message_override == null ?  mdef : message_override(mdef), pvm.descriptor) : default_value,
+               (mdef, v) => assign_to_param(message_override == null ? mdef : message_override(mdef), pvm.descriptor, v),
                () => pvm.value,
                v => pvm.value = v,
                pvm.subscribe_value(),
                default_value);
             return pvm;
-         }
-
-         static class EnumParamFactory {
-            [ThreadStatic]
-            static Dictionary<Type, IFactory> _factories_backing;
-            static Dictionary<Type, IFactory> _factories =>
-               _factories_backing ?? (_factories_backing = new Dictionary<Type, IFactory>());
-
-            public static GenericOrderParamVM<TMutable> create(GenericOrderVM<TMutable, TImmutable> owner, FieldDescriptor descriptor) {
-               if (descriptor.FieldType != FieldType.Enum)
-                  throw ExceptionBuilder.Argument.unexpected_case(descriptor.FieldType, $"{nameof(descriptor)}.{nameof(FieldDescriptor.FieldType)}");
-               if (!_factories.TryGetValue(descriptor.EnumType.ClrType, out var f)) {
-                  // Impl<T> is a nested type, so parent class's generic type args must be included.
-                  _factories[descriptor.EnumType.ClrType] = f = (IFactory)Activator.CreateInstance(typeof(Impl<>)
-                     .MakeGenericType(typeof(TMutable), typeof(TImmutable), descriptor.EnumType.ClrType));
-               }
-               return f.create(owner, descriptor);
-            }
-
-            interface IFactory {
-               GenericOrderParamVM<TMutable> create(GenericOrderVM<TMutable, TImmutable> owner, FieldDescriptor descriptor);
-            }
-
-            class Impl<T> : IFactory where T : struct {
-               static readonly Func<T, T?> _convert = v => v;
-               static readonly Func<T?, T> _convert_back = v => v ?? default;
-
-               public GenericOrderParamVM<TMutable> create(GenericOrderVM<TMutable, TImmutable> owner, FieldDescriptor descriptor) =>
-                  owner.mk(descriptor, _convert, _convert_back, default);
-            }
-         }
+         }         
       }
    }
-}
+}

src/client/spark/Orders/OrderTypeVMs/IOrderTypeVM.cs

@@ -70,7 +70,6 @@ namespace mbts.spark {
       string id { get; }
       string display_name { get; }
       object value { get; set; }
-      object display_value { get; set; }
       bool is_enabled { get; set; }
       bool is_dirty { get; }
       bool has_value { get; }
@@ -82,7 +81,6 @@ namespace mbts.spark {
    interface IAlgoParamVM<T> : IAlgoParamVM {
       event PropertyChange<T> value_changed;
       new T value { get; set; }
-      new T display_value { get; set; }
    }
 
    interface IAlgoSelector : IAlgoParamVM<IAlgoVM>, IObserver<(IReadOnlyDictionary<AlgoKey, AlgoData> algo_data, AlgoKey? default_algo)> {
@@ -122,6 +120,12 @@ namespace mbts.spark {
       public static Color safe_get_badge_color(this IAlgoVM vm) =>
          vm == null ? default : vm.meta.Color.rgb_color();
 
+      public static IDisposable load_algo_data_recursive(this IAlgoSelector selector, IReadOnlyDictionary<AlgoKey, AlgoData> algo_data, AlgoKey? default_algo) {
+         selector.load_algo_data(algo_data, default_algo);
+         return ObservableAutoWrapper.connect_item_hooks(selector.algos, vm =>
+            ObservableAutoWrapper.connect_item_hooks(vm.child_algo_selectors, s => load_algo_data_recursive(s, algo_data, default_algo)));
+      }
+
       public static IEnumerable<IAlgoParamVM> enumerate_all_params(this IAlgoVM vm) =>
          vm == null ? Enumerable.Empty<IAlgoParamVM>() : vm.algo_params.Concat(vm.child_algo_selectors.SelectMany(s => enumerate_all_params(s.selected_algo)));
 

src/client/spark/Orders/OrderTypeVMs/IcebergOrderVM.cs

@@ -1,82 +1,16 @@
 using bts.api.orderman;
-using mbts.ui;
-using System;
-using System.Reactive;
-using System.Reactive.Linq;
 
 namespace mbts.spark {
    static partial class OrderTypeVMFactory {
       class IcebergOrderVM : OrderTypeVMBase<IcebergOrderDefinition, IcebergOrderDefinitionImmutable> {
          readonly Property<double> _show_quantity;
-         readonly DisplayQuantityMultiplier<double> _display_qty_translator = DisplayQuantityMultiplier.create_double();
-         new IDisposable _dispose;
 
          public IcebergOrderVM(AlgoKey key, string display_name, AlgoEditingPermissions editing_permissions)
             : base(key, display_name, editing_permissions) {
-            _show_quantity = add_property(
-               "show_quantity",
-               IcebergOrderDefinition.ShowQuantityFieldNumber,
-               double.NaN,
-               double.NaN,
-               to_display_value: v => _qty_conversion.to_display(v),
-               from_display_value: v => _qty_conversion.from_display(v),
-               refresh_display_value:
-               Observable.Create<Unit>(o => {
-                  _request_refresh_display += refresh;
-                  return Disposable.Create(() => _request_refresh_display -= refresh);
-                  void refresh() =>
-                    o.OnNext(Unit.Default);
-               }));
-            _show_quantity.Changed += on_show_quantity_changed;
-            _dispose = Disposable.Create(
-               _display_qty_translator.connect_owner(this, nameof(display_show_quantity)),
-               _display_qty_translator.subscribe_actual_value().Subscribe(v => _show_quantity.Value = v),
-               Disposable.Create(() => _show_quantity.Changed -= on_show_quantity_changed));
-
-            void on_show_quantity_changed(double oldval, double newval) =>
-               _display_qty_translator.actual_value = newval;
+            _show_quantity = add_property(nameof(show_quantity), IcebergOrderDefinition.ShowQuantityFieldNumber, double.NaN, double.NaN);
          }
 
-         event Action _request_refresh_display;
-
-         public double display_show_quantity {
-            get => _display_qty_translator.display_value;
-            set => _display_qty_translator.display_value = value;
-         }
-
-         QuantityConversionData _qty_conversion {
-            get => _display_qty_translator.conversion_data;
-            set {
-               if (_display_qty_translator.conversion_data != value) {
-                  _display_qty_translator.conversion_data = value;
-                  _request_refresh_display?.Invoke();
-               }
-            }
-         }
-
-         protected override void on_model_internal() =>
-            _refresh_display();
-
-         protected override void on_security_internal() =>
-            _refresh_display();
-
-         void _refresh_display() {
-            if (model == null) {
-               _qty_conversion = default;
-            } else {
-               var divisor = model.security_auxiliary_model.get_display_quantity_divisor(security);
-               if (divisor == 1 || divisor == 0) {
-                  _qty_conversion = default;
-               } else {
-                  _qty_conversion = new QuantityConversionData(divisor, QuantityConversionData.OpType.DivideActual);
-               }
-            }
-         }
-
-         protected override void Dispose(bool disposing) {
-            Disposable.dispose(ref _dispose);
-            base.Dispose(disposing);
-         }
+         public double show_quantity { get => _show_quantity.Value; set => _show_quantity.set(value); }
       }
    }
-}
+}

src/client/spark/Orders/OrderTypeVMs/OffsetOrderVM.cs

@@ -4,14 +4,14 @@ using OffsetDefi = bts.api.orderman.OffsetOrderDefinitionImmutable;
 namespace mbts.spark {
    static partial class OrderTypeVMFactory {
       class OffsetOrderVM : OrderTypeVMBase<OffsetDef, OffsetDefi> {
-         readonly Property<uint?> _tick_offset_on_deploy;
+         readonly Property<int?> _tick_offset_on_deploy;
 
          public OffsetOrderVM(AlgoKey key, string display_name, AlgoEditingPermissions editing_permissions)
             : base(key, display_name, editing_permissions) {
-            _tick_offset_on_deploy = add_nullable_property(nameof(tick_offset_on_deploy), OffsetDef.TickOffsetOnDeployFieldNumber, 0u);
+            _tick_offset_on_deploy = add_nullable_property(nameof(tick_offset_on_deploy), OffsetDef.TickOffsetOnDeployFieldNumber, 0);
          }
 
-         public uint? tick_offset_on_deploy { get => _tick_offset_on_deploy.Value; set => _tick_offset_on_deploy.set(value); }
+         public int? tick_offset_on_deploy { get => _tick_offset_on_deploy.Value; set => _tick_offset_on_deploy.set(value); }
       }
    }
 }

src/client/spark/Orders/OrderTypeVMs/OrderTypeVMFactory.cs

@@ -18,7 +18,6 @@ using System.Collections.Specialized;
 using System.ComponentModel;
 using System.Dynamic;
 using System.Linq;
-using System.Reactive;
 using System.Reactive.Disposables;
 using System.Reactive.Linq;
 using System.Runtime.CompilerServices;
@@ -62,9 +61,7 @@ namespace mbts.spark {
       public static IAlgoVM composite(AlgoKey key, string display_name, AlgoEditingPermissions editing_permissions) => new CompositeAlgoVM(key, display_name, editing_permissions);
 
       public static IAlgoVM create(AlgoData def_data, AlgoEditingPermissions editing_permissions = default_editing_permissions, bool is_expanded = false) {
-         var vm = def_data.key.is_persisted ?
-            new CompositeAlgoVM(def_data.key, def_data.name, editing_permissions) :
-            create(def_data.key, def_data.name, def_data.value.CustomCase, editing_permissions, is_expanded);
+         var vm = create(def_data.key, def_data.name, def_data.value.CustomCase, editing_permissions, is_expanded);
          vm.load_from(def_data.value);
          return vm;
       }
@@ -82,7 +79,7 @@ namespace mbts.spark {
             case AlgoType.Join: vm = join(key, name, editing_permissions); break;
             case AlgoType.Top: vm = top(key, name, editing_permissions); break;
             case AlgoType.Cover: vm = cover(key, name, editing_permissions); break;
-            case AlgoType.Oco: return oco(key, name, editing_permissions);
+            case AlgoType.Oco : return oco(key, name, editing_permissions);
             case AlgoType.Pricer: return pricer(key, name, editing_permissions);
             case AlgoType.Offset: vm = offset(key, name, editing_permissions); break;
             case AlgoType.Trigger: vm = trigger(key, name, editing_permissions); break;
@@ -90,10 +87,13 @@ namespace mbts.spark {
             case AlgoType.Iceberg: vm = iceberg(key, name, editing_permissions); break;
             case AlgoType.Spreader: vm = spreader(key, name, editing_permissions); break;
             case AlgoType.Dynamic: vm = dynamic(key, name, name, editing_permissions); break;
-            case AlgoType.Splitter: vm = splitter(key, name, editing_permissions); break;
+            case AlgoType.Splitter: vm = splitter(key,name,editing_permissions); break;
             case AlgoType.Composite: vm = composite(key, name, editing_permissions); break;
             case AlgoType.None: vm = new DefaultAlgoVM(); break;
             default: vm = generic(key, name, algo_type, editing_permissions); break;
+            //default:
+            //   Log.Ui.debug_fatal($"Failed to create {typeof(IAlgoVM)}: unknown algo type '{algo_type}.'");
+            //   return new DefaultAlgoVM();
          }
          vm.is_expanded = is_expanded && vm.can_expand;
          return vm;
@@ -269,7 +269,12 @@ namespace mbts.spark {
 
             void selector_load_impl(AlgoSelectorData sd) {
                var inner_def = sd.get_order(value);
-               if (inner_def.HasValue && inner_def.Value.CustomCase != AlgoType.None) {
+               if (inner_def.HasValue) {
+                  if (security.HasValue) {
+                     inner_def = OrderDataHelper.fit_to_type(inner_def.Value, security.Value.ContractCase);
+                     if (!inner_def.HasValue)
+                        return;
+                  }
                   var ival = inner_def.Value;
                   var vm = sd.selector.algos.GetOrAdd(
                      AlgoKey.from_custom_def(ival),
@@ -312,12 +317,18 @@ namespace mbts.spark {
                }
                AlgoKey key;
                if (security.HasValue) {
+                  init = OrderDataHelper.fit_to_type(init.Value, security.Value.ContractCase);
+                  if (!init.HasValue)
+                     return;
                   key = AlgoKey.from_custom_def(init.Value);
                   child_list.Add(init.Value);
                   for (int i = 1; i < algos.Count; i++) {
                      var child = sd.get_from_impl(algos[i]);
                      if (!child.HasValue || key != AlgoKey.from_custom_def(child.Value))
                         return;
+                     child = OrderDataHelper.fit_to_type(child.Value, security.Value.ContractCase);
+                     if (!child.HasValue)
+                        return;
                      child_list.Add(child.Value);
                   }
                } else {
@@ -361,6 +372,7 @@ namespace mbts.spark {
                   }),
                   c.assign_child);
                }
+               _populate_selectors();
             }
             // local methods
             IDisposable reset() {
@@ -403,19 +415,9 @@ namespace mbts.spark {
          #endregion
 
          #region Auto-Properties (non-child-algo params)
-         protected Property<T> add_property<T>(
-            string prop_name,
-            int target_field_number,
-            T init_value = default,
-            T non_uniform_value = default,
-            bool validate_on_changed = false,
-            AlgoParamPermissions permissions = AlgoParamPermissions.ReadWrite,
-            Func<T, T> to_display_value = null,
-            Func<T, T> from_display_value = null,
-            IObservable<Unit> refresh_display_value = null) {
-            //
+         protected Property<T> add_property<T>(string prop_name, int target_field_number, T init_value = default, T non_uniform_value = default, bool validate_on_changed = false, AlgoParamPermissions permissions = AlgoParamPermissions.ReadWrite) {
             var prop = backing(prop_name, init_value);
-            _on_property_added(prop_name, target_field_number, prop, prop.set, non_uniform_value, validate_on_changed, permissions, to_display_value, from_display_value, refresh_display_value);
+            _on_property_added(prop_name, target_field_number, prop, prop.set, non_uniform_value, validate_on_changed, permissions);
             return prop;
          }
 
@@ -590,25 +592,17 @@ namespace mbts.spark {
             }
          }
 
-         void _on_property_added<T>(string prop_name, int target_field_number, IProperty<T> prop, Action<T> assign_to_prop, T non_uniform_value, bool validate_on_changed, AlgoParamPermissions permissions, Func<T, T> to_display_value = null, Func<T, T> from_display_value = null, IObservable<Unit> refresh_display_value = null) {
+         void _on_property_added<T>(string prop_name, int target_field_number, IProperty<T> prop, Action<T> assign_to_prop, T non_uniform_value, bool validate_on_changed, AlgoParamPermissions permissions) {
             var field_desc = new TMutable().Descriptor.FindFieldByNumber(target_field_number);
-            var param = new AlgoParamVM<T>(prop_name, DisplayNameHelper.snake_to_title_case(prop_name), prop.Value, EqualityComparer<T>.Default, null, to_display_value, from_display_value) {
-               permissions = permissions
-            };
+            var param = new AlgoParamVM<T>(prop_name, DisplayNameHelper.snake_to_title_case(prop_name), prop.Value) { permissions = permissions };
             _algo_params.Add(param);
-            var prop_hook = _link_props(param, prop, assign_to_prop, non_uniform_value, validate_on_changed);
-            if (refresh_display_value != null) {
-               prop_hook = Disposable.Create(
-                  refresh_display_value.Subscribe(_ => param.refresh_display_value()),
-                  prop_hook);
-            }
             _auto_props.Add(new AutoProp(prop_name, mval => {
                if (mval != null && param.has_value)
                   field_desc.Accessor.SetValue(mval, prop.Value);
             },
             mval => assign_to_prop_and_commit(mval == null ? default : ConvertUtils.try_convert<T>(field_desc.Accessor.GetValue(mval))),
             mvals => assign_to_prop_and_commit(mvals.Select(v => ConvertUtils.try_convert<T>(field_desc.Accessor.GetValue(v))).Distinct().SafeSingleOrDefault(non_uniform_value)),
-            prop_hook));
+            _link_props(param, prop, assign_to_prop, non_uniform_value, validate_on_changed)));
             void assign_to_prop_and_commit(T value) {
                assign_to_prop(value);
                param.mark_committed();
@@ -820,6 +814,8 @@ namespace mbts.spark {
             return Disposable.Create(() => {
                if (security != old_sec) {
                   on_security_internal();
+                  if (_editing_permissions.HasFlag(AlgoEditingPermissions.AllowEditStructure))
+                     _populate_selectors();
                   _security_changed?.Invoke(security);
                }
                if (security_md != old_sec_md)
@@ -827,6 +823,21 @@ namespace mbts.spark {
             });
          }
 
+         IDisposable _selector_data_hooks;
+         void _populate_selectors() {
+            if (model != null && security.HasValue) {
+               var algo_data = model.factory.default_algos(security.Value);
+               var default_algo = AlgoKey.from_known_type(OrderDataHelper.get_default_algo(OrderDataHelper.get_algo_format(security.Value.ContractCase)));
+               foreach (var sd in _child_algo_selectors)
+                  sd.load_algo_data_recursive(algo_data, default_algo);
+               Disposable.dispose(ref _selector_data_hooks);
+               _selector_data_hooks = ObservableAutoWrapper.connect_item_hooks(child_algo_selectors, s => {
+                  s.load_algo_data_recursive(algo_data, default_algo);
+                  return Disposable.empty;
+               });
+            }
+         }
+
          class AutoProp : IDisposable {
             public readonly string name;
             public readonly Action<TMutable> assign, load;
@@ -913,7 +924,6 @@ namespace mbts.spark {
          AlgoParamPermissions _permissions = AlgoParamPermissions.ReadWrite;
          IReadOnlyDictionary<AlgoKey, AlgoData> _pending_data;
          AlgoKey? _pending_default;
-         IDisposable _loaded_data_hook;
 
          public AlgoSelector(string id, string display_name) {
             this.id = id;
@@ -975,10 +985,8 @@ namespace mbts.spark {
 
          #region IAlgoParamVM
          IAlgoVM IAlgoParamVM<IAlgoVM>.value { get => selected_algo; set => selected_algo = value; }
-         IAlgoVM IAlgoParamVM<IAlgoVM>.display_value { get => selected_algo; set => selected_algo = value; }
          event PropertyChange<IAlgoVM> IAlgoParamVM<IAlgoVM>.value_changed { add => selected_algo_changed += value; remove => selected_algo_changed -= value; }
          object IAlgoParamVM.value { get => selected_algo; set => selected_algo = (IAlgoVM)value; }
-         object IAlgoParamVM.display_value { get => selected_algo; set => selected_algo = (IAlgoVM)value; }
          bool IAlgoParamVM.has_value => _algo != null;
          // changing child algos is not allowed, so an algo selector is never dirty
          bool IAlgoParamVM.is_dirty => false;
@@ -1010,11 +1018,8 @@ namespace mbts.spark {
 
          void _sync_formats() {
             if (initialized && _pending_data != null) {
-               Disposable.dispose(ref _loaded_data_hook);
-               var data = _pending_data;
-               algos.SyncWithDictionary(data, d => create(d, is_expanded: true));
-               _loaded_data_hook = ObservableAutoWrapper.connect_item_hooks(algos, vm =>
-                  ObservableAutoWrapper.connect_item_actions(vm.child_algo_selectors, s => s.load_algo_data(data, null)));
+               var fmt_algos = _pending_data;
+               algos.SyncWithDictionary(fmt_algos, d => create(d, is_expanded: true));
                if (_algo == null || !algos.ContainsKey(_algo.id)) {
                   if (_pending_default.HasValue && algos.TryGetValue(_pending_default.Value, out IAlgoVM match))
                      selected_algo = match;

src/client/spark/Orders/OrderTypeVMs/SpreaderOrderVM.cs

@@ -138,7 +138,7 @@ namespace mbts.spark {
                new DialogSkirtItem("Save Strategy", commit);
 
             void _ensure_init() {
-               if (_vm == null && _model != null && _template.HasValue && _template.Value.HasSecurity && _template.Value.HasExecutionStrategy) {
+               if (_vm == null && _model != null && _template.HasValue && _template.Value.HasSecurity) {
                   Log.isnull(_save_strategy_item);
                   Log.isnull(_vm_strategy_sub);
                   var tmp = _template.Value;