min cost of a tick

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

.gitignore

@@ -34,7 +34,4 @@ trace_data/
 /doc/user/public/*
 .ionide/*
 /.ignore
-*.rej
-/build
-.clangd/
-*CMakeDeps.cmake
+CMakeDeps.cmake

.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/": "${workspaceRoot}",
             }
-        },
+        },     
         {
             "name": "(gdb) Launch",
             "type": "cppdbg",
@@ -126,11 +99,52 @@
             "externalConsole": true,
             "requireExactSource": false
         },
+            {
+         "name": "sparkcmd Launch",
+         "type": "clr",
+         "request": "launch",
+         "program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
+         "args": [
+            "historical", 
+            "--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"
             ],
@@ -139,6 +153,20 @@
             "externalConsole": true,
             "requireExactSource": 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 +182,18 @@
             "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 +400,24 @@
                 "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 +428,77 @@
                 "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/client/getting-started/install.md

@@ -5,7 +5,7 @@ weight = 10
 
 # C#/.NET
 
-We target [.NET Standard 2.0](https://docs.microsoft.com/en-us/dotnet/standard/net-standard) so you can use .NET Framework 4.6.1+ or .NET Core 2.0+.  Simply add a reference to the [Spark Nuget package](https://www.nuget.org/packages/spark_sdk/) to get started.
+We target [.NET Standard 2.0](https://docs.microsoft.com/en-us/dotnet/standard/net-standard) so you can use .NET Framework 4.6.1+ or .NET Core 2.0+.  Simply add a reference to the [Spark Nuget package](https://nuget.org) to get started.
 
 ```
 dotnet new console -lang c#

doc/api/content/client/getting-started/services.md

@@ -124,17 +124,4 @@ service OrderService {
 ```
 ### C++ Example
 ```cpp
-#include "lib/api/public/ServiceContext.h"
-#include "lib/api/services/OrderService.client.pb.h"
-using namespace bts::api;
-ServiceContext ctx;
-auto orders = ctx.locate<orderman::OrderService>();
-auto unsub = orders.subscribe_fills().subscribe([](const auto& update) {
-  std::cout 
-    << "Added " << update.added().size() << " items, "
-    << "Removed " << update.removed().size() << " items, "
-    << "Updated " << update.updated().size() << " items, "
-    << "Total items " << update.all().size() << std::endl;
-});
-std::this_thread::sleep_for(std::chrono::minutes(5));
 ```

doc/api/content/client/services/marketdata.md

@@ -1,51 +1,3 @@
 +++
 title = "Market Data"
-+++
-
-
-Use the MarketDataService to subscribe enumerate all available securities.
-
-```cs
-using System;
-using System.Threading;
-using bts.api;
-using bts.api.core;
-
-namespace sample {
-   class Program {
-      static void Main(string[] args) {
-         using var context = new ServiceContext();
-         var md = context.locate<MarketDataService>();
-         using var sub = md.subscribe_securities().Subscribe(update => {
-            foreach (var security in update.added) {
-               Console.WriteLine($"Added security {security.Id}: {security.Symbol}");
-            }
-         });
-
-         Thread.Sleep(TimeSpan.FromMinutes(5));
-      }
-   }
-}
-```
-
-```cpp
-#include "lib/api/public/ServiceContext.h"
-#include "spark/lib/domain_model/Security.h"
-#include "lib/api/services/MarketDataService.client.pb.h"
-#include <thread>
-
-using namespace bts::api;
-
-int main(int argc, char** argv) {
-   ServiceContext ctx;
-   auto md_service = ctx.locate<bts::api::MarketDataService>();
-   auto sub = md_service.subscribe_securities().subscribe([](const auto& update) {
-      for (const auto& s : update.added()) {
-         std::cout << "Added security: " << s->id() << ": " << s->symbol() << std::endl;
-      }
-   });
-
-   std::this_thread::sleep_for(std::chrono::minutes(5));
-   return 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/api/templates/index.html

@@ -73,7 +73,7 @@
                             <p>
                                 The Spark client SDK allows you to integrate spark with your existing ecosystem. The Spark Client is built entirely on this simple, powerful API.
                             </p>
-                            <a href="{{ get_url(path="@/client/_index.md") }}" class="button">Get started</a>
+                            <a href="" class="button">Get started</a>
                         </div>
                         
                     </div>

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

@@ -23,7 +23,14 @@ 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
 Global
+	GlobalSection(Performance) = preSolution
+		HasPerformanceSessions = true
+	EndGlobalSection
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
 		Debug|Any CPU = Debug|Any CPU
 		Debug|x64 = Debug|x64
@@ -219,6 +226,50 @@ 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
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE

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/App.xaml.cs

@@ -115,7 +115,7 @@ namespace mbts.ui.shell
       {
          try
          {
-            string path = Environment.GetFolderPath(Environment.SpecialFolder.ApplicationData) + "\\BTS\\stunnel\\";
+            var path = Environment.GetFolderPath(Environment.SpecialFolder.ApplicationData) + "\\BTS\\stunnel\\";
             if (File.Exists(path + "config\\stunnel.conf"))
             {
                uint job_error = BTSUINativeMethods.setup_process_job_object();   
@@ -124,15 +124,6 @@ namespace mbts.ui.shell
                   kill_stunnel();
                start_stunnel(path, job_error);
             }
-            path = AppDomain.CurrentDomain.BaseDirectory + "\\..\\stunnel\\";
-            if (File.Exists(path + "config\\stunnel.conf"))
-            {
-               uint job_error = BTSUINativeMethods.setup_process_job_object();
-               //if we can't put this process and stunnel into a job, try to stop stunnel then restart
-               if (job_error != 0)
-                  kill_stunnel();
-               start_stunnel(path, job_error);
-            }
          }
          catch(Exception ex)
          {

src/client/spark/Daemons/OrderTicketDaemon.cs

@@ -3,13 +3,11 @@ using bts.api.core;
 using bts.api.orderman;
 using bts.spark;
 using mbts;
-using mbts.config;
 using mbts.spark;
 using mbts.ui;
 using mbts.ui.spark;
 using System;
 using System.Collections.Generic;
-using System.Collections.Immutable;
 using System.ComponentModel.Composition;
 using System.Reactive.Linq;
 using System.Windows;
@@ -21,26 +19,20 @@ namespace bts.shell {
       readonly IBus _bus;
       readonly OrdersModel _model;
       readonly ErrorReporter _error_reporter;
-      readonly bool _close_on_send;
       IReadOnlyDictionary<uint, SecurityMD> _md_map;
       TableUpdate<(SecurityImmutable? sec, OrderRecordImmutable order), uint> _orders;
       IDisposable _dispose;
 
       [ImportingConstructor]
-      public OrderTicketDaemon(IBus bus, OrdersModel model, ErrorReporter error_reporter)
-         : this(bus, model, error_reporter, Configuration.get<bts.config.OrderTicketOptions>().close_on_send) { }
-
-      public OrderTicketDaemon(IBus bus, OrdersModel model, ErrorReporter error_reporter, bool close_on_send) {
+      public OrderTicketDaemon(IBus bus, OrdersModel model, ErrorReporter error_reporter) {
          _bus = bus;
          _model = model;
          _error_reporter = error_reporter;
-         _close_on_send = close_on_send;
          _dispose = Disposable.Create(
             model.on_orders.OnDispatcher().Subscribe(o => _orders = o),
             bus.subscribe(SparkTags.SecuritiesTag).OnDispatcher().Subscribe(m =>_md_map = m),
             bus.subscribe(SparkTags.ShowOrderTicketFromSecurityTag).OnDispatcher().Subscribe(_show_order_ticket),
             bus.subscribe(SparkTags.ShowOrderTicketTag).OnDispatcher().Subscribe(_show_order_ticket),
-            bus.subscribe(SparkTags.ShowOrderTicketAutoLookupTag).Subscribe(_show_order_tickets),
             bus.subscribe(SparkTags.ShowModifyOrderTag).OnDispatcher().Subscribe(_show_modify_order)
          );
       }
@@ -62,28 +54,17 @@ namespace bts.shell {
       void _show_order_ticket(SecurityMD smd) =>
          _show_order_window(new OrderTicket {
             DataContext = new NewOrderTicketVM(_model, smd,
-               Observable.Return(LadderSettings.Default)) {
-               close_on_send = _close_on_send
-            }
+               Observable.Return(LadderSettings.Default))
          });
 
       void _show_order_ticket((OrderDefinitionImmutable def, double price, uint size) ops) {
          if (_md_map.TryGetValue(ops.def.SecurityKey, out SecurityMD smd))
             _show_order_window(new OrderTicket {
                DataContext = new NewOrderTicketVM(_model, smd, ops.def, ops.price, ops.size,
-                  Observable.Return(LadderSettings.Default.calculator_buttons)) {
-                  close_on_send = _close_on_send
-               }
+                  Observable.Return(LadderSettings.Default.calculator_buttons))
             });
       }
 
-      void _show_order_tickets(IImmutableSet<uint> securities) {
-         foreach (var id in securities.empty_if_null()) {
-            if (_md_map.TryGetValue(id, out var smd))
-               _show_order_ticket(smd);
-         }
-      }
-
       void _show_modify_order(uint order_key) {
          if (_orders.state.TryGetValue(order_key, out var ori) && ori.sec.HasValue
             && (ori.order.HasDef && ori.order.Def.HasCustomDef && !(ori.order.Def.CustomDef.HasStop || ori.order.Def.CustomDef.HasStopLimit))) {
@@ -97,4 +78,4 @@ namespace bts.shell {
          }
       }
    }
-}
+}

src/client/spark/Images/Icons.cs

@@ -26,8 +26,6 @@ namespace mbts.ui {
          AttachAlgosKey = nameof(AttachAlgosKey),
          CheckMarkGeometryKey = nameof(CheckMarkGeometryKey),
          CopyWFGeometryKey = nameof(CopyWFGeometryKey),
-         CopyBoxesGeometryKey = nameof(CopyBoxesGeometryKey),
-         CurrencyExchangeGeometryKey = nameof(CurrencyExchangeGeometryKey),
          DataEditGeometryKey = nameof(DataEditGeometryKey),
          DetachAlgosKey = nameof(DetachAlgosKey),
          DiskGeometryKey = nameof(DiskGeometryKey),
@@ -47,7 +45,6 @@ namespace mbts.ui {
          KeyGeometryKey = nameof(KeyGeometryKey),
          LetterAKey = nameof(LetterAKey),
          LetterDKey = nameof(LetterDKey),
-         MenuOrientationGeometryKey = nameof(MenuOrientationGeometryKey),
          OrdersGeometryKey = nameof(OrdersGeometryKey),
          PauseGeometryKey = nameof(PauseGeometryKey),
          PaymentGeometryKey = nameof(PaymentGeometryKey),
@@ -65,8 +62,6 @@ namespace mbts.ui {
 
       public static Geometry PlayGeometry => Geometry.Parse(get_geometric_path(PlayGeometryKey).FirstOrDefault() ?? string.Empty);
 
-      static readonly Pen _copy_boxes_pen = new Pen(Brushes.Black, HighDpiExtensions.RoundLayoutValue(5)).frozen();
-
       static readonly string base_uri = "pack://application:,,,/Images/Icons/";
       private static ResourceDictionary _resources = (ResourceDictionary)Application.LoadComponent(new Uri("/Images/Vector/Icons.xaml", UriKind.RelativeOrAbsolute));
 
@@ -161,8 +156,6 @@ namespace mbts.ui {
       public static ImageSource CheckMark => create_icon(CheckMarkGeometryKey);
       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);
@@ -186,7 +179,6 @@ namespace mbts.ui {
       public static ImageSource Import => load_resource_and_freeze("Import");
       public static ImageSource Key => create_icon(KeyGeometryKey);
       public static ImageSource Knight { get { return load_resource_and_freeze("Knight"); } }
-      public static ImageSource MenuOrientation => create_icon(MenuOrientationGeometryKey);
       public static ImageSource Pause => create_icon(PauseGeometryKey);
       public static ImageSource Payment => create_icon(PaymentGeometryKey);
       public static ImageSource Pencil => create_icon(PencilGeometryKey);

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

@@ -46,26 +46,10 @@
     </sys:String>
   </x:Array>
 
-  <x:Array x:Key="{x:Static mbts:Icons.CopyBoxesGeometryKey}" Type="{x:Type sys:String}">
-    <sys:String>
-      M-55,5 L-55,55 L-5,55
-    </sys:String>
-    <sys:String>
-      M-40,-10 L-40,40 L10,40 L10,-10 L-40,-10
-    </sys:String>
-    <sys:String>
-      M-10,10 L40,10 L40,-40 L-10,-40 L-10,10
-    </sys:String>
-  </x:Array>
-
   <sys:String x:Key="{x:Static mbts:Icons.CopyWFGeometryKey}">
     M14.733902,12.084991L9.751783,17.388992 12.982842,17.436005C13.569886,17.462997 14.5229,17.350998 14.876848,17.005005 14.954852,16.929993 15.031879,16.824005 15.02486,16.593002 14.986895,15.457993 14.838883,13.438004 14.733902,12.084991z M22.507753,11.134453C22.480678,11.134323,22.467085,11.135494,22.469961,11.136993L20.64694,11.145004 16.291904,11.192993C16.388891,12.405991 16.596901,15.100998 16.647928,16.539001 16.668924,17.177994 16.448888,17.742004 16.007904,18.168991 15.210897,18.947998 13.893864,19.065002 13.179865,19.065002L9.2818066,19.005005 9.3258129,25.522003 9.3728109,25.528 9.3278271,25.882996 9.3317944,26.395996 9.3107983,26.397995C9.3167797,26.789993,9.3378369,27.552994,9.3958212,29.065994L9.4068075,29.393005C9.4207855,29.819992 9.5648295,29.994995 9.6707884,30.089005 9.9807898,30.365997 10.539817,30.390991 10.717799,30.369003L10.717799,30.375C10.88284,30.354996 11.280855,30.356003 12.823844,30.365997 13.867863,30.371002 15.206869,30.376999 16.594886,30.376999 20.757965,30.376999 23.270998,30.354996 23.862007,30.311005 24.454971,30.268005 24.661029,29.154999 24.690021,28.729996 24.690021,28.729996 24.677997,27.876999 24.661029,26.582993 24.612016,22.671005 24.51198,14.697998 24.472002,12.802002 24.461013,12.302994 24.316969,11.929993 24.034008,11.662003 23.547475,11.200003 22.697284,11.13536 22.507753,11.134453z M8.8867823,2.8410034L2.5417312,10.296997 6.4037791,10.356995C6.8917614,10.390991 8.3258005,10.341003 8.9567896,9.7299957 9.1738335,9.5189972 9.2667919,9.2659912 9.2558046,8.9089966 9.2067934,7.3889923 9.0258213,4.7480011 8.8867823,2.8410034z M10.424826,1.6239929C10.551842,3.302002 10.816799,6.951004 10.876797,8.8560028 10.903836,9.6750031 10.636804,10.360992 10.083818,10.897995 9.0667769,11.882004 7.3527657,11.987991 6.6627546,11.987991 6.4657918,11.987991 6.3367616,11.979004 6.3177796,11.977005L1.6477377,11.905991C1.6387044,14.278992 1.6236895,20.283997 1.6496909,22.358994 1.651705,22.569992 1.6437093,22.780991 1.6366904,22.992004 1.6117265,23.593994 1.5926833,24.112991 1.8537338,24.386002 2.0716933,24.612991 2.6497034,24.886002 4.1457549,24.886002 6.0127832,24.886002 7.0867711,24.876999 7.6967641,24.867004L7.6457993,17.259995 14.853899,9.5849915 16.681924,9.5650024 16.681924,9.5429993 19.454908,9.5289917 19.406934,2.6210022C19.323925,2.3549957,18.960945,1.6239929,17.387928,1.6239929z M9.1738335,0L17.387928,0C19.94692,0,20.874971,1.5299988,21.022983,2.4329987L21.077976,9.5209961 22.446951,9.5139923C22.43395,9.5130005 24.031017,9.4250031 25.148035,10.481995 25.753999,11.054001 26.071996,11.822998 26.092992,12.766998 26.142006,15.065994 26.281044,26.268997 26.307047,28.412003L26.311014,28.764999C26.279029,29.817993 25.750032,31.802002 23.979013,31.931 23.342958,31.977005 20.887972,32 16.683878,32 13.798893,32 11.107818,31.988998 10.808803,31.987991 10.789821,31.990997 9.5147806,32.112 8.6008288,31.309006 8.0858074,30.854996 7.8107797,30.229004 7.7838017,29.444992L7.7728153,29.126999C7.721789,27.759995 7.6978022,26.970993 7.6898061,26.490005 7.0547882,26.5 5.9867817,26.509003 4.1457549,26.509003 2.4377257,26.509003 1.3387128,26.192001 0.68367504,25.509003 -0.055286743,24.742004 -0.017322397,23.742004 0.012707477,22.938004 0.020702986,22.744003 0.028698692,22.559998 0.026684528,22.378998 -0.00029337304,20.240997 0.016674615,13.856995 0.026684528,11.212997L0.026684528,10.867004 0.14167619,10.610992 8.7147823,0.54100037 8.7088009,0.45899963 8.8018194,0.43800354z
   </sys:String>
 
-  <sys:String x:Key="{x:Static mbts:Icons.CurrencyExchangeGeometryKey}">
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-  </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 +264,6 @@
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     </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>
@@ -297,10 +280,6 @@
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   </sys:String>
 
-  <sys:String x:Key="{x:Static mbts:Icons.MenuOrientationGeometryKey}">
-    M14.997001,19.999038L15.000001,23.499012C15.000001,24.327005,14.327008,25,13.500016,25L9.9970522,25 9.9970522,23.000015 13.000022,23.000015 12.997022,20.001038z M9.000001,19.000006L9.000001,30.000006 30.000001,30.000006 30.000001,19.000006z M2,2L2,23 7.000001,23 7.000001,18.500006C7.000001,17.673006,7.6730013,17.000006,8.500001,17.000006L13.000001,17.000006 13.000001,2z M1.5,0L13.500001,0C14.327001,0,15.000001,0.67300034,15.000001,1.5L15.000001,17.000006 26.956518,17.000006 23.162404,13.207182C22.772376,12.816143 22.772376,12.184205 23.162404,11.793225 23.357907,11.597736 23.613928,11.499992 23.869827,11.499992 24.125725,11.499992 24.381502,11.597736 24.576517,11.793225L25.889371,13.105454 25.866285,12.914201C25.554945,10.547287 24.699391,8.7684691 23.308905,7.6089654 21.974919,6.4954615 20.356436,6.1229606 19.066825,6.0297103L19.059648,6.0292783 20.545799,7.5160289C20.936786,7.9070184 20.936786,8.5390015 20.545799,8.929991 20.350807,9.1249857 20.094815,9.2229831 19.838825,9.2229831 19.582834,9.2229831 19.326843,9.1249857 19.131849,8.929991L15.185988,4.9830971 18.981854,1.1871986C19.371841,0.79620934 20.004819,0.79620934 20.395805,1.1871986 20.785791,1.5771885 20.785791,2.2101717 20.395805,2.601161L18.976535,4.020443 18.999199,4.0214248C20.641604,4.1119318 22.785724,4.567862 24.590892,6.0739603 26.493747,7.660778 27.606404,10.054969 27.91277,13.209869L27.913735,13.221022 29.341699,11.793225C29.536714,11.597736 29.792459,11.499992 30.048328,11.499992 30.304196,11.499992 30.560187,11.597736 30.75569,11.793225 31.146694,12.184205 31.146694,12.816143 30.75569,13.207182L26.962552,17.000006 30.500001,17.000006C31.327001,17.000006,32.000001,17.673006,32.000001,18.500006L32.000001,30.500006C32.000001,31.327005,31.327001,32.000006,30.500001,32.000006L8.500001,32.000006C7.6730013,32.000006,7.000001,31.327005,7.000001,30.500006L7.000001,25 1.5,25C0.67300034,25,0,24.327001,0,23.5L0,1.5C0,0.67300034,0.67300034,0,1.5,0z
-  </sys:String>
-
   <sys:String x:Key="{x:Static mbts:Icons.OrdersGeometryKey}">
     M50.14375,33.389126C50.416863,33.394688,50.653496,33.587773,50.705998,33.864617L50.015995,45.114388C49.810295,46.291462,49.130394,45.097489,49.130394,45.097489L47.65659,42.640538C42.747776,49.635197 34.633152,54.221001 25.433924,54.221001 14.884193,54.221001 5.7437552,48.204125 1.2449617,39.419205 0.80087067,38.552021 0.21358696,37.705738 0.052086769,36.736958 -0.49735315,33.490925 3.4507786,32.901036 4.8049124,34.432404 5.3674143,35.067692 6.034036,36.16407 6.5079177,37.026051 10.106778,43.799416 17.2321,48.413819 25.433924,48.413819 32.656544,48.413819 39.026364,44.826695 42.903977,39.351506L40.229367,38.854115C40.229367,38.854115,38.677464,38.647118,39.742466,37.996033L50.024895,33.398526C50.064972,33.391365,50.104733,33.388333,50.14375,33.389126z M23.030291,9.0310004L27.889918,9.0310004 27.889918,13.028299C30.539786,13.205498,32.324932,13.958096,33.464161,14.528294L33.964176,14.775793 32.417435,20.038878 31.706417,19.68068C30.579987,19.11958 28.839241,18.244583 26.149073,18.244583 24.006916,18.244583 22.723183,19.122181 22.723183,20.590876 22.723183,21.894272 23.943314,22.804369 27.551308,24.187165 32.706444,26.124659 34.911,28.702853 34.911,32.817341 34.911,36.892929 32.090527,40.05172 27.673611,40.989117L27.673611,45.540001 22.767485,45.540001 22.767485,41.330414C20.252919,41.155815,17.695551,40.424118,16.101811,39.404721L15.683999,39.137619 17.221739,33.731438 17.969059,34.180634C19.088988,34.851235 21.402748,35.97873 24.340325,35.97873 26.734886,35.97873 28.276728,34.921635 28.276728,33.291336 28.276728,31.986641 27.547409,30.853846 23.986016,29.57255 20.083815,28.144253 16.095511,26.04406 16.095511,21.239174 16.095511,17.280985 18.737379,14.291395 23.030291,13.329098z M25.268765,0C35.819447,2.7347414E-07 44.961449,6.0155495 49.458798,14.804573 49.902695,15.669173 50.490094,16.516972 50.651287,17.48427 51.198281,20.734265 47.255726,21.318962 45.901341,19.789065 45.336346,19.153567 44.669552,18.051968 44.19566,17.19517 40.5957,10.421881 33.473275,5.8072398 25.268765,5.8072393 18.047545,5.8072398 11.678013,9.3918336 7.8003562,14.867073L10.474627,15.367072C10.474627,15.367072,12.026909,15.574172,10.962921,16.223872L0.67933281,20.826762C0.36037083,20.880062,0.057029126,20.669165,0.00099972012,20.354063L0.69093342,9.1118043C0.89552094,7.9296158,1.5738537,9.124924,1.5738539,9.124924L3.0452772,11.583379C7.9566038,4.584462,16.073666,2.7347414E-07,25.268765,0z
   </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/MarketView/MarketViewView.xaml.cs

@@ -48,5 +48,5 @@ namespace mbts.ui.spark {
       }
    }
 
-   class MarketViewRowView : DIYGrid.HighPerformanceRow<MarketViewVM.Row> { }
+   class MarketViewRowView : DIYGrid.HighPerformanceRow<MarketViewVM.Row, MarketViewView.Columns> { }
 }

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

@@ -4,10 +4,10 @@ using bts.shell;
 using bts.shell.fills;
 using bts.spark;
 using bts.utils;
-using bts.view;
 using mbts.persist;
 using mbts.ui;
 using mbts.ui.settings;
+using mbts.ui.shell;
 using mbts.ui.spark;
 using mbts.ui.utility;
 using mbts.utils;
@@ -32,7 +32,6 @@ namespace mbts.spark {
       SecurityCriteria
          _selected_security_criteria_backing,
          _sorted_selected_security_criteria_backing;
-      SparkMenuDisplayVM _menu_display_vm;
 
       public MarketViewWindow(MarketViewWindowFactory factory, IBus bus, OrdersModel orders_model, MarketViewWindowFactory.StartupData state, IWindowSettingsManager<GridSettings> settings_manager)
          : base("Market View", bus, factory, SparkCommands.ShowMarketView.icon) {
@@ -49,9 +48,7 @@ namespace mbts.spark {
       public override UIElement Content => _view;
       public override IEnumerable<SparkCommand> Commands => _commands;
       public override MarketViewWindowFactory.StartupData SaveState =>
-         _state = new MarketViewWindowFactory.StartupData(_state.security_criteria, _vm.get_filter_states(), _vm.get_grid_save_state(), _vm.rows_view.get_sorting_criteria(_vm.columns)) {
-            menu_display = _menu_display_vm.safe_create()
-         };
+         _state = new MarketViewWindowFactory.StartupData(_state.security_criteria, _vm.get_filter_states(), _vm.get_grid_save_state(), _vm.rows_view.get_sorting_criteria(_vm.columns));
 
       public override double MinWidth => MarketViewWindowFactory.StartupData.DefaultGridSettings.columns.Where(c => c.is_visible).Sum(gcs => gcs.width)
          + SPARK_MENU_COLLAPSED_WIDTH
@@ -104,8 +101,6 @@ namespace mbts.spark {
       public void thread_init() {
          _init_guard.check_access();
          Log.notnull(_state);
-         _menu_display_vm = new SparkMenuDisplayVM();
-         _menu_display_vm.load_from(_state.menu_display);
          var state_src = Observable.FromEvent<Action<MarketViewWindowFactory.StartupData>, MarketViewWindowFactory.StartupData>(cb => _state_changed += cb, cb => _state_changed -= cb).StartWith(_state);
          _vm = new MarketViewVM(_bus, _orders_model, state_src, _settings_manager);
          _view = new MarketViewView { DataContext = _vm };
@@ -165,8 +160,7 @@ namespace mbts.spark {
                var dialog = new ShellSettingsDialog { DataContext = vm };
                vm.RequestClose += (s, e) => WindowUtilities.force_close(dialog);
                return dialog;
-            })),
-            _menu_display_vm.spark_cmd
+            }))
          };
          //
          _vm.selection_changed += on_selection_changed;
@@ -196,8 +190,5 @@ namespace mbts.spark {
          _vm.Dispose();
          Commands.OfType<IDisposable>().DisposeAll();
       }
-
-      protected override void OnParentViewCreated(SparkWindowView parent_view) =>
-         _menu_display_vm.safe_bind_to_view(parent_view);
    }
 }

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

@@ -1,7 +1,6 @@
 using bts.api;
 using bts.proto;
 using bts.settings;
-using bts.view;
 using mbts.persist;
 using mbts.spark;
 using mbts.spark.filters;
@@ -54,8 +53,6 @@ namespace bts.shell {
          public readonly FilterStates filters;
          [ProtoMember(4)]
          public GridSettings grid;
-         [ProtoMember(5)]
-         public SparkMenuDisplaySettings menu_display;
 
          public StartupData() { }
 

src/client/spark/Modules/Market/TimeAndSales/Settings/TimeAndSalesFilterStates.cs

@@ -1,36 +0,0 @@
-using mbts.spark.filters;
-using mbts.ui;
-using ProtoBuf;
-using System;
-
-namespace bts.shell.time_and_sales {
-   [ProtoContract]
-   class FilterStates {
-      [ProtoMember(1)]
-      public TimeFilterTuple time;
-      [ProtoMember(2)]
-      public string security;
-      [ProtoMember(3)]
-      public DoubleMinMaxState price;
-      [ProtoMember(4)]
-      public UIntMinMaxState size;
-      // [ProtoMember(5)]
-      // ProtoMember 5 cannot be used further
-      [ProtoMember(6)]
-      public string security_key;
-      [ProtoMember(7)]
-      public co2.AggressorSide[] aggressor_sides;
-   }
-
-   static class TimeAndSalesFilterStatesExtensions {
-      public static Func<TimeAndSalesRowVM, bool> build_predicate(this FilterStates fs) {
-         var pb = new ColumnPredicateBuilder<TimeAndSalesRowVM>();
-         pb.add_regex(fs.security, r => r.security.ToString());
-         pb.add_time_filter(fs.time, r => r.time);
-         pb.add_price(fs.price, r => r.price, r => r.security);
-         pb.add_numeric(fs.size, r => r.size);
-         pb.add_discrete_values(fs.aggressor_sides, r => r.aggressor_side);
-         return pb.to_predicate();
-      }
-   }
-}

src/client/spark/Modules/Market/TimeAndSales/Settings/TimeAndSalesSettings.cs

@@ -1,74 +0,0 @@
-using mbts.spark;
-using mbts.ui;
-using mbts.ui.settings;
-using ProtoBuf;
-using System.Collections.Generic;
-using System.Linq;
-using static mbts.ui.controls.DIYGrid;
-using Columns = bts.shell.time_and_sales.TimeAndSalesView.Columns;
-
-namespace bts.shell.time_and_sales {
-   [ProtoContract]
-   class TimeAndSalesSettings {
-      [ProtoMember(1)]
-      public readonly SecurityCriteria security_criteria;
-      [ProtoMember(2)]
-      List<SortingCriteria> _sorting_criterion;
-      [ProtoMember(3)]
-      public FilterStates filters;
-      [ProtoMember(4)]
-      public GridSettings grid;
-      [ProtoMember(5)]
-      public SparkMenuDisplaySettings menu_display;
-      [ProtoMember(6)]
-      public bool use_defaults;
-
-      public TimeAndSalesSettings() { }
-
-      public TimeAndSalesSettings(SecurityCriteria security_criteria) :
-         this(security_criteria, new FilterStates(), null, null) { }
-
-      public TimeAndSalesSettings(SecurityCriteria security_criteria, FilterStates filters, GridSettings grid = default, List<SortingCriteria> sorting_criterion = null) {
-         this.security_criteria = security_criteria;
-         this.filters = filters;
-         this.grid = grid;
-         _sorting_criterion = sorting_criterion;
-      }
-
-      public static GridSettings DefaultGridSettings => GridSettings.Default.with(DefaultColumns.all, DefaultColumns.default_sorting_criterion);
-
-      public List<SortingCriteria> sorting_criterion => _sorting_criterion ?? (_sorting_criterion = DefaultColumns.default_sorting_criterion.ToList());
-
-      public static TimeAndSalesSettings Default(SecurityCriteria security_criteria) =>
-        new TimeAndSalesSettings(security_criteria, new FilterStates(), null, DefaultColumns.default_sorting_criterion.ToList());
-
-      public TimeAndSalesSettings with(SecurityCriteria security_criteria) =>
-         new TimeAndSalesSettings(security_criteria, filters, grid);
-
-      public static class DefaultColumns {
-         public static GridColumnSettings security => new GridColumnSettings(Columns.Security.col_id(), DefaultColumnHeaders.Security, width: DefaultColumnWidths.Security);
-         public static GridColumnSettings time => new GridColumnSettings(Columns.Time.col_id(), DefaultColumnHeaders.Time, width: DefaultColumnWidths.TimeOfDay);
-         public static GridColumnSettings price => new GridColumnSettings(Columns.Price.col_id(), DefaultColumnHeaders.Price, width: DefaultColumnWidths.Price, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
-         public static GridColumnSettings size => new GridColumnSettings(Columns.Size.col_id(), DefaultColumnHeaders.Size, width: DefaultColumnWidths.Size, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
-         public static GridColumnSettings aggressor => new GridColumnSettings(Columns.Aggressor.col_id(), DefaultColumnHeaders.Aggressor, width: DefaultColumnWidths.Aggressor);
-         public static GridColumnSettings security_key => new GridColumnSettings(Columns.SecurityKey.col_id(), DefaultColumnHeaders.SecurityKey, is_visible: false, width: DefaultColumnWidths.SecurityKey);
-
-         public static IEnumerable<SortingCriteria> default_sorting_criterion {
-            get {
-               yield return new SortingCriteria(time.id, false);
-            }
-         }
-
-         public static IEnumerable<GridColumnSettings> all {
-            get {
-               yield return security;
-               yield return time;
-               yield return price;
-               yield return size;
-               yield return aggressor;
-               yield return security_key;
-            }
-         }
-      }
-   }
-}

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

@@ -1,26 +1,27 @@
 using bts.api;
 using bts.co2;
-using mbts;
 using mbts.co2;
-using mbts.spark;
 using System;
 using System.Collections.Generic;
 using System.Linq;
 using System.Reactive.Linq;
 
-namespace bts.shell.time_and_sales {
+namespace mbts.spark {
    class TimeAndSalesModel : IDisposable {
+      internal readonly SecurityCriteria security_criteria;
+
       static readonly TimeSpan _poll_interval = TimeSpan.FromSeconds(0.4);
       Lazy<IObservable<IReadOnlyList<TradeInfo>>> _trades;
       IDisposable _dispose;
 
-      public TimeAndSalesModel(IBus bus, MDConsumer consumer, IObservable<SecurityCriteria> security_criteria) {
-         var curr_channels = new Dictionary<ChannelKey, ChannelConsumer>();
+      public TimeAndSalesModel(IBus bus, MDConsumer consumer, SecurityCriteria security_criteria) {
+         this.security_criteria = security_criteria;
+         var curr_channels = new Dictionary<ChannelKey, ChannelConsumer>(); 
          _trades = new Lazy<IObservable<IReadOnlyList<TradeInfo>>>(() => Observable.Interval(_poll_interval).Select(_ => {
             var copy = curr_channels;
             return copy.Values.SelectMany(c => c.read_trades()).ToList();
          }));
-         _dispose = security_criteria.SelectManyInSeries(sc =>sc.subscribe_md_map(bus)).Subscribe(
+         _dispose = security_criteria.subscribe_md_map(bus).Subscribe(
             md_map => {
                var copy = new Dictionary<ChannelKey, ChannelConsumer>(curr_channels);
                copy.sync_with_demux(md_map, get_channel_key, get_channel_consumer, update_channel_consumer);
@@ -94,4 +95,4 @@ namespace bts.shell.time_and_sales {
          }
       }
    }
-}
+}

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

@@ -1,62 +0,0 @@
-using bts.api;
-using bts.co2;
-using bts.utils;
-using mbts;
-using mbts.spark;
-using mbts.ui.controls;
-using mbts.ui.shell;
-using mbts.utils;
-using System;
-using System.Collections.Generic;
-
-namespace bts.shell.time_and_sales {
-   class TimeAndSalesRowVM : ViewModelBase, DIYGrid.IRowVM, ISecurityRow, IEquatable<TimeAndSalesRowVM> {
-      // key comparer guarentees deterministic sorting
-      // if the rows in the collection have unique row_keys.
-      public static readonly IComparer<TimeAndSalesRowVM> key_comparer =
-         new ComparerBuilder<TimeAndSalesRowVM>(new[] {
-            Comparer<DateTime>.Default.wrap<DateTime, TimeAndSalesRowVM>(r => r.time),
-            Comparer<int>.Default.wrap<int, TimeAndSalesRowVM>(r => r.row_key)
-         })
-         .to_comparer()
-         .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) {
-         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;
-
-      public int row_key { get; }
-      public uint trade_key { get; }
-      public uint security_key => security.Id;
-      public SecurityImmutable security { get; }
-      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() =>
-         invalidated?.Invoke();
-
-      public bool Equals(TimeAndSalesRowVM other) =>
-         other != null &&
-         row_key == other.row_key;
-
-      public override bool Equals(object obj) =>
-         Equals(obj as TimeAndSalesRowVM);
-
-      public override int GetHashCode() =>
-         row_key;
-   }
-}

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

@@ -1,365 +1,87 @@
 using bts.api;
 using bts.co2;
 using bts.collections;
-using bts.utils;
-using mbts;
+using bts.utils.csv;
 using mbts.persist;
-using mbts.spark;
 using mbts.spark.filters;
 using mbts.ui;
 using mbts.ui.controls;
 using mbts.ui.settings;
-using mbts.ui.shell;
+using mbts.ui.spark;
 using mbts.ui.utility;
-using mbts.utils;
 using System;
 using System.Collections.Generic;
-using System.Collections.Immutable;
 using System.Collections.ObjectModel;
-using System.Diagnostics;
 using System.Linq;
 using System.Reactive.Linq;
-using System.Threading;
-using System.Windows.Controls;
+using System.Threading.Tasks;
 using System.Windows.Input;
 using System.Windows.Media;
+using static bts.shell.TimeAndSalesWindowFactory;
 using static mbts.ui.controls.DIYGrid;
 
-namespace bts.shell.time_and_sales {
-   class TimeAndSalesVM : DisposableViewModelBase, IHandleGridSorting, IHandleRowSelection {
-      const int _max_row_count = 1000;
-      static int _id_counter;
-      static IReadOnlyList<Func<TimeAndSalesVM, IDataGridColumnFilter<TimeAndSalesRowVM>>> _filter_getters =
-         ObjectSnapshot.property_delegates_of_type<TimeAndSalesVM, IDataGridColumnFilter<TimeAndSalesRowVM>>();
+namespace mbts.spark {
+   class TimeAndSalesVM : SecurityGrid<TimeAndSalesVM.Row, TradeInfo> {
+      readonly IBus _bus;
+      readonly TimeAndSalesModel _model;
+      IWindowSettingsManager<GridSettings> _settings_manager;
 
-      readonly ColumnSortManager _sort_manager;
-      readonly RowFactory _row_factory = new RowFactory();
-      readonly LoggerContext _log;
-      readonly IWindowSettingsManager<GridSettings> _settings_manager;
-      readonly DeferrableActionWrapper
-         _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;
-      ImmutableList<TimeAndSalesRowVM> _all_rows = ImmutableList<TimeAndSalesRowVM>.Empty;
-      ImmutableList<TradeInfo> _buffered_trades;
-      /// Although the sorting criteria can be obtained from the <see cref="_sort_manager"/> (<see cref="ColumnSortManager.SortingCriteria"/>),
-      /// a local copy is kept because the settings collector may call <see cref="create"/> from a thread
-      /// other than the dispatcher thread associated with this instance as a viewmodel,
-      /// and the <see cref="ColumnSortManager.SortingCriteria"/> property is not thread-safe.
-      /// Therefore, <see cref="create"/> returns this local copy, and thus avoids accessing the non-thread-safe property.
-      ImmutableList<SortingCriteria> _sorting_criteria = ImmutableList<SortingCriteria>.Empty;
-      TimeAndSalesRowVM _current_row;
-      bool _is_paused;
-      int
-         _load_settings_count,
-         _filter_change_count,
-         _sort_change_count;
 
-      public TimeAndSalesVM(IWindowSettingsManager<GridSettings> settings_manager, Func<SecurityImmutable?, uint> get_display_qty_divisor) {
-         _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);
+      public TimeAndSalesVM(IBus bus, IWindowSettingsManager<GridSettings> settings_manager, TimeAndSalesModel model, StartupData startup_data)
+         : base(RXCollection.CreateBuffer(model.trades, 1000), Enumerable.Empty<SortingCriteria>()) {
+         _bus = bus;
+         _model = model;
          _settings_manager = settings_manager;
-         // deferrable filter/sort refresh
-         _refresh_filter = new DeferrableActionWrapper(_refresh_filter_impl);
-         _refresh_sort = new DeferrableActionWrapper(_refresh_sort_impl);
-         _refresh_selected_rows = new DeferrableActionWrapper(() => selected_rows_changed?.Invoke(_selected_rows));
-         // grid settings
-         grid_settings_manager = new SimpleGridSettingsManager<TimeAndSalesRowVM>(columns, new Dictionary<string, GridColumnSettingsFeatureFlags> { }, rows);
-         grid_settings_manager.load_from(settings_manager.current_settings());
-         // Columns
-         add_column(
-            TimeAndSalesView.Columns.Security,
-            r => r.security.ToString(),
-            DefaultColumnHeaders.Security,
-            DefaultColumnWidths.Security,
-            security_filter,
-            DataGridFilterKnownTemplates.Regex);
-         add_column(
-            TimeAndSalesView.Columns.Time,
-            r => r.time.ToString("h:mm:ss tt"),
-            DefaultColumnHeaders.Time,
-            DefaultColumnWidths.Time,
-            time_filter,
-            DataGridFilterKnownTemplates.TimeFilter);
-         add_column(
-            TimeAndSalesView.Columns.Price,
-            r => r.security.spec_or_default().format(r.price),
-            DefaultColumnHeaders.Price,
-            DefaultColumnWidths.Price,
-            price_filter,
-            DataGridFilterKnownTemplates.DoubleMinMax,
-            System.Windows.HorizontalAlignment.Right);
-         add_column(
-            TimeAndSalesView.Columns.Size,
-            r => r.display_size.ToString(),
-            DefaultColumnHeaders.Size,
-            DefaultColumnWidths.Size,
-            size_filter,
-            DataGridFilterKnownTemplates.UIntMinMax,
-            System.Windows.HorizontalAlignment.Right);
-         add_column(
-            TimeAndSalesView.Columns.Aggressor,
-            r => r.aggressor_side.ToString(),
-            DefaultColumnHeaders.Aggressor,
-            DefaultColumnWidths.Aggressor,
-            aggressor_filter,
-            DataGridFilterKnownTemplates.EnumValues);
-         add_column(
-            TimeAndSalesView.Columns.SecurityKey,
-            r => r.security_key.ToString(),
-            DefaultColumnHeaders.SecurityKey,
-            DefaultColumnWidths.SecurityKey,
-            security_key_filter,
-            DataGridFilterKnownTemplates.Regex);
-
-         settings_manager.subscribe_current().OnDispatcher().Subscribe(grid_settings_manager);
-         // commands
-         show_ladder_cmd = new DelegateCommand(() => {
-            if (current_row != null)
-               request_show_ladder?.Invoke(current_row);
-         });
-         // init IDisposable resources
-         var resources = new List<IDisposable>();
-         resources.AddRange(_filters.Select(f => {
-            f.filter_changed += _refresh_filter.execute;
-            return Disposable.Create(() => f.filter_changed -= _refresh_filter.execute);
-         }));
-         _sort_manager.active_sorting_changed += _refresh_sort.execute;
-         resources.Add(Disposable.Create(() => _sort_manager.active_sorting_changed -= _refresh_sort.execute));
-         _dispose = Disposable.Create(resources.ToArray());
-         // local methods
-         void add_column(
-            TimeAndSalesView.Columns col_key,
-            Func<TimeAndSalesRowVM, string> get_cell_text,
-            string header,
-            double width,
-            IDataGridColumnFilter filter,
-            string filter_template,
-            System.Windows.HorizontalAlignment h_alignment = System.Windows.HorizontalAlignment.Left) =>
-            columns.Add(new RenderTextColumn<TimeAndSalesRowVM, TimeAndSalesView.Columns>(
-               col_key, get_cell_text, filter, filter_template, _get_aggressor_brush) {
-               id = col_key.col_id(), Header = header, Width = width, horizontal_alignment = h_alignment
-            }
-         );
-      }
-
-      public event Action<ImmutableHashSet<TimeAndSalesRowVM>> selected_rows_changed;
-      public event Action<TimeAndSalesRowVM> current_row_changed, request_show_ladder;
-
-      public ObservableCollection<ColumnBase> columns { get; } = new ObservableCollection<ColumnBase>();
-      public TimeAndSalesRowVM current_row {
-         get => _current_row;
-         set {
-            if (Set(ref _current_row, value))
-               current_row_changed?.Invoke(value);
-         }
-      }
-      public ObservableCollection<TimeAndSalesRowVM> rows { get; } = new ObservableCollection<TimeAndSalesRowVM>();
-      public ImmutableHashSet<TimeAndSalesRowVM> selected_rows => _selected_rows;
-      public int total_row_count => _all_rows.Count;
-      public SimpleGridSettingsManager<TimeAndSalesRowVM> grid_settings_manager { get; }
-      public bool is_paused {
-         get => _is_paused;
-         set {
-            if (_is_paused != value) {
-               _is_paused = value;
-               if (value) {
-                  _buffered_trades = ImmutableList<TradeInfo>.Empty;
-               } else {
-                  var resume = _buffered_trades;
-                  _buffered_trades = null;
-                  on_new_trades(resume);
-               }
-            }
-         }
-      }
-      // filters
-      public IDataGridColumnPersistentFilter<TimeAndSalesRowVM, TimeFilterTuple> time_filter { get; } = new TimeFilterVM<TimeAndSalesRowVM>(r => r.time);
-      public IDataGridColumnPersistentFilter<TimeAndSalesRowVM, string> security_filter { get; } = new RegexFilterVM<TimeAndSalesRowVM>(r => r.security.ToString(), nameof(TimeAndSalesRowVM.security));
-      public IDataGridColumnPersistentFilter<TimeAndSalesRowVM, DoubleMinMaxState> price_filter { get; } = new DoubleMinMax<TimeAndSalesRowVM>(r => r.price);
-      public IDataGridColumnPersistentFilter<TimeAndSalesRowVM, UIntMinMaxState> size_filter { get; } = new UIntMinMax<TimeAndSalesRowVM>(r => r.size, nameof(TimeAndSalesRowVM.size));
-      public IDataGridColumnPersistentFilter<TimeAndSalesRowVM, AggressorSide[]> aggressor_filter { get; } = DiscreteValuesFilterVM.Create<TimeAndSalesRowVM, AggressorSide>(EnumHelper.get_values<AggressorSide>().ToArray(), r => r.aggressor_side);
-      public IDataGridColumnPersistentFilter<TimeAndSalesRowVM, string> security_key_filter { get; } = new RegexFilterVM<TimeAndSalesRowVM>(r => r.security_key.ToString());
-      // commands
-      public ICommand show_ladder_cmd { get; }
-
-      IComparer<TimeAndSalesRowVM> _comparer {
-         get => _comparer_backing;
-         set {
-            if (value == null) {
-               _log.warn("Comparer should not be set to null, will use the default comparer instead (based on trade time, then row key).");
-               _comparer_backing = new ComparerBuilder<TimeAndSalesRowVM>(new[] {
-                  Comparer<DateTime>.Default.wrap<DateTime, TimeAndSalesRowVM>(r => r.time),
-                  Comparer<int>.Default.wrap<int, TimeAndSalesRowVM>(r => r.row_key)
-               })
-               .to_comparer()
-               .to_safe();
-            } else {
-               _comparer_backing = value;
-            }
-            var sorted_rows = rows.ToArray();
-            var snapshot = _selected_rows;
-            Array.Sort(sorted_rows, _comparer_backing);
-            using (_refresh_selected_rows.defer_execution()) {
-               for (int i = 0; i < sorted_rows.Length; i++) {
-                  if (rows[i].row_key != sorted_rows[i].row_key)
-                     rows[i] = sorted_rows[i];
-               }
-            }
-         }
-      }
-
-      Func<TimeAndSalesRowVM, bool> _filter {
-         get => _filter_backing;
-         set {
-            var old_filter = _filter_backing;
-            var new_filter = value;
-            _filter_backing = new_filter;
-            if (new_filter != null) {
-               for (int i = 0; i < rows.Count; i++) {
-                  if (!new_filter(rows[i]))
-                     rows.RemoveAt(i);
-               }
-               rows.RemoveWhere(r => !new_filter(r));
-               if (old_filter != null) {
-                  foreach (var r in _all_rows) {
-                     if (!old_filter(r) && new_filter(r))
-                        rows.InsertSorted(r, _comparer);
-                  }
-               }
-            } else if (old_filter != null) {
-               foreach (var r in _all_rows) {
-                  if (!old_filter(r))
-                     rows.InsertSorted(r, _comparer);
-               }
-            }
-         }
-      }
-
-      IEnumerable<IDataGridColumnFilter<TimeAndSalesRowVM>> _filters =>
-         _filter_getters.Select(fn => fn(this));
-
-      public (FilterStates filters, IReadOnlyList<SortingCriteria> sorting_criteria, GridSettings grid_settings) create() =>
-         (_get_filter_states(), _sorting_criteria, grid_settings_manager.create());
-
-      public void load(FilterStates filters, IEnumerable<SortingCriteria> sorting_criteria, GridSettings grid_settings) {
-         using (_refresh_filter.defer_execution())
-         using (_refresh_sort.defer_execution()) {
-            _log.info($"begin load settings ({++_load_settings_count})...");
-            var timer = new Stopwatch();
-            timer.Start();
-            grid_settings_manager.load_from(grid_settings);
-            _sort_manager.SortingCriteria = sorting_criteria;
-            // load filters
+         show_ladder = DelegateCommandParamObserver.Create(current_row_observable, r => _show_ladder_async(r).ignore(), r => r != null);
+         security_filter = new RegexFilterVM<Row>(r => r.security.ToString(), nameof(Row.security));
+         if (startup_data.filters is FilterStates filters) {
             time_filter.load_state(filters.time);
             security_filter.load_state(filters.security);
             price_filter.load_state(filters.price);
             size_filter.load_state(filters.size);
             aggressor_filter.load_state(filters.aggressor_sides);
             security_key_filter.load_state(filters.security_key);
-            //
-            timer.Stop();
-            _log.info($"load settings ({_load_settings_count}) took {timer.ElapsedMilliseconds:0.00}ms.");
          }
+         // Columns
+         add_column(TimeAndSalesView.Columns.Security, DefaultColumnHeaders.Security, DefaultColumnWidths.Security, nameof(Row.security), security_filter, DataGridFilterKnownTemplates.Regex);
+         add_column(TimeAndSalesView.Columns.Time, DefaultColumnHeaders.Time, DefaultColumnWidths.Time, nameof(Row.time), time_filter, DataGridFilterKnownTemplates.TimeFilter);
+         add_column(TimeAndSalesView.Columns.Price, DefaultColumnHeaders.Price, DefaultColumnWidths.Price, nameof(Row.price), price_filter, DataGridFilterKnownTemplates.DoubleMinMax, System.Windows.HorizontalAlignment.Right);
+         add_column(TimeAndSalesView.Columns.Size, DefaultColumnHeaders.Size, DefaultColumnWidths.Size, nameof(Row.size), size_filter, DataGridFilterKnownTemplates.UIntMinMax, System.Windows.HorizontalAlignment.Right);
+         add_column(TimeAndSalesView.Columns.Aggressor, DefaultColumnHeaders.Aggressor, DefaultColumnWidths.Aggressor, nameof(Row.aggressor_side), aggressor_filter, DataGridFilterKnownTemplates.EnumValues);
+         add_column(TimeAndSalesView.Columns.SecurityKey, DefaultColumnHeaders.SecurityKey, DefaultColumnWidths.SecurityKey, nameof(Row.security_key), security_key_filter, DataGridFilterKnownTemplates.Regex);
+         void add_column(TimeAndSalesView.Columns col_key, string header, double width, string sort_member_path, IDataGridColumnFilter filter, string filter_template, System.Windows.HorizontalAlignment h_alignment = System.Windows.HorizontalAlignment.Left) =>
+            columns.Add(new RenderTextColumn<Row, TimeAndSalesView.Columns>(col_key, r => r[col_key], filter, filter_template, r => _get_aggressor_brush(r))
+            { id = col_id(col_key), Header = header, Width = width, sort_member_path = sort_member_path, horizontal_alignment = h_alignment  }
+         );
+
+         // be sure to load GridSettings AFTER the columns collection has been populated, the grid settings manager looks columns by id to apply the appropriate settings,
+         // if the collection is not populated, the column settings will not be applied
+         grid_settings_manager = new SimpleGridSettingsManager<Row>(columns, new Dictionary<string, GridColumnSettingsFeatureFlags> { }, row_vms);
+         grid_settings_manager.load_from(settings_manager.current_settings());
+         _resources.AddRange(
+            show_ladder,
+            DataGridFilterHelper.hook_filters(
+               rows_view, time_filter, security_filter, price_filter, size_filter, aggressor_filter, security_key_filter),
+            settings_manager.subscribe_current().OnDispatcher().Subscribe(grid_settings_manager)
+          );
+         rows_view.set_sort_descriptions(startup_data.sorting_criterion, columns);
       }
 
-      public void on_new_trades(IReadOnlyList<TradeInfo> trades) {
-         /// The total row count is limited by <see cref="_max_row_count"/>;
-         /// trades are kept in a circular buffer (FIFO).
-         /// If paused, just need to add trades to <see cref="_buffered_trades"/>.
-         if (is_paused) {
-            if (_buffered_trades == null)
-               _buffered_trades = ImmutableList<TradeInfo>.Empty;
-            if (trades.Count >= _max_row_count) {
-               _buffered_trades = _buffered_trades
-                  .Clear()
-                  .AddRange(ReadOnlyListSubRangeWrapper.Create(trades, trades.Count - _max_row_count, _max_row_count));
-            } else {
-               int overflow_count = _buffered_trades.Count + trades.Count - _max_row_count;
-               if (overflow_count > 0) {
-                  var rows_to_remove = _buffered_trades.WrapSubRange(0, overflow_count);
-                  _buffered_trades = _buffered_trades.RemoveRange(0, overflow_count);
-               }
-               _buffered_trades = _buffered_trades.AddRange(trades);
-            }
-            return;
-         }
-         /// If not paused, update in the normal fasion:
-         /// add to <see cref="_all_rows"/> and <see cref="rows"/>
-         if (trades.Count >= _max_row_count) {
-            trades = ReadOnlyListSubRangeWrapper.Create(trades, trades.Count - _max_row_count, _max_row_count);
-            _all_rows = _all_rows.Clear();
-            rows.Clear();
-         } else {
-            int overflow_count = _all_rows.Count + trades.Count - _max_row_count;
-            if (overflow_count > 0) {
-               var rows_to_remove = _all_rows.WrapSubRange(0, overflow_count);
-               _all_rows = _all_rows.RemoveRange(0, overflow_count);
-               rows.RemoveSorted(rows_to_remove, _comparer);
-            }
-         }
-         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);
-            all_rows_bd.Add(r);
-            if (_filter_backing == null || _filter_backing(r))
-               rows.InsertSorted(r, _comparer);
-         }
-         _all_rows = all_rows_bd.ToImmutable();
-         RaisePropertyChanged(nameof(total_row_count));
+      public ObservableCollection<DIYGrid.ColumnBase> columns { get; } = new ObservableCollection<DIYGrid.ColumnBase>();
+      public DelegateCommandParamObserver<Row> show_ladder { get; }
+      public SimpleGridSettingsManager<Row> grid_settings_manager { get; }
+
+      public GridSettings get_grid_save_state() {
+         if (_settings_manager.instance_settings == null)
+            return null;
+         else
+            return grid_settings_manager.create();
       }
 
-      public void on_sorting(object sender, DIYGridSortingEventArgs e) {
-         try {
-            if (e.Column is ISortableDIYGridColumn sc) {
-               _log.info($"handling sort event for column {sc.id}.");
-               _sort_manager.OnColumnClick(sc, KeyboardExtensions.IsShiftDown());
-               var sorted_rows = rows.ToArray();
-               var snapshot = _selected_rows;
-               _refresh_sort_impl();
-            } else {
-               _log.warn($"ignoring sort event because column '{e.Column?.id}' does not implement {nameof(ISortableDIYGridColumn)}.");
-            }
-         } catch (Exception ex) {
-            _log.error($"error handling sort event: {ex}.");
-         }
-      }
+      public StartupData create() =>
+         new StartupData(_model.security_criteria, _get_filter_states(), get_grid_save_state(), rows_view.get_sorting_criteria(columns));
 
-      public void row_selection_changed(SelectionChangedEventArgs e) {
-         var bd = _selected_rows.ToBuilder();
-         if (e.AddedItems != null)
-            bd.AddRange(e.AddedItems.OfType<TimeAndSalesRowVM>());
-         if (e.RemovedItems != null)
-            bd.removeRange(e.RemovedItems.OfType<TimeAndSalesRowVM>());
-         _selected_rows = bd.ToImmutable();
-         _refresh_selected_rows.execute();
-      }
-
-      static IComparer<TimeAndSalesRowVM> _get_column_comparer(string column_name) =>
-         _get_column_comparer(EnumHelper.parse<TimeAndSalesView.Columns>(column_name));
-
-      static IComparer<TimeAndSalesRowVM> _get_column_comparer(TimeAndSalesView.Columns column) {
-         switch (column) {
-            case TimeAndSalesView.Columns.Aggressor: return wrap(r => r.aggressor_side);
-            case TimeAndSalesView.Columns.Time: return wrap(r => r.time);
-            case TimeAndSalesView.Columns.Security: return wrap(r => r.security);
-            case TimeAndSalesView.Columns.Price: return wrap(r => r.price);
-            case TimeAndSalesView.Columns.Size: return wrap(r => r.size);
-            case TimeAndSalesView.Columns.SecurityKey: return wrap(r => r.security_key);
-            case TimeAndSalesView.Columns.RowKey: return wrap(r => r.row_key);
-            default: throw ExceptionBuilder.Argument.unexpected_case(column, nameof(column));
-         }
-         IComparer<TimeAndSalesRowVM> wrap<T>(Func<TimeAndSalesRowVM, T> selector) =>
-            Comparer<T>.Default.wrap(selector);
-      }
-
-      Brush _get_aggressor_brush(TimeAndSalesRowVM r) {
+      private Brush _get_aggressor_brush(Row r) {
          BTSColor c;
          Brush b;
          if (r.aggressor_side == AggressorSide.Buy) c = BTSColors.MarketData.bid;
@@ -369,6 +91,14 @@ namespace bts.shell.time_and_sales {
          return b;
       }
 
+      #region Filters
+      public IDataGridColumnPersistentFilter<Row, TimeFilterTuple> time_filter { get; } = new TimeFilterVM<Row>(r => r.time, nameof(Row.time));
+      public IDataGridColumnPersistentFilter<Row, string> security_filter { get; }
+      public IDataGridColumnPersistentFilter<Row, DoubleMinMaxState> price_filter { get; } = new DoubleMinMax<Row>(r => r.price, nameof(Row.price));
+      public IDataGridColumnPersistentFilter<Row, UIntMinMaxState> size_filter { get; } = new UIntMinMax<Row>(r => r.size, nameof(Row.size));
+      public IDataGridColumnPersistentFilter<Row, AggressorSide[]> aggressor_filter { get; } = DiscreteValuesFilterVM.Create<Row, AggressorSide>(EnumHelper.get_values<AggressorSide>().ToArray(), r => r.aggressor_side, nameof(Row.aggressor_side));
+      public IDataGridColumnPersistentFilter<Row, string> security_key_filter { get; } = new RegexFilterVM<Row>(r => r.security_key.ToString(), nameof(Row.security_key));
+
       FilterStates _get_filter_states() =>
          new FilterStates {
             time = time_filter.get_state(),
@@ -378,35 +108,86 @@ namespace bts.shell.time_and_sales {
             security_key = security_key_filter.get_state(),
             aggressor_sides = aggressor_filter.get_state()
          };
+      #endregion
 
-      void _refresh_sort_impl() {
-         _log.info($"begin change sort ({++_sort_change_count})...");
-         var timer = new Stopwatch();
-         timer.Start();
-         _comparer = _sort_manager.BuildComparer(_get_column_comparer, TimeAndSalesRowVM.key_comparer);
-         _sorting_criteria = ImmutableList.CreateRange(_sort_manager.SortingCriteria);
-         timer.Stop();
-         _log.info($"sort change ({_sort_change_count}) took {timer.ElapsedMilliseconds:0.00}ms.");
+      protected override IEnumerable<SortingCriteria> get_default_sorting() {
+         yield return new SortingCriteria(nameof(Row.time), false);
       }
 
-      void _refresh_filter_impl() {
-         _log.info($"begin change filter ({++_filter_change_count})...");
-         var timer = new Stopwatch();
-         timer.Start();
-         _filter = _get_filter_states().build_predicate();
-         timer.Stop();
-         _log.info($"filter change ({_filter_change_count}) took {timer.ElapsedMilliseconds:0.00}ms.");
+      protected override Row row_factory(TradeInfo row_model) =>
+         new Row(this, row_model.security, row_model.trade);
+
+
+      async Task _show_ladder_async(Row row) {
+         var smd_lookup = await SparkUtils.get_security_md_async(_bus, row.security.Id);
+         if (smd_lookup.success) _bus.post(SparkTags.ShowLadderTag, smd_lookup.result);
       }
 
-      class RowFactory {
-         // the row key must be unique to each row in the collection
-         int _row_id_counter;
+      public class Row : SecurityRow, DIYGrid.IRowVM {
+         readonly uint _trade_key;
 
-         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);
+         readonly string
+            _security_text,
+            _time_text,
+            _price_text,
+            _size_text,
+            _aggressor_text,
+            _trade_key_text,
+            _security_key_text;
 
-         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 Row(TimeAndSalesVM parent, SecurityImmutable security, TradeMessageImmutable trade) : base(security) {
+            _trade_key = trade.Key;
+            time = ((ulong)trade.Time).lldatetime().ToLocalTime();
+            price = trade.price();
+            size = trade.Size;
+            aggressor_side = trade.AggressorSide;
+            show_ladder = new DelegateCommand(() => parent._show_ladder_async(this).ignore());
+            _security_text = security.ToString();
+            _time_text = time.ToString("M/d h:mm:ss tt");
+            _price_text = security.ContractSpec.format(price);
+            _size_text = size.ToString();
+            _aggressor_text = aggressor_side.ToString();
+            _trade_key_text = _trade_key.ToString();
+            _security_key_text = security_key.ToString();
+         }
+
+         public event Action invalidated;
+
+         public uint trade_key => _trade_key;
+         public DateTime time { get; }
+         public double price { get; }
+         public uint size { get; }
+         public AggressorSide aggressor_side { get; }
+         public ICommand show_ladder { get; }
+
+         public string this[TimeAndSalesView.Columns col] {
+            get {
+               switch (col) {
+                  case TimeAndSalesView.Columns.Security: return _security_text;
+                  case TimeAndSalesView.Columns.Time: return _time_text;
+                  case TimeAndSalesView.Columns.Price: return _price_text;
+                  case TimeAndSalesView.Columns.Size: return _size_text;
+                  case TimeAndSalesView.Columns.Aggressor: return _aggressor_text;
+                  case TimeAndSalesView.Columns.SecurityKey: return _security_key_text;
+                  default: return null;
+               }
+            }
+         }
+
+         public static System.Collections.Specialized.OrderedDictionary csv_ordered_properties =>
+            CsvHelper.create_ordering_maintainer(
+               typeof(TimeAndSalesVM.Row),
+               new string[] {
+                  nameof(security),
+                  nameof(time),
+                  nameof(price),
+                  nameof(size),
+                  nameof(aggressor_side),
+                  nameof(security_key),
+               });
+
+
+         public void raise_invalidated() => invalidated?.Invoke();
       }
    }
-}
+}

src/client/spark/Modules/Market/TimeAndSales/TimeAndSalesView.xaml

@@ -1,10 +1,10 @@
 <UserControl
-  x:Class="bts.shell.time_and_sales.TimeAndSalesView"
+  x:Class="mbts.ui.spark.TimeAndSalesView"
   x:ClassModifier="internal"
   xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
   xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
   xmlns:c="clr-namespace:mbts.ui.controls"
-  xmlns:tas="clr-namespace:bts.shell.time_and_sales"
+  xmlns:usp="clr-namespace:mbts.ui.spark"
   FocusManager.IsFocusScope="True"
   Background="{StaticResource CommonBackground}"
 >
@@ -26,14 +26,13 @@
         x:Name="_grid"
         Grid.Row="0"
         Columns="{Binding columns}" 
-        Rows="{Binding rows}"
+        Rows="{Binding rows_view}"
         CurrentRow="{Binding current_row}"
         SelectionHighlight="{Binding grid_settings_manager.selection_highlight, Mode=OneWay}"
-      >
+        >
         <c:DIYGrid.InputBindings>
-          <MouseBinding MouseAction="LeftDoubleClick" Command="{Binding show_ladder_cmd}"/>
-          <KeyBinding Key="Return" Command="{Binding show_ladder_cmd}"/>
-          <KeyBinding Key="A" Modifiers="Ctrl" Command="{Binding select_all_cmd}"/>
+          <MouseBinding MouseAction="LeftDoubleClick" Command="{x:Static c:DIYGrid.DefaultRowCommand}"/>
+          <KeyBinding Key="Return" Command="{x:Static c:DIYGrid.DefaultRowCommand}"/>
         </c:DIYGrid.InputBindings>
         <c:DIYGrid.CommandBindings>
           <CommandBinding
@@ -44,18 +43,13 @@
         </c:DIYGrid.CommandBindings>
         <c:DIYGrid.RowTemplate>
           <DataTemplate>
-            <tas:TimeAndSalesRowView/>
+            <usp:TimeAndSalesRowView/>
           </DataTemplate>
         </c:DIYGrid.RowTemplate>
       </c:DIYGrid>
       <StatusBar Grid.Row="1" DockPanel.Dock="Bottom">
         <StatusBarItem HorizontalAlignment="Right">
-          <TextBlock>
-            <Run Text="Trades:"/>
-            <Run Text="{Binding rows.Count, Mode=OneWay}" />
-            <Run Text="of"/>
-            <Run Text="{Binding total_row_count, Mode=OneWay}" />
-          </TextBlock>
+          <TextBlock Text=" "/>
         </StatusBarItem>
       </StatusBar>      
     </Grid>

src/client/spark/Modules/Market/TimeAndSales/TimeAndSalesView.xaml.cs

@@ -1,21 +1,17 @@
-using mbts.ui.controls;
+using mbts.spark;
+using mbts.ui.controls;
 using System.Windows.Controls;
 
-namespace bts.shell.time_and_sales {
+namespace mbts.ui.spark {
    /// <summary>
    /// Interaction logic for TimeAndSalesView.xaml
    /// </summary>
    partial class TimeAndSalesView : UserControl {
-      public enum Columns { Time, Security, Price, Size, SecurityKey, Aggressor, RowKey }
+      public enum Columns { Time, Security, Price, Size, OrderType, SecurityKey, Aggressor }
 
       public TimeAndSalesView() =>
          InitializeComponent();
    }
 
-   class TimeAndSalesRowView : DIYGrid.HighPerformanceRow<TimeAndSalesRowVM> { }
-
-   static class TimeAndSalesViewColumnsExtensions {
-      public static string col_id(this TimeAndSalesView.Columns column) =>
-         column.ToString();
-   }
-}
+   class TimeAndSalesRowView : DIYGrid.HighPerformanceRow<TimeAndSalesVM.Row, TimeAndSalesView.Columns> { }
+}

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

@@ -1,225 +1,127 @@
-using bts.api;
+using bts;
+using bts.api;
+using bts.shell;
 using bts.shell.fills;
 using bts.spark;
-using bts.view;
-using mbts;
+using bts.utils.csv;
 using mbts.co2;
 using mbts.persist;
-using mbts.spark;
 using mbts.ui;
 using mbts.ui.settings;
+using mbts.ui.shell;
 using mbts.ui.spark;
 using mbts.ui.utility;
 using mbts.utils;
 using System;
 using System.Collections.Generic;
-using System.Collections.Immutable;
 using System.Linq;
 using System.Reactive.Linq;
 using System.Windows;
 using System.Windows.Media;
+using static bts.shell.TimeAndSalesWindowFactory;
 
-namespace bts.shell.time_and_sales {
-   class TimeAndSalesWindow : SparkWindow<TimeAndSalesSettings>, ISharedWindow {
+namespace mbts.spark {
+   class TimeAndSalesWindow : SparkWindow<StartupData>, ISharedWindow {
       const string _window_type = "TimeAndSales", _window_type_display_name = "Time And Sales";
       readonly MDConsumer _consumer;
       readonly TimeAndSalesWindowFactory _factory;
       readonly IWindowSettingsManager<GridSettings> _settings_manager;
-      readonly bool _can_pause_updates;
-      readonly Func<SecurityImmutable?, uint> _get_display_qty_divisor;
-      TimeAndSalesVM _vm;
+      SingleValuePump<TimeAndSalesVM> _vm;
       TimeAndSalesModel _model;
-      SecurityCriteria _security_criteria_backing;
-      TimeAndSalesSettings _state;
+      StartupData _state;
       TimeAndSalesView _view;
       SparkCommand[] _commands;
-      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, StartupData state, ImageSource icon, IWindowSettingsManager<GridSettings> settings_manager)
          : 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;
+         _state = state;
          _settings_manager = settings_manager;
-         _can_pause_updates = can_pause_updates;
-         thread_id = mbts.config.Configuration.get<bts.config.MultiThreadedWindows>().time_and_sales ? _window_type : null;
          Icon.Freeze();
       }
 
-      event Action<SecurityCriteria> _security_criteria_changed;
-
       public override string window_type => _window_type;
       public override IEnumerable<SparkCommand> Commands => _commands;
       public override UIElement Content => _view;
-      public override double MinWidth => TimeAndSalesSettings.DefaultGridSettings.columns.Sum(gcs => gcs.width)
+      public override double MinWidth => StartupData.DefaultGridSettings.columns.Sum(gcs => gcs.width)
          + SPARK_MENU_COLLAPSED_WIDTH
          + LAUNCHER_BUTTON_BORDER_WIDTH
          + EXTRA_FOR_NO_HORIZONTAL_SCROLLBAR_WIDTH;
       public string thread_id { get; }
-      public override TimeAndSalesSettings SaveState {
-         get {
-            _ensure_state(true);
-            return _state;
-         }
-      }
-
-      SecurityCriteria _security_criteria {
-         get => _security_criteria_backing;
-         set {
-            _security_criteria_backing = value;
-            _state = null;
-            _security_criteria_changed?.Invoke(value);
-         }
-      }
+      public override StartupData SaveState => _state = _vm.value.create();
 
       public override void Dispose() =>
          _dispose_resources();
 
       public void thread_init() {
          _dispose_resources();
-         _ensure_state();
-         if (!_state.use_defaults)
-            _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);
-         var selected_rows_src = Observable.Create<ImmutableHashSet<TimeAndSalesRowVM>>(o => {
-            _vm.selected_rows_changed += o.OnNext;
-            return Disposable.Create(() => _vm.selected_rows_changed -= o.OnNext);
-         });
-         var current_row_src = Observable.Create<TimeAndSalesRowVM>(o => {
-            if (_vm.current_row != null)
-               o.OnNext(_vm.current_row);
-            _vm.current_row_changed += o.OnNext;
-            return Disposable.Create(() => _vm.current_row_changed -= o.OnNext);
-         });
-         var current_sec_key_src = current_row_src.Select(r => {
-            var result = ImmutableHashSet<uint>.Empty;
-            if (r != null)
-               result = result.Add(r.security_key);
-            return result;
-         });
+         _vm = new SingleValuePump<TimeAndSalesVM>();
+         var connectable_builder = new ConnectableSeriesBuilder<TimeAndSalesVM>(_vm.observable);
          var update_securities_cmd = SparkCommands.change_securities_callback(_window_type_display_name);
-         var security_criteria_changed = new Action<SecurityCriteria>(sc => { });
-         SparkCommand toggle_is_paused_cmd = null;
-         toggle_is_paused_cmd = new SparkCommandCommand(get_is_paused_cmd_title(), Icons.Pause, new DelegateCommand(() => {
-            _vm.is_paused = !_vm.is_paused;
-            toggle_is_paused_cmd.title = get_is_paused_cmd_title();
-         })) {
-            show_in_toolbar = _can_pause_updates,
-            show_in_context_menu = _can_pause_updates
-         };
+         var current_smd_source = connectable_builder.create(vm => vm.current_security_md_observable(_bus)).OnDispatcher();
+         var selected_secs_source = connectable_builder.create(vm => vm.selected_securities_observable()).OnDispatcher();
          _commands = new SparkCommand[] {
-            // ladder
-            SparkCommands.ShowLadderAutoLookup(SparkCommands.KeyGestures.ShowLadder)
-               .complete(current_sec_key_src, sec_keys => sec_keys.Count > 0),
-            // ticket
-            SparkCommands.ShowOrderTicketAutoLookup(SparkCommands.KeyGestures.ShowOrderTicket)
-               .complete(current_sec_key_src, sec_keys => sec_keys.Count > 0),
-            // fills
-            SparkCommands.ShowFills(SparkCommands.KeyGestures.ShowFills)
-               .complete(selected_rows_src, always_true, get_fills_startup_data),
-            // mview
-            SparkCommands.ShowMarketView
-               .complete(selected_rows_src, always_true, rows => rows.Count > 0 ? new SecurityCriteria(rows.Select(r => r.security)) : _security_criteria),
-            // pause
-            toggle_is_paused_cmd,
-            // change securities
-            SparkCommands.change_securities_command(() => (update_securities_cmd, _security_criteria)),
+            new SparkCommandCommand("Export to csv", Icons.Export, FileDialogCommand.export_csv(() => _vm.value.row_vms.ToCsv(TimeAndSalesVM.Row.csv_ordered_properties), "TaS")),
+            SparkCommands.ShowLadder(SparkCommands.KeyGestures.ShowLadder).complete(current_smd_source, md => md.HasValue, ConvertUtils.ValueOrDefault),
+            SparkCommands.ShowOrderTicketFromSecurity(SparkCommands.KeyGestures.ShowOrderTicket).complete(current_smd_source, md => md.HasValue, ConvertUtils.ValueOrDefault),
+            SparkCommands.ShowFills(SparkCommands.KeyGestures.ShowFills).complete(selected_secs_source, always_true, get_fills_startup_data),
+            SparkCommands.ShowMarketView.complete(selected_secs_source, always_true, secs => secs.Count > 0 ? new SecurityCriteria(secs) : _state.security_criteria),
+            SparkCommands.change_securities_command(() => (update_securities_cmd, _state.security_criteria)),
             // wrap the grid settings view factory in a dialogCommand here since the vm is destroyed/recreated when the security criteria changes
             SparkCommands.window_settings_command(new DialogCommand(() => {
                    var vm = new ShellSettingsDialogVM<GridSettings, SimpleGridSettingsVM>(
                   _settings_manager,
                   s => s.time_and_sales_grid,
                   UserSettings.FileExtensions.GRID,
-                  s => _vm.grid_settings_manager.create_vm(
+                  s => _vm.value.grid_settings_manager.create_vm(
                      // we need to get the most up to date GridSettings when launching b/c users may
                      // have changed some settings on the grid directly, like column widths.
-                     s.with(_vm.columns.Select(c => c.create()))
+                     s.with(_vm.value.columns.Select(c => c.create()))
                   )
                );
                vm.SubscribeDisposed(literal_title_source.OnDispatcher().Subscribe(t => vm.title = t));
                var dialog = new ShellSettingsDialog { DataContext = vm };
                vm.RequestClose += (s, e) => WindowUtilities.force_close(dialog);
                return dialog;
-            })),
-            _menu_display_vm.spark_cmd
+            }))
          };
-         _vm.load(_state.filters, _state.sorting_criterion, _state.grid);
-         _vm.request_show_ladder += show_ladder;
-         var security_criteria_src = _bus.subscribe(update_securities_cmd.tag);
-         var subs = new List<IDisposable> {
-            security_criteria_src.Subscribe(sc => _security_criteria = sc),
-            Disposable.Create(() => _vm.request_show_ladder -= show_ladder)
-         };
-         _model = new TimeAndSalesModel(_bus, _consumer, Observable.Create<SecurityCriteria>(o => {
-            o.OnNext(_security_criteria);
-            return security_criteria_src.Subscribe(o);
-         }));
-         subs.Add(_model.trades.OnDispatcher().Subscribe(_vm.on_new_trades));
-         _subscriptions = Disposable.Create(subs.ToArray());
-         if (_view == null)
-            _view = new TimeAndSalesView();
-         _view.DataContext = _vm;
-         // local methods
+         _subscriptions = Disposable.Create(
+            _bus.subscribe(update_securities_cmd.tag).OnDispatcher().Subscribe(update_criteria),
+            connectable_builder.connect_all());
+         _initialize();
+
          bool always_true<T>(T _) => true;
-
-         FillsSettings get_fills_startup_data(ImmutableHashSet<TimeAndSalesRowVM> rows) =>
+         FillsSettings get_fills_startup_data(IReadOnlyList<SecurityImmutable> secs) =>
             new FillsSettings(new FillsFilterStates {
-               security = rows.Count > 0 ? new SecurityCriteria(rows.Select(r => r.security)) : _security_criteria
+               security = secs.Count > 0 ? new SecurityCriteria(secs) : _state.security_criteria
             });
-
-         string get_is_paused_cmd_title() =>
-            $"{(_vm.is_paused ? "Resume" : "Pause")} Updates";
-
-         void show_ladder(TimeAndSalesRowVM row) {
-            if (row != null)
-               _bus.post(SparkTags.ShowLadderAutoLookupTag, ImmutableHashSet.Create(new[] { row.security_key }));
+         void update_criteria(SecurityCriteria c) {
+            _state = _vm.value.create().with(c);
+            _initialize();
          }
       }
 
-      protected override void OnParentViewCreated(SparkWindowView parent_view) =>
-         _menu_display_vm.safe_bind_to_view(parent_view);
-
       void _dispose_resources() {
          Disposable.dispose(ref _subscriptions);
+         Disposable.dispose(ref _vm);
+         Disposable.dispose(ref _model);
          if (_commands != null) {
             _commands.OfType<IDisposable>().DisposeAll();
             _commands = null;
          }
-         Disposable.dispose(ref _model);
-         Disposable.dispose(ref _vm);
       }
 
-      void _ensure_state(bool force_recreate = false) {
-         if (_state == null || force_recreate) {
-            if (_vm == null) {
-               _state = TimeAndSalesSettings.Default(_security_criteria);
-            } else {
-               var (filters, sorting, grid) = _vm.create();
-               _state = new TimeAndSalesSettings(_security_criteria, filters, grid, sorting.ToList()) {
-                  use_defaults = _settings_manager.instance_settings == null
-               };
-            }
-            // should be safe to assume _menu_display_vm and _vm will either both be null, or both be non null,
-            // but redundant null checks don't hurt, and just may prevent a crash.
-            if (_menu_display_vm != null)
-               _state.menu_display = _menu_display_vm.safe_create();
-         }
+      void _initialize() {
+         Disposable.dispose(ref _model);
+         _model = new TimeAndSalesModel(_bus, _consumer, _state.security_criteria);
+         // the previous _vm.value is automatically disposed when _vm.value is set - no need to dispose it here
+         _vm.value = new TimeAndSalesVM(_bus, _settings_manager, _model, _state);
+         if (_view == null)
+            _view = new TimeAndSalesView();
+         _view.DataContext = _vm.value;
       }
    }
-}
+}

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

@@ -1,35 +1,33 @@
 using bts.api;
 using bts.spark;
-using bts.shell.time_and_sales;
 using mbts;
 using mbts.co2;
 using mbts.persist;
 using mbts.spark;
+using mbts.spark.filters;
 using mbts.ui;
 using mbts.ui.settings;
+using ProtoBuf;
 using System;
 using System.Collections.Generic;
+using System.Linq;
 using System.Reactive.Linq;
 using System.Threading.Tasks;
-using Columns = bts.shell.time_and_sales.TimeAndSalesView.Columns;
-using mbts.config;
+using static mbts.ui.controls.DIYGrid;
+using static mbts.ui.spark.TimeAndSalesView;
 
 namespace bts.shell {
-   class TimeAndSalesWindowFactory : ShellWindowFactory<TimeAndSalesSettings> {
+   class TimeAndSalesWindowFactory : ShellWindowFactory<TimeAndSalesWindowFactory.StartupData> {
       readonly IBus _bus;
       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),
             bus.subscribe(SparkTags.ShowTimeAndSalesTag).OnDispatcher().Subscribe(show)
@@ -38,22 +36,91 @@ namespace bts.shell {
 
       public static string col_id(Columns col) => col.ToString();
 
-      public override Task<IShellWindow> load(TimeAndSalesSettings state) =>
+      public override Task<IShellWindow> load(StartupData 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));
+            new WindowSettingsManager<GridSettings>(_settings_hub, state.grid, s => s.time_and_sales_grid, (s, g) => s.with(time_and_sales:g))));
 
       public async void show(SecurityCriteria criteria) {
-         var w = await load(new TimeAndSalesSettings(criteria));
+         var w = await load(new StartupData(criteria));
          _bus.post(SparkTags.ShowWindow, w);
       }
 
-      readonly struct TimeAndSalesConfig {
-         public readonly bool can_pause_updates;
+      [ProtoContract]
+      public class StartupData {
+         [ProtoMember(1)]
+         public readonly SecurityCriteria security_criteria;
+         [ProtoMember(2)]
+         List<SortingCriteria> _sorting_criterion;
+         [ProtoMember(3)]
+         public FilterStates filters;
+         [ProtoMember(4)]
+         public GridSettings grid;
 
-         public TimeAndSalesConfig(bts.config.TimeAndSalesOptions options) =>
-            can_pause_updates = options.can_pause_updates;
+         public StartupData() { }
+
+         public StartupData(SecurityCriteria security_criteria) :
+            this(security_criteria, new FilterStates(), null, null) { }
+
+         public StartupData(SecurityCriteria security_criteria, FilterStates filters, GridSettings grid = default, List<SortingCriteria> sorting_criterion = null) {
+            this.security_criteria = security_criteria;
+            this.filters = filters;
+            this.grid = grid;
+            _sorting_criterion = sorting_criterion;
+         }
+
+         public static GridSettings DefaultGridSettings => GridSettings.Default.with(DefaultColumns.all, DefaultColumns.default_sorting_criterion);
+
+         public List<SortingCriteria> sorting_criterion => _sorting_criterion ?? (_sorting_criterion = DefaultColumns.default_sorting_criterion.ToList());
+
+         public static StartupData Default(SecurityCriteria security_criteria) =>
+           new StartupData(security_criteria, new FilterStates(), null, DefaultColumns.default_sorting_criterion.ToList());
+
+         public StartupData with(SecurityCriteria security_criteria) =>
+            new StartupData(security_criteria, filters, grid);
+
+         public static class DefaultColumns {
+            public static GridColumnSettings security => new GridColumnSettings(col_id(Columns.Security), DefaultColumnHeaders.Security, width: DefaultColumnWidths.Security);
+            public static GridColumnSettings time => new GridColumnSettings(col_id(Columns.Time), DefaultColumnHeaders.Time, width: DefaultColumnWidths.Time);
+            public static GridColumnSettings price => new GridColumnSettings(col_id(Columns.Price), DefaultColumnHeaders.Price, width: DefaultColumnWidths.Price, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
+            public static GridColumnSettings size => new GridColumnSettings(col_id(Columns.Size), DefaultColumnHeaders.Size, width: DefaultColumnWidths.Size, horizontal_alignment: System.Windows.HorizontalAlignment.Right);
+            public static GridColumnSettings aggressor => new GridColumnSettings(col_id(Columns.Aggressor), DefaultColumnHeaders.Aggressor, width: DefaultColumnWidths.Aggressor);
+            public static GridColumnSettings security_key => new GridColumnSettings(col_id(Columns.SecurityKey), DefaultColumnHeaders.SecurityKey, is_visible:false, width: DefaultColumnWidths.SecurityKey);
+
+            public static IEnumerable<SortingCriteria> default_sorting_criterion {
+               get {
+                  yield return new SortingCriteria(time.id, false);
+               }
+            }
+
+            public static IEnumerable<GridColumnSettings> all {
+               get {
+                  yield return security;
+                  yield return time;
+                  yield return price;
+                  yield return size;
+                  yield return aggressor;
+                  yield return security_key;
+               }
+            }
+         }
+      }
+
+      [ProtoContract]
+      public class FilterStates {
+         [ProtoMember(1)]
+         public TimeFilterTuple time;
+         [ProtoMember(2)]
+         public string security;
+         [ProtoMember(3)]
+         public DoubleMinMaxState price;
+         [ProtoMember(4)]
+         public UIntMinMaxState size;
+         // [ProtoMember(5)]
+         // ProtoMember 5 cannot be used further
+         [ProtoMember(6)]
+         public string security_key;
+         [ProtoMember(7)]
+         public co2.AggressorSide[] aggressor_sides;
       }
    }
-}
+}

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/SyntheticManagementView.xaml.cs

@@ -20,5 +20,5 @@ namespace mbts.ui.spark {
          InitializeComponent();
    }
 
-   class SyntheticManagementRowView : DIYGrid.HighPerformanceRow<SyntheticManagementDialogVM.Row> { }
+   class SyntheticManagementRowView : DIYGrid.HighPerformanceRow<SyntheticManagementDialogVM.Row, SyntheticManagementView.Columns> { }
 }

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

@@ -3,7 +3,6 @@ using bts.api;
 using bts.shell;
 using bts.shell.spreader;
 using bts.spark;
-using bts.view;
 using mbts.persist;
 using mbts.ui;
 using mbts.ui.settings;
@@ -28,7 +27,6 @@ namespace mbts.spark {
       StartupData _state;
       OrdersModel _orders_model;
       SyntheticManagementView _view;
-      SparkMenuDisplayVM _menu_display_vm;
       IDisposable _subscriptions;
       IReadOnlyList<SparkCommand> _commands;
       readonly IWindowSettingsManager<GridSettings> _settings_manager;
@@ -45,7 +43,7 @@ namespace mbts.spark {
       public override string window_type => _window_type;
       public override UIElement Content => _view;
       public override IEnumerable<SparkCommand> Commands => _commands;
-      public override StartupData SaveState => _state = _vm.value.create().with(menu_display: _menu_display_vm.safe_create());
+      public override StartupData SaveState => _state = _vm.value.create();
       public override double MinWidth => 
          StartupData.DefaultGridSettings.columns.Sum(gcs => gcs.width)
          + SPARK_MENU_COLLAPSED_WIDTH
@@ -55,8 +53,6 @@ namespace mbts.spark {
 
       public void thread_init() {
          Log.notnull(_state);
-         _menu_display_vm = new SparkMenuDisplayVM();
-         _menu_display_vm.load_from(_state.menu_display);
 
          var vm_connectable_builder = new ConnectableSeriesBuilder<SyntheticManagementDialogVM>(_vm.observable);
          var current_row_source = vm_connectable_builder.create(vm => vm.current_row_observable);
@@ -101,8 +97,7 @@ namespace mbts.spark {
             new SparkCommandCommand(
                "Import Synthetics...", Icons.Import, FileDialogCommand.open_file(import, extensions: SyntheticSecurityParser.file_extension)) {
                show_in_toolbar = false
-            },
-            _menu_display_vm.spark_cmd
+            }
          };
 
          _subscriptions = Disposable.Create(
@@ -134,9 +129,6 @@ namespace mbts.spark {
          Commands.OfType<IDisposable>().DisposeAll();
       }
 
-      protected override void OnParentViewCreated(SparkWindowView parent_view) =>
-         _menu_display_vm.safe_bind_to_view(parent_view);
-
       struct RowModificationParams {
          public readonly SecurityImmutable security;
          public readonly bool has_working_orders;

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

@@ -48,28 +48,14 @@ namespace bts.shell {
          public readonly FilterStates filters;
          [ProtoMember(3)]
          public readonly GridSettings grid;
-         [ProtoMember(4)]
-         public readonly SparkMenuDisplaySettings menu_display;
 
          public StartupData() : this(new List<SortingCriteria>(), null, null) { }
-
-         public StartupData(List<SortingCriteria> sorting_criteria, FilterStates filters, GridSettings grid = default)
-            : this(sorting_criteria, filters, grid, SparkMenuDisplaySettings.Default) { }
-
-         public StartupData(List<SortingCriteria> sorting_criteria, FilterStates filters, GridSettings grid, SparkMenuDisplaySettings menu_display) {
+         public StartupData(List<SortingCriteria> sorting_criteria, FilterStates filters, GridSettings grid = default) {
             this.sorting_criteria = sorting_criteria;
             this.filters = filters;
             this.grid = grid;
-            this.menu_display = menu_display;
          }
 
-         public StartupData with(List<SortingCriteria> sorting_criteria = null, FilterStates filters = null, GridSettings grid = null, SparkMenuDisplaySettings? menu_display = null) =>
-            new StartupData(
-               sorting_criteria ?? this.sorting_criteria,
-               filters ?? this.filters,
-               grid ?? this.grid,
-               menu_display ?? this.menu_display);
-
          public static GridSettings DefaultGridSettings => GridSettings.Default.with(DefaultColumns.all, DefaultColumns.default_sorting_criterion);
 
          static class DefaultColumns {

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/AlgoStudioView.xaml

@@ -25,7 +25,6 @@
       <sys:Double x:Key="VerticalPush2">8</sys:Double>
       <sys:Double x:Key="VerticalPush3">12</sys:Double>
       <Thickness x:Key="Margin.LP1" Left="{StaticResource HorizontalPush1}"/>
-      <Thickness x:Key="Margin.LP1_RP1" Left="{StaticResource HorizontalPush1}" Right="{StaticResource HorizontalPush1}"/>
       <Thickness x:Key="Margin.LP2" Left="{StaticResource HorizontalPush2}"/>
       <Thickness x:Key="Margin.LP3" Left="{StaticResource HorizontalPush3}"/>
       <Thickness x:Key="Margin.TP1" Top="{StaticResource VerticalPush1}"/>
@@ -131,6 +130,22 @@
     </ResourceDictionary>
   </UserControl.Resources>
   <VisualStateManager.VisualStateGroups>
+    <VisualStateGroup Name="{x:Static GroupName, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.EditPane}}">
+      <VisualState Name="{x:Static u:VisualStates.Active}">
+        <Storyboard>
+          <ObjectAnimationUsingKeyFrames Storyboard.TargetName="edit_pane" Storyboard.TargetProperty="(UIElement.Visibility)">
+            <DiscreteObjectKeyFrame KeyTime="00:00:00" Value="{x:Static Visibility.Visible}" />
+          </ObjectAnimationUsingKeyFrames>
+        </Storyboard>
+      </VisualState>
+      <VisualState Name="{x:Static u:VisualStates.Inactive}">
+        <Storyboard>
+          <ObjectAnimationUsingKeyFrames Storyboard.TargetName="edit_pane" Storyboard.TargetProperty="(UIElement.Visibility)">
+            <DiscreteObjectKeyFrame KeyTime="00:00:00" Value="{x:Static Visibility.Hidden}" />
+          </ObjectAnimationUsingKeyFrames>
+        </Storyboard>
+      </VisualState>
+    </VisualStateGroup>
   </VisualStateManager.VisualStateGroups>
   <AdornerDecorator>
     <Grid>
@@ -138,19 +153,13 @@
         <ColumnDefinition Width="Auto"/>
         <ColumnDefinition Width="*"/>
       </Grid.ColumnDefinitions>
-      <Grid.RowDefinitions>
-        <RowDefinition Height="*"/>
-        <RowDefinition Height="Auto"/>
-      </Grid.RowDefinitions>
       <ListBox
         x:Name="_tree_view"
-        Grid.RowSpan="2"
         ItemsSource="{Binding definitions_view}"
         HorizontalAlignment="Stretch"
         VerticalAlignment="Stretch"
         MinWidth="180"
         Background="Transparent"
-        BorderThickness="0,0,1,0"
         SelectedItem="{Binding selected_definition}"
       >
         <ListBox.ItemTemplate>
@@ -164,176 +173,275 @@
           </DataTemplate>
         </ListBox.ItemTemplate>
       </ListBox>
-      <Grid x:Name="edit_pane" Grid.Column="1">
-        <u:StateManager.VisualState>
-          <Binding Path="selected_definition">
-            <Binding.Converter>
-              <cv:ValueMap Default="{x:Static u:VisualStates.Active}">
-                <cv:KeyValue Key="{x:Null}" Value="{x:Static u:VisualStates.Inactive}"/>
-              </cv:ValueMap>
-            </Binding.Converter>
-          </Binding>
-        </u:StateManager.VisualState>
-        <VisualStateManager.VisualStateGroups>
-          <VisualStateGroup>
-            <VisualState Name="{x:Static u:VisualStates.Active}"/>
-            <VisualState Name="{x:Static u:VisualStates.Inactive}">
-              <Storyboard>
-                <BooleanAnimationUsingKeyFrames Storyboard.TargetName="custom_badge_color_picker_button" Storyboard.TargetProperty="(UIElement.IsEnabled)">
-                  <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
-                </BooleanAnimationUsingKeyFrames>
-                <BooleanAnimationUsingKeyFrames Storyboard.TargetName="name_text_box" Storyboard.TargetProperty="(UIElement.IsEnabled)">
-                  <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
-                </BooleanAnimationUsingKeyFrames>
-                <BooleanAnimationUsingKeyFrames Storyboard.TargetName="abbreviation_text_box" Storyboard.TargetProperty="(UIElement.IsEnabled)">
-                  <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
-                </BooleanAnimationUsingKeyFrames>
-                <BooleanAnimationUsingKeyFrames Storyboard.TargetName="algo_editor_scroll_viewer" Storyboard.TargetProperty="(UIElement.IsEnabled)">
-                  <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
-                </BooleanAnimationUsingKeyFrames>
-                <ObjectAnimationUsingKeyFrames Storyboard.TargetName="edit_pane" Storyboard.TargetProperty="(FrameworkElement.ToolTip).(UIElement.Visibility)">
-                  <DiscreteObjectKeyFrame KeyTime="0" Value="{x:Static Visibility.Visible}"/>
-                </ObjectAnimationUsingKeyFrames>
-              </Storyboard>
-            </VisualState>
-          </VisualStateGroup>
-        </VisualStateManager.VisualStateGroups>
-        <Grid.ToolTip>
-          <ToolTip Visibility="Collapsed">
-            <StackPanel Orientation="Vertical">
-              <TextBlock FontStyle="Italic">Select an existing algo to edit from the list to the left.</TextBlock>
-              <StackPanel Orientation="Horizontal">
-                <TextBlock FontStyle="Italic">Or click the</TextBlock>
-                <Image Source="{x:Static u:Icons.AddBoxes}" Height="20" Margin="2,0"/>
-                <TextBlock FontStyle="Italic"> button to create a new one.</TextBlock>
-              </StackPanel>
-            </StackPanel>
-          </ToolTip>
-        </Grid.ToolTip>
-        <Grid.RowDefinitions>
-          <RowDefinition Height="27"/>
-          <RowDefinition Height="*"/>
-        </Grid.RowDefinitions>
-        <Grid.ColumnDefinitions>
-          <ColumnDefinition Width="Auto"/>
-          <ColumnDefinition Width="*"/>
-          <ColumnDefinition Width="Auto"/>
-        </Grid.ColumnDefinitions>
-        <Rectangle Grid.ColumnSpan="3" VerticalAlignment="Stretch" HorizontalAlignment="Stretch" Fill="{x:Static u:BTSColors.dialog_skirt_brush}" UseLayoutRounding="True"/>
-        <Button
-          x:Name="custom_badge_color_picker_button"
-          Background="{Binding selected_definition.badge_fill}"
-          Margin="{StaticResource Margin.LP1}"
-          ToolTip="Change the icon color used for this algo."
-          IsEnabled="True"
-          Style="{StaticResource CustomBadgeColorPickerButtonStyle}"
-        />
-        <Popup x:Name="custom_badge_color_picker_popup" StaysOpen="False" PlacementTarget="{Binding ElementName=custom_badge_color_picker_button}" Placement="Right">
-          <Border Style="{StaticResource CustomBadgeColorPickerPopupRootStyle}">
-            <Grid>
-              <Grid.RowDefinitions>
-                <RowDefinition Height="Auto"/>
-                <RowDefinition Height="*"/>
-              </Grid.RowDefinitions>
-              <CheckBox
-                x:Name="default_badge_color_checkbox"
-                VerticalAlignment="Center"
-                VerticalContentAlignment="Center"
-                Margin="6,4,0,4"
-                IsChecked="{Binding selected_definition.custom_badge_color.enabled, Converter={StaticResource NotConverter}}"
-              >
-                <CheckBox.ToolTip>
-                  <TextBlock>
-                    <Run>Use the default icon color for this algo.</Run>
-                    <LineBreak/>
-                    <Run FontStyle="Italic">Hint: the default color is that of the algo-root.</Run>
+      <ScrollViewer Grid.Column="1" Grid.IsSharedSizeScope="True" Margin="8,4">
+        <Grid x:Name="edit_pane">
+          <Grid.RowDefinitions>
+            <RowDefinition Height="Auto"/>
+            <RowDefinition Height="Auto"/>
+            <RowDefinition Height="*"/>
+            <RowDefinition Height="Auto"/>
+          </Grid.RowDefinitions>
+          <Grid u:StateManager.VisualStateCollection="{Binding content_visual_states}" Margin="{StaticResource Margin.TP1}" >
+            <VisualStateManager.VisualStateGroups>
+              <!--Name-->
+              <VisualStateGroup Name="{x:Static GroupName, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.Name}}">
+                <VisualState Name="{x:Static Active, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.Name}}"/>
+                <VisualState Name="{x:Static Inactive, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.Name}}">
+                  <Storyboard>
+                    <BooleanAnimationUsingKeyFrames Storyboard.TargetName="name_text_box" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                      <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+                    </BooleanAnimationUsingKeyFrames>
+                  </Storyboard>
+                </VisualState>
+                <VisualState Name="{x:Static CannotRenameDefinition, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.Name}}">
+                  <Storyboard>
+                    <ObjectAnimationUsingKeyFrames Storyboard.TargetName="name_text_box" Storyboard.TargetProperty="(TextBox.ToolTip)">
+                      <DiscreteObjectKeyFrame KeyTime="0" Value="Cannot rename definitions."/>
+                    </ObjectAnimationUsingKeyFrames>
+                    <BooleanAnimationUsingKeyFrames Storyboard.TargetName="name_text_box" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                      <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+                    </BooleanAnimationUsingKeyFrames>
+                  </Storyboard>
+                </VisualState>
+                <VisualState Name="{x:Static CannotRenameDefinitionWhileTemplatesPresent, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.Name}}">
+                  <Storyboard>
+                    <ObjectAnimationUsingKeyFrames Storyboard.TargetName="name_text_box" Storyboard.TargetProperty="(TextBox.ToolTip)">
+                      <DiscreteObjectKeyFrame KeyTime="0" Value="Cannot rename definition while templates present."/>
+                    </ObjectAnimationUsingKeyFrames>
+                    <BooleanAnimationUsingKeyFrames Storyboard.TargetName="name_text_box" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                      <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+                    </BooleanAnimationUsingKeyFrames>
+                  </Storyboard>
+                </VisualState>
+                <VisualState Name="{x:Static CannotRenameTemplate, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.Name}}">
+                  <Storyboard>
+                    <ObjectAnimationUsingKeyFrames Storyboard.TargetName="name_text_box" Storyboard.TargetProperty="(TextBox.ToolTip)">
+                      <DiscreteObjectKeyFrame KeyTime="0" Value="Cannot rename templates."/>
+                    </ObjectAnimationUsingKeyFrames>
+                    <BooleanAnimationUsingKeyFrames Storyboard.TargetName="name_text_box" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                      <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+                    </BooleanAnimationUsingKeyFrames>
+                  </Storyboard>
+                </VisualState>
+              </VisualStateGroup>
+              <!--Abbreviation-->
+              <VisualStateGroup Name="{x:Static GroupName, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.Abbreviation}}">
+                <VisualState Name="{x:Static Populated, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.Abbreviation}}">
+                  <Storyboard>
+                    <ObjectAnimationUsingKeyFrames Storyboard.TargetName="abbreviation_active_tooltip" Storyboard.TargetProperty="(FrameworkElement.Visibility)">
+                      <DiscreteObjectKeyFrame KeyTime="0" Value="{x:Static Visibility.Visible}"/>
+                    </ObjectAnimationUsingKeyFrames>
+                  </Storyboard>
+                </VisualState>
+                <VisualState Name="{x:Static Unpopulated, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.Abbreviation}}">
+                  <Storyboard>
+                    <ObjectAnimationUsingKeyFrames Storyboard.TargetName="abbreviation_active_tooltip" Storyboard.TargetProperty="(FrameworkElement.Visibility)">
+                      <DiscreteObjectKeyFrame KeyTime="0" Value="{x:Static Visibility.Visible}"/>
+                    </ObjectAnimationUsingKeyFrames>
+                    <ColorAnimationUsingKeyFrames Storyboard.TargetName="abbreviation_label" Storyboard.TargetProperty="(TextElement.Foreground).(SolidColorBrush.Color)">
+                      <DiscreteColorKeyFrame KeyTime="0" Value="Gray"/>
+                    </ColorAnimationUsingKeyFrames>
+                  </Storyboard>
+                </VisualState>
+                <VisualState Name="{x:Static NotSupportedForTemplates, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.Abbreviation}}">
+                  <Storyboard>
+                    <BooleanAnimationUsingKeyFrames Storyboard.TargetName="abbreviation_root" Storyboard.TargetProperty="(ToolTipService.ShowOnDisabled)">
+                      <DiscreteBooleanKeyFrame KeyTime="0" Value="True"/>
+                    </BooleanAnimationUsingKeyFrames>
+                    <BooleanAnimationUsingKeyFrames Storyboard.TargetName="abbreviation_root" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                      <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+                    </BooleanAnimationUsingKeyFrames>
+                    <ColorAnimationUsingKeyFrames Storyboard.TargetName="abbreviation_label" Storyboard.TargetProperty="(TextElement.Foreground).(SolidColorBrush.Color)">
+                      <DiscreteColorKeyFrame KeyTime="0" Value="Gray"/>
+                    </ColorAnimationUsingKeyFrames>
+                    <ObjectAnimationUsingKeyFrames Storyboard.TargetName="abbreviation_not_supported_for_templates_tooltip" Storyboard.TargetProperty="(FrameworkElement.Visibility)">
+                      <DiscreteObjectKeyFrame KeyTime="0" Value="{x:Static Visibility.Visible}"/>
+                    </ObjectAnimationUsingKeyFrames>
+                  </Storyboard>
+                </VisualState>
+              </VisualStateGroup>
+              <!--Badge Selector-->
+              <VisualStateGroup Name="{x:Static GroupName, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.BadgeSelector}}">
+                <VisualState Name="{x:Static Active, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.BadgeSelector}}">
+                  <Storyboard>
+                    <DoubleAnimationUsingKeyFrames Storyboard.TargetName="default_badge" Storyboard.TargetProperty="(UIElement.Opacity)">
+                      <DiscreteDoubleKeyFrame KeyTime="0" Value="0.5"/>
+                    </DoubleAnimationUsingKeyFrames>
+                  </Storyboard>
+                </VisualState>
+                <VisualState Name="{x:Static Inactive, MemberType={u:Nested usp:AlgoStudioView.VisualStateNames.BadgeSelector}}">
+                  <Storyboard>
+                    <BooleanAnimationUsingKeyFrames Storyboard.TargetName="custom_badge_color_picker_button" Storyboard.TargetProperty="(UIElement.IsEnabled)">
+                      <DiscreteBooleanKeyFrame KeyTime="0" Value="False"/>
+                    </BooleanAnimationUsingKeyFrames>
+                    <BooleanAnimationUsingKeyFrames Storyboard.TargetName="default_badge_radio_button" Storyboard.TargetProperty="(ToggleButton.IsChecked)">
+                      <DiscreteBooleanKeyFrame KeyTime="0" Value="True"/>
+                    </BooleanAnimationUsingKeyFrames>
+                  </Storyboard>
+                </VisualState>
+              </VisualStateGroup>
+            </VisualStateManager.VisualStateGroups>
+            <Grid.ColumnDefinitions>
+              <ColumnDefinition Width="Auto" SharedSizeGroup="param_name_col"/>
+              <ColumnDefinition Width="3*"/>
+              <ColumnDefinition Width="2*"/>
+            </Grid.ColumnDefinitions>
+            <TextBlock VerticalAlignment="Center">Name:</TextBlock>
+            <TextBox
+            x:Name="name_text_box"
+            Grid.Column="1"
+            ToolTipService.ShowOnDisabled="True"
+            Margin="{StaticResource Margin.LP1}"
+            HorizontalAlignment="Stretch"
+            VerticalAlignment="Center"
+            Text="{Binding selected_definition.name, UpdateSourceTrigger=PropertyChanged, Delay=25}"
+          />
+            <Grid x:Name="abbreviation_root" Grid.Column="2">
+              <Grid.ToolTip>
+                <Grid>
+                  <TextBlock x:Name="abbreviation_active_tooltip" Visibility="Collapsed">
+                    <TextBlock.Inlines>
+                      <Run>Specify an abbreviation for this algo to use in ladder algo 'favorite' buttons.</Run>
+                      <LineBreak/>
+                      <Run FontStyle="Italic">Hint: To add/remove algos from 'favorites', open the ladder settings dialog and select the 'Algo Favorites' tab.</Run>
+                    </TextBlock.Inlines>
                   </TextBlock>
-                </CheckBox.ToolTip>
-                <Grid x:Name="default_badge_content_root">
+                  <TextBlock x:Name="abbreviation_not_supported_for_templates_tooltip" Visibility="Collapsed">
+                  Not supported for templates.
+                  </TextBlock>
+                </Grid>
+              </Grid.ToolTip>
+              <Grid.ColumnDefinitions>
+                <ColumnDefinition Width="Auto"/>
+                <ColumnDefinition Width="*"/>
+              </Grid.ColumnDefinitions>
+              <TextBlock x:Name="abbreviation_label" FontStyle="Italic" Margin="{StaticResource Margin.LP1}" VerticalAlignment="Center">Abbrev.</TextBlock>
+              <TextBox Grid.Column="1" Margin="{StaticResource Margin.LP1}" Text="{Binding selected_definition.abbreviation, UpdateSourceTrigger=PropertyChanged, Delay=25}"/>
+            </Grid>
+          </Grid>
+          <Grid x:Name="badge_selector_radio_button_root" Grid.Row="1" Margin="{StaticResource Margin.TP2}">
+            <Grid.ColumnDefinitions>
+              <ColumnDefinition Width="Auto" SharedSizeGroup="param_name_col"/>
+              <ColumnDefinition Width="Auto"/>
+              <ColumnDefinition Width="*"/>
+            </Grid.ColumnDefinitions>
+            <TextBlock>Icon:</TextBlock>
+            <RadioButton
+              x:Name="default_badge_radio_button"
+              Grid.Column="1"
+              VerticalAlignment="Center"
+              VerticalContentAlignment="Center"
+              Margin="{StaticResource Margin.LP1}"
+              GroupName="Badge"
+            >
+              <RadioButton.ToolTip>
+                <ToolTip DataContext="{Binding PlacementTarget.DataContext, RelativeSource={RelativeSource Self}}">
+                  <StackPanel Orientation="Vertical">
+                    <TextBlock>Use the default icon color for this algo.</TextBlock>
+                    <StackPanel TextElement.FontStyle="Italic" Orientation="Horizontal">
+                      <TextBlock>Hint: the default color is that of the algo-root (</TextBlock>
+                      <usp:OrderTypeItem
+                        Margin="2,0"
+                        BadgeFill="{Binding selected_definition.algo_root.meta.Color, Converter={StaticResource ColorToBrushConverter}}"
+                        DisplayName="{Binding selected_definition.algo_root.display_name}"
+                      />
+                      <TextBlock>).</TextBlock>
+                    </StackPanel>
+                  </StackPanel>
+                </ToolTip>
+              </RadioButton.ToolTip>
+              <Grid x:Name="default_badge_content_root">
+                <Grid.ColumnDefinitions>
+                  <ColumnDefinition Width="Auto"/>
+                  <ColumnDefinition Width="*"/>
+                </Grid.ColumnDefinitions>
+                <TextBlock>Default</TextBlock>
+                <Rectangle
+                  x:Name="default_badge"
+                  Grid.Column="1"
+                  Margin="{StaticResource Margin.LP1}"
+                  Fill="{Binding selected_definition.algo_root.meta.Color, Converter={StaticResource ColorToBrushConverter}}"
+                  Style="{StaticResource RectangleBadgeStyle}"
+                />
+              </Grid>
+            </RadioButton>
+            <RadioButton
+              Grid.Column="2"
+              VerticalAlignment="Center"
+              VerticalContentAlignment="Center"
+              Margin="{StaticResource Margin.LP2}"
+              IsChecked="{Binding selected_definition.custom_badge_color.enabled}"
+              GroupName="Badge"
+            >
+              <RadioButton.ToolTip>
+                <Grid>
+                  <Grid.RowDefinitions>
+                    <RowDefinition Height="Auto"/>
+                    <RowDefinition Height="Auto"/>
+                  </Grid.RowDefinitions>
                   <Grid.ColumnDefinitions>
+                    <ColumnDefinition Width="Auto"/>
                     <ColumnDefinition Width="Auto"/>
                     <ColumnDefinition Width="*"/>
                   </Grid.ColumnDefinitions>
-                  <TextBlock>Use Default Icon</TextBlock>
+                  <TextBlock Grid.ColumnSpan="3">Specify a custom icon color for this algo.</TextBlock>
+                  <TextBlock Grid.Row="1" FontStyle="Italic">Hint: Click</TextBlock>
                   <Rectangle
-                    x:Name="default_badge"
+                    Grid.Row="1"
                     Grid.Column="1"
-                    Margin="{StaticResource Margin.LP1}"
-                    Fill="{Binding selected_definition.algo_root.meta.Color, Converter={StaticResource ColorToBrushConverter}}"
+                    Margin="3,0"
+                    Fill="{Binding selected_definition.custom_badge_color.value, Converter={StaticResource ColorToBrushConverter}}"
                     Style="{StaticResource RectangleBadgeStyle}"
                   />
+                  <TextBlock Grid.Row="1" Grid.Column="2" FontStyle="Italic">to open the color picker popup.</TextBlock>
                 </Grid>
-              </CheckBox>
-              <cp:ColorPickerControl
-                Grid.Row="1"
-                ToolTipService.ShowOnDisabled="True"
-                Margin="{StaticResource Margin.TP1}"
-                Background="Transparent"
-                Palettes="{Binding DataContext.selected_definition.custom_badge_color_palettes, RelativeSource={RelativeSource AncestorType=Popup}}"
-                SelectedColor="{Binding DataContext.selected_definition.custom_badge_color.value, RelativeSource={RelativeSource AncestorType=Popup}, Mode=TwoWay}"
-                PreviewMouseDown="_on_badge_color_picker_activated"
-                PreviewGotKeyboardFocus="_on_badge_color_picker_activated"
-              />
-            </Grid>
-          </Border>
-        </Popup>
-        <TextBox
-          x:Name="name_text_box"
-          Grid.Column="1"
-          u:TextBoxBehavior.TextPrompt="Name"
-          Margin="{StaticResource Margin.LP1}"
-          HorizontalAlignment="Stretch"
-          VerticalAlignment="Center"
-          MinWidth="50"
-          IsEnabled="True"
-          Text="{Binding selected_definition.name, UpdateSourceTrigger=PropertyChanged, Delay=25}"
-          ToolTip="This algo's full name."
-        />
-        <TextBox
-          x:Name="abbreviation_text_box"
-          Grid.Column="2"
-          u:TextBoxBehavior.TextPrompt="Abbrev."
-          VerticalAlignment="Center"
-          Margin="{StaticResource Margin.LP1_RP1}"
-          MinWidth="50"
-          IsEnabled="True"
-          Text="{Binding selected_definition.abbreviation, UpdateSourceTrigger=PropertyChanged, Delay=25}"
-        >
-          <TextBox.ToolTip>
-            <TextBlock>
-              <TextBlock.Inlines>
-                <Run>Specify an abbreviation for this algo to use in ladder algo 'favorite' buttons.</Run>
-                <LineBreak/>
-                <Run FontStyle="Italic">Hint: To add/remove algos from 'favorites', open the ladder settings dialog and select the 'Algo Favorites' tab.</Run>
-              </TextBlock.Inlines>
-            </TextBlock>
-          </TextBox.ToolTip>
-        </TextBox>
-        <ScrollViewer x:Name="algo_editor_scroll_viewer" Grid.Row="1" Grid.ColumnSpan="3" VerticalScrollBarVisibility="Auto">
+              </RadioButton.ToolTip>
+              <Grid>
+                <Grid.ColumnDefinitions>
+                  <ColumnDefinition Width="Auto"/>
+                  <ColumnDefinition Width="*"/>
+                </Grid.ColumnDefinitions>
+                <TextBlock>Custom</TextBlock>
+                <Button
+                  x:Name="custom_badge_color_picker_button"
+                  Grid.Column="1"
+                  Background="{Binding selected_definition.custom_badge_color.value, Converter={StaticResource ColorToBrushConverter}}"
+                  Margin="{StaticResource Margin.LP1}"
+                  Style="{StaticResource CustomBadgeColorPickerButtonStyle}"
+                />
+                <Popup x:Name="custom_badge_color_picker_popup" StaysOpen="False" PlacementTarget="{Binding ElementName=custom_badge_color_picker_button}" Placement="Right">
+                  <Border Style="{StaticResource CustomBadgeColorPickerPopupRootStyle}">
+                    <cp:ColorPickerControl
+                      Background="Transparent"
+                      Palettes="{Binding DataContext.selected_definition.custom_badge_color_palettes, RelativeSource={RelativeSource AncestorType=Popup}}"
+                      SelectedColor="{Binding DataContext.selected_definition.custom_badge_color.value, RelativeSource={RelativeSource AncestorType=Popup}, Mode=TwoWay}"
+                    />
+                  </Border>
+                </Popup>
+              </Grid>
+            </RadioButton>
+          </Grid>
           <usp:AlgoEditorView
+            Grid.Row="2"
             DataContext="{Binding selected_definition}"
             Background="Transparent"
             BorderBrush="{Binding algo_root, Converter={StaticResource OrderTypeBrushConverter}}"
+            Margin="0,6,0,0"
             Padding="12,8"
           />
-        </ScrollViewer>
-      </Grid>
-      <c:DialogSkirt
-        Grid.Row="2"
-        Grid.Column="1"
-        BorderThickness="0"
-      >
-        <c:DialogSkirt.RightItems>
-          <x:Array Type="{x:Type Button}">
-            <Button ToolTipService.ShowOnDisabled="True" Margin="{StaticResource DialogSkirtButtonMargin}" Command="{Binding save_cmd}" CommandParameter="{Binding selected_definition}" Width="90" ToolTip="{Binding save_cmd_tooltip}" IsDefault="True">
-              Save Algo
+          <StackPanel Grid.Row="3" HorizontalAlignment="Right" Orientation="Horizontal">
+            <StackPanel.Margin>
+              <Thickness Left="{StaticResource DialogSkirtPadding.Left}" Top="{StaticResource VerticalPush2}" Right="{StaticResource DialogSkirtButtonPadding.Right}" Bottom="{StaticResource DialogSkirtPadding.Bottom}"/>
+            </StackPanel.Margin>
+            <Button ToolTipService.ShowOnDisabled="True" Margin="{StaticResource DialogSkirtButtonMargin}" Command="{Binding save_cmd}" CommandParameter="{Binding selected_definition}" Width="100" ToolTip="{Binding save_cmd_tooltip}" IsDefault="True">
+              <TextBlock Text="{Binding selected_definition.name, StringFormat='{}Save {0}'}"/>
             </Button>
-            <Button ToolTipService.ShowOnDisabled="True" Margin="{StaticResource DialogSkirtButtonMargin}" Command="{Binding revert_cmd}" CommandParameter="{Binding selected_definition}" Width="90" ToolTip="{Binding revert_cmd_tooltip}">
-              Revert Algo
+            <Button ToolTipService.ShowOnDisabled="True" Margin="{StaticResource DialogSkirtButtonMargin}" Command="{Binding revert_cmd}" CommandParameter="{Binding selected_definition}" Width="100" ToolTip="{Binding revert_cmd_tooltip}">
+              <TextBlock Text="{Binding selected_definition.name, StringFormat='{}Revert {0}'}"/>
             </Button>
-          </x:Array>
-        </c:DialogSkirt.RightItems>
-      </c:DialogSkirt>
+          </StackPanel>
+        </Grid>
+      </ScrollViewer>
     </Grid>
   </AdornerDecorator>
 </UserControl>

src/client/spark/Modules/Trading/AlgoStudio/AlgoStudioView.xaml.cs

@@ -19,17 +19,6 @@ namespace mbts.ui.spark {
             Dispatcher.InvokeAsync(() => Keyboard.Focus(name_text_box));
       }
 
-      void _on_badge_color_picker_activated(object sender, MouseButtonEventArgs e) =>
-         _on_badge_color_picker_activated();
-
-      void _on_badge_color_picker_activated(object sender, KeyboardFocusChangedEventArgs e) =>
-         _on_badge_color_picker_activated();
-
-      void _on_badge_color_picker_activated() {
-         if (DataContext is AlgoStudioVM vm && vm.selected_definition != null)
-            vm.selected_definition.custom_badge_color.enabled = true;
-      }
-
       public static class VisualStateNames {
          public static class EditPane {
             public const string GroupName = nameof(EditPane);
@@ -55,7 +44,8 @@ namespace mbts.ui.spark {
 
             public static readonly string
                Populated = $"{GroupName}{nameof(Populated)}",
-               Unpopulated = $"{GroupName}{nameof(Unpopulated)}";
+               Unpopulated = $"{GroupName}{nameof(Unpopulated)}",
+               NotSupportedForTemplates = $"{GroupName}{nameof(NotSupportedForTemplates)}";
          }
 
          public static class BadgeSelector {

src/client/spark/Modules/Trading/AlgoStudio/AlgoStudioWindow.cs

@@ -9,7 +9,6 @@ using System.Collections.Generic;
 using System.Linq;
 using System.Reactive.Disposables;
 using System.Reactive.Linq;
-using System.Threading.Tasks;
 using System.Windows;
 using StartupData = bts.shell.AlgoStudioWindowFactory.StartupData;
 
@@ -69,12 +68,23 @@ namespace mbts.spark {
             .Subscribe(sec_map => _view.Resources[ResourceKeys.Securities] = sec_map));
          // add definition
          _commands.Add(new SparkCommandCommand("Add Algo", Icons.AddBoxes, _vm.add_definition_cmd));
-         _commands.Add(new SparkCommandCommand("Clone Algo", Icons.CopyBoxes, _vm.clone_selected_definition_cmd));
-         _commands.Add(new SparkCommandCommand("Save Algo", Icons.DiskFile, _vm.save_cmd) {
-            show_in_toolbar = _ui_configuration.can_save_specific
-         });
-         _commands.Add(new SparkCommandCommand("Save All", Icons.Disk, ObservantAsyncCommand.create(_vm.save_all, out var save_all_observer)));
-         _resources.Add(_vm.subscribe_dirty().OnDispatcher().Subscribe(save_all_observer));
+         // clone definition
+         var clone_selected_definition_spark_cmd = new SparkCommandCommand(string.Empty, Icons.DocumentCopy, _vm.clone_selected_definition_cmd);
+         _commands.Add(clone_selected_definition_spark_cmd);
+         _resources.Add(_vm.subscribe_definition().OnDispatcher().Subscribe(
+            def => clone_selected_definition_spark_cmd.title = def == null ? $"Clone (None Selected)" : $"Clone '{def.name}'"));
+         // save
+         if (_ui_configuration.can_save_specific) {
+            var content_is_dirty_src = _vm.subscribe_definition().SelectManyInSeries(def => def?.subscribe_is_definition_dirty() ?? Observable.Return(false));
+            _commands.Add(new ReactiveSparkCommand(_vm.subscribe_definition().OnDispatcher().Select(c => $"Save '{c?.name}'"), Icons.DiskFile, () => {
+               if (_vm.selected_definition is AlgoDefinitionVM d)
+                  _vm.save_definition(d).ignore();
+            }, content_is_dirty_src));
+         }
+         // save all
+         var save_all_cmd = new ObservantAsyncCommand(_vm.save_all);
+         _commands.Add(new SparkCommandCommand("Save All", Icons.Disk, save_all_cmd));
+         _resources.Add(_vm.subscribe_dirty().OnDispatcher().Subscribe(save_all_cmd));
          // undo/redo
          if (_ui_configuration.can_undo_redo) {
             // undo
@@ -107,11 +117,30 @@ namespace mbts.spark {
             _resources.Add(can_redo_source.Subscribe(redo_cmd));
          }
          // remove
-         _commands.Add(new SparkCommandCommand("Remove Algo", Icons.Trash, ObservantAsyncCommand.create<AlgoDefinitionVM>(
-            vm => BTSMessageBox.Confirm($"Are you sure you want to delete '{vm.name}?'", Title) ? _vm.remove_definition(vm) : Task.CompletedTask,
-            vm => vm != null,
-            out var remove_cmd_observer)));
-         _resources.Add(_vm.subscribe_definition().OnDispatcher().Subscribe(remove_cmd_observer));
+         var remove_spark_cmd = new ObservantSparkCommandCommand<IAlgoStudioContentVM>(Icons.Trash, v => $"Remove '{v?.name}'", v => v != null, value => {
+            if (value is AlgoDefinitionVM d) {
+               string prompt; MessageBoxImage icon;
+               if (d.key.mode == AlgoKey.Mode.Persisted) {
+                  prompt = $"Are you sure you want to delete '{d.name}?'";
+                  icon = MessageBoxImage.Question;
+               } else {
+                  // algo hasn't even been created yet (just an unsaved placeholder item), no need to get user confirmation in this case.
+                  prompt = null;
+                  icon = default;
+               }
+               if (prompt != null) {
+                  var resp = BTSMessageBox.Show(prompt, "Algo Studio", BTSMessageBoxButtons.Yes | BTSMessageBoxButtons.No, icon);
+                  switch (resp) {
+                     case BTSMessageBoxButtons.Yes: break;
+                     case BTSMessageBoxButtons.No:
+                     default: return;
+                  }
+               }
+               _vm.remove_definition(d).ignore();
+            }
+         });
+         _commands.Add(remove_spark_cmd);
+         _resources.Add(_vm.subscribe_definition().OnDispatcher().Subscribe(remove_spark_cmd));
       }
 
       void _dispose_core() {
@@ -120,4 +149,4 @@ namespace mbts.spark {
          Disposable.dispose(ref _vm);
       }
    }
-}
+}

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

@@ -6,39 +6,45 @@ using mbts.utils;
 using System;
 using System.Collections.Generic;
 using System.ComponentModel.Composition;
+using System.Reactive.Linq;
 using System.Threading.Tasks;
 
 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>();
+      IReadOnlyDictionary<AlgoKey, AlgoTemplateData> _algo_templates = DictionaryHelper.empty<AlgoKey, AlgoTemplateData>();
       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();
       }
 
       public IObservable<TableUpdate<AlgoData, AlgoKey>> definitions { get; }
+      public IObservable<TableUpdate<AlgoTemplateData, AlgoKey>> templates => Observable.Empty<TableUpdate<AlgoTemplateData, AlgoKey>>();
       public IAlgoDefinitionMetadataService metadata_service { get; }
       public bts.config.AlgoStudioOptions ui_configuration { get; } = config.Configuration.get<bts.config.AlgoStudioOptions>();
 
+      public IObservable<TableUpdate<AlgoTemplateData, AlgoKey>> subscribe_definition_templates(AlgoKey definition_key) =>
+         Observable.Return(TableUpdate<AlgoTemplateData, AlgoKey>.mk_empty(t => t.key));
+
       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)),
-            r => r.Success, r => r.ErrorMessage, "saving definition");
+            _with_key(new AlgoDefinitionUpdateRequest { UserId = _admin_model.user.id, Algo = _template(definition_data) }, definition_data.key)),
+            r => r.Success, r => r.ErrorMessage, "saving template");
          if (success)
             return _definition_data(new AlgoDefinitionRecordImmutable(value.Record));
          return null;
@@ -47,22 +53,23 @@ namespace mbts.spark {
       public async Task<bool> remove_definition(AlgoKey definition_key) {
          var req = new AlgoDefinitionRemoveRequest();
          _set_key(ref req, definition_key);
-         (AlgoDefinitionRemoveResponse resp, bool success) = await _error_reporter.safe_execute(
-            () => _service.remove_algo_definition_async(req),
-            r => r.Success,
-            r => r.ErrorMessage,
-            "remove definition");
+         (AlgoDefinitionRemoveResponse resp, bool success) = await _error_reporter.safe_execute(() => _service.remove_algo_definition_async(req), r => r.Success, r => r.ErrorMessage, "remove template");
          return success;
       }
 
+      public Task<AlgoTemplateData?> save_template(AlgoTemplateData template_data) => Task.FromResult((AlgoTemplateData?)null);
+
+      public Task<bool> remove_template(AlgoKey key) =>
+         Task.FromResult(false);
+
       public void Dispose() =>
          Disposable.dispose(ref _dispose);
 
-      static AlgoDefinition _api_definition(AlgoData definition_data) =>
+      static AlgoDefinition _template(AlgoData definition_data) =>
          new AlgoDefinition { Name = definition_data.name, Definition = definition_data.value.CloneToMutable() };
 
-      static AlgoDefinitionImmutable _api_definitioni(AlgoData definition_data) =>
-         new AlgoDefinitionImmutable(_api_definition(definition_data));
+      static AlgoDefinitionImmutable _templatei(AlgoData definition_data) =>
+         new AlgoDefinitionImmutable(_template(definition_data));
 
       static AlgoData _definition_data(AlgoDefinitionRecordImmutable recordi) =>
          AlgoData.from_record(recordi);
@@ -92,5 +99,11 @@ namespace mbts.spark {
             default: throw ExceptionBuilder.Argument.unexpected_case(key.mode, nameof(key));
          }
       }
+
+      void _report_error(string present_progressive_desc, string msg) =>
+      _error_reporter.report_error($"Error {present_progressive_desc}: {msg}", AlgoStudioWindow.NAME, System.Windows.MessageBoxImage.Warning);
+
+      void _report_no_user_id(string desc) =>
+         _error_reporter.report_error($"{desc} failed: did not find current user id");
    }
-}
+}

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

@@ -7,9 +7,13 @@ using System.Threading.Tasks;
 namespace mbts.spark {
    interface IAlgoStudioModel {
       IObservable<TableUpdate<AlgoData, AlgoKey>> definitions { get; }
+      IObservable<TableUpdate<AlgoTemplateData, AlgoKey>> templates { get; }
+      IObservable<TableUpdate<AlgoTemplateData, AlgoKey>> subscribe_definition_templates(AlgoKey definition_key);
       IAlgoDefinitionMetadataService metadata_service { get; }
       Task<AlgoData?> save_definition(AlgoData definition_data);
+      Task<AlgoTemplateData?> save_template(AlgoTemplateData template_data);
       Task<bool> remove_definition(AlgoKey definition_key);
+      Task<bool> remove_template(AlgoKey template_key);
       bts.config.AlgoStudioOptions ui_configuration { get; }
    }
 

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;
@@ -68,18 +68,13 @@ namespace mbts.spark {
             editing_permissions_mask ^= (AlgoEditingPermissions.AllowEditStructure | AlgoEditingPermissions.AllowSaveStructure);
          key = def_data.key;
          algos_view = ObservableAutoWrapper.create_sorted_wrapper(_algo_roots, AlgoCollectionHelper.algo_vm_comparer);
-         // badge color picker palettes
-         custom_badge_color_palettes.AddRange(ColorPalette.all_presets().Select(p => new ColorPaletteVM(p)));
-         var root_algo_color_item = new NamedColorVM(new NamedColor { name = "(Root Algo Type)" }, false);
-         var algo_type_color_palette = new ColorPaletteVM(ColorPalette.factory_order_colors_palette(model.factory));
-         algo_type_color_palette.named_colors.Insert(0, root_algo_color_item);
-         custom_badge_color_palettes.Insert(0, algo_type_color_palette);
-         //
+         custom_badge_color_palettes.AddRange(ColorPalette.all_presets(model.factory).Select(p => new ColorPaletteVM(p)));
          _version = new VersionContainer<Snapshot>(_snapshot);
          var conf = _model.algo_model.ui_configuration;
          // 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);
@@ -96,7 +91,6 @@ namespace mbts.spark {
          _can_undo = backing(nameof(can_undo), () => _edit_stack.get_can_undo(_version.value));
          _can_redo.Changed += on_can_redo_changed;
          _can_undo.Changed += on_can_undo_changed;
-         custom_badge_color.enabled_changed += on_use_custom_badge_color_changed;
          _refresh_on_local_changes = new DeferrableActionWrapper(on_local_changed);
          // load initial state
          // visible_algo_root is selected_template.algo_root if user can add templates, otherwise algo_root
@@ -109,13 +103,16 @@ namespace mbts.spark {
                as_demuxer().subscribe_many(_refresh_on_local_changes.execute, nameof(this.name), nameof(abbreviation), nameof(badge_fill)),
                _edit_pane_vs_model.add_source(VisualStateNames.BadgeSelector.GroupName, custom_badge_color.observe_nullable(true).Select(t => t.HasValue ? VisualStateNames.BadgeSelector.Active : VisualStateNames.BadgeSelector.Inactive)),
                _edit_pane_vs_model.add_source(VisualStateNames.Abbreviation.GroupName, _abbreviation.observe_current(true).Select(a => string.IsNullOrEmpty(a) ? VisualStateNames.Abbreviation.Unpopulated : VisualStateNames.Abbreviation.Populated)),
-               _algo_root.observe_current(true).SubscribeEach(vm => {
-                  if (vm != null) {
-                     root_algo_color_item.assign_color(vm.meta.Color.argb_color());
-                     return vm.subscribe_definition().Subscribe(_ => _refresh_on_local_changes.execute());
-                  }
-                  return null;
-               }),
+               _algo_root.observe_current(true).SubscribeEach(vm =>
+                  vm == null ? null :
+                     Disposable.Create(
+                        vm.subscribe_is_dirty().Subscribe(v => {
+                           if (!v) {
+                              _version.increment_version();
+                              _on_committed_changed();
+                           }
+                        }),
+                        vm.subscribe_definition().Subscribe(_ => _refresh_on_local_changes.execute()))),
                ObservableAutoWrapper.connect_item_hooks(algo_roots, a => a as IDisposable ?? Disposable.empty, true),
                Disposable.Create(() => {
                   _can_redo.Changed -= on_can_redo_changed;
@@ -132,6 +129,17 @@ 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)));
@@ -145,10 +153,6 @@ namespace mbts.spark {
          // local methods
          void on_can_redo_changed(bool oldval, bool newval) => can_redo_changed?.Invoke();
          void on_can_undo_changed(bool oldval, bool newval) => can_undo_changed?.Invoke();
-         void on_use_custom_badge_color_changed() {
-            if (!custom_badge_color.enabled && algo_root != null)
-               custom_badge_color.value = algo_root.meta.Color.argb_color();
-         }
          void on_local_changed() {
             _version.increment_version();
             if (algo_root != null)
@@ -186,10 +190,12 @@ namespace mbts.spark {
       public AlgoDisplayGroup group => key.display_group();
       public bool can_redo => _can_redo.Value;
       public bool can_undo => _can_undo.Value;
-      //public bool use_custom_badge_color
       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 +227,12 @@ 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 +253,17 @@ 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 +329,7 @@ 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 +351,7 @@ 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 +412,41 @@ 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 +460,7 @@ 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;
@@ -17,6 +13,7 @@ using System.Linq;
 using System.Reactive.Disposables;
 using System.Reactive.Linq;
 using System.Threading.Tasks;
+using System.Windows;
 using System.Windows.Input;
 using StartupData = bts.shell.AlgoStudioWindowFactory.StartupData;
 
@@ -41,6 +38,7 @@ 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;
@@ -73,42 +71,29 @@ 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;
                definitions_view.Refresh();
             }),
+            ObservableAutoWrapper.connect(subscribe_definition().Select(def => def?.edit_pane_visual_states ?? new ObservableCollection<string>()), content_visual_states),
             subscribe_definition().SelectManyInSeries(def => def?.subscribe_is_definition_dirty() ?? Observable.Return(false)).OnDispatcher()
-            .Subscribe(new CompositeObserver<bool>(save_cmd, revert_cmd) {
-               val => {
-                  _save_cmd_tooltip.refresh();
-                  _revert_cmd_tooltip.refresh();
-               }
-            }),
+            .Subscribe(new CompositeObserver<bool>(save_cmd, revert_cmd) { val => {
+               _save_cmd_tooltip.refresh();
+               _revert_cmd_tooltip.refresh();
+            } }),
             ObservableAutoWrapper.connect_item_hooks(definitions, d => new CompositeDisposable(_any_dirty_monitor.join(d), d), true));
          // local methods
          string get_revert_tooltip() {
             var def = selected_definition;
             return def != null && def.key.mode == AlgoKey.Mode.Persisted ?
-               (def.is_dirty ? $"Revert changes to '{def.name}'" : "No changes to revert") :
+               (def.is_dirty ? $"Revert changes to '{def.name}' templates" : "No changes to revert") :
                null;
          }
          async Task save_async(IAlgoStudioContentVM content) {
@@ -120,7 +105,7 @@ namespace mbts.spark {
             if (def != null) {
                switch (def.key.mode) {
                   case AlgoKey.Mode.Unpersisted: return def.is_dirty ? $"Save '{def.name}'" : $"Cannot Save '{def.name}'";
-                  case AlgoKey.Mode.Persisted: return def.is_dirty ? $"Save changes to '{def.name}'" : "No changes to save";
+                  case AlgoKey.Mode.Persisted: return def.is_dirty ? $"Save changes to '{def.name}' templates" : "No changes to save";
                }
             }
             return null;
@@ -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/Fills/FillsView.xaml.cs

@@ -31,5 +31,5 @@ namespace mbts.ui.spark {
          InitializeComponent();
    }
 
-   class FillsRowView : DIYGrid.HighPerformanceRow<FillsVM.Row> { }
+   class FillsRowView : DIYGrid.HighPerformanceRow<FillsVM.Row, FillsView.Columns> { }
 }

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

@@ -3,7 +3,7 @@ using bts.api;
 using bts.shell;
 using bts.shell.fills;
 using bts.spark;
-using bts.view;
+using bts.utils.csv;
 using mbts.persist;
 using mbts.ui;
 using mbts.ui.settings;
@@ -25,7 +25,6 @@ namespace mbts.spark {
       FillsVM _vm;
       FillsView _view;
       FillsSettings _state;
-      SparkMenuDisplayVM _menu_display_vm;
       IReadOnlyList<SparkCommand> _commands;
 
       public FillsWindow(FillsWindowFactory factory, IBus bus, OrdersModel orders_model, FillsSettings state, WindowSettingsManager<GridSettings> settings_manager)
@@ -40,10 +39,7 @@ namespace mbts.spark {
       public override UIElement Content => _view;
       public override IEnumerable<SparkCommand> Commands => _commands;
 
-      public override FillsSettings SaveState => _state = new FillsSettings(_state.orders, _vm.get_sorting_criterion().ToList(), _vm.get_filters(), _vm.get_grid_save_state()) {
-         menu_display = _menu_display_vm.safe_create()
-      };
-
+      public override FillsSettings SaveState => _state = new FillsSettings(_state.orders, _vm.get_sorting_criterion().ToList(), _vm.get_filters(), _vm.get_grid_save_state());
       public override double MinWidth =>
          FillsSettings.DefaultGridSettings.columns.Sum(gcs => gcs.width)
          + SPARK_MENU_COLLAPSED_WIDTH
@@ -55,12 +51,11 @@ namespace mbts.spark {
       public void thread_init() {
          _init_guard.check_access();
          Log.notnull(_state);
-         _menu_display_vm = new SparkMenuDisplayVM();
-         _menu_display_vm.load_from(_state.menu_display);
          _vm = new FillsVM(_bus, _orders_model, _state, _settings_manager);
          _view = new FillsView { DataContext = _vm };
 
          _commands = new List<SparkCommand> {
+            new SparkCommandCommand("Export to csv", Icons.Export, FileDialogCommand.export_csv(() => _vm.rows.ToCsv(FillsVM.Row.csv_ordered_properties), "Fills")),
             // wrap the grid settings view factory in a dialogCommand here since the vm is destroyed/recreated when the security criteria changes
             SparkCommands.window_settings_command(new DialogCommand(() => {
                var vm = new ShellSettingsDialogVM<GridSettings, SimpleGridSettingsVM>(
@@ -77,8 +72,7 @@ namespace mbts.spark {
                var dialog = new ShellSettingsDialog { DataContext = vm };
                vm.RequestClose += (s, e) => WindowUtilities.force_close(dialog);
                return dialog;
-            })),
-            _menu_display_vm.spark_cmd
+            }))
          };
       }
 
@@ -86,8 +80,5 @@ namespace mbts.spark {
          Disposable.dispose(ref _vm);
          Commands.OfType<IDisposable>().DisposeAll();
       }
-
-      protected override void OnParentViewCreated(SparkWindowView parent_view) =>
-         _menu_display_vm.safe_bind_to_view(parent_view);
    }
 }

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

@@ -21,8 +21,6 @@ namespace bts.shell.fills {
       public FillsFilterStates filters;
       [ProtoMember(4)]
       public GridSettings grid;
-      [ProtoMember(5)]
-      public SparkMenuDisplaySettings menu_display;
 
       public FillsSettings() { }
       public FillsSettings(uint[] orders) : this(orders, null, null) { }

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

@@ -1,18 +1,15 @@
 using bts.api.orderman;
-using bts.collections;
-using bts.persist.algo;
-using bts.proto;
-using bts.utils;
 using mbts.ui;
-using mbts.ui.settings;
-using mbts.ui.spark;
+using bts.utils;
 using ProtoBuf;
 using System;
-using System.Collections.Generic;
-using System.Collections.Immutable;
-using System.ComponentModel;
 using System.Linq;
 using System.Windows;
+using bts.proto;
+using mbts.ui.spark;
+using System.Collections.Generic;
+using System.ComponentModel;
+using mbts.ui.settings;
 
 namespace mbts.spark {
    // IMPORTANT: BE SURE TO ADD ANY NEW PROPERTIES TO THE EQUALS FUNCTION!
@@ -87,15 +84,6 @@ 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),
@@ -194,97 +182,33 @@ namespace mbts.spark {
          _type_hash;
    }
 
-   [Flags]
-   enum LadderFavoriteAlgoFlags {
-      Sticky = 1,
-      AutoRevert = 2,
-   }
-
-   /// <summary>
-   /// This struct contains properties for a single algo favorite item.
-   /// The various <see cref="AlgoPersistedKey"/> arrays in <see cref="LadderFavoriteAlgosSettings"/>,
-   /// can be used to create a collection of <see cref="LadderFavoriteAlgoItem"/>s.
-   /// In fact, the method <see cref="LadderFavoriteAlgosSettings.to_algo_items"/> does just that.
-   /// </summary>
-   readonly struct LadderFavoriteAlgoItem : IEquatable<LadderFavoriteAlgoItem> {
-      public readonly AlgoKey key;
-      public readonly int sort_index;
-      public readonly LadderFavoriteAlgoFlags flags;
-
-      public LadderFavoriteAlgoItem(AlgoKey key, int sort_index, LadderFavoriteAlgoFlags flags) {
-         this.key = key;
-         this.sort_index = sort_index;
-         this.flags = flags;
-      }
-
-      public bool Equals(LadderFavoriteAlgoItem other) =>
-         key == other.key &&
-         flags == other.flags;
-
-      public override bool Equals(object obj) =>
-         obj is LadderFavoriteAlgoItem other && Equals(other);
-
-      public override int GetHashCode() =>
-         key.GetHashCode();
-   }
-
    [ProtoContract]
    struct LadderFavoriteAlgosSettings : IEquatable<LadderFavoriteAlgosSettings> {
       [ProtoMember(1)]
-      readonly AlgoPersistedKey[] _favorite_algos;
+      readonly bts.persist.algo.AlgoPersistedKey[] _favorite_algos;
       [ProtoMember(2)]
       public readonly int column_count;
       [ProtoMember(3)]
-      readonly AlgoPersistedKey[] _stickied_algos;
-      [ProtoMember(4)]
-      readonly AlgoPersistedKey[] _auto_revert_algos;
+      readonly bts.persist.algo.AlgoPersistedKey[] _stickied_algos;
 
-      public LadderFavoriteAlgosSettings(AlgoKey[] favorite_algos, int column_count, AlgoKey[] stickied_algos, AlgoKey[] auto_revert_algos)
-         : this(ArrayHelper.safe_convert(favorite_algos, k => new AlgoPersistedKey(k.persisted)),
-              ArrayHelper.safe_convert(stickied_algos, k => new AlgoPersistedKey(k.persisted)),
-              ArrayHelper.safe_convert(auto_revert_algos, k => new AlgoPersistedKey(k.persisted)),
-              column_count) { }
+      public LadderFavoriteAlgosSettings(AlgoKey[] favorite_algos, int column_count, AlgoKey[] stickied_algos)
+         : this(ArrayHelper.safe_convert(favorite_algos, k => new bts.persist.algo.AlgoPersistedKey(k.persisted)),
+              column_count,
+              ArrayHelper.safe_convert(stickied_algos, k => new bts.persist.algo.AlgoPersistedKey(k.persisted))) { }
 
-      LadderFavoriteAlgosSettings(AlgoPersistedKey[] favorite_algos, AlgoPersistedKey[] stickied_algos, AlgoPersistedKey[] auto_revert_algos, int column_count) {
+      LadderFavoriteAlgosSettings(bts.persist.algo.AlgoPersistedKey[] favorite_algos, int column_count, bts.persist.algo.AlgoPersistedKey[] stickied_algos) {
          _favorite_algos = favorite_algos;
-         _stickied_algos = stickied_algos;
-         _auto_revert_algos = auto_revert_algos;
          this.column_count = column_count;
+         _stickied_algos = stickied_algos;
       }
 
-      public IReadOnlyList<AlgoKey> favorite_algos => _favorite_algos?.WrapSelectorRO(pk => pk.to_algo_key()) ?? Array.Empty<AlgoKey>();
-      public IReadOnlyList<AlgoKey> stickied_algos => _stickied_algos?.WrapSelectorRO(pk => pk.to_algo_key()) ?? Array.Empty<AlgoKey>();
-      public IReadOnlyList<AlgoKey> auto_revert_algos => _auto_revert_algos?.WrapSelectorRO(pk => pk.to_algo_key()) ?? Array.Empty<AlgoKey>();
-
-      /// <summary>
-      /// A more sane representation of the data contained in this proto,
-      /// so callers don't need to join the various key lists together to determine which algos are sticky, auto revert, etc.
-      /// </summary>
-      /// <returns>An immutable dictionary of favorite algo data.</returns>
-      public ImmutableDictionary<AlgoKey, LadderFavoriteAlgoItem> build_map() {
-         var map = ImmutableDictionary.CreateBuilder<AlgoKey, LadderFavoriteAlgoItem>();
-         if (_favorite_algos != null) {
-            var stickied_algo_set = new HashSet<AlgoKey>(stickied_algos);
-            var auto_revert_algo_set = new HashSet<AlgoKey>(auto_revert_algos);
-            for (int i = 0; i < _favorite_algos.Length; i++) {
-               var pk = _favorite_algos[i];
-               var k = pk.to_algo_key();
-               var flags = (LadderFavoriteAlgoFlags)0;
-               if (stickied_algo_set.Contains(k))
-                  flags |= LadderFavoriteAlgoFlags.Sticky;
-               if (auto_revert_algo_set.Contains(k))
-                  flags |= LadderFavoriteAlgoFlags.AutoRevert;
-               map[k] = new LadderFavoriteAlgoItem(k, i, flags);
-            }
-         }
-         return map.ToImmutable();
-      }
+      public IReadOnlyList<AlgoKey> favorite_algos => ArrayHelper.safe_convert(_favorite_algos, k => k.to_algo_key());
+      public IReadOnlyList<AlgoKey> stickied_algos => ArrayHelper.safe_convert(_stickied_algos, k => k.to_algo_key());
 
       public bool Equals(LadderFavoriteAlgosSettings other) =>
          column_count == other.column_count &&
          favorite_algos.SequenceEqual(other.favorite_algos) &&
-         stickied_algos.SequenceEqual(other.stickied_algos) &&
-         auto_revert_algos.SequenceEqual(other.auto_revert_algos);
+         stickied_algos.SequenceEqual(other.stickied_algos);
 
       public override bool Equals(object obj) =>
          EqualityComparer.equals_obj(this, obj);
@@ -293,8 +217,7 @@ namespace mbts.spark {
          EqualityComparer.aggregate_hash(
             column_count,
             EqualityComparer.aggregate_hash_limited(favorite_algos),
-            EqualityComparer.aggregate_hash_limited(stickied_algos),
-            EqualityComparer.aggregate_hash_limited(auto_revert_algos));
+            EqualityComparer.aggregate_hash_limited(stickied_algos));
 
       public static bool operator ==(LadderFavoriteAlgosSettings a, LadderFavoriteAlgosSettings b) => a.Equals(b);
       public static bool operator !=(LadderFavoriteAlgosSettings a, LadderFavoriteAlgosSettings b) => !a.Equals(b);
@@ -323,8 +246,6 @@ 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;
@@ -360,7 +281,7 @@ namespace mbts.spark {
          order_entry_panel_initial_width = _default_order_entry_panel_width;
          zoom_factor = _default_zoom_factor;
          use_defaults = true;
-         favorite_algos = new LadderFavoriteAlgosSettings(null, 2, null, null);
+         favorite_algos = new LadderFavoriteAlgosSettings(null, 2, null);
          show_warn_on_cross = _default_show_warn_on_cross;
          enforce_max_clip = _default_enforce_max_clip;
          status_message_visible = true;
@@ -603,9 +524,6 @@ 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 +629,7 @@ 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

@@ -70,11 +70,7 @@ namespace bts.shell {
          if (version < _version_where_stickied_algos_introduced) {
             // We want to assign any existing favorite algos to stickied algos upon setting upgrade
             var favorite_algos_array = state.settings.favorite_algos.favorite_algos.ToArray();
-            state.settings.favorite_algos = new LadderFavoriteAlgosSettings(
-               favorite_algos_array,
-               state.settings.favorite_algos.column_count,
-               favorite_algos_array,
-               state.settings.favorite_algos.auto_revert_algos.ToArray());
+            state.settings.favorite_algos = new LadderFavoriteAlgosSettings(favorite_algos_array, state.settings.favorite_algos.column_count, favorite_algos_array);
          }
          return load(state);
       }
@@ -100,7 +96,6 @@ 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 +109,7 @@ 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 +268,10 @@ 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));
       }
 
@@ -270,15 +268,14 @@ namespace mbts.spark {
          }
       }
 
-      // on Stop/Limit order updates
-      //   When not triggered, allow for modification to StopPrice
-      //   else treat modification as normal (Price)
       public async void try_set_price(OrderRecordImmutable order, double new_price) {
+         // don't change stop or stop_limits => server crash
+         if (order.order_type() == bts.api.orderman.CustomOrderDefinition.CustomOneofCase.Stop || order.order_type() == bts.api.orderman.CustomOrderDefinition.CustomOneofCase.StopLimit) return;
          if (order.working_quantity() <= 0) return;
          _phantom_price = new_price;
          RaisePropertyChanged(nameof(price));
          ++_n_active_price_change_ops;
-         if (await _owner.model.order_gateway.update_order(order, new_price, order.State.Quantity, null)) {
+         if (await _owner.model.order_gateway.update_order(order, new_price, order.State.Quantity)) {
             // wait 3 secs, then give up if price change still hasn't taken effect
             await Task.Delay(3000);
          }

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;
@@ -17,7 +15,6 @@ using mbts.ui.utility;
 using mbts.utils;
 using System;
 using System.Collections.Generic;
-using System.Collections.Immutable;
 using System.Collections.ObjectModel;
 using System.Collections.Specialized;
 using System.ComponentModel;
@@ -46,8 +43,7 @@ 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 +112,7 @@ 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 +141,7 @@ 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 +189,6 @@ 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 +369,6 @@ 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 +447,6 @@ 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;
       }
 
@@ -769,17 +746,15 @@ namespace mbts.spark {
          readonly IObservableCollection<AlgoDefinitionVM> _algo_definitions;
          readonly ObservableCollection<FavoriteAlgoItem> _raw_items = new ObservableCollection<FavoriteAlgoItem>();
          int _column_count = 2;
-         ImmutableHashSet<AlgoPersistedKey>
-            _sticky_algo_keys,
-            _auto_revert_algo_keys;
-         IDisposable _algo_data_hook;
+         HashSet<AlgoPersistedKey> _sticky_algo_keys;
+         IDisposable _sticky_algos_hook;
 
          public FavoriteAlgosVM(IObservableCollection<AlgoDefinitionVM> algo_definitions) {
             _algo_definitions = algo_definitions;
             items = new ObservableAggregateCollection<FavoriteAlgoItem>(_raw_items, new ObservableCollection<FavoriteAlgoItem> { FavoriteAlgoItem.AddButtonPlaceholderItem });
             add_item_cmd = new DelegateCommand(() => _raw_items.Add(_item_factory()));
             remove_item_cmd = new DelegateCommand<FavoriteAlgoItem>(fai => _raw_items.Remove(fai));
-            _dispose = Disposable.Create(() => Disposable.dispose(ref _algo_data_hook));
+            _dispose = Disposable.Create(() => Disposable.dispose(ref _sticky_algos_hook));
          }
 
          public ObservableCollection<FavoriteAlgoItem> items { get; }
@@ -796,47 +771,32 @@ namespace mbts.spark {
                fai.selector.try_select(k);
                return fai;
             }));
-            _algo_data_hook?.Dispose();
-            _sticky_algo_keys = ImmutableHashSet.CreateRange(value.stickied_algos.Where(k => k.is_persisted).Select(x => new AlgoPersistedKey(x.persisted)));
-            _auto_revert_algo_keys = ImmutableHashSet.CreateRange(value.auto_revert_algos.Where(k => k.is_persisted).Select(x => new AlgoPersistedKey(x.persisted)));
-            var sticky_algos = _sticky_algo_keys;
-            var auto_revert_algos = _auto_revert_algo_keys;
-            _algo_data_hook = ObservableAutoWrapper.connect_item_hooks(_raw_items, x =>
-               x.selector.subscribe_value().Subscribe(algo => {
-                  if (algo != null && algo.key.is_persisted) {
-                     var pk = new AlgoPersistedKey(algo.key.persisted);
-                     // sticky
-                     x.is_sticky = _sticky_algo_keys.Contains(pk);
-                     sticky_algos = sticky_algos.Remove(pk);
-                     // auto revert
-                     x.auto_revert = _auto_revert_algo_keys.Contains(pk);
-                     auto_revert_algos = auto_revert_algos.Remove(pk);
-                     if (sticky_algos.Count == 0 && auto_revert_algos.Count == 0)
-                        Disposable.dispose(ref _algo_data_hook);
-                  }
-               }));
+            _sticky_algo_keys = new HashSet<AlgoPersistedKey>(value.stickied_algos.Where(k => k.is_persisted).Select(x => new AlgoPersistedKey(x.persisted)));
+            Disposable.replace(ref _sticky_algos_hook,
+               ObservableAutoWrapper.connect_item_hooks(_raw_items, x =>
+                  x.selector.subscribe_value().Subscribe(algo => {
+                     if (algo != null &&
+                        algo.key.is_persisted &&
+                        (x.is_sticky = _sticky_algo_keys.Remove(new AlgoPersistedKey(algo.key.persisted))) &&
+                        _sticky_algo_keys.Count == 0)
+                        //
+                        Disposable.dispose(ref _sticky_algos_hook);
+                  })));
          }
 
-         public LadderFavoriteAlgosSettings create() {
-            return new LadderFavoriteAlgosSettings(_raw_items
+         public LadderFavoriteAlgosSettings create() =>
+            new LadderFavoriteAlgosSettings(_raw_items
                .Select(fai => fai.algo_definition?.key ?? fai.selector.desired_key)
                .Where(k => k.HasValue && k.Value.is_persisted)
                .Select(k => k.Value)
                .ToArray(),
                column_count,
-               // sticky
-               build_filtered_algo_array(fai => fai.is_sticky),
-               // auto revert
-               build_filtered_algo_array(fai => fai.auto_revert));
-
-            AlgoKey[] build_filtered_algo_array(Func<FavoriteAlgoItem, bool> filter) =>
                _raw_items
-               .Where(filter)
+               .Where(fai => fai.is_sticky)
                .Select(fai => fai.algo_definition?.key ?? fai.selector.desired_key)
                .Where(k => k.HasValue && k.Value.is_persisted)
                .Select(k => k.Value)
-               .ToArray();
-         }
+               .ToArray());
 
          FavoriteAlgoItem _item_factory() =>
             new FavoriteAlgoItem(_algo_definitions, new ListCollectionView<AlgoDefinitionVM>(_algo_definitions) {
@@ -849,9 +809,7 @@ namespace mbts.spark {
          public static readonly FavoriteAlgoItem AddButtonPlaceholderItem = new _AddButtonPlaceholderItem();
 
          internal readonly KeyedItemSelector<AlgoDefinitionVM, AlgoKey> selector;
-         bool
-            _auto_revert,
-            _is_sticky;
+         bool _is_sticky;
 
          protected FavoriteAlgoItem() { }
 
@@ -862,7 +820,6 @@ namespace mbts.spark {
 
          public ICollectionView<AlgoDefinitionVM> algo_definitions_view { get; }
          public AlgoDefinitionVM algo_definition { get => selector.value; set => selector.value = value; }
-         public bool auto_revert { get => _auto_revert; set => Set(ref _auto_revert, value); }
          public bool is_sticky { get => _is_sticky; set => Set(ref _is_sticky, value); }
 
          class _AddButtonPlaceholderItem : FavoriteAlgoItem, ITemplateSelectorKey {

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;
@@ -8,11 +8,9 @@ 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;
-using System.Collections.Immutable;
 using System.Collections.ObjectModel;
 using System.Collections.Specialized;
 using System.Linq;
@@ -36,6 +34,7 @@ namespace mbts.spark {
          _show_tif, _show_order_type, _show_size_preset, _show_auto_clear, _show_clear, _show_cancel_buys,
          _show_cancel_sells, _show_cancel_all, _show_zoom, _show_status_message;
       readonly PropertyAutoWrapper<LadderSettings, Brush> _bid_background, _bid_foreground, _ask_background, _ask_foreground;
+      readonly HashSet<AlgoKey> _sticky_algos = new HashSet<AlgoKey>();
       double
          _position,
          _day_position,
@@ -50,7 +49,6 @@ namespace mbts.spark {
       IEqualityComparer<double> _equality;
       Dictionary<double, LadderOrderVM> _slot_price_vs_orders;
       IReadOnlyDictionary<uint, OrderSecurity> _cache = DictionaryHelper.empty<uint, OrderSecurity>();
-      ImmutableDictionary<AlgoKey, LadderFavoriteAlgoItem> _favorite_algo_map = ImmutableDictionary<AlgoKey, LadderFavoriteAlgoItem>.Empty;
 
       public static LadderVM create(IBus bus, LadderModel model, LadderSettings init, IObservable<LadderSettings> settings) =>
          new LadderVM(bus, model, init, settings, new OrderPropertiesEditorVM(model.order_gateway, Observable.Return(model.security_md), settings.Select(s => new InlineOrderProperties(model.order_gateway, s))));
@@ -67,8 +65,6 @@ 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);
@@ -172,9 +168,17 @@ namespace mbts.spark {
 
                foreach (var os in _cache.Values) {
                   var wo = os.order;
-                  var slot_price_target = wo.ui_price();
+                  var slot_price_target = wo.price();
                   var order_type = wo.order_type();
                   var filled = wo.filled();
+                  if (order_type == CustomOrderDefinition.CustomOneofCase.Stop) {
+                     // if the stop order has been submitted but hasn't been triggered
+                     // we draw the badge at the stop/trigger price, else the price price
+                     if (filled == 0) { slot_price_target = wo.stop_price(); }
+                  } else if (order_type == CustomOrderDefinition.CustomOneofCase.StopLimit) {
+                     // consistent behavior as Stop order above.
+                     if (filled == 0) { slot_price_target = wo.stop_limit_price(); }
+                  }
 
                   if (_slot_price_vs_orders.TryGetValue(slot_price_target, out LadderOrderVM slot_vm)) {
                      slot_vm.add_order((wo, os.piq, os.algo, os.meta));
@@ -235,8 +239,8 @@ namespace mbts.spark {
                   .Select(table => table.state.Values.FirstOrDefault(pos => pos.Item2.Account == a, tup => tup.Item2, (bts.api.position.PositionUnitImmutable?)null)));
             return Disposable.Create(
                settings.OnDispatcher().Subscribe(s => {
-                  _favorite_algo_map = s.favorite_algos.build_map();
-                  order_properties_vm.on_favorite_algos(_favorite_algo_map, s.favorite_algos.column_count);
+                  _sticky_algos.SetItems(s.favorite_algos.stickied_algos);
+                  order_properties_vm.on_favorite_algos(s.favorite_algos);
                }),
                order_properties_vm,
                position_src.OnDispatcher().Subscribe(pos => {
@@ -260,11 +264,7 @@ 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 +299,6 @@ 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 +376,14 @@ 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 +397,7 @@ 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;
@@ -411,9 +409,9 @@ namespace mbts.spark {
 
       internal OrderRecordImmutable get_root_at_price((OrderRecordImmutable order, uint? _, AlgoData? __, AlgoDefinitionMetadata? meta) op) {
          var order = op.order;
-         double p = order.ui_price();
+         double p = order.price();
          foreach (var o in lineage(order.ParentKey)) {
-            if (_equality.Equals(p, o.ui_price()))
+            if (_equality.Equals(p, o.price()))
                order = o;
          }
          return order;
@@ -453,27 +451,15 @@ 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 +476,11 @@ 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 +493,6 @@ 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) {
@@ -528,37 +510,14 @@ namespace mbts.spark {
          if (auto_clear)
             size_calculator.value = 0;
          var fav_algo = order_properties_vm.selected_favorite_algo_definition;
-         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));
-                  if (order_properties_vm.try_get_algo_definition(key, out var r)) {
-                     order_properties_vm.selected_algo_definition = r;
-                  }
-               }
-               if (d.flags.HasFlag(LadderFavoriteAlgoFlags.AutoRevert))
-                  fav_algo.algo_root.revert_all_params();
+         if (fav_algo != null && !_sticky_algos.Contains(fav_algo.key) && !order_properties_vm.try_pop_selected_algo_definition()) {
+            var key = new AlgoKey(OrderDataHelper.get_default_algo(OrderDataHelper.get_algo_format(security.ContractCase)));
+            if (order_properties_vm.try_get_algo_definition(key, out var r)) {
+               order_properties_vm.selected_algo_definition = r;
             }
          }
       }
 
-      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

@@ -28,8 +28,7 @@ using System.Windows.Media.Animation;
 
 namespace mbts.spark {
    partial class LadderGridHost : Control {
-      const int _min_row_count = 501, _max_row_count = 2001;
-
+      const int _min_row_count = 501, _max_row_count = 2001, _column_min_width = 8;
       int _row_count = _min_row_count;
 
       readonly VisualHost _visualHost = new VisualHost();
@@ -53,7 +52,7 @@ 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 +65,7 @@ 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;
@@ -110,8 +108,6 @@ namespace mbts.spark {
 
       public event Action visible_columns_changed;
 
-      public static double ColumnMinWidth => 6;
-
       public IEnumerable<ColumnType> visible_column_types =>
          columns.Where(c => c.settings.show)
          .Select(c => c.column_type);
@@ -353,9 +349,7 @@ 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 +465,7 @@ 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 +486,6 @@ 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 +531,14 @@ 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 != null) {
+            var price = _price_list[row];
+            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;
       }
 
 
@@ -610,7 +572,7 @@ namespace mbts.spark {
             case ColumnType.Price: new_col_width = (int)price_column_width; break;
             case ColumnType.Ask: new_col_width = (int)ask_column_width; break;
             case ColumnType.Volume: new_col_width = (int)VolumeColumnWidth; break;
-            default: new_col_width = (int)Math.Max((double)column.settings.width + adjustment, ColumnMinWidth); break;
+            default: new_col_width = (int)Math.Max((double)column.settings.width + adjustment, _column_min_width); break;
          }
          int true_adj = new_col_width - (int)column.settings.width;
          column.settings.width = (uint)new_col_width;
@@ -661,7 +623,7 @@ 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 +661,10 @@ 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 +701,7 @@ 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 +817,7 @@ 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 +859,21 @@ 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 +895,7 @@ 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 +918,7 @@ 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 +1023,7 @@ 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 +1031,7 @@ 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 +1039,7 @@ 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 +1076,7 @@ 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 +1125,6 @@ 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

@@ -828,7 +828,6 @@
                       <ColumnDefinition Width="Auto" SharedSizeGroup="c0"/>
                       <ColumnDefinition Width="*"/>
                       <ColumnDefinition Width="Auto" SharedSizeGroup="c1"/>
-                      <ColumnDefinition Width="Auto" SharedSizeGroup="c2"/>
                     </Grid.ColumnDefinitions>
                     <Button Command="{Binding DataContext.remove_item_cmd, RelativeSource={RelativeSource AncestorType=ItemsControl}}" CommandParameter="{Binding}" Style="{StaticResource RoundCloseButton}"/>
                     <ComboBox Grid.Column="1" ItemsSource="{Binding algo_definitions_view}" SelectedItem="{Binding algo_definition}">
@@ -838,12 +837,7 @@
                         </DataTemplate>
                       </ComboBox.ItemTemplate>
                     </ComboBox>
-                    <CheckBox Grid.Column="2" FontSize="10" VerticalAlignment="Center" VerticalContentAlignment="Center" IsChecked="{Binding is_sticky}" ToolTip="Stay Enabled" Margin="4,0">
-                      Stay Enabled
-                    </CheckBox>
-                    <CheckBox Grid.Column="3" FontSize="10" VerticalAlignment="Center" VerticalContentAlignment="Center" IsChecked="{Binding auto_revert}" ToolTip="Auto Revert" Margin="0,0,4,0">
-                      Auto Revert
-                    </CheckBox>
+                    <CheckBox Grid.Column="2" VerticalAlignment="Center" VerticalContentAlignment="Center" IsChecked="{Binding is_sticky}"> Stay Enabled?</CheckBox>
                   </Grid>
                 </DataTemplate>
               </u:KeyedTemplateSelector.Default>
@@ -1019,47 +1013,45 @@
       <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

@@ -48,7 +48,7 @@
         <Setter Property="BorderThickness" Value="0,0,1,0"/>
         <Setter Property="HorizontalContentAlignment" Value="Center" />
         <Setter Property="Height" Value="23" />
-        <Setter Property="MinWidth" Value="{x:Static spark:LadderGridHost.ColumnMinWidth}"/>
+        <Setter Property="MinWidth" Value="30" />
         <Setter Property="Template">
           <Setter.Value>
             <ControlTemplate TargetType="{x:Type GridViewColumnHeader}">
@@ -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

@@ -2,7 +2,6 @@ using bts.api;
 using bts.api.core;
 using bts.api.position;
 using bts.collections;
-using bts.utils;
 using mbts;
 using mbts.spark;
 using mbts.ui;
@@ -68,7 +67,7 @@ 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 +125,7 @@ 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 +209,11 @@ 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/MiniOrderBook/MiniOrderBookView.xaml.cs

@@ -22,7 +22,7 @@ namespace mbts.spark {
          DataContext = vm;
    }
 
-   class MiniOrderBookRowView : DIYGrid.HighPerformanceRow<OrderBookRowVM> {
+   class MiniOrderBookRowView : DIYGrid.HighPerformanceRow<OrderBookRowVM, OrderBookGridView.ColumnKeys> {
       public MiniOrderBookRowView() : base() {
          FocusManager.SetIsFocusScope(this, true);
          KeyboardNavigation.SetTabNavigation(this, KeyboardNavigationMode.Cycle);

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);
       }
 
@@ -650,13 +650,12 @@ namespace mbts.spark {
          ListSortDirection? _cached_sort_direction;
 
          public OrderBookLastMessageColumn(IDataGridColumnPersistentFilter<OrderSecurityRootPair, string> filter)
-            : base(Columns.LastMessage, filter, DataGridFilterKnownTemplates.Regex) {
+            : base(Columns.LastMessage, new Binding(nameof(OrderBookRowVM.last_msg)), filter, DataGridFilterKnownTemplates.Regex) {
             id = key.ToString();
             this.filter = filter;
             Header = "Last Message";
             Width = DefaultColumnWidths.LastMessage;
-            TextBinding = new Binding(nameof(OrderBookRowVM.last_msg));
-            ToolTipBinding = new Binding(nameof(OrderBookRowVM.last_msg));
+            tooltip_binding = new Binding(nameof(OrderBookRowVM.last_msg));
          }
 
          public new IDataGridColumnPersistentFilter<OrderSecurityRootPair, string> filter { get; }
@@ -1163,7 +1162,7 @@ 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;
@@ -88,25 +119,21 @@ namespace mbts.spark {
       public DateTime last_change => order.last_change();
       public string last_change_text => _fmt_date(last_change);
       public OrderStatus status => order.status();
-      public double price => order.ui_price();
+      public double price => order.price();
       public double last_price => order.last_price();
       public double avg_price => order.avg_price();
       public string price_text => _fmt_price(price);
       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 +300,21 @@ 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 +391,6 @@ 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 +429,6 @@ namespace mbts.spark {
                Columns.LastMessage |
                Columns.Piq,
             filled_status_desc_mask =
-               Columns.Security |
                Columns.Filled |
                Columns.AvgFilled |
                Columns.Status;
@@ -463,7 +445,7 @@ namespace mbts.spark {
                dirty |= Columns.LastPrice;
             if (oldval.order.order.avg_price() != newval.order.order.avg_price())
                dirty |= Columns.AvgFilled;
-            if (oldval.order.order.ui_price() != newval.order.order.ui_price())
+            if (oldval.order.order.price() != newval.order.order.price())
                dirty |= Columns.Price;
             if (oldval.order.order.quantity() != newval.order.order.quantity())
                dirty |= Columns.Size;

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 +1,16 @@
-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.shell;
 using mbts.ui.spark;
-using mbts.ui.utilities;
 using mbts.ui.utility;
 using mbts.utils;
 using System;
@@ -27,38 +26,26 @@ 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;
       OrderBookView _view;
       OrderBookWindowFactory _factory;
-      SparkMenuDisplayVM _menu_display_vm;
       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;
       }
 
-      public override OrderBookStartupData SaveState {
-         get {
-            _state = _vm?.create();
-            if (_state != null)
-               _state.menu_display = _menu_display_vm.safe_create();
-            return _state;
-         }
-      }
+      public override OrderBookStartupData SaveState => _state = _vm?.create();
 
       public override string window_type => _window_type;
       public override UIElement Content => _view;
@@ -71,17 +58,12 @@ 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);
          _vm = new OrderBookVM(_bus, _notification_service, _model, _settings_manager);
          _vm.load_from(_state);
          _view = new OrderBookView(_vm);
@@ -156,15 +138,6 @@ 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",
@@ -212,36 +185,25 @@ 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,
             // hidden cmds (i.e., keyboard shortcuts at window level)
             hidden_cmd(new SparkCommandCommand(OrderBookView.CommandDescriptions.ModifyOrders, null, _vm.modify_selected_orders_cmd, OrderBookView.KeyboardShortcuts.ModifyOrders)),
-            hidden_cmd(new SparkCommandCommand(OrderBookView.CommandDescriptions.RevertOrders, null, _vm.revert_selected_orders_cmd, OrderBookView.KeyboardShortcuts.RevertOrders)),
-            _menu_display_vm.spark_cmd
+            hidden_cmd(new SparkCommandCommand(OrderBookView.CommandDescriptions.RevertOrders, null, _vm.revert_selected_orders_cmd, OrderBookView.KeyboardShortcuts.RevertOrders))
          };
-         _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;
@@ -263,45 +225,13 @@ 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) {
+      protected override void OnParentViewCreated(SparkWindowView parent_view) =>
          Disposable.replace(ref _attachment_exit_sub, parent_view.SubscribePreviewKeyDown((s, e) => {
             if (e.Key == Key.Escape || (e.Key == Key.Z && KeyboardExtensions.IsCtrlDown()))
                _vm.is_attaching_orders = false;
          }));
-         _menu_display_vm.safe_bind_to_view(parent_view);
-      }
 
       static class CommandGroups {
          public const string

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/Settings/OrderBookFilterStates.cs

@@ -144,7 +144,7 @@ namespace bts.shell.orderbook {
          pb.add_discrete_values(fs.symbols, o => o.order.security?.Symbol);
          // numeric
          pb.add_numeric(fs.qty, o => o.order.order.quantity());
-         pb.add_price(fs.price, o => o.order.order.ui_price(), o => o.order.security);
+         pb.add_price(fs.price, o => o.order.order.price(), o => o.order.security);
          pb.add_numeric(fs.qty_filled, o => o.order.order.filled());
          pb.add_numeric(fs.avg_price, o => o.order.order.avg_price());
          pb.add_numeric(fs.last_price, o => o.order.order.last_price());

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

@@ -65,9 +65,6 @@ namespace bts.shell.orderbook {
       // use defaults
       [ProtoMember(25)]
       public bool use_defaults;
-      // menu display
-      [ProtoMember(27)]
-      public SparkMenuDisplaySettings menu_display { get; set; }
 
       /// <summary>
       /// Please use <see cref="Default"/> to get a new instance (the only reason the default constructor still exists is for ProtoBuf deserialization).

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/OrderBookGridView.xaml.cs

@@ -99,7 +99,7 @@ namespace mbts.spark {
       }
    }
 
-   class OrderBookRowView : DIYGrid.HighPerformanceRow<OrderBookRowVM> {
+   class OrderBookRowView : DIYGrid.HighPerformanceRow<OrderBookRowVM, OrderBookGridView.ColumnKeys> {
       public OrderBookRowView() : base() { }
    }
 }

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

@@ -1,428 +1,375 @@
-using bts.api;
-using bts.api.position;
-using bts.collections;
-using bts.settings;
-using bts.shell.pnl;
-using bts.spark;
-using bts.utils;
-using bts.view;
-using mbts;
-using mbts.config;
-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;
-using System;
-using System.Collections.Generic;
-using System.Collections.Immutable;
-using System.Collections.Specialized;
-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;
-
-namespace bts.shell {
-   class PNLWindowFactory : ShellWindowFactory<PNLSaveState> {
-      const string _window_type = "PNL", _window_title = "PNL";
-      readonly IBus _bus;
-      readonly OrdersModel _orders_model;
-      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) {
-         _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);
-      }
-
-      public override Task<IShellWindow> load(PNLSaveState state) =>
-         Task.FromResult(_create(state.settings));
-
-      void _show(PNLSettings settings) =>
-         _bus.post(SparkTags.ShowWindow, _create(settings));
-
-      IShellWindow _create(PNLSettings settings) {
-         var settings_manager = _settings_hub.create_pnl_settings_manager(settings);
-         // Need to keep a local copy of the columns, since they are defined in xaml (not the viewmodel), and get_save_state may be called on a non-dispatcher thread.
-         // If that happens, we would be unable to access _grid.Columns, and thus unable to get the current column settings.
-         // Use an ImmutableList to avoid any threading issues when responding to CollectionChanged events on the dispatcher thread.
-         ImmutableList<DIYGrid.ColumnBase> cached_columns = ImmutableList<DIYGrid.ColumnBase>.Empty;
-         Action<SparkWindowView> on_parent_view_created_impl = null;
-         return SparkWindow<PNLSaveState>.create(_window_type, _window_title, _bus, this, Icons.Accounting, _thread_id_provider.next_id(), () => {
-            var init_settings = settings ?? PNLSettings.Default;
-            var menu_display_vm = new SparkMenuDisplayVM();
-            menu_display_vm.load_from(init_settings.menu_display);
-            on_parent_view_created_impl = menu_display_vm.safe_bind_to_view;
-            var vm = new PNLVM(_bus, _orders_model, init_settings);
-            var content = new PNLView {
-               DataContext = vm
-            };
-            vm.sorting_changed += sh => {
-               try {
-                  DIYGridSortHelper.set_sort_directions(sh, content._grid.Columns);
-               } catch { }
-            };
-            vm.SubscribeDisposed(
-               DIYGridSortHelper.observe_active_comparers<PNLView.Columns, PNLRowVM>(content._grid, PNLVM.get_column_comparer)
-               .OnDispatcher()
-               .Subscribe(sh => vm.sorting_hierarchy = sh.Select(s => (s.key, s.direction)).ToList()));
-            cached_columns = ImmutableList<DIYGrid.ColumnBase>.Empty.AddRange(content._grid.Columns);
-
-            Func<PNLSaveState> get_save_state = () => {
-               var cols = cached_columns.ToArray(c => c.create());
-               var filters = vm.get_filters_states();
-               var sorting_criterion = vm.sorting_hierarchy.Select(tup => new SortingCriteria(tup.key.ToString(), tup.direction == ListSortDirection.Ascending)).ToArray();
-               var calc_type = vm.calculation_type;
-               var state = settings_manager.instance_settings;
-               if (state == null) {
-                  // don't use defaults if the user manipulated the window state outside of the settings dialog (e.g., resized column(s) via drag, or changed sort/filter)
-                  var defaults = settings_manager.default_settings;
-                  if (calc_type == defaults.calculation_type &&
-                     defaults.sorting_criterion.SequenceEqual(sorting_criterion) &&
-                     defaults.grid.columns.SequenceEqual(cols) && defaults.filters.safe_equals(filters)) {
-                     // the user's current state still matches the defaults (i.e., no outside manipulation was performed); return null so this window will use the latest default settings when restored
-                     return new PNLSaveState { use_defaults = true, settings = null };
-                  }
-                  state = defaults;
-               }
-               // assign latest values, as they may have be modified outside of the settings dialog (in which case the settings manager would be out of date)
-               state = state.with(
-                  sorting_criterion,
-                  vm.anchors,
-                  filters,
-                  state.grid.with(columns: cols, background: vm.grid_background_color.rgb_color()),
-                  calc_type,
-                  vm.header_row_display,
-                  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))),
-               new SparkCommandCommand("Play", Icons.Play, new DelegateCommand(() => vm.is_paused = false)) {
-                  show_in_context_menu = _pnl_conf.show_pause_resume,
-                  show_in_toolbar = _pnl_conf.show_pause_resume
-               },
-               new SparkCommandCommand("Pause", Icons.Pause, new DelegateCommand(() => vm.is_paused = true)) {
-                  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>(
-                        settings_manager,
-                        us => us.pnl,
-                        UserSettings.FileExtensions.PNL,
-                        s => new PNLSettingsVM(s));
-                  var dialog = new ShellSettingsDialog { DataContext = dialog_vm };
-                  dialog_vm.RequestClose += on_request_close;
-                  return dialog;
-                  void on_request_close(object sender, EventArgs e) =>
-                  WindowUtilities.force_close(dialog);
-               })),
-               menu_display_vm.spark_cmd
-            };
-            IDisposable dispose = Disposable.Create(
-               settings_manager.subscribe_current().OnDispatcher().Subscribe(s => {
-                  vm.load_from(s);
-                  var col_setting_map = s.grid.columns.ToDictionary(c => c.id);
-                  var fallback_family = new FontFamily(s.grid.font_family);
-                  // group
-                  var group_col_setting_map = s.group_columns.ToDictionary(c => c.id);
-                  var group_appearance = s.group_cell_appearance.to_appearance();
-                  // header
-                  var header_col_setting_map = s.header_columns.ToDictionary(c => c.id);
-                  var header_appearance = s.header_cell_appearance.to_appearance();
-                  //
-                  foreach (var c in content._grid.Columns.OfType<PNLColumn>()) {
-                     if (col_setting_map.TryGetValue(c.id, out var cs)) {
-                        c.load_from(cs);
-                     }
-                     if (group_col_setting_map.TryGetValue(c.id, out var gcs)) {
-                        c.load_group_params(
-                           group_appearance.font_size,
-                           gcs.font_weight_override ?? group_appearance.font_weight,
-                           gcs.font_color_override ?? group_appearance.foreground,
-                           group_appearance.font_family);
-                     }
-                     if (header_col_setting_map.TryGetValue(c.id, out var hcs)) {
-                        c.load_header_params(
-                           header_appearance.font_size,
-                           hcs.font_weight_override ?? header_appearance.font_weight,
-                           hcs.font_color_override ?? header_appearance.foreground,
-                           header_appearance.font_family);
-                     }
-                  }
-                  CollectionHelper.sync_with_never_duplicate(content._grid.Columns, s.grid.columns, cs => {
-                     throw new InvalidOperationException();
-                  }, c => c.id.ToLower(), cs => cs.id.ToLower());
-               }),
-               content._grid.Columns.Subscribe((s, e) => {
-                  switch (e.Action) {
-                     case NotifyCollectionChangedAction.Add: add_new(); break;
-                     case NotifyCollectionChangedAction.Remove: remove_old(); break;
-                     case NotifyCollectionChangedAction.Replace:
-                     case NotifyCollectionChangedAction.Move:
-                        remove_old();
-                        add_new();
-                        break;
-                     case NotifyCollectionChangedAction.Reset:
-                        cached_columns = ImmutableList<DIYGrid.ColumnBase>.Empty.AddRange(content._grid.Columns);
-                        break;
-                  }
-                  void add_new() =>
-                     cached_columns = e.NewStartingIndex >= 0 ?
-                        cached_columns.InsertRange(e.NewStartingIndex, e.NewItems.OfType<DIYGrid.ColumnBase>()) :
-                        cached_columns.AddRange(e.NewItems.OfType<DIYGrid.ColumnBase>());
-
-                  void remove_old() =>
-                     cached_columns = e.OldStartingIndex >= 0 ?
-                        cached_columns.RemoveRange(e.OldStartingIndex, e.OldItems.Count) :
-                        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);
-         },
-         // the on_parent_view_created_impl delegate is initialized in the main create delegate,
-         // so it can't be passed directly as an argument because it would just be null,
-         // hence the proxy/wrapper delegate below.
-         on_parent_view_created: pview => on_parent_view_created_impl?.Invoke(pview),
-         min_width_offset: SystemParameters.HorizontalScrollBarButtonWidth + 8,
-         min_height_offset: 60);
-      }
-
-      readonly struct PNLConfig {
-         public readonly bool
-            enable_animations,
-            show_pause_resume;
-
-         public PNLConfig(bts.config.PNLOptions options) {
-            enable_animations = options.enable_animations;
-            show_pause_resume = options.show_pause_resume;
-         }
-      }
-      
-      [Export(typeof(IPNLSettingsMigrationRule))]
-      class AddMissingAnimationsMigrationRule : IPNLSettingsMigrationRule {
-         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
-            if (settings != null && (
-               _apply(ref settings, settings.animations, PNLSettings.default_animations, (s, anims) => s.with(animations: anims)) |
-               _apply(ref settings, settings.group_header_animations, PNLSettings.default_group_header_animations, (s, anims) => s.with(group_header_animations: anims)) |
-               _apply(ref settings, settings.header_row_animations, PNLSettings.default_header_row_animations, (s, anims) => s.with(header_row_animations: anims)))) {
-               //
-               new_settings = settings;
-               return true;
-            }
-            new_settings = null;
-            return false;
-         }
-
-         static bool _apply(ref PNLSettings settings, IEnumerable<PNLAnimationTriggerData> actual_triggers, IEnumerable<PNLAnimationTriggerData> default_triggers, Func<PNLSettings, PNLAnimationTriggerData[], PNLSettings> set_triggers) {
-            if (_apply(actual_triggers, default_triggers, out var result)) {
-               settings = set_triggers(settings, actual_triggers.Concat(result).ToArray());
-               return true;
-            }
-            return false;
-         }
-
-         static bool _apply(IEnumerable<PNLAnimationTriggerData> actual_triggers, IEnumerable<PNLAnimationTriggerData> default_triggers, out IEnumerable<PNLAnimationTriggerData> result) {
-            var default_trigger_map = default_triggers.ToDictionary(t => t.expression);
-            var actual_trigger_map = actual_triggers.ToImmutableDictionary(t => t.expression);
-            var snapshot = actual_trigger_map;
-            foreach (var kv in snapshot) {
-               if (default_trigger_map.TryGetValue(kv.Key, out var default_anims)) {
-                  // assume 1 animation per column
-                  var actual_col_anims = kv.Value.animations.ToDictionaryCrushed(a => a.column);
-                  var default_col_anims = default_anims.animations.ToDictionaryCrushed(a => a.column);
-                  actual_col_anims.Difference(default_col_anims,
-                     out var exclusive_actual,
-                     out var exclusive_defaults,
-                     out var diff);
-                  var new_col_anims = exclusive_defaults.ToList();
-                  if (new_col_anims.Count > 0) {
-                     // add the original col animations to the new ones (combine them)
-                     new_col_anims.AddRange(actual_col_anims);
-                     actual_trigger_map = actual_trigger_map.SetItem(kv.Key, kv.Value.with(animations: new_col_anims.Select(col_anim => col_anim.Value).ToArray()));
-                  }
-               }
-            }
-            foreach (var kv in default_trigger_map) {
-               if (!actual_trigger_map.ContainsKey(kv.Key))
-                  actual_trigger_map = actual_trigger_map.Add(kv.Key, kv.Value);
-            }
-            if (actual_trigger_map != snapshot) {
-               result = actual_trigger_map.Values;
-               return true;
-            }
-            result = null;
-            return false;
-         }
-      }
-      
-      [Export(typeof(IPNLSettingsMigrationRule))]
-      class AddMissingColumnsMigrationRule : IPNLSettingsMigrationRule {
-         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
-            if (settings != null) {
-               var defaults = PNLSettings.Default;
-               if (_apply(ref settings, settings.grid.columns, defaults.grid.columns, (s, cols) => s.with(grid: s.grid.with(cols))) |
-                  _apply(ref settings, settings.group_columns, defaults.group_columns, (s, cols) => s.with(group_columns: cols)) |
-                  _apply(ref settings, settings.header_columns, defaults.header_columns, (s, cols) => s.with(header_columns: cols))) {
-                  new_settings = settings;
-                  return true;
-               }
-            }
-            new_settings = null;
-            return false;
-         }
-
-         static bool _apply(ref PNLSettings settings, IEnumerable<GridColumnSettings> actual_columns, IEnumerable<GridColumnSettings> default_columns, Func<PNLSettings, IEnumerable<GridColumnSettings>, PNLSettings> set_columns) {
-            if (GridSettingsHelper.add_missing_columns(actual_columns, default_columns, out var new_cols)) {
-               settings = set_columns(settings, new_cols);
-               return true;
-            }
-            return false;
-         }
-      }
-
-      [Export(typeof(IPNLSettingsMigrationRule))]
-      class RemoveColumnsMigrationRule : IPNLSettingsMigrationRule {
-         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
-            if (settings != null) {
-               if (_apply(ref settings, settings.grid.columns, (s, cols) => s.with(grid: s.grid.with(cols))) |
-                  _apply(ref settings, settings.group_columns, (s, cols) => s.with(group_columns: cols)) |
-                  _apply(ref settings, settings.header_columns, (s, cols) => s.with(header_columns: cols))) {
-                  new_settings = settings;
-                  return true;
-               }
-            }
-            new_settings = null;
-            return false;
-         }
-
-         bool _apply(ref PNLSettings settings, IEnumerable<GridColumnSettings> columns, Func<PNLSettings, IEnumerable<GridColumnSettings>, PNLSettings> set_columns) {
-            if (_apply(columns, out var new_cols)) {
-               settings = set_columns(settings, new_cols);
-               return true;
-            }
-            return false;
-         }
-
-         bool _apply(IEnumerable<GridColumnSettings> columns, out IEnumerable<GridColumnSettings> result) {
-            var col_list = columns.ToList();
-            int orig_count = col_list.Count;
-            col_list.RemoveWhere(c => !Enum.TryParse<PNLView.Columns>(c.id, true, out var _));
-            if (col_list.Count < orig_count) {
-               result = col_list;
-               return true;
-            }
-            result = null;
-            return false;
-         }
-      }
-
-      [Export(typeof(IPNLSettingsMigrationRule))]
-      class RemoveColumnAnimationsMigrationRule : IPNLSettingsMigrationRule {
-         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
-            if (settings != null) {
-               if (_apply(ref settings, settings.animations, (s, t) => s.with(animations: t)) |
-                  _apply(ref settings, settings.group_header_animations, (s, t) => s.with(group_header_animations: t)) |
-                  _apply(ref settings, settings.header_row_animations, (s, t) => s.with(header_row_animations: t))) {
-                  new_settings = settings;
-                  return true;
-               }
-            }
-            new_settings = null;
-            return false;
-         }
-
-         bool _apply(ref PNLSettings settings, IEnumerable<PNLAnimationTriggerData> triggers, Func<PNLSettings, IEnumerable<PNLAnimationTriggerData>, PNLSettings> set_triggers) {
-            if (_apply(triggers, out var new_triggers)) {
-               settings = set_triggers(settings, new_triggers);
-               return true;
-            }
-            return false;
-         }
-
-         bool _apply(IEnumerable<PNLAnimationTriggerData> triggers, out IEnumerable<PNLAnimationTriggerData> result) {
-            var trigger_map = triggers.ToImmutableDictionary(t => t.expression);
-            var snapshot = trigger_map;
-            foreach (var t in trigger_map.Values) {
-               var anims = t.animations.ToList();
-               int orig_count = anims.Count;
-               anims.RemoveWhere(a => !Enum.IsDefined(typeof(PNLView.Columns), a.column));
-               if (anims.Count < orig_count)
-                  trigger_map = trigger_map.SetItem(t.expression, t.with(animations: anims.ToArray()));
-            }
-            if (trigger_map != snapshot) {
-               result = trigger_map.Values;
-               return true;
-            }
-            result = null;
-            return false;
-         }
-      }
-
-      [Export(typeof(IPNLSettingsMigrationRule))]
-      class EnableGridBackgroundColorMigrationRule : IPNLSettingsMigrationRule {
-         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
-            if (settings != null && !settings.grid.enable_background_color) {
-               new_settings = settings.with(grid: settings.grid.with(enable_background_color: true));
-               return true;
-            }
-            new_settings = null;
-            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;
-         }
-      }
-   }
-}
+using bts.api;
+using bts.collections;
+using bts.settings;
+using bts.shell.pnl;
+using bts.spark;
+using bts.utils;
+using mbts;
+using mbts.config;
+using mbts.persist;
+using mbts.spark;
+using mbts.ui;
+using mbts.ui.controls;
+using mbts.ui.settings;
+using mbts.ui.spark;
+using mbts.ui.utility;
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+using System.Collections.Specialized;
+using System.ComponentModel;
+using System.ComponentModel.Composition;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Threading.Tasks;
+using System.Windows;
+using System.Windows.Media;
+
+namespace bts.shell {
+   class PNLWindowFactory : ShellWindowFactory<PNLSaveState> {
+      const string _window_type = "PNL", _window_title = "PNL";
+      readonly IBus _bus;
+      readonly OrdersModel _orders_model;
+      readonly UserSettingsHub _settings_hub;
+      readonly PNLConfig _pnl_conf;
+      readonly IShellWindowThreadIDProvider _thread_id_provider;
+
+      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;
+         _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);
+      }
+
+      public override Task<IShellWindow> load(PNLSaveState state) =>
+         Task.FromResult(_create(state.settings));
+
+      void _show(PNLSettings settings) =>
+         _bus.post(SparkTags.ShowWindow, _create(settings));
+
+      IShellWindow _create(PNLSettings settings) {
+         var settings_manager = _settings_hub.create_pnl_settings_manager(settings);
+         // Need to keep a local copy of the columns, since they are defined in xaml (not the viewmodel), and get_save_state may be called on a non-dispatcher thread.
+         // If that happens, we would be unable to access _grid.Columns, and thus unable to get the current column settings.
+         // Use an ImmutableList to avoid any threading issues when responding to CollectionChanged events on the dispatcher thread.
+         ImmutableList<DIYGrid.ColumnBase> cached_columns = ImmutableList<DIYGrid.ColumnBase>.Empty;
+         return SparkWindow<PNLSaveState>.create(_window_type, _window_title, _bus, this, Icons.Accounting, _thread_id_provider.next_id(), () => {
+            var vm = new PNLVM(_bus, _orders_model, settings ?? PNLSettings.Default);
+            var content = new PNLView {
+               DataContext = vm
+            };
+            vm.sorting_changed += sh => {
+               try {
+                  DIYGridSortHelper.set_sort_directions(sh, content._grid.Columns);
+               } catch { }
+            };
+            vm.SubscribeDisposed(
+               DIYGridSortHelper.observe_active_comparers<PNLView.Columns, PNLRowVM>(content._grid, PNLVM.get_column_comparer)
+               .OnDispatcher()
+               .Subscribe(sh => vm.sorting_hierarchy = sh.Select(s => (s.key, s.direction)).ToList()));
+            cached_columns = ImmutableList<DIYGrid.ColumnBase>.Empty.AddRange(content._grid.Columns);
+
+            Func<PNLSaveState> get_save_state = () => {
+               var cols = cached_columns.ToArray(c => c.create());
+               var filters = vm.get_filters_states();
+               var sorting_criterion = vm.sorting_hierarchy.Select(tup => new SortingCriteria(tup.key.ToString(), tup.direction == ListSortDirection.Ascending)).ToArray();
+               var calc_type = vm.calculation_type;
+               var state = settings_manager.instance_settings;
+               if (state == null) {
+                  // don't use defaults if the user manipulated the window state outside of the settings dialog (e.g., resized column(s) via drag, or changed sort/filter)
+                  var defaults = settings_manager.default_settings;
+                  if (calc_type == defaults.calculation_type &&
+                     defaults.sorting_criterion.SequenceEqual(sorting_criterion) &&
+                     defaults.grid.columns.SequenceEqual(cols) && defaults.filters.safe_equals(filters)) {
+                     // the user's current state still matches the defaults (i.e., no outside manipulation was performed); return null so this window will use the latest default settings when restored
+                     return new PNLSaveState { use_defaults = true, settings = null };
+                  }
+                  state = defaults;
+               }
+               // assign latest values, as they may have be modified outside of the settings dialog (in which case the settings manager would be out of date)
+               state = state.with(
+                  sorting_criterion,
+                  vm.anchors,
+                  filters,
+                  state.grid.with(columns: cols, background: vm.grid_background_color.rgb_color()),
+                  calc_type,
+                  vm.header_row_display);
+               return new PNLSaveState { use_defaults = false, settings = state };
+            };
+            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))),
+               new SparkCommandCommand("Play", Icons.Play, new DelegateCommand(() => vm.is_paused = false)) {
+                  show_in_context_menu = _pnl_conf.show_pause_resume,
+                  show_in_toolbar = _pnl_conf.show_pause_resume
+               },
+               new SparkCommandCommand("Pause", Icons.Pause, new DelegateCommand(() => vm.is_paused = true)) {
+                  show_in_context_menu = _pnl_conf.show_pause_resume,
+                  show_in_toolbar = _pnl_conf.show_pause_resume
+               },
+               SparkCommands.window_settings_command(new DialogCommand(() => {
+                  settings_manager.instance_settings = get_save_state().settings;
+                  var dialog_vm = new ShellSettingsDialogVM<PNLSettings, PNLSettingsVM>(
+                        settings_manager,
+                        us => us.pnl,
+                        UserSettings.FileExtensions.PNL,
+                        s => new PNLSettingsVM(s));
+                  var dialog = new ShellSettingsDialog { DataContext = dialog_vm };
+                  dialog_vm.RequestClose += on_request_close;
+                  return dialog;
+                  void on_request_close(object sender, EventArgs e) =>
+                  WindowUtilities.force_close(dialog);
+               }))
+            };
+            IDisposable dispose = Disposable.Create(
+               settings_manager.subscribe_current().OnDispatcher().Subscribe(s => {
+                  vm.load_from(s);
+                  var col_setting_map = s.grid.columns.ToDictionary(c => c.id);
+                  var fallback_family = new FontFamily(s.grid.font_family);
+                  // group
+                  var group_col_setting_map = s.group_columns.ToDictionary(c => c.id);
+                  var group_appearance = s.group_cell_appearance.to_appearance();
+                  // header
+                  var header_col_setting_map = s.header_columns.ToDictionary(c => c.id);
+                  var header_appearance = s.header_cell_appearance.to_appearance();
+                  //
+                  foreach (var c in content._grid.Columns.OfType<PNLColumn>()) {
+                     if (col_setting_map.TryGetValue(c.id, out var cs)) {
+                        c.load_from(cs);
+                     }
+                     if (group_col_setting_map.TryGetValue(c.id, out var gcs)) {
+                        c.load_group_params(
+                           group_appearance.font_size,
+                           gcs.font_weight_override ?? group_appearance.font_weight,
+                           gcs.font_color_override ?? group_appearance.foreground,
+                           group_appearance.font_family);
+                     }
+                     if (header_col_setting_map.TryGetValue(c.id, out var hcs)) {
+                        c.load_header_params(
+                           header_appearance.font_size,
+                           hcs.font_weight_override ?? header_appearance.font_weight,
+                           hcs.font_color_override ?? header_appearance.foreground,
+                           header_appearance.font_family);
+                     }
+                  }
+                  CollectionHelper.sync_with_never_duplicate(content._grid.Columns, s.grid.columns, cs => {
+                     throw new InvalidOperationException();
+                  }, c => c.id.ToLower(), cs => cs.id.ToLower());
+               }),
+               content._grid.Columns.Subscribe((s, e) => {
+                  switch (e.Action) {
+                     case NotifyCollectionChangedAction.Add: add_new(); break;
+                     case NotifyCollectionChangedAction.Remove: remove_old(); break;
+                     case NotifyCollectionChangedAction.Replace:
+                     case NotifyCollectionChangedAction.Move:
+                        remove_old();
+                        add_new();
+                        break;
+                     case NotifyCollectionChangedAction.Reset:
+                        cached_columns = ImmutableList<DIYGrid.ColumnBase>.Empty.AddRange(content._grid.Columns);
+                        break;
+                  }
+                  void add_new() =>
+                     cached_columns = e.NewStartingIndex >= 0 ?
+                        cached_columns.InsertRange(e.NewStartingIndex, e.NewItems.OfType<DIYGrid.ColumnBase>()) :
+                        cached_columns.AddRange(e.NewItems.OfType<DIYGrid.ColumnBase>());
+
+                  void remove_old() =>
+                     cached_columns = e.OldStartingIndex >= 0 ?
+                        cached_columns.RemoveRange(e.OldStartingIndex, e.OldItems.Count) :
+                        cached_columns.RemoveRange(e.OldItems.OfType<DIYGrid.ColumnBase>());
+               }),
+               Disposable.wrap_collection(commands.OfType<IDisposable>()),
+               vm);
+            return (content, commands, get_save_state, dispose);
+         },
+         min_width_offset: SystemParameters.HorizontalScrollBarButtonWidth + 8,
+         min_height_offset: 60);
+      }
+
+      readonly struct PNLConfig {
+         public readonly bool
+            enable_animations,
+            show_pause_resume;
+
+         public PNLConfig(bts.config.PNLOptions options) {
+            enable_animations = options.enable_animations;
+            show_pause_resume = options.show_pause_resume;
+         }
+      }
+      
+      [Export(typeof(IPNLSettingsMigrationRule))]
+      class AddMissingAnimationsMigrationRule : IPNLSettingsMigrationRule {
+         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
+            if (settings != null && (
+               _apply(ref settings, settings.animations, PNLSettings.default_animations, (s, anims) => s.with(animations: anims)) |
+               _apply(ref settings, settings.group_header_animations, PNLSettings.default_group_header_animations, (s, anims) => s.with(group_header_animations: anims)) |
+               _apply(ref settings, settings.header_row_animations, PNLSettings.default_header_row_animations, (s, anims) => s.with(header_row_animations: anims)))) {
+               //
+               new_settings = settings;
+               return true;
+            }
+            new_settings = null;
+            return false;
+         }
+
+         static bool _apply(ref PNLSettings settings, IEnumerable<PNLAnimationTriggerData> actual_triggers, IEnumerable<PNLAnimationTriggerData> default_triggers, Func<PNLSettings, PNLAnimationTriggerData[], PNLSettings> set_triggers) {
+            if (_apply(actual_triggers, default_triggers, out var result)) {
+               settings = set_triggers(settings, actual_triggers.Concat(result).ToArray());
+               return true;
+            }
+            return false;
+         }
+
+         static bool _apply(IEnumerable<PNLAnimationTriggerData> actual_triggers, IEnumerable<PNLAnimationTriggerData> default_triggers, out IEnumerable<PNLAnimationTriggerData> result) {
+            var default_trigger_map = default_triggers.ToDictionary(t => t.expression);
+            var actual_trigger_map = actual_triggers.ToImmutableDictionary(t => t.expression);
+            var snapshot = actual_trigger_map;
+            foreach (var kv in snapshot) {
+               if (default_trigger_map.TryGetValue(kv.Key, out var default_anims)) {
+                  // assume 1 animation per column
+                  var actual_col_anims = kv.Value.animations.ToDictionaryCrushed(a => a.column);
+                  var default_col_anims = default_anims.animations.ToDictionaryCrushed(a => a.column);
+                  actual_col_anims.Difference(default_col_anims,
+                     out var exclusive_actual,
+                     out var exclusive_defaults,
+                     out var diff);
+                  var new_col_anims = exclusive_defaults.ToList();
+                  if (new_col_anims.Count > 0) {
+                     // add the original col animations to the new ones (combine them)
+                     new_col_anims.AddRange(actual_col_anims);
+                     actual_trigger_map = actual_trigger_map.SetItem(kv.Key, kv.Value.with(animations: new_col_anims.Select(col_anim => col_anim.Value).ToArray()));
+                  }
+               }
+            }
+            foreach (var kv in default_trigger_map) {
+               if (!actual_trigger_map.ContainsKey(kv.Key))
+                  actual_trigger_map = actual_trigger_map.Add(kv.Key, kv.Value);
+            }
+            if (actual_trigger_map != snapshot) {
+               result = actual_trigger_map.Values;
+               return true;
+            }
+            result = null;
+            return false;
+         }
+      }
+      
+      [Export(typeof(IPNLSettingsMigrationRule))]
+      class AddMissingColumnsMigrationRule : IPNLSettingsMigrationRule {
+         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
+            if (settings != null) {
+               var defaults = PNLSettings.Default;
+               if (_apply(ref settings, settings.grid.columns, defaults.grid.columns, (s, cols) => s.with(grid: s.grid.with(cols))) |
+                  _apply(ref settings, settings.group_columns, defaults.group_columns, (s, cols) => s.with(group_columns: cols)) |
+                  _apply(ref settings, settings.header_columns, defaults.header_columns, (s, cols) => s.with(header_columns: cols))) {
+                  new_settings = settings;
+                  return true;
+               }
+            }
+            new_settings = null;
+            return false;
+         }
+
+         static bool _apply(ref PNLSettings settings, IEnumerable<GridColumnSettings> actual_columns, IEnumerable<GridColumnSettings> default_columns, Func<PNLSettings, IEnumerable<GridColumnSettings>, PNLSettings> set_columns) {
+            if (GridSettingsHelper.add_missing_columns(actual_columns, default_columns, out var new_cols)) {
+               settings = set_columns(settings, new_cols);
+               return true;
+            }
+            return false;
+         }
+      }
+
+      [Export(typeof(IPNLSettingsMigrationRule))]
+      class RemoveColumnsMigrationRule : IPNLSettingsMigrationRule {
+         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
+            if (settings != null) {
+               if (_apply(ref settings, settings.grid.columns, (s, cols) => s.with(grid: s.grid.with(cols))) |
+                  _apply(ref settings, settings.group_columns, (s, cols) => s.with(group_columns: cols)) |
+                  _apply(ref settings, settings.header_columns, (s, cols) => s.with(header_columns: cols))) {
+                  new_settings = settings;
+                  return true;
+               }
+            }
+            new_settings = null;
+            return false;
+         }
+
+         bool _apply(ref PNLSettings settings, IEnumerable<GridColumnSettings> columns, Func<PNLSettings, IEnumerable<GridColumnSettings>, PNLSettings> set_columns) {
+            if (_apply(columns, out var new_cols)) {
+               settings = set_columns(settings, new_cols);
+               return true;
+            }
+            return false;
+         }
+
+         bool _apply(IEnumerable<GridColumnSettings> columns, out IEnumerable<GridColumnSettings> result) {
+            var col_list = columns.ToList();
+            int orig_count = col_list.Count;
+            col_list.RemoveWhere(c => !Enum.TryParse<PNLView.Columns>(c.id, true, out var _));
+            if (col_list.Count < orig_count) {
+               result = col_list;
+               return true;
+            }
+            result = null;
+            return false;
+         }
+      }
+
+      [Export(typeof(IPNLSettingsMigrationRule))]
+      class RemoveColumnAnimationsMigrationRule : IPNLSettingsMigrationRule {
+         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
+            if (settings != null) {
+               if (_apply(ref settings, settings.animations, (s, t) => s.with(animations: t)) |
+                  _apply(ref settings, settings.group_header_animations, (s, t) => s.with(group_header_animations: t)) |
+                  _apply(ref settings, settings.header_row_animations, (s, t) => s.with(header_row_animations: t))) {
+                  new_settings = settings;
+                  return true;
+               }
+            }
+            new_settings = null;
+            return false;
+         }
+
+         bool _apply(ref PNLSettings settings, IEnumerable<PNLAnimationTriggerData> triggers, Func<PNLSettings, IEnumerable<PNLAnimationTriggerData>, PNLSettings> set_triggers) {
+            if (_apply(triggers, out var new_triggers)) {
+               settings = set_triggers(settings, new_triggers);
+               return true;
+            }
+            return false;
+         }
+
+         bool _apply(IEnumerable<PNLAnimationTriggerData> triggers, out IEnumerable<PNLAnimationTriggerData> result) {
+            var trigger_map = triggers.ToImmutableDictionary(t => t.expression);
+            var snapshot = trigger_map;
+            foreach (var t in trigger_map.Values) {
+               var anims = t.animations.ToList();
+               int orig_count = anims.Count;
+               anims.RemoveWhere(a => !Enum.IsDefined(typeof(PNLView.Columns), a.column));
+               if (anims.Count < orig_count)
+                  trigger_map = trigger_map.SetItem(t.expression, t.with(animations: anims.ToArray()));
+            }
+            if (trigger_map != snapshot) {
+               result = trigger_map.Values;
+               return true;
+            }
+            result = null;
+            return false;
+         }
+      }
+
+      [Export(typeof(IPNLSettingsMigrationRule))]
+      class EnableGridBackgroundColorMigrationRule : IPNLSettingsMigrationRule {
+         public bool apply(PNLSettings settings, out PNLSettings new_settings) {
+            if (settings != null && !settings.grid.enable_background_color) {
+               new_settings = settings.with(grid: settings.grid.with(enable_background_color: true));
+               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);