Remove taifex and glbx from NotSimExecution in conf profiles

It was black in a couple places before, making it hard to read.

.devcontainer/Dockerfile

@@ -90,6 +90,12 @@ RUN apt-get update && apt-get install -y libpcap0.8-dev
 # Databento (deps)
 RUN apt-get update && apt-get -y install libzstd-dev
 
+# Docker in Docker
+RUN apt-get update && apt-get install -y \
+    docker.io \
+    docker-compose \
+    docker-compose-v2
+
 # Set up default executables (update-alternatives)
 RUN \
    update-alternatives --install /usr/bin/clang clang /usr/bin/clang-$clang_major 100; \

.devcontainer/devcontainer.json

@@ -12,17 +12,10 @@
   // example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
   "runArgs": [
     "--shm-size",
-    "8gb",
-    "-p",
-    "8000:8000",
-    "-p",
-    "8001:8001",
-    "-p",
-    "8002:8002",
-    "-p",
-    "8003:8003",
-    "-p",
-    "12345:12345"
+    "8gb"
+  ],
+  "mounts": [
+    "source=/var/run/docker.sock,target=/var/run/docker.sock,type=bind"
   ],
   "customizations": {
     "vscode": {

.env

@@ -0,0 +1,47 @@
+# This file defines the global default configuration for docker deployments.
+# It is tracked in source control. For temporary modifications, please create
+# a separate file called ".env.local" (it's in .gitignore, so won't be tracked).
+# If a variable is defined in both files, the value in .env.local will be used.
+#
+# About the deployment procedure:
+#   We use Docker Compose to build images and launch containers for various services
+#   that make up our software suite:
+#     - sparkd
+#     - TODO: pubsub
+#     - TODO: md-publisher
+#     - TODO: webapp (DSQA on the web)
+#     - TODO: api-server (websocket based)
+#   From inside a devcontainer, you can launch all services in separate containers
+#   on your machine by running:
+#
+#     tools/deploy.sh
+#
+#   This script builds release versions for each service, packaged (generally) in
+#   self-contained directories. Next, it runs a few "docker compose" commands to
+#   build docker images loaded with the self-contained binaries from the previous
+#   step, and start containers with those images to run each service. To view the
+#   commands that deploy.sh runs internally (without actually running them), run:
+#
+#     tools/deploy.sh --dry-run
+#
+#   For additional information/help, run:
+#
+#     tools/deploy.sh --help
+#
+
+### Sparkd ###
+# The internal image for sparkd to use. For more info, view:
+#   src/server/sparkd/Dockerfile
+SPARKD__IMAGE=sparkd
+# The config dir for this service to use
+SPARKD__CONFIG_DIR=src/server/sparkd/configurations/dev
+# Mount a specific volume or dir to "~/sparkdata/data" inside the docker.
+# Defaults to a volume named "sparkd_<config_port>" (e.g., sparkd_8000).
+# SPARKD__DATA_DIR=/home/bts/sparkdata/data
+SPARKD__SOURCE_DIR=install/sparkd-release-gcc
+SPARKD__CONFIG_PORT=8000
+SPARKD__QUICKBUS_PORT=8001
+SPARKD__SIM_FIX_PORT=8002
+SPARKD__SHM_SIZE=4gb
+
+# TODO: add config for other services (pubsub, md-publisher, webapp, api-server, etc.)

.gitignore

@@ -59,3 +59,4 @@ trace_data/
 .devcontainer/
 *.Generated.cs
 *.lst
+.env.local

compose.yaml

@@ -0,0 +1,63 @@
+services:
+  sparkd:
+    volumes:
+      - ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/sparkdata/data
+    build:
+      dockerfile: src/server/sparkd/Dockerfile
+      args:
+        - IMAGE=${SPARKD__IMAGE}
+        - SOURCE_DIR=${SPARKD__SOURCE_DIR}
+        - CONFIG_DIR=${SPARKD__CONFIG_DIR}
+    shm_size: "${SPARKD__SHM_SIZE:-512mb}"
+    command: >
+      sh -c "
+        echo bts | sudo -S chown -R bts:bts /home/bts/sparkdata/data
+        if [ -e "/home/bts/sparkdata/data/logging.sparkd/log" ]; then
+          mv "/home/bts/sparkdata/data/logging.sparkd/log" "/home/bts/sparkdata/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
+        fi
+        if [ -e "/home/bts/sparkdata/conf/.env.local" ]; then
+          echo 'Sourcing /home/bts/sparkdata/conf/.env.local'
+          set -a
+          . /home/bts/sparkdata/conf/.env.local
+          set +a
+        fi
+        ./sparkd run"
+    env_file:
+      - .env
+      - ${SPARKD__CONFIG_DIR}/.env
+    ports:
+      - "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
+      - "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
+      - "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
+    deploy:
+      resources:
+        limits:
+          memory: "${SPARKD__MEMORY:-4gb}"
+
+  sparkd-tail:
+    image: bluetradingsystems/linux_dotnet7
+    volumes:
+      - type: volume
+        read_only: true
+        source: sparkd_data
+        target: /home/bts/sparkdata/data/logging.sparkd
+        volume:
+          subpath: logging.sparkd
+    command: ["tail", "-f", "/home/bts/sparkdata/data/logging.sparkd/log"]
+
+  sparkd-ping-test:
+    depends_on:
+      - sparkd
+    profiles:
+      - ping-test
+    build:
+      context: .
+      dockerfile_inline: |
+        FROM bluetradingsystems/linux_dotnet7
+        USER "root"
+        RUN apt-get update && apt-get -y install iputils-ping
+    command: [ "ping", "sparkd" ]
+
+volumes:
+  sparkd_data:
+    name: "sparkd_${SPARKD__CONFIG_PORT:-8000}"

docker/images/bluetradingsystems/linux_dotnet7/Dockerfile

@@ -0,0 +1,38 @@
+FROM ubuntu:22.04
+
+ARG DEBIAN_FRONTEND=noninteractive
+
+RUN apt-get update && apt-get install -y pkg-config
+RUN apt-get update && apt-get install -y locales
+RUN apt-get update && apt-get install -y ca-certificates
+RUN apt-get update && apt-get install -y libssh2-1-dev
+RUN apt-get update && apt-get install -y software-properties-common
+RUN apt-get update && apt-get install -y sudo
+
+# GCC
+ARG gcc_major=13
+RUN add-apt-repository ppa:ubuntu-toolchain-r/test \
+  && apt-get update \
+  && apt-get install -y g++-$gcc_major
+
+RUN apt-get update \
+  && apt-get install -y dotnet7
+
+RUN locale-gen en_US.UTF-8
+
+ARG docker_user="bts"
+ARG docker_uid="1000"
+ARG docker_pass="bts"
+
+RUN \
+  groupadd -g "$docker_uid" "$docker_user" \
+  && useradd \
+  -m \
+  -u "$docker_uid" \
+  -g "$docker_uid" \
+  -G sudo \
+  --password "$(openssl passwd -1 "$docker_pass")" \
+  "$docker_user"
+
+USER bts
+WORKDIR /home/bts

requirements.txt

@@ -1,10 +1,13 @@
 astroid==2.7.3
 autopep8==1.5.7
+boto3==1.37.9
+botocore==1.37.9
 certifi==2023.5.7
 charset-normalizer==3.1.0
 colorama==0.4.4
 idna==3.4
 isort==5.9.3
+jmespath==1.0.1
 lazy-object-proxy==1.6.0
 mccabe==0.6.1
 platformdirs==2.3.0
@@ -14,7 +17,11 @@ pycodestyle==2.7.0
 pycparser==2.20
 pylint==2.10.2
 PyMeta3==0.5.1
+python-dotenv==1.0.1
+python-dateutil==2.9.0.post0
 requests==2.31.0
+s3transfer==0.11.4
+six==1.17.0
 termcolor==1.1.0
 toml==0.10.2
 urllib3==2.0.3

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

@@ -629,16 +629,16 @@ namespace mbts.spark {
 
       static (string desc, Color fg) _fills_title(ColKey key) =>
          key switch {
-            ColKey.Position => ("Day Fills", Colors.Black),
-            ColKey.RawDayPosition => ("Raw Day Fills", Colors.Black),
-            _ => ("Fills", Colors.Black),
+            ColKey.Position => ("Day Fills", BTSColors.DayFills.foreground),
+            ColKey.RawDayPosition => ("Raw Day Fills", BTSColors.DayFills.foreground),
+            _ => ("Fills", BTSColors.UI.default_text),
          };
 
       static (string desc, Color fg) _orderbook_title(ColKey key) =>
          key switch {
             ColKey.WorkingBids => ((string desc, Color fg))("Working Buy Orders", BTSColors.MarketData.bid),
             ColKey.WorkingAsks => ((string desc, Color fg))("Working Sell Orders", BTSColors.MarketData.ask),
-            _ => ("Working Orders", Colors.Black),
+            _ => ("Working Orders", BTSColors.UI.default_text),
          };
 
       static GridSettings _hide_cols(GridSettings grid, IEnumerable<OrderBookGridView.ColumnKeys> columns) =>

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

@@ -150,7 +150,11 @@ namespace bts.shell.orderbook {
          pb.add_discrete_values(fs.exchanges, o => o.order.security?.Exchange ?? Venue.Unset);
          pb.add_discrete_values(fs.tifs, o => o.order.order.time_in_force());
          pb.add_discrete_values(fs.order_types, o => AlgoID.from_custom_def(o.order.order.Def.CustomDef));
-         pb.add_discrete_values(fs.root_algo_types, o => AlgoID.from_algo_key(o.root.algo?.key ?? default));
+         pb.add_discrete_values(
+            Array.ConvertAll(fs.root_algo_types, a => (AlgoID?)a),
+            o => o.root.algo.HasValue
+               ? AlgoID.from_algo_key(o.root.algo.Value.key)
+               : null);
          pb.add_discrete_values(fs.order_sub_types, o => o.order.order.sub_type());
          pb.add_discrete_values(fs.sides, o => o.order.order.side());
          pb.add_discrete_values(fs.statuses, o => o.order.order.status());

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

@@ -774,6 +774,17 @@ namespace bts.shell.pnl {
             case ColumnKeys.Account: filter.accounts = new[] { g.Name.ToString() }; break;
             case ColumnKeys.Symbol: filter.symbols = new[] { g.Name.ToString() }; break;
             case ColumnKeys.Exchange: filter.exchanges = new[] { (Venue)g.Name }; break;
+            case ColumnKeys.Expiration: {
+                  if (g.Name is DateTime exp) {
+                     if (filter.security_criteria is null) {
+                        filter.security_criteria = SecurityCriteria.from_expirations(exp);
+                     } else {
+                        filter.security_criteria.clauses = ArrayHelper.add(
+                           filter.security_criteria.clauses, SecurityCriteriaClause.from_expirations(exp));
+                     }
+                  }
+                  break;
+               }
             case ColumnKeys.Security:
                if (g.Name is SecurityImmutable sec)
                   filter.security_criteria = SecurityCriteria.from_securities(sec);

src/client/spark/Orders/OrderTicket.xaml

@@ -1,161 +1,161 @@
-<Window
-  x:Class="mbts.ui.spark.OrderTicket"
-  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
-  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
-  xmlns:msys="clr-namespace:bts.api;assembly=spark_api"
-  xmlns:u="clr-namespace:mbts.ui"
-  xmlns:cv="clr-namespace:mbts.ui.converters"
-  xmlns:usp="clr-namespace:mbts.ui.spark"
-  xmlns:sys="clr-namespace:System;assembly=mscorlib"
-  u:WindowStyle.SizeToContent="WidthAndHeight"
-  u:WindowStyle.TitleContent="{Binding bbo, Mode=OneWay}"
-  Style="{StaticResource BTSWindowTitleTemplate}"
->
-  <Window.Resources>
-    <ResourceDictionary>
-      <ResourceDictionary.MergedDictionaries>
-        <ResourceDictionary Source="/view/Resources/Converters.xaml"/>
-      </ResourceDictionary.MergedDictionaries>
-      <sys:Double x:Key="HorizontalSpacing">8.0</sys:Double>
-      <sys:Double x:Key="VerticalSpacing">4.0</sys:Double>
-      <sys:Double x:Key="ButtonHeight">22.0</sys:Double>
-      <Style x:Key="SellButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-         <Setter Property="Background" Value="{u:BTSColor MarketData.ask}" />
-         <Setter Property="Foreground" Value="White" />
-         <Setter Property="MinHeight" Value="40" />
-         <Setter Property="FontWeight" Value="Bold" />
-         <Setter Property="HorizontalAlignment" Value="Stretch" />
-         <Setter Property="VerticalAlignment" Value="Stretch" />
-         <Setter Property="Content">
-            <Setter.Value>
-              <TextBlock VerticalAlignment="Center" Text="Sell" />
-            </Setter.Value>
-         </Setter>
-         <Setter Property="Template">
-            <Setter.Value>
-               <ControlTemplate TargetType="Button">
-                  <Border 
-                        x:Name="Border"
-                        CornerRadius="0" 
-                        BorderThickness="1"
-                        BorderBrush="{u:BTSColor UI.Button.normal_border}"
-                        Background="{u:BTSColor MarketData.ask}"
-                        Padding="2"
-                        Height="Auto"
-                        SnapsToDevicePixels="True">
-                        <ContentPresenter 
-                           HorizontalAlignment="Center"
-                           VerticalAlignment="Center"
-                           RecognizesAccessKey="True"
-                           Name="button_content" 
-                        />
-                     </Border>
-                  <ControlTemplate.Triggers>
-                        <Trigger Property="IsMouseOver" Value="True">
-                           <Setter TargetName="Border" Property="Background" Value="#99c00000" />
-                           <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
-                        </Trigger>
-                     </ControlTemplate.Triggers>
-               </ControlTemplate>
-            </Setter.Value>
-         </Setter>
-      </Style>
-      <Style x:Key="BuyButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-         <Setter Property="Background" Value="{u:BTSColor MarketData.bid}" />
-         <Setter Property="Foreground" Value="White" />
-         <Setter Property="MinHeight" Value="40" />
-         <Setter Property="FontWeight" Value="Bold" />
-         <Setter Property="HorizontalAlignment" Value="Stretch" />
-         <Setter Property="VerticalAlignment" Value="Stretch" />
-         <Setter Property="Content">
-            <Setter.Value>
-              <TextBlock VerticalAlignment="Center" Text="Buy" />
-            </Setter.Value>
-         </Setter>
-         <Setter Property="Template">
-            <Setter.Value>
-               <ControlTemplate TargetType="Button">
-                  <Border 
-                     x:Name="Border"
-                     CornerRadius="0" 
-                     BorderThickness="1"
-                     BorderBrush="{u:BTSColor UI.Button.normal_border}"
-                     Background="{u:BTSColor MarketData.bid}"
-                     Padding="2"
-                     Height="Auto"
-                     SnapsToDevicePixels="True">
-                     <ContentPresenter 
-                        HorizontalAlignment="Center"
-                        VerticalAlignment="Center"
-                        RecognizesAccessKey="True"
-                        Name="button_content" 
-                     />
-                  </Border>
-                  <ControlTemplate.Triggers>
-                     <Trigger Property="IsMouseOver" Value="True">
-                        <Setter TargetName="Border" Property="Background" Value="#99167ed3" />
-                        <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
-                     </Trigger>
-                  </ControlTemplate.Triggers>
-               </ControlTemplate>
-            </Setter.Value>
-         </Setter>
-      </Style>
-      </ResourceDictionary>
-  </Window.Resources>
-  <Window.InputBindings>
-    <KeyBinding Key="Esc" Command="{x:Static SystemCommands.CloseWindowCommand}"/>
-  </Window.InputBindings>
-  <Grid Margin="10">
-    <Grid.RowDefinitions>
-      <RowDefinition Height="Auto"/>
-      <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}"/>
-      <RowDefinition Height="Auto"/>
-    </Grid.RowDefinitions>
-    <Grid.ColumnDefinitions>
-      <ColumnDefinition MinWidth="120"/>
-      <ColumnDefinition Width="{Binding Source={StaticResource HorizontalSpacing}}"/>
-      <ColumnDefinition MinWidth="120"/>
-    </Grid.ColumnDefinitions>
-    <usp:OrderModificationControl Grid.ColumnSpan="3" />
-      <Button Grid.Row="2"                 Style="{StaticResource BuyButton}"  Command="{Binding send_order}" CommandParameter="{u:Enum Buy, Type=msys:Side}" />
-      <Button Grid.Row="2" Grid.Column="2" Style="{StaticResource SellButton}" Command="{Binding send_order}" CommandParameter="{u:Enum Sell, Type=msys:Side}" />
-   </Grid>
-  <u:WindowStyle.TitleContentTemplate>
-    <DataTemplate>
-      <TextBlock Style="{StaticResource TextBlock.Dark}">
-        <TextBlock.Inlines>
-          <Run FontWeight="Bold" Text="{Binding security, Mode=OneWay}" />
-          <Run Foreground="{u:BTSColor MarketData.bid}" FontSize="10">
-            <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}" StringFormat="({0})">
-              <Binding Path="bid_size" Mode="OneWay"/>
-              <Binding Path="DataContext.qty_display" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
-            </MultiBinding>
-          </Run>
-          <Run Foreground="{u:BTSColor MarketData.bid}" FontWeight="Bold">
-            <Run.Text>
-              <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
-                <Binding Path="bid"/>
-                <Binding Path="security.ContractSpec"/>
-              </MultiBinding>
-            </Run.Text>
-          </Run>
-          <Run Foreground="{u:BTSColor MarketData.ask}" FontWeight="Bold">
-            <Run.Text>
-              <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
-                <Binding Path="ask"/>
-                <Binding Path="security.ContractSpec"/>
-              </MultiBinding>
-            </Run.Text>
-          </Run>
-          <Run Foreground="{u:BTSColor MarketData.ask}" FontSize="10">
-            <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}" StringFormat="({0})">
-              <Binding Path="ask_size" Mode="OneWay"/>
-              <Binding Path="DataContext.qty_display" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
-            </MultiBinding>
-          </Run>
-        </TextBlock.Inlines>
-      </TextBlock>
-    </DataTemplate>
-  </u:WindowStyle.TitleContentTemplate>
-</Window>
+<Window
+  x:Class="mbts.ui.spark.OrderTicket"
+  xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
+  xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
+  xmlns:msys="clr-namespace:bts.api;assembly=spark_api"
+  xmlns:u="clr-namespace:mbts.ui"
+  xmlns:cv="clr-namespace:mbts.ui.converters"
+  xmlns:usp="clr-namespace:mbts.ui.spark"
+  xmlns:sys="clr-namespace:System;assembly=mscorlib"
+  u:WindowStyle.SizeToContent="WidthAndHeight"
+  u:WindowStyle.TitleContent="{Binding bbo, Mode=OneWay}"
+  Style="{StaticResource BTSWindowTitleTemplate}"
+>
+  <Window.Resources>
+    <ResourceDictionary>
+      <ResourceDictionary.MergedDictionaries>
+        <ResourceDictionary Source="/view/Resources/Converters.xaml"/>
+      </ResourceDictionary.MergedDictionaries>
+      <sys:Double x:Key="HorizontalSpacing">8.0</sys:Double>
+      <sys:Double x:Key="VerticalSpacing">4.0</sys:Double>
+      <sys:Double x:Key="ButtonHeight">22.0</sys:Double>
+      <Style x:Key="SellButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
+         <Setter Property="Background" Value="{u:BTSColor MarketData.ask_dark}" />
+         <Setter Property="Foreground" Value="White" />
+         <Setter Property="MinHeight" Value="40" />
+         <Setter Property="FontWeight" Value="Bold" />
+         <Setter Property="HorizontalAlignment" Value="Stretch" />
+         <Setter Property="VerticalAlignment" Value="Stretch" />
+         <Setter Property="Content">
+            <Setter.Value>
+              <TextBlock VerticalAlignment="Center" Text="Sell" />
+            </Setter.Value>
+         </Setter>
+         <Setter Property="Template">
+            <Setter.Value>
+               <ControlTemplate TargetType="Button">
+                  <Border 
+                        x:Name="Border"
+                        CornerRadius="0" 
+                        BorderThickness="1"
+                        BorderBrush="{u:BTSColor UI.Button.normal_border}"
+                        Background="{u:BTSColor MarketData.ask}"
+                        Padding="2"
+                        Height="Auto"
+                        SnapsToDevicePixels="True">
+                        <ContentPresenter 
+                           HorizontalAlignment="Center"
+                           VerticalAlignment="Center"
+                           RecognizesAccessKey="True"
+                           Name="button_content" 
+                        />
+                     </Border>
+                  <ControlTemplate.Triggers>
+                        <Trigger Property="IsMouseOver" Value="True">
+                           <Setter TargetName="Border" Property="Background" Value="#99c00000" />
+                           <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
+                        </Trigger>
+                     </ControlTemplate.Triggers>
+               </ControlTemplate>
+            </Setter.Value>
+         </Setter>
+      </Style>
+      <Style x:Key="BuyButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
+         <Setter Property="Background" Value="{u:BTSColor MarketData.bid_dark}" />
+         <Setter Property="Foreground" Value="White" />
+         <Setter Property="MinHeight" Value="40" />
+         <Setter Property="FontWeight" Value="Bold" />
+         <Setter Property="HorizontalAlignment" Value="Stretch" />
+         <Setter Property="VerticalAlignment" Value="Stretch" />
+         <Setter Property="Content">
+            <Setter.Value>
+              <TextBlock VerticalAlignment="Center" Text="Buy" />
+            </Setter.Value>
+         </Setter>
+         <Setter Property="Template">
+            <Setter.Value>
+               <ControlTemplate TargetType="Button">
+                  <Border 
+                     x:Name="Border"
+                     CornerRadius="0" 
+                     BorderThickness="1"
+                     BorderBrush="{u:BTSColor UI.Button.normal_border}"
+                     Background="{u:BTSColor MarketData.bid}"
+                     Padding="2"
+                     Height="Auto"
+                     SnapsToDevicePixels="True">
+                     <ContentPresenter 
+                        HorizontalAlignment="Center"
+                        VerticalAlignment="Center"
+                        RecognizesAccessKey="True"
+                        Name="button_content" 
+                     />
+                  </Border>
+                  <ControlTemplate.Triggers>
+                     <Trigger Property="IsMouseOver" Value="True">
+                        <Setter TargetName="Border" Property="Background" Value="#99167ed3" />
+                        <Setter TargetName="Border" Property="BorderBrush" Value="{u:BTSColor UI.Button.mouseover_border}" />
+                     </Trigger>
+                  </ControlTemplate.Triggers>
+               </ControlTemplate>
+            </Setter.Value>
+         </Setter>
+      </Style>
+      </ResourceDictionary>
+  </Window.Resources>
+  <Window.InputBindings>
+    <KeyBinding Key="Esc" Command="{x:Static SystemCommands.CloseWindowCommand}"/>
+  </Window.InputBindings>
+  <Grid Margin="10">
+    <Grid.RowDefinitions>
+      <RowDefinition Height="Auto"/>
+      <RowDefinition Height="{Binding Source={StaticResource VerticalSpacing}}"/>
+      <RowDefinition Height="Auto"/>
+    </Grid.RowDefinitions>
+    <Grid.ColumnDefinitions>
+      <ColumnDefinition MinWidth="120"/>
+      <ColumnDefinition Width="{Binding Source={StaticResource HorizontalSpacing}}"/>
+      <ColumnDefinition MinWidth="120"/>
+    </Grid.ColumnDefinitions>
+    <usp:OrderModificationControl Grid.ColumnSpan="3" />
+      <Button Grid.Row="2"                 Style="{StaticResource BuyButton}"  Command="{Binding send_order}" CommandParameter="{u:Enum Buy, Type=msys:Side}" />
+      <Button Grid.Row="2" Grid.Column="2" Style="{StaticResource SellButton}" Command="{Binding send_order}" CommandParameter="{u:Enum Sell, Type=msys:Side}" />
+   </Grid>
+  <u:WindowStyle.TitleContentTemplate>
+    <DataTemplate>
+      <TextBlock Style="{StaticResource TextBlock.Dark}">
+        <TextBlock.Inlines>
+          <Run FontWeight="Bold" Text="{Binding security, Mode=OneWay}" />
+          <Run Foreground="{u:BTSColor MarketData.bid}" FontSize="10">
+            <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}" StringFormat="({0})">
+              <Binding Path="bid_size" Mode="OneWay"/>
+              <Binding Path="DataContext.qty_display" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
+            </MultiBinding>
+          </Run>
+          <Run Foreground="{u:BTSColor MarketData.bid}" FontWeight="Bold">
+            <Run.Text>
+              <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                <Binding Path="bid"/>
+                <Binding Path="security.ContractSpec"/>
+              </MultiBinding>
+            </Run.Text>
+          </Run>
+          <Run Foreground="{u:BTSColor MarketData.ask}" FontWeight="Bold">
+            <Run.Text>
+              <MultiBinding Converter="{StaticResource TickDisplayConverter}" Mode="OneWay">
+                <Binding Path="ask"/>
+                <Binding Path="security.ContractSpec"/>
+              </MultiBinding>
+            </Run.Text>
+          </Run>
+          <Run Foreground="{u:BTSColor MarketData.ask}" FontSize="10">
+            <MultiBinding Converter="{x:Static cv:TickDisplayConverter.Instance}" StringFormat="({0})">
+              <Binding Path="ask_size" Mode="OneWay"/>
+              <Binding Path="DataContext.qty_display" RelativeSource="{RelativeSource AncestorType=usp:OrderTicket}"/>
+            </MultiBinding>
+          </Run>
+        </TextBlock.Inlines>
+      </TextBlock>
+    </DataTemplate>
+  </u:WindowStyle.TitleContentTemplate>
+</Window>

src/client/spark/core/FontsAndColors/BTSColors.cs

@@ -216,8 +216,10 @@ namespace mbts.ui {
          public static BTSColor ask_text => BTSCoreColors.red_dark;
          public static BTSColor bid_text => BTSCoreColors.blue;
          public static BTSColor bid => 0xff76b7fa;
+         public static BTSColor bid_dark => 0xff26239a;
          public static BTSColor bid_alt => BTSCoreColors.blue_light.with(0x70);
          public static BTSColor ask => 0xffff6666;
+         public static BTSColor ask_dark => 0xff7a2331;
          public static BTSColor ask_alt => 0x70ffb4b4;
          public static BTSColor last => BTSCoreColors.black;
          public static BTSColor bid_ask_alt_blend => BTSCoreColors.purple_light;
@@ -1038,6 +1040,7 @@ namespace mbts.ui {
       }
       public static class DayFills {
          public static BTSColor background => UI.common_background;
+         public static BTSColor foreground => UI.default_foreground;
       }
       public static class ComboReport {
          public static BTSColor foreground => UI.default_text;

src/client/spark/view/Controls/Order/OrderTicketResources.xaml

@@ -19,7 +19,7 @@
   <sys:Double x:Key="ButtonHeight">22.0</sys:Double>
 
   <Style x:Key="SellButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-    <Setter Property="Background" Value="{u:BTSColor MarketData.ask}"/>
+    <Setter Property="Background" Value="{u:BTSBrush MarketData.ask_dark}"/>
     <Setter Property="BorderBrush" Value="{u:BTSColor UI.Button.normal_border}"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.default_text}" />
     <Setter Property="MinHeight" Value="40"/>
@@ -32,7 +32,7 @@
   </Style>
 
   <Style x:Key="BuyButton" TargetType="Button" BasedOn="{StaticResource {x:Type Button}}">
-    <Setter Property="Background" Value="{u:BTSColor MarketData.bid}"/>
+    <Setter Property="Background" Value="{u:BTSBrush MarketData.bid_dark}"/>
     <Setter Property="BorderBrush" Value="{u:BTSColor UI.Button.normal_border}"/>
     <Setter Property="Padding" Value="2"/>
     <Setter Property="Foreground" Value="{u:BTSColor UI.default_text}" />

src/client/spark/view/Controls/TickUpDown/PriceEntryCommitControl.xaml

@@ -8,7 +8,8 @@
              xmlns:cv="clr-namespace:mbts.ui.converters"
              xmlns:c="clr-namespace:mbts.ui.controls"
              xmlns:usp="clr-namespace:mbts.ui.spark"
-             d:DesignHeight="100" d:DesignWidth="800" x:Name="_me_price">
+             d:DesignHeight="100" d:DesignWidth="800" x:Name="_me_price"
+             Foreground="{u:BTSColor UI.input_text}">
   <UserControl.Resources>
     <cv:NullableDoubleConverter x:Key="TickDefaultPriceConverter" DefaultValue="0"/>
     <cv:TickDisplayConverter x:Key="TickDisplayConverter" x:Shared="False"/>

src/client/spark_api/data/SecurityCriteria.cs

@@ -27,6 +27,12 @@ namespace mbts.spark {
       internal static SecurityCriteria from_keys(IEnumerable<uint> keys) =>
          new(new[] { new SecurityCriteriaClause(security_keys: keys.ToArray()) });
 
+      internal static SecurityCriteria from_expirations(params DateTime[] exp_dates) =>
+         from_expirations(exp_dates.AsEnumerable());
+
+      internal static SecurityCriteria from_expirations(IEnumerable<DateTime> expirations) =>
+         new(new[] { SecurityCriteriaClause.from_expirations(expirations) });
+
       internal static SecurityCriteria from_securities(params SecurityImmutable[] securities) =>
          from_securities(securities.AsEnumerable());
 

src/client/spark_api/data/SecurityCriteriaClause.cs

@@ -58,6 +58,14 @@ namespace mbts.spark {
          return new SecurityCriteriaClause(security_keys: keys, pretty_name: pretty_name);
       }
 
+      public static SecurityCriteriaClause from_expirations(IEnumerable<DateTime> expirations) =>
+         expirations is null
+            ? new()
+            : from_expirations(expirations as DateTime[] ?? expirations.ToArray());
+
+      public static SecurityCriteriaClause from_expirations(params DateTime[] expirations) =>
+         new(expirations: expirations);
+
       [ProtoMember(1)]
       public string? pretty_name { get; }
 

src/lib/api/md/DatabentoMarketDataConfig.proto

@@ -15,4 +15,7 @@ message DatabentoMarketDataConfig {
   string dataset = 70;
   uint32 filter_securities_upto_n_months= 80;
   bool load_reference_data = 90;
+  uint32 debug_sec = 100;
+  bool only_securities =  110;
+  string bbo_start_time = 120;
 }

src/lib/api/services/OrderService.cpp

@@ -0,0 +1,174 @@
+#include "OrderService.h"
+#include "lib/api/services/OrderService.pb.h"
+
+namespace bts::api::orderman {
+
+#define PARSE_STRING(name, dest, it)                                           \
+   it = j.find(#name);                                                         \
+   if (it != j.end()) {                                                        \
+      dest.mutable_##name()->clear();                                          \
+      it->get_to(*dest.mutable_##name());                                      \
+   }
+#define PARSE_VALUE(name, dest, it)                                            \
+   it = j.find(#name);                                                         \
+   if (it != j.end()) {                                                        \
+      dest.set_##name(it->get<decltype(dest.name())>());                       \
+   }
+#define PARSE_STRUCT(name, dest, it)                                           \
+   it = j.find(#name);                                                         \
+   if (it != j.end()) {                                                        \
+      it->get_to(*dest.mutable_##name());                                      \
+   }
+#define PARSE_ARRAY(name, dest, it)                                            \
+   it = j.find(#name);                                                         \
+   if (it != j.end() && it->is_array()) {                                      \
+      c.mutable_##name()->Clear();                                             \
+      it->get_to(*c.mutable_##name());                                         \
+   }
+#define PARSE_ONEOF(name, dest, it)                                            \
+   if (!parsed_oneof) {                                                        \
+      it = j.find(#name);                                                      \
+      if (it != j.end()) {                                                     \
+         it->get_to(*dest.mutable_##name());                                   \
+         parsed_oneof = true;                                                  \
+      }                                                                        \
+   }
+#define PARSE_ONEOFS(for_each)                                                 \
+   {                                                                           \
+      bool parsed_oneof = false;                                               \
+      for_each(PARSE_ONEOF)                                                    \
+   }
+
+#define WRITE_VALUE(src, name) j[#name] = src.name()
+#define WRITE_STRUCT(src, name)                                                \
+   if (src.has_##name()) {                                                     \
+      j[#name] = src.name();                                                   \
+   }
+
+#define WRITE_IF_NOT_ZERO(src, name)                                           \
+   if (src.name() != 0) {                                                      \
+      j[#name] = src.name();                                                   \
+   }
+#define WRITE_IF_NOT_NAN(src, name)                                            \
+   if (!std::isnan(src.name())) {                                              \
+      j[#name] = src.name();                                                   \
+   }
+#define WRITE_IF_NOT_EMPTY(src, name)                                          \
+   if (!src.name().empty()) {                                                  \
+      j[#name] = src.name();                                                   \
+   }
+#define WRITE_TIMESTAMP(src, name)                                             \
+   j[#name] = bts::core::TimeStamp::from_nanos(                                \
+                  src.name().seconds() * 1'000'000'000 + src.name().nanos())   \
+                  .to_iso_string()
+
+#define PARSE_TIMESTAMP(name, dest, it)                                        \
+   it = j.find(#name);                                                         \
+   if (it != j.end()) {                                                        \
+      bts::core::TimeStamp tmp_ts =                                            \
+          bts::core::TimeStamp::from_iso_string(it->get<std::string>());       \
+      tmp_ts.to_protobuf(*dest.mutable_##name());                              \
+   }
+
+void to_json(nlohmann::json &j, const Fill &f) {
+   WRITE_IF_NOT_ZERO(f, order_key);
+   WRITE_IF_NOT_ZERO(f, security_key);
+   WRITE_IF_NOT_EMPTY(f, account);
+   WRITE_IF_NOT_NAN(f, last_price);
+   WRITE_IF_NOT_NAN(f, avg_price);
+   WRITE_VALUE(f, side);
+   WRITE_IF_NOT_ZERO(f, last_shares);
+   WRITE_IF_NOT_EMPTY(f, fill_key);
+   WRITE_TIMESTAMP(f, timestamp);
+   WRITE_IF_NOT_ZERO(f, internal_account_id);
+   WRITE_VALUE(f, fill_kind);
+   WRITE_VALUE(f, fill_status);
+}
+
+void from_json(const nlohmann::json &j, Fill &f) {
+   nlohmann::json::const_iterator it;
+   PARSE_VALUE(order_key, f, it);
+   PARSE_VALUE(security_key, f, it);
+   PARSE_STRING(account, f, it);
+   PARSE_VALUE(last_price, f, it);
+   PARSE_VALUE(avg_price, f, it);
+   PARSE_VALUE(side, f, it);
+   PARSE_VALUE(last_shares, f, it);
+   PARSE_STRING(fill_key, f, it);
+   PARSE_TIMESTAMP(timestamp, f, it);
+   PARSE_VALUE(internal_account_id, f, it);
+   PARSE_VALUE(fill_kind, f, it);
+   PARSE_VALUE(fill_status, f, it);
+}
+
+void to_json(nlohmann::json &j, const NativeOrderState &n) {
+   WRITE_VALUE(n, exchange_order_id);
+   WRITE_VALUE(n, last_msg_seq_num);
+   WRITE_VALUE(n, sub_error_code);
+   WRITE_VALUE(n, native_status);
+   WRITE_VALUE(n, routing_record);
+   WRITE_VALUE(n, native_type);
+   WRITE_VALUE(n, last_transact_time);
+   WRITE_VALUE(n, last_transact_time_unix_ns);
+   WRITE_VALUE(n, stop_px);
+   WRITE_VALUE(n, exchange_order_id_u64);
+}
+
+void from_json(const nlohmann::json &j, NativeOrderState &n) {
+   nlohmann::json::const_iterator it;
+   PARSE_STRING(exchange_order_id, n, it);
+   PARSE_VALUE(last_msg_seq_num, n, it);
+   PARSE_VALUE(sub_error_code, n, it);
+   PARSE_VALUE(native_status, n, it);
+   PARSE_STRUCT(routing_record, n, it);
+   PARSE_VALUE(native_type, n, it);
+   PARSE_STRING(last_transact_time, n, it);
+   PARSE_VALUE(last_transact_time_unix_ns, n, it);
+   PARSE_VALUE(stop_px, n, it);
+   PARSE_VALUE(exchange_order_id_u64, n, it);
+}
+
+void to_json(nlohmann::json &j, const RoutingRecord &r) {
+   WRITE_IF_NOT_EMPTY(r, session);
+   WRITE_IF_NOT_EMPTY(r, account);
+   WRITE_IF_NOT_EMPTY(r, operator_id);
+   WRITE_VALUE(r, cti_code);
+   WRITE_VALUE(r, customer_or_firm);
+   WRITE_IF_NOT_EMPTY(r, smp_id);
+   WRITE_VALUE(r, smp_instruction);
+   WRITE_IF_NOT_EMPTY(r, location);
+   WRITE_IF_NOT_EMPTY(r, cust_order_handing_inst);
+   WRITE_IF_NOT_EMPTY(r, sender_compid);
+   WRITE_IF_NOT_EMPTY(r, clearing_firm);
+   WRITE_IF_NOT_EMPTY(r, customer_account_ref_id);
+   WRITE_IF_NOT_EMPTY(r, account_code);
+   WRITE_IF_NOT_EMPTY(r, company_id);
+   WRITE_IF_NOT_EMPTY(r, authorized_trader);
+   WRITE_IF_NOT_EMPTY(r, authorized_group);
+   WRITE_IF_NOT_EMPTY(r, cust_order_handing_inst);
+   WRITE_IF_NOT_EMPTY(r, order_server_id);
+}
+
+void from_json(const nlohmann::json &j, RoutingRecord &r) {
+   nlohmann::json::const_iterator it;
+   PARSE_STRING(session, r, it);
+   PARSE_STRING(account, r, it);
+   PARSE_STRING(operator_id, r, it);
+   PARSE_VALUE(cti_code, r, it);
+   PARSE_VALUE(customer_or_firm, r, it);
+   PARSE_STRING(smp_id, r, it);
+   PARSE_VALUE(smp_instruction, r, it);
+   PARSE_STRING(location, r, it);
+   PARSE_STRING(cust_order_handling_inst, r, it);
+   PARSE_STRING(sender_compid, r, it);
+   PARSE_STRING(clearing_firm, r, it);
+   PARSE_STRING(customer_account_ref_id, r, it);
+   PARSE_STRING(account_code, r, it);
+   PARSE_STRING(company_id, r, it);
+   PARSE_STRING(authorized_trader, r, it);
+   PARSE_STRING(authorized_group, r, it);
+   PARSE_STRING(cust_order_handing_inst, r, it);
+   PARSE_STRING(order_server_id, r, it);
+}
+
+} // namespace bts::api::orderman

src/lib/api/services/OrderService.h

@@ -1,6 +1,10 @@
 #pragma once
 
 #include "lib/api/services/OrderService.pb.h"
+#include "lib/api/services/native_order_type.h"
+#include "lib/api/services/order_status.h"
+#include "lib/api/services/time_in_force.h"
+#include "lib/api/services/trigger_price_type.h"
 #include "lib/core/EnumMacros.h"
 #include "lib/core/FMT_IMPL.h"
 #include "lib/io/JsonReader.h"
@@ -10,22 +14,70 @@
 
 namespace bts::api::orderman {
 
-PB_ENUM_FROM_JSON(OrderStatus)
-PB_ENUM_TO_JSON(OrderStatus)
+PB_ENUM_FROM_JSON(Fill_FillKind)
+PB_ENUM_TO_JSON(Fill_FillKind)
 
-PB_ENUM_FROM_JSON(TriggerPriceType)
-PB_ENUM_TO_JSON(TriggerPriceType)
+PB_ENUM_FROM_JSON(Fill_FillStatus)
+PB_ENUM_TO_JSON(Fill_FillStatus)
+
+void to_json(nlohmann::json &j, const Fill &f);
+void from_json(const nlohmann::json &j, Fill &f);
+
+PB_ENUM_FROM_JSON(OrderSubType)
+PB_ENUM_TO_JSON(OrderSubType)
+
+PB_ENUM_FROM_JSON(SelfMatchPreventionInstruction)
+PB_ENUM_TO_JSON(SelfMatchPreventionInstruction)
+
+PB_ENUM_FROM_JSON(CustomerOrFirm)
+PB_ENUM_TO_JSON(CustomerOrFirm)
+
+void to_json(nlohmann::json &j, const RoutingRecord &r);
+void from_json(const nlohmann::json &j, RoutingRecord &r);
+
+PB_ENUM_FROM_JSON(NativeOrderStatus)
+PB_ENUM_TO_JSON(NativeOrderStatus)
+
+PB_ENUM_FROM_JSON(NativeOrderState_SubError)
+PB_ENUM_TO_JSON(NativeOrderState_SubError)
+
+void to_json(nlohmann::json &j, const NativeOrderState &n);
+void from_json(const nlohmann::json &j, NativeOrderState &n);
 
 } // namespace bts::api::orderman
 
 FMT_IMPL(
-    bts::api::orderman::OrderStatus,
-    s,
+    bts::api::orderman::Fill_FillKind,
+    k,
     "{}",
-    bts::api::orderman::OrderStatus_Name(s));
+    bts::api::orderman::Fill_FillKind_Name(k));
 
 FMT_IMPL(
-    bts::api::orderman::TriggerPriceType,
+    bts::api::orderman::Fill_FillStatus,
+    s,
+    "{}",
+    bts::api::orderman::Fill_FillStatus(s));
+
+FMT_IMPL(
+    bts::api::orderman::OrderSubType,
     t,
     "{}",
-    bts::api::orderman::TriggerPriceType_Name(t));
+    bts::api::orderman::OrderSubType_Name(t));
+
+FMT_IMPL(
+    bts::api::orderman::SelfMatchPreventionInstruction,
+    s,
+    "{}",
+    bts::api::orderman::SelfMatchPreventionInstruction_Name(s));
+
+FMT_IMPL(
+    bts::api::orderman::NativeOrderStatus,
+    s,
+    "{}",
+    bts::api::orderman::NativeOrderStatus_Name(s));
+
+FMT_IMPL(
+    bts::api::orderman::NativeOrderState_SubError,
+    s,
+    "{}",
+    bts::api::orderman::NativeOrderState_SubError_Name(s));

src/lib/api/services/native_order_type.h

@@ -0,0 +1,57 @@
+#pragma once
+
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/core/EnumMacros.h"
+#include "lib/core/FMT_IMPL.h"
+#include "lib/io/JsonReader.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
+
+#include <nlohmann/json.hpp>
+
+namespace bts::api::orderman {
+
+/**
+ * Parses NativeOrderType from a string. Unlike `bts::api::orderman::NativeOrderType_Parse`,
+ * this implementation is case insensitive, and makes the 'NATIVE_ORDER_TYPE_' prefix optional.
+ */
+bool native_order_type_parse_smart(
+    const std::string &str, NativeOrderType *result);
+
+PB_ENUM_FROM_JSON(NativeOrderType)
+PB_ENUM_TO_JSON(NativeOrderType)
+
+std::ostream &operator<<(std::ostream &out, NativeOrderType t) noexcept;
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline bool native_order_type_parse_smart(
+    const std::string &str, NativeOrderType *result) {
+   if (NativeOrderType_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (NativeOrderType_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "NATIVE_ORDER_TYPE_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return NativeOrderType_Parse(s, result);
+}
+
+inline std::ostream &operator<<(std::ostream &out, NativeOrderType t) noexcept {
+   out << NativeOrderType_Name(t);
+   return out;
+}
+
+} // namespace bts::api::orderman
+
+FMT_IMPL(
+    bts::api::orderman::NativeOrderType,
+    t,
+    "{}",
+    bts::api::orderman::NativeOrderType_Name(t));

src/lib/api/services/order_status.h

@@ -0,0 +1,56 @@
+#pragma once
+
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/core/EnumMacros.h"
+#include "lib/core/FMT_IMPL.h"
+#include "lib/io/JsonReader.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
+
+#include <nlohmann/json.hpp>
+
+namespace bts::api::orderman {
+
+/**
+ * Parses OrderStatus from a string. Unlike `bts::api::orderman::OrderStatus_Parse`,
+ * this implementation is case insensitive, and makes the 'ORDER_STATUS_' prefix optional.
+ */
+bool order_status_parse_smart(const std::string &str, OrderStatus *result);
+
+PB_ENUM_FROM_JSON(OrderStatus)
+PB_ENUM_TO_JSON(OrderStatus)
+
+std::ostream &operator<<(std::ostream &out, OrderStatus s) noexcept;
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline bool order_status_parse_smart(
+    const std::string &str, OrderStatus *result) {
+   if (OrderStatus_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (OrderStatus_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "ORDER_STATUS_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return OrderStatus_Parse(s, result);
+}
+
+inline std::ostream &operator<<(std::ostream &out, OrderStatus s) noexcept {
+   out << OrderStatus_Name(s);
+   return out;
+}
+
+} // namespace bts::api::orderman
+
+FMT_IMPL(
+    bts::api::orderman::OrderStatus,
+    s,
+    "{}",
+    bts::api::orderman::OrderStatus_Name(s));

src/lib/api/services/time_in_force.h

@@ -0,0 +1,56 @@
+#pragma once
+
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/core/EnumMacros.h"
+#include "lib/core/FMT_IMPL.h"
+#include "lib/io/JsonReader.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
+
+#include <nlohmann/json.hpp>
+
+namespace bts::api::orderman {
+
+/**
+ * Parses TimeInForce from a string. Unlike `bts::api::orderman::TimeInForce_Parse`,
+ * this implementation is case insensitive, and makes the 'TIME_IN_FORCE_' prefix optional.
+ */
+bool time_in_force_parse_smart(const std::string &str, TimeInForce *result);
+
+PB_ENUM_FROM_JSON(TimeInForce)
+PB_ENUM_TO_JSON(TimeInForce)
+
+std::ostream &operator<<(std::ostream &out, TimeInForce tif) noexcept;
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline bool time_in_force_parse_smart(
+    const std::string &str, TimeInForce *result) {
+   if (TimeInForce_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (TimeInForce_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "TIME_IN_FORCE_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return TimeInForce_Parse(s, result);
+}
+
+inline std::ostream &operator<<(std::ostream &out, TimeInForce tif) noexcept {
+   out << TimeInForce_Name(tif);
+   return out;
+}
+
+} // namespace bts::api::orderman
+
+FMT_IMPL(
+    bts::api::orderman::TimeInForce,
+    v,
+    "{}",
+    bts::api::orderman::TimeInForce_Name(v));

src/lib/api/services/trigger_price_type.h

@@ -0,0 +1,58 @@
+#pragma once
+
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/core/EnumMacros.h"
+#include "lib/core/FMT_IMPL.h"
+#include "lib/io/JsonReader.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
+
+#include <nlohmann/json.hpp>
+
+namespace bts::api::orderman {
+
+/**
+ * Parses TriggerPriceType from a string. Unlike `bts::api::orderman::TriggerPriceType_Parse`,
+ * this implementation is case insensitive, and makes the 'TRIGGER_PRICE_TYPE_' prefix optional.
+ */
+bool trigger_price_type_parse_smart(
+    const std::string &str, TriggerPriceType *result);
+
+PB_ENUM_FROM_JSON(TriggerPriceType)
+PB_ENUM_TO_JSON(TriggerPriceType)
+
+std::ostream &operator<<(std::ostream &out, TriggerPriceType t) noexcept;
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline bool trigger_price_type_parse_smart(
+    const std::string &str, TriggerPriceType *result) {
+   if (TriggerPriceType_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (TriggerPriceType_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "TRIGGER_PRICE_TYPE_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return TriggerPriceType_Parse(s, result);
+}
+
+inline std::ostream &operator<<(
+    std::ostream &out, TriggerPriceType t) noexcept {
+   out << TriggerPriceType_Name(t);
+   return out;
+}
+
+} // namespace bts::api::orderman
+
+FMT_IMPL(
+    bts::api::orderman::TriggerPriceType,
+    t,
+    "{}",
+    bts::api::orderman::TriggerPriceType_Name(t));

src/lib/cmake/GetLinuxClientSources.cmake

@@ -75,6 +75,7 @@ function(get_cpp_sources dest)
     expression/ParserExceptions.cpp
     expression/Value.cpp
     expression/tests/expression_parser_tests.cpp
+    io/JsonReader.cpp
     logging/LoggerHub.cpp
     logging/Sink.cpp
     logging/logging.cpp

src/lib/cmake/GetWindowsClientSources.cmake

@@ -74,6 +74,7 @@ function(get_cpp_sources dest)
     expression/ParserExceptions.cpp
     expression/Value.cpp
     expression/tests/expression_parser_tests.cpp
+    io/JsonReader.cpp
     logging/LoggerHub.cpp
     logging/Sink.cpp
     logging/logging.cpp

src/lib/collections/concurrent_factory.h

@@ -0,0 +1,98 @@
+#pragma once
+
+#include "lib/utils/LockBox.h"
+#include "lib/utils/bts_assert.h"
+#include "lib/utils/type_name.h"
+
+#include <functional>
+#include <memory>
+
+namespace bts::collections {
+
+template <class KeyT, class ValueT>
+class ConcurrentFactory {
+   utils::LockBox<std::unordered_map<KeyT, std::shared_ptr<ValueT>>> store;
+
+ public:
+   std::shared_ptr<ValueT> add(
+       const KeyT &key,
+       std::function<void(std::shared_ptr<ValueT> &)> callback) {
+      return store.lock([&](auto &map) {
+         auto [it, is_new] = map.try_emplace(key, std::make_shared<ValueT>());
+         bts_assert_msgf(
+             is_new, "{}::add. Duplicate key '{}'",
+             utils::cached_type_name<ConcurrentFactory<KeyT, ValueT>>(), key);
+         callback(it->second);
+         return it->second;
+      });
+   }
+
+   std::size_t erase(const KeyT &key) {
+      return store.lock([&](auto &map) {
+         map.erase(key);
+         return map.size();
+      });
+   }
+
+   std::size_t size() const {
+      return store.lock([&](auto &map) { return map.size(); });
+   }
+
+   template <
+       typename CallbackT = std::function<void(std::shared_ptr<ValueT> &)>>
+   std::shared_ptr<const ValueT> get(const KeyT &key, CallbackT callback) {
+      return store.lock([&](auto &map) {
+         auto [it, is_new] = map.try_emplace(key, std::make_shared<ValueT>());
+         bts_assert_msgf(
+             !is_new, "{}::get. Key not found '{}'",
+             utils::cached_type_name<ConcurrentFactory<KeyT, ValueT>>(), key);
+         callback(it->second);
+         return it->second;
+      });
+   }
+
+   template <
+       typename CallbackT =
+           std::function<void(std::shared_ptr<ValueT> &, bool)>>
+   std::shared_ptr<const ValueT> get_or_add(
+       const KeyT &key, CallbackT callback) {
+      return store.lock([&](auto &map) {
+         auto [it, is_new] = map.try_emplace(key);
+         if (is_new) {
+            it->second = std::make_shared<ValueT>();
+         }
+         callback(it->second, is_new);
+         return it->second;
+      });
+   }
+
+   template <
+       typename CallbackT =
+           std::function<void(std::shared_ptr<ValueT> &, bool)>>
+   std::shared_ptr<const ValueT> replace(const KeyT &key, CallbackT callback) {
+      return store.lock([&](auto &map) {
+         auto [it, is_new] = map.try_emplace(key);
+         bts_assert_msgf(
+             !is_new, "{}::replace. Key not found '{}'",
+             utils::cached_type_name<ConcurrentFactory<KeyT, ValueT>>(), key);
+         it->second = std::make_shared<ValueT>();
+         callback(it->second, is_new);
+         return it->second;
+      });
+   }
+
+   template <
+       typename CallbackT =
+           std::function<void(std::shared_ptr<ValueT> &, bool)>>
+   std::shared_ptr<const ValueT> replace_or_add(
+       const KeyT &key, CallbackT callback) {
+      return store.lock([&](auto &map) {
+         auto [it, is_new] = map.try_emplace(key);
+         it->second = std::make_shared<ValueT>();
+         callback(it->second, is_new);
+         return it->second;
+      });
+   }
+};
+
+} // namespace bts::collections

src/lib/config/profiles/default/orderman_cfg.conf

@@ -1,34 +1,34 @@
 OrdermanCfg {
-   rule: "DeploymentType.type == 'dev'"
-   value {
-      executor {
-         thread_name: "oman_orders"
-	 poll: false 
-	 hosted_actor: "MDSource"
-	 hosted_actor: "OrderManager"
-	 hosted_actor: "ExecutionGateway"
-      }
-      executor {
-         thread_name: "oman_slow"
-	 poll: false 
-	 hosted_actor: "*"
-      }
-   }
+  rule: "DeploymentType.type == 'dev'"
+  value {
+    executor {
+      thread_name: "oman_orders"
+      poll: false 
+      hosted_actor: "MDSource"
+      hosted_actor: "OrderManager"
+      hosted_actor: "ExecutionGateway"
+    }
+    executor {
+      thread_name: "oman_slow"
+      poll: false 
+	    hosted_actor: "*"
+    }
+  }
 }
 
 OrdermanCfg {
-   value {
-      executor {
-         thread_name: "oman_orders"
-	 poll: true 
-	 hosted_actor: "MDSource"
-	 hosted_actor: "OrderManager"
-	 hosted_actor: "ExecutionGateway"
-      }
-      executor {
-         thread_name: "oman_slow"
-	 poll: false 
-	 hosted_actor: "*"
-      }
-   }
-}
+  value {
+    executor {
+      thread_name: "oman_orders"
+      poll: true 
+      hosted_actor: "MDSource"
+      hosted_actor: "OrderManager"
+      hosted_actor: "ExecutionGateway"
+    }
+    executor {
+      thread_name: "oman_slow"
+	    poll: false 
+      hosted_actor: "*"
+    }
+  }
+}

src/lib/core/EnumMacros.h

@@ -110,6 +110,19 @@
    ENUM_TO_JSON(type)                                                          \
    ENUM_EQUALITY_OPS(type)
 
+#define ENUM_CLASS_DEF_NO_JSON(type, for_all)                                  \
+   class type {                                                                \
+    public:                                                                    \
+      enum Value { for_all(ENUM_DECLARE_VALUE) };                              \
+                                                                               \
+      ENUM_BASIC_MEMBERS(type)                                                 \
+   };                                                                          \
+                                                                               \
+   ENUM_OUTPUT_OPS(type)                                                       \
+   ENUM_NAME_DEF(type, for_all)                                                \
+   ENUM_PARSE_DEF(type, for_all)                                               \
+   ENUM_EQUALITY_OPS(type)
+
 #define ENUM_BITWISE_COMPARISON_OP(enum_type, numeric_type, op)                \
    constexpr enum_type operator op(enum_type lhs, enum_type rhs) noexcept {    \
       return static_cast<enum_type>(static_cast<numeric_type>(lhs)             \
@@ -154,3 +167,4 @@
    inline void to_json(nlohmann::json &j, const enum_type &value) {            \
       j = enum_type##_Name(value);                                             \
    }
+

src/lib/core/TimeStamp.cpp

@@ -1,6 +1,7 @@
 #include "TimeStamp.h"
 #include "lib/utils/datetime.h"
 #include <boost/date_time/posix_time/time_formatters.hpp>
+#include <google/protobuf/timestamp.pb.h>
 
 namespace bts::core {
 
@@ -43,6 +44,12 @@ bool TimeStamp::from_ymd(
    return true;
 }
 
+void TimeStamp::to_protobuf(google::protobuf::Timestamp &ts) const {
+   ts.set_seconds(seconds());
+   bts_assert(nanos() >= seconds() * 1'000'000'000);
+   ts.set_nanos(nanos() - seconds() * 1'000'000'000);
+}
+
 TimeStamp TimeStamp::from_iso_string(const std::string &iso_string) {
    auto ptime = datetime::parse_iso_date_time_string(iso_string);
    return from_ptime(ptime);

src/lib/core/TimeStamp.h

@@ -10,6 +10,7 @@
 #include <boost/date_time/time.hpp>
 #include <cstdint>
 #include <fmt/format.h>
+#include <google/protobuf/timestamp.pb.h>
 #include <limits>
 #include <string>
 
@@ -87,6 +88,7 @@ struct TimeStamp {
    // Gets a TimeStamp representing this date at midnight.
    TimeStamp date() const;
    constexpr boost::posix_time::ptime to_ptime() const;
+   void to_protobuf(google::protobuf::Timestamp &ts) const;
    std::string to_iso_string() const;
    // current epoch ns
    static uint64_t now_ns() {

src/lib/domain_model/PutOrCall.h

@@ -0,0 +1,52 @@
+#pragma once
+
+#include "lib/core/EnumMacros.h"
+#include "lib/core/FMT_IMPL.h"
+#include "lib/domain_model/Security.pb.h"
+#include "lib/io/JsonReader.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/string_utils.h"
+
+#include <nlohmann/json.hpp>
+
+namespace bts::api {
+
+/**
+ * Parses PutOrCall from a string. Unlike `bts::api::SecurityType_Parse`, this
+ * implementation is case insensitive, and makes the 'PUTORCALL_' prefix optional.
+ */
+bool put_or_call_parse_smart(const std::string &str, PutOrCall *result);
+
+PB_ENUM_FROM_JSON(PutOrCall)
+PB_ENUM_TO_JSON(PutOrCall)
+
+std::ostream &operator<<(std::ostream &out, const PutOrCall &poc) noexcept;
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+inline bool put_or_call_parse_smart(const std::string &str, PutOrCall *result) {
+   if (PutOrCall_Parse(str, result)) {
+      return true;
+   }
+   std::string s = bts::system::string_utils::copy_to_upper(str);
+   if (PutOrCall_Parse(s, result)) {
+      return true;
+   }
+   const char *prefix = "PUTORCALL_";
+   if (!s.starts_with(prefix)) {
+      s.insert(0, prefix);
+   }
+   return PutOrCall_Parse(s, result);
+}
+
+inline std::ostream &operator<<(
+    std::ostream &out, const PutOrCall &poc) noexcept {
+   out << PutOrCall_Name(poc);
+   return out;
+}
+
+} // namespace bts::api
+
+FMT_IMPL(bts::api::PutOrCall, poc, "{}", bts::api::PutOrCall_Name(poc));

src/lib/domain_model/Security.cpp

@@ -2,10 +2,13 @@
 #include "lib/config/config.h"
 #include "lib/config/protos/orders_fills_cleanup.pb.h"
 #include "lib/domain_model/Security.pb.h"
+#include "lib/io/JsonMacros.h"
 #include "lib/md/common.h"
+#include "lib/utils/pb_json_macros.h"
 
 #include <boost/date_time/posix_time/posix_time.hpp>
 #include <google/protobuf/text_format.h>
+#include <nlohmann/json.hpp>
 
 namespace bts {
 namespace securities {
@@ -191,3 +194,389 @@ std::string unique_descriptor(const api::Security &security) {
 
 } // namespace securities
 } // namespace bts
+
+namespace bts::api {
+
+using nlohmann::json;
+using std::uint32_t;
+
+void to_json(json &j, const api::ContractQuantityInfo &cqi) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, min_value);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, max_value);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, tick_unit);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, tick_base);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, multiplier);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, cqi, max_price);
+}
+
+void from_json(const json &j, api::ContractQuantityInfo &cqi) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, cqi, min_value, it);
+   PB_JSON_READ_VALUE(j, cqi, max_value, it);
+   PB_JSON_READ_VALUE(j, cqi, max_value, it);
+   PB_JSON_READ_VALUE(j, cqi, tick_unit, it);
+   PB_JSON_READ_VALUE(j, cqi, tick_base, it);
+   PB_JSON_READ_VALUE(j, cqi, max_price, it);
+}
+
+void to_json(json &j, const api::ContractSpecification &spec) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, low_tick);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, price_break);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, high_tick);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, cash_per_point);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, price_multiplier);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, main_fraction);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, sub_fraction);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, spec, price_display_format);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, spec, quantity_infos);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, spec, notional_quantity_infos);
+}
+
+void from_json(const json &j, api::ContractSpecification &spec) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, spec, low_tick, it);
+   PB_JSON_READ_VALUE(j, spec, price_break, it);
+   PB_JSON_READ_VALUE(j, spec, high_tick, it);
+   PB_JSON_READ_VALUE(j, spec, cash_per_point, it);
+   PB_JSON_READ_VALUE(j, spec, price_multiplier, it);
+   PB_JSON_READ_VALUE(j, spec, main_fraction, it);
+   PB_JSON_READ_VALUE(j, spec, sub_fraction, it);
+   PB_JSON_READ_VALUE(j, spec, price_display_format, it);
+   PB_JSON_READ_ARRAY(j, spec, quantity_infos, it);
+   PB_JSON_READ_ARRAY(j, spec, notional_quantity_infos, it);
+}
+
+void to_json(json &, const SpotContract &) {}
+void from_json(const json &, SpotContract &) {}
+
+template <class ExpContract>
+static void exp_to_json(json &j, const ExpContract &ec) {
+   j = bts::core::TimeStamp::from_ymd(
+           ec.expiration_year(), ec.expiration_month(), ec.expiration_day())
+           .to_iso_string();
+}
+
+template <class ExpContract>
+static void exp_from_json(const json &j, ExpContract &ec) {
+   const auto dt = bts::core::TimeStamp::from_iso_string(j.get<std::string>());
+   uint32_t y, m, d;
+   dt.to_date(y, m, d);
+   ec.set_expiration_year(y);
+   ec.set_expiration_month(m);
+   ec.set_expiration_day(d);
+}
+
+void to_json(json &j, const FutureContract &f) {
+   exp_to_json(j["expiration"], f);
+}
+
+void from_json(const json &j, FutureContract &f) {
+   const auto it = j.find("expiration");
+   if (it != j.end()) {
+      exp_from_json(*it, f);
+   }
+}
+
+void to_json(json &j, const OptionContract &opt) {
+   exp_to_json(j["expiration"], opt);
+   PB_JSON_WRITE_VALUE(j, opt, strike);
+   PB_JSON_WRITE_VALUE(j, opt, call_put);
+}
+
+void from_json(const json &j, OptionContract &opt) {
+   json::const_iterator it;
+   it = j.find("expiration");
+   if (it != j.end()) {
+      exp_from_json(*it, opt);
+   }
+   PB_JSON_READ_VALUE(j, opt, strike, it);
+   PB_JSON_READ_VALUE(j, opt, call_put, it);
+}
+
+void to_json(json &j, const ContractLeg &leg) {
+   PB_JSON_WRITE_STRUCT(j, leg, security);
+   PB_JSON_WRITE_VALUE(j, leg, quantity);
+   PB_JSON_WRITE_VALUE(j, leg, side);
+   PB_JSON_WRITE_VALUE(j, leg, price_multiplier);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, leg, leg_delta);
+   PB_JSON_WRITE_VALUE(j, leg, price_calc);
+}
+
+void from_json(const json &j, ContractLeg &leg) {
+   json::const_iterator it;
+   PB_JSON_READ_STRUCT(j, leg, security, it);
+   PB_JSON_READ_VALUE(j, leg, quantity, it);
+   PB_JSON_READ_VALUE(j, leg, side, it);
+   PB_JSON_READ_VALUE(j, leg, price_multiplier, it);
+   PB_JSON_READ_VALUE(j, leg, leg_delta, it);
+   PB_JSON_READ_VALUE(j, leg, price_calc, it);
+}
+
+void to_json(json &j, const SpreadContract &spd) {
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, spd, legs);
+}
+
+void from_json(const json &j, SpreadContract &spd) {
+   json::const_iterator it;
+   PB_JSON_READ_ARRAY(j, spd, legs, it);
+}
+
+void to_json(json &j, const SyntheticContract &syn) {
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, syn, name);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, syn, user_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, syn, legs);
+   PB_JSON_WRITE_VALUE(j, syn, price_calc);
+}
+
+void from_json(const json &j, SyntheticContract &syn) {
+   json::const_iterator it;
+   PB_JSON_READ_STRING(j, syn, name, it);
+   PB_JSON_READ_VALUE(j, syn, user_id, it);
+   PB_JSON_READ_ARRAY(j, syn, legs, it);
+   PB_JSON_READ_VALUE(j, syn, price_calc, it);
+}
+
+void to_json(json &j, const GLBXExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, cfi_code);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, cme_symbol);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, market_segment_id);
+}
+
+void from_json(const json &j, GLBXExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+   PB_JSON_READ_STRING(j, data, cfi_code, it);
+   PB_JSON_READ_STRING(j, data, cme_symbol, it);
+   PB_JSON_READ_VALUE(j, data, market_segment_id, it);
+}
+
+void to_json(json &j, const CBOEExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, class_key);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, source);
+}
+
+void from_json(const json &j, CBOEExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+   PB_JSON_READ_VALUE(j, data, class_key, it);
+   PB_JSON_READ_STRING(j, data, source, it);
+}
+
+void to_json(json &j, const CBOECFEExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, class_key);
+}
+
+void from_json(const json &j, CBOECFEExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+   PB_JSON_READ_VALUE(j, data, class_key, it);
+}
+
+void to_json(json &j, const ICEExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, price_denominator);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, deal_denominator);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, settle_denominator);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, market_description);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, cleared_alias);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, product_name);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, hub_alias);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, strip_name);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, mic_code);
+   PB_JSON_WRITE_IF_TRUE(j, data, is_strip);
+}
+
+void from_json(const json &j, ICEExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+   PB_JSON_READ_VALUE(j, data, price_denominator, it);
+   PB_JSON_READ_VALUE(j, data, deal_denominator, it);
+   PB_JSON_READ_VALUE(j, data, settle_denominator, it);
+   PB_JSON_READ_STRING(j, data, market_description, it);
+   PB_JSON_READ_STRING(j, data, cleared_alias, it);
+   PB_JSON_READ_STRING(j, data, product_name, it);
+   PB_JSON_READ_STRING(j, data, hub_alias, it);
+   PB_JSON_READ_STRING(j, data, strip_name, it);
+   PB_JSON_READ_STRING(j, data, mic_code, it);
+   PB_JSON_READ_VALUE(j, data, is_strip, it);
+}
+
+void to_json(json &j, const TAIFEXExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, class_key);
+}
+
+void from_json(const json &j, TAIFEXExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+   PB_JSON_READ_VALUE(j, data, class_key, it);
+}
+
+void to_json(json &j, const DeribitExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, DeribitExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const FTXExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, FTXExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const BinanceExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, BinanceExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const BinanceUsdsFuturesExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, BinanceUsdsFuturesExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const BinanceCoinFuturesExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, BinanceCoinFuturesExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const BinanceUsExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, BinanceUsExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const OkxExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, OkxExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const CoinbaseExchangeData &data) {
+   PB_JSON_WRITE_IF_NOT_ZERO(j, data, exchange_id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, data, security_desc);
+}
+
+void from_json(const json &j, CoinbaseExchangeData &data) {
+   json::const_iterator it;
+   PB_JSON_READ_VALUE(j, data, exchange_id, it);
+   PB_JSON_READ_STRING(j, data, security_desc, it);
+}
+
+void to_json(json &j, const Security &s) {
+   // clang-format off
+#define CONTRACT_ONEOF(oneof)           \
+   oneof(j, s, Spot, spot)              \
+   oneof(j, s, Future, future)          \
+   oneof(j, s, Option, option)          \
+   oneof(j, s, Spread, spread)          \
+   oneof(j, s, Synthetic, synthetic)
+
+#define EXCHANGE_DATA_ONEOF(oneof)                        \
+   oneof(j, s, Glbx, glbx)                                \
+   oneof(j, s, Cboe, cboe)                                \
+   oneof(j, s, Cfe, cfe)                                  \
+   oneof(j, s, Ice, ice)                                  \
+   oneof(j, s, Deribit, deribit)                          \
+   oneof(j, s, Ftx, ftx)                                  \
+   oneof(j, s, Binance, binance)                          \
+   oneof(j, s, BinanceCoinFutures, binance_coin_futures)  \
+   oneof(j, s, BinanceUsdsFutures, binance_usds_futures)  \
+   oneof(j, s, BinanceUs, binance_us)                     \
+   oneof(j, s, Coinbase, coinbase)                        \
+   oneof(j, s, Okx, okx)                                  \
+   oneof(j, s, Taifex, taifex)
+   // clang-format on
+
+   PB_JSON_WRITE_IF_NOT_ZERO(j, s, id);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, s, symbol);
+   PB_JSON_WRITE_VALUE(j, s, exchange);
+   PB_JSON_WRITE_STRUCT(j, s, contract_spec);
+   PB_JSON_WRITE_IF_NOT_EMPTY(j, s, currency);
+   PB_JSON_WRITE_ONEOF(j, s, Contract, CONTRACT_ONEOF);
+   PB_JSON_WRITE_ONEOF(j, s, ExchangeData, EXCHANGE_DATA_ONEOF);
+}
+
+void from_json(const json &j, Security &s) {
+   json::const_iterator it;
+
+#define SEC_TYPE_ONEOF(oneof)                                                  \
+   oneof(j, s, future, it);                                                    \
+   oneof(j, s, option, it);                                                    \
+   oneof(j, s, spread, it);                                                    \
+   oneof(j, s, synthetic, it)
+
+#define CONTRACT_CASE_ONEOF(oneof)                                             \
+   oneof(j, s, glbx, it);                                                      \
+   oneof(j, s, cboe, it);                                                      \
+   oneof(j, s, cfe, it);                                                       \
+   oneof(j, s, ice, it);                                                       \
+   oneof(j, s, deribit, it);                                                   \
+   oneof(j, s, ftx, it);                                                       \
+   oneof(j, s, binance, it);                                                   \
+   oneof(j, s, binance_usds_futures, it);                                      \
+   oneof(j, s, binance_coin_futures, it);                                      \
+   oneof(j, s, binance_us, it);                                                \
+   oneof(j, s, coinbase, it);                                                  \
+   oneof(j, s, okx, it);                                                       \
+   oneof(j, s, taifex, it);
+
+   PB_JSON_READ_VALUE(j, s, id, it);
+   PB_JSON_READ_STRING(j, s, symbol, it);
+   PB_JSON_READ_STRING(j, s, currency, it);
+   PB_JSON_READ_STRUCT(j, s, contract_spec, it);
+   PB_JSON_READ_ONEOFS(SEC_TYPE_ONEOF);
+   PB_JSON_READ_ONEOFS(CONTRACT_CASE_ONEOF);
+}
+
+} // namespace bts::api

src/lib/domain_model/Security.h

@@ -1,6 +1,6 @@
 #pragma once
 
-#include "lib/core/FMT_IMPL.h"
+#include "lib/domain_model/PutOrCall.h"
 #include "lib/domain_model/Security.pb.h"
 #include "lib/domain_model/SecurityType.h"
 #include "lib/domain_model/Side.h"
@@ -9,6 +9,7 @@
 #include "lib/utils/bts_assert.h"
 
 #include <cmath>
+#include <nlohmann/json_fwd.hpp>
 
 namespace boost {
 namespace gregorian {
@@ -16,14 +17,83 @@ class date;
 }
 } // namespace boost
 
-namespace bts {
+namespace bts::api {
 
-namespace api {
 class Security;
 class ICEExchangeData;
-} // namespace api
 
-namespace securities {
+void to_json(nlohmann::json &j, const ContractQuantityInfo &c);
+void from_json(const nlohmann::json &j, ContractQuantityInfo &c);
+
+void to_json(nlohmann::json &j, const ContractSpecification &c);
+void from_json(const nlohmann::json &j, ContractSpecification &c);
+
+void to_json(nlohmann::json &j, const ContractLeg &c);
+void from_json(const nlohmann::json &j, ContractLeg &c);
+
+void to_json(nlohmann::json &j, const SpotContract &c);
+void from_json(const nlohmann::json &j, SpotContract &c);
+
+void to_json(nlohmann::json &j, const FutureContract &c);
+void from_json(const nlohmann::json &j, FutureContract &c);
+
+void to_json(nlohmann::json &j, const OptionContract &c);
+void from_json(const nlohmann::json &j, OptionContract &c);
+
+void to_json(nlohmann::json &j, const SpreadContract &c);
+void from_json(const nlohmann::json &j, SpreadContract &c);
+
+void to_json(nlohmann::json &j, const SyntheticContract_PriceCalc &c);
+void from_json(const nlohmann::json &j, SyntheticContract_PriceCalc &c);
+
+void to_json(nlohmann::json &j, const SyntheticContract &c);
+void from_json(const nlohmann::json &j, SyntheticContract &c);
+
+void to_json(nlohmann::json &j, const GLBXExchangeData &data);
+void from_json(const nlohmann::json &j, GLBXExchangeData &data);
+
+void to_json(nlohmann::json &j, const CBOEExchangeData &data);
+void from_json(const nlohmann::json &j, CBOEExchangeData &data);
+
+void to_json(nlohmann::json &j, const CBOECFEExchangeData &data);
+void from_json(const nlohmann::json &j, CBOECFEExchangeData &data);
+
+void to_json(nlohmann::json &j, const ICEExchangeData &data);
+void from_json(const nlohmann::json &j, ICEExchangeData &data);
+
+void to_json(nlohmann::json &j, const DeribitExchangeData &data);
+void from_json(const nlohmann::json &j, DeribitExchangeData &data);
+
+void to_json(nlohmann::json &j, const FTXExchangeData &data);
+void from_json(const nlohmann::json &j, FTXExchangeData &data);
+
+void to_json(nlohmann::json &j, const BinanceExchangeData &data);
+void from_json(const nlohmann::json &j, BinanceExchangeData &data);
+
+void to_json(nlohmann::json &j, const BinanceUsdsFuturesExchangeData &data);
+void from_json(const nlohmann::json &j, BinanceUsdsFuturesExchangeData &data);
+
+void to_json(nlohmann::json &j, const BinanceCoinFuturesExchangeData &data);
+void from_json(const nlohmann::json &j, BinanceCoinFuturesExchangeData &data);
+
+void to_json(nlohmann::json &j, const BinanceUsExchangeData &data);
+void from_json(const nlohmann::json &j, BinanceUsExchangeData &data);
+
+void to_json(nlohmann::json &j, const OkxExchangeData &data);
+void from_json(const nlohmann::json &j, OkxExchangeData &data);
+
+void to_json(nlohmann::json &j, const CoinbaseExchangeData &data);
+void from_json(const nlohmann::json &j, CoinbaseExchangeData &data);
+
+void to_json(nlohmann::json &j, const Security &s);
+void from_json(const nlohmann::json &j, Security &s);
+
+PB_ENUM_FROM_JSON(SyntheticContract_PriceCalc);
+PB_ENUM_TO_JSON(SyntheticContract_PriceCalc);
+
+} // namespace bts::api
+
+namespace bts::securities {
 
 /**
  * Gets a descriptor string for a security (should be unique within a particular exchange).
@@ -60,7 +130,8 @@ inline api::Side other_side(api::Side side) {
       return side;
    }
 }
-template <class V> class TwoSided {
+template <class V>
+class TwoSided {
  public:
    TwoSided() : buy(), sell() {}
 
@@ -104,7 +175,8 @@ inline bool is_worse(api::Side s, Price p1, Price p2) {
    return is_better(s, p2, p1);
 }
 
-template <class C> void apply_to_both_sides(C c) {
+template <class C>
+void apply_to_both_sides(C c) {
    c(api::SIDE_BUY);
    c(api::SIDE_SELL);
 }
@@ -178,8 +250,8 @@ inline Price encode_exchange_price(api::Security const &sec, Price in) {
       return in;
 }
 
-inline double
-raw_round_to_quote_price(double raw_price, double tick_size, api::Side side) {
+inline double raw_round_to_quote_price(
+    double raw_price, double tick_size, api::Side side) {
    double factor = 1000000000;
    auto i_price = llround(factor * raw_price);
    auto i_tick_size = llround(tick_size * factor);
@@ -222,8 +294,8 @@ inline double checked_round_to_quote_price(
    }
 }
 
-inline Price
-round_to_quote_price(api::Security const &sec, Price in, api::Side side) {
+inline Price round_to_quote_price(
+    api::Security const &sec, Price in, api::Side side) {
    auto p = in.value();
    bts_assert_d(!std::isnan(p));
    if (p < -sec.contract_spec().price_break() ||
@@ -287,8 +359,8 @@ inline const std::string &descriptor(
 // Looking to round md::IntPrice? Look in IntPrice.h
 
 // computes price_2 - price_1 in ticks
-inline int
-price_diff_to_ticks(double price_1, double price_2, double tick_size) {
+inline int price_diff_to_ticks(
+    double price_1, double price_2, double tick_size) {
    return static_cast<int>(std::round((price_2 - price_1) / tick_size));
 }
 // returns the difference (in ticks) bw and order and a market.
@@ -312,8 +384,8 @@ inline int order_diff_market(
 // simple double equality can not be used to compare prices.
 // this function deems 2 prices to be equal if they are within
 // 1 % of the tick size
-inline bool
-test_price_equality(double price_1, double price_2, double tick_size) {
+inline bool test_price_equality(
+    double price_1, double price_2, double tick_size) {
    return std::fabs(price_2 - price_1) < 0.01 * tick_size;
 }
 inline bool gr_than_eq(double p1, double p2, double tick_size) {
@@ -362,7 +434,4 @@ inline bool is_spread_of_strips(const bts::api::Security &sec) {
    return false;
 }
 
-} // namespace securities
-} // namespace bts
-
-FMT_IMPL(bts::api::Security, s, "{}", bts::securities::descriptor(s));
+} // namespace bts::securities

src/lib/domain_model/common.h

@@ -33,8 +33,8 @@ struct CQuantity {
    uint32_t value() const { return static_cast<uint32_t>(qty); }
    double full_value() const { return qty; }
    float full_value_float() const { return static_cast<float>(full_value()); }
-   uint32_t int_part() { return static_cast<uint32_t>(qty); }
-   double fractional_part() { return full_value() - int_part(); }
+   uint32_t int_part() const { return static_cast<uint32_t>(qty); }
+   double fractional_part() const { return full_value() - int_part(); }
    static bool equal_d(double d1, double d2) {
       return std::abs(d1 - d2) <= err;
    }

src/lib/io/JsonMacros.h

@@ -3,18 +3,14 @@
 #define _TO_JSON_FIELD(field) j[#field] = t.field;
 #define _FROM_JSON_FIELD(field) bts::io::JsonReader{&j, #field}.read(t.field);
 
-#define SPARK_TO_JSON_IMPL(type, for_each)                                     \
-   inline void to_json(nlohmann::json &j, const type &t) {                     \
-      FOR_EACH(_TO_JSON_FIELD)                                                 \
-   }
+#define SPARK_TO_JSON_IMPL(type, fields)                                       \
+   void to_json(nlohmann::json &j, const type &t) { fields(_TO_JSON_FIELD) }
 
-#define SPARK_FROM_JSON_IMPL(type, for_each)                                   \
-   inline void from_json(const nlohmann::json &j, type &t) {                   \
-      FOR_EACH(_FROM_JSON_FIELD)                                               \
-   }
+#define SPARK_FROM_JSON_IMPL(type, fields)                                     \
+   void from_json(const nlohmann::json &j, type &t) { fields(_FROM_JSON_FIELD) }
 
 #define OSTREAM_JSON_IMPL(type)                                                \
-   inline std::ostream &operator<<(std::ostream &out, const type &t) {         \
+   std::ostream &operator<<(std::ostream &out, const type &t) {                \
       nlohmann::json j;                                                        \
       to_json(j, t);                                                           \
       out << j.dump(2);                                                        \

src/lib/io/JsonReader.h

@@ -94,7 +94,18 @@ class JsonReader {
     * @return True if the read succeeds, otherwise false
     */
    template <class T>
-   bool read_or(const std::string &name, T &result, T default_value) const;
+   bool read_or(const std::string &name, T &result, T default_value = {}) const;
+
+   template <class T>
+   bool read_optional_or(
+       std::optional<T> &result,
+       std::optional<T> default_value = std::nullopt) const;
+
+   template <class T>
+   bool read_optional_or(
+       const std::string &name,
+       std::optional<T> &result,
+       std::optional<T> default_value = std::nullopt) const;
 
  private:
    const nlohmann::json *json_;
@@ -269,6 +280,33 @@ inline bool JsonReader::read_or(
    return false;
 }
 
+template <class T>
+inline bool JsonReader::read_optional_or(
+    std::optional<T> &result, std::optional<T> default_value) const {
+   if (read_optional(result)) {
+      return true;
+   }
+   result = std::move(default_value);
+   return false;
+}
+
+template <class T>
+inline bool JsonReader::read_optional_or(
+    const std::string &name,
+    std::optional<T> &result,
+    std::optional<T> default_value) const {
+   if (json_ && json_->is_object()) {
+      auto it = json_->find(name);
+      if (it != json_->end()) {
+         if (JsonReader{&it.value()}.read_optional(result)) {
+            return true;
+         }
+      }
+   }
+   result = std::move(default_value);
+   return false;
+}
+
 template <class T>
 bool JsonReader::read_flat(
     const std::vector<nlohmann::json> &items, std::vector<T> &result) {

src/lib/io/http/curl_session.h

@@ -1,5 +1,7 @@
 #pragma once
 
+#include "lib/logging/logging.h"
+
 #include <atomic>
 #include <curl/curl.h>
 #include <curl/easy.h>
@@ -12,6 +14,7 @@ struct CurlSession {
 
    CurlSession() {
       if (++ref_count == 1) {
+         LOG(Http, Info, "Initializing curl (global)");
          curl_global_init(CURL_GLOBAL_ALL);
       }
       curl = curl_easy_init();
@@ -20,6 +23,7 @@ struct CurlSession {
    ~CurlSession() {
       curl_easy_cleanup(curl);
       if (--ref_count == 0) {
+         LOG(Http, Info, "Cleaning up curl (global)");
          curl_global_cleanup();
       }
    }

src/lib/io/http/http_client.cpp

@@ -117,7 +117,10 @@ void HttpClient::send(const HttpRequest &req, IHttpResponse *response) {
    // Prepare req
    //to debug curl requests
    // curl_easy_setopt(curl, CURLOPT_DEBUGFUNCTION, curl_debug_callback);
-   curl_easy_setopt(curl, CURLOPT_FAILONERROR, true);
+   // Disable signals to avoid strange stack corruption related to set/longjmp
+   // https://stackoverflow.com/questions/9191668/error-longjmp-causes-uninitialized-stack-frame
+   curl_easy_setopt(curl, CURLOPT_NOSIGNAL, 1L);
+   curl_easy_setopt(curl, CURLOPT_FAILONERROR, 0L);
    curl_easy_setopt(curl, CURLOPT_URL, req.url.c_str());
    curl_easy_setopt(curl, CURLOPT_HTTPHEADER, curl_headers.data());
    if (response != nullptr) {

src/lib/io/json_formatter.h

@@ -0,0 +1,54 @@
+#pragma once
+
+#include <fmt/format.h>
+#include <nlohmann/json.hpp>
+#include <string>
+
+namespace bts::io {
+
+/**
+ * This wrapper struct provides a means to format arbitrary objects as json
+ * in templated strings (e.g., LOG macros).
+ */
+template <class T>
+struct JsonFormatter {
+   T value;
+
+   std::string to_string() const { return fmt::format("{}", *this); }
+};
+
+template <class T>
+JsonFormatter<T> json_formatter(T value) {
+   return JsonFormatter<T>{std::move(value)};
+}
+
+} // namespace bts::io
+
+template <class T>
+struct fmt::formatter<bts::io::JsonFormatter<T>> {
+   int indent = -1;
+
+   constexpr auto parse(fmt::format_parse_context &ctx) -> decltype(ctx.end()) {
+      const auto end = ctx.end();
+      auto it = ctx.begin();
+      if (it != end) {
+         indent = 0;
+         do {
+            int x = *it - '0';
+            if (x < 0 || x > 9) {
+               return it;
+            }
+            indent = indent * 10 + x;
+         } while (++it != end);
+      }
+      return it;
+   }
+
+   template <typename FormatContext>
+   auto format(const bts::io::JsonFormatter<T> &jf, FormatContext &ctx) const
+       -> decltype(ctx.out()) {
+      nlohmann::json j;
+      to_json(j, jf.value);
+      return fmt::format_to(ctx.out(), "{}", j.dump(indent));
+   }
+};

src/lib/io/websocket/websocket_client.cpp

@@ -3,6 +3,7 @@
 #include "lib/core/TimeSpan.h"
 #include "lib/core/TimeStamp.h"
 #include "lib/io/websocket/websocket_client_config.h"
+#include "lib/io/websocket/websocket_client_logger.h"
 #include "lib/io/websocket/websocket_client_state.h"
 #include "lib/io/websocket/websocket_close_status.h"
 #include "lib/io/websocket/websocket_error_code.h"
@@ -11,7 +12,10 @@
 #include "lib/utils/bts_assert.h"
 #include "lib/utils/formatters/exception_formatter.h"
 
+#include <algorithm>
 #include <atomic>
+#include <boost/asio/io_context.hpp>
+#include <chrono>
 #include <exception>
 #include <fmt/format.h>
 #include <mutex>
@@ -19,6 +23,7 @@
 #include <optional>
 #include <stdexcept>
 #include <string>
+#include <system_error>
 #include <thread>
 #include <websocketpp/close.hpp>
 #include <websocketpp/common/connection_hdl.hpp>
@@ -29,11 +34,51 @@
 #include <websocketpp/config/core_client.hpp>
 #include <websocketpp/roles/client_endpoint.hpp>
 
+namespace websocketpp::config {
+
+/// Client config with asio transport and TLS enabled
+struct bts_asio_tls_client : public core_client {
+   typedef bts_asio_tls_client type;
+   typedef core_client base;
+
+   typedef base::concurrency_type concurrency_type;
+
+   typedef base::request_type request_type;
+   typedef base::response_type response_type;
+
+   typedef base::message_type message_type;
+   typedef base::con_msg_manager_type con_msg_manager_type;
+   typedef base::endpoint_msg_manager_type endpoint_msg_manager_type;
+
+   typedef websocketpp::log::WebsocketClientLogger<
+       websocketpp::log::ElevelAdapter>
+       elog_type;
+   typedef websocketpp::log::WebsocketClientLogger<
+       websocketpp::log::AlevelAdapter>
+       alog_type;
+
+   typedef base::rng_type rng_type;
+
+   struct transport_config : public base::transport_config {
+      typedef type::concurrency_type concurrency_type;
+      typedef type::alog_type alog_type;
+      typedef type::elog_type elog_type;
+      typedef type::request_type request_type;
+      typedef type::response_type response_type;
+      typedef transport::asio::tls_socket::endpoint socket_type;
+   };
+
+   typedef transport::asio::endpoint<transport_config> transport_type;
+};
+
+} // namespace websocketpp::config
+
 namespace bts::websocket {
 
 struct WebsocketClientSnapshot {
    int client_id;
    WebsocketClientState state;
+   int n_reconnects;
    int version;
 };
 
@@ -42,9 +87,10 @@ struct WebsocketClientSnapshot {
 FMT_IMPL(
     bts::websocket::WebsocketClientSnapshot,
     t,
-    "id: {}; state: {}; version: {}",
+    "id: {}; state: {}; n_reconnects: {}; version: {}",
     t.client_id,
     t.state,
+    t.n_reconnects,
     t.version);
 
 namespace bts::websocket {
@@ -62,10 +108,11 @@ using std::size_t;
 using std::string;
 using std::thread;
 using std::uint32_t;
-using websocketpp::config::asio_tls_client;
+using std::chrono::nanoseconds;
+using std::this_thread::sleep_for;
 
 using WebsocketppClient =
-    websocketpp::client<websocketpp::config::asio_tls_client>;
+    websocketpp::client<websocketpp::config::bts_asio_tls_client>;
 using ConnectionHdl = websocketpp::connection_hdl;
 using ConnectionPtr = WebsocketppClient::connection_ptr;
 using MessageTypePtr = websocketpp::config::core_client::message_type::ptr;
@@ -86,9 +133,16 @@ using State = WebsocketClientState;
 #define ERROR(...) LOG(Http, Error, __VA_ARGS__)
 #define ERROR_FN(...) LOG(Http, Error, "WebsocketClient::" __VA_ARGS__)
 
+static bts::core::TimeSpan reconnect_interval(std::uint32_t n_attempts) {
+   std::int64_t secs = 5 * n_attempts;
+   secs = std::clamp(secs, 5L, 300L);
+   return bts::core::TimeSpan::from_seconds(secs);
+}
+
 struct WebsocketClient::PImpl {
    WebsocketClientConfig config;
    WebsocketppClient client{};
+   boost::asio::io_context *io_context = nullptr;
    WebsocketppClient::connection_ptr con;
    optional<OpenHandler> open_handler;
    optional<MessageHandler> message_handler;
@@ -98,8 +152,48 @@ struct WebsocketClient::PImpl {
    optional<thread> io_thread;
    int client_id{client_id_counter++};
    mutex instance_mx;
-   State state;
+   State state = State::IDLE;
    int version = 0;
+   int n_reconnects = 0;
+
+   PImpl(WebsocketClientConfig config, boost::asio::io_context *io_context)
+       : config(std::move(config)), io_context(io_context) {
+      client.get_alog().set_name(this->config.name);
+      client.get_elog().set_name(this->config.name);
+      client.set_access_channels(websocketpp::log::alevel::all);
+      // client.clear_access_channels(websocketpp::log::alevel::frame_payload);
+      client.set_error_channels(websocketpp::log::elevel::all);
+      if (io_context == nullptr) {
+         client.init_asio();
+      } else {
+         client.init_asio(io_context);
+      }
+      client.set_message_handler(
+          [this](auto hdl, auto msg) { on_message(hdl, msg); });
+      client.set_open_handler([this](auto hdl) { on_open(hdl); });
+      client.set_ping_handler([](auto /*hdl*/, auto /*msg*/) {
+         LOG(Http, Info, "Received ping");
+         return true;
+      });
+      client.set_pong_timeout(0);
+      client.set_pong_handler([](auto /*hdl*/, auto /*msg*/) {
+         LOG(Http, Info, "Received pong");
+         return true;
+      });
+      client.set_tls_init_handler([&](auto hdl) { return on_tls_init(hdl); });
+      client.set_close_handler([=, this](auto hdl) {
+         on_close(hdl);
+         if (config.reconnect_on_close) {
+            sleep_for(nanoseconds{reconnect_interval(n_reconnects).nanos()});
+            connect();
+         }
+      });
+      client.set_fail_handler([this](auto hdl) {
+         const auto ec = client.get_con_from_hdl(hdl)->get_ec();
+         ERROR_FN("fail_handler. {}; err: {}", snapshot(), ec.message());
+         on_fail(hdl);
+      });
+   }
 
    ~PImpl() {
       if (io_thread) {
@@ -120,7 +214,7 @@ struct WebsocketClient::PImpl {
    }
 
    constexpr WebsocketClientSnapshot snapshot() const {
-      return {client_id, state, version};
+      return {client_id, state, n_reconnects, version};
    }
 
    void close(websocketpp::close::status::value code, std::string reason) {
@@ -164,8 +258,7 @@ struct WebsocketClient::PImpl {
    /**
     * Connects to the websocket server
     */
-   void connect(
-       const map<string, string> &headers, bool run_in_background = true) {
+   void connect() {
       lock_guard<mutex> lock{instance_mx};
       INFO_FN("connect. {}", snapshot());
       switch (state.value) {
@@ -177,9 +270,6 @@ struct WebsocketClient::PImpl {
       }
       set_state(State::OPENING);
       try {
-         init_logging();
-         init_handlers();
-         // Get connection
          websocketpp::lib::error_code ec;
          con = client.get_connection(config.url, ec);
          if (ec) {
@@ -187,20 +277,11 @@ struct WebsocketClient::PImpl {
             return;
          }
          // Add headers
-         for (const auto &[k, v] : headers) {
+         for (const auto &[k, v] : config.headers) {
             con->append_header(k, v);
          }
          // Connect
          client.connect(con);
-         if (run_in_background) {
-            bts_assert_msgf(
-                !io_thread, "Websocket io_thread already instantiated. {}",
-                snapshot());
-            io_thread = std::thread{[this]() { run(); }};
-            if (config.connect_timeout > core::TimeSpan::zero()) {
-               wait_for_connect(config.connect_timeout);
-            }
-         }
       } catch (const std::exception &ex) {
          std::string str = ex.what();
          ERROR_FN(
@@ -212,22 +293,11 @@ struct WebsocketClient::PImpl {
       }
    }
 
-   void wait_for_connect(const TimeSpan timeout) {
-      INFO_FN("wait_for_connect. {}; timeout: {}", snapshot(), timeout);
-      const auto start = TimeStamp::now();
-      while (state == State::OPENING) {
-         const auto elapsed = TimeStamp::now() - start;
-         const auto rem = timeout - elapsed;
-         if (rem < TimeSpan::zero()) {
-            throw std::runtime_error{fmt::format(
-                "Timed out waiting for connection after {} secs. {}",
-                elapsed.total_seconds(), snapshot())};
-         }
-         WARN_FN(
-             "wait_for_connect. Still waiting. {}; timeout: {}; rem: {}",
-             snapshot(), timeout, rem);
-         std::this_thread::sleep_for(std::chrono::seconds(1));
-      }
+   void reconnect() {
+      WARN_FN("reconnect. {}", snapshot());
+      sleep_for(nanoseconds{reconnect_interval(n_reconnects).nanos()});
+      ++n_reconnects;
+      connect();
    }
 
    void run() {
@@ -258,10 +328,33 @@ struct WebsocketClient::PImpl {
       INFO("Websocket 'run' thread end. {}", snapshot());
    }
 
+   void run_one() {
+      try {
+         client.run_one();
+      } catch (const websocketpp::exception &ex) {
+         ERROR_FN(
+             "io_thread (run_one). Websocket io threw websocketpp::exception. "
+             "{}; err: {}",
+             snapshot(), ex);
+      } catch (const std::exception &ex) {
+         ERROR_FN(
+             "io_thread (run_one). Websocket io threw std::exception. {}; err: "
+             "{}",
+             snapshot(), ex);
+      } catch (...) {
+         bts_assert_msgf(
+             false,
+             "io_thread (run_one). Websocket io threw unknown exception. Could "
+             "this have been thrown by a callback delegate? {}",
+             snapshot());
+      }
+   }
+
  private:
    static std::atomic<int> client_id_counter;
 
-   auto on_tls_init(ConnectionHdl /*hdl*/) {
+   std::shared_ptr<boost::asio::ssl::context> on_tls_init(
+       ConnectionHdl /*hdl*/) {
       INFO_FN("on_tls_init. state: {}; version: {}", state, version);
       auto result =
           websocketpp::lib::make_shared<SslContext>(SslContext::sslv23_client);
@@ -269,38 +362,6 @@ struct WebsocketClient::PImpl {
       return result;
    }
 
-   void init_handlers() {
-      INFO_FN("init_handlers. state: {}; version: {}", state, version);
-      bts_assert(!io_thread);
-      client.init_asio();
-      client.set_message_handler(
-          [this](auto hdl, auto msg) { on_message(hdl, msg); });
-      client.set_open_handler([this](auto hdl) { on_open(hdl); });
-      client.set_ping_handler([](auto /*hdl*/, auto /*msg*/) {
-         LOG(Http, Info, "Received ping");
-         return true;
-      });
-      client.set_pong_timeout(0);
-      client.set_pong_handler([](auto /*hdl*/, auto /*msg*/) {
-         LOG(Http, Info, "Received pong");
-         return true;
-      });
-      client.set_tls_init_handler(
-          [this](auto hdl) { return on_tls_init(hdl); });
-      client.set_close_handler([this](auto hdl) { on_close(hdl); });
-      client.set_fail_handler([this](auto hdl) {
-         const auto ec = client.get_con_from_hdl(hdl)->get_ec();
-         ERROR_FN("fail_handler. {}; err: {}", snapshot(), ec.message());
-      });
-   }
-
-   void init_logging() {
-      INFO_FN("init_logging. {}", snapshot());
-      client.set_access_channels(websocketpp::log::alevel::all);
-      // client.clear_access_channels(websocketpp::log::alevel::frame_payload);
-      client.set_error_channels(websocketpp::log::elevel::all);
-   }
-
    void on_open(ConnectionHdl hdl) {
       lock_guard<mutex> lock{instance_mx};
       INFO_FN("on_open. {}", snapshot());
@@ -358,11 +419,34 @@ struct WebsocketClient::PImpl {
       if (close_handler) {
          (*close_handler)(ec);
       }
+      if (config.reconnect_on_close) {
+         reconnect();
+      }
+   }
+
+   void on_fail(ConnectionHdl hdl) {
+      lock_guard<mutex> lock{instance_mx};
+      ERROR_FN("on_fail. {}", snapshot());
+      set_state(State::IDLE);
+      const auto con = client.get_con_from_hdl(hdl);
+      const auto ec = con->get_ec();
+      if (ec) {
+         ERROR_FN(
+             "on_fail. {}; local_code: {}; "
+             "local_reason: {}; remote_code: {}; remote_reason: {}; err: {}",
+             snapshot(), con->get_local_close_code(),
+             con->get_local_close_reason(), con->get_remote_close_code(),
+             con->get_remote_close_reason(), ec.message());
+      }
+      if (config.reconnect_on_fail) {
+         reconnect();
+      }
    }
 };
 
-WebsocketClient::WebsocketClient(WebsocketClientConfig config)
-    : me_(std::make_unique<PImpl>(std::move(config))) {}
+WebsocketClient::WebsocketClient(
+    WebsocketClientConfig config, boost::asio::io_context *io_context)
+    : me_(std::make_unique<PImpl>(std::move(config), io_context)) {}
 
 WebsocketClient::~WebsocketClient() {
    me_->close(websocketpp::close::status::going_away, "");
@@ -391,13 +475,16 @@ WebsocketClient::CloseHandler &WebsocketClient::close_handler() {
    return *me_->close_handler;
 }
 
-void WebsocketClient::connect(
-    const std::map<std::string, std::string> &headers, bool run_in_background) {
-   me_->connect(headers, run_in_background);
-}
+void WebsocketClient::connect() { me_->connect(); }
 
 void WebsocketClient::run() { me_->run(); }
 
+void WebsocketClient::run_one() { me_->run_one(); }
+
+boost::asio::io_context *WebsocketClient::io_context() {
+   return me_->io_context;
+}
+
 websocketpp::lib::error_code WebsocketClient::send_text(const string &text) {
    return me_->send_text(text);
 }
@@ -415,4 +502,6 @@ bool WebsocketClient::is_connected() const {
 
 void WebsocketClient::ping(const string &payload) { me_->con->ping(payload); }
 
+const string &WebsocketClient::url() const { return me_->config.url; }
+
 } // namespace bts::websocket

src/lib/io/websocket/websocket_client.h

@@ -3,6 +3,7 @@
 #include "lib/io/websocket/websocket_client_config.h"
 #include "lib/utils/Delegate.h"
 
+#include <boost/asio/io_context.hpp>
 #include <memory>
 #include <string>
 #include <websocketpp/config/core_client.hpp>
@@ -12,28 +13,33 @@ namespace bts::websocket {
 
 class WebsocketClient {
  public:
-   explicit WebsocketClient(WebsocketClientConfig config);
+   WebsocketClient(
+       WebsocketClientConfig config,
+       boost::asio::io_context *io_context = nullptr);
    ~WebsocketClient();
 
    using OpenHandler = bts::core::Delegate<void(const std::error_code &)>;
    using MessageHandler = bts::core::Delegate<void(const std::string &)>;
    using CloseHandler = bts::core::Delegate<void(const std::error_code &)>;
 
-   void connect(
-       const std::map<std::string, std::string> &headers = {},
-       bool run_in_background = true);
+   void connect();
    void disconnect();
    bool is_connected() const;
+   boost::asio::io_context *io_context();
    void run();
+   void run_one();
    CloseHandler &open_handler();
    MessageHandler &message_handler();
    CloseHandler &close_handler();
    websocketpp::lib::error_code send_text(const std::string &text);
    void ping(const std::string &payload = "");
 
+   const std::string &url() const;
+
  private:
    struct PImpl;
    std::unique_ptr<PImpl> me_;
 };
 
 } // namespace bts::websocket
+

src/lib/io/websocket/websocket_client_config.h

@@ -5,9 +5,14 @@
 namespace bts::websocket {
 
 struct WebsocketClientConfig {
-   std::string url;
-   core::TimeSpan connect_timeout;
-   core::TimeSpan pong_timeout;
+   std::string url{};
+   core::TimeSpan connect_timeout = core::TimeSpan::zero();
+   core::TimeSpan pong_timeout = core::TimeSpan::zero();
+   bool reconnect_on_close = false;
+   bool reconnect_on_fail = false;
+   std::map<std::string, std::string> headers{};
+   // name to use in logs
+   std::string name{};
 };
 
 } // namespace bts::websocket

src/lib/io/websocket/websocket_client_logger.h

@@ -0,0 +1,88 @@
+#pragma once
+
+#include "lib/logging/Common.h"
+#include "lib/logging/logging.h"
+
+#include <websocketpp/concurrency/basic.hpp>
+#include <websocketpp/logger/basic.hpp>
+#include <websocketpp/logger/levels.hpp>
+
+namespace websocketpp::log {
+
+struct ElevelAdapter {
+   typedef elevel LevelT;
+
+   constexpr bts::log::Level operator()(level channel) {
+      switch (channel) {
+      case elevel::devel:
+         return bts::Diag;
+      case elevel::library:
+      case elevel::warn:
+         return bts::Warn;
+      case elevel::rerror:
+         return bts::Error;
+      case elevel::fatal:
+         return bts::Fatal;
+      default:
+         return bts::Info;
+      }
+   }
+};
+
+struct AlevelAdapter {
+   typedef alevel LevelT;
+
+   constexpr bts::log::Level operator()(level channel) {
+      switch (channel) {
+      case alevel::control:
+      case alevel::frame_header:
+      case alevel::frame_payload:
+      case alevel::message_header:
+      case alevel::message_payload:
+      case alevel::debug_handshake:
+      case alevel::debug_close:
+      case alevel::devel:
+         return bts::Diag;
+      case alevel::disconnect:
+         return bts::Warn;
+      case alevel::fail:
+         return bts::Error;
+      default:
+         return bts::Info;
+      }
+   }
+};
+
+template <typename LevelAdapter>
+class WebsocketClientLogger
+    : public basic<concurrency::basic, typename LevelAdapter::LevelT> {
+   typedef basic<concurrency::basic, typename LevelAdapter::LevelT> base;
+
+   std::string name;
+   LevelAdapter level_adapter;
+
+ public:
+   WebsocketClientLogger(
+       level c, channel_type_hint::value h = channel_type_hint::access)
+       : base(c, h) {}
+
+   void set_name(std::string name) {
+      concurrency::basic::scoped_lock_type lock{this->m_lock};
+      this->name = std::move(name);
+   }
+
+   void write(level channel, const std::string &msg) {
+      concurrency::basic::scoped_lock_type lock{this->m_lock};
+      if (!this->dynamic_test(channel)) {
+         return;
+      }
+      LOG(Http, level_adapter(channel), "WebsocketClient-{} {}. {}", name,
+          std::string{LevelAdapter::LevelT::channel_name(channel)}, msg);
+   }
+
+   void write(level channel, const char *msg) {
+      write(channel, std::string{msg});
+   }
+};
+
+} // namespace websocketpp::log

src/lib/logging/Sink.cpp

@@ -9,6 +9,7 @@
 #include <boost/date_time/posix_time/posix_time.hpp>
 #include <boost/filesystem.hpp>
 #include <boost/filesystem/path.hpp>
+#include <cstdint>
 #include <fmt/ostream.h>
 #include <fstream>
 #include <iostream>
@@ -94,7 +95,7 @@ std::ifstream::pos_type filesize(std::string const &filename) {
 Sink file_sink(LoggingConfig const &cfg) {
    static std::ofstream stream;
    static uint64_t bytes_written = 0;
-   const auto max_sz = 120 * 1024 * 1024;
+   const uintmax_t max_sz =  1024 * 1024 * 1024 ;
 
    auto f = formatter(cfg);
    auto path = log_path();

src/lib/md/MDConsumer.cpp

@@ -435,7 +435,8 @@ class SyntheticConsumerInst {
    void add_security(const api::Security &sec) {
       Mutex::scoped_lock lock(_workmutex);
       if (_data.find(sec.id()) == _data.end()) {
-         LOG(md, Info, "MDConsumer::add_security. {}", sec);
+         LOG(md, Info, "MDConsumer::add_security. {}",
+             bts::securities::descriptor(sec));
          auto ptr = to_strategy(make_shared<api::Security>(sec));
          vector<IncompleteStrategy> vec;
          vec.push_back(ptr);

src/lib/md/SecurityCache.cpp

@@ -14,6 +14,15 @@
 namespace bts {
 namespace md {
 
+#define ASSERT_FN(test, fn, ...)                                               \
+   bts_assert_msg(test, "SecurityCache::" fn ". " __VA_ARGS__)
+#define LOG_FN(level, fn, ...)                                                 \
+   LOG(md, level, "SecurityCache::" fn ". " __VA_ARGS__)
+#define DIAG_FN(fn, ...) LOG_FN(Diag, fn, __VA_ARGS__)
+#define INFO_FN(fn, ...) LOG_FN(Info, fn, __VA_ARGS__)
+#define WARN_FN(fn, ...) LOG_FN(Warn, fn, __VA_ARGS__)
+#define ERROR_FN(fn, ...) LOG_FN(Error, fn, __VA_ARGS__)
+
 using std::string;
 using std::unordered_map;
 
@@ -99,6 +108,9 @@ struct SecurityCacheIndex {
       // Insert but don't overwrite existing
       auto result =
           cache.insert(std::make_pair(SecurityKey(security->id()), security));
+      venue_type_ids.get_or_add(security->exchange())
+          .get_or_add(bts::securities::security_type(*security))
+          .try_emplace(bts::securities::descriptor(*security), security->id());
       return result.second;
    }
 
@@ -166,8 +178,8 @@ struct SecurityCacheImpl {
 };
 
 void SecurityCacheImpl::enqueue_update_db(const SecurityPtr &security) {
-   LOG(md, Diag, "SecurityCacheImpl::enqueue_update_db security: {}",
-       bts::securities::descriptor(*security));
+   DIAG_FN(
+       "enqueue_update_db", "security: {}", securities::descriptor(*security));
    update_queue.push(security);
 }
 
@@ -180,7 +192,13 @@ void SecurityCacheImpl::flush() {
          work.push_back(temp);
       }
       if (!work.empty()) {
+         INFO_FN("flush", "Saving securities to db. count: {}", work.size());
          if (db::insert_or_replace(work) == Result::error) {
+            WARN_FN(
+                "flush",
+                "Failed to save securities to db. Will retry on next flush. "
+                "count: {}",
+                work.size());
             // If we fail to insert then retry later
             for (auto &s : work)
                update_queue.push(std::move(s));
@@ -270,14 +288,18 @@ std::vector<api::Security const *> SecurityCache::get_securities() {
 }
 
 bool SecurityCache::add_live_security(const SecurityPtr &security) {
-   bts_assert(security);
-   LOG(md, Diag, "SecurityCache::add_live_security security: {}",
-       bts::securities::descriptor(*security));
-   return _me->cache.lock([&](SecurityCacheIndex &cache) {
+   ASSERT_FN(security, "add_live_security", "security is null");
+   const bool is_new_sec = _me->cache.lock([&](SecurityCacheIndex &cache) {
       const bool is_new_sec = cache.add_live_security(security);
       _me->enqueue_update_db(security);
       return is_new_sec;
    });
+   if (is_new_sec) {
+      INFO_FN(
+          "add_live_security", "new security: {}",
+          bts::securities::descriptor(*security));
+   }
+   return is_new_sec;
 }
 
 void SecurityCache::flush_to_disk() { _me->flush(); }

src/lib/md/SecurityIDRecorder.cpp

@@ -7,7 +7,6 @@
 #include "lib/utils/checked_arithmetic.h"
 
 #include <boost/filesystem.hpp>
-#include <boost/pool/object_pool.hpp>
 #include <memory>
 #include <sqlite/sqlite3.h>
 #include <stdexcept>

src/lib/mercury/broker/BrokerProxy.cpp

@@ -8,7 +8,10 @@ namespace mercury {
 BrokerProxy::BrokerProxy(ILocalBroker &real_broker)
     : _real_broker(real_broker), _id(real_broker.id()), _cycles(0),
       _outgoing(config::get<config::Mercury>().queue_size()),
-      _incoming(config::get<config::Mercury>().queue_size()), _action_pool() {}
+      _incoming(config::get<config::Mercury>().queue_size()), _action_pool() {
+   _action_pool.set_max_count(4096 * 10);
+   _action_pool.set_log_freq(100);
+}
 
 BrokerProxy::~BrokerProxy() {}
 
@@ -96,5 +99,60 @@ void BrokerProxy::schedule_action(std::function<void()> const &action) {
    send(*m);
 }
 
+void BrokerProxy::do_work(trace::PerfLog &log) {
+   _cycles++;
+   _outgoing.consume_all([this, &log](BrokerMsg *m) {
+      switch (m->msg_type) {
+      case BrokerMsgType::ADD_NEIGHBOUR:
+         _real_broker.add_neighbour(*m->neighbour);
+         break;
+      case BrokerMsgType::REMOVE_NEIGHBOUR:
+         _real_broker.remove_neighbour(m->broker_id);
+         break;
+      case BrokerMsgType::ADVERTISE:
+         _real_broker.advertise(m->broker_id, m->stream_id, m->topic);
+         break;
+      case BrokerMsgType::UNADVERTISE:
+         _real_broker.unadvertise(m->broker_id, m->stream_id);
+         break;
+      case BrokerMsgType::SUBSCRIBE:
+         _real_broker.subscribe(m->broker_id, m->sub_id, m->stream_id);
+         break;
+      case BrokerMsgType::UNSUBSCRIBE:
+         _real_broker.unsubscribe(m->broker_id, m->sub_id, m->stream_id);
+         break;
+      case BrokerMsgType::NOTIFY: {
+         LOG(Latency, Diag, "Notify broker {}. Cycles: {}", _id.value(),
+             _cycles);
+         auto scoped_do_work = trace::log_scope(log, {}, "BrokerProxy::notify");
+         _real_broker.notify(
+             m->broker_id, m->stream_id, m->sub_id, m->notification);
+      } break;
+      case BrokerMsgType::LOCAL_SUBSCRIBE:
+         _real_broker.local_subscribe(
+             m->local_sub_id, m->filter, m->local_handler);
+         break;
+      case BrokerMsgType::LOCAL_UNSUBSCRIBE:
+         _real_broker.local_unsubscribe(m->local_sub_id);
+         break;
+      case BrokerMsgType::EXECUTE_ACTION: {
+         auto start = Timer::now();
+         LOG(Latency, Diag, "Executing lambda on broker {}", _id.value());
+         m->action();
+         auto stop = Timer::now();
+         LOG(Latency, Diag,
+             "Finished executing lambda on broker {}. Took: {}us", _id.value(),
+             us_diff(stop, start));
+         break;
+      }
+      default:
+         bts_assert(false);
+         break;
+      }
+      _incoming.drain();
+      _incoming.push(m);
+   });
+}
+
 } // namespace mercury
 } // namespace bts

src/lib/mercury/broker/BrokerProxy.h

@@ -5,8 +5,8 @@
 #include "lib/mercury/topics/Topic.h"
 #include "lib/tracing/PerfLog.h"
 #include "lib/utils/GrowableSPSCQueue.h"
+#include "lib/utils/object_pool.h"
 
-#include <boost/pool/object_pool.hpp>
 #include <memory>
 
 namespace bts {
@@ -80,61 +80,7 @@ class BrokerProxy : public ILocalBroker {
       send(m);
    }
 
-   void do_work(trace::PerfLog &log) {
-      _cycles++;
-      _outgoing.consume_all([this, &log](BrokerMsg *m) {
-         switch (m->msg_type) {
-         case BrokerMsgType::ADD_NEIGHBOUR:
-            _real_broker.add_neighbour(*m->neighbour);
-            break;
-         case BrokerMsgType::REMOVE_NEIGHBOUR:
-            _real_broker.remove_neighbour(m->broker_id);
-            break;
-         case BrokerMsgType::ADVERTISE:
-            _real_broker.advertise(m->broker_id, m->stream_id, m->topic);
-            break;
-         case BrokerMsgType::UNADVERTISE:
-            _real_broker.unadvertise(m->broker_id, m->stream_id);
-            break;
-         case BrokerMsgType::SUBSCRIBE:
-            _real_broker.subscribe(m->broker_id, m->sub_id, m->stream_id);
-            break;
-         case BrokerMsgType::UNSUBSCRIBE:
-            _real_broker.unsubscribe(m->broker_id, m->sub_id, m->stream_id);
-            break;
-         case BrokerMsgType::NOTIFY: {
-            LOG(Latency, Diag, "Notify broker {}. Cycles: {}", _id.value(),
-                _cycles);
-            auto scoped_do_work =
-                trace::log_scope(log, {}, "BrokerProxy::notify");
-            _real_broker.notify(
-                m->broker_id, m->stream_id, m->sub_id, m->notification);
-         } break;
-         case BrokerMsgType::LOCAL_SUBSCRIBE:
-            _real_broker.local_subscribe(
-                m->local_sub_id, m->filter, m->local_handler);
-            break;
-         case BrokerMsgType::LOCAL_UNSUBSCRIBE:
-            _real_broker.local_unsubscribe(m->local_sub_id);
-            break;
-         case BrokerMsgType::EXECUTE_ACTION: {
-            auto start = Timer::now();
-            LOG(Latency, Diag, "Executing lambda on broker {}", _id.value());
-            m->action();
-            auto stop = Timer::now();
-            LOG(Latency, Diag,
-                "Finished executing lambda on broker {}. Took: {}us",
-                _id.value(), us_diff(stop, start));
-            break;
-         }
-         default:
-            bts_assert(false);
-            break;
-         }
-         _incoming.drain();
-         _incoming.push(m);
-      });
-   }
+   void do_work(trace::PerfLog &log);
 
  private:
    ILocalBroker &_real_broker;
@@ -142,7 +88,7 @@ class BrokerProxy : public ILocalBroker {
    uint64_t _cycles;
    utils::GrowableSPSCQueue<BrokerMsg *> _outgoing;
    utils::GrowableSPSCQueue<BrokerMsg *> _incoming;
-   boost::object_pool<BrokerMsg> _action_pool;
+   bts::utils::object_pool<BrokerMsg> _action_pool;
 
    void send(BrokerMsg &m) {
       _outgoing.push(&m);

src/lib/orderman/CreateOrderMsg.h

@@ -1,5 +1,6 @@
 #pragma once
 
+#include "lib/api/services/OrderService.h"
 #include "lib/core/FMT_IMPL.h"
 #include "lib/domain_model/Security.h"
 #include "lib/domain_model/common.h"
@@ -24,6 +25,25 @@ struct CreateOrderMsg {
    api::orderman::RoutingRecord const *routing_record;
 };
 
+/**
+ * A CreateOrderMsg wrapper with a custom fmt::formatter that doesn't access the
+ * raw security pointer. This is mainly used for logging purposes (because the
+ * security pointer may be invalid by the time the fmt::formatter is invoked).
+ */
+struct CreateOrderMsg_JsonData {
+   CreateOrderMsg_JsonData() = default;
+   CreateOrderMsg_JsonData(CreateOrderMsg source) : source(std::move(source)) {
+      if (this->source.security != nullptr) {
+         sec_name = securities::descriptor(*this->source.security);
+      }
+   }
+
+   CreateOrderMsg source;
+   std::string sec_name;
+};
+
+void to_json(nlohmann::json &j, const CreateOrderMsg &msg);
+
 inline std::ostream &operator<<(std::ostream &out, CreateOrderMsg const &msg) {
    out << "key: " << msg.key.value() << " price: " << msg.price.value()
        << " qty: " << msg.quantity.full_value() << " security: "
@@ -43,6 +63,29 @@ inline std::ostream &operator<<(std::ostream &out, CreateOrderMsg const &msg) {
    return out;
 }
 
+inline void to_json(
+    nlohmann::json &j, const CreateOrderMsg_JsonData &msg_data) {
+   const auto &msg = msg_data.source;
+   j["key"] = msg.key.value();
+   j["price"] = msg.price.value();
+   j["quantity"] = msg.quantity.value();
+   if (msg.display_quantity.value() != 0) {
+      j["display_quantity"] = msg.quantity.value();
+   }
+   if (!msg_data.sec_name.empty()) {
+      j["security"] = msg_data.sec_name;
+   }
+   j["side"] = msg.side;
+   if (msg.stop_px.value() != 0) {
+      j["stop_px"] = msg.stop_px.value();
+   }
+   j["time_in_force"] = msg.time_in_force;
+   j["manual_order_indicator"] = msg.manual_order_indicator;
+   if (msg.routing_record != nullptr) {
+      j["routing_record"] = *msg.routing_record;
+   }
+}
+
 } // namespace bts::orderman
 
 FMT_IMPL_OSTREAM(bts::orderman::CreateOrderMsg);

src/lib/orderman/OrderServiceServer.cpp

@@ -8,6 +8,7 @@
 #include "lib/config/config.h"
 #include "lib/config/protos/jetfix.pb.h"
 #include "lib/config/protos/orderman_cfg.pb.h"
+#include "lib/core/FMT.h"
 #include "lib/domain_model/Security.pb.h"
 #include "lib/domain_model/common.h"
 #include "lib/logging/logging.h"
@@ -29,11 +30,11 @@
 #include "lib/orderman/actors/order_manager/order_gateway_definition.h"
 #include "lib/orderman/events/ExchangePositionEvent.h"
 #include "lib/orderman/events/OrderOpResultEvent.h"
-#include "lib/orderman/gateways/execution_gateway_provider.h"
 #include "lib/orderman/gateways/i_execution_gateway_provider.h"
 #include "lib/orderman/order_factory/DynamicOrderRegistry.h"
 #include "lib/orderman/orderman_utils/ExchangeOpenOrders.h"
 #include "lib/orderman/orders/Order.h"
+#include "lib/os/os.h"
 #include "lib/os/spark_data_directory.h"
 #include "lib/plugin/SparkServices.h"
 #include "lib/plugin/plugin.h"
@@ -41,7 +42,6 @@
 #include "lib/utils/bts_chrono.h"
 #include "lib/utils/thread_manager.h"
 #include "lib/utils/type_name.h"
-#include "lib_binance_execution/binance_execution/execution_gateway_provider.h"
 
 #include <bits/stdint-uintn.h>
 #include <boost/algorithm/string/predicate.hpp>
@@ -73,16 +73,58 @@ struct ActorThread {
    void start(trace::PerfLog &log) {
       if (cfg.poll())
          thread = threading::make_thread(cfg.thread_name(), [this, &log]() {
-            for (;;)
+            const core::TimeSpan log_interval =
+                core::TimeSpan::from_seconds(30);
+            core::TimeStamp last_log_time{0};
+            core::TimeStamp now;
+            core::TimeSpan elapsed;
+            std::uint32_t last_count = 0;
+            for (;;) {
+               now = core::TimeStamp::now();
+               elapsed = now - last_log_time;
+               if (elapsed > log_interval) {
+                  LOG(OrderMan, Info,
+                      "OrderServiceServer ActorThread work speed is {:.2f} "
+                      "cycles/sec",
+                      static_cast<float>(last_count) / elapsed.total_seconds());
+                  last_log_time = now;
+                  last_count = 0;
+               }
                executor.do_work(log);
+               last_count++;
+            }
          });
       else {
          thread = threading::make_thread(cfg.thread_name(), [this, &log]() {
+            // for logging purposes
+            const std::string t_name = bts::os::get_thread_name();
+            const std::string actors_desc = FMT_JOIN(cfg.hosted_actor(), ", ");
+            const core::TimeSpan log_interval =
+                core::TimeSpan::from_seconds(30);
+
             const auto inner_iter = 1000;
+            bts::core::TimeStamp last_log_time{0};
+            core::TimeStamp now;
+            core::TimeSpan elapsed;
+            std::uint32_t last_count = 0;
             while (!done) {
+               now = core::TimeStamp::now();
+               elapsed = now - last_log_time;
+               auto log_elapsed = now - last_log_time;
+               if (log_elapsed > log_interval) {
+                  LOG(OrderMan, Info,
+                      "OrderServiceServer ActorThread {} work speed is {:.2f} "
+                      "cycles/sec ({})",
+                      t_name,
+                      static_cast<float>(last_count) / elapsed.total_seconds(),
+                      actors_desc);
+                  last_log_time = now;
+                  last_count = 0;
+               }
                auto start = Timer::now();
                for (auto i = 0; i < inner_iter; i++)
                   executor.do_work(log);
+               last_count += inner_iter;
                auto stop = Timer::now();
                loop_metric->observe(ns_diff(stop, start) / inner_iter);
                std::this_thread::sleep_for(10ms);

src/lib/orderman/actors/FillStore.cpp

@@ -2,7 +2,10 @@
 #include "lib/api/services/OrderService.pb.h"
 #include "lib/config/config.h"
 #include "lib/config/protos/toggles.pb.h"
+#include "lib/core/TimeStamp.h"
 #include "lib/domain_model/Security.h"
+#include "lib/domain_model/Security.pb.h"
+#include "lib/domain_model/SecurityKey.h"
 #include "lib/logging/logging.h"
 #include "lib/mercury/events/Update.h"
 #include "lib/orderman/actors/SODPosition.h"
@@ -14,18 +17,88 @@
 #include "lib/os/os.h"
 #include "lib/persistence/SqliteStore.h"
 #include "lib/utils/PBUtils.h"
+#include "lib/utils/TimeStamp.h"
 #include "lib/utils/bts_assert.h"
+#include "lib/utils/bts_chrono.h"
 #include "lib/utils/overloaded.h"
 
 #include <boost/date_time/posix_time/posix_time.hpp>
+#include <google/protobuf/timestamp.pb.h>
 #include <string>
 #include <sys/time.h>
 
 namespace bts {
 namespace orderman {
 
+#define LOG_FN(level, fn, ...)                                                 \
+   LOG(OrderMan, level, "FillStore::" fn ". " __VA_ARGS__)
+#define INFO_FN(fn, ...) LOG_FN(Info, fn, __VA_ARGS__)
+#define WARN_FN(fn, ...) LOG_FN(Warn, fn, __VA_ARGS__)
+#define ERROR_FN(fn, ...) LOG_FN(Error, fn, __VA_ARGS__)
+
 auto const fills_ns = "fills";
 
+struct FillAggregator {
+   struct SecPosition {
+    private:
+      Fill agg_fill;
+
+    public:
+      double agg_price = 0, agg_qty = 0;
+      SecPosition(const Fill &fill) : agg_fill(fill) {
+         const auto &fill_key = fill.fill_key();
+         std::string new_fill_key = "aggpos_" + fill_key;
+         agg_fill.set_fill_key(new_fill_key);
+         auto now_ns = bts::core::TimeStamp::now_ns();
+         agg_fill.mutable_timestamp()->set_nanos(now_ns);
+         add_fill(fill);
+      }
+      void add_fill(const Fill &fill) {
+         bts_assert(fill.security_key() == agg_fill.security_key());
+         double mult = fill.side() == api::SIDE_BUY ? 1.0 : -1.0;
+         double fp = fill.avg_price();
+         double fq = mult * fill.last_shares();
+         double new_agg_price =
+             ((agg_price * agg_qty) + (fp * fq)) / (agg_qty + fq);
+         double new_agg_qty = agg_qty + fq;
+         agg_price = new_agg_price;
+         agg_qty = new_agg_qty;
+      }
+
+    public:
+      Fill fill() const {
+         Fill rv = agg_fill;
+         rv.set_avg_price(agg_price);
+         rv.set_last_shares(std::abs(agg_qty));
+         rv.set_side(::bts::api::Side::SIDE_BUY);
+         if (agg_qty < 0) {
+            rv.set_side(::bts::api::Side::SIDE_SELL);
+         }
+         return rv;
+      }
+   };
+   std::map<SecurityKey, SecPosition> pos_map = {};
+
+   void add_fill(const Fill &fill) {
+      SecurityKey k = SecurityKey(fill.security_key());
+      auto it = pos_map.find(k);
+      if (it != pos_map.end()) {
+         SecPosition &sec_pos = it->second;
+         sec_pos.add_fill(fill);
+      } else {
+         pos_map.insert({k, {fill}});
+      }
+   }
+
+   std::vector<Fill> get_aggregated_fills() const {
+      std::vector<Fill> rv = {};
+      for (const auto &kv : pos_map) {
+         rv.push_back(kv.second.fill());
+      }
+      return rv;
+   }
+};
+
 struct FillStore::UnresolvedFills {
    std::vector<api::orderman::Fill> fills;
    api::Security const *security;
@@ -42,6 +115,8 @@ struct FillStore::PImpl {
    std::unordered_map<OrderKey, UnresolvedFills> fills_with_unresolved_accounts;
    mercury::Stream<StoredFillEvent> fill_stream;
    md::SecurityOracle oracle;
+   FillAggregator fill_aggregator = {};
+   bool aggregate_pos = false;
 };
 
 FillStore::FillStore(md::SecurityOracle o) : me(new PImpl(o)) {
@@ -94,40 +169,83 @@ void FillStore::init() {
        os::get_thread_id(), os::get_thread_name());
    LOG(OrderMan, Info, "FillStore::init oracle n_secs: {}",
        me->oracle.get_securities().size());
-   // Subscribe to NewExecutionReportEvent for new fills
-   subscribe<NewExecutionReportEvent>(
-       [this](auto const &ev) { this->on_execution_report(ev); });
-
    // Load stored fills, resolve their securities and publish the lot
-   api::orderman::Fill fill;
    std::vector<StoredFillEvent> stored_batch;
    LOG(persist, Info, "Loading load all fills");
    auto all = me->store->retrieve_all()[fills_ns];
    LOG(persist, Info, "Finished loading all {} fills", all.size());
-   SODPosition sod_helper;
-   for (auto const &kvp : all)
-      if (utils::pb::from_string<api::orderman::Fill>(kvp.second, &fill)) {
-         if (sod_helper.is_sod(fill.timestamp())) {
-            auto fill_kind = sod_fill_kind(fill);
-            fill.set_fill_kind(fill_kind);
+   auto aggregate_clean_and_publish = [&]() {
+      api::orderman::Fill fill;
+      for (auto const &kvp : all) {
+         if (utils::pb::from_string<api::orderman::Fill>(kvp.second, &fill)) {
+            me->fill_aggregator.add_fill(fill);
+         } else {
+            LOG(persist, Error,
+                "Could not recover fill {} from storage. "
+                "This should be investigated",
+                kvp.first);
          }
-         auto sec = me->oracle.get_security(SecurityKey(fill.security_key()));
+      }
+      // 1. go through all fills in aggregator and make StoredFillEvent
+      auto aggregated_fills = me->fill_aggregator.get_aggregated_fills();
+      for (auto &f : aggregated_fills) {
+         auto sec = me->oracle.get_security(SecurityKey(f.security_key()));
          if (sec) {
-            auto fk = kvp.first;
-            me->known_fills.insert(fk);
-            if (!config::get<config::toggles::FilterExpiredFills>().enabled() ||
-                !securities::is_expired(*sec)) {
-               stored_batch.emplace_back(fill, *sec);
+            stored_batch.emplace_back(f, *sec);
+         } else {
+            LOG(persist, Error,
+                "Stored fill {} contains unresolved security {}. ",
+                utils::pb::to_string(f), fill.security_key());
+         }
+      }
+      // 2 delete all fills in the DB
+      me->store->remove_all(fills_ns);
+      // 3. add the aggregated fills back
+      for (const auto &e : stored_batch) {
+         const Fill &f = e.fill;
+         me->store->insert(fills_ns, f.fill_key(), utils::pb::to_string(f));
+      }
+   };
+   auto publish_with_sod_marking = [&]() {
+      api::orderman::Fill fill;
+      SODPosition sod_helper;
+      for (auto const &kvp : all) {
+         if (utils::pb::from_string<api::orderman::Fill>(kvp.second, &fill)) {
+            if (sod_helper.is_sod(fill.timestamp())) {
+               auto fill_kind = sod_fill_kind(fill);
+               fill.set_fill_kind(fill_kind);
             }
+            auto sec =
+                me->oracle.get_security(SecurityKey(fill.security_key()));
+            if (sec) {
+               auto fk = kvp.first;
+               me->known_fills.insert(fk);
+               if (!config::get<config::toggles::FilterExpiredFills>()
+                        .enabled() ||
+                   !securities::is_expired(*sec)) {
+                  stored_batch.emplace_back(fill, *sec);
+               }
+            } else
+               LOG(persist, Error,
+                   "Stored fill {} contains unresolved security {}. ",
+                   kvp.first, fill.security_key());
          } else
             LOG(persist, Error,
-                "Stored fill {} contains unresolved security {}. ", kvp.first,
-                fill.security_key());
-      } else
-         LOG(persist, Error,
-             "Could not recover fill {} from storage. "
-             "This should be investigated",
-             kvp.first);
+                "Could not recover fill {} from storage. "
+                "This should be investigated",
+                kvp.first);
+      }
+   };
+
+   // Subscribe to NewExecutionReportEvent for new fills
+   subscribe<NewExecutionReportEvent>(
+       [this](auto const &ev) { this->on_execution_report(ev); });
+   if (me->aggregate_pos) {
+      aggregate_clean_and_publish();
+   } else {
+      publish_with_sod_marking();
+   }
+
    me->fill_stream = make_stream<StoredFillEvent>();
    LOG(OrderMan, Info,
        "Fill Store published {} fills recoved from disk out of {} "
@@ -160,7 +278,7 @@ void FillStore::on_execution_report(
              ev.data->to_string());
          auto &er = *ev.data;
          auto fk = fmt::format(
-             "{}:{}", er.order_key.value(), to_str(er.exchange_fill_id));
+             "{}:{}", er.order_key.value(), to_strn(er.exchange_fill_id));
          auto is_known = me->known_fills.count(fk);
          if (er.exec_type == api::orderman::EXEC_TYPE_PARTIAL_FILL ||
              er.exec_type == api::orderman::EXEC_TYPE_FILL) {
@@ -176,7 +294,7 @@ void FillStore::on_execution_report(
                   fill.set_fill_kind(api::orderman::Fill::FILL_KIND_STANDARD);
                   fill.set_security_key(er.security->id());
                }
-               fill.set_account(to_str(er.account_name));
+               fill.set_account(to_strn(er.account_name));
                fill.set_last_price(er.last_price.value());
                fill.set_avg_price(er.avg_price.value());
                fill.set_side(er.side);
@@ -207,7 +325,15 @@ void FillStore::on_execution_report(
                auto it = me->known_orders.find(er.order_key);
                if (it != me->known_orders.end()) {
                   auto &order_def = it->second;
-                  fill.set_account(order_def.account());
+                  if (fill.account() != order_def.account()) {
+                     WARN_FN(
+                         "on_execution_report",
+                         "ExecutionReport account '{}' does not match "
+                         "OrderDefinition account '{}' (order_key: {}). "
+                         "Setting fill account to the latter",
+                         fill.account(), order_def.account(), er.order_key);
+                     fill.set_account(order_def.account());
+                  }
                   fill.set_internal_account_id(order_def.account_id());
                } else
                   me->fills_with_unresolved_accounts[er.order_key]
@@ -215,6 +341,7 @@ void FillStore::on_execution_report(
 
                auto fv = utils::pb::to_string(fill);
                me->store->insert(fills_ns, fk, fv);
+               LOG(OrderMan, Info, "Publishing fill. {}", fv);
                publish(me->fill_stream, fill, *er.security);
             } else
                LOG(OrderMan, Info,

src/lib/orderman/actors/OrderStore.cpp

@@ -5,6 +5,7 @@
 #include "lib/config/protos/orders_fills_cleanup.pb.h"
 #include "lib/config/protos/toggles.pb.h"
 #include "lib/logging/logging.h"
+#include "lib/md/ExchangeSecurityKey.h"
 #include "lib/orderman/actors/SODPosition.h"
 #include "lib/orderman/events/OrderDefinitionUpdateEvent.h"
 #include "lib/orderman/events/OrderStateUpdateEvent.h"
@@ -12,6 +13,7 @@
 #include "lib/persistence/SqliteStore.h"
 #include "lib/utils/PBUtils.h"
 
+#include <google/protobuf/timestamp.pb.h>
 #include <unordered_set>
 
 namespace bts {
@@ -38,6 +40,7 @@ struct OrderStore::PImpl {
    bool soft_cleanup_enabled;
    md::SecurityOracle oracle;
    timeval cutoff_time;
+   bool clear_all_orders = true;
 };
 
 OrderStore::OrderStore(md::SecurityOracle o) : me(new PImpl(o)) {}
@@ -63,34 +66,46 @@ void OrderStore::init() {
 
    me->cutoff_time = SODPosition::get_order_cutoff_time(all);
 
-   for (auto const &kvp : all)
-      if (utils::pb::from_string<api::orderman::OrderRecord>(
-              kvp.second, &rec)) {
-         auto ok = OrderKey(std::stoi(kvp.first));
-         auto sk = SecurityKey(rec.def().security_key());
-         auto sec = me->oracle.get_security(sk);
+   auto load_orders = [&]() {
+      for (auto const &kvp : all) {
+         if (utils::pb::from_string<api::orderman::OrderRecord>(
+                 kvp.second, &rec)) {
+            auto ok = OrderKey(std::stoi(kvp.first));
+            auto sk = SecurityKey(rec.def().security_key());
+            auto sec = me->oracle.get_security(sk);
 
-         if (config::get<config::toggles::FilterOrdersWithDanglingSecurities>()
-                 .enabled() &&
-             sec == nullptr) {
-            LOG(OrderMan, Diag, "Order {} refers to unresolved security {}",
-                ok.value(), sk.value());
-         } else {
-            if (!_order_cutoff(rec))
-               stored_batch.emplace_back(rec);
-            me->known_orders[ok] = PImpl::ORInfo{rec, true};
-         }
-      } else
-         LOG(OrderMan, Error,
-             "Could not recover order {} from storage. "
-             "This should be investigated",
-             kvp.first);
+            if (config::get<
+                    config::toggles::FilterOrdersWithDanglingSecurities>()
+                    .enabled() &&
+                sec == nullptr) {
+               LOG(OrderMan, Diag, "Order {} refers to unresolved security {}",
+                   ok.value(), sk.value());
+            } else {
+               if (!_order_cutoff(rec))
+                  stored_batch.emplace_back(rec);
+               me->known_orders[ok] = PImpl::ORInfo{rec, true};
+            }
+         } else
+            LOG(OrderMan, Error,
+                "Could not recover order {} from storage. "
+                "This should be investigated",
+                kvp.first);
+      }
+   };
 
    me->order_stream = make_stream<StoredOrderEvent>();
    LOG(OrderMan, Info,
        "Order Store published {} orders recoved from disk out of {} "
        "total orders",
        stored_batch.size(), all.size());
+
+   if (me->clear_all_orders) {
+      // clear orders
+      me->store->remove_all(orders_ns);
+   } else {
+      load_orders();
+   }
+
    publish_batch(me->order_stream, stored_batch);
 }
 
@@ -114,17 +129,22 @@ void OrderStore::on_order_state_update(
          rec.set_key(ev.key.value());
          rec.set_parent_key(ev.parent_key.value());
          modified_orders.insert(ev.key);
+         const auto now = utils::pb::pb_now();
          if (rec.has_state()) {
+            google::protobuf::Timestamp created;
+            if (rec.state().has_created()) {
+               created = rec.state().created();
+            }
             rec.mutable_state()->CopyFrom(ev.rebuild_state());
-            *rec.mutable_state()->mutable_created() = utils::pb::pb_now();
-            *rec.mutable_state()->mutable_last_change() = rec.state().created();
+            *rec.mutable_state()->mutable_created() =
+                created.seconds() > 0 || created.nanos() > 0 ? created : now;
             // if filled qty went from 0.99 -> 1, it was copying the int part and not clearing the fraction part,
             // so changing MergeFrom to CopyFrom
          } else {
             *rec.mutable_state() = ev.rebuild_state();
-            *rec.mutable_state()->mutable_created() = utils::pb::pb_now();
+            *rec.mutable_state()->mutable_created() = now;
          }
-         *rec.mutable_state()->mutable_last_change() = utils::pb::pb_now();
+         *rec.mutable_state()->mutable_last_change() = now;
          LOG(OrderMan, Info, "OrderStore::on_order_state_update k: {} rec: {}",
              ev.key, utils::pb::to_string(rec));
       }

src/lib/orderman/actors/ServiceBridge.cpp

@@ -37,6 +37,12 @@
 namespace bts {
 namespace orderman {
 
+#define _LOG_FN(level, fn, ...)                                                \
+   LOG(OrderMan, level, "ServiceBridge::" fn ". " __VA_ARGS__)
+#define INFO_FN(fn, ...) _LOG_FN(Info, fn, __VA_ARGS__)
+#define WARN_FN(fn, ...) _LOG_FN(Warn, fn, __VA_ARGS__)
+#define ERROR_FN(fn, ...) _LOG_FN(Error, fn, __VA_ARGS__)
+
 struct ServiceBridge::PImpl {
    PImpl(
        OnReady const &on_ready,
@@ -173,56 +179,72 @@ void ServiceBridge::init() {
 } // namespace orderman
 
 void ServiceBridge::on(mercury::Update<StoredFillEvent> const &update) {
-   if (update.events) {
-      std::vector<api::orderman::Fill> fills;
-      fills.reserve(update.events->size());
-      for (auto ev : *(update.events))
-         fills.push_back(ev.fill);
-      me->on_fills(fills);
+   if (!update.events) {
+      WARN_FN("on StoredFillEvent", "no event data");
+      return;
    }
+   INFO_FN("on StoredFillEvent", "n_events: {}", update.events->size());
+   std::vector<api::orderman::Fill> fills;
+   fills.reserve(update.events->size());
+   for (auto ev : *(update.events))
+      fills.push_back(ev.fill);
+   me->on_fills(fills);
 }
 
 void ServiceBridge::on(mercury::Update<StoredOrderEvent> const &update) {
-   if (update.events) {
-      bool was_ready = is_ready();
-      me->have_orders = true;
-
-      std::vector<api::orderman::OrderRecord> orders;
-      orders.reserve(update.events->size());
-      for (auto ev : *(update.events)) {
-         me->known_orders.insert(OrderKey(ev.order_record.key()));
-         orders.push_back(ev.order_record);
-      }
-      me->on_orders(orders);
-      maybe_signal_ready(was_ready);
+   if (!update.events) {
+      WARN_FN("on StoredOrderEvent", "no event data");
+      return;
    }
+   INFO_FN("on StoredOrderEvent", "n_events: {}", update.events->size());
+   bool was_ready = is_ready();
+   me->have_orders = true;
+
+   std::vector<api::orderman::OrderRecord> orders;
+   orders.reserve(update.events->size());
+   for (auto ev : *(update.events)) {
+      me->known_orders.insert(OrderKey(ev.order_record.key()));
+      orders.push_back(ev.order_record);
+   }
+   me->on_orders(orders);
+   maybe_signal_ready(was_ready);
 }
 
 void ServiceBridge::on(mercury::Update<OrderManagerReadyEvent> const &update) {
-   if (update.events) {
-      bool was_ready = is_ready();
-      me->order_manager_ready = true;
-      maybe_signal_ready(was_ready);
+   if (!update.events) {
+      WARN_FN("on OrderManagerReadyEvent", "no event data");
+      return;
    }
+   INFO_FN("on OrderManagerReadyEvent", "n_events: {}", update.events->size());
+   bool was_ready = is_ready();
+   me->order_manager_ready = true;
+   maybe_signal_ready(was_ready);
 }
 
 void ServiceBridge::on(mercury::Update<NewAdminDataEvent> const &update) {
-   if (update.events)
-      for (auto ev : *(update.events))
-         me->order_router.update(*ev.admin_data);
+   if (!update.events) {
+      WARN_FN("on NewAdminDataEvent", "no event data");
+      return;
+   }
+   INFO_FN("on NewAdminDataEvent", "n_events: {}", update.events->size());
+   for (auto ev : *(update.events)) {
+      me->order_router.update(*ev.admin_data);
+   }
 }
 
 void ServiceBridge::on(mercury::Update<OrderOpResultEvent> const &update) {
-   if (update.events)
-      for (auto ev : *(update.events))
-         me->on_order_op_result(ev);
+   if (!update.events) {
+      WARN_FN("on OrderOpResultEvent", "no event data");
+      return;
+   }
+   INFO_FN("on OrderOpResultEvent", "n_events: {}", update.events->size());
+   for (auto ev : *(update.events)) {
+      me->on_order_op_result(ev);
+   }
 }
 
 void ServiceBridge::create_order(uint32_t rid, api::orderman::Create const &c) {
-
-   LOG(OrderMan, Info, "Received new order from client: {}",
-       utils::pb::to_string(c));
-
+   INFO_FN("create_order", "rid: {}; req: {}", rid, utils::pb::to_string(c));
    me->service_call_marshaller.schedule_action([this, c, rid]() {
       if (is_ready()) {
          auto &order =
@@ -239,9 +261,7 @@ void ServiceBridge::create_order(uint32_t rid, api::orderman::Create const &c) {
 }
 
 void ServiceBridge::update_order(uint32_t rid, api::orderman::Update const &c) {
-   LOG(OrderMan, Info, "ServiceBridge::update_order update: {}",
-       utils::pb::to_string(c));
-
+   INFO_FN("update_order", "rid: {}; req: {}", rid, utils::pb::to_string(c));
    me->service_call_marshaller.schedule_action([this, c, rid]() {
       auto ok = OrderKey(c.order_key());
       if (is_ready()) {
@@ -259,9 +279,7 @@ void ServiceBridge::update_order(uint32_t rid, api::orderman::Update const &c) {
 }
 
 void ServiceBridge::cancel_order(uint32_t rid, api::orderman::Cancel const &c) {
-   LOG(OrderMan, Info, "Received order cancel from client: {}",
-       utils::pb::to_string(c));
-
+   INFO_FN("cancel_order", "rid: {}; req: {}", rid, utils::pb::to_string(c));
    me->service_call_marshaller.schedule_action([this, c, rid]() {
       auto ok = OrderKey(c.order_key());
       if (is_ready()) {
@@ -279,9 +297,7 @@ void ServiceBridge::cancel_order(uint32_t rid, api::orderman::Cancel const &c) {
 }
 
 void ServiceBridge::detach_order(uint32_t rid, api::orderman::Detach const &c) {
-   LOG(OrderMan, Info, "Received order detach from client: {}",
-       utils::pb::to_string(c));
-
+   INFO_FN("detach_order", "rid: {}; req: {}", rid, utils::pb::to_string(c));
    me->service_call_marshaller.schedule_action([this, c, rid]() {
       auto ok = OrderKey(c.order_key());
       if (is_ready()) {
@@ -300,15 +316,13 @@ void ServiceBridge::detach_order(uint32_t rid, api::orderman::Detach const &c) {
 
 void ServiceBridge::manually_bust_all_fills(
     const api::orderman::ManualBustParameters &c) {
-   LOG(OrderMan, Info, "ServiceBridge::manually_bust_all_fills: {}",
-       utils::pb::to_string(c));
+   INFO_FN("manually_bust_all_fills", "req: {}", utils::pb::to_string(c));
    me->service_call_marshaller.schedule_action(
        [this, c]() { publish(me->manually_bust_fills_pub, c.account()); });
 }
 
 void ServiceBridge::send_rfq(api::orderman::RFQRequest const &rfq) {
-   LOG(OrderMan, Info, "ServiceBridge::send_rfq rfq: {}",
-       utils::pb::to_string(rfq));
+   INFO_FN("send_rfq", "req: {}", utils::pb::to_string(rfq));
    me->service_call_marshaller.schedule_action(
        [this, rfq]() { publish(me->rfq_pub, rfq); });
 }
@@ -398,6 +412,11 @@ std::optional<FilledPositionEvent> make_pos_event(
 
 void ServiceBridge::update_position(
     api::position::Position_dataUpdate const &pos) {
+   INFO_FN(
+       "update_position",
+       "n_added: {}; n_changed: {}; n_removed: {}; n_total: {}",
+       pos.added().size(), pos.changed().size(), pos.removed().size(),
+       pos.all().size());
    std::vector<FilledPositionEvent> evs;
    for (auto const &pu : pos.added()) {
       auto ev = make_pos_event(*pu, me->sec_db);
@@ -430,6 +449,9 @@ bool ServiceBridge::is_ready() const {
 }
 
 void ServiceBridge::maybe_signal_ready(bool old_ready) {
+   INFO_FN(
+       "maybe_signal_ready", "old_ready: {}; is_ready: {}", old_ready,
+       is_ready());
    if (!old_ready && is_ready())
       me->on_ready();
 }

src/lib/orderman/actors/order_manager/OrderManager.cpp

@@ -40,6 +40,13 @@
 namespace bts {
 namespace orderman {
 
+#define _LOG_FN(level, fn, ...)                                                \
+   LOG(OrderMan, level, "OrderManager::" fn ". " __VA_ARGS__)
+#define DIAG_FN(fn, ...) _LOG_FN(Diag, fn, __VA_ARGS__)
+#define INFO_FN(fn, ...) _LOG_FN(Info, fn, __VA_ARGS__)
+#define WARN_FN(fn, ...) _LOG_FN(Warn, fn, __VA_ARGS__)
+#define ERROR_FN(fn, ...) _LOG_FN(Error, fn, __VA_ARGS__)
+
 using namespace mercury;
 
 enum class OrderManager::State {
@@ -80,6 +87,23 @@ struct OrderManager::PImpl {
    mercury::Stream<OrderManagerReadyEvent> pub_ready;
    std::thread background_thread;
    std::atomic<bool> shutdown = false;
+
+   constexpr std::string state_name() {
+      switch (state) {
+      case State::WAIT_ADMIN:
+         return "WAIT_ADMIN";
+      case State::WAIT_SEC:
+         return "WAIT_SEC";
+      case State::WAIT_FILLED_POSITION:
+         return "WAIT_FILLED_POSITION";
+      case State::WAIT_ORDERS:
+         return "WAIT_ORDERS";
+      case State::READY:
+         return "READY";
+      default:
+         return "UNKNOWN";
+      }
+   }
 };
 
 OrderManager::OrderManager(
@@ -108,6 +132,7 @@ OrderManager::~OrderManager() {
 }
 
 void OrderManager::init() {
+   INFO_FN("init", "state: {}", me->state_name());
    subscribe<NewAdminDataEvent>(
        [this](auto const &admin_update) { this->on_admin_data(admin_update); });
    subscribe<AccountPnLUpdateEvent>(
@@ -119,301 +144,365 @@ void OrderManager::init() {
 }
 
 void OrderManager::on_admin_data(const mercury::Update<NewAdminDataEvent> &m) {
-   if (m.events) {
-      if (me->state == State::WAIT_ADMIN) {
-         LOG(OrderMan, Info,
-             "Order manager received admin data. Subscribing to security list "
-             "now ");
-         for (auto &osd : me->services_data.sessions)
-            osd->gw->on_admin_data(m);
+   if (!m.events) {
+      WARN_FN("on_admin_data", "no event data. state: {}", me->state_name());
+      return;
+   }
+   INFO_FN("on_admin_data", "state: {}", me->state_name());
+   if (me->state == State::WAIT_ADMIN) {
+      for (auto &osd : me->services_data.sessions)
+         osd->gw->on_admin_data(m);
 
-         me->state = State::WAIT_SEC;
-         subscribe<NewSecuritiesEvent>([this](auto const &sec_update) {
-            this->on_securities(sec_update);
-         });
-      }
+      me->state = State::WAIT_SEC;
+      INFO_FN("on_admin_data", "state: {}", me->state_name());
+      subscribe<NewSecuritiesEvent>(
+          [this](auto const &sec_update) { this->on_securities(sec_update); });
+   }
 
-      for (auto ev : *m.events) {
-         me->services_data.order_router.update(*ev.admin_data);
-         me->services_data.limiter.update(*ev.admin_data);
-      }
+   for (auto ev : *m.events) {
+      me->services_data.order_router.update(*ev.admin_data);
+      me->services_data.limiter.update(*ev.admin_data);
    }
 }
 
 void OrderManager::on_pnl_update(
     const mercury::Update<AccountPnLUpdateEvent> &u) {
-   if (u.events)
-      for (auto ev : *u.events)
-         me->services_data.limiter.set_day_pnl(ev.account_id, ev.day_pnl);
+   if (!u.events) {
+      WARN_FN("on_pnl_update", "no event data. state: {}", me->state_name());
+      return;
+   }
+   // This log is too noisy. It fires regularly on an interval (sometimes when
+   // the pnl hasn't actually changed).
+   // INFO_FN(
+   //     "on_pnl_update", "state: {}; n_events: {}", me->state_name(),
+   //     u.events->size());
+   for (auto ev : *u.events) {
+      me->services_data.limiter.set_day_pnl(ev.account_id, ev.day_pnl);
+   }
 }
 
 void OrderManager::on_excess_liquidity_update(
     const mercury::Update<ExcessLiquidityUpdateEvent> &u) {
-   if (u.events)
-      for (auto ev : *u.events)
-         me->services_data.limiter.set_excess_liquidity(
-             ev.account_id, ev.excess_liquidity);
+   if (!u.events) {
+      WARN_FN(
+          "on_excess_liquidity_update", "no event data. state: {}",
+          me->state_name());
+      return;
+   }
+   INFO_FN(
+       "on_excess_liquidity_update", "state: {}; n_events: {}",
+       me->state_name(), u.events->size());
+   for (auto ev : *u.events) {
+      me->services_data.limiter.set_excess_liquidity(
+          ev.account_id, ev.excess_liquidity);
+   }
 }
 
 void OrderManager::on_rfq_send(const mercury::Update<RFQEvent> &rfq) {
-   if (rfq.events) {
-      std::vector<OrderMsg> msgs = {};
-      for (auto ev : *rfq.events) {
-         RFQMsg rfq_msg = RFQMsg(ev);
-         msgs.emplace_back(rfq_msg);
-      }
-      trace::CorID cid = {};
-      LOG(OrderMan, Info, "OrderManager::on_rfq_send n_events: {}",
-          rfq.events->size());
-      for (auto &osd : me->services_data.sessions)
-         osd->gw->send_msgs(msgs, cid);
+   if (!rfq.events) {
+      WARN_FN("on_rfq_send", "no event data. state: {}", me->state_name());
+      return;
+   }
+   INFO_FN(
+       "on_rfq_send", "state: {}; n_events: {}", me->state_name(),
+       rfq.events->size());
+   std::vector<OrderMsg> msgs = {};
+   for (auto ev : *rfq.events) {
+      RFQMsg rfq_msg = RFQMsg(ev);
+      msgs.emplace_back(rfq_msg);
+   }
+   trace::CorID cid = {};
+   for (auto &osd : me->services_data.sessions) {
+      osd->gw->send_msgs(msgs, cid);
    }
 }
 
 void OrderManager::on_securities(
     const mercury::Update<NewSecuritiesEvent> &update) {
-
+   if (!update.events) {
+      WARN_FN("on_securities", "no event data. state: {}", me->state_name());
+      return;
+   }
+   INFO_FN(
+       "on_securities", "state: {}; n_events: {}", me->state_name(),
+       update.events->size());
    // forward to execution gateways
    for (auto &osd : me->services_data.sessions)
       osd->gw->on_securities(update);
 
-   if (update.events) {
+   // update our security db and accumulate for the sake of the limiter
+   std::vector<api::Security const *> secs;
+   for (auto const &ev : *(update.events)) {
+      auto sec_ptr = ev.security;
+      secs.push_back(sec_ptr);
+   }
+   me->services_data.limiter.add_securities(secs);
 
-      // update our security db and accumulate for the sake of the limiter
-      std::vector<api::Security const *> secs;
-      for (auto const &ev : *(update.events)) {
-         auto sec_ptr = ev.security;
-         secs.push_back(sec_ptr);
-      }
-      me->services_data.limiter.add_securities(secs);
-
-      if (me->state == State::WAIT_SEC) {
-         LOG(OrderMan, Info,
-             "Order manager received initial set of {} "
-             "securities. Waiting for the filled position now",
-             update.events->size());
-         me->state = State::WAIT_FILLED_POSITION;
-         me->filled_position_sub = subscribe<FilledPositionEvent>(
-             [this](auto const &pos) { this->on_filled_position(pos); });
-      }
+   if (me->state == State::WAIT_SEC) {
+      me->state = State::WAIT_FILLED_POSITION;
+      INFO_FN(
+          "on_securities", "received initial set of {} securities. state: {}",
+          update.events->size(), me->state_name());
+      me->filled_position_sub = subscribe<FilledPositionEvent>(
+          [this](auto const &pos) { this->on_filled_position(pos); });
    }
 }
 
 void OrderManager::on_filled_position(
     const mercury::Update<FilledPositionEvent> &update) {
-   if (update.events) {
-      if (me->state == State::WAIT_FILLED_POSITION) {
-         LOG(OrderMan, Info,
-             "Order manager received initial set of {} "
-             "stored filled position records. Waiting for stored orders now",
-             update.events->size());
-         me->state = State::WAIT_ORDERS;
-         me->stored_order_sub = subscribe<StoredOrderEvent>(
-             [this](auto const &orders) { this->on_order_recovery(orders); });
-      }
+   if (!update.events) {
+      WARN_FN(
+          "on_filled_position", "no event data. state: {}", me->state_name());
+      return;
+   }
+   INFO_FN(
+       "on_filled_position", "state: {}; n_events: {}", me->state_name(),
+       update.events->size());
+   if (me->state == State::WAIT_FILLED_POSITION) {
+      me->state = State::WAIT_ORDERS;
+      INFO_FN("on_filled_position", "new_state: {}", me->state_name());
+      me->stored_order_sub = subscribe<StoredOrderEvent>(
+          [this](auto const &orders) { this->on_order_recovery(orders); });
+   }
 
-      for (auto const &ev : *(update.events)) {
-         me->services_data.position.update(ev);
-         me->services_data.limiter.set_filled_position(
-             *ev.security, ev.account_id, ev.long_quantity, ev.short_quantity);
-      }
+   for (auto const &ev : *(update.events)) {
+      me->services_data.position.update(ev);
+      me->services_data.limiter.set_filled_position(
+          *ev.security, ev.account_id, ev.long_quantity, ev.short_quantity);
    }
 }
 
 void OrderManager::on_order_recovery(
     const mercury::Update<StoredOrderEvent> &update) {
-   if (update.events)
-      if (me->state == State::WAIT_ORDERS) {
+   if (!update.events) {
+      WARN_FN(
+          "on_order_recovery", "no event data. state: {}", me->state_name());
+      return;
+   }
+   if (me->state != State::WAIT_ORDERS) {
+      WARN_FN(
+          "on_order_recovery",
+          "Expected state WAIT_ORDERS. state: {}; n_events: {}",
+          me->state_name(), update.events->size());
+      return;
+   }
+   // Got the first batch of persisted orders which has to match the orders
+   // stored on disk (since we are the only ones producing new orders)
+   INFO_FN(
+       "on_order_recovery", "state: {}; n_events: {}", me->state_name(),
+       update.events->size());
+   // Don't need to monitor persisted orders anymore, all the new orders we care
+   // about will be generated by us.
+   unsubscribe(me->stored_order_sub);
 
-         // Got the first batch of persisted orders which has to match
-         // the orders stored on disk (since we are the only ones
-         // producing new orders)
-         LOG(OrderMan, Info,
-             "Order manager received initial set of {} persisted orders.",
-             update.events->size());
+   init_order_services();
 
-         // Don't need to monitor persisted orders anymore, all the
-         // new orders we care about will be generated by us.
-         unsubscribe(me->stored_order_sub);
+   // recover orders from disk
+   for (auto const &ev : *(update.events)) {
+      auto &order = me->services_data.order_factory.recover(ev.order_record);
+      auto const &def = order.def();
+      publish_order_def_update(OrderKey(ev.key()), def);
+      order.init_order_services(me->services_data);
 
-         init_order_services();
+      auto r = me->orders.emplace(order.key(), &order);
+      bts_assert(r.second);
+      auto const &ostate = ev.order_record.state();
+      order.on_activate(
+          Price(ostate.price()), Quantity(ostate.quantity()), *order._services);
+   }
 
-         // recover orders from disk
-         for (auto const &ev : *(update.events)) {
-            auto &order =
-                me->services_data.order_factory.recover(ev.order_record);
-            auto const &def = order.def();
-            publish_order_def_update(OrderKey(ev.key()), def);
-            order.init_order_services(me->services_data);
-
-            auto r = me->orders.emplace(order.key(), &order);
-            bts_assert(r.second);
-            auto const &ostate = ev.order_record.state();
-            order.on_activate(
-                Price(ostate.price()), Quantity(ostate.quantity()),
-                *order._services);
-         }
-
-         // signal that we are ready
-         LOG(OrderMan, Info, "Order manager is ready");
-         publish(me->pub_ready);
-         me->state = State::READY;
-      }
+   // signal that we are ready
+   INFO_FN("on_order_recovery", "OrderManager is ready");
+   publish(me->pub_ready);
+   me->state = State::READY;
 }
 
 void OrderManager::on_execution_report(
     const mercury::Update<NewExecutionReportEvent> &m) {
-   if (m.events)
-      for (auto const &report : *m.events)
-         if (report.data->leg_security == nullptr) {
-            auto k = report.data->order_key;
-            auto it = me->orders.find(k);
-            if (it == me->orders.end()) {
-               LOG(OrderMan, Error,
-                   "Received an execution report for an unknown order with key "
-                   "{}. Order state USED TO be reconstructed from this report but "
-                   "some "
-                   "information will be lost, including CustomerOrFirm,CTI "
-                   "code "
-                   "and "
-                   "parent order id but now these are IGNORED",
-                   k.value());
-               continue;
-               auto order =
-                   &me->services_data.order_factory.recreate_from_exe_report(
-                       *report.data);
-               auto const &def = order->def();
-               publish_order_def_update(OrderKey(k), def);
-               order->init_order_services(me->services_data);
-               auto r = me->orders.emplace(order->key(), order);
-               bts_assert(r.second);
-               order->on_activate(
-                   report.data->price, report.data->quantity,
-                   *order->_services);
-            }
-         }
+   if (!m.events) {
+      WARN_FN("on_execution_report", "no event data");
+      return;
+   }
+   INFO_FN(
+       "on_execution_report", "state: {}; n_events", me->state_name(),
+       m.events->size());
+   for (auto const &report : *m.events) {
+      if (report.data->leg_security != nullptr) {
+         continue;
+      }
+      auto k = report.data->order_key;
+      auto it = me->orders.find(k);
+      if (it == me->orders.end()) {
+         ERROR_FN(
+             "on_execution_report",
+             "Received an execution report for an unknown order with key {}. "
+             "Order state USED TO be reconstructed from this report but some "
+             "information will be lost, including CustomerOrFirm,CTI code and "
+             "parent order id but now these are IGNORED",
+             k.value());
+         continue;
+         // auto order = &me->services_data.order_factory.recreate_from_exe_report(
+         //     *report.data);
+         // auto const &def = order->def();
+         // publish_order_def_update(OrderKey(k), def);
+         // order->init_order_services(me->services_data);
+         // auto r = me->orders.emplace(order->key(), order);
+         // bts_assert(r.second);
+         // order->on_activate(
+         //     report.data->price, report.data->quantity, *order->_services);
+      }
+   }
 }
 
 void OrderManager::on_activate_order(
     const mercury::Update<ActivateOrderEvent> &m) {
-   if (m.events)
-      for (auto const &ev : *m.events) {
-         LOG(OrderMan, Info,
-             "OrderManager::on_activate_order req_id: {} p: {} q: {}",
-             ev.req_id, ev.price, ev.quantity);
-         auto order = ev.order;
-         auto const &def = order->def();
-         publish_order_def_update(order->key(), def);
-         order->init_order_services(me->services_data);
-         auto r = me->orders.emplace(order->key(), order);
-         bts_assert(r.second);
+   if (!m.events) {
+      WARN_FN("on_activate_order", "no event data");
+      return;
+   }
+   INFO_FN(
+       "on_activate_order", "state: {}; n_events: {}", me->state_name(),
+       m.events->size());
+   for (auto const &ev : *m.events) {
+      LOG(OrderMan, Info,
+          "OrderManager::on_activate_order req_id: {} p: {} q: {}", ev.req_id,
+          ev.price, ev.quantity);
+      auto order = ev.order;
+      auto const &def = order->def();
+      publish_order_def_update(order->key(), def);
+      order->init_order_services(me->services_data);
+      auto r = me->orders.emplace(order->key(), order);
+      bts_assert(r.second);
 
-         auto rid = ev.req_id;
-         auto k = order->key();
-         auto on_response = [this, rid, k](auto const &order_op_result) {
-            publish(
-                me->services_data.report_order_op_result_pub, k, rid,
-                order_op_result);
-         };
-         order->_services->activate(ev.price, ev.quantity, on_response);
-      }
+      auto rid = ev.req_id;
+      auto k = order->key();
+      auto on_response = [this, rid, k](auto const &order_op_result) {
+         publish(
+             me->services_data.report_order_op_result_pub, k, rid,
+             order_op_result);
+      };
+      order->_services->activate(ev.price, ev.quantity, on_response);
+   }
 }
 
 void OrderManager::on_update_order(const mercury::Update<UpdateOrderEvent> &m) {
-   if (m.events)
-      for (auto const &ev : *m.events) {
-         auto k = ev.key();
-         auto it = me->orders.find(k);
-         auto rid = ev.req_id();
+   if (!m.events) {
+      WARN_FN("on_update_order", "no event data");
+      return;
+   }
+   INFO_FN(
+       "on_update_order", "state: {}; n_events: {}", me->state_name(),
+       m.events->size());
+   for (auto const &ev : *m.events) {
+      auto k = ev.key();
+      auto it = me->orders.find(k);
+      auto rid = ev.req_id();
 
-         auto on_order_op_result = [this, rid, k](auto const &order_op_result) {
-            publish(
-                me->services_data.report_order_op_result_pub, k, rid,
-                order_op_result);
-         };
+      auto on_order_op_result = [this, rid, k](auto const &order_op_result) {
+         publish(
+             me->services_data.report_order_op_result_pub, k, rid,
+             order_op_result);
+      };
 
-         if (it != me->orders.end()) {
-            if (ev.is_full_update())
-               it->second->_services->update(
-                   ev.full_update(), on_order_op_result);
-            else
-               it->second->_services->update(
-                   Price(ev.price()), Quantity(ev.quantity()),
-                   on_order_op_result);
+      if (it != me->orders.end()) {
+         if (ev.is_full_update()) {
+            it->second->_services->update(ev.full_update(), on_order_op_result);
          } else {
-            on_order_op_result(OrderOpResult{
-                api::orderman::ORDER_ERROR_UNKNOWN_ORDER, "Unknown order"});
-            LOG(OrderMan, Error,
-                "Received an update request for an unknown order {}. "
-                "This should not happen and likely indicates a serious bug. ",
-                ev.key().value());
+            it->second->_services->update(
+                Price(ev.price()), Quantity(ev.quantity()), on_order_op_result);
          }
+      } else {
+         on_order_op_result(OrderOpResult{
+             api::orderman::ORDER_ERROR_UNKNOWN_ORDER, "Unknown order"});
+         ERROR_FN(
+             "on_update_order",
+             "order not found (id={}). This likely indicates a serious bug.",
+             ev.key().value());
       }
+   }
 }
 
 void OrderManager::on_cancel_order(const mercury::Update<CancelOrderEvent> &m) {
-   if (m.events)
-      for (auto const &ev : *m.events) {
-         auto k = ev.key();
-         auto it = me->orders.find(k);
-         auto rid = ev.req_id;
+   if (!m.events) {
+      WARN_FN("on_cancel_order", "no event data");
+      return;
+   }
+   INFO_FN(
+       "on_cancel_order", "state: {}; n_events: {}", me->state_name(),
+       m.events->size());
+   for (auto const &ev : *m.events) {
+      auto k = ev.key();
+      auto it = me->orders.find(k);
+      auto rid = ev.req_id;
 
-         auto on_order_op_result = [this, rid, k](auto const &order_op_result) {
-            publish(
-                me->services_data.report_order_op_result_pub, k, rid,
-                order_op_result);
-         };
+      auto on_order_op_result = [this, rid, k](auto const &order_op_result) {
+         publish(
+             me->services_data.report_order_op_result_pub, k, rid,
+             order_op_result);
+      };
 
-         if (it != me->orders.end())
-            it->second->_services->cancel(on_order_op_result);
-         else {
-            on_order_op_result(OrderOpResult{
-                api::orderman::ORDER_ERROR_UNKNOWN_ORDER, "Unknown order"});
-            LOG(OrderMan, Error,
-                "Received a cancel request for an unknown order {}. "
-                "This should not happen and likely indicates a serious bug. ",
-                ev.key().value());
-         }
+      if (it != me->orders.end()) {
+         it->second->_services->cancel(on_order_op_result);
+      } else {
+         on_order_op_result(OrderOpResult{
+             api::orderman::ORDER_ERROR_UNKNOWN_ORDER, "Unknown order"});
+         ERROR_FN(
+             "on_cancel_order",
+             "order not found (id={}). This likely indicates a serious bug.",
+             ev.key().value());
       }
+   }
 }
 
 void OrderManager::on_detach_order(const mercury::Update<DetachOrderEvent> &m) {
-   if (m.events)
-      for (auto const &ev : *m.events) {
-         auto k = ev.key();
-         auto it = me->orders.find(k);
-         auto rid = ev.req_id;
+   if (!m.events) {
+      WARN_FN("on_detach_order", "no event data");
+      return;
+   }
+   INFO_FN(
+       "on_detach_order", "state: {}; n_events: {}", me->state_name(),
+       m.events->size());
+   for (auto const &ev : *m.events) {
+      auto k = ev.key();
+      auto it = me->orders.find(k);
+      auto rid = ev.req_id;
 
-         auto on_order_op_result = [this, rid, k](auto const &order_op_result) {
-            publish(
-                me->services_data.report_order_op_result_pub, k, rid,
-                order_op_result);
-         };
+      auto on_order_op_result = [this, rid, k](auto const &order_op_result) {
+         publish(
+             me->services_data.report_order_op_result_pub, k, rid,
+             order_op_result);
+      };
 
-         if (it != me->orders.end())
-            it->second->_services->detach(on_order_op_result);
-         else {
-            on_order_op_result(OrderOpResult{
-                api::orderman::ORDER_ERROR_UNKNOWN_ORDER, "Unknown Order"});
+      if (it != me->orders.end()) {
+         it->second->_services->detach(on_order_op_result);
+      } else {
+         on_order_op_result(OrderOpResult{
+             api::orderman::ORDER_ERROR_UNKNOWN_ORDER, "Unknown Order"});
 
-            LOG(OrderMan, Error,
-                "Received a detach request for an unknown order {}. "
-                "This should not happen and likely indicates a serious bug. ",
-                ev.key().value());
-         }
+         ERROR_FN(
+             "on_detach_order",
+             "order not found (id={}). This likely indicates a serious bug.",
+             ev.key().value());
       }
+   }
 }
 
 void OrderManager::on_gateway_state(
     const mercury::Update<GatewayStatusChangeEvent> &m) {
-   if (m.events)
-      for (auto const &ev : *m.events) {
-         LOG(OrderMan, Info,
-             " OrderManager::on_gateway_state gw: {} connected: {}", ev.gw_name,
-             ev.is_connected);
-         auto &sr = me->services_data.get_session(ev.gw_name.value());
-         sr.gw_connected = ev.is_connected;
-      }
+   if (!m.events) {
+      WARN_FN("on_gateway_state", "no event data");
+      return;
+   }
+   INFO_FN(
+       "on_gateway_state", "state: {}; n_events: {}", me->state_name(),
+       m.events->size());
+   for (auto const &ev : *m.events) {
+      LOG(OrderMan, Info,
+          " OrderManager::on_gateway_state gw: {} connected: {}", ev.gw_name,
+          ev.is_connected);
+      auto &sr = me->services_data.get_session(ev.gw_name.value());
+      sr.gw_connected = ev.is_connected;
+   }
 }
 
 void OrderManager::add_child_order(OrderServices &parent, Order &child) {
@@ -471,9 +560,12 @@ void OrderManager::init_order_services() {
                   return s->session;
                }),
        ", "));
-   LOG(OrderMan, Info, "init_order_services. sessions: {}", session_names);
+   INFO_FN(
+       "init_order_services", "state: {}; sessions: {}", me->state_name(),
+       session_names);
 
    for (auto &s : me->services_data.sessions) {
+      INFO_FN("init_order_services", "Initializing session {}", s->session);
       auto gw_name = GatewayName(s->session);
 
       // Now we are ready to subscribe to the execution gateway
@@ -536,9 +628,11 @@ void OrderManager::init_order_services() {
       // reject evets
       auto s_ptr = s.get();
       s->exe_report_pub = make_stream<NewExecutionReportEvent>(gw_name);
-      s->gw->on_exe_report() = [s_ptr, this](auto const &er, auto const &t) {
-         publish(s_ptr->exe_report_pub, &er, t);
-      };
+      s->gw->on_exe_report() =
+          [s_ptr,
+           this](std::shared_ptr<const ExecutionReport> er, auto const &t) {
+             publish(s_ptr->exe_report_pub, std::move(er), t);
+          };
       s->gw_status_change_pub = make_stream<GatewayStatusChangeEvent>(gw_name);
       s->gw->on_gw_status_change() = [s_ptr, this, gw_name](bool b) {
          publish(s_ptr->gw_status_change_pub, gw_name, b);
@@ -564,9 +658,10 @@ void OrderManager::init_order_services() {
       s->gw->on_cancel_reject() = [s_ptr, this](auto const &cr) {
          publish(s_ptr->cancel_reject_pub, cr);
       };
+      INFO_FN("init_order_services", "Starting session {}", s->session);
       // handlers are ready so we can start processing fix events
       s->gw->start();
-
+      INFO_FN("init_order_services", "Started session {}", s->session);
       reload_fix_buffer(*s);
    }
 
@@ -677,9 +772,10 @@ void OrderManager::after_event() {
          if (queued_ops.size()) {
             auto &corid = osd->current_trace;
             auto now = utils::TimeStamp::now();
-            LOG(Latency, Info,
-                "entry_type:after_event channel:{} sn:{} app_arrival:{} now:{} "
-                "delta:{}",
+            INFO_FN(
+                "after_event",
+                "channel: {} sn: {} app_arrival: {} now: {} "
+                "delta: {}",
                 std::string{corid.channel}, corid.sn,
                 corid.app_arrival.to_uint64(), now.to_uint64(),
                 (now - corid.app_arrival).nanoseconds());
@@ -695,9 +791,9 @@ void OrderManager::reload_fix_buffer(SessionServicesData &osd) {
       osd.buffered_fix_msgs = osd.free_buffers.back();
       osd.free_buffers.pop_back();
    } else {
-      LOG(OrderMan, Warn,
-          "Ran out of fix buffers in {}.  Will allocate directly. "
-          "This will have an impact on performance",
+      WARN_FN(
+          "reload_fix_buffer",
+          "Allocating new fix buffers in {}. This will impact performance",
           osd.cfg.name());
       osd.buffered_fix_msgs = std::make_shared<jetfix::OutFIX>(osd.cfg);
    }

src/lib/orderman/actors/order_manager/OrderServicesData.cpp

@@ -1,10 +1,6 @@
 #include "OrderServicesData.h"
-#include "lib/config/config.h"
-#include "lib/config/protos/jetfix.pb.h"
 #include "lib/md/SecurityOracle.h"
 #include "lib/orderman/actors/order_manager/order_gateway_definition.h"
-#include "lib/orderman/gateways/ExecutionGatewayFactory.h"
-#include "lib/os/spark_data_directory.h"
 #include "lib/tracing/PerfLog.h"
 
 namespace bts {
@@ -26,8 +22,6 @@ OrderServicesData::OrderServicesData(
    for (auto &g : gateways) {
       sessions.push_back(std::make_unique<SessionServicesData>(std::move(g)));
    }
-   // spark::SparkDataDirectory data_dir;
-   // auto binance_j = data_dir.load_config_json("binance_execution");
 }
 
 } // namespace orderman

src/lib/orderman/actors/order_manager/OrderServicesData.h

@@ -34,7 +34,6 @@
 #include "lib/orderman/events/TickerUpdateEvent.h"
 #include "lib/orderman/events/TradeSignalEvent.h"
 #include "lib/orderman/events/UpdateOrderEvent.h"
-#include "lib/orderman/gateways/ExecutionGatewayFactory.h"
 #include "lib/orderman/gateways/IExecutionGateway.h"
 #include "lib/orderman/limiter/Limiter.h"
 #include "lib/orderman/order_factory/OrderFactory.h"

src/lib/orderman/actors/order_manager/session_services_data.h

@@ -10,7 +10,6 @@
 #include "lib/orderman/events/ExchangePositionEvent.h"
 #include "lib/orderman/events/GatewayStatusChangeEvent.h"
 #include "lib/orderman/events/NewExecutionReportEvent.h"
-#include "lib/orderman/gateways/ExecutionGatewayFactory.h"
 #include "lib/orderman/gateways/IExecutionGateway.h"
 #include "lib/utils/PBUtils.h"
 

src/lib/orderman/ccapi/CCAPIDeribitOrderMux.cpp

@@ -20,6 +20,7 @@
 #include "lib/utils/bts_assert.h"
 #include <bits/stdint-uintn.h>
 #include <boost/lockfree/spsc_queue.hpp>
+#include <ccapi_cpp/bts_session_options.h>
 #include <ccapi_cpp/ccapi_element.h>
 #include <ccapi_cpp/ccapi_event.h>
 #include <ccapi_cpp/ccapi_macro.h>
@@ -255,7 +256,8 @@ struct CCAPIDeribitOrderMux::PImpl {
           {CCAPI_DERIBIT_CLIENT_ID, d_conn_config.client_id},
           {CCAPI_DERIBIT_CLIENT_SECRET, d_conn_config.client_secret},
       });
-      session = new ccapi::Session({}, session_configs, &event_handler);
+      session = new ccapi::Session(
+          {}, {ccapi::BtsVenues::DERIBIT}, session_configs, &event_handler);
    }
 };
 
@@ -953,4 +955,4 @@ void CCAPIDeribitOrderMux::_send_buffered_orders(uint32_t sec_id) {
        "n_buffered_orders: {}",
        me->buffered_creates.size());
 }
-} // namespace bts::orderman
+} // namespace bts::orderman

src/lib/orderman/events/NewExecutionReportEvent.h

@@ -20,12 +20,13 @@ class NewExecutionReportEvent : public mercury::Event<NewExecutionReportEvent> {
  public:
    using Tag = GatewayName;
    using SynopsisPolicy = mercury::CacheAll<NewExecutionReportEvent>;
-   ExecutionReport const *data;
+   std::shared_ptr<const ExecutionReport> data;
    trace::CorID trace;
    // used by ContentSubscription
    OrderKey key() const { return data->order_key; }
-   NewExecutionReportEvent(const ExecutionReport *dt, trace::CorID const &trace)
-       : data(dt), trace(trace){};
+   NewExecutionReportEvent(
+       std::shared_ptr<const ExecutionReport> dt, trace::CorID const &trace)
+       : data(std::move(dt)), trace(trace){};
 };
 
 } // namespace orderman

src/lib/orderman/gateways/CCAPIExecutionGateway.cpp

@@ -40,7 +40,7 @@
 #include <bits/stdint-uintn.h>
 //#include <boost/container/small_vector.hpp>
 #include "lib/orderman/ccapi/CCAPIConnectionConfig.h"
-#include <boost/pool/object_pool.hpp>
+
 #include <cmath>
 #include <cstdint>
 #include <optional>
@@ -138,7 +138,6 @@ struct CCAPIExecutionGateway::PImpl {
    OnExchangeOpenOrdersState on_exchange_open_orders;
    // orders are sent out and callbacks received via IEMOrderMuxer
    size_t msg_seq_num = 0;
-   boost::object_pool<ExecutionReport> exe_report_pool;
    std::unordered_map<OrderKey, CreateOrderMsg> order_map = {};
    // this is updated as we get exchange positions
    ExchangePosition exchange_position;
@@ -339,8 +338,7 @@ void CCAPIExecutionGateway::_on_order_cb(const CCAPIOrderState &s) {
    const auto &cr_msg = it->second;
 
    // cant create one on the stack
-   ExecutionReport *er_p = me->exe_report_pool.construct();
-   ExecutionReport &er = *er_p;
+   ExecutionReport er;
    // length of these have to be <= 12
    to_array(cr_msg.routing_record->account(), &er.account_name.value());
    to_array(cr_msg.routing_record->operator_id(), &er.operator_id.value());
@@ -390,7 +388,7 @@ void CCAPIExecutionGateway::_on_order_cb(const CCAPIOrderState &s) {
    LOG(OrderMan, Info,
        "CCAPIExecutionGateway::_process_cb_and_fire_er firing er: {}",
        er.to_string());
-   me->on_exe_report(er, {});
+   me->on_exe_report(std::make_shared<ExecutionReport>(std::move(er)), {});
    // _fire_leg_er(em_cb, er);
 }
 

src/lib/orderman/gateways/ExecutionGatewayFactory.cpp

@@ -1,59 +0,0 @@
-#include "ExecutionGatewayFactory.h"
-#include "lib/domain_model/Security.pb.h"
-#include "lib/md/SecurityOracle.h"
-#include "lib/orderman/gateways/CCAPIExecutionGateway.h"
-// #include "lib/orderman/gateways/EMExecutionGateway.h"
-#include "lib/orderman/gateways/FakeExecutionGateway.h"
-#include "lib/orderman/gateways/GeneralExecutionGateway.h"
-#include "lib/orderman/gateways/GLBXExecutionGateway.h"
-#include "lib/orderman/gateways/GLBXiLink3ExecutionGateway.h"
-#include "lib/orderman/gateways/ICEExecutionGateway.h"
-#include "lib/orderman/gateways/IExecutionGenericAdapter.h"
-#include "lib/orderman/gateways/OkxExecutionGateway.h"
-#include "lib/orderman/gateways/OnixFIXAdapter.h"
-#include "lib/orderman/gateways/sim/SimExecutionGatewayFactory.h"
-#include "lib/orderman/gateways/sim/SimExecutionGatewayUniqueWrapper.h"
-#include "lib/tracing/PerfLog.h"
-#include "lib/utils/PBUtils.h"
-#include "lib/utils/ValueWrapper.h"
-#include <memory>
-#include <variant>
-
-namespace bts::orderman {
-
-std::unique_ptr<IExecutionGateway> ExecutionGatewayFactory::create_gateway(
-    const config::JetFIX::Connection &conn,
-    trace::PerfLog &pl,
-    md::SecurityOracle o) {
-   LOG(OrderMan, Info, "ExecutionGatewayFactory::create_gateway conn: {}",
-       utils::pb::to_string(conn));
-   if (SimExecutionGatewayFactory::is_sim_execution_on(conn.venue())) {
-      return std::make_unique<SimExecutionGatewayUniqueWrapper>(conn.venue());
-   }
-   LOG(OrderMan, Info, "ExecutionGatewayFactory::create_gateway NOT SIM conn: {}",
-       utils::pb::to_string(conn));
-   switch(conn.venue()){
-      case bts::api::VENUE_ICE:
-      case bts::api::VENUE_SIMICE:
-         return std::make_unique<ICEExecutionGateway>(conn, pl, o);
-      case bts::api::VENUE_GLBX:{
-         if (conn.use_ilink3())
-            return std::make_unique<ilink3::GLBXiLink3ExecutionGateway>( conn, pl, o);
-         return std::make_unique<GLBXExecutionGateway>(conn, pl, o);
-      }
-      case bts::api::VENUE_DERIBIT:
-         return std::make_unique<CCAPIExecutionGateway>(conn.venue(), o);
-      case bts::api::VENUE_CBOE:
-         {
-             std::unique_ptr<IExecutionGenericAdapter> adapter = std::make_unique<OnixFIXAdapter>(o);
-            return std::make_unique<GeneralExecutionGateway>(conn.venue(),std::move(adapter),o);
-         }
-      case bts::api::VENUE_OKX:
-         {  return std::make_unique<OkxExecutionGateway>(o);
-         }
-      default:
-         return std::make_unique<FakeExecutionGateway>(o);
-   }
-}
-
-} // namespace bts::orderman

src/lib/orderman/gateways/ExecutionGatewayFactory.h

@@ -1,25 +0,0 @@
-#pragma once
-#include "lib/config/protos/jetfix.pb.h"
-#include <memory>
-
-namespace bts::trace {
-class PerfLog;
-}
-
-namespace bts::md {
-class SecurityOracle;
-}
-
-namespace bts::orderman {
-
-class IExecutionGateway;
-
-class ExecutionGatewayFactory {
- public:
-   static std::unique_ptr<IExecutionGateway> create_gateway(
-       const config::JetFIX::Connection &,
-       trace::PerfLog &,
-       md::SecurityOracle);
-};
-
-} // namespace bts::orderman

src/lib/orderman/gateways/FakeExecutionGateway.cpp

@@ -25,7 +25,6 @@
 #include "server/sparkd/md/platforms/emumba/IEMOrderMuxer.h"
 
 #include <atomic>
-#include <boost/pool/object_pool.hpp>
 #include <cstdint>
 #include <set>
 #include <string>
@@ -54,7 +53,7 @@ struct FakeExecutionGateway::PImpl {
    md::SecurityOracle sec_oracle;
    std::vector<OrderMsg> buffered_msgs = {};
    unsigned long exchange_oid = 0;
-   std::vector<ExecutionReport> exe_reports = {};
+   std::vector<std::shared_ptr<ExecutionReport>> exe_reports = {};
    IEMOrderMuxer *_order_mux = nullptr;
 };
 
@@ -84,7 +83,9 @@ void FakeExecutionGateway::dispatch_incoming_fix_messages() {
              "FakeExecutionGateway::dispatch_incoming_fix_message key: {} sec: "
              "{} p: {} q: {}",
              cr_msg.key, cr_msg.security->id(), cr_msg.price, cr_msg.quantity);
-         ExecutionReport er = {};
+         me->exe_reports.push_back(std::make_shared<ExecutionReport>());
+         std::shared_ptr<ExecutionReport> &er_p = me->exe_reports.back();
+         ExecutionReport &er = *er_p;
          std::string account_name = "ACCA1";
          std::array<char, 12> an_array = {};
          size_t i = 0;
@@ -115,19 +116,18 @@ void FakeExecutionGateway::dispatch_incoming_fix_messages() {
          er.msg = "Message Placed";
          er.exchange = api::VENUE_SIM;
          trace::CorID cid = {};
-         me->exe_reports.push_back(er);
-         const auto &er_pheap = me->exe_reports.back();
          LOG(OrderMan, Info,
              "FakeExecutionGateway::dispatch_incoming_fix_messages er: {}",
-             er_pheap.to_string());
-         me->on_exe_report(er_pheap, cid);
+             er.to_string());
+         me->on_exe_report(er_p, cid);
       } else if (std::holds_alternative<CancelOrderMsg>(m)) {
          CancelOrderMsg cxl_m = std::get<CancelOrderMsg>(m);
-         for (auto &er : me->exe_reports) {
+         for (std::shared_ptr<ExecutionReport> &er_p : me->exe_reports) {
+            auto &er = *er_p;
             if (er.order_key == cxl_m.key) {
                er.order_status = api::orderman::NATIVE_ORDER_STATUS_CANCELED;
                er.msg = "Cancelled";
-               me->on_exe_report(er, {});
+               me->on_exe_report(er_p, {});
                LOG(OrderMan, Info,
                    "FakeExecutionGateway::dispatch_incoming_fix_messages er: "
                    "{}",
@@ -138,13 +138,14 @@ void FakeExecutionGateway::dispatch_incoming_fix_messages() {
       } else if (std::holds_alternative<CancelReplaceOrderMsg>(m)) {
          CancelReplaceOrderMsg cxl_r_msg = std::get<CancelReplaceOrderMsg>(m);
          CreateOrderMsg cr_msg = cxl_r_msg.create_fields;
-         for (auto &er : me->exe_reports) {
+         for (std::shared_ptr<ExecutionReport> &er_p : me->exe_reports) {
+            auto &er = *er_p;
             if (er.order_key == cr_msg.key) {
                er.order_status = api::orderman::NATIVE_ORDER_STATUS_REPLACED;
                er.msg = "Replaced";
                er.price = cr_msg.price;
                er.quantity = cr_msg.quantity;
-               me->on_exe_report(er, {});
+               me->on_exe_report(er_p, {});
                return;
             }
          }
@@ -196,4 +197,4 @@ OnExchangeOpenOrdersState &FakeExecutionGateway::on_exchange_open_orders() {
 }
 
 } // namespace orderman
-} // namespace bts
+} // namespace bts

src/lib/orderman/gateways/GLBXExecutionGateway.cpp

@@ -13,8 +13,6 @@
 #include "lib/utils/TimeStamp.h"
 #include "lib/utils/bts_chrono.h"
 
-#include <boost/pool/object_pool.hpp>
-
 namespace bts {
 namespace orderman {
 
@@ -31,12 +29,11 @@ struct GLBXExecutionGateway::PImpl {
        config::JetFIX::Connection const &cfg,
        trace::PerfLog &l,
        md::SecurityOracle o)
-       : gw(cfg, l), exe_report_pool(), state(State::WAITING_FOR_SECURITIES),
+       : gw(cfg, l), state(State::WAITING_FOR_SECURITIES),
          securities(), securities_by_descriptor(), gw_name(cfg.name()),
          cfg(cfg), perf_log(l), sec_oracle(o) {}
 
    JFGw gw;
-   boost::object_pool<ExecutionReport> exe_report_pool;
    State state;
    std::unordered_map<SecurityKey::Value, api::Security const *> securities;
    std::unordered_map<std::string, api::Security const *>
@@ -209,8 +206,8 @@ void GLBXExecutionGateway::on_exe_report(
       if (msg.has<fix::Text>())
          text_msg = msg.get<fix::Text>();
 
-      // allocate from our pool
-      auto data = me->exe_report_pool.construct();
+      ExecutionReport er;
+      ExecutionReport *data = &er;
 
       data->exec_type = api::orderman::ExecType(msg.get<fix::ExecType>());
       data->msg_seq_num = msg.get<fix::MsgSeqNum>();
@@ -290,7 +287,8 @@ void GLBXExecutionGateway::on_exe_report(
       data->cfg = &me->cfg;
       data->msg = text_msg;
       data->exchange = api::Venue::VENUE_GLBX;
-      me->on_exe_report(*data, msg.trace());
+      me->on_exe_report(
+          std::make_shared<ExecutionReport>(std::move(er)), msg.trace());
    }
 }
 

src/lib/orderman/gateways/GLBXiLink3ExecutionGateway.cpp

@@ -12,6 +12,7 @@
 #include "lib/orderman/ilink3/IL3Reactor.h"
 #include "lib/orderman/ilink3/IL3SecDB.h"
 #include "lib/orderman/ilink3/SessionStore.h"
+#include "lib/orderman/orderman_utils/ExecutionReport.h"
 #include "lib/orderman/orderman_utils/fix_order_codec.h"
 #include "lib/utils/PBUtils.h"
 #include <cstddef>
@@ -149,8 +150,11 @@ void GLBXiLink3ExecutionGateway::connect(jetfix::SessionName const &sn) {
    if (!me->has_replayed) {
       me->has_replayed = true;
       me->replay_messages = me->session_store.value().replay();
-      for (auto const &er : me->replay_messages)
-         me->on_exe_report(er, {});
+      for (ExecutionReport &er : me->replay_messages) {
+         me->on_exe_report(
+             std::make_shared<ExecutionReport>(std::move(er)), {});
+      }
+      me->replay_messages.clear();
    }
 
    c.raw_message_logger =
@@ -169,7 +173,7 @@ void GLBXiLink3ExecutionGateway::connect(jetfix::SessionName const &sn) {
 
    me->gw->subscribe_execution_reports([this](auto er) {
       bts_assert(me->state == State::READY || me->state == State::CONNECTING);
-      me->on_exe_report(*er, {});
+      me->on_exe_report(std::move(er), {});
    });
 
    me->gw->subscribe_session(

src/lib/orderman/gateways/ICEExecutionGateway.cpp

@@ -18,7 +18,6 @@
 #include "lib/utils/helper_macros.h"
 
 #include <atomic>
-#include <boost/pool/object_pool.hpp>
 #include <set>
 
 namespace bts {
@@ -39,13 +38,12 @@ struct ICEExecutionGateway::PImpl {
        const config::JetFIX::Connection &cfg,
        trace::PerfLog &l,
        md::SecurityOracle o)
-       : gw(cfg, l), exe_report_pool(), state(State::WAITING_FOR_SECURITIES),
-         securities(), securities_by_exchange_id(), gw_name(cfg.name()),
-         cfg(cfg), perf_log(l), admin_data(), nusers(-1), connection_time(),
+       : gw(cfg, l), state(State::WAITING_FOR_SECURITIES), securities(),
+         securities_by_exchange_id(), gw_name(cfg.name()), cfg(cfg),
+         perf_log(l), admin_data(), nusers(-1), connection_time(),
          exec_id_to_memo(), sec_oracle(o) {}
 
    JFGw gw;
-   boost::object_pool<ExecutionReport> exe_report_pool;
    State state;
    std::unordered_map<SecurityKey::Value, api::Security const *> securities;
    std::unordered_map<int64_t, api::Security const *> securities_by_exchange_id;
@@ -373,7 +371,8 @@ void ICEExecutionGateway::on_exe_report(
                      std::to_string(msg.get<fix::DeleteReason>());
 
       // allocate from our pool
-      auto data = me->exe_report_pool.construct();
+      ExecutionReport er;
+      ExecutionReport *data = &er;
 
       if (msg.has<fix::Memo>())
          data->memo = msg.get<fix::Memo>();
@@ -467,7 +466,8 @@ void ICEExecutionGateway::on_exe_report(
       data->cfg = &me->cfg;
       data->msg = text_msg;
       data->exchange = api::Venue::VENUE_ICE;
-      me->on_exe_report(*data, msg.trace());
+      me->on_exe_report(
+          std::make_shared<ExecutionReport>(std::move(er)), msg.trace());
    }
 }
 

src/lib/orderman/gateways/IExecutionGateway.h

@@ -28,8 +28,8 @@ class ExecutionReport;
 class CancelReject;
 
 using OnGwStatusChange = std::function<void(bool)>;
-using OnExeReport =
-    std::function<void(ExecutionReport const &, trace::CorID const &)>;
+using OnExeReport = std::function<void(
+    std::shared_ptr<const ExecutionReport>, trace::CorID const &)>;
 using OnCancelReject = std::function<void(CancelReject const &)>;
 using OnExchangePositionState = std::function<void(ExchangePosition const &)>;
 using OnExchangeOpenOrdersState =

src/lib/orderman/gateways/IExecutionGenericAdapter.h

@@ -20,7 +20,8 @@ class NewAdminDataEvent;
 class ExecutionReport;
 class CancelReject;
 
-using OnExecutionReport = std::function<void(ExecutionReport const &, const trace::CorID &)>;
+using OnExecutionReport = std::function<void(
+    std::shared_ptr<const ExecutionReport>, const trace::CorID &)>;
 
 //  execution gateway for a single session
 class IExecutionGenericAdapter {

src/lib/orderman/gateways/OkxExecutionGateway.cpp

@@ -6,6 +6,7 @@
 #include "lib/io/http/http_client.h"
 #include "lib/io/http/http_response.h"
 #include "lib/io/websocket/websocket_client.h"
+#include "lib/io/websocket/websocket_client_config.h"
 #include "lib/logging/logging.h"
 #include "lib/md/SecurityOracle.h"
 #include "lib/orderman/CancelOrderMsg.h"
@@ -77,6 +78,16 @@ void OkxExecutionGateway::send_msgs(
           msg);
    }
 }
+
+static websocket::WebsocketClientConfig get_ws_client_config(
+    const std::string &url,
+    core::TimeSpan connect_timeout,
+    core::TimeSpan pong_timeout) {
+   websocket::WebsocketClientConfig rv{url, connect_timeout, pong_timeout};
+   rv.name = "OkxExecutionGateway";
+   return rv;
+}
+
 struct OkxExecutionGateway::PImpl {
    const std::string api_key = config::get<config::OkxExeCfg>().api_key();
    const std::string secret_key = config::get<config::OkxExeCfg>().secret_key();
@@ -89,9 +100,7 @@ struct OkxExecutionGateway::PImpl {
    const core::TimeSpan pong_timeout = core::TimeSpan::from_seconds(
        config::get<config::OkxExeCfg>().ws_ping_interval_seconds());
    websocket::WebsocketClient ws_client;
-   boost::object_pool<ExecutionReport> ws_exe_report_pool;
-   boost::object_pool<ExecutionReport> rest_exe_report_pool;
-   tbb::concurrent_queue<ExecutionReport *> buffered_exec_reps;
+   tbb::concurrent_queue<std::shared_ptr<ExecutionReport>> buffered_exec_reps;
    std::optional<std::thread> ws_thread;
    OnExeReport cb;
    OnGwStatusChange on_gw_status_change;
@@ -101,8 +110,8 @@ struct OkxExecutionGateway::PImpl {
    md::SecurityOracle o;
    std::atomic<OkxExecutionState> state = OkxExecutionState::OFF;
    PImpl(md::SecurityOracle o)
-       : ws_client(
-             websocket::WebsocketClient({url, connect_timeout, pong_timeout})),
+       : ws_client(websocket::WebsocketClient(
+             get_ws_client_config(url, connect_timeout, pong_timeout))),
          cb(dummy), o(o) {
       ws_client.message_handler().bind<&PImpl::on_message>(*this);
       ws_client.close_handler().bind<&PImpl::on_close>(*this);
@@ -115,7 +124,7 @@ struct OkxExecutionGateway::PImpl {
       }
    }
 
-   static void dummy(const ExecutionReport &, const trace::CorID &) {
+   static void dummy(std::shared_ptr<const ExecutionReport>, const trace::CorID &) {
       LOG(OrderMan, Error, "OnixFixListener::Dummy fired");
    }
    void setCallback(const OnExeReport &callback) {
@@ -139,7 +148,7 @@ struct OkxExecutionGateway::PImpl {
           std::min(account_name.size(), account_array.size()),
           account_array.begin());
       report.account_name = AccountName(account_array);
-
+      report.leg_security = nullptr;
       to_array(ops_id, &report.operator_id.value());
 
       report.order_key =
@@ -223,10 +232,9 @@ struct OkxExecutionGateway::PImpl {
     // buffered_exec_reps, which is picked up from the other thread
     // and passed over to the order infrastructure
     void _push_execution_report(const nlohmann::basic_json<> &order) {
-        ExecutionReport *er_p = ws_exe_report_pool.construct();
-        ExecutionReport &er = *er_p;
+        ExecutionReport er;
         get_exe_report(order, er);
-        buffered_exec_reps.push(er_p);
+        buffered_exec_reps.push(std::make_shared<ExecutionReport>(std::move(er)));
     }
    void on_message(const std::string &msg_str) {
       LOG(OrderMan, Info, "okxlistener::on_message. {}", msg_str);
@@ -292,8 +300,33 @@ struct OkxExecutionGateway::PImpl {
             LOG(OrderMan, Warn,
                 "OkxExecutionAdapter::start Attempting login (Attempt: {})",
                 attempt + 1);
-            ws_client.connect({}, true);
-            sleep(2);
+            if (ws_run_thread) {
+               // Join this thread to block until the websocket disconnects (then reconnect)
+               if (ws_run_thread->joinable()) {
+                  ws_run_thread->join();
+               }
+               ws_run_thread.reset();
+            }
+            // Connect
+            ws_client.connect();
+            ws_run_thread = threading::make_thread(
+                "okx_execution_ws", [&]() { ws_client.run(); });
+            // Block until the websocket connects (or times out)
+            {
+               const auto start_time = bts::core::TimeStamp::now();
+               for (auto elapsed = core::TimeSpan::zero();
+                    !ws_client.is_connected() &&
+                    elapsed < core::TimeSpan::from_seconds(20);
+                    elapsed = core::TimeStamp::now() - start_time) {
+                  std::this_thread::sleep_for(std::chrono::milliseconds(500));
+               }
+               if (!ws_client.is_connected()) {
+                  LOG(OrderMan, Warn,
+                      "OkxExecutionAdapter::start. Timed out waiting for "
+                      "websocket to connect");
+                  continue;
+               }
+            }
             if (ws_ping_thread.has_value()) {
                if (ws_ping_thread->joinable()) {
                   ws_ping_thread
@@ -454,13 +487,13 @@ void OkxExecutionGateway::dispatch_incoming_fix_messages() {
     if (me_->buffered_exec_reps.empty()) {
         return;
      }
-     ExecutionReport *er;
+     std::shared_ptr<ExecutionReport> er;
      while (me_->buffered_exec_reps.try_pop(er)) {
         trace::CorID cid = {};
         LOG(OrderMan, Info,
             "OkxExecutionGateway::dispatch_incoming_fix_messages er: {} ",
             er->to_string());
-        me_->cb(*er, cid);
+        me_->cb(std::move(er), cid);
      }
 }
 OnExeReport &OkxExecutionGateway::on_exe_report() { return me_->cb; }
@@ -504,8 +537,7 @@ void OkxExecutionGateway::launch_new_order(const CreateOrderMsg &msg) {
           config::get<config::OkxExeCfg>().rest_url() + REQUEST_PATH, headers,
           body);
       LOG(OrderMan, Warn, "Curl Command: \n{}", curlCommand);
-      ExecutionReport *er_p =  me_->rest_exe_report_pool.construct();
-      ExecutionReport &er = *er_p;
+      ExecutionReport er;
       http::HttpClient::post(
           config::get<config::OkxExeCfg>().rest_url() + REQUEST_PATH, body,
           headers, &res);
@@ -516,6 +548,7 @@ void OkxExecutionGateway::launch_new_order(const CreateOrderMsg &msg) {
       er.quantity = msg.quantity;
       er.filled_quantity = 0;
       er.last_shares = 0;
+      er.leg_security = nullptr;
       er.avg_price = Price(0);
       ExchangeTimeStamp64 now = ExchangeTimeStamp64(datetime::unix_nano_now());
       er.transact_time = now;
@@ -534,7 +567,8 @@ void OkxExecutionGateway::launch_new_order(const CreateOrderMsg &msg) {
          er.order_status = api::orderman::NATIVE_ORDER_STATUS_REJECTED;
          er.msg = ex_msg + " " + top_msg;
     }
-    me_->buffered_exec_reps.push(er_p);
+    me_->buffered_exec_reps.push(
+        std::make_shared<ExecutionReport>(std::move(er)));
    }
    // Shut down all reactors if they exist.
    catch (const std::exception &ex) {
@@ -719,4 +753,4 @@ void OkxExecutionGateway::cancel_order(const CancelOrderMsg &msg) {
 //     er.transact_time = now;
 //     me_->cb(er, {});
 //     return er;
-// }
+// }

src/lib/orderman/gateways/OnixFIXListener.cpp

@@ -16,8 +16,7 @@
 
 namespace bts::orderman {
 void OnixFixListener::fire_dummy_report(CreateOrderMsg msg) {
-    ExecutionReport *er_p = exe_report_pool.construct();
-    ExecutionReport &er = *er_p;
+    ExecutionReport er;
     std::string account_name = "BTSIM";
     std::array<char, 12> an_array = {};
     size_t i = 0;
@@ -53,11 +52,10 @@ void OnixFixListener::fire_dummy_report(CreateOrderMsg msg) {
     er.transact_time = now;
     if(er.security==nullptr){
         LOG(OrderMan, Error,"DID not have sec"); 
-        exe_report_pool.destroy(&er);
         return;
     }
     LOG(OrderMan, Info,"msg {}",er.msg); 
-    buffered_exec_reps.push(er_p);
+    buffered_exec_reps.push(std::make_shared<ExecutionReport>(std::move(er)));
     return;
 }
 
@@ -219,7 +217,7 @@ void OnixFixListener::onInboundApplicationMsg(Message &msg, Session * /*sn*/) {
                         return;
                     }
                     LOG(OrderMan, Info,"msg {}",er.msg); 
-                    buffered_exec_reps.push(er_p);
+                    buffered_exec_reps.push(std::make_shared<ExecutionReport>(std::move(er)));
                 }
         }
 
@@ -233,13 +231,13 @@ void OnixFixListener::dispatch_incoming_fix_messages() {
     if (buffered_exec_reps.empty()) {
         return;
      }
-     ExecutionReport *er;
+     std::shared_ptr<const ExecutionReport> er;
      while (buffered_exec_reps.try_pop(er)) {
         trace::CorID cid = {};
         LOG(OrderMan, Info,
             "OnixFixListener::dispatch_incoming_fix_messages er: {} ",
             er->to_string());
-        cb(*er, cid);
+        cb(std::move(er), cid);
      }
     
  }
@@ -277,4 +275,4 @@ void OnixFixListener::onWarning(WarningReason::Enum /*reason*/, const std::strin
 }
 
 
-}   // namespace bts::orderman
+}   // namespace bts::orderman

src/lib/orderman/gateways/OnixFIXListener.h

@@ -34,10 +34,12 @@ class OnixFixListener : public OnixS::FIX::ISessionListener {
        SessionState::Enum prevState,
        Session *sn) ONIXS_FIXENGINE_FINAL;
    OnExeReport cb;
-   tbb::concurrent_queue<ExecutionReport *> buffered_exec_reps;
+   tbb::concurrent_queue<std::shared_ptr<const ExecutionReport>>
+       buffered_exec_reps;
    void fire_dummy_report(CreateOrderMsg msg);
    void get_exe_report(Message msg, ExecutionReport &er);
-   static void dummy(const ExecutionReport &, const trace::CorID &) {
+   static void dummy(
+       std::shared_ptr<const ExecutionReport>, const trace::CorID &) {
       LOG(OrderMan, Error, "OnixFixListener::Dummy fired");
    }
    void onError(
@@ -51,4 +53,4 @@ class OnixFixListener : public OnixS::FIX::ISessionListener {
    boost::object_pool<ExecutionReport> exe_report_pool;
 };
 
-} // namespace bts::orderman
+} // namespace bts::orderman

src/lib/orderman/gateways/execution_gateway_provider.cpp

@@ -1,31 +0,0 @@
-#include "execution_gateway_provider.h"
-#include "lib/orderman/actors/order_manager/order_gateway_definition.h"
-#include "lib/orderman/gateways/ExecutionGatewayFactory.h"
-
-namespace bts::orderman {
-
-struct ExecutionGatewayProvider::PImpl {
-   PImpl(trace::PerfLog *l, md::SecurityOracle o) : l(l), o(std::move(o)) {}
-
-   trace::PerfLog *l;
-   md::SecurityOracle o;
-};
-
-ExecutionGatewayProvider::ExecutionGatewayProvider(
-    trace::PerfLog *l, md::SecurityOracle o)
-    : me_(std::make_unique<PImpl>(l, std::move(o))) {}
-
-ExecutionGatewayProvider::~ExecutionGatewayProvider() = default;
-
-std::vector<OrderGatewayDefinition> ExecutionGatewayProvider::create() {
-   auto conns = config::get<config::JetFIX>().connection();
-   std::vector<OrderGatewayDefinition> gateways;
-   for (auto c : conns) {
-      auto &gw = gateways.emplace_back();
-      gw.connection = std::move(c);
-      gw.gateway = ExecutionGatewayFactory::create_gateway(gw.connection, *me_->l, me_->o);
-   }
-   return gateways;
-}
-
-} // namespace bts::orderman

src/lib/orderman/gateways/sim/SimExecutionGateway.cpp

@@ -33,7 +33,6 @@
 #include "lib/utils/thread_manager.h"
 
 #include <bits/stdint-uintn.h>
-#include <boost/pool/object_pool.hpp>
 #include <cstdint>
 #include <optional>
 #include <queue>
@@ -280,10 +279,9 @@ struct SimExecutionGateway::PImpl {
    // send_msgs is sent on the order_man thread, its dequeued in the market data
    // thread, and execution reports are queued to buffered_exec_reps
    tbb::concurrent_queue<OrderMsg> buffered_order_ops;
-   tbb::concurrent_queue<ExecutionReport *> buffered_exec_reps;
+   tbb::concurrent_queue<std::shared_ptr<ExecutionReport>> buffered_exec_reps;
    std::unordered_map<bts::SecurityKey, SEGSecurityData> books = {};
    tbb::concurrent_hash_map<uint32_t, api::Security const *> sec_map = {};
-   boost::object_pool<ExecutionReport> exe_report_pool;
    size_t msg_seq_num = 0;
    std::set<SecurityKey> touched_secs;
    api::Security const *find_sec(uint32_t key) const {
@@ -321,13 +319,13 @@ void SimExecutionGateway::dispatch_incoming_fix_messages() {
    if (me->buffered_exec_reps.empty()) {
       return;
    }
-   ExecutionReport *er;
+   std::shared_ptr<ExecutionReport> er;
    while (me->buffered_exec_reps.try_pop(er)) {
       trace::CorID cid = {};
       LOG(OrderMan, Info,
           "ESimExecutionGateway::dispatch_incoming_fix_messages er: {} ",
           er->to_string());
-      me->on_exe_report(*er, cid);
+      me->on_exe_report(std::move(er), cid);
    }
 }
 
@@ -651,10 +649,9 @@ SEGSecurityData *SimExecutionGateway::_find_add_security_entry(
 // buffered_exec_reps, which is picked up from the other thread
 // and passed over to the order infrastructure
 void SimExecutionGateway::_push_execution_report(const SEGOrderState &seg_os) {
-   ExecutionReport *er_p = me->exe_report_pool.construct();
-   ExecutionReport &er = *er_p;
+   ExecutionReport er;
    fill_execution_report(seg_os, er);
-   me->buffered_exec_reps.push(er_p);
+   me->buffered_exec_reps.push(std::make_shared<ExecutionReport>(std::move(er)));
 }
 
 void SimExecutionGateway::_write_book(SecurityKey key) {

src/lib/orderman/ilink3/IL3GW.cpp

@@ -45,7 +45,7 @@ IL3GW::IL3GW(
     const Config &conf,
     config::JetFIX::Connection const *cfg)
     : _config(conf), _x_state(State::INIT), _buffer(buffer),
-      _on_state_change([](auto) {}), _on_exe_report([](auto *) {}),
+      _on_state_change([](auto) {}), _on_exe_report([](auto) {}),
       _on_session_change([](auto) {}), _connection(con), _session(session),
       _msg_count(0), _time(), _pool(), _exe_parser(cfg, db), _retransmit() {
    LOG(OrderMan, Info,

src/lib/orderman/ilink3/IL3GW.h

@@ -10,6 +10,9 @@
 #include "lib/orderman/ilink3/RawMsg.h"
 #include "lib/orderman/gateways/IExecutionGateway.h"
 #include "lib/orderman/orderman_utils/CancelReject.h"
+#include "lib/utils/auto_init_shared_ptr.h"
+#include "lib/utils/object_pool.h"
+
 #include <cstdint>
 #include <functional>
 #include <queue>
@@ -46,7 +49,8 @@ struct Config {
 using State = IL3State;
 
 typedef std::function<void(State)> OnStateChange;
-typedef std::function<void(const ExecutionReport *)> OnExecutionReport;
+typedef std::function<void(std::shared_ptr<const ExecutionReport>)>
+    OnExecutionReport;
 typedef std::function<void(const Session &s)> OnSessionChange;
 typedef std::function<void(CancelReject &)> OnCancelReject;
 
@@ -101,7 +105,7 @@ class IL3GW : IL3ConnectionHandler {
 
    // A pool of pre-allocated ExecutionReport objcets, used to avoid
    // allocation when processing an execution report.
-   boost::object_pool<ExecutionReport> _pool;
+   bts::utils::object_pool<utils::auto_init_shared_ptr<ExecutionReport>> _pool;
 
    // A helper used to turn MDP3 messages into normalized execution
    // report objects
@@ -242,10 +246,10 @@ class IL3GW : IL3ConnectionHandler {
    }
 
    template <class T> void handle_exe_report(const T &msg) {
-      auto *report = _pool.construct();
-      bool result = _exe_parser.parse(msg, report);
+      std::shared_ptr<ExecutionReport> report = _pool.construct()->value();
+      bool result = _exe_parser.parse(msg, report.get());
       if (result) {
-         _on_exe_report(report);
+         _on_exe_report(std::move(report));
       } else {
          LOG(iLink3, Error, "Failed to parse error report.");
       }

src/lib/orderman/ilink3/test/ILinkGWTests.cpp

@@ -377,7 +377,7 @@ DISABLED_TEST_CASE("OutrightVanillaOrder", "[ilink3][execution]") {
 
    size_t exe_reports = 0;
    gw.subscribe_execution_reports(
-       [&](const ExecutionReport *) { exe_reports += 1; });
+       [&](std::shared_ptr<const ExecutionReport>) { exe_reports += 1; });
 
    gw.send_order(order, {});
    gw.flush();

src/lib/orderman/orderman_utils/ExecutionReport.cpp

@@ -12,10 +12,10 @@ using namespace bts::api::orderman;
 
 std::string ExecutionReport::to_string() const {
    std::ostringstream rv;
-   rv << "account_name: " << to_trim_str(account_name)
-      << " operator_id: " << to_trim_str(operator_id)
+   rv << "account_name: " << to_trim_strn(account_name)
+      << " operator_id: " << to_trim_strn(operator_id)
       << " order_key: " << order_key.value() << " msg_seq_num: " << msg_seq_num
-      << " security: " << security->id()
+      << " security: " << (security == nullptr ? 0 : security->id())
       << " leg_security: " << (leg_security == nullptr ? 0 : leg_security->id())
       << " side: " << bts::api::Side_Name(side) << " time_in_force: "
       << bts::api::orderman::TimeInForce_Name(time_in_force)
@@ -32,4 +32,4 @@ std::string ExecutionReport::to_string() const {
 }
 
 } // namespace orderman
-} // namespace bts
+} // namespace bts

src/lib/orderman/orderman_utils/orderman_common.h

@@ -48,6 +48,15 @@ void to_str(std::array<char, N> const &in, std::string *out) {
    result = std::string(&in[0], N);
 }
 
+template <size_t N>
+void to_strn(std::array<char, N> const &in, std::string *out) {
+   std::size_t n = 0;
+   while (n < N && in[n] != '\0') {
+      n++;
+   }
+   *out = std::string(&in[0], n);
+}
+
 template <class T, class S>
 T to(S const &str) {
    T result;
@@ -67,6 +76,13 @@ inline std::string to_str(T const &t) {
    return result;
 }
 
+template <class T>
+inline std::string to_strn(T const &t) {
+   std::string result;
+   to_strn(t.value(), &result);
+   return result;
+}
+
 template <size_t N>
 std::pair<const char *, size_t> find_trim_str(std::array<char, N> const &in) {
    auto i = N;
@@ -79,12 +95,36 @@ std::pair<const char *, size_t> find_trim_str(std::array<char, N> const &in) {
    return std::make_pair(&in[0], i);
 }
 
+template <size_t N>
+std::pair<const char *, size_t> find_trim_strn(std::array<char, N> const &in) {
+   size_t i = 0;
+   while (i < N && in[i] != '\0') {
+      i++;
+   }
+   while (i > 0 && (in[i - 1] == ' ' || in[i - 1] == 0)) {
+      i--;
+   }
+   if (i == 0) {
+      return {nullptr, 0};
+   }
+   return {&in[0], i};
+}
+
 template <class T>
 std::string to_trim_str(T const &t) {
    auto ts = find_trim_str(t.value());
    return std::string(ts.first, ts.second);
 }
 
+template <class T>
+std::string to_trim_strn(T const &t) {
+   auto ts = find_trim_strn(t.value());
+   if (ts.second == 0) {
+      return {};
+   }
+   return std::string{ts.first, ts.second};
+}
+
 inline bts::api::orderman::OrderStatus get_external_status(
     bts::api::orderman::NativeOrderStatus status) {
    using namespace bts::api::orderman;
@@ -166,7 +206,7 @@ inline void set_exchange_order_id(
        overloaded{
            [out](ExchangeOrderID const &str) {
               out->set_exchange_order_id_u64(0);
-              *(out->mutable_exchange_order_id()) = to_trim_str(str);
+              *(out->mutable_exchange_order_id()) = to_trim_strn(str);
            },
            [out](ExchangeOrderID64 oid) {
               out->set_exchange_order_id_u64(oid.value());
@@ -292,6 +332,29 @@ inline void set_update_quantity(
 } // namespace bts
 
 FMT_IMPL(bts::orderman::AccountID, id, "{}", *id);
+FMT_IMPL(bts::orderman::ExchangeOrderID, id, "{}", bts::orderman::to_strn(id));
 FMT_IMPL(bts::orderman::ExchangeOrderID64, id, "{}", *id);
+
+template <>
+struct fmt::formatter<bts::orderman::ExchangeOrderIDVar> {
+   constexpr auto parse(fmt::format_parse_context &ctx) -> decltype(ctx.end()) {
+      return ctx.end();
+   }
+   template <typename FormatContext>
+   auto format(const bts::orderman::ExchangeOrderIDVar &id, FormatContext &ctx)
+       const -> decltype(ctx.out()) {
+      if (std::holds_alternative<bts::orderman::ExchangeOrderID64>(id)) {
+         return fmt::format_to(
+             ctx.out(), "{}",
+             std::get<bts::orderman::ExchangeOrderID64>(id).value());
+      }
+      if (std::holds_alternative<bts::orderman::ExchangeOrderID>(id)) {
+         return fmt::format_to(
+             ctx.out(), "{}", std::get<bts::orderman::ExchangeOrderID>(id));
+      }
+      return ctx.out();
+   }
+};
+
 FMT_IMPL(bts::orderman::GatewayName, n, "{}", *n);
 FMT_IMPL(bts::orderman::OrderKey, k, "{}", *k);

src/lib/orderman/orders/algo/AlgoWrapperOrder.cpp

@@ -248,7 +248,7 @@ OrderOpResult AlgoWrapperOrder::on_activate(
       me->set_price_quantity(p, q);
       for (auto &ct : me->child_templates)
          ct->builder.activate(*me->services);
-      if (q.value() == 0) {
+      if (q.full_value() == 0) {
          ReportStateGuard _(*this);
          terminate(ORDER_STATUS_COMPLETED);
       } else if (is_attaching())
@@ -292,8 +292,11 @@ OrderOpResult AlgoWrapperOrder::on_update(Update const &update) {
    }
    case Status::WORKING: {
       ReportStateGuard _(*this);
+      const double frac_qty = update.has_fractional_quantity()
+                                  ? update.fractional_quantity().fraction()
+                                  : 0;
       me->set_price_quantity(
-          Price(update.price()), Quantity(update.quantity()));
+          Price(update.price()), Quantity(update.quantity(), frac_qty));
       if (update.has_custom()) {
          *me->definition.mutable_custom_def() = update.custom();
          me->services->report_definition(me->definition);
@@ -313,6 +316,7 @@ OrderOpResult AlgoWrapperOrder::on_update(Price p, Quantity q) {
    Update up;
    up.set_price(p.value());
    up.set_quantity(q.value());
+   up.mutable_fractional_quantity()->set_fraction(q.fractional_part());
    return on_update(up);
 }
 
@@ -396,11 +400,17 @@ std::vector<api::Security const *> AlgoWrapperOrder::known_securities() const {
 Price AlgoWrapperOrder::price() const { return Price(me->state().price()); }
 
 Quantity AlgoWrapperOrder::quantity() const {
-   return Quantity(me->state().quantity());
+   const auto &s = me->state();
+   return s.has_fractional_quantity()
+              ? Quantity{s.quantity(), s.fractional_quantity().fraction()}
+              : Quantity{s.quantity()};
 }
 
 Quantity AlgoWrapperOrder::total_fills() const {
-   return Quantity(me->state().filled_quantity());
+   const auto &s = me->state();
+   return s.has_fractional_filled_quantity()
+              ? Quantity{s.filled_quantity(), s.fractional_filled_quantity().fraction()}
+              : Quantity{s.filled_quantity()};
 }
 
 bool AlgoWrapperOrder::is_shutting_down() const {

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

@@ -46,7 +46,7 @@ OrderOpResult IcebergAlgo::do_before_launch(IBeforeLaunchAlgoServices &serv) {
           "Show quantity must be greater than 0"};
 
    me->pause_between_orders_ms = iceberg.pause_between_orders_ms();
-   me->show_quantity = Quantity((uint32_t)iceberg.show_quantity());
+   me->show_quantity = CQuantity::create_new(iceberg.show_quantity());
 
    // Create a child template so we can quickly launch our child when
    // the time comes.
@@ -91,7 +91,11 @@ void IcebergAlgo::do_update(api::orderman::Update const &update) {
       return;
    }
 
-   if (update.quantity() < algo().total_fills().value()) {
+   const double frac_qty = update.has_fractional_quantity()
+                               ? update.fractional_quantity().fraction()
+                               : 0;
+   const Quantity new_qty{update.quantity(), frac_qty};
+   if (new_qty < algo().total_fills()) {
       algo().complete();
       return;
    }
@@ -108,7 +112,7 @@ void IcebergAlgo::do_update(api::orderman::Update const &update) {
          return;
       }
 
-      me->show_quantity = Quantity((uint32_t)iceberg_update.show_quantity());
+      me->show_quantity = CQuantity::create_new(iceberg_update.show_quantity());
       bool had_timer = me->pause_between_orders_ms > 0;
       bool should_have_timer = iceberg_update.pause_between_orders_ms() > 0;
 
@@ -122,7 +126,10 @@ void IcebergAlgo::do_update(api::orderman::Update const &update) {
          init_child_template(algo(), iceberg_update.child());
       }
    }
-   child_update.set_quantity(remaining_quantity().value());
+   const auto rem_qty = remaining_quantity();
+   child_update.set_quantity(rem_qty.value());
+   child_update.mutable_fractional_quantity()->set_fraction(
+       rem_qty.fractional_part());
    if (me->status == Status::WORKING)
       algo().update_child(me->child_key, child_update);
 }
@@ -130,10 +137,9 @@ void IcebergAlgo::do_update(api::orderman::Update const &update) {
 void IcebergAlgo::on_child_change(OrderKey k, ChildState const &st) {
    if (k == me->child_key) {
       algo().update_fill_state(
-          Quantity(algo().total_fills().value() + st.last_fills.value()),
-          st.last_price);
+          algo().total_fills() + st.last_fills, st.last_price);
 
-      if (algo().total_fills().value() >= algo().quantity().value()) {
+      if (algo().total_fills() >= algo().quantity()) {
          algo().complete();
          return;
       }
@@ -164,7 +170,7 @@ void IcebergAlgo::on_timer() {
 
 void IcebergAlgo::send_next_order() {
    bts_assert(me->status == Status::WORKING);
-   bts_assert(algo().quantity().value() > algo().total_fills().value());
+   bts_assert(algo().quantity() > algo().total_fills());
 
    me->child_key = algo().launch_child(
        *me->child_template, algo().price(), remaining_quantity());
@@ -172,9 +178,8 @@ void IcebergAlgo::send_next_order() {
    LOG(OrderMan, Info,
        "Iceberg order {} creating new child order {} with size "
        "{} price {}. Filled {} so far out of {}",
-       algo().order_key().value(), me->child_key.value(),
-       remaining_quantity().value(), algo().price().value(),
-       algo().total_fills().value(), algo().quantity().value());
+       algo().order_key(), me->child_key, remaining_quantity(), algo().price(),
+       algo().total_fills(), algo().quantity());
 }
 
 void orderman::IcebergAlgo::init_child_template(
@@ -186,9 +191,9 @@ void orderman::IcebergAlgo::init_child_template(
 }
 
 Quantity IcebergAlgo::remaining_quantity() const {
-   bts_assert(algo().quantity().value() > algo().total_fills().value());
-   auto remaining = algo().quantity().value() - algo().total_fills().value();
-   return Quantity(std::min(remaining, me->show_quantity.value()));
+   bts_assert(algo().quantity() > algo().total_fills());
+   auto remaining = algo().quantity() - algo().total_fills();
+   return std::min(remaining, me->show_quantity);
 }
 
 } // namespace orderman

src/lib/orderman/orders/spreader_orders/SpreaderOrder.cpp

@@ -68,6 +68,8 @@ OrderOpResult SpreaderOrder::on_activate(
       return OrderOpResult{api::orderman::ORDER_ERROR_OP_NOT_SUPPORTED};
    quantity =
        _bookkeeping_data().fqty_helper().in_transform_spreader_qty(quantity);
+   LOG(OrderMan, Info, "SpreaderOrder::on_activate price: {} quantity: {}",
+       price, quantity);
    SpreaderOrderServices spreader_order_services(&services);
    _on_activate(price, quantity, spreader_order_services);
    // the reason why this is immediatly reported (vs in the timer
@@ -82,8 +84,9 @@ OrderOpResult SpreaderOrder::on_update(Price price, Quantity quantity) {
       return OrderOpResult{api::orderman::ORDER_ERROR_OP_NOT_SUPPORTED};
    quantity =
        _bookkeeping_data().fqty_helper().in_transform_spreader_qty(quantity);
-   LOG(OrderMan, Info, "SpreaderOrder.on_update key:{} price:{} quantity:{}",
-       key().value(), price.value(), quantity.value());
+
+   LOG(OrderMan, Info, "SpreaderOrder::on_update price: {} quantity: {}", price,
+       quantity);
    _state_worker->on_update(price, quantity);
    _report_state();
    return OrderOpResult{};
@@ -329,8 +332,11 @@ void SpreaderOrder::_on_activate(
     Price price, Quantity quantity, SpreaderOrderServices &order_services) {
    bts_assert(_inited());
    bts_assert(!_activated());
-   quantity =
-       _bookkeeping_data().fqty_helper().in_transform_spreader_qty(quantity);
+   LOG(OrderMan, Info, "SpreaderOrder::_on_activate price: {} quantity: {}",
+       price, quantity);
+   // quantity has already been fractional_normalized
+   // quantity =
+   //     _bookkeeping_data().fqty_helper().in_transform_spreader_qty(quantity);
    LOG(OrderMan, Info, "SpreaderOrder.on_activate key:{} price:{} quantity:{}",
        key().value(), price.value(), quantity.value());
    _order_services = new SpreaderOrderServices(order_services);

src/lib/orderman/orders/spreader_orders/SpreaderOrder.h

@@ -285,6 +285,9 @@ class SpreaderOrder : public Order, public ISpreaderManager {
    }
    // just sets the price and qty in the bookkeeping data
    void _set_price_quantity(Price input_price, Quantity quantity) {
+      LOG(OrderMan, Info,
+          "SpreaderOrder::_set_price_quantity input_price: {} quantity: {}",
+          input_price, quantity);
       Price effective_price = _compute_effective_price(input_price);
       _bookkeeping_data().update_order(input_price, effective_price, quantity);
    }

src/lib/orderman/orders/spreader_orders/spreader/SpreaderBookkeepingData.h

@@ -1,4 +1,5 @@
 #pragma once
+#include "lib/logging/logging.h"
 #include "lib/orderman/orderman_utils/orderman_common.h"
 #include <boost/container/flat_map.hpp>
 #include <memory>
@@ -76,7 +77,11 @@ class SpreaderBookkeepingData {
    }
    Price input_price() const { return _input_price; }
    Price effective_price() const { return _effective_price; }
-   Quantity quantity() const { return _quantity; }
+   Quantity quantity() const {
+      LOG(OrderMan, Info, "SpreaderBookkeepingData::quantity _quantity: {}",
+          _quantity);
+      return _quantity;
+   }
    NLegsHedgeRecompData &hedge_recomp_data() { return _hedge_recomp_data; }
    // gets leg data from leg's sec key
    SpreaderLegData &get_leg_data(SecurityKey security_key) {
@@ -146,6 +151,10 @@ class SpreaderBookkeepingData {
    }
    void update_order(
        Price input_price, Price effective_price, Quantity quantity) {
+      LOG(OrderMan, Info,
+          "SpreaderBookkeepingData::update_order input_price: {} "
+          "effective_price: {} quantity: {}",
+          input_price, effective_price, quantity.full_value());
       _input_price = input_price;
       _effective_price = effective_price;
       _quantity = quantity;
@@ -157,9 +166,6 @@ class SpreaderBookkeepingData {
    }
    size_t n_quoting_legs() const { return _n_quoting_legs; }
    SpreaderFractionalQtyHelper &fqty_helper() { return _fqty_helper; }
-   // SpreaderFractionalQtyHelper const *spreader_qty_helper() {
-   //    return &_fqty_helper;
-   // }
 };
 } // namespace orderman
 } // namespace bts

src/lib/orderman/orders/spreader_orders/spreader/SpreaderFractionalQtyHelper.cpp

@@ -9,6 +9,7 @@
 #include "lib/orderman/events/BookUpdateEvent.h"
 #include "lib/orderman/events/OrderStateUpdateEvent.h"
 //#include "lib/orderman/orders/spreader_orders/SpreaderOrder.h"
+#include "lib/orderman/orderman_utils/orderman_common.h"
 #include "lib/orderman/orders/spreader_orders/spreader/LegPropertyData.h"
 #include "lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.h"
 #include "lib/os/os.h"
@@ -63,7 +64,9 @@ struct SpreaderFractionalQtyHelper ::PImpl {
    Book op_book = {};
    OrderStateUpdateEvent op_ord = {};
    const bool passthrough = false;
-   //const double in_qty_mult;
+   // we can keep the mult per leg, based on their tick info, but its easier
+   // (and correct) if we do it
+   const double in_qty_mult = 100000;
    const bool is_notional;
    const QtyTickInfo def_qty_tick_info = QtyTickInfo(10000.0, 1.0);
    std::map<bts::SecurityKey, QtyTickInfo> qty_info_map = {};
@@ -92,25 +95,43 @@ struct SpreaderFractionalQtyHelper ::PImpl {
    }
 };
 
+double SpreaderFractionalQtyHelper::_get_mult(size_t) const {
+   return me->in_qty_mult;
+}
+
+Quantity SpreaderFractionalQtyHelper::in_transform_spreader_qty(
+    Quantity qty) const {
+   // nothing needs to be done with spreader qty
+   if (me->passthrough)
+      return qty;
+   double qm = _get_mult(0);
+   double rv = qty.full_value() * qm;
+   auto rv_qty = Quantity::create_new(rv);
+   LOG(OrderMan, Info,
+       "SpreaderFractionalQtyHelper::in_transform_spreader_qty {} => {}", qty,
+       rv_qty);
+   return rv_qty;
+}
+
 std::vector<LegPropertyData> SpreaderFractionalQtyHelper::get_transformed_legs(
     const std::vector<LegPropertyData> &legs) const {
-   std::vector<LegPropertyData> rv = {};
-   for (const auto &l : legs) {
-      bts::api::ContractLeg leg_adj = l.leg_contract();
-      const auto &q_tinfo = get_qty_tick_info(
-          me->qty_info_map, bts::SecurityKey(l.leg_security_key()),
-          me->def_qty_tick_info);
-      double qm = q_tinfo.tick_mult;
-      leg_adj.set_quantity(l.size_multiplier() * qm);
-      double qty_tick_size = q_tinfo.tick_sz;
-      LegPropertyData lpd_adj(
-          l.leg_index(), leg_adj, l.leg_params(), l.trading_side(),
-          bts::api::SyntheticContract::PriceCalc::
-              SyntheticContract_PriceCalc_PRICECALC_STANDARD,
-          qty_tick_size);
-      rv.push_back(lpd_adj);
-   }
-   return rv;
+   // std::vector<LegPropertyData> rv = {};
+   // for (const auto &l : legs) {
+   //    bts::api::ContractLeg leg_adj = l.leg_contract();
+   //    const auto &q_tinfo = get_qty_tick_info(
+   //        me->qty_info_map, bts::SecurityKey(l.leg_security_key()),
+   //    double qm = q_tinfo.tick_mult;
+   //    leg_adj.set_quantity(l.size_multiplier() * qm);
+   //    double qty_tick_size = q_tinfo.tick_sz;
+   //    LegPropertyData lpd_adj(
+   //        l.leg_index(), leg_adj, l.leg_params(), l.trading_side(),
+   //        bts::api::SyntheticContract::PriceCalc::
+   //            SyntheticContract_PriceCalc_PRICECALC_STANDARD,
+   //        qty_tick_size);
+   //    rv.push_back(lpd_adj);
+   // }
+   // return rv;
+   return legs;
 }
 
 SpreaderFractionalQtyHelper::SpreaderFractionalQtyHelper(
@@ -140,9 +161,7 @@ const Book &SpreaderFractionalQtyHelper::in_transform_book(
    } else {
       me->op_book = bk;
    }
-   const auto &q_tinfo = get_qty_tick_info(
-       me->qty_info_map, bk.security_key(), me->def_qty_tick_info);
-   double qm = q_tinfo.tick_mult;
+   double qm = _get_mult(0);
    for (auto &ps : me->op_book.bid()) {
       ps = bts::md::PriceSize(ps.int_price(), ps.size() * qm);
    }
@@ -183,9 +202,7 @@ SpreaderFractionalQtyHelper::in_transform_order_event(
       me->op_ord.filled_at_attach_time_quantity = os::nan();
    }
    // factor mult
-   const auto &q_tinfo =
-       get_qty_tick_info(me->qty_info_map, sec_key, me->def_qty_tick_info);
-   double qmult = q_tinfo.tick_mult;
+   double qmult = _get_mult(sec_key.value());
    me->op_ord.quantity *= qmult;
    me->op_ord.filled_quantity *= qmult;
    me->op_ord.filled_at_attach_time_quantity *= qmult;
@@ -193,14 +210,6 @@ SpreaderFractionalQtyHelper::in_transform_order_event(
    return me->op_ord;
 }
 
-Quantity SpreaderFractionalQtyHelper::in_transform_spreader_qty(
-    Quantity qty) const {
-   // nothing needs to be done with spreader qty
-   if (me->passthrough)
-      return qty;
-   return qty;
-}
-
 Quantity SpreaderFractionalQtyHelper::out_transform_leg_order_qty(
     SecurityKey skey, Price price, Quantity qty) const {
    auto qty_init = qty;
@@ -214,13 +223,10 @@ Quantity SpreaderFractionalQtyHelper::out_transform_leg_order_qty(
              "notional -> physical {} -> {}",
              qty_init, qty);
       }
-      const auto &q_tinfo =
-          get_qty_tick_info(me->qty_info_map, skey, me->def_qty_tick_info);
-      double tick_sz = q_tinfo.tick_sz;
-      double qm = q_tinfo.tick_mult;
+      double qm = _get_mult(skey.value());
       double qty_out = qty.full_value() / qm;
       // rouning it to tick size
-      qty_out = std::floor(qty_out / tick_sz) * tick_sz;
+      //qty_out = std::floor(qty_out / tick_sz) * tick_sz;
       return Quantity::create_new(qty_out);
    };
    auto rv_qty = tr();
@@ -241,9 +247,15 @@ void SpreaderFractionalQtyHelper::out_transform_order_state(
        s_txt, s.filled_quantity(), s.avg_price());
    // todo:
    // this needs to divide the filled qty of the spreader
-   // if (me->passthrough)
-   //    return ord_st;
-   // return ord_st;
+   if (me->passthrough)
+      return;
+   double qm = _get_mult(0);
+   set_quantity(
+       s, StateQuantityType::OrderQuantity,
+       Quantity::create_new(static_cast<double>(s.quantity()) / qm));
+   set_quantity(
+       s, StateQuantityType::FilledQuantity,
+       static_cast<double>(s.filled_quantity()) / qm);
 }
 
 } // namespace bts::orderman

src/lib/orderman/orders/spreader_orders/spreader/SpreaderFractionalQtyHelper.h

@@ -15,31 +15,52 @@ class OrderState;
 namespace bts::orderman {
 class Book;
 class OrderStateUpdateEvent;
-// forinstruments with fractional qtys this sits on the outside layer and does conversions,
-//both for market data and orders
-// this resdies inside SpeaderBookkeepingData
+// for instruments with fractional qtys this sits on the outside layer and does conversions,
+// both for market data and orders
+// it resides inside SpeaderBookkeepingData
+// these are the trasnfo
+// spreader_qty in *mult
+// books coming in *mult
+// order out /mult
+// order cb in * mult
+// report out /mult
 class SpreaderFractionalQtyHelper {
  public:
    SpreaderFractionalQtyHelper(
        OrderKey spreader_ord_key,
        const api::orderman::SpreaderOrderDefinition &spreader_order_def,
        const std::vector<LegPropertyData> &legs);
-   // the leg qtys need to be translated
+   double _get_mult(size_t leg_idx) const;
+   ////////////////////////////////////
+   // 1. qty (in)
+   ////////////////////////////////////
+   Quantity in_transform_spreader_qty(Quantity qty) const;
+   ////////////////////////////////////
+   // 2. leg sizes (in)
+   ////////////////////////////////////
    std::vector<LegPropertyData> get_transformed_legs(
        const std::vector<LegPropertyData> &legs) const;
-   // in_ and out_ signify market data / orders coming in or out.
+   ////////////////////////////////////
+   // 3. books (in)
+   ////////////////////////////////////
    const Book &in_transform_book(const Book &book) const;
    // this is called when the order feedback fomr the outside in to the spreader
+   ////////////////////////////////////
+   // 4. orders event (in)
+   ////////////////////////////////////
    const OrderStateUpdateEvent &in_transform_order_event(
        SecurityKey sec_key, const OrderStateUpdateEvent &) const;
-   Quantity in_transform_spreader_qty(Quantity qty) const;
    // TODO add price
+   ////////////////////////////////////
+   // 5. orders (out)
+   ////////////////////////////////////
    Quantity out_transform_leg_order_qty(
        SecurityKey key, Price price, Quantity qty) const;
    // the state reported ot he rest of the system also has to be converted
+   ////////////////////////////////////
+   // 6. order report (out)
+   ////////////////////////////////////
    void out_transform_order_state(bts::api::orderman::OrderState &) const;
-   // struct QtyTickInfo;
-   // const QtyTickInfo &_get_tickinfo(SecurityKey skey);
 
  private:
    struct PImpl;

src/lib/orderman/orders/spreader_orders/spreader/SpreaderUtils.cpp

@@ -134,15 +134,14 @@ bool SpreaderUtils::resolve_synthetic_spread(
                          bts::api::orderman::TimeInForce::TIME_IN_FORCE_IOC);
                   else
                      quoter_order_def.set_time_in_force(
-                         bts::api::orderman::TimeInForce::TIME_IN_FORCE_DAY);
+                         order_def.time_in_force());
                   // hedger order def
                   api::orderman::OrderDefinition hedger_order_def =
                       quoter_order_def;
                   hedger_order_def.mutable_custom_def()
                       ->mutable_limit()
                       ->MergeFrom(api::orderman::LimitOrderDefinition());
-                  hedger_order_def.set_time_in_force(
-                      bts::api::orderman::TimeInForce::TIME_IN_FORCE_DAY);
+                  quoter_order_def.set_time_in_force(order_def.time_in_force());
                   hedger_order_def.set_sub_type(
                       bts::api::orderman::OrderSubType::
                           ORDER_SUB_TYPE_HEDGING_LEG);

src/lib/orderman/orders/spreader_orders/spreader_states/SpreaderStartStateWorker.cpp

@@ -1,4 +1,5 @@
 #include "SpreaderStartStateWorker.h"
+#include "lib/logging/logging.h"
 #include "lib/orderman/OrderBuilder.h"
 #include "lib/orderman/orders/PreActivationOrderServices.h"
 #include "lib/orderman/orders/spreader_orders/SpreaderOrder.h"
@@ -47,6 +48,8 @@ void SpreaderStartStateWorker::on_init_new(
       std::string msg = "Could not resolve securities";
       _spreader->_transform_to_END(&msg);
    }
+   LOG(OrderMan, Info, "SpreaderStartStateWorker::on_init_new qty: {}",
+       _spreader->_bookkeeping_data().quantity().full_value());
 }
 void SpreaderStartStateWorker::on_init_recovered(
     const bts::api::orderman::OrderRecord &order_record,

src/lib/orderman/tests/CCApiExecutionTests.cpp

@@ -8,6 +8,7 @@
 #include "lib/utils/bts_chrono.h"
 #include "lib/utils/helper_macros.h"
 #include <boost/move/detail/placement_new.hpp>
+#include <ccapi_cpp/bts_session_options.h>
 #include <ccapi_cpp/ccapi_message.h>
 #include <ccapi_cpp/ccapi_util_private.h>
 #include <chrono>
@@ -65,7 +66,9 @@ class Bootstrapper {
       ccapi::SessionOptions sessionOptions;
       ccapi::SessionConfigs sessionConfigs;
       MyEventHandler eventHandler;
-      ccapi::Session session(sessionOptions, sessionConfigs, &eventHandler);
+      ccapi::Session session(
+          sessionOptions, {ccapi::BtsVenues::BINANCE_USDS_FUTURES},
+          sessionConfigs, &eventHandler);
       ccapi::Request request(
           ccapi::Request::Operation::CREATE_ORDER,
           CCAPI_EXCHANGE_NAME_BINANCE_USDS_FUTURES, "BTCUSD");
@@ -85,7 +88,9 @@ class Bootstrapper {
            "_FY2PcXYNc8VdlfkZO5c-pkFJQFhn8P9z4_p8YA2fS0"},
       });
       MyEventHandler eventHandler;
-      ccapi::Session session(sessionOptions, sessionConfigs, &eventHandler);
+      ccapi::Session session(
+          sessionOptions, {ccapi::BtsVenues::DERIBIT}, sessionConfigs,
+          &eventHandler);
       ccapi::Request request(
           ccapi::Request::Operation::CREATE_ORDER, CCAPI_EXCHANGE_NAME_DERIBIT,
           "BTC-29SEP23");
@@ -135,4 +140,4 @@ TEST_CASE("Simple", "[ccapi]") {
    }
 }
 
-} // namespace bts::orderman
+} // namespace bts::orderman

src/lib/os/os.cpp

@@ -638,7 +638,7 @@ int num_cores() {
 #endif
 }
 
-std::string expand_env(std::string name, bool assert_vars_exist = true) {
+std::string expand_env(std::string name, bool assert_vars_exist) {
    static const std::regex env_re{R"--(\$\{([^}]+)\})--"};
    std::smatch match;
    while (std::regex_search(name, match, env_re)) {
@@ -656,6 +656,26 @@ std::string expand_env(std::string name, bool assert_vars_exist = true) {
    return name;
 }
 
+bool expand_env_in_place(std::string &name, bool assert_vars_exist) {
+   static const std::regex env_re{R"--(\$\{([^}]+)\})--"};
+   std::smatch match;
+   bool changed = false;
+   while (std::regex_search(name, match, env_re)) {
+      const auto from = match[0];
+      const auto var_name = match[1].str();
+      const auto var = std::getenv(var_name.c_str());
+      if (!var) {
+         bts_assert_msgf(
+             !assert_vars_exist, "Environment variable '{}' is undefined",
+             name);
+         continue;
+      }
+      name.replace(from.first, from.second, var);
+      changed = true;
+   }
+   return changed;
+}
+
 std::optional<std::string> try_expand_env(const std::string &name) {
    static const std::regex env_re{R"--(\$\{([^}]+)\})--"};
    std::smatch match;

src/lib/os/os.h

@@ -90,6 +90,9 @@ boost::filesystem::path app_data_path();
 boost::filesystem::path app_data_path(
     const boost::filesystem::path &relative_path, bool mkdirs = true);
 
+std::string expand_env(std::string name, bool assert_vars_exist = true);
+bool expand_env_in_place(std::string &name, bool assert_vars_exist = true);
+
 std::string username();
 std::string find_newest_file(
     const std::string &directory,

src/lib/os/spark_data_directory.cpp

@@ -26,7 +26,7 @@ boost::filesystem::path SparkDataDirectory::config_json_dir() const {
    if (p.has_parent_path()) {
       p = p.parent_path();
    }
-   return p / "conf_json/";
+   return p / "conf/";
 }
 
 boost::filesystem::path SparkDataDirectory::config_json_file(

src/lib/persistence/IDGenerator.cpp

@@ -73,7 +73,7 @@ std::optional<uint64_t> IDGenerator::get_id(
       return std::optional<uint64_t>(rowid);
    } else {
       if (add_if_new) {
-         auto all = me->kv_store->retrieve_all();
+         // auto all = me->kv_store->retrieve_all();
          auto new_id = me->kv_store->insert(ns, key, "");
          LOG(Gen, Diag, "IDGenerator::get_id ns: {} key: id: {}", ns, key,
              new_id);

src/lib/utils/PBUtils.h

@@ -1,8 +1,10 @@
 #pragma once
 
+#include <fstream>
+#include <google/protobuf/repeated_ptr_field.h>
 #include <google/protobuf/text_format.h>
 #include <google/protobuf/timestamp.pb.h>
-#include <fstream>
+#include <nlohmann/json.hpp>
 #include <string>
 
 #ifndef _WIN32
@@ -25,14 +27,16 @@ namespace utils {
 namespace pb {
 
 BTS_EXPORT std::string to_string(google::protobuf::Message const &msg);
-BTS_EXPORT google::protobuf::Timestamp
-to_timestamp(datetime::PTime const &ptime);
+BTS_EXPORT google::protobuf::Timestamp to_timestamp(
+    datetime::PTime const &ptime);
 
-template <class T> bool from_string(const std::string &str, T *out) {
+template <class T>
+bool from_string(const std::string &str, T *out) {
    return google::protobuf::TextFormat::ParseFromString(str, out);
 }
 
-template <class T> T from_string(const std::string &str) {
+template <class T>
+T from_string(const std::string &str) {
    T result;
    bts_assert(google::protobuf::TextFormat::ParseFromString(str, &result));
    return result;
@@ -105,3 +109,36 @@ inline double to_double_time(google::protobuf::Timestamp const &t1) {
 } // namespace pb
 } // namespace utils
 } // namespace bts
+
+namespace google::protobuf {
+
+template <
+    class T,
+    typename std::enable_if_t<
+        nlohmann::detail::has_to_json<nlohmann::json, T>::value,
+        int> = 0>
+void to_json(
+    nlohmann::json &j, const google::protobuf::RepeatedPtrField<T> &vals) {
+   j = nlohmann::json::array();
+   for (const T &v : vals) {
+      to_json(j.emplace_back(), v);
+   }
+}
+
+template <
+    class T,
+    typename std::enable_if_t<
+        nlohmann::detail::has_to_json<nlohmann::json, T>::value,
+        int> = 0>
+void from_json(
+    const nlohmann::json &j, google::protobuf::RepeatedPtrField<T> &vals) {
+   vals.Clear();
+   if (!j.is_array()) {
+      return;
+   }
+   for (auto it = j.begin(); it != j.end(); it++) {
+      it->get_to(*vals.Add());
+   }
+}
+
+} // namespace google::protobuf

src/lib/utils/auto_init_shared_ptr.h

@@ -0,0 +1,25 @@
+#pragma once
+
+#include <memory>
+namespace bts::utils {
+
+/**
+ * Simple wrapper for shared_ptr that initializes the underlying data in the
+ * default constructor.
+ */
+template <typename T>
+class auto_init_shared_ptr {
+ public:
+   auto_init_shared_ptr() : value_(std::make_shared<T>()) {}
+
+   std::shared_ptr<T> &value() { return value_; }
+   const std::shared_ptr<T> &value() const { return value_; }
+
+   T &operator*() { return *value_; }
+   const T &operator*() const { return *value_; }
+
+ private:
+   std::shared_ptr<T> value_;
+};
+
+} // namespace bts::utils

src/lib/utils/formatters/error_code_formatter.h

@@ -0,0 +1,17 @@
+#pragma once
+
+#include <fmt/format.h>
+#include <system_error>
+
+template <>
+struct fmt::formatter<std::error_code> {
+   constexpr auto parse(fmt::format_parse_context &ctx) -> decltype(ctx.end()) {
+      return ctx.end();
+   }
+
+   template <typename FormatContext>
+   auto format(const std::error_code &e, FormatContext &ctx) const
+       -> decltype(ctx.out()) {
+      return fmt::format_to(ctx.out(), "{}", e.message());
+   }
+};

src/lib/utils/lazy.h

@@ -0,0 +1,41 @@
+#pragma once
+
+#include <functional>
+#include <memory>
+#include <mutex>
+
+namespace bts::utils {
+
+template <typename T>
+class Lazy {
+ public:
+   template <typename... Args>
+   explicit Lazy(Args &&...args)
+       : create_([=]() mutable { return std::make_unique<T>(args...); }) {}
+
+   T &get() {
+      std::call_once(init_flag_, [this]() { instance_ = create_(); });
+      return *instance_;
+   }
+
+   static Lazy<T> from_delegate(std::function<T()> create);
+
+ private:
+   explicit Lazy(std::function<T()> create)
+       : create_([&, create]() { return std::make_unique<T>(create()); }) {}
+
+   std::once_flag init_flag_;
+   std::function<std::unique_ptr<T>()> create_;
+   std::unique_ptr<T> instance_;
+};
+
+//////////////////////////////////////////////////
+// Definition
+//////////////////////////////////////////////////
+
+template <typename T>
+Lazy<T> Lazy<T>::from_delegate(std::function<T()> create) {
+   return Lazy<T>(create);
+}
+
+} // namespace bts::utils