Changing TASCounter to use the new formula

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

@@ -1,6 +1,7 @@
 using bts.api;
 using bts.co2;
 using bts.utils;
+using bts.utils.csv;
 using mbts;
 using mbts.spark;
 using mbts.ui.controls;
@@ -44,6 +45,18 @@ namespace bts.shell.time_and_sales {
       public void raise_invalidated() =>
          invalidated?.Invoke();
 
+      public static System.Collections.Specialized.OrderedDictionary csv_ordered_properties =>
+            CsvHelper.create_ordering_maintainer(
+               typeof(TimeAndSalesRowVM),
+               new string[] {
+                  nameof(security),
+                  nameof(time),
+                  nameof(price),
+                  nameof(size),
+                  nameof(aggressor_side),
+                  nameof(security_key),
+               });
+
       public bool Equals(TimeAndSalesRowVM other) =>
          other != null &&
          row_key == other.row_key;

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

@@ -2,6 +2,7 @@
 using bts.shell.fills;
 using bts.spark;
 using bts.view;
+using bts.utils.csv;
 using mbts;
 using mbts.co2;
 using mbts.persist;
@@ -114,6 +115,8 @@ namespace bts.shell.time_and_sales {
             show_in_context_menu = _can_pause_updates
          };
          _commands = new SparkCommand[] {
+            // csv export
+            new SparkCommandCommand("Export to csv", Icons.Export, FileDialogCommand.export_csv(() => _vm.rows.ToCsv(TimeAndSalesRowVM.csv_ordered_properties), "TaS")),
             // ladder
             SparkCommands.ShowLadderAutoLookup(SparkCommands.KeyGestures.ShowLadder)
                .complete(current_sec_key_src, sec_keys => sec_keys.Count > 0),

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;
@@ -330,6 +331,27 @@ 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(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/FillsWindow.cs

@@ -4,6 +4,7 @@ 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;
@@ -61,6 +62,7 @@ namespace mbts.spark {
          _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>(

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;
@@ -59,6 +61,35 @@ 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;

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

@@ -6,6 +6,7 @@ using bts.shell.fills;
 using bts.shell.orderbook;
 using bts.spark;
 using bts.view;
+using bts.utils.csv;
 using mbts.persist;
 using mbts.spark.utilities;
 using mbts.ui;
@@ -231,6 +232,7 @@ namespace mbts.spark {
             toggle_collapse_all_command,
             toggle_expand_all_command,
             show_grid_settings_command,
+            new SparkCommandCommand("Export to csv", Icons.Export, FileDialogCommand.export_csv(() => _vm.rows.ToCsv(OrderBookRowVM.csv_ordered_properties), "OrderBook")),
             // 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)),

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

@@ -64,6 +64,25 @@ namespace mbts.ui {
             }
          }, can_execute == null ? null : new Func<object, bool>(_ => can_execute()));
 
+      public static IDialogCommand export_csv(
+         Func<string> get_file_content,
+         string source_window_name) =>
+         new AnonymousFileDialogCommand<object>(_ =>
+            _create_save_file_dialog(
+               Environment.GetFolderPath(Environment.SpecialFolder.Desktop),
+               $"BTS_Spark_{source_window_name}_{DateTime.Now.ToString("yyyyMMdd_HHmm")}.csv",
+               new[] { ("CSV (comma delimited)", new string[] { "csv" }) }
+            ),
+            (_, file) => {
+               try {
+                  File.WriteAllText(file, get_file_content.Invoke());
+               } catch (Exception ex) {
+                  BTSMessageBox.Show($"Error exporting data to csv: {ex}.", "CSV Export Error", BTSMessageBoxButtons.OK, System.Windows.MessageBoxImage.Error, true, false, true);
+               }
+            },
+            // we are always able to perform an export, even when no rows (it will just be a header)
+            (_) => true);
+
       static TDialog _create_file_dialog<TDialog>(string initial_dir = null, IReadOnlyList<(string name, string[] extensions)> filter_items = null) where TDialog : FileDialog, new() {
          var rv = new TDialog();
          if (!string.IsNullOrEmpty(initial_dir))

src/client/spark_core/utils/CsvHelper.cs

@@ -0,0 +1,52 @@
+using System;
+using System.IO;
+using System.Collections.Generic;
+using System.Collections.Specialized;
+using System.Linq;
+using System.Reflection;
+
+namespace bts.utils.csv {
+   public static class CsvHelper {
+
+      public static string ToCsv<T>(this IEnumerable<T> items, OrderedDictionary properties = null) where T : class {
+         var output = "";
+         var delimiter = ",";
+         if (properties == null) {
+            properties = new OrderedDictionary();
+            foreach (var pi in typeof(T).GetProperties()) {
+               properties.Add(pi.Name, pi);
+            }
+         }
+
+         using (var sw = new StringWriter()) {
+            var dict_values = properties.Values.OfType<PropertyInfo>();
+            var header = dict_values.Select(n => n.Name).Aggregate((first, second) => first + delimiter + second);
+            sw.WriteLine(header);
+            foreach (var i in items) {
+               var row = dict_values.Select(x => x.GetValue(i, null))
+                  .Select(x => x == null ? "null" : x.ToString())
+                  .Aggregate((first, second) => first + delimiter + second);
+               sw.WriteLine(row);
+            }
+            output = sw.ToString();
+         }
+         return output;
+      }
+
+      public static OrderedDictionary create_ordering_maintainer(Type t, string[] property_names_in_order) {
+         OrderedDictionary od = new OrderedDictionary();
+         var props = t.GetProperties();
+         foreach (var n in property_names_in_order) {
+            var query = props.Where(pi => pi.Name == n);
+            if (query.Any()) {
+               var property_info = query.First();
+               if (!od.Contains(property_info)) {
+                  od.Add(n, property_info);
+               }
+            }
+         }
+         return od;
+      }
+
+   }
+}

src/lib/orderman/orders/algo/algo_orders/PyramidAlgo.cpp

@@ -16,7 +16,7 @@ namespace orderman {
 
 using namespace api::orderman;
 
-enum class PyramidAlgo::Status { WAITING_FOR_MD, WAITING_FOR_MD_ATTACH, WORKING, DONE };
+enum class PyramidAlgo::Status { WAITING_FOR_MD, WAITING_FOR_MD_ATTACH, WORKING, WAITING_FOR_CXL_ACK, DONE };
 enum class PyramidAlgo::ExitPath { CANCEL, ERR, COMPLETE };
 
 struct LegData{
@@ -192,6 +192,7 @@ void PyramidAlgo::do_update(const api::orderman::Update& update) {
                          "Order cancelled (Cover prices not met)");
          break;
       }
+      case PyramidAlgo::Status::WAITING_FOR_CXL_ACK:
       case PyramidAlgo::Status::DONE:
          break;
    }
@@ -215,6 +216,7 @@ IAlgoOrder::OnCancelResponse PyramidAlgo::on_cancel(){
       case PyramidAlgo::Status::WORKING:
          _cxl_and_end(PyramidAlgo::ExitPath::CANCEL,"Algo cancelled");
          break;
+      case (PyramidAlgo::Status::WAITING_FOR_CXL_ACK):
       case PyramidAlgo::Status::DONE:
          break;
    }
@@ -242,6 +244,7 @@ void PyramidAlgo::on_child_change(OrderKey key, const ChildState &st) {
             _check_for_completion();
             break;
          case PyramidAlgo::Status::WORKING:
+         case (PyramidAlgo::Status::WAITING_FOR_CXL_ACK):
             leg->order_state = st;
             _algo().update_fill_state(st.total_fills, st.avg_price);
             _send_hedges(st.last_fills);
@@ -388,6 +391,7 @@ void PyramidAlgo::_analyze_md_and_act(){
             _cxl_and_end(PyramidAlgo::ExitPath::CANCEL,
                          "Order cancelled (Cover prices not met)");
          break;
+      case PyramidAlgo::Status::WAITING_FOR_CXL_ACK:   
       case PyramidAlgo::Status::DONE:
          break;
    }
@@ -405,14 +409,19 @@ void PyramidAlgo::_switch_state(Status new_state){
          bts_assert(me->state == PyramidAlgo::Status::WAITING_FOR_MD ||
                     me->state == PyramidAlgo::Status::WAITING_FOR_MD_ATTACH);
          break;
+      case (PyramidAlgo::Status::WAITING_FOR_CXL_ACK):
+         break;
       case (PyramidAlgo::Status::DONE):
          bts_assert(
                // when an order is entered and the criteria is not met
                me->state == PyramidAlgo::Status::WAITING_FOR_MD ||
                // when an order is attached and the market conditions are not met
                me->state == PyramidAlgo::Status::WAITING_FOR_MD_ATTACH ||
-               // when the child order gets into an unexpected state
-               me->state == PyramidAlgo::Status::WORKING);
+               // when the child order enters a terminal state, while the algo
+               // is in a working state (external cxl, target reached)
+               me->state == PyramidAlgo::Status::WORKING ||
+               // the usual controlled cxl, ie working->waiting_for_cxl_ack->done
+               me->state == PyramidAlgo::Status::WAITING_FOR_CXL_ACK);
          break;
    }
    LOG(OrderMan, Info,"PyramidAlgo::_switch_state key:{} {}->{} ",
@@ -494,8 +503,8 @@ void PyramidAlgo::_check_for_completion(){
          break;
       case (ChildStatus::CANCELED):
          _cxl_and_end(PyramidAlgo::ExitPath::ERR,
-                      "Top spread unexpectedly cancelled");
-         break;      
+                      "Top spread cancelled");
+         break;
    }
 }
 
@@ -507,8 +516,11 @@ void PyramidAlgo::_cxl_and_end(PyramidAlgo::ExitPath exit_path,
       if(top_ord_state.status == ChildStatus::WORKING){
          if(detach_top)
             _algo().detach_child(me->legs[0].order_key);
-         else
+         else{
             _algo().cancel_child(me->legs[0].order_key);
+            _switch_state(PyramidAlgo::Status::WAITING_FOR_CXL_ACK);
+            return;
+         }
       }
    }
    switch(exit_path){
@@ -524,6 +536,7 @@ void PyramidAlgo::_cxl_and_end(PyramidAlgo::ExitPath exit_path,
    }
    _switch_state(PyramidAlgo::Status::DONE);
 }
+
 // true the out qty is changed it be below
 // the filled qty
 bool PyramidAlgo::_target_reached() const{

src/lib/orderman/orders/algo/algo_orders/TASCounterAlgo.cpp

@@ -26,17 +26,21 @@ enum class TASCounterAlgo::Status { WORKING, DONE };
 // (the vwap of the TAS contracts is not used, but for uniformity is kept in the
 // the same structure)
 struct ContractMarketData{
+private:
    uint32_t tot_vol = 0;
    double running_sum = 0;
+public:
    Book book;
    double estimated_settle = 0.0;
    void on_trade (const TickerUpdateEvent::Trade& t){
       tot_vol += t.quantity.value();
       running_sum += t.price.value()*t.quantity.value();
    }
-   const double vwap(){
+   double vwap() const{
       return tot_vol == 0 ? os::nan() : running_sum/tot_vol;
    }
+   uint32_t traded_qty() const {return tot_vol;}
+   double traded_value() const {return running_sum;}
 };
 // the input for the t1 front, second and third orders, as well as the template
 // and working order key are kept here
@@ -100,6 +104,47 @@ bool trade_within_time_win (const Timestamp&, const Timestamp&,
                             const TickerUpdateEvent::Trade& t);
 bool now_within_time_win (const Timestamp&, const Timestamp&);
 
+double compute_t1_front_settle (const AlgoData& d){
+   double rv = d.t1_front.vwap();
+   rv = round_to_nearest(rv,d.tick_size);
+   return rv;   
+}
+
+double compute_t1_second_settle (const AlgoData& d){
+   double p_t1_front = compute_t1_front_settle(d);
+   double part_1 = d.t1_second.traded_value();
+   double part_2 = d.t2_front.traded_value() - 
+                   (d.t2_front.traded_qty() * p_t1_front);
+   uint32_t traded_qty_sum = d.t2_front.traded_qty() + 
+                             d.t1_second.traded_qty();
+   double rv = traded_qty_sum == 0 ? os::nan() : 
+               (part_1+part_2)/traded_qty_sum;
+   LOG(OrderMan, Diag, "TASCounterAlgo::compute_t1_second_settle "
+      "p_t1_front:{} part_1:{} part_2:{} traded_qty_sum:{} rv:{}",
+      p_t1_front, part_1, part_2, traded_qty_sum, rv);
+   return round_to_nearest(rv,d.tick_size);
+}
+
+double compute_t1_third_settle (const AlgoData& d){
+   double p_t1_front = compute_t1_front_settle(d);
+   double p_t1_second = compute_t1_second_settle(d);
+   double part_1 = d.t1_third.traded_value();
+   double part_2 = d.t2_second.traded_value() - 
+                   (d.t2_second.traded_qty()*p_t1_second);
+   double part_3 = d.t3_front.traded_value() - 
+                   (d.t3_front.traded_qty()*p_t1_front) -
+                   (d.t3_front.traded_qty()*p_t1_second);
+   double traded_qty_sum = d.t3_front.traded_qty() + 
+                           d.t2_second.traded_qty() + 
+                           d.t1_third.traded_qty();
+   double rv = traded_qty_sum == 0 ? os::nan() : 
+               (part_1+part_2+part_3)/traded_qty_sum;
+   LOG(OrderMan, Diag, "TASCounterAlgo::compute_t1_third_settle "
+      "p_t1_front:{} p_t1_second:{} part_1:{} part_2:{} part_3:{} "
+      "traded_qty_sum:{} rv:{}",
+      p_t1_front, p_t1_second, part_1, part_2, part_3, traded_qty_sum, rv);
+   return round_to_nearest(rv,d.tick_size);
+}
 
 TASCounterAlgo::TASCounterAlgo() : me(new PImpl()) {}
 TASCounterAlgo::~TASCounterAlgo() {}
@@ -214,17 +259,9 @@ void TASCounterAlgo::_cxl_and_end (bool is_error, const std::string& err_msg){
 
 void TASCounterAlgo::_compute_settles(){
    AlgoData& d = me->data;
-   d.t1_front.estimated_settle = d.t1_front.vwap();
-   d.t1_second.estimated_settle = d.t2_front.vwap() - d.t1_front.vwap();
-   d.t1_third.estimated_settle = d.t3_front.vwap() - d.t1_front.vwap() - 
-                                 d.t1_second.vwap();
-   // round to closest value
-   d.t1_front.estimated_settle = round_to_nearest(
-                        d.t1_front.estimated_settle,me->data.tick_size);
-   d.t1_second.estimated_settle = round_to_nearest(
-                        d.t1_second.estimated_settle,me->data.tick_size);
-   d.t1_third.estimated_settle = round_to_nearest(
-                        d.t1_third.estimated_settle,me->data.tick_size);
+   d.t1_front.estimated_settle = compute_t1_front_settle(d);
+   d.t1_second.estimated_settle = compute_t1_second_settle(d);
+   d.t1_third.estimated_settle = compute_t1_third_settle(d);
 }
 
 // the decision to send an order can be caused by